SOA Exam FM Sample Question 306
Study guide: Exam FM-2
You are given the following information regarding Company J.
i) It has a single liability of 1.75 million to be paid 12 years from now.
ii) Its asset portfolio consists of a zero-coupon bond maturing in 5 years for 242,180 and a zero-coupon bond maturing in 14 years for X.
iii) At an annual effective interest rate of 7%, Company J's position is fully immunized.
Calculate the present value of the assets less the present value of the liabilities if the annual effective interest rate immediately changes to 4%.
- A) 5,910
- B) 8,871
- C) 11,029
- D) 14,746
- E) 17,462
Answer this question and see the worked solution
Concepts tested
- Immunization
- Duration
- Bonds
- Portfolio
- Asset-Liability Portfolio
- Duration Matching
- Redington Immunization