老师，还是不太理解

NO.PZ2023091802000097

问题如下：

A hedge fund has invested USD 100 million in mortgage-Backed securities. The risk manager is concerned about prepayment risk if interest rates fall. Which of the following strategies is an effective hedge against the potential loss due to a drop in interest rates?

选项：

Short forward rate agreement (FRA), long T-bond futures

Long FRA, short T-bond futures

Long FRA, long T-bond futures

Short FRA, short T-bond futures

解释：

When rates drop, the long position in the futures and the short position in the FRA both gain.

对于fra来说与利率是同向是因为标的物是利率，对于t-bond futures与利率反向因为标的物是债券吗？

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pzqa27 · 2024年11月05日

嗨，努力学习的PZer你好：

并不是国债期货的标的物是100-MRR，所以它的价格变化跟利率是反向

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努力的时光都是限量版，加油！

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NO.PZ2023091802000097 问题如下 A hee funhinvesteUS100 million in mortgage-Backeecurities. The risk manager is concerneabout prepayment risk if interestrates fall. Whiof the following strategies is effective hee against thepotentiloss e to a op in interest rates? A.Short forwarrate agreement (FRA), long T-bonfutures B.Long FRshort T-bonfutures C.Long FRlong T-bonfutures Short FRshort T-bonfutures When rates op, the long position in the futures anthe shortposition in the FRA both gain. 我选的是C，答案是A，跟FRA有什么关系，没理解？已持有100m 资产，担心利率下降，bon格上升，long bon.答案A的对冲原理是什么？

2024-04-04 20:41 1 · 回答

老师，还是不太理解

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