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After the investment period for cross-market ETF investors cancellation under what circumstances, where the design difficulties, introduced the use of "T + 0" benefits and practical "T + 0" and other aspects of the process.
1, cross-market ETF Could withdrawals?
(1) does not allow the purchase cancellation.
(2) does not allow withdrawals redemption.
(3) Before the entry into force commissioned by buying cancellation.
(4) Before the entry into force sell commission cancellation.
2, where cross-market ETF design difficulties in?
In the ETF subscription process, the investor is a basket of stocks to purchase fund, the full amount of shares to investors in the fund companies, fund companies to the full amount of fund shares to investors, is a very simple principle of equivalent exchange on the single market ETF is not difficult to operate. However, because of cross-market ETF index constituents across the Shanghai and Shenzhen, they encountered a problem. Shanghai and Shenzhen 300ETF for example, in real-time purchase, listed in the Shanghai Stock Exchange in Shanghai and the Shanghai Stock Exchange stock 300ETF only see whether the full amount, but can not see the Shenzhen Stock Exchange and the Shenzhen Stock Exchange-listed in Shanghai and Shenzhen 300ETF only see the Shenzhen stock Exchange shares if full, but can not see the Shanghai stock Exchange's. So in order to solve this problem, take some alternative methods, such as Shanghai and Shenzhen 300 Index weights will account for 25% of the Shenzhen stock a cash alternative.
3, the use of cross-market ETF "T + 0" What are the benefits?
"T + 0" mechanism so that investors can not complete a means of trading on the secondary market arbitrage, and can achieve single-frequency arbitrage funds several days, high capital efficiency. Because of the different situation in China and overseas mature markets, there is currently no perfect short-mechanism to restrict short selling there are many, lead by means of arbitrage trading may be subject to certain restrictions.
ETF investment vehicles as a standardized basis for an important feature, is close to the fair value of real-time transaction price index, which is one of the core markets of its vitality. Generally speaking, the fair price of the real-time tradable strong, which means that real-time ETF trading price discount or premium rate is smaller, which not only makes the ETF at any time and long-term value investors easy access within its approved price range, also based on the ETF arbitrage, leveraged finance, derivatives trading and other basic foundation of hedge strategies.
A secondary market arbitrage trading is to achieve fair price index the primary means to achieve and the current single market ETF based secondary market arbitrage is "T + 0".
4, cross the T + 0 market ETF is reflected in where?
Currently the Shanghai Stock Exchange cross-market ETF to achieve T + 0.
Prerequisite for achieving this program is about 75 percent of the Shanghai and Shenzhen 300 Index constituent stocks of the right weight are listed on the Shanghai Stock Exchange.
Among them, Shenzhen cash alternative partially completed by the fund company's system within 10 seconds. The measure, 60 seconds arbitrage uncertainty, there is the possibility of between 94.98% -0.05% to 0.05%; 5 minutes arbitrage uncertainty may have 82.30% -0.1% to 0.1% between. Uncertainty within 10 seconds even smaller, multiplied by 25% of the more minimal.
"T + 0" hands-on:
T day T day can buy stock for immediate purchase; T day T day subscription ETF may sell in the secondary market in real time; the date of purchase fund shares T Day unsold, T + 1 day after deposit received successful T + 2 can be sold and redeemed, investors redeem shares acquired can sell that day.
T day secondary market to buy the ETF, T instant redemption date; T redemption date ETF, T Day T can be obtained Shanghai stock SELL; to sell the venue can be used to obtain funds that day; no later than T + 3 handle Shenzhen stock cash alternative delivery.
Thereby providing the foundation for high-frequency arbitrage funds days repeatedly.
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