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求助Fixed income原版书54第27题

Bonds financed by repurchase agreement have less liquidity risk than bonds held as part of a "buy-and-hold" strategy.

答案认为这句话是错误的,因为repurchase agreement expose investors to liquidity risk as the collateral used in the repo is marked-to-market periodically. "buy-and-hold" strategy是什么意思呢? 为什么这句话错了呢?不理解……

求助老师!

通过回购协议融资购买债券,相当于对这支债券有了一个额外条款,使得它比正常购买的债券有更低的流动性,即更高的流动性风险

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老师,这题的解释还是不是很明白,题目的答案里面说到了 repurchase agreement 买的bond相当于有collateral 是marked  to market periodically的,能不能具体解释一下,谢谢!

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老师,这题的解释还是不是很明白,题目的答案里面说到了 repurchase agreement 买的bond相当于有collateral 是marked  to market periodically的,能不能具体解释一下,谢谢!

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同学,你好!
你可以看一下Notes fixed income部分18页,有关repurchase agreement的解释。
其中有一句话,是the  collateral position of the lender/buyer in a repo is better in the event of bankruptcy of the dealer, since the security is owned by lender. 也就是说他有利于lender,相反,它对于investor来说就有更大的风险。 同时,以后在买回时,是需要付比原始买价要高的价格,同时还要付利息。而rupurchase agreement作为抵押品是期间性盯价的,就是说market value改变,它的价格就要随之改变,所以风险更大。

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