问题如下:
Albert Henri is the fixed income manager of a large Canadian pension fund. The present value of the pension fund’s portfolio of assets is CAD 4 billion while the expected present value of the fund5s liabilities is CAD 5 billion. The respective modified durations are 8.254 and 6.825 years. The fund currently has an actuarial deficit (assets < liabilities) and Albert must avoid widening this gap. There are currently two scenarios for the yield curve: The first scenario is an upward shift of 25bp, with the second scenario a downward shift of 25bp. The most liquid interest rate futures contract has a present value of CAD 68,336 and a duration of 2.1468 years. Analyzing both scenarios separately, what should Albert Henri do to avoid widening the pension fund gap? Choose the best option.
选项:
解释:
ANSWER: A
We first have to compute the dollar duration of assets and liabilities, which gives, in millions,4,000×8.254=33,016 and 5,000×6.825=34,125, respectively. Because the DD of liabilities exceeds that of assets, a decrease in rates will increase the liabilities more than the assets, leading to a worsening deficit. Albert needs to buy interest rate futures as an offset. The number of contracts is (34,125-33,016)/(68,336×2.1468/1,000,000) =7,559.
老师您好,这个是之前同学提出的问题,老师的解答“利率下跌,国债期货就会赚钱,来弥补这个赤字的扩大。”这句话的意思,我理解不就是利率下降会缩小赤字吗?那就不就是资产会增加,负债会减少吗? 为什么答案说 利率下降, liability反而会大于asset呢? 这地方能用经济学的思路来想吗?利率下降不就是为减少deficit?利率下降,债券价格上升,这不是利好的吗?