标题: Reading 30: Hedging Mortgage Securities to Capture Relativ [打印本页]
作者: tycoon 时间: 2008-9-16 09:46 标题: [2008] Session 9－ Reading 30: Hedging Mortgage Securities to Capture Relativ
CFA Institute Area 8-11, 13: Asset Valuation
Session 9: Portfolio Management of Global Bonds and Fixed Income Derivatives
Reading 30: Hedging Mortgage Securities to Capture Relative Value
LOS c: Contrast an individual mortgage security to a Treasury security with respect to the importance of yield curve risk.
作者: tycoon 时间: 2008-9-16 09:46
When comparing the number of key rates needed in hedging a mortgage security versus a Treasury security, we generally need to consider:
| A) | more key rates for the mortgage security because of its bullet payment at maturity. |
|
| B) | fewer key rates for the mortgage security because of its bullet payment at maturity. |
|
C) | more key rates for the mortgage security because it lacks a bullet payment at maturity. |
|
| D) | fewer key rates for the mortgage security because it lacks a bullet payment at maturity. |
|
Answer and Explanation
A Treasury bonds price is affected most by changes in the yield associated with its maturity, and this is because of the large bullet payment for that type of bond. Because a mortgage security is essentially an annuity, changes of other rates become more important.
作者: tycoon 时间: 2008-9-16 09:47
When compared to a Treasury security, the yield curve risk of a mortgage security is generally:
| A) | more important and decreases in importance for non-parallel shifts of the yield curve. |
|
| B) | less important and increases in importance for non-parallel shifts of the yield curve. |
|
C) | more important and increases in importance for non-parallel shifts of the yield curve. |
|
| D) | less important and decreases in importance for non-parallel shifts of the yield curve. |
|
Answer and Explanation
Because of the prepayment option and the fact that there is not a bullet payment option at maturity, mortgage securities have more yield curve risk, which is by definition caused by non-parallel shifts of the yield curve.
作者: tycoon 时间: 2008-9-16 09:47
When compared to a Treasury security, the key durations of a mortgage security are:
| A) | more in number and can only be positive while those of Treasury securities can be negative. |
|
| B) | fewer in number and can only be positive while those of Treasury securities can be negative. |
|
C) | more in number and can be negative or positive while those of Treasury securities can only be positive. |
|
| D) | fewer in number can be positive or negative while those of Treasury securities can only be positive. |
|
Answer and Explanation
A Treasury security with its bullet payment is likely to have only one and certainly fewer key durations than a mortgage security. The durations will have the usual positive sign. For interest only (IO) mortgage securities, some of the durations may be opposite to the normal sign, i.e., negative.
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |