FRM一级模拟题
1 . A trader executes a $200 million 5-year pay fixed swap with one client (duration 4.36) and a $100 million l0-year receive fixed swap with another client (duration 7.66) shortly afterwards. Assuming that the 5-year rate is 4.75% and l0-year rate is 5.15 % and that all contracts are transacted at par, how can the trader hedge his net delta position?
A. Sell 424 Eurodollar future contracts.
B. Buy 424 Eurodollar future contracts_
C. Sell 6,552 Eurodollar future contracts.
D. Buy 6,552 Eurodollar future contracts.
Answer: B
Step1 .Given the rates of 4.75% and 5.15%, the dollar durations of the 5-year and lO-year par swaps
语言转换are approximately 4.36 and 7.66. Therefore, the trader has the following DVBP positions First swap DVBP = $200 million x 4.36 x 0.0001 = $87,200. Second swap DVBP = $100
Million x 7.66x0.0001 = $76,600.
巨人的花园教学实录Net DVBP of portfolio = -87,200 +76,600 = -$10,600. Step 2 .The optimal number to buy is from Equation美国越战片
Nx = -(DxS S) /(DxFF)=- 1 0600/25=424 (The DVBP or a Eurodollar future is $25.)
2 . .A portfolio management firm manages the fixed-rate corporate bond portfolio owned by a defined-benefit pension fund. The duration of the bond portfolio is 5 years; the duration of the pension fund's liabilities is 7 years. Assume that the fund sponsor strongly believes that rates will decline over the next six months and is concerned about the duration .mismatch between portfolio assets and pension liabilities. Which of the following strategies would be the best way to eliminate the duration mismatch?
A. Enter into a swap transaction in which the firm pays fixed and receives floating.
B. Enter into a swap transaction in which the firm receives fixed and pays floating.
高尔基和他的儿子教学设计C. Purchase an interest rate cap expiring in six months.
D. Sell Eurodollar futures contracts.
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Answer: B .
A is incorrect. Entering into a pay fixed swap will further reduce the duration of the assets. This will exacerbate the interest rate risk arising from the duration mismatch.
B is correct. Because the duration of the pension liabilities exceeds the duration of the bond portfolio (assets), the pension plan is at risk if interest rates fall. Specifically, in a falling rate environment, the value of the liabilities will increase by more than will the value of the assets, thereby eroding the pension surplus. The duration of a swap equals the difference between the duration of the fixed leg and the duration of the floating leg. By entering into a receive-fixed swap, the pension plan can increase the portfolio duration to equal that of the pension liabilities and consequently reduce interest rate risk.
C is incorrect. The duration of the option is only six months and would therefore not offset the duration mismatch.
D is incorrect. Selling futures will reduce the portfolio duration and augment the duration mismatch.
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