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多乐登 · 2025年06月25日

这样回答可以吗?

NO.PZ2022123002000038

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.

解释:

Correct Answer

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.

Current allocation: 10M stocks ( 7M in domestic & 3M in foreign) and 20M bonds

Goal allocation:15M stocks ( 9M in domestic & 6M in foreign) and 15M bonds


we should add 5M stocks ( 2M in domestic & 3M in foreign) and reduce 5M bonds using swaps against MRR.


  1. pay the return of 5M bonds and receive MRR of 5M notional principal.
  2. receive the return of 2M domestic stocks / 3M foreign stocks, and pay MRR of 2M/3M notional principal


the cash flow of MRR will offset between 1 and 2.

1 个答案

李坏_品职助教 · 2025年06月25日

嗨,努力学习的PZer你好:


可以的,得分点都说出来了就可以。 2里面最好写成receive the return of 2M based on domestic stock index and the return of 3M based on foreign stock index.

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努力的时光都是限量版,加油!

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