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moon · 2022年06月01日

这道题干说投的是bond和stock 没说是bond index 答案是怎么看出来投了index？ 【domestic equity index 】

  1. CFA III
  2. Derivative

NO.PZ2017121101000012

问题如下：

A $30 million investment account of a bank trust fund is allocated one- third to stocks and two-thirds to bonds. The portfolio manager wants to change the overall allocation to 50% stock and 50% bonds and the allocation within the stock fund from 70% domestic stock and 30% foreign stock to 60% domestic and 40% foreign. The bond allocation will remain entirely invested in domestic corporate issues.

Explain how swaps can be used to implement this adjustment. The market reference rate is assumed to be flat for all swaps, and you do not need to refer to specific stock and bond indexes.

选项：

解释：

Currently the allocation is $10 million in stocks and $20 million in bonds. Within the stock category, the current allocation is $7 million domestic and $3 million foreign. The desired allocation is $15 million in stocks and $15 million in bonds. Thus, the allocation must change by moving $5 million into stocks and out of bonds. The desired stock allocation is $9 million domestic and $6 million foreign. The desired bond allocation is $15 million, all domestic corporate.

To make the changes with swaps, the manager must enter into swaps against the market reference rate, which is assumed to be flat for all swaps in this example. Using the swaps, the bank trust fund portfolio manager needs to (1) receive the returns on $2 million based on a domestic equity index and on $3 million based on a foreign equity index and (2) pay the return on $5 million based on a domestic corporate bond index. The market reference rate outflows from the swaps in (1) and the inflows from the swap in (2) will cancel out through summation.

中文解析：

根据题干我们可以梳理出原来的资产配置情况和想要实现的配置情况，如下图：


然后题目想通过互换来实现这个资产配置的改变，于是就有了下图的三个互换（tips：图中的小人代表的是我们所占的一方）


另外，为什么要用MRR作为互换的另一端呢，是因为题干中给到这个信息：“The market reference rate is assumed to be flat for all swaps”。MRR是一个市场利率，常见的如libor。其实这个MRR是什么并不重要，因为在整个操作下来，比如本题的三个互换后，所有关于这个MRR的头寸都被抵消了。当然如果题目没有说要用MRR，我们也可以用libor，或者libor+3%，或者libor+5%都可以的，因为最终对我们是没有影响的。

这道题干说投的是bond和stock

没说是bond index

答案是怎么看出来投了index？

【domestic equity index 】

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moon · 2022年06月01日

还有个问题，这道题能不能进入一个swap搞定：（1）receveve： receive the returns on $2 million based on a domestic equity index and on $3 million based on a foreign equity index ；（2）pay：pay the return on $5 million based on a domestic corporate bond index

2 个答案

Lucky_品职助教 · 2022年06月03日

嗨，从没放弃的小努力你好：


本题在问题中说了The market reference rate is assumed to be flat for all swaps，说明每个互换都要和MRR进行，因此我们分了3个互换，如果没有这个要求，你说的方式是可以的哟~

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努力的时光都是限量版，加油！

Lucky_品职助教 · 2022年06月01日

嗨，努力学习的PZer你好：


本题只能在提问and you do not need to refer to specific stock and bond indexes.这里看出index，可能出题人本意是index，但前面没有说清楚。这里用股/债或者index都可以，考试的时候题干会更严谨一些~

一般我们是在场外签署swap合约，针对一个互换签一个，这样也可以分别对冲和了结，不会三个标的放一份合约哦~

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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

因为我记得有个题目，是进去一个swap： 减少equity 10m，增加bond 10m，就是支出return of equity，收到return of bond

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