NO.PZ2023032703000038
问题如下：
Beatriz Maestre is a fixed-income consultant who has been retained by Filipe Ruelas, the CFO of Cávado Produtos Agricolas, SA (Cávado). Cávado is a manufacturer of prepared foods headquartered in Braga, Portugal.
During the meeting, Maestre presents some information about Cávado’s pension fund, which is primarily invested in corporate bonds with a mixture of investment-grade and speculative-grade issues. This information is presented in Exhibit 1.
Ruelas explains that he uses futures contracts on euro-denominated German government bonds to reduce the duration gap between assets and liabilities. However, because the pension fund has only a small surplus and he would like to increase this surplus through active management of the portfolio, he employs a contingent immunization strategy. The fund is currently short 254 contracts based on a 10-year bond with a par value of EUR 100,000 and a basis point value (BPV) of EUR 97.40 per contract.
Given the futures position entered into by the pension fund, Ruelas most likely believes interest rates will:
选项：
A.fall. B.rise.
remain the same.
解释：
A is correct. The number of futures contracts needed to fully remove the duration gap between the asset and liability portfolios is given by Nf = (BPVL – BPVA)/BPVf, where BPV is basis point value (of the liability portfolio, asset portfolio, and futures contract, respectively). In this case, Nf = (59,598 – 91,632)/97.4 = –328.891, where the minus sign indicates a short position or selling of 329 futures contracts (328,891/1,000). Ruelas has under-hedged, leaving a net position that will benefit from a reduction in interest rates, just as the unhedged position would benefit from a reduction in interest rates. Thus, he must believe interest rates will fall.
B is incorrect because if Ruelas believed rates would rise, he would under-hedge, leaving a net position that would benefit from rising rates.
C is incorrect because if Ruelas believed rates wouldn’t change, he would hedge fully, in case rates moved in an unexpected way.
老师，有两道题目 结合来看有点困惑。
FI 经典提3.5
An asset manager is asked to build and manage a portfolio of fixed-income bonds to retire multiple corporate debt liabilities. The debt liabilities have a market value of GBP 50,652,108, a modified duration of 7.15, and a BPV of GBP 36,216. The asset manager buys a portfolio of British government bonds having a market value of GBP 64,271,055, a modified duration of 3.75, and a BPV of GBP 24,102.
The initial surplus of GBP 13,618,947 and the negative duration gap of GBP 12,114 are intentional. The surplus allows the manager to pursue a contingent immunization strategy to retire the debt at, hopefully, a lower cost than a more conservative duration-matching approach.
The duration gap requires the manager to buy, or go long, interest rate futures contracts to close the gap. The manager can choose to over-hedge or under-hedge, however, depending on market circumstances.
The futures contract that the manager buys is based on 10-year gilts having a par value of GBP 100,000. It is estimated to have a BPV of GBP 98.2533 per contract. Currently, the asset manager has purchased, or gone long, 160 contracts. Which statement best describes the asset manager’s hedging strategy and the held view on future 10-year gilt interest rates? The asset manager is:
答案： overhedge because the rate view is thatn 10-year yields will be falling.
FI 经典题4.1
Beatriz Maestre is a fixed-income consultant who has been retained by Filipe Ruelas, the CFO of Cávado Produtos Agricolas, SA (Cávado). Cávado is a manufacturer of prepared foods headquartered in Braga, Portugal.
During the meeting, Maestre presents some information about Cávado’s pension fund, which is primarily invested in corporate bonds with a mixture of investment-grade and speculative-grade issues. This information is presented in Exhibit 1.
Ruelas explains that he uses futures contracts on euro-denominated German government bonds to reduce the duration gap between assets and liabilities. However, because the pension fund has only a small surplus and he would like to increase this surplus through active management of the portfolio, he employs a contingent immunization strategy. The fund is currently short 254 contracts based on a 10-year bond with a par value of EUR 100,000 and a basis point value (BPV) of EUR 97.40 per contract.
Given the futures position entered into by the pension fund, Ruelas most likely believes interest rates will:
答案：Fall
3.5中，需要long 123份去hedge，投资者却用了160份，说明想要增加Asset+derivative端的duration。从而得出预期利率下降。
4.1中，需要short 330份, 但投资者用了254份，也是会增加Asset+derivative端的duration对吗？所以也是利率下降预期。
这两道题结合，是否可以理解为 不论long还是short，Asset BPV+ futures BPV 如果大于Liability BPV， 那就是net positive gap, 预期interest rate下降。
