FRM question 3. Who could explain?

  1. In a market crash the following are usually true? I.Fixed income portfolios hedged with short U.S. Government bonds and futures lose less than those hedged with interest rate swaps given equivalent durations. II.Bid offer spreads widen due to less liquidity. III. The spread between off the run bonds and the benchmark issues widen. a. I, II, and III b. II and III c. I and III d. None of the above


b given equal durations, the hedge should be the same.

a ?