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沪上小王子 · 2024年02月08日

如何判断five-year note futures contracts是CTD bond，而不是futures

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000040

问题如下：

Robinson also considers the use of derivatives to manage interest rate risk. This would be a new strategy for Bayside. Robinson determines the number of bond futures needed to immunize the overall interest rate risk exposure of the company. The basis point value (BPV) for the asset portfolio is 96,000, while the liability portfolio has a BPV of 44,000. To facilitate her analysis, Robinson compiles the additional information related to bond futures shown in Exhibit 1.

The number of five-year note futures contracts required to be sold in order to rebalance the immunizing portfolio is closest to (2020 mock PM):

选项：

A.

529 contracts.

B.

969 contracts.

C.

1101 contracts.

解释：

With derivative overlay strategies, in order to calculate the number of contracts needed, the futures BPV must be adjusted to reflect the conversion factor:

Futures BPV = Note BPV / Conversion Factor

47.22/0.88 = 53.66

Number of contracts = (Asset BPV – Liability BPV) / Futures BPV

(96,000 – 44,000)/53.66 = 969

一直很难区分哪个是ctd，哪个是futures，请老师讲解一下，谢谢。

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pzqa31 · 2024年02月09日

嗨，爱思考的PZer你好：


以做题的经验来看，一般这种表格给CTD的price或者BPV的居多，同时会给出CF。如果是futures一般会直接给BPV并说明是futures的BPV。

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NO.PZ2023032703000040 问题如下 Robinson also consirs the use of rivatives to manage interest rate risk. This woula new strategy for Baysi. Robinson termines the number of bonfutures neeto immunize the overall interest rate risk exposure of the company. The basis point value (BPV) for the asset portfolio is 96,000, while the liability portfolio ha BPV of 44,000. To facilitate her analysis, Robinson compiles the aitioninformation relateto bonfutures shown in Exhibit 1.The number of five-yenote futures contracts requireto solin orr to rebalanthe immunizing portfolio is closest to (2020 moPM): A.529 contracts. B.969 contracts. C.1101 contracts. With rivative overlstrategies, in orr to calculate the number of contracts nee the futures BPV must austeto reflethe conversion factor:Futures BPV = Note BPV / Conversion Factor47.22/0.88 = 53.66Number of contracts = (Asset BPV – Liability BPV) / Futures BPV(96,000 – 44,000)/53.66 = 969 老师好，我理解这里计算出来的Nf是标准报价futures的份数，为什么不直接计算实际用来做rivatives overlay的份数？是因为报价习惯的原因吗？谢谢！

2024-08-06 19:50 1 · 回答

NO.PZ2023032703000040问题如下 Robinson also consirs the use of rivatives to manage interest rate risk. This woula new strategy for Baysi. Robinson termines the number of bonfutures neeto immunize the overall interest rate risk exposure of the company. The basis point value (BPV) for the asset portfolio is 96,000, while the liability portfolio ha BPV of 44,000. To facilitate her analysis, Robinson compiles the aitioninformation relateto bonfutures shown in Exhibit 1.The number of five-yenote futures contracts requireto solin orr to rebalanthe immunizing portfolio is closest to (2020 moPM): A.529 contracts.B.969 contracts.C.1101 contracts. With rivative overlstrategies, in orr to calculate the number of contracts nee the futures BPV must austeto reflethe conversion factor:Futures BPV = Note BPV / Conversion Factor47.22/0.88 = 53.66Number of contracts = (Asset BPV – Liability BPV) / Futures BPV(96,000 – 44,000)/53.66 = 969 关于BPV per 100,000, 是直接除以47.22就可以吗有的题目还要除以1000或者啥，倍数这块比较迷糊。另外liabaility和asset的BpV是万，future是十万，感觉也不匹配呀

2023-08-14 11:46 1 · 回答