2 bond hedge

CFA Level III
#1

let’s say mortgage security has par of 10M let’s say H2= 0.24 do i short 2.4 M par value or mkt value?

#2

uh…I thought this is 2 bond hedge…don’t you need information on H1??

#3

H2= 2 year future

#4

anyway…to answer your first question==> I don’t think so.

#5

don’t think so? so it’s 2.4M market value?

#6

v4, p67, right after the answer you can find how to interpret the answer. In short, it should be 0.24 per $1 of par amount of the security.

#7

Got to be the market value.

#8

the answer in volume 4 says 0.24 per 1$ of par amount, whatever that means.