请时刻留意高顿网校北美精算师考试频道的每日大纲的更新！SOA2001年11月真题之北美精算师NCourse8V（第三部分），就是其中之一的了。
　　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 *uate 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
　　学一分退让，讨一分便宜。增一分享受，减一分福泽。——高顿网校精品语录

 

 
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