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worldcup · 2024年02月03日

请问Repo的long/short方怎么判断啊?

NO.PZ2023032703000010

问题如下:

Danny Moynahan, CFA, is a fixed-income portfolio manager at Reagan Investment Advisory (Reagan). He agrees with his wife, a professor of investments class, to talk to her class about managing fixed-income portfolios. He plans to put together six pages for his discussion.

Tom Gayle, Moynahan’s superior, stops by Moynahan’s office. Moynahan shares his presentation with Gayle. Moynahan and Gayle discuss about the presentation and debate several potential subjects to include on page 5. Gayle suggests assessing the use of leverage in the portfolios. They decide to present a scenario where the portfolio is fully invested, but given their outlook for a decline in interest rates, they want to increase the portfolio’s investment exposure. The portfolio and the benchmark both currently have the same duration.

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:

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.

上课的时候好像没有强调哪一方是long,哪一方是short

2 个答案
已采纳答案

pzqa31 · 2024年02月05日

嗨,努力学习的PZer你好:


sell an Overnight repurchase agreement 是把原来的合约给结束了,意思就是原来进入了一个repo,现在要把它结束掉。


严格来讲,repo交易双方应该叫正回购方和逆回购方, repo就是将债券抵押给资金贷出方,获得资金,最后归还资金本息以赎回债券。从交易发起人的角度出发,凡是抵押出债券,借入资金的交易就称为进行债券正回购交易;凡是主动借出资金,获取债券质押的交易就称为进行逆回购交易。正回购方就是抵押出债券,取得资金的融入方;而逆回购方就是接受债券质押,借出资金的融出方。

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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!

pzqa31 · 2024年02月04日

嗨,从没放弃的小努力你好:


因为repo肯定是存在交易双方的,至于是Long还是short,要看具体题目描述,还有就是根据交易目的来判断。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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