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孙际尧 · 2021年02月22日

为什么不是a,db属于contingent负债,不用流出现金满足退休员工的benefit吗

NO.PZ2018031301000005

问题如下:

Viktoria Johansson is newly appointed as manager of ABC Corporation’s pension fund. The current market value of the fund’s assets is $10 billion, and the present value of the fund’s liabilities is $8.5 billion. The fund has historically been managed using an asset-only approach, but Johansson recommends to ABC’s board of directors that they adopt a liability-relative approach, specifically the hedging/return-seeking portfolios approach. Johansson assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds. Exhibit 1 presents three potential asset allocation choices for the fund.

Exhibit 1 Potential Asset Allocations Choices for ABC Corp’s Pension Fund


Determine which asset allocation in Exhibit 1 would be most appropriate for Johansson given her recommendation. Justify your response.

选项:

解释:

■ Allocation 3 is most appropriate.
■ To fully hedge the fund’s liabilities, 85% ($8.5 billion/$10.0 billion) of the fund’s assets would be linked to index-linked government bonds.
■ Residual $1.5 billion surplus would be invested into a return-seeking portfolio.

The pension fund currently has a surplus of $1.5 billion ($10.0 billion – $8.5 billion). To adopt a hedging/return-seeking portfolios approach, Johansson would first hedge the liabilities by allocating an amount equal to the present value of the fund’s liabilities, $8.5 billion, to a hedging portfolio. The hedging portfolio must include assets whose returns are driven by the same factors that drive the returns of the liabilities, which in this case are the index-linked government bonds.

So, Johansson should allocate 85% ($8.5 billion/$10.0 billion) of the fund’s assets to index-linked government bonds. Te residual $1.5 billion surplus would then be invested into a return-seeking portfolio. Therefore, Allocation 3 would be the most appropriate asset allocation for the fund because it allocates 85% of the fund’s assets to index-linked government bonds and the remainder to a return seeking portfolio consisting of corporate bonds and equities.

为什么不是a,db不用现金满足退休员工的benefit吗

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2021年02月22日

嗨,努力学习的PZer你好:


退休员工的benefit也就是fund’s liabilities, 共$8.5 billion。题干中说:the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds,所以受到这类债券的影响,liabilities是会变的。 fund’s assets有$10 billion,Allocation1把$10 billion的15%也就是$1.5B放到了cash,把$7B放到index-linked government bonds,但是$7B不能很好的匹配$8.5 B liabilities的风险。

而相对的,Allocation 3,虽然没有cash,但是85%也就是正好有$8.5B配置到了index-linked government bonds,所以可以fully hedge the fund’s liabilities。


这道题目是原版书的课后题,是R13的Q6。可以再听一下何老师的讲解。

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