虽然asset的market value大于liability，但是没有超过10%的阈值，可以用active management？
Puhuyesva’s approach matches the interest rate sensitivity of the asset portfolio to that of the liabilities. If she has reasonably strong beliefs about how interest rates will change in the near future and 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. She typically uses derivatives positions to adjust the asset portfolio’s interest rate sensitivity, rather than buying and selling securities.
Puhuyesva believes interest rates will fall over the next three months and wants to position the asset portfolio accordingly. She intends to use futures contracts on the 10-year Treasury bond. The three-month contract has a par value of USD100,000 and a basis point value of USD102.30 per contract. Exhibit 1 provides current information about the asset and liability portfolios.
The most appropriate action given Puhuyesva’s views on interest rates and the information in Exhibit 1 would be to buy:
- 492 contracts.
- 614 contracts.
- 552 contracts.
