题目
The yield curve is upward sloping, and a portfolio manager has a long position in 10-year Treasury Notes funded through overnight repurchase agreements. The risk manager is concerned with the risk that market rates may increase further and reduce the market value of the position. What hedge could be put on to reduce the position’s exposure to rising rates?
选项
A.Enter into a 10-year pay fixed and receive floating interest rate swap.
B.Enter into a 10-year receive fixed and pay floating interest rate swap.
C.Establish a long position in 10-year Treasury Note futures.
D.Buy a call option on 10-year Treasury Note futures.
答案
A
解析
With a pay fixed and receive floating interest rate swap, an increase in rates will increase the value of the hedge position and offset the loss in value from the Bond position.持有国债，收的是固定利息。现在担心利率上升。所以进入的互换应该是付固定、收浮动。这样净现金流就是：收浮动，可对冲利率上升的风险。