NO.PZ201601050100001706
问题如下：
Global Mega (Global) is a diversified financial services firm. Yasuko Regan, senior
trader, and Marcus Whitacre, junior trader, both work on the firm’s derivatives desk.
Regan and Whitacre assist in structuring and implementing trades for clients in the
financial services industry that have limited derivatives expertise. Regan and Whitacre
are currently assisting one of Global’s clients—Monatize, an asset management firm—
with two of its portfolios: Portfolio A and Portfolio B.
Portfolio A is a bond portfolio composed solely of US Treasury bonds. Monatize
has asked Global to quote the number of Treasury futures contracts necessary to fully
hedge this bond portfolio against a rise in interest rates. Exhibit 1 presents selected
data on Portfolio A, the relevant Treasury futures contract, and the cheapest-todeliver (CTD) bond.
After an internal discussion, Monatize elects to not hedge Portfolio A but rather
decrease the portfolio’s modified duration to 3.10. Regan asks Whitacre to compute
the number of Treasury futures contracts to sell in order to achieve this objective.
Regan tells Whitacre to assume the yield curve is flat.
Portfolio B is a $100,000,000 equity portfolio indexed to the S&P 500 Index, with
excess cash of $4,800,000. Monatize is required to equitize its excess cash to be fully
invested, and the firm directs Global to purchase futures contracts to do so. To replicate the return of Portfolio B’s target index, Whitacre purchases S&P 500 futures
contracts, at a price of 3,300 per contract, that have a multiplier of $250 per index
point and a beta of 1.00.
Monatize’s CFO and Regan discuss two potential hedging strategies for Portfolio
B to protect against a hypothetical extreme sell-off in equities. Regan first suggests
that Monatize could enter into a total return equity swap, whereby Monatize agrees
to pay the return on the S&P 500 and receive a fixed interest rate at pre-specified
dates in exchange for a fee.
Regan next suggests that Monatize could alternatively hedge Portfolio B using
variance swaps. Monatize’s CFO asks Regan to calculate what the gain would be in
five months on a purchase of $1,000,000 vega notional of a one-year variance swap on
the S&P 500 at a strike of 15% (quoted as annual volatility), assuming the following:
■ Over the next five months, the S&P 500 experiences a realized volatility of 20%;
■ At the end of the five-month period, the fair strike of a new seven-month variance swap on the S&P 500 will be 18%; and
■ The annual interest rate is 1.50%.
Regan and Whitacre discuss the use of federal funds futures contracts to infer
probabilities of future monetary policy changes. Whitacre makes the following three
statements about fed funds futures contracts:
Statement 1
Typical end-of-month activity by large financial and banking
institutions often induces “dips” in the effective fed funds rate.
Statement 2
Especially for the longer-term horizon, the probabilities inferred
from the pricing of fed funds futures usually have strong predictive power
Statement 3
To derive probabilities of Federal Reserve interest rate actions,
market participants look at the pricing of fed funds futures,
which are tied to the Federal Reserve’s target fed funds rate.
Whitacre then proposes to Regan that Global explore opportunities in bond futures
arbitrage. Whitacre makes the following two statements:
Statement 4
If the basis is positive, a trader would make a profit by “selling the basis.”
Statement 5
If the basis is negative, a trader would make a profit by selling the
bond and buying the futures.
Which of Whitacre’s three statements about fed funds futures is correct?
选项：
A.Statement 1
Statement 2
Statement 3
解释：
A is correct.
Typical end-of-month (EOM) activity by large financial and banking institutions often induces “dips” in the effective federal funds (FFE) rate
that create bias issues when using the rate as the basis for probability calculations of potential Federal Open Market Committee rate moves. If EOM activity increases the price for the relevant fed funds contract, the FFE rate would
decline. A decline in the FFE rate would decrease the probability of a change
in the fed funds rate. To overcome this EOM bias, data providers have implemented various methods of “smoothing” EOM dips.
Statement 2 is incorrect because the probabilities inferred from the pricing of fed funds futures usually do not have strong predictive power, especially for the longer-term horizon.
Statement 3 is incorrect because, to derive probabilities of Fed interest rate actions, market participants look at the pricing of fed funds futures, which are tied to the FFE rate—that is, the rate used in actual transactions between depository institutions, not the Fed’s target fed funds rate.
中文解析：
表述1正确，大型金融和银行机构月底的活动，往往会导致实际联邦基金利率的“下降”
表述2是不正确的，因为从联邦基金期货价格推断的概率通常没有很强的预测能力，特别是长期来看。
陈述3是不正确的，因为要推导美联储利率行动的概率，市场参与者要看联邦基金期货的定价，它与FFE利率挂钩，FFE是指存款机构之间实际交易的利率，而不是美联储的目标联邦基金利率。
Statement 1
Typical end-of-month activity by large financial and banking institutions often induces “dips” in the effective fed funds rate.
Q1：Typical end-of-month activity by large financial and banking institutions 这个描述的是市场上面真实的银行间的FFR的情况吧，为啥和effective fed funds rate挂钩呢？
Q2：如果说银行间借贷变多，需求变多，那么真实的FFR应该是上升才对，（美联储通过公开市场操作，收紧银根，MS变少，利率变高）；
