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
The farmer needs to be short the futures contracts. The two sources of basis risk confronting the farmer will result from the fact that he is using a cattle contract to offset the price movement of his buffalo herd, Cattle prices and buffalo prices may not be perfectly positively correlated. As a result, the correlation between buffalo and cattle prices will have an impact on the basis of the cattle futures contract and spot buffalo meat. The delivery date is a problem in this situation, because the farmer’s hedge horizon is winter, which probably will not commence until December or January. In order to maintain a hedge during this period, the farmer will have to enter into another futures contract, which will introduce an additional source of basis risk. 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