Pension fund UPNC has a fixed-income portfolio consisting of A=600M in assets and L=700M in liabilities. The
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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?
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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