在看HANDBOOK时,有一道题没想明白,想在这里等高人解释以下:题目如下:
EXAMPLE 8.4: FRM EXAM 2000—QUESTION 11
The Chicago Board of Trade has reduced the notional coupon of its Treasury
futures contracts from 8% to 6%. Which of the following statements are
likely to be true as a result of the change?

a. The cheapest-to-deliver status will become more unstable if yields hover
near the 6% range.

b. When yields fall below 6%, higher-duration bonds will become cheapest
to deliver, whereas lower-duration bonds will become cheapest to deliver
when yields range above 6%.

c. The 6% coupon would decrease the duration of the contract, making it
a more effective hedge for the long end of the yield curve.

d. There will be no impact at all by the change.

我知道BCD是不对的,也就是考试时可以通过排除法得到争取答案,但是A是对的我想了很久没想明白.
HANDBOOK的解释得不是很清楚,我也把他贴上来吧.
a. The goal of the CF is to equalize differences between various deliverable bonds.
In the extreme, if we discounted all bonds using the current term structure, the
CF would provide an exact offset to all bond prices, making all of the deliverable
bonds equivalent. This reduction from 8% to 6% notional reflects more closely
recent interest rates. It will lead to more instability in the CTD, which is exactly
the effect intended. Answer b) is not correct, as yields lower than 6% imply that
the CF for long-term bonds is lower than otherwise. This will tend to favor bonds
with high conversion factors, or shorter bonds. Also, a lower coupon increases the
duration of the contract, so c) is not correct.

题外话,我觉得FRM的试题时候还是有点TRICKY的,不知道大家有没有同样的看法