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I need 100% correct answer will be upvote Because of the recent volatility of interest rates, the CRO of a hedge fund proposes to completely
I need 100% correct answer will be upvote
Because of the recent volatility of interest rates, the CRO of a hedge fund proposes to completely eliminate the 5-year, 10-year, and 30year exposure of the fixed income portfolio. The table below presents the key rate ' 01s of the current portfolio and corresponding hedging instruments: ey Rate '01 (per 100 face amount) Key Rate '01 (USD ) What is the CRO's hedging transaction? Because of the recent volatility of interest rates, the CRO of a hedge fund proposes to completely eliminate the 5-year, 10-year, and 30year exposure of the fixed income portfolio. The table below presents the key rate ' 01s of the current portfolio and corresponding hedging instruments: ey Rate '01 (per 100 face amount) Key Rate '01 (USD ) What is the CRO's hedging transaction? What is the CRO's hedging transaction? Sell USD 357,000 of Bond 1; A Sell USD 127,000 of Bond 2; Sell USD 616,000 of Bond 3 Buy USD 270,000 of Bond 1; B Sell USD 127,000 of Bond 2; Buy USD 616,000 of Bond 3 Sell USD 270,000 of Bond 1; Buy USD 127,000 of Bond 2; Sell USD 616,000 of Bond 3 Buy USD 357,000 of Bond 1; Sell USD 616,000 of Bond 3Step by Step Solution
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