Liability-Driven and Index-Based Strategies - Part II (2025 Level III CFA® - Reading 11)

[@Ankitsharma-sd7mi]

Thank you for the video

[@analystprep]

You're very welcome! If you like our video lessons, it would be appreciated if you could take 2 minutes of your time to leave us a Google review using this link: g.page/r/CQIlM78xSg01EB0/review

[@ASMRGEMSTON]

Thanks Prof James. Your video helped we passed L1 and L2. One question of this video, my Kaplan book kept the advanced strategy very short and did not mention the nee to calculate and all these risks associated. Makes me wonder if it is good to have knowledge or Kaplan is just keeping important content ?

[@analystprep]

They include what they feel is the most important and we include what we feel is the most important. A mix of these videos + study notes or the actual curriculum would probably be what would be best. And then using a QBank and mock exams to practice what you have learned.

[@nielpatade3269]

why aren't lectures of all readings available in this series?

[@matthewhanson3345]

Can you tighten up your website materials? Note: Duration is most accurately used for measuring the sensitivity of a bond's price to changes in interest rates for **parallel shifts in the yield curve only**. Therefore, the correct answer is: B. Parallel shifts only. Duration is a measure of the average life of a bond's cash flows, weighted by the present value of those cash flows. It is a useful tool for estimating the impact of interest rate changes on the price of a bond or a bond portfolio. However, duration assumes a parallel shift in the yield curve, meaning it assumes that interest rates for all maturities change by the same amount. It is less effective at predicting the impact of non-parallel shifts, such as yield curve twists, where interest rates for different maturities change by different amounts.

[@pandreou9382]

Hi, why would I want to use a swaption collar (buy receiver, sell payer) when rates are expected to increase? If rates increase above the strike of the sold payer, I will have the obligation to rec. fixed (below what is now the current fixed rate) and pay higher floating payments. I would use a swaption collar when rates are expected to DECREASE, so that my receiver swaption will be in the money when rates fall, and the sole payer expires worthless. 25:09

[@matthewhanson3345]

cost

[@kennettadams5770]

I am clearly missing something here. If Duration gap = BPV (liabilities) - BPV (assets), then how is there a negative duration gap when BPV (liabilities) is greater than BPV (assets)? Shouldn't this be a positive duration gap? Thank you.

[@takudzwandachena4054]

Duration Gap=BPV (Assets)−BPV (Liabilities)

[@matthewhanson3345]

More mistakes made in the complicated topics.. Your question at the bottom has semi-annual cash flows of $2, for 8 periods, and yes the Macaulay duration is 7.4481. I agree. Not correct, "This can be annualized by dividing by the number of coupon payments in a year."