问一道题：NO.PZ2019103001000054

问题如下：

Abram and Edgarton recently attended an investment committee meeting where interest rate expectations for the next 12 months were discussed. The Fund’s mandate allows its duration to fluctuate ±0.30 per year from the benchmark duration. The Fund’s duration is currently equal to its benchmark. Although the Fund is presently invested entirely in annual coupon
sovereign bonds, its investment policy also allows investments in mortgage-backed securities (MBS) and call options on government bond futures. The Fund’s current holdings of on-the-run bonds are presented in Exhibit 1

Abram’s supervisor disagrees with Abram’s yield curve outlook. The supervisor develops two alternative portfolio scenarios based on her own yield curve outlook:

Scenario 1：Sell all bonds in the Fund except the 2-year and 30-year bonds, and increase positions in these two bonds while keeping duration neutral to the benchmark.

Scenario 2：Construct a condor to benefit from less curvature in the 5-year to 10-year area of the yield curve. The condor will utilize the same 1-year, 5-year, 10-year, and 30-year bonds held in the Fund. The maximum allowable position in the 30-year bond in the condor is $17 million, and the bonds must have equal (absolute value) money duration.

The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a:

选项：

flattening yield curve

reduction in yield curve curvature.

100 bps parallel shift downward of the yield curve

解释：

A is correct.

Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly.