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ASET - 301 April 04, qu 1

G

Gareth

Member
In the solution to the above it is noted that the futures are a positive exposure in the underlying and negative in cash.

But when working out the proportion in equity, FI, cash the futures are treated as 100% in the underlying... Why?

Is it the fact we are not given the agreed future price and current spot price, which would be needed to split it up? - I.e. In the absence of required data we just make an assumption?

If so, I would expect this to be explicitly stated in the answer, which leads me to think I am missing something here...
 
Hi Gareth

I think that the ASET commentary and calculations are consistent. For example:

- the commentary says that the value of the long gilt futures contracts is 15,916,500 (positive exposure in gilts and negative exposure in cash).

- this figure is used in both the exposure to fixed-interest and the exposure to cash calculations

Hope this resolves this issue. But apologies if I have misunderstood your question
 
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