【FRM每日一题】一级：金融市场与产品
备考FRM一级 | 2015-08-24
In June, a fund manager with USD 10 million invested in government bonds concerns that interest rates will be highly volatile during the next three months. For hedging the value of the portfolio, the manager decides to use the September Treasury bond futures contract. The current futures price is USD 95.0625 and each contract is for the delivery of USD 100,000 face value of bonds. The duration of the manager’s bond portfolio in three months will be 7.8 years, while the cheapest-to-deliver bond in the Treasury bond futures contract is expected to have a duration of 8.4years at maturity of the contract. At the maturity of the Treasury bond futures contract, the duration of the underlying benchmark Treasury bond is nine years. What position should the fund manager undertake to mitigate his interest rate risk exposure? A.Short 95 contracts.
B.Short 99 contracts.
C.Short98 contracts.
D.Short 112 contracts.
Answer: C
The number of contracts to short is
Note that the relevant duration for the futures is that of the CTD; other numbers are irrelevant.
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