NO.PZ2023032703000038
问题如下：
Beatriz Maestre is a fixed-income consultant who has been retained by Filipe Ruelas, the CFO of Cávado Produtos Agricolas, SA (Cávado). Cávado is a manufacturer of prepared foods headquartered in Braga, Portugal.
During the meeting, Maestre presents some information about Cávado’s pension fund, which is primarily invested in corporate bonds with a mixture of investment-grade and speculative-grade issues. This information is presented in Exhibit 1.
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 EUR 100,000 and a basis point value (BPV) of EUR 97.40 per contract.
Given the futures position entered into by the pension fund, Ruelas most likely believes interest rates will:
选项：
A.fall.
B.
rise.
C.
remain the same.
解释：
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). Ruelas has under-hedged, leaving a net position that will benefit from a reduction in interest rates, just as the unhedged position would benefit from a reduction in interest rates. Thus, he must believe interest rates will fall.
B is incorrect because if Ruelas believed rates would rise, he would under-hedge, leaving a net position that would benefit from rising rates.
C is incorrect because if Ruelas believed rates wouldn’t change, he would hedge fully, in case rates moved in an unexpected way.
感觉有点迷糊。老师看下我思路哪里有问题。
思路一： under hedge没有问题，关键是利率上升还是下降。
利率上升，价格下降，希望liability下降的多一点，所以under hedge。
思路二： under hedge说明 预期利率下降了，所以不需要fully hedge。
感觉两种思路都能说的通啊。
麻烦老师帮我梳理一下。
