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定增减持新模式:大宗+期权 需严防触碰杠杆红线

2017-08-07 17:36:30   中国青年网

需严防触碰杠杆红线

某券商新近推出的定增减持方案中主推“大宗+期权”,此类方案获得接盘机构关注。业内人士表示,期权等衍生工具自带杠杆属性,使用时需严防杠杆红线。

该方案的具体做法是,接盘方设立资管计划,通过大宗交易受让定增产品所持有的全部定增解禁股票。定增产品卖出所持有的股票获得资金。为对冲风险,接盘方和减持方签订期限6个月的场外期权合约,行权时间为6个月后。接盘方通过期权来对冲接盘后6个月锁定期内股价波动风险。

北信瑞丰基金管理有限公司专户投资部负责人何龙表示,通过大宗交易减持的方案有三类。一是接盘方以一定的折扣一次性接手定增解禁股票。二是类代持方案,减持方卖出后签订兜底合同,6个月锁定期内解禁股票由接盘方持有。前两类方案中锁定期内股价风险由接盘方独自承担。三是“大宗+期权”方案,接盘方接盘之后可通过期权对冲6个月锁定期内股价风险。

上述券商相关人士称,由于锁定期股价风险得以控制,三类方案中第三类方案接受度最高。目前券商、私募中尝试者众多。不过,此类方案需严防“杠杆红线”。

2016年7月证监会修订的《证券期货经营机构落实资产管理业务“八条底线”禁止行为细则》(简称“新八条底线”)禁止股票或者综合类结构化资管计划杠杆超过1倍。上述券商人士告诉中国证券报记者,依照“新八条底线”杠杆比例不超过1倍的要求,交易方案中期权保证金比例必须等于或高于50%。一位采用此类模式的券商人士告诉记者,近期监管方询问过其交易方案中期权的保证金比例。他表示,期权中的杠杆较隐蔽,但接盘方不可因此存侥幸心理。

业内人士表示,除期权的杠杆比例不能踩线,结构化定增资管计划的接盘方和减持方还需绷紧另一根弦。“新八条底线”实施之前设立的结构化资管计划中不少杠杆比例超过1倍,按照“新八条底线”此类资管计划到期后不能按照原来合同直接续期。上海某券商人士告诉记者,近期其所在机构管理的高杠杆的结构化资管计划到期,但标的股票解禁后,按照减持新规不能立即通过集中竞价完全退出。他们准备先通过集中竞价退出一部分,用获得的资金支付优先级,从而把杠杆比例降到1倍以下,以合乎“新八条底线”要求,再寻找大宗减持接盘方。不过,上述券商人士表示,目前尚未从监管方获得关于这种办法的明确意见。

一家排名靠前、定增减持需求强烈的券商表示,虽然场外期权在对冲风险方面具有灵活性,但是尚不明确“大宗+期权”模式的政策障碍。尽管这种模式操作上接盘方接受度较高,但目前该机构暂未采用。记者 吴娟娟

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