NO.PZ201812020100000804
问题如下：
Silvia Abram and Walter Edgarton are analysts with Cefrino Investments, which sponsors the Cefrino Sovereign Bond Fund (the Fund). 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.
Over the next 12 months, Abram expects a stable yield curve; however, Edgarton expects a steepening yield curve, with short term yields rising by 1.00% and long-term yields rising by more than 1.00%.
Based on her yield curve forecast, Abram recommends to her supervisor changes to the Fund’s holdings using the following three strategies:
Strategy 1: Sell the 3-year bonds and use the proceeds to buy 10-year bonds.
Strategy 2: Sell the 5-year bonds and use the proceeds to buy 30-year MBS with an effective duration of 4.75.
Strategy 3: Sell the 10-year bonds and buy call options on 10-year government bond futures.
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.
Edgarton evaluates the Fund’s positions from Exhibit 1 along with two of his pro forma portfolios, which are summarized in Exhibit 2:
Lastly, Edgarton reviews a separate account for Cefrino’s US clients that invest in Australian government bonds. He expects a stable Australian yield curve over the next 12 months. He evaluates the return from buying and holding a 1-year Australian government bond versus buying the 2-year Australian government bond and selling it in one year.
The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a:
选项：
A. flattening yield curve.
B. reduction in yield curve curvature.
C. 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
long 两年和30年的bond，short 其他的，类似于condor，那就应该是increased curvature，为什么是flattered yield curve呢，曲度增加为什么是变平呢