关于分级A下折的知识点摘录

  • A有看跌期权,B是看涨,A借钱给B形成B的杠杆,而A则获得年化固定收益。一般A以折价交易进去,将净值为1左右而交易价格一点在0.8+。
  • 虽然A是折价交易,但是A不可以单独赎回,所以吃到折价的机会,就只能靠下折。当A下折的时候,A超出B净值的部分将转换成净值为1的母基可以赎回,而收益来源差不多就是B下折的损失。
  • B的杠杆=(A的数量*A净值+B数量*B净值)/(B的数量*B净值)
    当A和B初始净值都为1的时候,初始杠杆=(A的数量+B的数量)/B的数量。当A:B=5:5时,初始杠杆为2;当A:B为7:3时,初始杠杆为3.3。由于B的净值是分母,当B的净值越低(越接近下折时),B的杠杆越高!如果这时下折下买入B而指数大反弹,加上B的高杠杆,是抢反弹的利器。但是,如果反弹不成功,一般下折前买入的B要亏掉50%+的本金。
  • 下面的图大致表明了下折的时候A和B发现的变化,如净值、份额等。

  • 目前A的约定收益率分别有一年定存+3%,+3.2%,+4%,+5%等。由于约定收益率越高,预期收益越多,它的折价越低。也是就是由于A下折的收益是吃折价为主,所以一般来说,+3%的下折最高。
  • A的隐含收益率=约定收益率/(价格/净值)
    永续A类修正隐含收益率 = 下期利率 / (A交易价格 – (A净值 – 1) + 定折剩余年限 × (下期利率 – 本期利率))
  • 下折前,计算A参加下折盈亏平衡点的公式:
    A盈亏平衡交易价 = ( B折前净值)× A折前净值 + B折前净值×(A约定利率/无风险利率)
    http://xueqiu.com/3309816647/50412016
    A对应的无风险利率应该类似于10年期AA级企业债的回报率
  •  下折后新A的交易价格估算为:A类的收益率/A类的隐含收益率
  • A的合理价格是一个比较复杂的问题,需要单独一篇文章梳理。

 

 

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