NO.PZ2019052801000041
问题如下:
It's June 2nd and a fund manager with USD 10 million invested in government bonds is concerned that interest rates will be highly volatile over the next three months. The manager decides to use the September treasury bond futures contract to hedge the value of the portfolio. The current futures price is USD 95.0625, each contract is for the delivery of USD 100,000 face value of the bonds. The duration of the manager's bond portfolio in three months will be 7.8 years, the cheapest to deliver bonds in the treasury bond futures contract is expected to have a duration of 8.4 years at maturity of the contract. At the maturity of the treasury bond futures contract, the duration of the underlying benchmark treasury bond is 9 years. What position should fund manager undertake to mitigate his interest rate risk exposure?
选项:
A.Long 95 contracts.
B.Short 95 contracts.
C.Long 98 contracts.
D.Short 98 contracts.
解释:
D is correct.
考点:Duration Based Hedge
解析:
基金经理应该short 98份合约来进行对冲。
“each contract is for the delivery of USD 100,000 face value of the bonds”