8 DURATION IF RATES DECREASE. 8 DURATION IF RATES DECREASE.

6.8 duration if rates decrease.

 There is counterparty risk.

Candidate discussion: 1 point for correct swaption strategy. 1 point each for two differences.

(Study Session 10, LOS 22.b, c, d)

QUESTION 7 HAS TWO PARTS (A, B) FOR A TOTAL OF 14 MINUTES

James Baltus and Uri Korkov are portfolio strategists at North Range Asset Management

(NRAM). NRAM offers asset management for high net worth individuals and has expertise

in maximizing after-tax wealth accumulation. Baltus and Korkov are recent hires with a

background in tax exempt institutional portfolio management. They have been reviewing the

literature on strategies to increase after-tax return or ending wealth and have compiled the

following summary conclusions.