高顿网校赶赴北美各地的亲们，大家请再拼搏最后这段时间了（3个月不到），拿下这张颇具含金量的北美精算师资格证哦！05年5月份精算师北美地区SOA真题Course6（Part5），犒劳大家了。
　　29. You are given the following:
　　Portfolio Market Value Duration
　　Assets 100 5.2
　　Liabilities 85 4.4
　　Calculate the change in economic surplus if interest rates decline by 50 basis points.
　　(A) –1.5
　　(B) –0.7
　　(C) 0.0
　　(D) 0.7
　　(E) 1.5
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　　Morning Session
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　　Morning Session
　　30. The tracking error for a portfolio is 50 basis points. Further analysis shows that the
　　tracking error for the systematic risk is 45 basis points. Calculate the tracking error for
　　the unsystematic risk.
　　(A) 2 basis points
　　(B) 5 basis points
　　(C) 14 basis points
　　(D) 22 basis points
　　(E) 25 basis points
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　　Morning Session
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　　Morning Session
　　31-36. Each of questions 31 through 36 consists of two lists. In the list at the left are two items,
　　lettered X and Y. In the list at the right are three items, numbered I, II and III. ONE of
　　the lettered items is related in some way to EXACTLY TWO of the numbered items.
　　Indicate the related items using the following answer code:
　　Lettered Item
　　Is Related to Numbered Items
　　(A)
　　X
　　I and II only
　　(B)
　　X
　　II and III only
　　(C)
　　Y
　　I and II only
　　(D)
　　Y
　　I and III only
　　(E)
　　The correct answer is not given by (A), (B), (C) or (D).
　　31. X. Risk Based Capital I. Concentration factor adjustments
　　Y. Minimum Continuing Capital
　　Surplus Requirement
　　II. Asset factors follow a geometric
　　pattern as credit decreases
　　III. C-0 risk
　　32. X. Freddie Mac securities I. Free of credit risk
　　Y. U.S. Treasury securities II. In the primary market, sold through
　　single-price auction
　　III. Interest income may be subject to
　　state and local taxation
　　Course 6: Spring 2005 - 33 - STOP
　　Morning Session
　　33. X. Interest rate corridors I. Sometimes described as swapping
　　into a bond
　　Y. Interest rate collars II. Do not involve the sale of a floor
　　III. Offer protection from interest rate
　　increases at a lower cost than with
　　the purchase of a cap
　　34. X. Insured asset allocation I. Requires an investor risk tolerance
　　function
　　Y. Tactical asset allocation II. Requires a prediction procedure
　　III. Usually assumes that expected
　　returns, risks, and correlations
　　remain the same
　　35. X. Interest-only strips I. The price increases when interest
　　rates decline
　　Y. Principal-only strips II. Benefit from slowing prepayments
　　III. Have positive duration
　　36. X. CAPM I. Systematic factors
　　Y. Single index model II. Single period planners
　　III. Drastically reduces the necessary
　　inputs in the Markowitz portfolio
　　selection procedure
　　**END OF EXAMINATION**
　　MORNING SESSION
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　　Afternoon Session
　　COURSE 6
　　AFTERNOON SESSION
　　WRITTEN ANSWER
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　　Afternoon Session
　　**BEGINNING OF EXAMINATION**
　　AFTERNOON SESSION
　　8. (4 points) List and define the duties of an ERISA trustee. Provide a specific example of
　　a violation of each duty.
　　9. (4 points)
　　(a) Compare interest rate forwards, interest rate futures, interest rate
　　swaps, and interest rate caps and floors in terms of the following:
　　(i) Types of markets
　　(ii) Liquidity
　　(iii) Contract form
　　(iv) Transaction costs
　　(b) Explain how each of the following instruments can be
　　used to manage the interest rate risk exposure of a block of fixed-rate annuities
　　currently supported by floating-rate assets:
　　(i) Interest rate swaps
　　(ii) Interest rate caps and floors
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　　Afternoon Session
　　时间是世界上一切成就的土壤。时间给空想者痛苦，给创造者幸福。——高顿网校旷世名言