分级基金上市份额的折溢价问题研究.pdf

分级基金上市份额的折溢价问题研究 马刚 (齐鲁证券有限公司，山东济南 250001) 摘要: 分级基金两类上市份额在二级市场的交易价格均与其净值有较大的偏离，在A股市场投机气氛总体仍较浓厚的背 景下，分级基金的折溢价交易是一种常态，甚至有的投资品种会长时间维持较高的折溢价率而大幅度偏离其内在价值。 但由于所谓"配对转换"和由此导致的套利机制的存在，两类份额的折溢价率是相互制约和影响的. 因A份额本质是债 券，债券的价格由其到期收益率决定，而其到期收益率受收益率曲线制约. 因此， A份额的隐含收益率大体恒定， 折溢价 率稳定，在配对转换机制的作用下，会对B份额的折溢价率产生影响。 关键词: 分级基金;折溢价; 配对转换;套利 Abstract: There is a considerable deviation between tran saction price aud net value of two classi币ed li sted unit s of leverage funds in s巳condary market. Under the back ground of strong speculation atrnosphere , th ere is common to s巳e discount or premium transactioos of leverage funds. Moreover, some products maintain high discounts or premium s, which greatly deviate from their intriosic values. Because of the so-called "paired transformation" and the existence of arbitrage mechani sm, the rates of discount or premium are interacting and interrelated . A share is a bond , and its price is decided by yield to maturity , which is re stricted by the yield curve . Therefore, the implied yield of A share is substantially constant and the rates of di scount or premium are also stable , which would atfect the rates of discount or premium ofB shares under paired transformation mechaoism . Keywords: leverage Fund , the rates of di scount or premium , paired transformation , arbitrage 作者简介: 马刚，高级经济师，齐鲁证券研究所基金分析师，研究方向:证券投资基金与财富管理. 巾回分类号: F830.9 文献标识码: A 融资，通过向A份额支付|刮定收益而获取资金杠杆。 引言 述两类份额合并之后被称为母基金， A 、 B份额被 分级基金也被称为结构化基金，该类型基金的全部 称为子份额，因此，一只分级基金可以有三种份额，但并 资产被分为风险与收益截然不同的两种份额，一种是A份 不是所有分级基金都同时存在三种份额。 根据是否有存续 额.或称为优先份额、 稳健份额、低风险份额;另一种B 期，分级