Financial Risk Manager Part 1

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Explanation:

Explanation

Forward Bucket '01 Calculation

The forward bucket '01 measures the change in a bond's value when forward rates in a specific time bucket increase by 1 basis point (0.01%).

Current bond value:

\frac{5,000}{1.03} + \frac{5,000}{1.03^2} + \frac{105,000}{1.03^3} = 105,657.22

When forward rates in the 2-3 year bucket increase by 1 bp:

Bond value after shift:

\frac{5,000}{1.03} + \frac{5,000}{1.03 \cdot 1.0301} + \frac{105,000}{1.03 \cdot 1.0301 \cdot 1.0301} = 105,647.89

\text{Forward Bucket '01} = 105,657.22 - 105,647.89 = \text{CNY } 9.33

This calculation demonstrates how forward bucket '01 isolates the interest rate sensitivity of cash flows in specific forward time periods.

Explanation:

Forward Bucket '01 Calculation

The forward bucket '01 measures the change in a bond's value when forward rates in a specific time bucket increase by 1 basis point (0.01%).

Current bond value:

\frac{5,000}{1.03} + \frac{5,000}{1.03^2} + \frac{105,000}{1.03^3} = 105,657.22

When forward rates in the 2-3 year bucket increase by 1 bp:

Bond value after shift:

\frac{5,000}{1.03} + \frac{5,000}{1.03 \cdot 1.0301} + \frac{105,000}{1.03 \cdot 1.0301 \cdot 1.0301} = 105,647.89

\text{Forward Bucket '01} = 105,657.22 - 105,647.89 = \text{CNY } 9.33

This calculation demonstrates how forward bucket '01 isolates the interest rate sensitivity of cash flows in specific forward time periods.

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Last updated: July 13, 2026 at 10:23

CNY 9.33

43.5%

CNY 19.11

21.7%

CNY 20.04

17.4%

CNY 27.98

17.4%