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SOA——2014年*7真题November2004CourseV（4）

来源：高顿网校 2014-07-22

　　大家用心把SOA——2014年*7真题November2004CourseV（4），大纲记在脑子里呀，能不过关么？
　　12. (4 points) You are give the following statistics on a real estate portfolio.

　　Property

　　Type

　　Portfolio

　　Weighting

　　Index

　　Weighting

　　Portfolio

　　Returns

　　Index

　　Returns

　　Warehouse 15% 15% 5.50% 6.00%

　　Apartment 15% 15% 3.00% 4.00%

　　Retail 50% 40% 7.88% 7.50%

　　Office 20% 30% 4.25% 4.00%

　　Total 100% 100% 6.06% 5.70%

　　The real estate portfolio manager has made the following assertion:

　　“When it comes to real estate investing, I know exactly which properties are great

　　performers!”

　　He also provided the following two recommendations:

　　? Sell some of the apartment holdings because the occupancy rates are high in all of the

　　apartment buildings in the portfolio leaving little room left for any major price

　　appreciation.

　　? Invest in a retail complex being deve loped on the outskirts of town because of the

　　potential for price appreciation.

　　(a) Evaluate the validity of the real estate portfolio manager’s assertion.

　　(b) Critique each of the recommendations.

　　COURSE 8: Fall 2004 -13- GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　13. (5 points) You are the Mortgage Backed Security analyst at ABC Life Insurance

　　Company. ABC’s chief economist, Jane Schmeau, is projecting that interest rates will

　　rise sharply over the next 12 months and then continue to rise steadily into the

　　foreseeable future. Ms. Schmeau makes the following statement:

　　“Because it is solely the current level of interest rates that determines the rate of

　　mortgage refinancing, the rate of mortgage prepayments will drop sharply in my

　　projected interest rate scenario”.

　　(a) (1 point) Assess Ms. Schmeau’s statement.

　　(b) (4 points) Describe the characteristics, advantages and disadvantages of each of

　　the following securities based upon Ms. Schmeau’s economic projection. Select

　　one of these bonds for purchase.

　　(i) A newly issued PAC with a 7 year average life, a collar of 100%-250%

　　PSA, and a 6 year lockout period

　　(ii) An intermediate pay sequential PAC with a 7 year average life and 6 years

　　of prepayment lockout

　　(iii) Z bond

　　(iv) Z-jump bond

　　COURSE 8: Fall 2004 -14- GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　14. (7 points) Your company is considering adding a Market Value Ad justment (MVA) to its

　　SPDA. The SPDA has the following characteristics:

　　? surrender charges decline over 5 years

　　? minimum guaranteed credited rate of 3.0%

　　? initial crediting rate is 4.0% fixed for 5 years and reset annually thereafter

　　using a new-money rate

　　The MVA Factor being considered uses the following formula:

　　1

　　1

　　T t j

　　i

　　é+ ù-

　　ê? + ú?

　　for i > j

　　where:

　　i is the current market rate

　　j is the fixed crediting rate

　　T-t is the fixed rate period remaining

　　You asked a student to calculate the duration of the SPDA without the MVA. The

　　student’s immediate response is:

　　“This product is sold as a 5 year CD in the bank channel, it will behave like a

　　zero coupon bond with 5 year maturity and effective duration close to 5 years.”

　　(a) Assess the student’s response.

　　(b) Describe the benefit of the MVA feature from an ALM perspective.

　　(c) Compare the effective duration of SPDA with and without the MVA.

　　(d) Describe in what situation a return of premium feature applied before the

　　surrender charge will be in-the- money with 4 more years of initial guarantee

　　remaining.

　　(e) Assess the impact on effective duration of the return of premium feature.

　　(f) Assess the impact of minimum guaranteed rate on the effective duration of the

　　SPDA with MVA.

　　COURSE 8: Fall 2004 -15- GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session
　　高顿网校之考试励志：母亲对我的爱之伟大让我不得不用我的努力工作去验证这种子爱是值得的。 ——夏加尔(绘画大师)

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