单一或多个负债

问题如下：

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.

Based on Exhibit 2, the portfolio with the greatest structural risk is:

选项：

Portfolio A.

Portfolio B.

Portfolio C.

解释：

C is correct.

Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and non-parallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.