Question
Pension fund UPNC has a fixed-income portfolio consisting of A=600M in assets and L=700M in liabilities. The duration of the assets is D A =16
Pension fund UPNC has a fixed-income portfolio consisting of A=600M in assets and L=700M in liabilities. The duration of the assets is DA=16 and that of the liabilities is DL=27. To bring the duration of the overall portfolio to zero, UPNC is considering taking a position in a 5-year swap whose dollar duration for the fixed receiver, per dollar of notional, is D$=4.4.
What is the notional amount on which UPNC should open a 5-year swap?
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
