开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

moon · 2022年06月01日

swap换的应该是10m的share,所以收到的MRR应该是基于10m的base,为什么答案说是300m?

NO.PZ2017121101000011

问题如下:

The CEO of a corporation owns 100 million shares of his company’s stock, which is currently priced at €30 a share. Given the huge exposure of his personal wealth to this one company, he has decided to sell 10% of his position and invest the funds in a floating interest rate instrument. A derivatives dealer suggests that he do so using an equity swap.

Explain how to structure such a swap.

选项:

解释:

The swap is structured such that the executive pays the return on 10 million shares of the company’s stock, which is 10% of his holdings, and he receives the return based on a floating interest rate, such as the market reference rate, on a notional principal of €300 million (= €30/share × 10 million shares).

中文解析:

(1)equity swap指的是在互换当中有一端是交换的equity return,其他一端可以是浮动利率,可以是固定利率,也可以是另一个equity return都可以的。所以本题中他要支付equity return,然后根据题干的意思直接收到一个floating rate即可。不需要其他的操作。对应题干中:“he has decided to sell 10% of his position and invest the funds in a floating interest rate instrument”。

(2)关于解析中的MRR,我稍作补充一下: 互换中使用的是market reference rate(有时会简写为MRR),这就是一个浮动利率,是多少都可以的,这个MRR可以是libor+2%,或者libor+5%,或者就是libor都可以的。真正考试的时候,你也完全可以直接说互换另一端是基于libor的,这都可以的。只不过协会经常使用的表述是MRR,这样我们就把它记住,万一考试遇到,我们也就说使用MRR,这样咱们也就不用思考或者到底互换另一端选什么了。

(3)最后注意记得说明这个互换基于的名义本金是300million

The swap is structured such that the executive pays the return on 10 million shares of the company’s stock, which is 10% of his holdings, and he receives the return based on a floating interest rate, such as the market reference rate, on a notional principal of €300 million (= €30/share × 10 million shares).



swap换的应该是10m的share,所以收到的MRR应该是基于10m的base,为什么答案说是300m?

2 个答案

Lucky_品职助教 · 2022年06月03日

嗨,爱思考的PZer你好:


本题题干说主人公有100 million shares of his company’s stock, which is currently priced at €30 a share. 那10%就是10 million shares,乘以股价30美金/share,就是300million美金。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

Lucky_品职助教 · 2022年06月01日

嗨,爱思考的PZer你好:


equity swap一般是在场外签署一份合约,合约中规定名义金额,也就是股数*期初股价,到期结算股价变动带来的收益,而不是真的进行了股票份数的交换,所以这里是100万股*30美金/每股=300万美金哦

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

moon · 2022年06月02日

老师,还是不太明白。 虽然我手里有300万美金,但是只想卖掉10%,就是30万美金,所以进入equity swap的合约规模不就是30万美金吗? 【he has decided to sell 10% of his position and invest the funds in a floating interest rate instrument. 】

  • 2

    回答
  • 2

    关注
  • 446

    浏览
相关问题

NO.PZ2017121101000011 问题如下 The CEO of a corporation owns 100 million shares of his company’s stock, whiis currently price€30 a share. Given the huge exposure of his personwealth to this one company, he hcito sell 10% of his position aninvest the fun in a floating interest rate instrument. A rivatives aler suggests thhe so using equity swap.Explain how to structure sua swap. The swis structuresuththe executive pays the return on 10 million shares of the company’s stock, whiis 10% of his holngs, anhe receives the return baseon a floating interest rate, suthe market referenrate, on a notionprincipof €300 million (= €30/share × 10 million shares). 中文解析(1)equity swap指的是在互换当中有一端是交换的equity return,其他一端可以是浮动利率,可以是固定利率,也可以是另一个equity return都可以的。所以本题中他要支付equity return,然后根据题干的意思直接收到一个floating rate即可。不需要其他的操作。对应题干中“he hcito sell 10% of his position aninvest the fun in a floating interest rate instrument”。(2)关于解析中的MRR,稍作补充一下 互换中使用的是market referenrate(有时会简写为MRR),这就是一个浮动利率,是多少都可以的,这个MRR可以是SOFR+2%,或者SOFR+5%,或者就是SOFR都可以的。只不过协会经常使用的表述是MRR,这样我们就把它记住,万一考试遇到,我们也就说使用MRR,这样咱们也就不用思考或者到底互换另一端选什么了。(3)最后注意记得说明这个互换基于的名义本金是300million The CEO cito sell 10% of his position,whiis 10 million shares of his company’s stoequto €300 million.A rivatives aler suggests using equity swwith notionprincip€300 million, whiis receiving floating interest rate anpaying equity return .

2023-05-19 12:12 1 · 回答

NO.PZ2017121101000011 问题如下 The CEO of a corporation owns 100 million shares of his company’s stock, whiis currently price€30 a share. Given the huge exposure of his personwealth to this one company, he hcito sell 10% of his position aninvest the fun in a floating interest rate instrument. A rivatives aler suggests thhe so using equity swap.Explain how to structure sua swap. The swis structuresuththe executive pays the return on 10 million shares of the company’s stock, whiis 10% of his holngs, anhe receives the return baseon a floating interest rate, suthe market referenrate, on a notionprincipof €300 million (= €30/share × 10 million shares). 中文解析(1)equity swap指的是在互换当中有一端是交换的equity return,其他一端可以是浮动利率,可以是固定利率,也可以是另一个equity return都可以的。所以本题中他要支付equity return,然后根据题干的意思直接收到一个floating rate即可。不需要其他的操作。对应题干中“he hcito sell 10% of his position aninvest the fun in a floating interest rate instrument”。(2)关于解析中的MRR,我稍作补充一下 互换中使用的是market referenrate(有时会简写为MRR),这就是一个浮动利率,是多少都可以的,这个MRR可以是libor+2%,或者libor+5%,或者就是libor都可以的。真正考试的时候,你也完全可以直接说互换另一端是基于libor的,这都可以的。只不过协会经常使用的表述是MRR,这样我们就把它记住,万一考试遇到,我们也就说使用MRR,这样咱们也就不用思考或者到底互换另一端选什么了。(3)最后注意记得说明这个互换基于的名义本金是300million 我是这样写的可以吗?in the swap, he shoulpthe return on the company's stock, anreceive the floating interest rate.the notionprincipof swis equto his 10% of equity position.

2022-05-29 11:48 1 · 回答

he receives the return baseon a floating interest rate, suthe market referenrate, on a notionprincipof €300 million (= €30/share × 10 million shares). 请问receive的这个资产是stock还是bon 什么是market referenrate? 可以举例说明吗? 谢谢

2020-09-13 22:26 1 · 回答