为什么DB是TYPE IV

问题如下：

Beatriz Maestre is a fixed-income consultant who has been retained by Filipe Ruelas, the CFO of Cávado Produtos Agricolas, SA (Cávado). Cávado is a manufacturer of prepared foods headquartered in Braga, Portugal.

In their first face-to-face meeting, Ruelas gathers a group of his employees and asks Maestre to explain the methods Cávado uses to manage interest rate risk. Maestre starts by discussing the nature of pension fund management. She tells the group, “With a defined-benefit pension fund, the assets are structured to match the expected cash outflows required to meet the liabilities, making it a form of liability-driven investing (LDI). Pension funds can be difficult to manage, because neither the timing nor the amount of the liabilities is known in advance with certainty. With LDI, interest rate risk management efforts focus on changes in the values of the assets because the liabilities, while uncertain, aren’t affected by changes in interest rates.”

Is Maestre’s description of pension fund management as a form of LDI most likely correct?

选项：

A.

Yes.

B.

No, she is incorrect regarding the focus of interest rate risk management.

C.

No, she is incorrect regarding the difficulty of managing pension funds.

解释：

B is correct. Liability-driven investing (LDI) is a form of asset/liability management (ALM). All ALM strategies require the manager to incorporate the interest rate sensitivity of both the assets and the liabilities in the portfolio management process. The amount and timing of pension fund liabilities may be sensitive to changes in interest rates if retirement decisions are based on other savings or salaries change with market interest rates. Further, the value of the liability portfolio would change with changes in interest rates because of a discount rate effect, even if the amount or timing of the payments do not change.

A is incorrect because LDI must take into account the net interest rate sensitivity of both the asset and liability portfolios.

C is incorrect because defined-benefit pension fund liabilities are Type IV liabilities (timing and amount of cash flows is uncertain), and these are the most difficult liabilities to manage.