23322085
Beschreibung
Quiz von Amit Mehta, aktualisiert more than 1 year ago
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Erstellt von Amit Mehta
vor mehr als 4 Jahre
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Frage 1
Frage
Building a dedicated portfolio of coupon-paying bonds to ensure that there are sufficient cash inflows to pay for scheduled cash outflows does not:
Antworten
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A rely on coupon payments and the maturing or sale of bonds to meet those cash outflows.
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B qualify for accounting defeasance in which both the assets and the liabilities can be removed from the balance sheet.
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C potentially suffer from the cash-in-advance constraint since sufficient funds must be available on or before each cash outflow date.
Frage 2
Frage
Consider the following characteristics of a company’s debt liabilities: MV = $50M, ModDur = 6, BPV = 30,000.
The asset portfolio consists of the following: MVbonds = $65M, ModDur = 3, BPV = 19,500, long 70 interest rate futures contracts with a BPV of 75.
The asset manager, following a contingent immunization approach, is:
Antworten
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A over-hedged in anticipation of falling rates.
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B under-hedged in anticipation of rising rates.
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C under-hedged in anticipation of falling rates.
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