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

Lich · 2023年06月25日

没太明白这个过程,不是直接receive 225,pay bond就可以了么

NO.PZ2022123002000071

问题如下:

Sato is the manager of the Tsushima Manufacturing pension fund, which has a target asset allocation of 60% equity and 40% bonds. The fund has separate equity and fixed-income portfolios, whose characteristics are provided in Exhibits 1 and 2. Sato expects equity values to increase in the coming two years and, in order to avoid substantial transaction costs now and in two years, would like to use derivatives to temporarily rebalance the portfolio.

Exhibit 1 Tsushima Pension Fund Equity Portfolio Characteristics

Exhibit 2 Tsushima Pension Fund Bond Portfolio Characteristics

In order to rebalance the pension fund to its target allocations to equity and bonds, Watanabe recommends using a pair of swaps.

Which of these is most likely to be a characteristic of one of the two swaps Watanabe describes to Sato?

选项:

A.

Receive return on Nikko Bond Performance Index

B.

Receive Libor

C.

Pay return on Nikkei 225 Index

解释:

Correct Answer: B

B is correct. One of the swaps would be pay Nikko Bond Performance Index return and receive Libor.

C is incorrect because one of the swaps would be pay Libor and receive, not pay, Nikkei 225 index return.

A is incorrect because one of the swaps would be receive Libor and pay, not receive, return on Nikko Bond Performance Index.

没太明白这个过程,不是直接receive 225,pay bond就可以了么

2 个答案
已采纳答案

pzqa31 · 2023年06月26日

嗨,从没放弃的小努力你好:


这道题的意思是,这个portfolio有一个目标比例是60%equity+40%bond,但是现在股价上涨,导致equity占比升高,所以要通过衍生品来调节,降低equity占比,提高bond占比,所以是pay Nikko Bond Performance Index return + receive Libor。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

Lich · 2023年06月27日

请问老师提高bond占比为啥用pay bond index return+receive libor?这不是两个债券互换么并没有提高额外的bond?

pzqa31 · 2023年06月27日

嗨,从没放弃的小努力你好:


同学,你看C选项的解析,可以pay libor+receive Nikkei 225 index return,但是没有相关的选项。B这个选项的意思是付固定收浮动,就可以调低duration,相当于把bond头寸调成cash.

----------------------------------------------
努力的时光都是限量版,加油!

  • 2

    回答
  • 1

    关注
  • 342

    浏览
相关问题

NO.PZ2022123002000071 问题如下 Sato is the manager of the Tsushima Manufacturing pension funwhiha target asset allocation of 60% equity an40% bon. The funhseparateequity anfixeincome portfolios, whose characteristiare proviinExhibits 1 an2. Sato expects equity values to increase in the coming twoyears an in orr to avoisubstantitransaction costs now anin twoyears, woullike to use rivatives to temporarily rebalanthe portfolio.Exhibit 1 Tsushima Pension FunEquity Portfolio CharacteristicsExhibit 2 Tsushima Pension FunBonPortfolio CharacteristicsIn orr torebalanthe pension funto its target allocations to equity anbon, Watanaberecommen using a pair of swaps.Whichof these is most likely to a characteristic of one of the two swaps Watanabescribes to Sato? A.Receivereturn on Nikko BonPerformanInx B.ReceiveLibor C.Payreturn on Nikkei 225 Inx CorreAnswer: is correct. Oneof the swaps woulpNikko BonPerformanInx return anreceiveLibor.C is incorrectbecause one of the swaps woulpLibor anreceive, not pay, Nikkei 225inx return.Ais incorrebecause one of the swaps woulreceive Libor anpay, notreceive, return on Nikko BonPerformanInx. 降低equity不应该是PNikkei 225 inx return 为什么是receive?提高bon比例,不应该是增加ration,那就是receive bonperfomance,为什么是pay? 这两个方向我没懂(BTW,这题之前的老师的我都看过了,麻烦别再复制黏贴给我)

2024-01-08 18:25 1 · 回答

NO.PZ2022123002000071 问题如下 Sato is the manager of the Tsushima Manufacturing pension funwhiha target asset allocation of 60% equity an40% bon. The funhseparateequity anfixeincome portfolios, whose characteristiare proviinExhibits 1 an2. Sato expects equity values to increase in the coming twoyears an in orr to avoisubstantitransaction costs now anin twoyears, woullike to use rivatives to temporarily rebalanthe portfolio.Exhibit 1 Tsushima Pension FunEquity Portfolio CharacteristicsExhibit 2 Tsushima Pension FunBonPortfolio CharacteristicsIn orr torebalanthe pension funto its target allocations to equity anbon, Watanaberecommen using a pair of swaps.Whichof these is most likely to a characteristic of one of the two swaps Watanabescribes to Sato? A.Receivereturn on Nikko BonPerformanInx B.ReceiveLibor C.Payreturn on Nikkei 225 Inx CorreAnswer: is correct. Oneof the swaps woulpNikko BonPerformanInx return anreceiveLibor.C is incorrectbecause one of the swaps woulpLibor anreceive, not pay, Nikkei 225inx return.Ais incorrebecause one of the swaps woulreceive Libor anpay, notreceive, return on Nikko BonPerformanInx. 降低equity比例不是直接Preturn on Nikkei 225 Inx就可以了么,还是没明白

2023-12-27 11:55 2 · 回答