题目
It is June 2 and a fund manager with USD 10 million invested in government bonds is concerned that interest rates will be highly volatile over the next three months. The manager decides to use the September Treasury bond futures contract to hedge the value of the portfolio. The current futures price is USD 95.0625. Each contract is for the delivery of USD 100,000 face value of bonds. The duration of the manager’s bond portfolio in three months will be 7.8years. The cheapest-to-deliver bond in the Treasury bond futures contract is expected to have a duration of 8.4 years at maturity of the contract. At the maturity of the Treasury bond futures contract, the duration of the underlying benchmark Treasury bond is nine years. What position should the fund manager undertake to mitigate his interest rate risk exposure?
选项
A.Short 94 contracts
B.Short 98 contracts
C.Short 105 contracts
D.Short 113 contracts
答案
B
解析
The number of contracts to short is:「huixue_img/importSubject/1564169523253350400.png」Note that the relevant duration for the futures is that of the CTD; other numbers are irrelevant.