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历年真题放送November2001Course8V（三）——SOA精算师考试

来源：高顿网校 2014-07-21

　　高顿网校友情提醒，高顿网校小编为您精心编制的历年真题放送November2001Course8V（三）——SOA精算师考试。
　　9. (7 points) Consider a simple sequential Commercial Mortgage-Backed Securities

　　(CMBS) deal with the following senior/subordinated structure:

　　Class Rating Average Life Size

　　A-1 AAA 9.3 73.50

　　A-2 AA 10.0 5.50

　　A-3 A 10.0 6.00

　　B-1 BBB 10.0 4.75

　　B-2 BB 10.0 4.00

　　B-3 B 10.0 4.00

　　C Not Rated 10.0 2.25

　　Loan N/A 9.5 100.00

　　Collateral information:

　　Debt Service

　　Coverage

　　Ratio

　　(DSCR)

　　Loan-to-value

　　(LTV)

　　Net Operating

　　Income (NOI)

　　Volatility

　　Original 2.5 65% 6%

　　Stressed 1.2 90% 10%

　　? Collateral consists of 9% coupon, non-callable, 10-year balloon, commercial

　　mortgage loans with a 30-year amortization schedule.

　　? Subordinated class loss allocation: C, B-3, B-2, B-1, A-3, A-2.

　　(a) Describe how your Option Adjusted Spread (OAS) valuations would change by

　　rated class if the collateral weighted average DSCR and LTV ratios were to

　　change over the short term from original to stressed levels.

　　(b) Describe the relative impact of using the stressed NOI volatility assumption

　　versus the original assumption on your OAS valuations for the B classes.

　　COURSE 8: Investment - 10 - GO ON TO NEXT PAGE

　　November 2000

　　Afternoon Session

　　9. (Continued)

　　(c) Assume the following:

　　? The collateral is made up of lower quality commercial mortgage loans that

　　have prepayment penalties and are fully callable at par after five years without

　　penalty.

　　? The most senior class is priced at a discount.

　　Describe the impact of these assumptions on your OAS valuations for the most

　　senior class.

　　(d) (i) Explain the rationale for an issuer to use interest-only (IO) classes in a class

　　structure.

　　(ii) Describe the sensitivity of the OAS valuation of an IO class to default losses

　　and involuntary principal payments in a senior-subordinated CMBS deal.

　　COURSE 8: Investment - 11 - GO ON TO NEXT PAGE

　　November 2000

　　Afternoon Session

　　10. (7 points) You are the portfolio manager for a United Kingdom domiciled insurance

　　company. The portfolio currently has a U.S. asset of $300,000 with a volatility

　　(s) of 0.02 per day.

　　You have been asked to evaluate an investment in a Planned Amortization Class (PAC)

　　tranche of a collaterized mortgage obligation, where the mortgage collateral is residential

　　mortgages originated in the U.S. The PAC security you are considering is $200,000 and

　　has an asset volatility(s) of 0.015 per day.

　　The two assets have a correlation factor of 30%. The change in portfolio value is

　　normally distributed and asset returns have a bivariate normal distribution.

　　(a) Describe the factors affecting mortgage prepayment modeling.

　　(b) Describe, in general, the risks associated with political climate risk.

　　(c) Describe the three distinct categories of currency hedging techniques available for

　　hedging this asset.

　　(d) Assess the benefit of diversification when adding this PAC security to the

　　portfolio, using a 5-day, 95% VAR. Show your work.

　　COURSE 8: Investment - 12 - GO ON TO NEXT PAGE

　　November 2000

　　Afternoon Session

　　11. (6 points) Your company has a portfolio of investment-grade bonds and mortgagebacked

　　securities (MBS) with an option-adjusted duration of 4 years. The portfolio

　　supports a closed block of single premium deferred annuities (SPDAs) with minimum

　　rate guarantees of 5%.

　　The company, using the portfolio yield method, declares the crediting interest rates

　　monthly. However, the V.P. of marketing strongly recommends that the credited rate be

　　based on current market rates.

　　The company's economist has forecast the following interest rates under two economic

　　scenarios:

　　Current

　　Environment

　　Recession

　　Scenario

　　Inflation

　　Scenario

　　10 Year T-Note Yield 6% 4% 8%

　　90 Day T-Bill Yield 5% 3% 11%

　　(a) Predict the effects on your company's asset portfolio and the SPDA block using

　　each interest rate crediting methodologies under the following:

　　(i) recession scenario

　　(ii) inflation scenario

　　(b) Explain why it may be disadvantageous to reposition the portfolio using outright

　　sales and purchases.

　　(c) Describe option strategies to hedge against a movement from the current

　　environment to:

　　(i) recession scenario

　　(ii) inflation scenario

　　(d) Describe the risks related to the options strategies used in (c).

　　COURSE 8: Investment - 13 - GO ON TO NEXT PAGE

　　November 2000

　　Afternoon Session
　　高顿网校之旷世名言：读书之法，在循序而渐进，熟读而精思。 —— 朱熹

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