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Case Study for SH CFA level 3

Case Study for SH CFA level 3

Case Study 1

2008 QUESTION 3 HAS SEVEN PARTS (A, B, C, D, E, F, and G) FOR A TOTAL OF 36 MINUTES.

Titan Airlines is a U.S.-based firm with a global route structure. The firm sponsors the Titan Employees Defined Benefit Pension Plan (TEPP) covering all of its employees. Active employees accrue benefits based on years of service and compensation. TEPP’s investments are held in a trust directed and managed by a board of independent trustees. As a U.S.-based pension trust, TEPP’s investment income and capital gains are exempt from tax.

Pamela Rich is a pension consultant with Cedar Counselors, an investment policy advisory firm. The TEPP trustees hired Cedar Counselors early in 2008. During the due diligence process, Rich gathers data about TEPP, Titan, and the airline industry as shown in Exhibits 1 and 2.

Exhibit 1

TEPP - Selected Financial Data

2007 Year End (Dollar amounts in millions) Projected benefit obligation (PBO) Pension assets

Funding shortfall (PBO minus pension assets) Payments to beneficiaries

including lump-sum distributions* Average duration of pension liabilities Nominal discount rate for calculating PBO Excess return target Asset allocation policy: z U.S. equities z Non-U.S. equities z U.S. government bonds * Calendar year 2007

Exhibit 2

Calendar Year 2007 Selected Data (Dollar amounts in millions)

$12,477 $8,734 $3,743 $1,092 14 years 7.00% 2.50% 45% 15% 40%

Average Total assets*

Total debt, including capital leases*

Debt/asset ratio* Operating revenue Operating margin

* Calendar 2007 year end

$26,356 $12,540 0.48 $11,621 —7.63%

$139,501 $54,200 0.39 $67,606 —4.01%

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