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moon · 2022年07月26日

组合A的BPV和liability的BPV差了19(10524-10505)还不算大嘛?

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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.


The second project for Serena is to help Trey immunize a $20 million portfolio of liabilities. The liabilities range from 3.00 years to 8.50 years with a Macaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexity of 33.05, and basis point value (BPV) of $10,505. Serena suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.



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



1 个答案
已采纳答案

pzqa015 · 2022年07月26日

嗨,爱思考的PZer你好:


那是mac duration相差0.4,mac duration是时间的概念,相差0.4就差了将近半年,如果资产与负债的现金流发生时间差半年,显然是很难免疫成功的。

BPV是portfolio value变动的值,对于一个万级别的数字,相差19,也就是相差千分之一,是可以容忍的,资产的BPV很难做到与负债的BPV完全相等。

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努力的时光都是限量版,加油!

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