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JK_MMMM · 2022年04月17日

请问一下repo的话,interest是还能拿到吗?

NO.PZ2020011303000023

问题如下:

Explain how a dollar roll works and why it is different from a repo as a way of using securities that are owned to borrow money.

选项:

解释:

A dollar roll involves raising funds by selling a pool in one month and buying a similar pool back the following month. Properties such as coupon, principal, and maturity are specified but the party with a short position chooses the actual pool that will be delivered. This means that the pool that is received during the second month may be different from the one sold during the first month. This is one difference between a dollar roll and a repo. The other difference is that interest does not have to be added to the price paid in the second month because the trader who sells and then buys loses one month of MBS income,while the trader on the other side gains one month of MBS income.

老师您好,


我理解了Dollar roll拿不到int。在解析里最后一句话是说如果是repo的话interest 就能够拿到吗?

1 个答案

DD仔_品职助教 · 2022年04月17日

嗨,努力学习的PZer你好:


repo和dollar roll是不一样的,repo是缺钱的一方以一个低价卖出证券,从而获得资金,到期之后以期初约定好的价格再把这个证券买回来,这个回购价是会高于期初的卖价的,这个价差其实就是int,只要完成了repo期初卖期末买的这一整个过程,这个int是可以拿到的。

repo是针对的同一个证券在做买卖,和dollar roll不同,dollar roll是可以使用类似的资产池的,但是repo不行。

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