转:一个分级A下折的计算例子

1. 今天以0.887元买入1000份TMT中证A,手续费不计,今收盘0.915元。
2. 今天TMT中证B低折,估计今晚B净值是0.215元,A净值是1.005元,A:B是5:5。

在假设下周一TMT中证B净值不动的情况下,那么:
1. 1000份B变为215份新B;
2. 1000份A变为215份新A,+790份新母鸡;
3. 新A的交易价格估算为:5%(TMT中证A利率)/6.3%(市场隐含收益率)=0.794元;
4. 母鸡的赎回价格为:1*0.995=0.995元 0.995是指扣除了0.5%赎回费的实际赎回价格。
5. 1000份A下折后总值为:215*0.794+790*0.995=170.71+786.05=956.76
合计每份0.957元,收益率0.957/0.887-1=7.86%

下周一(T日)10:30起可继续交易A和B,周二(T+1日)停牌,晚上新A和母鸡到账,周三10:30起可卖和赎回。

可能出现的变化:
1. 下周一(T日),B类继续跌,收益继续扩大;B类开始上涨,收益减少;
2. 下周二(T+1日),母鸡净值增加,收益继续扩大;反之亦然;
3. 下周三(T+2日)就可以赎回了,但赎回是按照周三收盘母基净值计算的,所以要承担周二和周三两天的母基金净值波动。

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