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SophieZ · 2023年07月26日

什么时候用Return swap,什么时候用index swap?

  1. CFA III
  2. Derivative

NO.PZ2022123002000043

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：

Correct Answer：

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).

什么时候用Return swap,什么时候用index swap?

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2 个答案

pzqa31 · 2023年07月28日

嗨，从没放弃的小努力你好：


equity swap也叫total return swap是互换的双方，一方向另一方支付equity的收益，另一方则支付固定的收益，这样互换的目的是可以以低成本获取equity的收益，而不需要真的去持有equity（一般合约签订的名义本金会比保证金多很多倍），起到加杠杆的作用。


三级衍生品考纲里只涉及equity swap,而对于index swap，原版书里只有一处提到了（下图）。根据原版书的解释，equity swap是用于调整风险收益的，也就是咱们在R9里学到的内容，而index swap是用于做资产配置和rebalancing的。



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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa31 · 2023年07月26日

嗨，爱思考的PZer你好：


同学，你这是二级alternative的问题，可以参考https://class.pzacademy.com/qa/94679

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努力的时光都是限量版，加油！

SophieZ · 2023年07月28日

看了这个链接，还是没有明白

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