Tab 1 SIGMA COLLEGE ENDOWMENT - INVESTMENT PORTFOLIO LIQUIDITY PROJECTION Investment Days to Liquidate or Close Out Description Quantity Price FX US$ Value 1 2 5 10 30 60 180 360 Liquidity Metric Cash 735,072 1.00 1.00 735,072 Fixed income Sovereign Q, EUR, 1,000,000, 31-Dec-2026, 1.5%, 360/360 12 102.34 1.09 13,392,917 1 day: up to USD 10mn 2 days: up to USD 25mn Bank R, USD, 2,000,000, senior unsecured, 31-Dec-2021, 2.0%, 180/360 8 101.19 1.00 16,190,720 1 day: up to USD 1mn 2 days: up to USD 5mn 5 days: up to USD 12mn Company T, CAD, 1,500,000, 31-Dec-2020, 2.75%, 360/360 10 0.93 1.39 10,035,971 5 days: up to USD 5mn 10 days: up to USD 10mn US Treasury, USD, 1,000,000, 0%, 31-Dec-2036 4 0.59 1.00 2,370,720 1 day: up to USD 5Mn 2 days: up to USD 20mn Equities Company U, common stock, Nasdaq 500,000 26.30 1.00 13,150,000 1 day: up to USD 5mn 2 days: up to USD 10mn 5 days up to USD 20 mn Company V, common stock, Nasdaq 300,000 39.42 1.00 11,826,000 1 day: up to USD 3mn 2 days: up to USD 8mn 5 days up to USD 15 mn Currencies Sell EUR, Buy USD, 1.05, 31-Dec-2020 13,400,000 1.08 1.00 388,600 1 day: up to USD 20mn Sell CAD, Buy USD, 1.35, 30-Jun-2021 10,000,000 1.38 1.00 260,000 1 day: up to USD 20mn Derivatives Put, SPX, strike 1800, 31-Dec-20 100 2,043.94 1.00 600,000 1 day: up to USD 2mn Commercial Real Estate Ownership of office tower located at 240 E Monroe in Chicago 0.33 35,000,000 1.00 11,550,000 180 days: up to USD 10mn 360 days up to USD 20mn Hedge Funds Z Investment Advisors Macro Fund 10,000,000 0.95 1.00 9,500,000 30 days: up to USD 5mn 60 days: up to USD 10mn Total 90,000,000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Projected cumulative liquidity 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Liquidity projection for an investment portfolio "You are an analyst in the Finance Office of Lambda College, a private, non-profit university. One of your responsibilities is to monitor investment risks in the colleges endowment fund, including compliance with minimum liquidity requirements set by the colleges Board of Regents. These requirements appear in row 46. Your first task is to prepare the quarterly liquidity projection for the endowment funds investment portfolio. Do this in the EndowmentPortfolio_March tab. A few months later, in June, the college receives a $20 million endowment which the Chief Investment Officer wishes to invest in commercial real estate (CRE), specifically: Partial ownership of a new luxury apartment building in DenverZ Investment Advisors CRE fund. You are asked to calculate how much of the $20 million endowment can be invested in CRE investment A without breaching the minimum liquidity requirements set by the Board of Regents. You are also asked to advise whether the remainder can be invested in CRE investment B, Ownership of West Hills shopping mall in Pittsburgh. Do this in the EndowmentPortfolio_June tab." "Study the attachments, fill in the shaded areas, then answer the following questions. According to your projections, what % of the portfolio can be liquidated in 5 days? According to your projections, what % of the portfolio can be liquidated in 180days? How much of CRE investment A can be purchased with the US $20 million endowment without breaching the minimum liquidity requirements? How much of CRE investment B can be purchased with the remainder of the US $20 million endowment without breaching the minimum liquidity requirements? Do you have any changes to this portfolio to suggest? " Policy minimum 20% 35% 45% 55% 65% 75% 85% 95%