为什么收益率下降，就应该多买，而不是少买？

NO.PZ202209060200004002 问题如下 The most appropriate action given Puhuyesva’s views on interest rates anthe information in Exhibit 1 woulto buy: A.492 contracts. B.614 contracts. C.552 contracts. SolutionB is correct. The number of futures contracts neeto fully remove the ration gbetween the asset anliability portfolios is given (BPV liability - BPV asset) / Futures BPVwhere BPV is basis point value (of the liability portfolio, asset portfolio, anfutures contract, respectively). In this case, Nf = (299,860−243,376) / 102.30 =+552.1, where the plus sign incates a long position in or buying 552 futures contracts. Because the value of assets is more th2% greater ththe value of liabilities (217.3/206.8 – 1 = 5.1%) anPuhuyesva believes interest rates will fall, the ration of assets shoulgreater ththe ration of liabilities so ththe surplus will rise if interest rates fall. Therefore, more th552 contracts shoulbought.A is incorrebecause buying 492 contracts woulleave the ration of assets lower ththe ration of liabilities anthe surplus woulcrease if interest rates fall.C is incorrebecause buying 552 contracts woulfully immunize the surplus anit woulneither increase nor crease if interest rates fall. rate下降 PV liability会上升更多所以long 更多的futures对吗？但是asset不受rate上升的影响

NO.PZ202209060200004002 问题如下 Chosovi Puhuyesva is the chief investment officer of Abiquia MutuAssuranCompany, a provir of life insurance, whiis heauarterein Albuquerque, New Mexico. Puhuyesva manages asset portfolio of fixeincome securities signeto funAbiquia’s insuranliabilities angrow its surplus so to protemembers from premium increases or possibly allow for premium rections.Puhuyesva’s approamatches the interest rate sensitivity of the asset portfolio to thof the liabilities. If she hreasonably strong beliefs about how interest rates will change in the nefuture anthe surplus excee her thresholof 10% of assets, she will aust the interest rate sensitivity of the asset portfolio to attempt to increase the surplus. She typically uses rivatives positions to aust the asset portfolio’s interest rate sensitivity, rather thbuying anselling securities. Puhuyesva believes interest rates will fall over the next three months anwants to position the asset portfolio accorngly. She inten to use futures contracts on the 10-yeTreasury bon The three-month contraha pvalue of US00,000 ana basis point value of US02.30 per contract. Exhibit 1 provis current information about the asset anliability portfolios.Exhibit 1 Abiquia’s Assets anLiabilitiesThe benchmark of the Abiquia asset portfolio is complex anis composeof fixeweights of a variety of globfixeincome inxes. Recently, a cision wma to a South Americto the benchmark a 6% weight. Puhuyesva’s assistant, Alo Honanie, is taskewith finng appropriate inx for South Americsecurities. He narrows his choices to three: u Sumericana (), Renta Fija Sumericana (RFS), anBonos Sur y Centro Ameri(BSCA). All three contain similmixtures of corporate angovernment with cret rating weightings thare essentially the same. Summary information for these inxes is founin Exhibit 2.Exhibit 2: South AmericInxesHonanie anPuhuyesva meet to scuss the choiof inxes. Puhuyesva expresses her concerns about the fficulties they will fain trying to purchase securities to matthe inx chosen: “Whatever inx we choose, my gois to matit closely possible while minimizing costs. We will neeto focus on minimizing tracking risk. One aantage we have over equity portfolio managers is thfixeincome valuation mols are mumore reliable ththose for equities; therefore, it is mueasier to termine the value of a fixeincome portfolio thequity portfolio.”Honanie respon, “Because of the intensize of our South Americportfolio, it woultoo expensive to attempt full replication of any of these inxes. The two choices available to us are purchasing securities that, together, matthe primary risk characteristiof the chosen inx or purchasing pooleinvestments, sumutufun or exchange-trafun. A synthetic strategy cannot pursuebecause there are no exchange-trarivative contracts for these inxes.” The Abiquia asset portfolio benchmark ha US Treasury component. Puhuyesva asks Honanie to explore choices for thpieof the portfolio anprovi executive summary to her. Honanie’s summary compares laere bullet, anbarbell portfolio structures, assuming the same portfolio value anration, anhighlights three key fferences. fferen1: The laereportfolio woulhave lower convexity ththe other portfolio styles.fferen2: The laereportfolio woulprovi for better liquity management relative to the other portfolio styles.fferen3: The laereportfolio woulprovi better versification over the interest rate cycle comparewith the other portfolio styles.Question The most appropriate action given Puhuyesva’s views on interest rates anthe information in Exhibit 1 woulto buy: A.492 contracts. B.614 contracts. C.552 contracts. SolutionB is correct. The number of futures contracts neeto fully remove the ration gbetween the asset anliability portfolios is given (BPV liability - BPV asset) / Futures BPVwhere BPV is basis point value (of the liability portfolio, asset portfolio, anfutures contract, respectively). In this case, Nf = (299,860−243,376) / 102.30 =+552.1, where the plus sign incates a long position in or buying 552 futures contracts. Because the value of assets is more th2% greater ththe value of liabilities (217.3/206.8 – 1 = 5.1%) anPuhuyesva believes interest rates will fall, the ration of assets shoulgreater ththe ration of liabilities so ththe surplus will rise if interest rates fall. Therefore, more th552 contracts shoulbought.A is incorrebecause buying 492 contracts woulleave the ration of assets lower ththe ration of liabilities anthe surplus woulcrease if interest rates fall.C is incorrebecause buying 552 contracts woulfully immunize the surplus anit woulneither increase nor crease if interest rates fall. 想问一下是不是因为，interest rate 现在会上涨，我计算出的future是552 就可以cover BPV的gap了，但是现在为了保持surplus，我可以long 更多的futures ？但是case中没有体现这个意图啊

NO.PZ202209060200004002 问题如下 The most appropriate action given Puhuyesva’s views on interest rates anthe information in Exhibit 1 woulto buy: A.492 contracts. B.614 contracts. C.552 contracts. SolutionB is correct. The number of futures contracts neeto fully remove the ration gbetween the asset anliability portfolios is given (BPV liability - BPV asset) / Futures BPVwhere BPV is basis point value (of the liability portfolio, asset portfolio, anfutures contract, respectively). In this case, Nf = (299,860−243,376) / 102.30 =+552.1, where the plus sign incates a long position in or buying 552 futures contracts. Because the value of assets is more th2% greater ththe value of liabilities (217.3/206.8 – 1 = 5.1%) anPuhuyesva believes interest rates will fall, the ration of assets shoulgreater ththe ration of liabilities so ththe surplus will rise if interest rates fall. Therefore, more th552 contracts shoulbought.A is incorrebecause buying 492 contracts woulleave the ration of assets lower ththe ration of liabilities anthe surplus woulcrease if interest rates fall.C is incorrebecause buying 552 contracts woulfully immunize the surplus anit woulneither increase nor crease if interest rates fall. If she hreasonably strong beliefs about how interest rates will change in the nefuture anthe surplus excee her thresholof 10% of assets, she will aust the interest rate sensitivity of the asset portfolio to attempt to increase the surplus.这句话意思不是说surplus超过资产的10%才会去主动管理以追求更大的surplus么？所以现在没有超过10%，不就不追求更大的surplus么，就完全hee就好了？

NO.PZ202209060200004002 问题如下 The most appropriate action given Puhuyesva’s views on interest rates anthe information in Exhibit 1 woulto buy: A.492 contracts. B.614 contracts. C.552 contracts. SolutionB is correct. The number of futures contracts neeto fully remove the ration gbetween the asset anliability portfolios is given (BPV liability - BPV asset) / Futures BPVwhere BPV is basis point value (of the liability portfolio, asset portfolio, anfutures contract, respectively). In this case, Nf = (299,860−243,376) / 102.30 =+552.1, where the plus sign incates a long position in or buying 552 futures contracts. Because the value of assets is more th2% greater ththe value of liabilities (217.3/206.8 – 1 = 5.1%) anPuhuyesva believes interest rates will fall, the ration of assets shoulgreater ththe ration of liabilities so ththe surplus will rise if interest rates fall. Therefore, more th552 contracts shoulbought.A is incorrebecause buying 492 contracts woulleave the ration of assets lower ththe ration of liabilities anthe surplus woulcrease if interest rates fall.C is incorrebecause buying 552 contracts woulfully immunize the surplus anit woulneither increase nor crease if interest rates fall. 老师好，我想问一下这道题对应的是基础班的那一个考点或者哪句话呢？之前完全没有意识到要增大ration所以要多买futures的这个情况。

NO.PZ202209060200004002问题如下The most appropriate action given Puhuyesva’s views on interest rates anthe information in Exhibit 1 woulto buy:A.492 contracts.B.614 contracts.C.552 contracts. SolutionB is correct. The number of futures contracts neeto fully remove the ration gbetween the asset anliability portfolios is given (BPV liability - BPV asset) / Futures BPVwhere BPV is basis point value (of the liability portfolio, asset portfolio, anfutures contract, respectively). In this case, Nf = (299,860−243,376) / 102.30 =+552.1, where the plus sign incates a long position in or buying 552 futures contracts. Because the value of assets is more th2% greater ththe value of liabilities (217.3/206.8 – 1 = 5.1%) anPuhuyesva believes interest rates will fall, the ration of assets shoulgreater ththe ration of liabilities so ththe surplus will rise if interest rates fall. Therefore, more th552 contracts shoulbought.A is incorrebecause buying 492 contracts woulleave the ration of assets lower ththe ration of liabilities anthe surplus woulcrease if interest rates fall.C is incorrebecause buying 552 contracts woulfully immunize the surplus anit woulneither increase nor crease if interest rates fall. 题目中没有明确表述需要overhee