NO.PZ202206210200000105
问题如下：
Chattahoochee Advisers Case ScenarioMiller tells Browne, “Chattahoochee provides its services to relatively small institutional investors, typically those with assets of USD20 million–USD100 million. Your primary goal is to attract new clients in our three primary target areas: insurance companies, defined benefit pension funds, and endowments and foundations.”
Miller continues, “The asset portfolios of our clients can vary widely. How well do you understand the differences between the investment approaches used by various institutions?”
Browne replies, “I’m familiar with a number of them. For our clients with long-term horizons and relatively low liquidity needs, we could recommend the Canadian model, which entails a high exposure to alternative investments. Given their primary investment objectives, pension funds and insurance companies are usually well suited to the liability-driven investing model.”
Browne asks Miller for some advice on developing a proposal for a potential client, the defined benefit pension plan for Tucker Manufacturing. Tucker is a publicly traded firm whose stock is a part of the Russell 2000 Index. The firm has been in business for 82 years and has a Fitch credit rating of BBB+.
The plan, which does not require any contributions from employees, has 160 retirees and 280 active employees. Employees vest fully after six years of service. The average age of active employees is 54 years, their average length of service is 26 years, and employees may retire and begin to collect benefits after 30 years of service. Benefits are based on years of service and the average salary during the last five years of service. Retirees receive a cost-of-living adjustment based on changes in the consumer price index. Prior to retiring, employees can choose to receive a lump sum payment in place of future pension benefits.
The asset allocation of the portfolio is
37% publicly traded equity, mostly small-cap growth equities, about half of which is in Tucker common stock, which is considered a growth stock and pays no dividends;
29% private equity, invested in two recently launched funds; and
34% directly owned real estate, consisting of vacant land that is expected to be developed in 15–20 years.
The current value of plan assets is USD109 million. Values are calculated using market prices where available and third-party appraisals or valuations where market prices are unavailable or stale. The value of plan liabilities is USD93 million, which is calculated by discounting projected benefit payments using a discount rate equal to the average total return the current asset allocation would have earned over the last 15 years.
Browne tells Miller that Tucker Manufacturing’s management is happy the value of plan assets exceeds the value of plan liabilities by USD16 million. The company anticipates recording an asset on its balance sheet called “plan surplus” in this amount. She asks him whether he sees any problems with this idea.
Miller reminds Browne that her proposal should indicate any risks present in the Tucker pension fund that would be reduced by the Chattahoochee investment proposal. Browne responds, “I have been evaluating a number of potential risk sources and have identified some concerns that I will raise.”
Browne also shares her proposal for a revised investment objective for the Tucker pension:
The primary objectives of the Tucker Manufacturing pension plan are to maintain an asset portfolio that is duration matched to plan liabilities and over the long term earns a return equal to the inflation rate plus the growth rate in salaries of Tucker Manufacturing employees. The secondary objectives of the plan are to prevent being underfunded and avoid increasing required sponsor contributions above their historical level.
选项：
A.Workforce characteristics B.The sponsor’s financial health C.Common risk exposures between the sponsor and the fund解释：
SolutionB is correct. The plan sponsor holds an investment-grade credit rating, and there are no indications of declining financial health.
A is incorrect. There are a substantial number of retirees, and the active employees are older, with long service records, suggesting many are nearing retirement. The current asset allocation is both illiquid in nature (newly launched private equity funds and directly owned undeveloped real estate) and volatile in value (small-cap equities). Given the workforce characteristics, the fund should likely be moving to a more current income-producing allocation and one that would reduce surplus volatility.
C is incorrect because 18%–19% of the fund’s assets are invested in the sponsor’s common stock. If the sponsor’s financial health declines, the value of fund assets will decline at precisely the same time the sponsor is required to make additional contributions. Because it is less likely to be able to do so when it is in poor financial health, this situation creates a greater risk of insolvency than if that allocation were in different assets.
题目没太看懂，麻烦老师讲解一下，谢谢
