Bank Al-Maghrib

Bank Al-Maghrib’s 16 October 2026 reference curve, fitted with NSS (3.85 bp in-sample, 30.6 bp leave-one-out) and used to price an 81.4M MAD sovereign book. A duration-only hedge zeroes total DV01 with a 76.9M short in the 8.7Y line, but concentrates key-rate risk at that point and leaves 3.40B of convexity. A two-instrument duration+convexity hedge zeroes both but leaves +369k to a +100 bp belly move at 12.76Y. A six-line key-rate hedge (3.5Y–28.5Y) cuts belly P&L to +86k, is 95% executable under a 10M-per-line cap, and cuts daily backtest volatility from 112k to 6k MAD. The duration-only hedge leaves 50k and still has the largest residual among the hedges.

A 38-year-old household with 300,000 MAD saved and 8,000 MAD a month funds a property down payment, four years of university and retirement from one portfolio. Using real BAM, BVC, gold, USD/MAD and World Bank inflation data, 10,000 monthly paths, and Moroccan tax drag from the CGI, the diversified plan succeeds 63.4% of the time. The bank deposit funds the house and the degree but only 46.5% of retirement, exhausting the portfolio around age 75. Taxes cost 16 points of success; inflation is the largest single risk.