2009 Mock PM #51 yield beta

CFA Level III
#1

yield beta = 1.12, but the answer doesn’t take it into account. Why?

shouldn’t we multiply the whole thing by the yield beta and get 322?

#2

yield beta was provided for the CTD bond –

Yield Beta indicates the relationship between the Bond to be HEDGED (Portfolio) and the CTD Bond - not between the CTD bond and the Futures Contract. So XXX is wrong in the statement above – which fact is brought out by Q 50.

Hence there is no need to multiply the yield beta here - since by default (in the absence of other information) - yield beta = 1.

#3

Thanks, cpk123!