证交所国债买断式回购交易的风险研究

On the risk analysis of treasury bonds out right repo in the stock exchange

国债买断式回购的推出衍生了抛补套利、循环融券卖空、债券组合交易、买断式回购组合交易这几种新的主要交易模式,丰富了投资者的交易手段,然而,这些新的交易模式将容易引发做空风险、流动性风险和更大的信用风险,在分析这些风险的基础上,提出了建立健全保证金制度、信用评估制度以及制定严格的交易规则等风险防范对策。

The introduction of treasury bonds outright repo adds some new trading model,including covered interest arbitrage,circulation sales short of financing bonds,combinating bonds trade and outright combinating trade,enrichs trading patterns.however,these new trading models are apt to trigger risk of short sales,liquidity risk and credit risk.Analyzing these risks,this paper proposes some risk-warding suggestion,such as security deposit system,reputation valuation system and formulating strict trading rules.