9-赵恒珩-分级基金及创新发展

9-赵恒珩-分级基金及创新发展
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

Development and Innovation Outlookof Separated FundsThe Innovation of Financial Product, Hwabao SecuritiesZhao Hengheng 2022年-9
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

分级基金发展和创新展望华宝证券金融产品与创新赵恒珩2022年-9 华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

目录一、Introduction of Separated Funds二、Characteristics of Separated Funds三、Development and Outlook of Separated Funds 华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

目录一、现有分级基金产品介绍二、现有分级基金产品特征总结三、分级基金产品发展展望
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

Introduction of Separated Funds1Classification of Separated
Funds2Typical Separated Funds
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

现有分级基金产品介绍1现有分级产品分类总览2现有典型的分级产品
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

Overview of Separated Fund ClassificationClassification Common Characteristics Representative ProductsBasic share can only be bought during subscription and redemption period. After issuing period, basic share is only traded in secondary market, so there is no arbitrage opportunity. Some closed-end Changsheng Tongqing, Guotai Guzhi, separated funds open for subscription and redemption on a regular Fullgoal Huili, Dacheng Jingfeng basis according to fund contract. Fund has certain duration, mostly 3 year and 5 year. When matures, it changes to LOF fund, no separated mechanism existing any more. Investors can subscribe and redeem basic share to link primary and secondary market. Basic share’s subscription and redemption modes are different. Currently, open-end separated funds are mainly invested in index and equity, separated bond funds are mostly openend. Return of low-risk share comes from periodic settlement, which can not really recover the principal. So the risk is slightly higher than fixed duration fund, which leads to a higher discount rate.By op era tio n mo de Open-end separated
fundClosed-end separated fundGuolianan Shuangxi CSI 100, Yinhua CSI 100, Shenwan SZSE Component Index, Xincheng CSI 500, Xingye Herun, Ruihe CSI 300, Jiashi DuoliBy typ e of inv est me ntSeparated fundUsually there is no distinguish between primary and secondary market in separated bond fund. Only traded in secondary market, separated bond fund can not use price difference between primary bond Dacheng Jingfeng, Fullgoal Huili, and secondary market to arbitrage. B s hare’s risk is relatively low. Tianhong Tianli, Jiashi Duoli, Taida Juli When implied yield of low-risk share is higher than money market interest rate over the same period, it is an ideal low-risk investment tool with low default
risk.Separated equity Is of strong flexibility, fund management ability matters, is not Changsheng Tongqing, UBS SDIC Ruifu, necessarily synchronized with the market Guotai Guzhi, Ruihe CSI 300 fund Separated fund indexPositive management, peg to an index, leverage mechanism makes Guolianan Shuangxi CSI 100, Yinhua B share change more than the tracking index, a good short-term SZSE 100 index, Shenwan SZSE dynamic tool when you have a correct judgment about market trend. Component Index, Xingye Herun
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

现有分级产品分类总览分类共同特点代表产品母基金只能在申购和赎回期购买，发行结束后母基金不能进行交易，只能通过二级市场买卖
分级份额，因此不具有套利机会。

市场上出现的一些契约封闭式分级基金，是在封闭期内按照合同规定，期内定期开放申购赎回。

基金有长盛同庆、国泰估值优势、富国汇一定的存续期，多为三年期和五年期，到期后大多转为普利、大成景丰等通LOF基金，分级机制不再延续。

低风险部分存在隐含收益率，当隐含收益率优于同期货币市场利率时，是较为理想的低风险投资工具、低风险部分的违约风险较小。

投资者在基金运作期间能够申购赎回母基金，从而实现一、二级市场联动。

不同的产品在母基金申赎方式上会有不同。

国联安双禧中证100、银华中证100、目前，采用开放式的分级基金多为指数型和股票型，而债申万深成指、信诚中证500、兴业券型多为契约开放式。

分级机制在正常情况下长期有效。

和润、瑞和沪深300、嘉实多利等低风险份额的收益来源于定期折算，不能真正收回本金，风险略高于固定存续期的，通常折价率较高。

通常分级债基没有分场内市场和场外市场，只在场内进行大成景丰、富国汇利、天弘添利、交易，这意味着分级债基无法像分级股基那样利用一二级嘉实多利、泰达聚利等市场的差价进行套利。

B类份额的风险相对较低。

灵活性较强，体现管理者的管理能力，与大盘并不一定同长盛同庆、国投瑞福、国泰估值优势、瑞和沪深300等步。

被动管理，钉住某一指数，杠杠机制使得B类份额涨跌幅大国联安双禧中证100、银华深100、于跟踪的指数，是在对市场走势有正确判断的前提下，较申万深成指、兴业合润等好的短线活力工具。

按照运作方式分封闭式分级基金开放式分级基金按照投资类型分债券型分级基金股票型分级基金指数型分级基金
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

Existing Typical Separated Products? C C ? C ? C C C Closed-end Equity Fund Changsheng Tongqing Separated Fund UBS SDIC Ruifu Separated Fund LOF Separated Fund Gtja-allianz Shuangxi CSI 100 Separated Fund Closed-end Bond Fund Tianhong Tianli Separated Bond Fund Jiasha Duoli Separated Bond Fund Fullgoal Huili Separated Bond Fund
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

现有典型的分级产品? 封闭式股票基金C 长盛同庆分级基金C 国投瑞银瑞福分级基金? LOF型分级基金 C 国联安双禧中证100分级基金? 封闭式债券基金 C 天弘添利分级基金债券 C 嘉实多利分级基金债券 C 富国汇利分级基金债券
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

? Closed-end Equity Fund? ? ? Basic share of closed-end equity fund is only traded in secondary market, there is no opportunity of arbitrage. Basic share also has fixed maturity date. Separated equity fund is of strong flexibility, requiring higher management ability, but it is not necessarily synchronized with the market. According to fund contract, some existing closed-end separated funds open for subscription and redemption on a
regular basis during the closed period.TongqingBasic share can only be traded in secondary market, so there is no opportunity of arbitrage. Has fixed maturity date 5.6% No adjustment 1.67 8.92%RuifuBasic share can only be traded in secondary market, so there is no opportunity of arbitrage . Has fixed maturity date 1-year bank deposit interest rate +3% Every year 2 6.50%GuzhiBasic share can only be traded in secondary market, so there is no opportunity of arbitrage . Has fixed maturity date 5.7% No adjustment 2 7.28%Trading RuleBenchmark yield When to adjust benchmark yield Initial leverage Current estimated annual yield of A share 华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

? 封闭式股票型分级基金? ? ? 封闭式分级基金在发行结束后母基金不能进行交易，只能通过二级市场买卖分级份额，因此不具有套利机会，具有固定到期日。

股票型分级基金灵活性较强，对管理者的能力要求较高，与大盘并不一定同步。

市场上出现的一些契约封闭式分级基金，是在封闭按照合同规定，期内定期开放申购赎回。

长盛同庆发行结束后母基金不能进行交易，只能通过二级市场买卖分级份额，因此不具有套利机会，具有固定到期日 5.6% 不调整 1.67 8.92%瑞福优先发行结束后母基金不能进行交易，只能通过二级市场买卖分级份额，因此不具有套利机会，具有固定到期日开放赎回日1年期银行存款利率+3% 一年 2 6.50%估值优先发行结束后母基金不能进行交易，只能通过二级市场买卖分级份额，因此不具有套利机会，具有固定到期日 5.7% 不调整
2 7.28%交易规则约定基准收益率基准收益率调整时间初始杠杆比率目前测算的A部分年化收益率目前测算的部分年化收益率
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

? Changsheng Tongqing Separated Fund? Basic Characteristic：The ratio of A share to B share is 4:6, and the initial leverage is ：1.67. The benchmark yield of Tongqing A(A share) is 5.6%. At the end of closed period, if basic share’s NAV exceeds 1.6, 10% of the part which exceeds 1.6 is allocated to Tongqing A. When basic share’s NAV falls below 0.4, Tongqing A begins to suffer a loss of the principal. Tongqing B(B share) enjoys full benefit after distribution of benchmark return rate, and 90% of the part which exceeds 1.6. Investment Value Analysis：：Tongqing A: now the implied yield is 8.92%,which is higher than 1-year bank deposit interest rate. Tongqing B: is traded at a discount all the time, may be due to the poor performance of secondary market. However, as one of earlier issued similar funds, conversion to LOF at maturity date(May 2022年) will make Tongqing B’market price converge to its NAV. As the maturity date approaches, high discount traded B share begins to reveal investment value. By the end of 17th August, Tongqing B is traded at a discount of 3.8%,Tongqing A is traded at a discount of 2.66%, overall discount rate is 3.28%.? C CC
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未
来发展进行展望。

? 长盛同庆分级基金? 基金特征：基金特征：A、B类份额约定比例为4：6，初始杠杆率为1.67。

同庆A约定年基准收益率 5.6%，在封闭期末，当整体同庆基金净值高于1.6元时，高于1.6以上部分中分配10%给同庆A。

当整体同庆净值下跌到0.4以下时，同庆A开始遭受本金损失。

同庆B享有基准收益分配后的全部收益和超出1.6元以上收益的90%。

投资价值分析：投资价值分析：C 同庆A：目前隐含收益率为8.92%，明显高于一年期银行存款利率。

C 同庆B：一直保持折价，可能源于其上市以来，二级市场表现欠佳。

然而作为发行较早的同类基金，到2022年5月，封闭期结束后将转为LOF基金的机制会促进同庆B的
市场价格逐渐向其净值收敛，随着到期日的逐渐临近，一直处于高折价状态的同庆B 投资价值开始显现。

C 截止时8月17日，同庆B折价
3.8%，同庆A折价2.66%，整体折价3.28%。

?
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

? UBS SDIC Ruifu Separated Fund??A special closed-end separated fundThe ratio of A share to B share is 1:1, and initial leverage is 2. When fund contract comes into effect, A share opens yearly for investors’ subscription and redemption. At the end of open period, the numbers of A share and B share will be re-determined according to A share’s subscription and redemption volume. The benchmark yield of A share is one-year bank deposit interest rate(adjusted every year) plus 3%. Yield
exceeds the benchmark yield is distrusted to A and B share respectively with the ratio of 1:9. A share is closed-end, opens for subscription and redemption yearly. B share is traded on secondary market as other closed-end funds.?CInvestment value Analysis ：Strength：From external feature to intrinsic operation mechanism, B share absorbs the ：advantages of priority equity, floating-rate bond, principal-guarantee fund and trust fund. Lowrisk tolerance investors can have certain protection of stable return, meanwhile do not miss the opportunity of making excess return. Besides, in closed period of 1 year, volume of A share is fixed, and leverage is stable for B share’s investors. Weakness：Closed mechanism of A share strengths its closed-end bond feature. Although A ：share has priority guarantee as long as there is invest income, but it can not rule out when a particular year has a loss, return will be complemented in later profitable year. But this mechanism do not necessarily guarantee absolute safety of principal and return.C
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

? 国投瑞银瑞福分级股票型基金??特殊的封闭式股票分级基金A、B 类份额约定比例为1：1，初始杠杆率为2。

《基金合同》生效后,瑞福优先将每年开放一次, 接受基金投资者的集中申购与赎回,开放日结束后,两级基金的基金份额配比将根据瑞福优先的申购份额与赎回份额实际成交确认情况重新进行确定。

瑞福优先年基准收益率为1年期银行定期存款利
率+3%，每年调整一次，超出瑞福有限基准收益分配的剩余部分由瑞福优先和瑞福进取按照1：9比例共同参与分配。

A类份额属于封闭式的，一年开放一次申购赎回，B类可在二级市场上正常交易。

?投资价值分析：投资价值分析：C 优势：优势：B份额从外在的产品特色到内在的运作机制大体上吸收了优先股、浮息债、保本基金和信托产品的优势，让风险承受能力低的投资人，在拥有对稳定收益的一定保护的同时，又不会错失股市中超额收益的机会。

同时，在A类份额一年的封闭期内，A 类总体份额稳定，对于B类投资者来说，杠杆率稳定。

劣势：劣势：瑞福优先A封闭机制，使得其封闭式债券特征得到强化。

虽然瑞福优先只要在当年有投资收益的情况下都会得到优先保障，但不能排除某年会有亏损的情况,但在往后有收益的年份里，其收益将会得到补足。

但这样的设计不表示一定会保障本金和收益的绝对安全。

C
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

? Separated LOF Fund? LOF fund can not only be subscribed and redeemed in primary market, but also traded in secondary market. Its feature of pair conversion, refers to split or merger arbitrage, usually can bring arbitrage gain to investors just as extra bonus. If investors take combined investment strategy of “long-term neutral holding and short-term a rbitrage trading”, additional benefits will be gained besides expected average market return. Therefore, for long-term neutral holding investors, LOF separated fund is better than closed-end separated fund.
The main difference between this kind separated fund and closed-end separated fund is that LOF separated fund does not have a fixed maturity date and is a permanent existing fund. Thus, A share has two parts of return, that is, benchmark yield and yield corresponding to discount rate. The risk lies in uncertainty and illiquidity bring by the periodic settlement and point settlement. Funds of this class are: Gtja-allianz Shuangxi CSI100 separated fund, Xingye Herun separated fund, Yinhua Shenzheng 100 index separated fund, Swsmu Shenzheng Chengzhi separated fund.?
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

? LOF型分级基金型分级基金? 该类基金既能在场外申购赎回，也能在场内买进卖出，并且都带有配对转换功能。

LOF 型分级基金都有分拆或者合并套利的功能，这对投资者来说经常能带来套利收益，可以认为变相获得了额外分红。

投资者如果持“长期中性持有+短期套利交易”相结合的复合投资策略，除了能获得预期的市场平均收益之外，还能获得很多额外套利的收益。

因此，对于长期持有的中性投资者来说，LOF型分级基金是比封闭式分级基金更好的投资标的。

与封闭式分级基金的区别在于此类型的分级基金不具有固定到期日，为永续型分级基金。

因此，A 类份额的收益源于约定收益和折价率对应的收益率两部分，风险点在于定期折算和定点折算带来的不确定性及变现风险。

目前市场上此类分级基金有：国联安双禧中证100分级基金、兴业合润分级股票型基金、银华深100分级基金、申万巴黎深成指分级基金。

?
华宝证券对国内的分级基金做了一个总体的介绍,并对分级基金的未来发展进行展望。

? Gtja-allianz Shuangxi CSI 100 Separated Fund? Basic Characteristic: The ratio of A share to B share is 4:6, and initial leverage is 1.67. Within the context of fund contract, Shangxi basic share’s subscription and redemption can be refused or suspended. The benchmark yield of A share is one-year bank deposit interest rate(after tax) plus 3.5%. The yield is adjusted every 3 years, now the annual fixed yield reaches to 5.75%. B share enjoys remaining full benefit after benchmark yield distributed to A share. Market Transaction：As there is no fixed maturity, A share’s risk is higher than typical separated equity fund which has fixed maturity, so it is not very attractive for robust investors. Therefore, A share usually exhibits large discount rate. Under leverage mechanism, B share is a good tool for short-term profit, thus is always traded at a premium. Investment Value Analysis: Because this fund’s performance tracks an index, so it has a high correlation of market trend. Based on the judgment of market trend, this fund is an ideal tool for short-term profit. On the other side, loss will also be leveraged if investors misjudge the trend. Also, different products designed to track different indexes. As compositions are different, so are the profitability , investor should pay attention to this.???。