2008 L3 Sample Exam V2 Q11 范晕 Case MBS Hedge Interest Rate Volatility Strat corporate, security, mortgage, interest, current

PassCFA2010

 范晕(Yun Fan) US fixed income asset manager, the portfolio invests in Ts, noncallable corporate bonds and MBS (mortgage backed security).

范晕说：mortgage securities have significant exposure to volatility risks. Our expectation is that the current implied interest rate volatility will exceed future realized interest rate volatility. Therefore it should be appropriate to manage volatility risk by hedging dynamically or  by using options.

Question：Given the current implied interest rate volatility will exceed future realized interest rate volatility (as in the statement), Fan's most appropriate action following a decline in interest rate would be to :

Answer: purchase futures.

教材上相关内容在 v4 p172. 并没有展开说明。哪位fixed income高手指点一二。谢谢！对这道题我真的很犯晕。

[此贴子已经被作者于2010-5-22 7:26:39编辑过]

REDFOXFLY

MBS will experience significant prepayment risk in declining interest rate market, a possible hedge is to enter a short position in interest rate future so as to get the trade-off (F-St).

 

It should a short position in future, is it a long position in the answer book?

julia777

还是应该long future吧。正如楼上说的，要对冲利率下调的reinvestment risk，long future才能将提前还本的proceeds变成现行利率下持仓债券，而不应该short future

nametom

     楼主不必烦恼。你看的2008考题觉得与2010CFA教材不靠谱这很正常。因为，CFA教材和考点几乎每年都在变化，听一些通过L3的牛人讲，相隔时间越长那么参考价值都越小。不信，你拿2008的CFA教材和2010CFA教材对比一下，看看是否有变化。窃以为，从对付考试的角度出发，前一年的考题最有参考价值，至于再往前的，有时间看看也好，但分量不能太大。

minminmin

这题我今天也做到 也犯晕

PassCFA2010

 多谢大家！对这道题，我觉得Julia MM 说的有道理。

TOM 说的对。老题参考价值有限。

时间不多了，我决定放弃追求真理了。把重要的再过一遍，CFAI, 请少出怪题啊今年。

[此贴子已经被作者于2010-5-27 21:27:11编辑过]