Contingent immunization

[Bopha99]

Why does it work best if rates stay the same or decline?

 

[shrubaks123]

If rate stays the same then Safety reserve(surplus) remains the same so can continue with active strategy.And if rates decline then asset value increases and your surplus increases so that again works in your favor to be continued with contigent immunization ( continue with active management)

 

[MrSmart]

It might not be best if rates decline.
I forgot, but does contingent immunization need durations and PV to be matched as well?

 

[Portfolio Manager]

MrSmart wrote:
It might not be best if rates decline.
I forgot, but does contingent immunization need durations and PV to be matched as well?

that is classical immunization mate.

 

[MrSmart]

Portfolio Manager wrote:

MrSmart wrote:
It might not be best if rates decline.
I forgot, but does contingent immunization need durations and PV to be matched as well?

that is classical immunization mate.

Yea, was wondering if CI used the same principles, but only higher spreads on assets to actively manage.