2014年8月份的更新版考试大纲和笔记，都在高顿网校！SOA历届北美地区精算师真题荟萃November2004CourseV（第四大点），来学习吧。
　　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 ij
　　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
　　青年之文明，奋斗之文明，也与境遇奋斗，与时代奋斗，与经验奋斗。故青年者，人生之玉，人生之春，人生之华也。——高顿网校生活感悟

 

 
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