【申·原创】吃透债券通用质押式回购这一篇就够了

Core Viewpoint - The article discusses the importance of the General Pledged Repo (referred to as "General Repo") as a key tool for liquidity management and funding for investors within the multi-tiered bond pledged repo system [2]. Group 1: General Repo Business Model - General Repo allows financial institutions to pledge eligible bonds as collateral to secure financing, with the value of the pledged bonds calculated based on a specific discount rate [4]. - The transaction involves two parties: the repo seller (who pledges bonds and receives funds) and the repo buyer (who provides funds) [4]. - Individual investors typically participate as repo buyers in General Repo transactions [4]. Group 2: Transaction Elements - The General Repo has various terms ranging from 1 day to 182 days [6]. - Different exchanges have specific securities codes for General Repo transactions, with Shanghai Stock Exchange codes starting with "204" and Shenzhen Stock Exchange codes starting with "1318" [7]. - The transaction can be executed through various methods, including matching, click trading, and negotiated trading, with specific minimum transaction amounts for each method [8][11]. Group 3: Pricing and Settlement - General Repo operates on a "one transaction, two settlements" basis, consisting of an initial settlement and a final settlement [9]. - The initial settlement price is set at 100 yuan, while the final settlement price includes the principal and interest based on the agreed annual yield [10]. - The actual holding period is calculated from the initial settlement date to the final settlement date, measured in calendar days [13]. Group 4: Risk Characteristics - There are potential risks associated with participating in General Repo transactions, including the inability to redeem repos before maturity, which may affect liquidity [14]. - The yield on reverse repos is closely tied to market interest rates, and rising rates may lead to lower relative yields for existing reverse repos [14]. - Operational errors during transactions, such as incorrect direction or pricing, can result in losses for investors [14]. - Counterparty risks exist, where the repo seller may default, leading to potential principal losses for the repo buyer [15].