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506623496 · 2024年07月02日

题目设问

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000105

问题如下：

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 is minimized.

本题是针对cash flow matching 问的还是针对上一级概念 liability-driven mandate来问的?

对于两个feature 有原版书对应的原文吗？

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2 个答案

发亮_品职助教 · 2024年07月03日

题目已做了更换哈!

506623496 · 2024年07月03日

哪里说是针对cash flow matching问的呢？不是对Liability-based mandate吗？

发亮_品职助教 · 2024年07月04日

按之前题干2个feature的说法，其实考的是cash flow matching的特点，不过这道题现在有修改，2个feature的描述换了，考的是liability-based了

发亮_品职助教 · 2024年07月03日

这道题答案有错哈！应该是Feature 1是正确的，Feature 2是错误的。答案好像匹配错题目了。


本题是针对cash flow matching提问的。就是Liability-based mandate下面有duration-matching和cash flow matching。这道题虽然直接考的是cash flow matching，但有点对比两个方法的含义。


原版书并未有直接的出处，是结合内容理解得到的。


第一点，cash flow matching匹配负债的原理是：用债券资产收到的coupon和到期本金，严丝合缝（理论上）地match负债的现金流金额与日期。


理论上，债券资产自然收到的coupon cash flow与债券本金cash flow和要偿还的负债金额一致，且日期一致。是直接做到了资产、负债cash flow的金额、日期匹配。所以无论利率如何改变，都不影响免疫的效果。或者说cash flow matching对利率移动没有要求。

所以Feature 1的说法正确。


相反，duration-matching如果免疫要成功，则需要一定的利率假设，比如一些利率曲线的非平行移动就会导致duration-matching的失效，这些非平行移动不能发生。


第二点就是，cash flow matching资产归还负债的现金流完全来自债券资产自然收到的coupon以及债券自然到期回收的本金。不涉及提前卖出债券，cash flow matching一定是债券资产自己到期产生的本金现金流加上coupon cash flow，来偿还负债，而duration-matching会涉及提前卖出债券资产产生现金流归还负债。


Feature 2说的liquidating bond portfolio position是指提前卖出债券，liquidating就是提前卖出变现的含义。Feature 2是duration-matching的特征，不是cash flow matching的特征。


现在原版书对2个feature做了替换：

Feature 1: It matches expected liability payments with future projected cash inflows.

即，liability-based mandate是利用将来设计好的cash inflow来偿还负债


Feature 2: It can minimize the risk of deficient cash inflows for a company

即，Liability-based mandate是降低cash inflow不足的风险。


以上2个feature对应liability-based mandate都是正确的哈！

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NO.PZ201812020100000105问题如下 Is Cécile correctwith respeto key features of liability-basemantes? Yes. No, only Feature 1 is correct. No, only Feature 2 is correct. Ais correct. Liability-basemantes are investments thtake investor’s futureobligations into consiration. Liability-basemantes are manageto matchexpecteliability payments with future projectecash inflows. These types ofmantes are structurein a wto ensure tha liability or a streofliabilities ccovereanthany risk of shortfalls or ficient cashinflows for a company is minimize 没说明是cash flow matching？

2023-07-15 23:35 1 · 回答

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2023-02-08 14:28 1 · 回答

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2022-08-31 19:15 1 · 回答

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2022-04-08 14:30 1 · 回答