NO.PZ2023032703000087
问题如下:
Kevin Baker is a fixed income portfolio
manager at White Capital Inc. (WC). WC is a US-based investment firm specializing in fixed income and alternative
investments and manages accounts for many institutional clients.
Baker meets with a client, Thomas Zerke, who wants to immunize a
single 8-year liability of $65,000,000. The present value of the liability is
$55,450,550.
Baker explains to Zerke that immunization is a process of structuring
and managing a fixed income bond portfolio to minimize the variance in the
realized rate of return over a known time horizon. This variance arises from
the volatility of future interest rates. Baker adds that there are several
available methods for immunizing a liability, including cash flow matching,
duration matching, and contingent immunization. (2023Mock A)
A. Describe the cash flow matching and the
duration matching immunization methods. (答案只需写出和cash flow matching相关的内容)
选项:
解释:
Correct Answer:
Cash flow matching is an immunization approach that attempts to ensure that all future liability payouts are matched precisely by cash flows from bonds (coupons and bond principal) or fixed income derivatives. A motive for cash flow matching can be accounting defeasance, whereby both the assets and liabilities are removed from the balance sheet.
Cash flow matching is using bonds with different durations to match the future liabilities. Bonds are all hold to maturity so Baker could buy a 8-year zero-coupon bond with the principal value of 65,000,000.
我是这么回答的,但是看答案后面还写了一句: A motive for cash flow matching can be accounting defeasance, whereby both the assets and liabilities are removed from the balance sheet. 这个有必要写吗