Fixed income

问题如下：

(2) In her market research, the manager learns that ASX 3-year and 10-year Treasury bond futures are the most liquid products for investors trading and hedging medium- to long-term Australian dollar (AUD) interest rates. Although neither contract matches the exact characteristics of the cash bonds of her choice, which of the following additions to a barbell portfolio best positions her to gain under a bull flattening scenario?

选项：

A.Purchase a 3-year Treasury bond future matching the money duration of the short-term (2-year) position.

B.Sell a 3-year Treasury bond future matching the money duration of the short-term bond position.

C.Purchase a 10-year Treasury bond future matching the money duration of the long-term bond position.

解释：

C is correct. A bull flattening is a decrease in the yield spread between long and short-term maturities driven by lower long-term yields-to-maturity.

Both A and B involve changes in portfolio exposure to short-term rates, while C increases the portfolio exposure to long-term rates to benefit from a fall in long-term yields-to- maturity.