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1、CHAPTERFORTY-FIVEFINANCINGPOSITIONSINTHEBONDMARKETFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversitySTEVENV.MANN,PH.D.ProfessorofFinanceMooreSchoolofBusinessUniversityofSouthCarolinaLeveragingstrategiesrequirethataninvestorbor
2、rowfunds.Thereareseveralwell-establishedarrangementsinthebondmarketforborrowingfunds.Themostcommonpracticeistousethesecuritiesascollateralforaloan.Insuchinstances,thetransactionisreferredtoasacollateralizedloan.Inthischapterwewilllookatthefourtypesofcollateralizedloansinwhic
3、hthecollateralisabond:repur-chaseagreement,dollarroll,securitieslending,andmarginbuying.Acollateralizedloanisnottheonlymechanismavailabletoaninvestorforcreatingleverage.Derivativecontractsareinstrumentsthatallowaninvestortosyntheticallycreateleverage.Thisissobecauseaderivati
4、vecontractallowsaninvestortoobtaingreaterexposuretoaspecificbondissuerperdollarinvestedthanthesamedollaramountinvestedinthecash-marketinstrument.Forexample,theinitialfuturesmarginthataninvestormustmaketoobtainalongpositioninaTreasurybondfuturescontractcreatesanexposuretoTreas
5、urybondsmuchgreaterthantheexposureifthatinitialfuturesmarginwereusedtopurchaseTreasurybonds.Inthecaseofaninterest-rateswap,considerthefixed-ratereceiver’sposition.Thispartyiseffectivelyborrowingonafloating-ratebasistoobtainexposuretoafixed-ratebondpositionwheretheparvalueofthat
6、bondpositionisequaltotheswap’snotionalamount.Similarly,therearecash-marketinstrumentsthathaveembeddedleverage.Forexample,aninversefloaterposi-tionisequivalenttoborrowingfundsonafloating-ratebasisinordertoobtainafixedrate.1047Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGr
7、aw-HillCompanies,Inc.Clickherefortermsofuse.1048PART6BondPortfolioManagementREPURCHASEAGREEMENTArepurchaseagreement,orsimplyrepoagreementorrepo,isthesaleofasecu-ritywithacommitmentbythesellertobuythesamesecuritybackfromthepurchaserataspecifiedpriceatadesignatedfuturedate.Thep
8、riceatwhichthesellersubsequentlymustrepurchasethesecurityiscalledtherepurch
