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常晓磊 · 2024年05月28日

cash flow matching

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000005

问题如下：

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

  • Feature 1: It can minimize the risk of deficient cash inflows for a company.
  • Feature 2: It matches expected liability payments with future projected cash inflows.
Is Cécile correct with respect to keyfeatures 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 is minimized.

feature1 是不是cash flow的特点呢？

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1 个答案

pzqa31 · 2024年05月28日

嗨，从没放弃的小努力你好：


不是，这是laliability-based mandate的特点。

feature1说，liability base mandate可以公司现金流入不足的风险。这是正确的

Liability base方法从公司负债开始分析，根据负债的特点来构建portfolio，力争保证portfolio的现金流可以cover负债的流出，这就意味着公司现金流入不足（不足以cover负债）的风险最小化了。

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