Interest rates (bond yields) are current...

题目

Interest rates (bond yields) are currently below 6.0%. Which of the following bonds will the short position in U.S. Treasury bond futures contract be most likely to deliver; i.e., which will be CTD?

选项

A.Short-maturity with low coupon

B.Short-maturity with high coupon

C.Long-maturity with low coupon

D.Long-maturity with high coupon

答案

B

解析

If yields are low (＜ 6%), favors low duration bonds; If yields are high (>6%), favors high duration bonds; 快速确定最便宜可交割债券的范围有一些经验结论。一个是根据市场利率的实际水平进行划分，或者根据利率的走势进行划分：当收益率>6%时，先考虑久期较大的债券，即息票率较低、期限较长的债券；当收益率<6%时，先考虑久期较小的债券，即息票率较高、期限较短的债券。 二是根据利率期限结构进行划分：当利率期限结构向上，先考虑久期较大的债券，即到期期限较长的债券；当利率期限结构向下，先考虑久期较小的债券，即到期期限较短的债券。