分级A的合理定价 – 1

现在普遍接受的,认为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,目前该回报率是6.5%。

而A的收益率则设计为“一年定存+X”,基本X对应不同A的+3、+3.2、+4、+5等等。按上面的相加,表面上看起来除息对A是利空,但实际上A的收益率计算是一个非常复杂的过程。简单的使用一条公式先说明,A的隐含收益率=约定收益率/(价格/净值),当降息的时候,同时影响那上面决定隐含收益率的三个要素,所以降息对A是利空还是利好,是个有争议的话题。

当降息时,那个约定收益率中的“一年定存”下降了,然而决定A实际收益的是隐含收益率。虽然约定收益率变小了,但同时,由于市场对降息做出的反映,更可能是价格下降。所以这是利好还是利空要更进一步研究。

举一个+3的A的例子(其它的只要将X换成对应的收益浮动),它的约定收益率=一年定存+X,即2.75%+3%=5.75%,可以看出比10年年AA级无风险的收益率6.5%要低。理性的人在相同的价格下肯定要买6.5%的AA级企业债,这时候分级A就会出现折价。如果不折价,以让它的回报率可以达到和AA债一样的6.5%才有市场。

A定价的基础从上就可以得出来了,A的折价率=约定收益率/无风险收益率=5.75%/6.5%=0.885。也就是所,只有折价88.5%交易才是理性的:

A合理定价的基础=A净值*折价率=A净值*0.885

当然,上面只是一个基础,更精确的定价有待进一步研究。

983 thoughts on “分级A的合理定价 – 1”

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