The city gate is on fire, which will bring disaster to the fish.

With Saudi Arabia's crude oil price war leading to a sharp drop in oil prices, domestic fund QDII and private fund products involved in overseas crude oil financial products investment have suffered from poor performance.

A number of insiders said that since this week, the QDII products of Huabao oil and gas, E-fund crude oil, Harvest crude oil, Noah oil and gas energy and other funds may all fall by more than 20%, among which the sharp drop in oil price on Monday caused a one-day decline of about 22% of Huabao oil and gas, and the net value fell to 0.19 yuan, making the latter issue an emergency announcement to temporarily suspend trading until 10:30.

"In fact, due to the disclosure of the net value of QDII products of many funds involved in overseas crude oil investment in T + 2 working days, the net value of the fund on the 10th has not yet reflected the net value loss caused by the sharp drop of oil price on the 9th." According to a fund company official, this has resulted in a price premium of more than 20% over the net value of the current market trading price of QDII of this type of fund, which has caused many investors to scramble to purchase according to the net value, and then sell on the market to earn the price difference.

It is worth noting that private equity funds involved in overseas crude oil financial product investment are not easy to live.

Arbitrage of fund QDII

A private equity trader with a heavy position in overseas oil companies revealed that their net worth fell by more than 10% on March 9, when oil prices plunged by more than 20%. As a result, the fund has launched emergency hedging measures, including buying short positions in WTI crude oil futures substantially and reducing the stop loss of stock positions of overseas oil companies.

"Now our position is below 30%." He told 21st century economic reporter. But this did not reassure him, because fund products still hold a large number of high-yield bonds of US shale oil mining enterprises. If the sharp drop in oil price leads to a sharp drop in income of these enterprises and they cannot pay the bond principal and interest, the sharp drop in the price of related bonds will make them "worse".

He said frankly, now we can only pray that the crude oil price war will end early and make the oil price rebound, because many LP investors have suggested that in the environment of falling oil prices, the fund should be liquidated in advance.

There are two main types of fund QDII for investment in crude oil financial products: one is equity fund for investment in shares of overseas oil companies, and the other is investment in overseas crude oil ETF or related financial derivatives in the form of FOF.

Due to the sharp drop in oil prices, the performance of QDII of these two funds is quite poor at present.

A fund QDII product manager said the overseas crude oil investment fund team they entrusted to invest had taken some risk hedging measures after the OPEC production reduction meeting broke up in bad mood on Friday. For example, when buying ETF of 2 times short crude oil futures, increase the position of forward crude oil short options. However, as the terms of the overseas crude oil investment fund stipulate that the net long position of crude oil futures and related oil companies shall not be less than 50% of the fund's position, these risk control measures still cannot prevent the fund's net value from plummeting about 20% on Monday.

At present, he is most worried about the growing gap between the quoted price of QDII and the net value of the fund, which leads to the rise of arbitrage trading. Specifically, the trading price of QDII in the secondary market has a limit of 10%. When the oil price falls by more than 20% on Monday, it may take two or three days for the fund's net value to "reflect" the impact of Monday's oil price drop, resulting in the trading price on Tuesday and Wednesday far higher than its due net value.

Private fund worries about "default on payment" of energy high-yield bonds

The 21st century economic reporter noted that the premium rate of QDII of many crude oil funds is more than 20% at present, among which the premium rate of Warburg oil and gas market price is 38% higher than the net value of the fund at one time, attracting many investors to scramble for channels to purchase according to the net value, and then to sell in the secondary market to obtain the price difference income.

Huabao Fund once announced that the trading price in the secondary market of Huabao oil and gas is higher than the net value premium of the fund share. It is hereby reminded that investors should pay attention to the risk of trading price premium in the secondary market. If they invest blindly, they may suffer heavy losses.

"At present, a number of crude oil fund QDII have suspended the subscription business to avoid the increasingly fierce arbitrage trading." But some investors can still carry out arbitrage on QDII funds that have not yet suspended their subscription business through the channels of securities dealers, said a securities trader.

Despite the risk hedging measures, the above private fund traders still feel "insecure". Because of their high-yield debt of US shale oil mining enterprises, they will also encounter the risk of a plunge due to the collapse of oil prices.

The reason is that after Saudi Arabia launched the crude oil price war, many rating agencies, such as S&P, lowered their crude oil price expectations sharply while deciding to adopt stricter rating standards for American oil and gas enterprises. Because the sharp drop in oil price led to a sharp drop in corporate income, they may not be able to redeem the previously issued high-yield bonds. Once the rating of these oil and gas companies is significantly lowered, the related bond prices are bound to plunge.

S&P explained that during the last oil price decline, many shale oil exploration and development and oilfield service companies in the United States reduced costs and improved their balance sheets by selling assets and issuing shares, but this time most companies may not be able to successfully raise funds as last time.

"Now we are discussing whether we can quickly reduce the high-yield bond positions of US shale oil companies, although the annual yield of these bonds is more than 7%, which is quite attractive." The trader told reporters that in addition to the large-scale purchase of US shale oil company's CDS product, it was also included in the urgent operation agenda.

In his view, this will lead to a 3-4 percentage point decrease in the fund's investment performance, but in order to reduce the risk of positions and retain LP funds, these "sacrifices" are worth it.

(Chen Zhi, 21st century economic report)

原油类基金QDII遭遇套利潮

城门失火，殃及池鱼。

随着沙特打响原油价格战导致油价大跌，国内涉足海外原油类金融品种投资的基金QDII与私募基金产品纷纷遭遇业绩滑铁卢。

多位业内人士透露，本周以来华宝油气、易方达原油、嘉实原油、诺亚油气能源等基金QDII产品跌幅可能都超过20%，其中周一油价大跌令华宝油气单日跌幅约22%，净值跌至0.19元，令后者11日出台紧急公告决定临时停牌，直到10点半才恢复交易。

“事实上，由于众多涉足海外原油投资的基金QDII产品净值按T+2个工作日披露，10日基金净值尚未反映9日油价大跌所造成的净值损失。”一位基金公司人士透露，这造成这类基金QDII当前场内交易价格较净值的溢价幅度普遍超过20%，引发不少投资者争相按净值申购，再去场内抛售赚取价差。

值得注意的是，涉足海外原油金融品种投资的私募基金日子也不好过。

基金QDII的套利风波

一位重仓海外石油企业股票的私募机构操盘手透露，3月9日油价大跌逾20%当天，他们的净值跌幅超过10%。因此基金已启动紧急避险措施，包括大幅买入WTI原油期货空头头寸，以及削减海外石油企业股票头寸止损。

“如今我们仓位已降至30%以内。”他告诉21世纪经济报道记者。但此举并未令他安心，因为基金产品仍持有大量美国页岩油开采企业的高收益债券，若油价大跌导致这些企业收入大降而无法兑付债券本息，相关债券价格暴跌又会让他们“雪上加霜”。

他坦言，现在只能祈祷这场原油价格战早点结束令油价反弹，因为不少LP出资人已建议在油价跌跌不休的环境下，基金最好提前清盘。

原油类金融品种投资的基金QDII，主要分为两种，一是投资海外石油企业股票的股票型基金，二是以FOF形式投资海外原油ETF或相关金融衍生品。

由于油价大跌，目前这两种基金QDII业绩均相当惨淡。

一位基金QDII产品管理人士透露，在上周五OPEC减产会议不欢而散后，他们委托投资的海外原油投资基金团队已采取了一些风险对冲措施。比如买入2倍沽空原油期货的ETF同时，加大远期原油沽空期权的头寸。然而，由于这只海外原油投资基金条款规定原油期货及相关石油公司股票净多头头寸不得低于基金持仓的50%，因此这些风控措施依然无法阻止基金净值在周一当天大跌约20%。

目前，他最担心的，是基金QDII场内交易报价与基金净值的差距越来越大，导致套利交易潮起。具体而言，国内基金QDII在二级市场的交易价格有10%涨跌停板限制，当周一油价大跌逾20%时，基金净值可能需要两三天时间才能“反映”周一油价大跌冲击，导致周二周三基金场内交易价格远高于其应有的基金净值。

私募担忧能源类高收益债“兑付违约”

21世纪经济报道记者注意到，目前多只原油类基金QDII的溢价率均超过20%，其中华宝油气的场内价格较基金净值溢价幅度一度达到38%，吸引不少投资者争相寻找渠道按净值申购，再去二级市场抛售套取价差收益。

华宝基金对此曾发布公告称，华宝油气二级市场交易价格相对基金份额净值溢价幅度较高，特此提示投资者关注二级市场交易价格溢价风险，如果盲目投资，可能遭受重大损失。

“目前，多只原油类基金QDII已经暂停了申购业务，避免套利交易越演越烈。”一位券商人士称，但有些投资者依然能通过券商渠道，对那些尚未暂停申购业务的基金QDII采取套利行为。

尽管采取了风险对冲措施，上述私募基金操盘手依然感觉“不踏实”。因为他们手里的美国页岩油开采企业高收益债，同样会因油价大跌遭遇跳水大跌风险。

究其原因，在沙特打响原油价格战后，标普等众多评级机构一面大幅下调原油价格预期，一面决定对美国油气类企业采取更严格的评级标准，因为油价大跌导致企业收入大降，可能无法兑付此前发行的高收益债券。一旦这些油气公司评级被大幅下调，相关债券价格势必跳水大跌。

标普对此解释称，上一轮油价下跌期间，美国很多页岩油勘探开发与油田服务公司通过出售资产与发行股票降低了成本并改善资产负债表，但这次绝大多数公司未必能像上次成功筹资渡过难关。

“如今我们内部正在讨论是否迅速削减美国页岩油公司高收益债券持仓，尽管这些债券年化收益率达到7%以上，相当诱人。”这位操盘手告诉记者，此外大举买入美国页岩油公司信用违约互换产品CDS，也被纳入紧急操作的议程。

在他看来，这将导致基金投资业绩缩水3-4个百分点，但为了降低持仓风险与留住LP资金，这些“牺牲”都是值得的。

（21世纪经济报道 陈 植）