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 EUR100,000 and a basis point value (BPV) of EUR97.40 per contract.
Given the futures position entered into by the pension fund, Ruelas most likely believes interest rates will:
- fall.
- rise.
- remain the same.
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). In this case, the duration of assets is higher than the duration of liabilities so the pension fund will be hurt by rising interest rates and helped by falling interest rates. The short futures position of 329 contracts will hedge this exposure. Ruelas has under-hedged with a short position of less than 329 contracts, leaving the pension fund to be hurt by rising interest rates and helped by falling interest rates; therefore, he must believe interest rates will fall.
老师,这题的思路是不是和我们平时做到的BPVL大于BPVA的思路是反着走的?我们平时练习的题目大多数是L大于A,所以如果利率上升就under hedge?而这题的环境是反正走,虽然也是under hedge,但是其实是利率下降,对于asset更有利?