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
