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Basel Zhang · 2023年08月30日

real estate是non-publicly traded securities？

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000007

问题如下：

Channel is a leading property and casualty insurer based in a developed European country. It is financially strong and the industry outlook is stable. Channel’s profitability is high, primarily driven by robust underwriting results and favorable investment returns on its large reserve of assets.

Channel’s investment group is focused on matching premium reserve assets to projected policyholder claims, investing excess assets for growth. The reserve currently has sufficient surplus to support its liabilities. Regulators impose a maximum limit of 10% of total reserve assets (which include matched and excess assets) on non-publicly traded securities. Mukasa’s new assistant, Samiah Pai, presents three possible allocation options for total reserve assets, as shown in Exhibit 1.

Exhibit 1: Possible Allocations

Which allocation in Exhibit is most appropriate for Channel’s insurance reserve assets?

选项：

A.

Allocation 1

B.

Allocation 2

C.

Allocation 3

解释：

P&C insurers such as Channel are primarily focused on matching assets to the projected, probabilistic cash flows of the risks they are underwriting. Therefore, fixed-income assets are likely the largest component of their asset base. An allocation to higher risk assets, such as equity, is likely much smaller. Thus, Allocation 1 is more appropriate than either Allocation 2 or 3.

In addition, the regulation limits non-publicly traded securities such as real estate and private equity, to 10%, which would eliminate Allocation 2 from consideration. Allocation 3 is less appropriate than Allocation 1, given the small allocation to fixed income and relatively large allocations to equity and cash.

real estate也在10%限制里？

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2 个答案

lynn_品职助教 · 2024年07月10日

嗨，从没放弃的小努力你好：


1、哦，我明白了，之前也有同学有这个疑问，我一直没有get，同学是认为房地产不算证券，其实这里可以理解为权益类投资，因为是获得房子的所有权。


real estate房地产确实是non-publicly traded securities投资，权益类的房地产投资可以分为private equity和 public equity。


其中private equity, 我们一般就直接称为real estate，就是我们自有资金去买房，real estate看中的是租金收入和资本增长，每一套房子的影响因素不同，如朝向、商圈、城市等等，所以如果你投资的是某套房子，那么就会引入这套房子特有的风险，这也是符合非公开交易证券的特征的。

 public equity主要是REITs和REOCs两种，都是在股票市场上公开交易的。对于投资者来说，把钱投资到shares上，这些集合的shares再投资到房地产上，这样一来房子个体的风险都分散化了，那引入的只有整个房地产市场租金收入和资本增长有关的风险。

 

2、Regulators impose a maximum limit of 10% of total reserve assets (which include matched and excess assets) on non-publicly traded securities. 


法规将房地产和私募股权等非公开交易证券限制在10%，因此不选B


B刚好是10%，很极限了，而且C选项更合适


像Channel这样的财产保险公司主要专注于将资产与他们所承保的风险的预测概率现金流相匹配，也就是要cover liability。因此，固定收益资产可能是其资产基础的最大组成部分。对股票等高风险资产的配置可能要小得多。因此， 1 比 2 或 3 更合适。

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努力的时光都是限量版，加油！

lynn_品职助教 · 2023年08月31日

嗨，爱思考的PZer你好：


real estate是non-publicly traded securities？



是的，一套一套的房子是non-public，REITS是public。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

LinaLina · 2024年07月09日

一套套的real estate应该不算security吧？为什么B不对，B的private equity刚好10%

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