NO.PZ202209060200004002
问题如下:
The most appropriate action given Puhuyesva’s views on interest rates and the information in Exhibit 1 would be to buy:选项:
A.492 contracts. B.614 contracts. C.552 contracts.解释:
Solution
B is correct.
The number of futures contracts needed to fully remove the duration gap between the asset and liability portfolios is given by
where BPV is basis point value (of the liability portfolio, asset portfolio, and futures contract, respectively).
In this case, , where the plus sign indicates a long position in or buying 552 futures contracts.
Because the value of assets is more than 2% greater than the value of liabilities (217.3/206.8 – 1 = 5.1%) and Puhuyesva believes interest rates will fall, the duration of assets should be greater than the duration of liabilities so that the surplus will rise if interest rates do fall. Therefore, more than 552 contracts should be bought.
A is incorrect because buying 492 contracts would leave the duration of assets lower than the duration of liabilities and the surplus would decrease if interest rates fall.
C is incorrect because buying 552 contracts would fully immunize the surplus and it would neither increase nor decrease if interest rates fall.
题干中提到……the surplus exceeds her threshold of 10% of assets, she will adjust the interest rate sensitivity of the asset portfolio to attempt to increase the surplus. 答案中计算surplus超过2%,就调整Duration获得收益了?