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Answer: Option A not provided in the text
The provided text contains a table with pension fund information but does not include any actual multiple-choice question with options. The table shows: - Assets: USD 100 million with 6% expected growth, 12 modified duration, and 10% volatility - Liabilities: USD 90 million with 7% expected growth, 10 modified duration, and 5% volatility - Surplus: USD 10 million Since no question stem or answer choices are provided, this appears to be incomplete question material. In a complete FRM exam question, this data would typically be used to calculate measures like surplus at risk, analyze duration gaps, or assess funding risk.
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An analyst reports the following fund information to the advisor of a pension fund that currently invests in government and corporate bonds and carries a surplus of USD 10 million.
| Pension Assets | Assets | Liabilities |
|---|---|---|
| Amount (in USD million) | 100 | 90 |
| Expected Annual Growth | 6% | 7% |
| Modified Duration | 12 | 10 |
| Annual Volatility of Growth | 10% | 5% |
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