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加加大 · 2022年09月13日

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NO.PZ202206210200000103

问题如下:

The stakeholders of the Tucker pension plan would least likely have concerns about the:

选项:

A.vesting status of current employees. B.plan’s ability to meet liquidity needs. C.imbalance between the maturity of plan assets and plan liabilities.

解释:

Solution

A is correct. Given the age and average tenure of current employees, the vast majority are vested; therefore, there is no uncertainty regarding the benefit due. Further, should non-vested employees leave, their accumulated benefit would remain in the portfolio, increasing its funded status, to the benefit of beneficiaries and the plan sponsor. However, the plan’s portfolio is invested in assets that produce little cash flows on their own. A large portion of these assets are illiquid (private equity and undeveloped real estate). Therefore, having sufficient liquidity to meet cash outflow needs is a concern, particularly because much of the current workforce is close to, if not at, the age of retirement eligibility and can choose a lump sum cash payment. In addition, given the way changes in interest rates can affect the value of plan liabilities, many defined benefit pension plans have adopted a liability-driven approach in which the duration of plan assets is chosen to match the duration of plan liabilities. The Tucker plan portfolio contains only equities and alternative assets with an unclear duration, leading to concerns about the imbalance between liabilities and assets and the resulting interest rate risk.

B is incorrect. The plan’s portfolio is invested in assets that produce little cash flows on their own. A large portion of these assets are illiquid (private equity and undeveloped real estate). Therefore, having sufficient liquidity to meet cash outflow needs is a concern, particularly because much of the current workforce is close to, if not at, the age of retirement eligibility and can choose a lump sum cash payment. Therefore, stakeholders would have legitimate concerns about the plan’s ability to meet potential liquidity needs.

C is incorrect. Given the way changes in interest rates can affect the value of plan liabilities, many defined benefit pension plans have adopted a liability-driven approach in which the duration of plan assets is chosen to match the duration of plan liabilities. The Tucker plan portfolio contains only equities and alternative assets with an unclear duration. Although this asset allocation may provide strong expected returns, it does lead to legitimate concerns about the imbalance between liabilities and assets and the resulting interest rate risk.

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lynn_品职助教 · 2022年09月14日

嗨,从没放弃的小努力你好:


这道题考查的是DB Fund的知识点。

我们来看一下case背景:

DB Fund中,员工无需缴纳Contribution。DB Fund当前有160名退休员工,280名在职员工。可见,Inactive参与者是相对较高的。

员工只有至少干满5年,他们的DB Fund才正式生效(Vested)。当前Active员工的平均年龄是54岁,平均工龄是26年。从这里可以判断,他们的DB Fund基本都已经生效。所以可以判断,Pension的Liability较大。

员工退休后拿到的Benefit,会根据Cost-of-living进行调整,即,会对通胀进行调整。同时员工在退休的时候,可以选择一笔提取所有的退休金(Lump sum payment)。如果员工选择一笔提取所有Benefit,那么养老金的现金流压力较大。

从以上的信息可以判断,该养老金的流动性需求较高,养老金的投资期较短,且承受风险的能力会相对较差一些。


当前DB plan的投资是:

  •  37%在上市股票上,主要是小市值、增长型股票;同时,一半的股票都投资在本公司的股票上,他们公司的股票是增长型,没有分红。从这句话可以判断,这个Asset投资了本公司股票,投资与公司的Correlation过高,导致了DB Plan的风险承受能力下降。
  •  29%投资最新私募股票上;
  •  34%投资在房地产上,包括空置的土地、计划在15~20年后开始建设。


上面是我们本题会用到的内容,下面我们来分析每一个选项。


A:在职员工的负债是否生效.

A选项描述的问题不构成一个Concern,因此本题选A。因为在职员工的平均龄较大,在职年限长,基本上都已经满足了Vesting,所以员工的Vesting status基本已经确定,他并不构成一个Concern。

B选项说:Plan满足流动性需求的能力,构成一个Concern.

这点完全正确,确实构成一个Concern,理由如下:从负债端来看,退休员工较多,且员工平均年龄较大,因此养老金有较大的现金流需求。从资产端来看,股票的投资没有现金流产生,房地产的投资流动性过差,私募股权的投资流动性也较差。资产端产生现金流的能力较差,变现的能力也较差,因此资产能否满足流动性需求是一个Concern。

C选项说资产的Maturity与负债的Maturity之间的不平衡,构成一个Concern。

这点完全正确,确实构成一个Concern:从资产配比看,房地产(15~20年后才开始开发),最新发行的私募(很久之后才能到期),成长型股票(需要较长的投资期),这类资产的期限很长,很久之后才能变现。

而负债端员工的平均年龄较大,为54岁,负债平均来看还有6年就需要开始支付了,因此负债的Maturity较短。资产期限与负债期限的差异是一个Concern。

另外一般情况下,DB Fund在投资时,使用的是LDI的方式,即资产与负债匹配的投资方式。所以会要求资产与负债的Duration相互匹配,所以资产就一定要投一些具有Duration的标的(利率产品),如债券。在本题的Portfolio里面,并没有投资债券,因此本题的资产端本身就构成一个Concern。

 

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