6 Questions

My mistake, question 4 was supposed to be: A portfolio manager has used a Treasury bond futures contract to hedge a mortgage security, which is trading at par, against a decrease in value from a 50 basis point increase in yield. If the yield were to decrease 50 basis points, the most likely result is: A) the net value of the position with the hedge will increase. B) the net value of the position with the hedge will decline. C) the net value of the position with the hedge will not change. I really need to work on my proofreading…

C -10.2+22.5+2 A - 15 million * max rate( 4+2.5)+ 4000 call option cost divided by 15 million for 90 days A B - for the new questions A B

A C A A A A? man, that is too many a’s.

cfasf1 Wrote: ------------------------------------------------------- > A > C > A > is four same as three? > A > A? Unfortunately I didn’t notice my slip up until it was too late to edit it. See the second post for question 4.

yup, i edited my answer after i saw it. unfortunately, i’d be lucky to have any of these right… especially the one you just added. fixed income will kill me.

cfasf1 Wrote: ------------------------------------------------------- > A > C > A > A > A > A? > > man, that is too many a’s. Ah, the all too popular “answers have to be different” bias. ; )

1. I have no idea - this has to be a trick question so A can’t be right… 2. C 3. A 4. A 5. A 6. B

mwvt9 Wrote: ------------------------------------------------------- > cfasf1 Wrote: > -------------------------------------------------- > ----- > > A > > C > > A > > A > > A > > A? > > > > man, that is too many a’s. > > Ah, the all too popular “answers have to be > different” bias. ; ) completely logical, right?

Some nasty social studies teacher in middle school gave us a 20 question quiz. At the end he had us pass it to the right to be graded by another student. He then told us that every answer was C. I had this huge list of Cs in front of me and said these can’t all be right (especially towards the end). So I changed a bucnch and got burned.

A A B B A A (ilvino crosses his fingers)

A C A A A B

I’m changing #2 to C. [(15,000,000 + 243,750 / 15,000,000 - 4,021 ) ^(365/90) - 1] = .06872 = C.

Was that in response to my story, ilvino?

Yes, I was hedging in case all the answers are C.

Smart move. You are a lock this year.

I can’t guarantee I’m a lock, since I forgot to assess the basis risk of my letter C hedge - who knows how effective it will be.

1. C 2. C 3. A 4. B 5. A 6. C

sv102307 Wrote: ------------------------------------------------------- > A > C > A > A > A > B Either we’re both going to pass together or fail together. Are you copying my answer key??