Hedge Ratio for Immunization

CFA Level III Fixed Income
#1

In the CFA book it doesn’t explicitly say where the hedge ratio is in the formula on p. 83, but they say that the expression for the notional principal on a interest rate swap to close the gap to zero can be calculated as:

Asset BPV + [NP x (Swap BPV)/100] = Liability BPV.

Re-arranging the formula I got

NP = (Liability BPV - Asset BPV) (100/Swap BPV)

They say a hedge ratio = 100% indicates an attempt to fully immunize the assets and liabilities.

Is the hedge ratio in the above formula “100”? I calculated the example below the formula using 50 instead and got half the amount of the NP, but needed some confirmation.

Thanks in advance

#2

Nvm. I’m dumb. I guess we could scale the swap BVP by notional to get the same effect as multiplying NP by hedge ratio per the book. Blegh.