对冲

问题如下：

A hedge fund has invested USD 100 million in mortgage-Backed securities. The risk manager is concerned about prepayment risk if interest rates fall. Which of the following strategies is an effective hedge against the potential loss due to a drop in interest rates?

选项：

A.

Short forward rate agreement (FRA), long T-bond futures

B.

Long FRA, short T-bond futures

C.

Long FRA, long T-bond futures

D.

Short FRA, short T-bond futures

解释：

When rates drop, the long position in the futures and the short position in the FRA both gain.