SOA Exam FM Sample Question 44
Study guide: Exam FM-2
A liability consists of a series of 15 annual payments of 35,000 with the first payment to be made one year from now.
The assets available to immunize this liability are five-year and ten-year zero-coupon bonds.
The annual effective interest rate used to value the assets and the liability is 6.2%. The liability has the same present value and duration as the asset portfolio.
Calculate the amount invested in the five-year zero-coupon bonds.
- A) 127,000
- B) 167,800
- C) 208,600
- D) 247,900
- E) 292,800
Answer this question and see the worked solution