NO.PZ2023032703000032
问题如下：
Serena Soto is a risk management specialist with Liability Protection Advisors. Trey Hudgens, CFO of Kiest Manufacturing, enlists Soto’s help with three projects.
The second project for Soto is to help Hudgens 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. Soto suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.
Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?
选项：
A.Portfolio A
Portfolio B
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.
我知道这道题不用Cash Flow Yield来判断，不过我联想到关于它的问题希望老师解答一下，这道题Liability的CFY是3.25%， 而A的CFY是3.16%，A产生的CFY不及liability，所以也可以从侧面印证在初始value差不多的情况下，它产生的IRR满足不了liability的需求？
