Managing the Interest Rate Risk of Multiple Liabilities: Contingent Immunization

In a contingent immunization, the primary concern of the manager is that the surplus:

That's not it. The surplus is invested in other assets in a contingent immunization. Cash would even underperform the immunizing bond portfolio.

Not so. That is a goal in contingent immunization, but arguably not the primary goal.

Right! If the surplus reaches zero, the manager must abandon active management of this surplus and return to pure immunization immediately. Protection of the asset balance needed to cover liabilities is the main concern.

be held in cash.

provide excess returns.

remain strictly nonnegative.