NO.PZ201812020100000303
问题如下:
Serena is a risk management specialist with Liability Protection Advisors. Trey, CFO of Kiest Manufacturing, enlists Serena’s help with three projects.
The
first project is to defease some of Kiest’s existing fixed-rate bonds that are
maturing in each of the next three years. The bonds have no call or put
provisions and pay interest annually. Exhibit 1 presents the payment
schedule for the bonds.
Serena
explains to Trey that the underlying duration-matching strategy is based on the
following three assumptions.
1.
Yield curve shifts in the future will be
parallel.
2.
Bond types and quality will closely match
those of the liabilities.
3.
The portfolio will be rebalanced by buying or
selling bonds rather than using derivatives.
The
third project for Serena is to make a significant direct investment in broadly
diversified global bonds for Kiest’s pension plan. Kiest has a young workforce,
and thus, the plan has a long-term investment horizon. Trey needs Serena’s help
to select a benchmark index that is appropriate for Kiest’s young workforce.
Serena discusses three benchmark candidates, presented in Exhibit 3
With
the benchmark selected, Trey provides guidelines to Serena directing her to (1)
use the most cost-effective method to track the benchmark and (2) provide low
tracking error.
After
providing Trey with advice on direct investment, Serena offered him additional
information on alternative indirect investment strategies using (1) bond mutual
funds, (2) exchange-traded funds (ETFs), and (3) total return swaps.
Trey
expresses interest in using bond mutual funds rather than the other strategies
for the following reasons.
1.
Reason 1: Total return swaps have much higher
transaction costs and initial cash outlay than bond mutual funds.
2.
Reason 2: Unlike bond mutual funds, bond ETFs
can trade at discounts to their underlying indexes, and those discounts can
persist.
3.
Reason 3: Bond mutual funds can be traded
throughout the day at the net asset value of the underlying bonds.
Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?
选项:
A.Portfolio A
B.Portfolio B
C.Portfolio C
解释:
A is correct.
The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.
组合A的BPV和liability的BPV差了19(10524-10505)还不算大嘛?
记得FI里面有过一道题(如下)C的duration比A的duration少了0.4,就没有选择答案C,因为差别太大了