Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

4. Suppose that a life insurance company sells a ve-year guaranteed investment contract {SIC} that guarantees an interest rate of 2.5 percent per year on

image text in transcribed
image text in transcribed
4. Suppose that a life insurance company sells a ve-year guaranteed investment contract {SIC} that guarantees an interest rate of 2.5 percent per year on a bond-equivalent yield basis {or equivalently, 3.?5 percent every six months for the next 10 six-month periods]. Also suppose that the only payment made by the policyholder is $9,642,899 at the very beginning {i.e., t = 0]. Consider the following three invesmtents that can be made by the portfolio manager: Bond X: Buy $9,642,899 par value of an option-free bond selling at par with a 2.5 percent yield to maturity that matures in ve years. Bond Y: Buy $9,642,899 par value of an option-free bond selling at par with a .725 percent yield to maturity that matures in 12 years. Bond 2.: Buy $10,000,000 par value of a six-year 6.?5 percent coupon option-free bond selling at 96.42899 to yield 7.5 percent. 1) ii} iii] iv) Calculate the target accumulated value (i.e., FV) to meet the GIC obligation ve years from now. Assuming that the portfolio manager invests in bond X and immediately following the purchase, yields change to 8.00 percent (i.e., new reinvestment rate) and stay the same for the ve-year investment horizon. Calculate the accumulated value {i.e., FV] and total rennn after ve years. Assuming that the portfolio manager invests in bond Y and immediately following the purchase, yields change to 8.00 percent (i.e., new reinvestment rate) and stay the same for the ve-year investment horizon. Calculate the accumulated value {i.e., FV] and total rennn after ve years. Assuming that the portfolio manager invests in bond Z and immediately following the purchase, yields change to 8.00 percent (i.e., new reinvestment rate) and stay the same for the ve-year investment horizon. Calculate the accumulated value {i.e., FV] and total rennn after ve years. Justify if the investment in either bond X or Y or 2'. will satisfy the target accumulated value

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Foundations of Financial Management

Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen, Doug Short, Michael Perretta

10th Canadian edition

1259261018, 1259261015, 978-1259024979

More Books

Students also viewed these Finance questions