Bond Portfolio Hedging with U.S. Treasury Futures

Adam Kobor ()
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Adam Kobor: New York University

Chapter Chapter 14 in Derivatives Applications in Asset Management, 2025, pp 241-249 from Springer

Abstract: Abstract The focus of this chapter is on bond portfolio hedging with U.S. Treasury futures, highlighting interest rate risk management. A hypothetical bond portfolio demonstrates how portfolio managers use futures to adjust the portfolio’s duration and mitigate exposure to adverse yield curve shifts. By examining hedging strategies with 2-year, 5-year, and 10-year Treasury futures, the case illustrates the benefits of using a tailored basket of futures contracts to optimize the portfolio’s key-rate duration profile, effectively neutralizing the impact of rate changes while preserving positive carry.

Keywords: Duration management; Interest rate futures; Key-rate duration; Treasury hedging; Yield curve; Duration management; Interest rate futures; Key-rate duration; Treasury hedging; Yield curve (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-86354-7_14

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DOI: 10.1007/978-3-031-86354-7_14

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