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1111 · 2025年01月05日

请问题目中的repurchase不是融资回购/整回购吗？这里是不是应该是reverse repurchase即逆回购才对

  1. CFA III
  2. Fixed Income

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.

请问题目中的repurchase不是融资回购/整回购吗？这里是不是应该是reverse repurchase即逆回购才对，等于后面的security lending

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1 个答案

发亮_品职助教 · 2025年01月05日

有点问题。

repurchase agreement = repo，这是正回购，正回购是融资行为。

记忆的话就是repo是融资。


reverse repurchase = reverse repo，这是逆回购，逆回购是融券行为。比如，我们在一二级经济学学过，央行执行逆回购，即，央行把商业银行的国债买过来（融券行为），同时，把钱交给商业银行，增加市场流动性。

央行是获得债券的一方（融券），所以站在他的角度是逆回购。


这里是统一的，三级建议不用记正回购还是逆回购。直接记忆repo=融资一方

reverse repo等于融券一方。然后再去分析现金流的方向。


像这道题，我们作为投资者，执行repo（repurchase agreement），把债券抵押出去融资，这就获得了杠杆。


security lending这个词有可能表示是融资，也有可能表示是融券。就单从security lending这个词看，不知道方向，所以要结合具体的语境。

以融券为目的的security lending（相当于reverse repo的一方）

以及以融资为目标的security lending（相当于repo的一方）


题目说repurchase agreement和security lending可以获得杠杆完全没有问题！

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