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坏呼呼嘿嘿 · 2023年05月21日

请问卖出隔夜的回购协议具体怎么操作,对duration有什么影响

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NO.PZ202209060200004305

问题如下:

What trades can Moynahan most likely make to accomplish the objective outlined on page 5 of his presentation?

选项:

A.Enter into a fixed-rate payer swap contract B.Buy long bond futures contracts C.Sell an overnight repurchase agreement

解释:

Solution

B is correct. To accomplish Moynahan’s objective of increasing the investment exposure of a fully invested portfolio, he would buy long bond futures. Futures contracts embed significant leverage because they permit the counterparties to gain exposure to a large quantity of the underlying asset without having to actually transact in the asset.

A is incorrect because entering into a fixed-rate payer swap contract would not increase the portfolio’s investment exposure.

C is incorrect because selling an overnight repurchase agreement would not increase the portfolio’s investment exposure.

如题

4 个答案

pzqa31 · 2023年08月18日

嗨,从没放弃的小努力你好:


买回购协议相当于是借了短期资金,投资了长期资金,知道这个就行了。

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pzqa31 · 2023年08月18日

嗨,爱思考的PZer你好:


因为隔夜资金便宜啊,而且交易活跃容易借到,借短期就是为了去投长期赚钱的啊。

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坏呼呼嘿嘿 · 2023年08月18日

也就是说隔夜资金的用途一定是去投长期债

pzqa31 · 2023年05月22日

嗨,努力学习的PZer你好:


买回购协议相当于是借了短期资金,投资了长期资金,投资长期资金有正的duration,借短期资金有负的duration,长期投资duration>短期借贷duration,所以回购协议通过借短期、投长期,增加了duration exposure。反之,结束回购协议降低duration。

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坏呼呼嘿嘿 · 2023年08月18日

他就操作一天有必要这样干吗?他要是没投资长期资金怎么办

pzqa31 · 2023年05月21日

嗨,爱思考的PZer你好:


Repurchase agreement是站在债券的持有者,融资方的角度看的。

比方说A持有债券,把债券卖给了B,卖出价格是P0,约定1天后以P1买回债券。A就实现了这一天的融资,类似于“抵押”债券获得融资。利息就是P1与P0之间的差。

站在A的角度,A约定了将来回购债券,所以相当于签订了一个回购协议,称为Repurchase agreement

站在B的角度,这个动作刚好是反向的,因为B期初是借出钱拿到债券,合约到期时卖出债券,拿回钱,站在B的视角,就是相当于一个反向回购协议;所以称为Reverse repurchase agreement。


sell an Overnight repurchase agreement 是把原来的合约给结束了,所以duration就会降低而不是增加。


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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!

坏呼呼嘿嘿 · 2023年05月21日

进入一个repurchase agreement 相当于把债券卖掉了 duration下降,那结束掉这个合约不是把债券又赎回来,duration上升。

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