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momo · 2023年11月12日

bid

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000016

问题如下：

Which of the following is correct regarding the single-price auction process?

选项：

A.

Bidders include only dealers and institutional investors.

B.

Competitive bidders who bid higher than the stop yield are allocated securities.

C.

All non-competitive bids are accepted, while competitive bids are ranked starting at the lowest yield (highest bond price).

解释：

C is correct. All non-competitive bids are accepted, while competitive bids are ranked starting at the lowest yield (highest bond price). A is incorrect because individuals can also bid, in addition to dealers and institutional investors. B is incorrect because competitive bidders who bid higher than the stop yield (lower price) do not purchase any securities. All securities are sold for a single price, using a stop yield.

这是讲义哪个知识点，怎么理解

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1 个答案

吴昊_品职助教 · 2023年11月12日

嗨，爱思考的PZer你好：


这个知识点是国债的发行，采用的是拍卖的形式：单一价格拍卖方式。具体参考基础班讲义P118页。

A错在only这个词，个人（individual）也可以参与竞价。

B选项：参与竞价的bidder，每个人报出自己的报价，总高到底依次满足，最后成交价是最低的那个价格。这个最低的价格对应的是最高的收益率，也就是stop yield，低于这个收益率的都能成交，高于这个收益率的都无法成交。所以B错。

C是正确的，所有non-competitive bidder都能成交，因为他们不参与竞价，他们直接接受最后的成交价。

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