所以,Rebate rate是债券borrower收到的净现金流,borrower收到collateral earning rate,付出security lending rate,正常情况下rebate rate是正的,也就是borrower其实是收现金流的,但如果券难借的话,security lending rate会很大,导致rebate rate为负,也就是borrower完全是净流出状态,borrower除了放弃collateral earning rate...
Rebate rate = Collateral earnings rate – Security lending rate 所以对于Dealer而言,干脆就不把抵押物所有的Coupon income归还给我们了,Dealer会直接把应收的Security lending rate扣掉,归还给我们一个净额即可。这个净额就是Rebate rate。 一般而言,抵押物赚取的收益是大于Security lending rate的,所以我们做Security l...
我搜了一下原版书，并未找到collateral reinvestment risk，这个我还不敢确定具体指的是哪方面。方便的话...
It is open to a specific group of customers and is not provided to all customers, unlike other marketing strategies like discounts. One of the major differences is that it is provided only when the purchase reaches a specific limit. Therefore, customers buy a little extra to be eligible for...
Rebate rate = collateral earnings rate - security lending rate rebate rate是站在Lender角度退还的金额哈。 如果抵押物产生的收益collateral earnings rate更大,则rebate rate为正,意思是lender退还一个正金额。 如果抵押物产生的收益collateral earnings rate更小,则Rebate rate为负,意思是lender退还的金额为负,退还...
Rebate rate = collateral earnings rate - security lending rate rebate rate是站在Lender角度退还的金额哈。 如果抵押物产生的收益collateral earnings rate更大,则rebate rate为正,意思是lender退还一个正金额。 如果抵押物产生的收益collateral earnings rate更小,则Rebate rate为负,意思是lender退还的金额为负,退还...
这个净额就是Rebate rate。 一般而言,抵押物赚取的收益是大于Security lending rate的,所以我们做Security lending,Dealer会归还给我们一个Rebate rate。 注意,即便Dealer给我们支付Rebate rate,Dealer也不会亏。因为,我们的抵押物债券A,假设Coupon rate = 8%,如果我们不抵押能收到8%的收益,现在抵押做Security lending...
Rebate rate是债券borrower收到的净现金流,borrower收到collateral earning rate,付出security lending rate,正常情况下rebate rate是正的,也就是borrower其实是收现金流的,但如果券难借的话,security lending rate会很大,导致rebate rate为负,也就是borrower完全是净流出状态,borrower除了放弃collateral earning rate以外,...
另外,我自己在梳理的时候有点点想不明白,也就是short rebate rate的来由与归属问题:short seller把卖空股票的钱抵押在broker中介那里,中介拿去投资,扣掉给lender的租券利息以及中介的服务费,把剩下的钱给short seller,所以这剩下的(investment interest-implicit loan fee)就是short rebate rate。那中介投资所得究竟...
Exhibit 1中7年公司债的收益率4%做抵押,然后需要通过Repo agreement 做融资。所以collateral rate为4%, security lending rate为2%歪fine朱 · 2020年10月08日 rebate rate的本质能否看作short seller在security lending中赚取的收益抵减抵押损失的opportunity cost后的净收益...