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幺幺鲤 · 2025年03月06日

feature1 是不是特制cash flow matching呀

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000005

问题如下：

Margit asks Cécile to analyze liability-based mandates for a meeting with Villash Foundation. Villash Foundation is a tax-exempt client. Prior to the meeting, Cécile identifies what she considers to be two key features of a liability-based mandate.

  • Feature 1: It matches expected liability payments with future projected cash inflows.
  • Feature 2: It can minimize the risk of deficient cash inflows for a company
Is Cécile correct with respect to key features of liability-based mandates?

选项：

A.

Yes

B.

No, only Feature 1 is correct

C.

No, only Feature 2 is correct

解释：

A is correct. Liability-based mandates are investments that take an investor’s future obligations into consideration. Liability-based mandates are managed to match expected liability payments with future projected cash inflows. These types of mandates are structured in a way to ensure that a liability or a stream of liabilities can be covered and that any risk of shortfalls or deficient cash inflows for a company are minimized.

duration matching不是这样子的吧

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1 个答案

发亮_品职助教 · 2025年03月07日

不是特指cash flow matching。整个LDI策略（包含duration-matching, cash flow matching）的目标都是这个：

matches expected liability payments with future projected cash inflows.


即，用设计好的将来资产cash inflow去match未来的负债payments。


duration-matching的话，期末的cash inflow也是设计好的，即期末变现债券后，产生的cash inflow可以足够偿还负债。能够保证足够，就是因为duration-matching机制保证了投资期间无论利率如何变，债券的投资收益率被锁定了，是个很确定的数，所以期末变现的金额是提前锁定的。这也是提前设计好的未来变现cash inflow去match未来的负债payments。


cash flow matching的话，更满足上面这个说法。是用资产的coupon+到期本金cash inflow，逐笔去cover负债payment。

不涉及变现债券，是让债券自然到期，进行了逐笔cash inflow的设计，是更加精细的match。

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