养老基金目标和战略英文(ppt 25页).ppt

PensionFundingTargetsandStrategies,BrianDonohue,ChicagoConsultingActuariesJerryMingione,TowersPerrinMay12,2004,HistoryofFundingRules,Inthebeginningoftime(post-ERISA).actuarieshadconsiderablecontrolovertheassumptionsandmethodsusedfordeterminingfundingrequirements.Financialassumptionsweresettobereasonableonalong-termbasis.Actuarialmethodswereselected,essentiallyrightfromthetextbook,withconsiderablefreedom.Unfundedliabilitieswerefundedover10-30yearperiods,basedonlevelpayments.,HistoryofFundingRules,Thenthingschangedlegislatively.In1987,OBRAinstitutedtheconceptofcurrentliability,inordertobringasolvency/terminationbasisperspectivetofundingrequirements(andtaxdeductionallowances).Basically,planswererequiredtomaintainafundinglevelof90%ofcurrentliability.Iftheyfellbelowthislevel,theywouldberequiredtocontributeadditionalamountstorecovertheirfundedpositionover(essentially)3-5years.Currentliability-basedfundingrequirementsweremademorestringentin1994:maximumCLinterestratereducedfrom110%to105%updatedmortalitytableincreasedrequiredfunding%sfordeficitreductioncontributions.,HistoryofFundingRules,Andcapitalmarketchangesupsetthedynamics.Initiallyinterestrateswerehighenoughthattheterminationbasiscalculationsdidnotoverridethelong-termfundingbasisthatplanshadtraditionallyusedforfunding.Theninterestratesdeclinedinthe90s,asdidequitymarketsintheearlyyearsofthisdecadecreatingthedoomsdayscenarioforpensionplans.Actuary-setlongterm-basedfinancialassumptionsdidnotreactmuch.Thus,thedynamicsofpensionfundingrequirementschangeddramatically.Treasurycutbacktheissuanceof30-yearbondsin1998,andtheneliminatedthementirelyin2001.Yieldson30-yearT-bondsdeclinedandthecreditspreadwidened.Itbecameapparentthatalegislativeremedywasrequired.Temporaryreliefwasgrantedfor2002-2003byraisingtheinterestratecapto120%.,CurrentSituation,Letscompareassumptionsinthelate1980svs.today:,*Potentiallyincreasestoabout6.4%withinterestraterelief.,1988,2004,averagecontribution,interestrate,8.4%,8.3%,30-yearTreasuryyield,9.0%,5.1%,maximumcurrent,liabilityrate,10.1%,5.5%*,CurrentSituation,Hereswhatthosechangesimplyintermsofvaluationresultsandcontributionrequirements:,1988,2004,2004,withoutrelief,withrelief,valuationinterestrate,8.4%,8.3%,8.3%,currentliabilityrate,10.1%,5.5%,6.4%,AALfundedratio,84%,83%,83%,CLfundedratio,115%,73%,81%,regularminimum,$47.3,$49.2,$49.2,addtl.fundingcharge,0.0,75.6,34.7,minimumwithDRC,124.9,83.9,CurrentSituation,Thetypicalpensionplantodayhasacurrentliabilityfundedstatusintherangeof80-90%.Many,ofcourse,arewellbelowthislevel.Contributionrequirementstendtospikedramaticallyasfundedlevelsfallbelow90%.However,contributionrequirementsinmostcaseslagemergingfinancialexperiencebyroughly2-3years,duetotheeffectsof:volatilityrelieffour-yearaveragingofinterestratesassetsmoothingallowablecontributiontimingdelays.,CurrentSituation,Plansponsorshavetypicallynotbeenproactiveinaddressingtheirdecliningfundedpositionswithafewnotableexceptions.Why?Theycountedonsmoothingtoavoidtheworsteffectsofthecapitalmarketsituation,andthatthecapitalmarketsituationwouldimproveovertime.Theycountedonlegislatedsolutionstomitigatecontributionrequirements.Theimplicationsintermsoffuturecontributionrequirementswerenotalwaysmadeclear.Thenumberofalternativefundingmeasuresmadeithardtomonitorresultsanddetermine/prioritizefundingtargets.,LessonsLearned,Poorlyfundedplansentailanumberofadverseconsequences,inadditiontospikesinfuturecontributionrequirements:quarterlycontributionrequirementsPBGCvariablepremiumsparticipantnoticesreunderfundingPBGCunderfundingnoticeadditionalminimumliability/chargestoshareholderequity.,LessonsLearned,RecentexperiencehasexposedaneedtobettermonitorCLfunding,andpotentiallyadjustfundingovertimesoastomaintainatargetfundinglevel:60%toavoidrestrictionsonbenefitimprovements80%/90%toavoidadditionalfundingcharge+participantnotice100%toavoidquarterlycontributions.110%toavoidlumpsumrestrictionstotop25.125%toallowsection420transferstofundretireemedicalbenefits(basedonOBRACL).,LessonsLearned,Otherpossiblefundingtargets:FFLtoavoidvariablepremiumABOtoavoidadditionalbalancesheetliability.,LessonsLearned,While2003resultswerestrong,theywerentapanacea.Plansponsorsstillhavetheafter-effectsofsmoothingmethodologiestodealwith.Mostplansnowrealizethataminimumfundingstrategyisnotoptimal.Thereisalsoconsiderablelegislativeuncertaintyremaining:short-terminterestrateandDRC-relatedrelieflong-termfundingreform.,ProactiveStrategies,PushbackquarterlycontributionsrequiresminoraccelerationofcontributiontimingimprovesCLfunded%reducesPBGCpremiums.AvoidDRC90%/90%/80%/80%patternavoidslargeincreaseinfundingrequirements.AvoidPBGCvariablepremiumfundingtargetbasedonFFLvariablepremiums,unlikecontributions,areadead-weightlosstoemployers.,ProactiveStrategies,Example1:MinimumFunding,Aggregatecontributions:$390.4AggregatePBGCpremiums:$10.9,ProactiveStrategies,Example2:Pushbackquarterlycontributions,Aggregatecontributions:$381.9AggregatePBGCpremiums:$6.5,ProactiveStrategies,Example3:AvoidDRC,Aggregatecontributions:$355.6AggregatePBGCpremiums:$4.5,ProactiveStrategies,Example4:AvoidPBGCvariablepremium,Aggregatecontributions:$346.4AggregatePBGCpremiums:$1.8,ProactiveStrategies,Consultantsneedtoclarifypensionfundingdecisionsforclients.Theactuarialreporthasbecomeacompliancedocument,notaconsultingdocument.Theoldmodel(minimumandmaximum)hasbeenreplacedbyanewmodel(targetsandconsequences)forpensionfunding.Forecastsareessentialtoclientunderstandinganddecision-making.Ultimately,pensionfundingdecisionsshouldbelesscomplicatedthantheycurrentlyseemtoemployers.,ProactiveStrategies,Long-termstrategicapproaches-determinethelong-termcostoftheplan(e.g.,level%ofpay)andfundthisamount,subjecttomin/maxconstraintspotentiallyreducesthevolatilityofannualcontributionrequirementsdramaticallydoesthisbyavoidingthe“feastorfamine”scenariosthatmostplansponsorshavebeenseeing.Areaofconcern:howdovariationsincontributionrequirementscorrelatetotheupsanddownsofthebusinesscycle?Ineconomictermsitisnotjusttheamountofrequiredcontributionsthatshouldbeofconcern,butthepotentialdisutilityofhavingtomakethosecontributionsatthewrongtime.,ProactiveStrategies,Minimum,FundingTarget,Contributions,Analysisshowsthattargetcontributionsinadvanceofrequirementsshouldreducethelevelandvariabilityoffuturecontributions.,ProactiveStrategies,Whatdocompaniesactualfundingpolicieslookliketotheextenttheyhavedevelopedone?90%ofsurveyedcompaniesreportedhavingsometypeoffundingpolicy,althoughtypicallytheseareunwritten/informal.Contributiontargetswithinthesepolicieswereasfollows34%expectedtopaytheminimumrequiredcontribution16%targetedtomaintaina90%fundedlevelforcurrentliability8%targetedtoavoidPBGCvariablepremiums6%setfundedleveltargetsbasedonPBO/ABOmeasures5%targetedtoavoidparticipantunderfundingnotices5%expectedtopaythemaximumdeductibleamount.Source:2002TowersPerrinsurvey;115responses,FundingReform,Intermsofnear-termfundingrelief,Congressseemspreparedtograntthefollowing:Replacementof30-yearTreasurybondyieldwithacompositerateconsistingofhighqualitylongcorporatebondindicesaddsasmuchas1.0%tothe4-yearweightedaveragefor2004(note:thereissomeuncertaintyastohowTreasurywillimplementthenewrate).Otherlimitedreliefprovidedforairlines,steel,andmultiemployerplansponsors.Theseprovisionswillonlybeeffectivefortwoyears-throughYE2005.Thuscontinuingeffortstocraftmorepermanentfundingreformwillbenecessary-startingimmediately.,FundingReform,Whatmightpermanentreformlooklike?TheTreasurydepartmenthasmadeproposalsalongthefollowinglines:Solvencymeasureswouldreflectsnapshotvaluesofassetsandliabilities,includinginterestratesbasedonayieldcurve.Thechangeswouldmakepensionfundingmoreresponsivetocapitalmarketconditionsandthevaryingeffectsofplandemographics.Therewouldbeincreaseddisclosurerequirementswithrespecttoplanfundedstatus(basedonthesamesnapshot/solvencymeasure),andrestrictionsonbenefitsprovidedunderpoorlyfundedplans.TherehavealsobeenproposalstomodifythePBGCpremiumstruc