问题如下：
Serena Soto is a risk management specialist with Liability Protection Advisors. Trey Hudgens, CFO of Kiest Manufacturing, enlists Soto’s help with three projects. The first project is to defease some of Kiest’s existing fixed-rate bonds that are maturing in each of the next three years. The bonds have no call or put provisions and pay interest annually. Exhibit 1 presents the payment schedule for the bonds.
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.
Soto explains to Hudgens that the underlying duration-matching strategy is based on the following three assumptions.
1.Yield curve shifts in the future will be parallel.
2.Bond types and quality will closely match those of the liabilities.
3.The portfolio will be rebalanced by buying or selling bonds rather than using derivatives.
The third project for Soto is to make a significant direct investment in broadly diversified global bonds for Kiest’s pension plan. Kiest has a young workforce, and thus, the plan has a long-term investment horizon. Hudgens needs Soto’s help to select a benchmark index that is appropriate for Kiest’s young workforce and avoids the "bums" problem. Soto discusses three benchmark candidates, presented in Exhibit 3.
With the benchmark selected, Hudgens provides guidelines to Soto directing her to (1) use the most cost-effective method to track the benchmark and (2) provide low tracking error.
After providing Hudgens with advice on direct investment, Soto offered him additional information on alternative indirect investment strategies using (1) bond mutual funds, (2) exchange-traded funds (ETFs), and (3) total return swaps. Hudgens expresses interest in using bond mutual funds rather than the other strategies for the following reasons.
Reason 1: Total return swaps have much higher transaction costs and initial cash outlay than bond mutual funds.
Reason 2: Unlike bond mutual funds, bond ETFs can trade at discounts to their underlying indexes, and those discounts can persist.
Reason 3: Bond mutual funds can be traded throughout the day at the net asset value of the underlying bonds.
Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?
选项：
A.Portfolio A
B.Portfolio B
C.Portfolio C
解释：
A is correct.
The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.
不好意思这题我真是晕了，Multi liabilites 不是要求 Asset Cov大于 Liabilities Cov 且 尽量小吗？ 那难道不是选B？？？
