請教pension portfolio 問題 already, payments, benefit, limitation, index

ychungc

以下是L3 Book 2

Silva asks the Company’s actuaries to develop an estimate of the Company’s future pension payments. Currently, the Company pays a cost of living adjustment (COLA) on retiree pension payments, which is based on the local consumer price index (CPI). In order to reduce current costs, the Company is considering limiting the COLA to only payments to those who have already retired. Cardoso tells Silva to factor the COLA limitation into his estimate of the benefit payment that will be made 15 years from now.

Silva presents Exhibit 1, noting that approximately half of the future wage inflation liability is assumed to correlate closely to CPI and half of the future real wage growth is assumed to correlate closely with domestic equities:


Exhibit 1                                               Components of Estimated Future Benefit Payments in Year 15

Liability Exposure                                                  Amount of Payment (in R$* Millions)
Retirees                                                               10
Deferreds                                                             5
Active Accrued                                                      9
Future Wage Inflation                                            6
Future Real Wage Growth                                      2


Based on Exhibit 1, in a liability-mimicking portfolio, which of the following amounts is closest to the pension payments   
in Year 15 that could best be mimicked using real (inflation-indexed) bonds?"
答案 $10M + 0.5*$6M = $13M


(問題1) 請問書本意思是,在15年後要買$13M既 inflation-indexed bonds ?還是現在要買$13M inflation-indexed bonds ?


Based on Exhibit 1, in a liability-mimicking portfolio, which of the following amounts is closest to the pension payments
in Year 15 that could best be mimicked using nominal bonds?"

答案 $5M+$9M+0.5*$6M+0.5*$2M = $18M

(問題2) 既然係用nominal bonds ,即係意思係不需為對沖通賬和工資真實增長,為什麼又要(0.5*$6M+0.5*$2M)?