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pseudonym · 2023年12月31日

请问如何通过security lending进行leverage?

NO.PZ2023032703000012

问题如下:

Shield states that his return expectation for a portfolio of corporate bonds is 3%–6% per annum over a 10-year period. Edge questions whether that level of return is sufficient for Derran and offers the following suggestions with respect to increasing portfolio returns.

Suggestion 1 Overweight the portfolio with bonds of highly leveraged companies because their yields generally exceed those of companies that have lower debt levels.

Suggestion 2 Consider using inverse floaters and fixed-rate receiver swaps in order to position the portfolio to benefit from any decline in interest rates over the 10-year market cycle.

Suggestion 3 Enter into repurchase agreements and securities lending transactions with counterparties that are conservatively leveraged.

Which one of Edge’s suggestions least likely uses portfolio leverage to increase returns? (2019 mock AM)

选项:

A.

Suggestion 3

B.

Suggestion 2

C.

Suggestion 1

解释:

Adding bonds of highly leveraged companies does not involve the use of leverage. The following methods of leverage may be used to increase portfolio returns relative to an unleveraged portfolio: (1) futures contracts, (2) swap agreements, (3) structured financial instruments, (4) repurchase agreements, and (5) securities lending. Each of these methods adds leverage to an unleveraged portfolio, including, as in this example, an unleveraged portfolio of bonds from highly leveraged companies.

如题,请问如何通过security lending进行leverage?

4 个答案
已采纳答案

pzqa31 · 2024年01月01日

嗨,努力学习的PZer你好:


杠杆的本质是持仓的资产大于自有资金的钱,比如说你手中有10元钱,但是你能拥有20元的资产。

先说回购,举个例子:

对于正回购方来说,本来手中有100元,买了100元的债券,通过质押式回购交易给逆回购方,逆回购方给正回购方90元,正回购方拿着90元可以再去买债,这样正回购方相当于拥有了190元的债券,而它只有100元的自有资金,这就是杠杆的体现。


security lending与逆回购是相反的,逆回购交易的目的是为了融钱买债,而正回购方交易的目的是为了借券卖出,是做空债券的方式。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

pzqa31 · 2024年01月07日

嗨,从没放弃的小努力你好:


正回购逆回购方指的是在质押式回购或者买断式回购中的双方,回购属于货币市场业务,和security lending属于不同的业务品种。

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努力的时光都是限量版,加油!

pzqa31 · 2024年01月07日

嗨,从没放弃的小努力你好:


1.因为这100元的债券正回购方只是质押给了逆回购方,回购到期后这100元债券还是要还给正回购方的。

2.security lending是指出借自己持有的证券(债券或者股票);borrowing 是指借入自己不持有的证券(债券或股票);比如你现在看空市场,你可以先borrowing 证券,然后在二级市场卖掉,到期了之后在二级市场买回,归还给lender。而逆回购方的目的是融券,所以说是相反的。

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努力的时光都是限量版,加油!

考拉 · 2024年01月06日

对于正回购方来说,本来手中有100元,买了100元的债券,通过质押式回购交易给逆回购方,逆回购方给正回购方90元,正回购方拿着90元可以再去买债,这样正回购方相当于拥有了190元的债券,而它只有100元的自有资金,这就是杠杆的体现。【既然已经用100元买了100元债券,然后把债券回购交易出去,逆回购方再给正回购方90元,这个过程里,正回购方就只有90元现金啊,怎么会有了190元债券呢?】


security lending与逆回购是相反的,逆回购交易的目的是为了融钱买债,而正回购方交易的目的是为了借券卖出,是做空债券的方式。【这句话前面讲security lending和逆回购方相反,但后半句话都在讲逆回购方和正回购方的区别,security lending 和正回购方有什么关系? 】

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