NO.PZ2023032703000035
问题如下：
Adams and junior portfolio manager Frank Neeson review the fixed-income portfolios of two new defined benefit plan clients, Lawson Doors & Cabinets, Inc., and Wharton Farms. Lawson’s plan has 30 participants, who are mostly experienced craftsmen and machinists, whereas Wharton has over 100 participants in its plan. The average participant age is 15 years younger for the Wharton plan compared with the Lawson plan. In both plans, participants receive a monthly benefit upon retirement based on average final pay and have no option for a lump sum distribution. The two plans’ portfolio characteristics are shown in Exhibit 2.
Adams states to Neeson, “For the Lawson and Wharton plans, we can consider one of three alternative strategies to manage the multiple liabilities associated with these plans. Whenever a plan’s surplus is less than 5%, we favor passive management strategies.”
Which of the following three strategies is least likely appropriate for the plans in Exhibit 2? (2019 mock AM)
选项：
A.Duration matching
Cash flow matching
Contingent immunization
解释：
B is correct. Cash flow matching is least appropriate for both plans. In both the Lawson and Wharton plans, participants are entitled to receive a monthly benefit. Cash flow matching entails building a dedicated portfolio of zero-coupon or fixed-income bonds to ensure there are sufficient cash inflows to pay the scheduled cash outflows. However, such a strategy is impractical and can lead to large cash flow holdings between payment dates, resulting in reinvestment risk and forgone returns on cash holdings.
C is incorrect. Contingent immunization is an appropriate strategy for both plans. Contingent immunization allows for active bond portfolio management until a minimum threshold in the surplus is reached. The threshold of 5% (of assets greater than liabilities) is exceeded in both plans; the Lawson portfolio has a surplus of 7.7%, and the Wharton portfolio has a surplus of 11.8%.
A is incorrect. Duration management is also appropriate for both the Lawson and Wharton plans. In this case, however, because they enjoy a surplus of assets to liabilities, the contingent immunization strategy is most appropriate. Since the plans are in the process of being advised by Pavonia, Wharton would likely be advised to eliminate the duration gap in similar form to Lawson.
1）关于选项C，需要计算surplus是否≥5%来判断contigent immunization方法是否可以么？contigent immunization指的是当surplus＜5%的时候Passive，当surplus≥5%的时候Active，一个动态的选择过程，那么不论是否≥5%，都可以用contigent immunization策略吧？
2）关于surplus的计算
Lawson surplus：(15498000-14389000)/15498000=7.16%
Wharton surplus：(8351000-7470000)/8351000=10.55%
跟答案里面的7.7%和11.8%不同，是哪里算错了么？
