近期A股震荡走低，权益类基金的净值均不同程度下跌，然而分级基金独特的产品设计机制，使得在A股震荡下跌时约定收益份额或将存在一定的投资机会。为此，我们尝试为投资者进行分析这类基金可能存在的投资机会。⊙华泰证券(601688,股吧)金融产品研究评价中心 王乐乐

The recent a-share shock slump，Rights and interests kind of fund net worth are different degree down，However classification fund unique product design mechanism，Make in the A shares shocks down when the agreement income share or will have some investment opportunities。therefore，We tried to for investors to carry on the analysis of this kind of fund possible investment opportunities。⊙ huatai securities(601688,guba)Financial product research and evaluation center WangLeLe

　　

1 分级基金的约定收益份额简介 1 grade fund agreement income share profile

　　权益类分级基金一般将母基金净值划分为约定收益份额和杠杆份额，其中约定收益份额通常获取给定的约定收益率，一般为：1年定存上浮一定的幅度（比如：1年定存+3.5%等），或某一固定收益率，那么约定收益份额可以看作为类似固定收益产品。

Rights and interests kind classification funds generally will be the mother of fund net value is divided into contract revenue share and lever share，The income share is usually agreed for a given agreed rate of return，generally：1 year time deposit floating a certain range（For example：1 year time deposit + 3.5%, etc），Or a fixed rate of return，So agreed income share can see as similar fixed income products。

　　根据分级存续期是否有限，约定收益份额分为有限分级存续期（简称“有限期”）、无限分级存续期（简称“永续”）两种，其中有限期约定收益份额类似于有限期债券，而永续约定收益份额类似于无限期债券，然而分级基金的某些条款（比如向下不定折算、同涨同跌、向上不定期折算等）使得永续约定收益份额的复杂程度远高于无限期债券。

According to the classification whether during the limited，Income share agreed are classified into the limited during the classification（Referred to as“A deadline”）、During the infinite classification（Referred to as“sustainable”）Two kinds of，One deadline contract revenue share similar to a deadline bonds，And sustainable agreed income share similar to indefinitely bonds，However classification fund some terms（Such as downward indefinite reduced、With a fall with、Upward tramp reduced, etc）Make sustainable income share agreed upon the complexity of the bond is far higher than indefinitely。

　　截至8月17日永续约定收益份额均折价交易，折价率最高的是申万收益，为29.01%；折价率最小的是银华瑞吉，仅为0.96%。约定收益份额的折价率高低和约定收益率呈现负相关性，即：约定收益率为1年定存上浮3%基金的平均折价率最低，约定收益率为1年定存上浮4%基金的折价率最低，仅为0.96%。

As of August 17 sustainable agreed income share all trade at a discount，Discount rate is highest is "all income，Is 29.01%；Discount rate minimum is silver huarui auspicious，Is only 0.96%。Contract revenue share discount rate discretion and agreed rate of return is a negative correlation，namely：Agreed rate of return for 1 year time deposit rise 3% the average fund discount rate lowest，Agreed rate of return for 1 year time deposit rise 4% fund discount rate lowest，Is only 0.96%。

　　相比之下，有限期约定收益份额多溢价交易。目前有限期约定收益份额的期限分为三年、五年两种，约定收益率为1年定存+3.5%或某一固定常数。截至8月17日除了金鹰中证500A之外，其他有限期约定收益份额的溢价率在1%左右。

Compared with，A deadline contract revenue share many trade at a premium。There are deadline contract revenue share period is divided into three years、Five years two，Agreed rate of return for 1 year time deposit + 3.5% or a fixed constant。As of August 17, in addition to platinum 500 a demonstrated outside，Other deadline contract revenue share of the premium rate at about 1%。

　

　2 权益类分级基金多具有向下不定期折算机制 2 rights and interests kind classification fund has more downward tramp reduced mechanism

　　我们知道，约定收益份额优先从母基金中获取约定收益。当市场大幅下跌时，分级基金存在母基金净值可能不足以支付约定收益的可能。为了应对这种可能性，分级基金一般采用三种处理方式：

We know that，Contract revenue share priority from mother to fund agreed income。When the market falls sharply，Hierarchical fund exists mother may not be able to fund net value, agreed to pay income may be。In order to deal with this possibility，Hierarchical funds generally use three processing mode：

　　（一） 向下不定期折算，即：当杠杆份额或母基金净值小于等于某一阀值时，约定收益份额和杠杆份额的净值调整1元，份额也同比例调整。为了保证折算前后，约定收益份额和杠杆份额的份额比不变，多余的约定收益份额按照净值折算为母基金份额，投资者可以直接赎回兑现这部分收益（参见图2）。目前权益类分级基金多采用这种方式。

（a） Downward tramp reduced，namely：When the lever share or the mother fund net worth less than or equal to a valve value，Contract revenue share and lever share of the net adjustment 1 yuan，Share with proportion adjustment。In order to guarantee before and after conversion，Contract revenue share and lever share share ratio unchanged，The terms of the excess revenue share according to net value reduced for mother fund share，Investors can direct redemption cash this part of the revenue（See figure 2）。At present more rights and interests kind classification fund by this way。

　　（二） 同涨同跌，即：当杠杆份额的净值低于某一阀值时，约定收益份额和杠杆份额的净值按照相同的比例同涨同跌，然而当市场上涨使得杠杆份额的净值达到阀值时，分级基金优先弥补约定收益的累计约定收益。目前采用该方式的权益类分级基金仅有申万深成指分级。

（two） With a fall with，namely：When the lever share equity falls below a certain valve value，Contract revenue share and lever share of the net value according to the proportion of the same with the rise and fall，However, when the market share of the net increase pushed the lever to valve value，Hierarchical fund first compensate for the accumulative total agreement agreed income gains。Currently USES the way of the rights and interests kind classification fund only "all shenzhen composition index classification。

　　（三） 杠杆份额全额担保，即：若基础市场下跌使得约定收益份额不足以从母基金中获得约定收益，杠杆份额的净值减小为0元。若市场进一步下跌，约定收益的净值和母基金的净值就同步下跌。目前采用该方式的权益类分级基金仅有国泰估值分级。

（three） Lever share full guarantee，namely：If the market fall foundation that agreed to share earnings from mother funds get agreed income，Lever share of the net be reduced to 0 yuan。If the market further to fall，Contract net earnings and mother of fund net worth drop simultaneously。Currently USES the way of the rights and interests kind classification fund only cathay valuation classification。

　

　3 “市场下跌+向下不定期折算”催生的投资机会 3 “The market fell + downward tramp reduced”Ecbolic investment opportunities

　　近期A股震荡走低，权益类基金的净值不同程度下跌，使得部分基金距离触发向下不定折算越来越近，永续约定收益份额的折价交易和向下不定折算机制共同催生了约定收益份额的投资机会。

The recent a-share shock slump，Rights and interests kind of fund net worth fell to different extent，That part of the fund distance trigger downward indefinite reduced more and more nearly，Sustainable agreed income share of the trade-ins and downward indefinite reduced mechanism common led agreed income share of investment opportunities。

　　触发向下不定期折算使得约定收益份额产生一种类似“分红”效应，特点在于：（1）永续约定收益份额多为折价交易；（2）在进行向下不定期折算时，永续约定收益份额的大部分净值将折算为母基金收益，投资者可以直接将其赎回。这就意味着，投资者以折价买入约定收益份额，然而在触发向下不定折算后，约定收益份额的大部分资产按照净值赎回，从而产生了一定的折算收益。

Trigger downward tramp reduced makes agreed income share to produce a similar“Share out bonus”effect，features：（1）Sustainable income share agreed to trade at a discount；（2）In the downward tramp when reduced，Sustainable agreed income share of the net value of most will be reduced for mother fund income，Investors can direct the redemption。This means that，Investors to buy discount contract revenue share，However, in the trigger downward indefinite after conversion，Contract revenue share most of the assets in accordance with the net redemption，So as to produce a reduced income。

　

　（一）影响向下不定期折算收益的因素 （a）Influence downward tramp reduced income factor

　　经过向下不定折算之后，原约定收益份额折算为“新约定收益份额”+“母基金份额”。根据约定收益份额预期折算收益计算公式：（新约定收益份额净值*（1-预期折价率）+母基金份额净值*（1-赎回费率））/（折算前约定收益份额净值*（1-当前折价率））可知，约定收益份额的预期折算收益的影响因素有：约定收益份额的当前折价率、折算后新约定收益份额的预期折价率、赎回费率等。

After downward indefinite after conversion，The original contract revenue share reduced for“The new contract revenue share”+“Mother fund share”。According to the agreed income share expected reduced income calculation formula：（The new contract revenue share equity *（1 - expected discount rate）+ mother fund net value of share of *（1 - redemption rate））/（Convert agreed before the net value of share of income *（1 - the current discount rate））known，Contract revenue share expected reduced income influence factors have：Contract revenue share current discount rate、Reduced after new contract revenue share expected discount rate、Redemption rate, etc。

　　约定收益份额当前折价率越高，向下不定期折算预期收益越高。这意味着折价率越高的约定收益份额，向下不定折算相对越有利。值得一提的是，对于当前溢价交易的约定收益份额，向下不定期折算则是一种利空，因此本报告主要关注折价率相对较高的永续约定收益份额。

Contract revenue share the current discount rate is high，Downward tramp reduced expected the higher the return。This means that the higher the discount rate of the agreement of the income share，Downward indefinite reduced relatively more favorable。Be worth what carry is，For the current premium trading agreement income share，Downward tramp reduced is a kind of bad，This report mainly focus on discount rate relative higher sustainable agreed income share。

　　折算后新约定收益份额的预期折价率具有一定的不确定性。一般我们利用约定收益份额的历史平均折价率来近似作为折算后新约定收益份额的预期折价率，并进行敏感性分析。

Reduced after new contract revenue share expected discount rate has certain uncertainty。Generally we use contract revenue share of the historical average discount rate to approximate as reduced after new contract revenue share expected discount rate，And sensitivity analysis。

　　母基金的赎回费率相对较为固定，一般为0.5%。

Mother fund redemption rate are relatively fixed，The general was 0.5%。

　　一般来说，由于存在向下不定期折算预期收益，在临近向下不定折算时，约定收益份额的价格会持续走高、当前折价率收窄，使得约定收益份额折算收益持续减小，比如近期价格走强的银华金利。理论上来说，若向下不定期折算预期较为确定，那么折算前后将不存在套利收益，然而实际上，向下不定期折算存在一定的不确定性，折算前后或将存在一定的收益空间。

Generally speaking，In the presence of downward tramp reduced expected return，Near the downward indefinite reduced when，Contract revenue share price will continue to go up、The current discount rate narrow，Make contract revenue share reduced income continuous decrease，For example the recent prices strong silver HuaJinLi。Theoretically speaking，If the downward tramp reduced expected more sure，So before and after the conversion will not exist arbitrage income，However in fact，Downward tramp reduced has certain uncertainty，Before and after the conversion or will exist certain profit space。

　

　（二）约定收益份额折算收益 （two）Contract revenue share reduced income

　　根据分级基金的阀值和当前净值可知，截至8月17日银华金利距离向下不定折算最近，即：银华等权重90净值下跌5.07%；其次是信诚中证500A、银华稳进等（参见下表）。

According to the classification of fund valve value and the current net worth it，As of August 17 RiYin HuaJinLi distance downward indefinite reduced recently，namely：Such as Yin weight 90 net worth fell 5.07%；The second is enhanced xincheng daguang 500 a、Stability mechanism into, etc（See the table below）。

　　我们利用约定收益份额今年以来的平均折价率来近似作为折算后新约定收益份额的预期折价率，可以看到：银华金利的预期折算收益最低，仅为8.12%，这可能是由于银华金利距离向下不定折算较近，前期已经有部分投资者已经开始布局银华金利的向下不定期折算。

We use contract revenue share since this year average discount rate to approximate as reduced after new contract revenue share expected discount rate，Can see：Silver HuaJinLi expected reduced income minimum，Is only 8.12%，This may be due to silver HuaJinLi distance downward indefinite reduced nearer，Early days had some investors have begun to layout silver HuaJinLi downward tramp reduced。

　　除了银华金利之外，信诚中证500A的预期折算收益为12.97%，银华稳进的预期折算收益为17.14%等等（参见下表）。

In addition to HuaJinLi silver outside，Citic prudential has 500 a expected reduced income is 12.97%，Yin stability into expected reduced income is 17.14%, etc（See the table below）。

　　折算后新约定收益份额的预期折价率变动对向下不定折算收益的影响有限，这是由于向下不定期折算后，约定收益份额的大部分净值资产折算为母基金，而新约定收益份额的净值资产占比较小，大约在25%左右，这部分资产折溢价率变动对向下不定折算收益影响较小。比如：折算后银华金利的预期折价率在平均折价率基础上浮20%，那么银华金利的预期折算收益降低为7.42%，若折算后银华金利的预期折价率在平均折价率基础上浮10%，那么银华金利的预期折算收益降低为7.77%。

Reduced after new contract revenue share expected discount rate change on downward indefinite reduced income has limited impact，This is because the downward not regularly after conversion，Income share agreed most of the net assets reduced for mother fund，The new contract revenue share of the net value of assets relatively small，At about 25%，This part of the assets folding premium rate change on downward indefinite reduced income less effect。For example：After the conversion of silver HuaJinLi expected discount rate in the average discount rate basis rise 20%，So silver HuaJinLi expected reduced income reduced to 7.42%，If reduced after silver HuaJinLi expected discount rate in the average discount rate basis rise 10%，So silver HuaJinLi expected reduced income reduced to 7.77%。

　

　4 约定收益份额的定位与风险分析 4 agreed income share of the positioning and risk analysis

　　约定收益份额的向下不定折算依赖于市场的下跌幅度，具有一定的不确定性。当投资者对向下不定折算已经有所预期（比如：银华金利），那么它的价格可能走逐渐走高、降低预期折算收益。若市场在约定收益份额触发向下不定期折算之前回升，那么约定收益份额的向下不定折算预期就将落空，约定收益份额可能面临折溢价率回归的风险。

Income share agreed downward indefinite reduced depends on the market declines，Has certain uncertainty。When investors to downward indefinite reduced have been expected（For example：Silver HuaJinLi），Then its price may go gradually go high、Lower expectations reduced income。If the market in terms of income share trigger downward tramp convert back before，So agreed income share of the downward indefinite reduced expectations will fall to the ground，Contract revenue share may face the risk of folding premium rate regression。

　　一般来说，约定收益份额主要作为低风险投资者的长期持有品种，定期（一年或三年）获得约定收益，而它的向下不定期折算为约定收益份额获得额外收益提供了一种可能性。在短期内是否能触发向下不定折算具有一定的不确定性。

Generally speaking，Contract revenue share mainly as a low risk of long-term investors holding varieties，regular（One or three years）Get agreed income，And its downward tramp translated into the income share agreed to get extra income provides a possibility。In the short term can trigger downward indefinite reduced has certain uncertainty。

　　从长期来看，触发向下不定折算具有较大的可能性，尤其是对于具有向上不定折算的约定收益份额。原因在于：

In the long run，Trigger downward indefinite reduced has a greater possibility，Especially with upward indefinite reduced agreement income share。Reason lies in：

　　约定收益份额优先从母基金中获得约定收益，目前约定收益份额的约定收益率多为1年定存+3.5%。按照当前年定存3%计算，约定收益份额每年从母基金中获得仅6.5%左右的收益。即使母基金净值不变（市场不涨不跌），受约定收益份额每年约定收益的侵蚀影响，约定收益份额也将逐渐接近向下不定折算。

Contract revenue share priority from mother funds get agreed income，At present contract revenue share of the agreed rate of return for more than 1 year time deposit + 3.5%。According to the current year fixed deposit 3% computation，Income share agreed a year from mother funds get only income of around 6.5%。Even though the same fund net value（The market does not rise not fall），Income share every year by agreement agreed income erosion influence，Income share agreed will gradually close to the downward indefinite reduced。

　　母基金（多为指数型基金）随着A股呈现一定的震荡，增加了约定收益份额触发向下不定折算的概率。从2003年至今来看，沪深300指数最高下跌70%左右，即使除去2008年的情况，市场每年下跌20%以上也较为常见，这意味着部分品种或将触发向下不定折算。

Mother fund（More for index fund）Along with the a-share present certain concussion，Increase the contract revenue share trigger downward indefinite reduced probability。From 2003 to now to see，Shanghai and shenzhen 300 index the highest drop by about 70%，Even if the remove of 2008，The market fell more than 20% each year are more common，This means that the partial variety or would trigger downward indefinite reduced。

　　向上不定折算增加了约定收益份额触发向下不定折算的概率。这是因为经过向上不定期折算之后，杠杆份额净值大幅减小为1元，那么分级基金离向下不定期折算阀值的距离会大大减小，从而提高了约定收益份额触发向下不定期折算的可能性。

Upward indefinite reduced increased agreed income share trigger downward indefinite reduced probability。This is because after upward not regularly after conversion，Net value of share of lever significantly reduced to 1 yuan，So classification fund from downward tramp reduced valve value of the distance will be greatly reduced，So as to improve the contract revenue share trigger down the possibility of not regular reduced。