EmmaQ · 2020年04月24日

问一道题：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.

何老师在基础班说swap最好是想要实现的头寸和floating rate之间的swap，这道题并没有借助floating rate。请问考试中以那种形式为准呢？谢谢老师

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3 个答案

xiaowan_品职助教 · 2020年05月23日

@ EmmaQ @ SUN

同学你好，

首先，说一下这道题，这道题我最初回答的时候看到条件和同学的提问就想当然认为解析是和老师课上讲的例题是一样的了，其实不是的，非常抱歉。我们看一下解析第二段：“the manager must enter into swaps against the market reference rate” 使用的就是MRR的方法，只是没有明确提到float rate这个字样，第一步做股票端的swap，第二步做债券端的swap，最后MRR出入现金流轧差抵消。

然后说一下老师课上板书中举例的习题，因为结构比较简单，不需要中间换float rate这个媒介也可以在简短的几个步骤之后得到结果，而我们课件中后面3.3那个例题（也是教材中的例题）就相对复杂，如果直接用equity和bond以及不同index直接的swap就比较难快速得到组合，使用float rate做中间媒介更容易达到目的。

教材中对这个例题解析有一句对于swap方式选择原因的叙述，我贴在下方：

“TMM knows these changes would entail a considerable amount of trading in stocks and bonds. So, TMM decides to execute a series of swaps that would enable it to change its position temporarily but more easily and less expensively than by executing the physical transactions.”

作为简答题，用MRR是比较稳妥的。如果是选择题，则根据选项看是否能得到目标组合就可以。