分级基金上市份额的折溢价问题研究

The Discount or Premium Transactions of Listed Units of Leverage Funds

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。

There is a considerable deviation between transaction price and net value of two classified listed units of leveragefunds in secondary market. Under the background of strong speculation atmosphere, there is common to see discount or premiumtransactions of leverage funds. Moreover, some products maintain high discounts or premiums, which greatly deviate from theirintrinsic values. Because of the so-called ＂paired transformation＂ and the existence of arbitrage mechanism, the rates of discount orpremium are interacting and interrelated. A share is a bond, and its price is decided by yield to maturity, which is restricted by theyield curve. Therefore, the implied yield of A share is substantially constant and the rates of discount or premium are also stable,which would affect the rates of discount or premium of B shares under paired transformation mechanism.