Joseph Mhofu is a fixed income portfolio manager for Reuel Capital. Mhofu is reviewing the portfolios of several pension clients that have been assigned to him to manage. Two of these portfolios are Woodlands Groove and LETS pension plan has the following characteristics: Sector Singapore treasury Singapore agencies Singapore Corporates Singapore mortgages Singapore ABS Woodlands Groove Allocation (ii) LETS Allocation 10.1% 14.5% 20.9% 33.7% 8.20% 12.6% LETS Duration 7.54 9.02 4.52 1.33 2.00 3.22 Woodlands Groove Spread Duration 14.6% 23.7% 13.8% 11.4% 18.0% Non-Singapore governments 18.5% Bond index benchmark for Woodlands Groove bond portfolio has an effective duration of 4.16. (i) Calculate the duration of Woodlands Groove bond portfolio and asses the interest rate risk of the portfolio versus the benchmark. 0.00 7.20 5.80 4.65 3.67 2.50 Calculate the spread duration of LETS pension plan portfolio and evaluate the credit risk of the portfolio versus the Singapore mortgages.
Joseph Mhofu is a fixed income portfolio manager for Reuel Capital. Mhofu is reviewing the portfolios of several pension clients that have been assigned to him to manage. Two of these portfolios are Woodlands Groove and LETS pension plan has the following characteristics: Sector Singapore treasury Singapore agencies Singapore Corporates Singapore mortgages Singapore ABS Woodlands Groove Allocation (ii) LETS Allocation 10.1% 14.5% 20.9% 33.7% 8.20% 12.6% LETS Duration 7.54 9.02 4.52 1.33 2.00 3.22 Woodlands Groove Spread Duration 14.6% 23.7% 13.8% 11.4% 18.0% Non-Singapore governments 18.5% Bond index benchmark for Woodlands Groove bond portfolio has an effective duration of 4.16. (i) Calculate the duration of Woodlands Groove bond portfolio and asses the interest rate risk of the portfolio versus the benchmark. 0.00 7.20 5.80 4.65 3.67 2.50 Calculate the spread duration of LETS pension plan portfolio and evaluate the credit risk of the portfolio versus the Singapore mortgages.
Cornerstones of Financial Accounting
4th Edition
ISBN:9781337690881
Author:Jay Rich, Jeff Jones
Publisher:Jay Rich, Jeff Jones
Chapter12: Fainancial Statement Analysis
Section: Chapter Questions
Problem 85PSB
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