WTW-全球养老金金融观察-2024年第二季度（英）-13正式版WN8

GlobalPensionFinanceWatch–SecondQuarter2024

ContinuedIncreasesovertheSecondQuarter

ContinuedrisesinglobaldiscountratesdrovepositiveWTWPensionIndexmovementsinmostregionsover

thequarter.DiscountratesincreasedinallcountriesotherthanSwitzerland.Allcountries,withtheexception

ofBrazilandtheU.K.,experiencedpositiveassetreturnsduringthequarter.

WhileitisalwaysthecasethatGlobalPensionFinanceWatchcapturesresultsattheendofeachquarter,

weparticularlywanttohighlightthepointintimeviewofthispublicationinlightofrecentvolatility.WTW

supportsthedailymonitoringofpensionfundedstatusandotherkeypensionfinancialmetricsforthose

organizationswishingtoinformkeybusinessdecisions.

ChangeinWTW

PensionIndex

Q22024Last12

Months

15%

ChangeinWTWPensionIndex

10%

Brazil3.3%10.4%

5%

Canada0.7%2.7%

0%

Eurozone4.7%5.0%

–5%

Japan0.0%11.1%

–10%

Switzerland-1.0%-1.1%

U.K.1.8%-1.2%

U.S.2.4%10.9%

TheWTWPensionIndexistheratioofthemarket

valueofassetstotheprojectedbenefitobligation

(PBO)forahypotheticalbenchmarkplan.

SecondQuarter2024Last12Months

Aboutthisreport

GlobalPensionFinanceWatch,publishedquarterly,reviewshowcapitalmarket

performanceaffectsdefinedbenefitpensionplanfinancinginmajorretirement

marketsworldwide,withafocusonlinkedasset/liabilityresults.Wecoverdefined

benefitpensionplansinBrazil,Canada,theEurozone,Japan,Switzerland,the

U.K.andtheU.S.Specificplanresultswillvary,oftensubstantially,basedon

liabilitycharacteristics,contributionpolicy,portfoliocompositionandmanagement

strategyamongotherfactors.Thepassageoftimesincequarterend,mayalsohaveasignificantimpactonpensionplanfinancing.

Theimpactofcapitalmarketsonthesepensionplansistwofold:.Investmentperformanceonfundassets

.Changesineconomicassumptionsonplanliabilities

(asmeasuredunderinternationalaccountingstandards)

Ifyouhavequestionsorcommentsaboutthisreport,pleasecontactGeorgePantelidesinNewYorkatgeorge.pantelides@or

FransBadenhorstinLondonatfrans.badenhorst@

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page1of13

Roleofmonitoringaspartofsuccessfulglobalpensionriskmanagement

Thoseorganizationsthatmonitortheirglobalpensionplansarepreparedtoactquicklywhen

marketconditionsevolveandhavebeenmostsuccessfulinachievingtheircostandrisk

managementobjectives.Monitoringforsuchconditionsismosteffectivewhendoneinreal-

time,tailoredtothespecificcharacteristicsofeachretirementplanandsupportingassets.

Emailourexperts

totalkaboutdaily

monitoringand

riskreduction.

TheGlobalPensionFinanceWatchcapturesresultsforbenchmarkplansattheendofeach

quarterandcanbeausefulguide.Forthoseorganizationswishingtoinformkeybusiness

decisionsfortheirownplans,WTWsupportsthedailymonitoringoffundedstatusandother

keypensionfinancialmetricsviatheCostandRiskManagementChannel.

Broaderriskmanagementperspective

Beyondfinancialmonitoring,weobservemultinationalswith

thegreatestsuccessinmanagingtheirdefinedbenefit

pensionrisksexhibitanumberofconsistentcharacteristics.

They:

Takethetimetounderstandthecomplexrisksinherent

intheplansandtheleversavailabletomanagingthat

risk

Establishaclear,centralleveloftolerableriskand

strategytomanagingwithinthosemetrics

Employasystematic,multi-localapproachtoevaluating

anddeployingriskmanagementactions

Monitorfinancialmarkets,changingpractices,

legislation,andtrends.

Formoreinsightsonthe

commontechniquesmultinationalorganizations

havedeployedtomanage

pensionrisk,weencourage

youtoreadourarticleon

MasteringDBRisksGlobally.

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page2of13

Investmentreturnsandliabilitygrowth

Allcountries,exceptforBrazilandtheU.K.,experiencedpositiveassetreturnsduringthesecondquarter.

Investment

returnsQ22024

Last12

Months

Brazil-2.1%7.2%

Canada0.6%6.8%

Eurozone0.1%7.8%

Japan0.3%6.0%

Switzerland0.8%8.8%

U.K.-1.6%4.3%

U.S.1.3%13.0%

Note:Allregionalfinancialresultsarestatedonalocalcurrencybasis.

Benchmarkdiscountratesexperiencedincreasesinallcountries,withtheexceptionofSwitzerland.

Benchmark

discountrate*

Plan

Duration

Jun.

2024

Mar.

2024

Dec.

2023

Brazil12.910.76%10.12%9.69%

Canada13.84.96%4.86%4.62%

Eurozone16.03.59%3.27%3.14%

Japan15.72.41%2.39%2.36%

Switzerland15.61.27%1.36%1.32%

U.K.16.15.13%4.84%4.50%

U.S.13.85.58%5.38%5.19%

*DiscountratesforthebenchmarkplansweredeterminedusingWTW’sRATE:Linkmethodologyinthosecountries

whereitisavailable.Thereisgenerallymorethanoneacceptableapproachfordeterminingthediscountratein

eachcountry.Theapproachusedforindexpurposesisoneofseveralpossibleapproaches;otheracceptable

methodologiesmayresultinhigherorlowerdiscountrates.

Liabilityvaluesshowedmixedtrendsoverthesecondquarter,includingsignificantdecreasesinBraziland

theEurozoneandtheU.K.

Liability

growthfactorQ22024

Last12

Months

Brazil-5.2%-2.9%

Canada-0.1%4.0%

Eurozone-4.3%2.6%

Japan0.3%-4.7%

Switzerland1.8%10.0%

U.K.-3.4%5.5%

U.S.-0.9%1.9%

Note:Theliabilitygrowthfactorreflectsthenetchangeinthebenchmarkplan’sPBOduetointerestaccumulation

andchangesinfinancialassumptions.

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page3of13

Brazil

WTWPensionIndex—Brazil

120

110

104.5asof

6/30/2024

100

90

80

70

60

Jun-13Dec-13Jun-14Dec-14Jun-15Dec-15Jun-16Dec-16Jun-17Dec-17Jun-18Dec-18Jun-19Dec-19Jun-20Dec-20Jun-21Dec-21Jun-22Dec-22Jun-23Dec-23Jun-24

Bothbondsandequitiesexhibitednegativereturns.

Overall,thebenchmarkportfoliodecreased2.1%

overthequarter.

Q2

Last12

Months

Investmentreturns

2024

Domesticequity-6.0%19.8%

InternationalequityNANA

Thenominalbenchmarkdiscountrateincreased65

basispointsoverthequarter.Thischange

Domesticfixedincome-0.9%33.5%

InternationalfixedincomeNANA

combinedwithinterestaccumulationresultedina

liabilitydecreaseof5.2%overthequarter.

Benchmarkportfolio-2.1%32.1%

Thecombinedassetandliabilityeffectwasa3.3%

Interestrates

Jun.

2024

Mar.

2024

Dec.

2023

increaseinthepensionindexforthequarter.

30-yeargovt.bond(real)6.50%5.88%5.47%

10-yeargovt.bond(real)6.52%5.82%5.33%

Three-monthbenchmarkyield

(nominal)10.49%10.37%11.30%

Long-termAA-ratedcorporate

bond

NANANA

Benchmarkdiscountrate

(nominal)

10.76%10.12%9.69%

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page4of13

Canada

WTWPensionIndex—Canada

100

90

83.4asof

6/30/2024

80

70

60

50

40

Jun-13Dec-13Jun-14Dec-14Jun-15Dec-15Jun-16Dec-16Jun-17Dec-17Jun-18Dec-18Jun-19Dec-19Jun-20Dec-20Jun-21Dec-21Jun-22Dec-22Jun-23Dec-23Jun-24

Investmentreturns

Q2

2024

Last12

Months

Internationalequitiesanddomesticbondsshowed

positivereturnsoverthequarterwhiledomestic

equitesshowednegativereturns.Overall,the

benchmarkportfolioincreased0.6%overthe

quarter.

Domesticequity-0.5%12.1%

Internationalequity3.0%22.0%

Domesticfixedincome0.2%0.4%

InternationalfixedincomeNANA

Benchmarkportfolio0.6%6.8%

Thebenchmarkdiscountrateincreasedby10

basispointsoverthequarter,whichtakentogether

withinterestaccumulation,decreasedtheliability

Interestrates

Jun.

2024

Mar.

2024

Dec.

2023

by0.1%overthequarter.

30-yeargovt.bond3.39%3.34%3.02%

Thecombinedeffectoftheassetandliability

movementswasa0.7%increaseinthepension

indexoverthequarter.

10-yeargovt.bond3.50%3.45%3.10%

Three-monthgovt.bond4.66%5.01%5.05%

Long-termAA-ratedcorporate

bond

4.42%4.33%4.04%

Benchmarkdiscountrate4.96%4.86%4.62%

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page5of13

Eurozone

WTWPensionIndex—Eurozone110

100

97.2asof

6/30/2024

90

80

70

60

50

Jun-13Dec-13Jun-14Dec-14Jun-15Dec-15Jun-16Dec-16Jun-17Dec-17Jun-18Dec-18Jun-19Dec-19Jun-20Dec-20Jun-21Dec-21Jun-22Dec-22Jun-23Dec-23Jun-24

Investmentreturns

Q2

2024

Last12

Months

Domesticequity1.7%14.4%Domesticequitiesshowedpositivereturnsoverthe

InternationalequityNANA

quarterwhiledomesticbondsshowednegative

returns.Overall,thebenchmarkportfolioincreased

0.1%overthequarter.

Thebenchmarkdiscountrateincreasedby32

Domesticfixedincome-0.9%3.5%

InternationalfixedincomeNANA

Benchmarkportfolio0.1%7.8%

basispointsoverthequarter,whichcombinedwith

interestaccumulationdecreasedtheliabilityby

Interestrates

Jun.

2024

Mar.

2024

Dec.

2023

4.3%overthesecondquarter.

30-yeargovt.bond2.69%2.46%2.26%

Thecombinedeffectoftheassetandliability

movementswas4.7%increaseinthepension

indexoverthequarter.

10-yeargovt.bond2.50%2.30%2.02%

Three-monthgovt.bondN/AN/AN/A

Long-termAA-ratedcorporate

bond3.61%3.32%3.17%

Benchmarkdiscountrate3.59%3.27%3.14%

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page6of13

Japan

WTWPensionIndex—Japan

120

110

100

90

80

118.8asof

6/30/2024

70

60

50

40

Jun-13Dec-13Jun-14Dec-14Jun-15Dec-15Jun-16Dec-16Jun-17Dec-17Jun-18Dec-18Jun-19Dec-19Jun-20Dec-20Jun-21Dec-21Jun-22Dec-22Jun-23Dec-23Jun-24

Equitiesandinternationalbondsshowedpositive

returnswhiledomesticbondsshowednegative

returns.Thisresultedina0.3%increaseinthe

Q2

Last12

Months

2024

Investmentreturns

Domesticequity1.4%25.4%

Internationalequity9.2%34.4%

overallbenchmarkportfoliooverthequarter.

Domesticfixedincome-3.4%-6.9%

Thebenchmarkdiscountrateincreasedby2

basispointsoverthequarter.Overall,with

interestaccumulationtheliabilityincreasedby

0.3%overthequarter.

Internationalfixedincome4.0%8.9%

Benchmarkportfolio0.3%6.0%

Thecombinedeffectoftheassetandliability

Interestrates

Jun.

2024

Mar.

2024

Dec.

2023

movementsresultsinnochangeinthepension

30-yeargovt.bond2.30%1.86%1.78%

indexoverthequarter.

10-yeargovt.bond1.08%0.75%0.67%

Three-monthgovt.bond0.03%-0.05%-0.21%

Long-termAA-ratedcorporate

bondNANANA

Benchmarkdiscountrate2.41%2.39%2.36%

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page7of13

Switzerland

WTWPensionIndex—Switzerland

140

130

120

110

124.8asof

6/30/2024

100

90

80

Jun-13Dec-13Jun-14Dec-14Jun-15Dec-15Jun-16Dec-16Jun-17Dec-17Jun-18Dec-18Jun-19Dec-19Jun-20Dec-20Jun-21Dec-21Jun-22Dec-22Jun-23Dec-23Jun-24

Bothdomesticbondsandequitiesexhibited

positivereturns.Overall,thebenchmark

Investmentreturns

Q2

2024

Last12

Months

Domesticequity3.1%7.1%portfolioincreased0.8%overthequarter.

Thebenchmarkdiscountratedecreased9

basispointsoverthequarter.Thischange

combinedwithinterestaccumulationincreased

liabilitiesby1.8%overthequarter.

InternationalequityNANA

Domesticfixedincome1.3%5.5%

InternationalfixedincomeNANA

Benchmarkportfolio0.8%8.8%

Thecombinedeffectoftheassetandliability

movementswasa1.0%decreaseinthe

Interestrates

Jun.

2024

Mar.

2024

Dec.

2023

30-yeargovt.bond0.55%0.65%0.54%pensionindexoverthequarter.

10-yeargovt.bond0.56%0.65%0.70%

Three-monthgovt.bondNANANA

Long-termAA-rated

corporatebondNANANA

Benchmarkdiscountrate1.27%1.36%1.32%

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page8of13

UnitedKingdom

WTWPensionIndex—UnitedKingdom

110

100

80.2asof

6/30/2024

90

80

70

60

Jun-13Dec-13Jun-14Dec-14Jun-15Dec-15Jun-16Dec-16Jun-17Dec-17Jun-18Dec-18Jun-19Dec-19Jun-20Dec-20Jun-21Dec-21Jun-22Dec-22Jun-23Dec-23Jun-24

Equitiesshowedpositivereturnswhiledomestic

Investmentreturns

Q2

2024

Last12

Months

Domesticequity3.0%13.3%

bondsshowednegativereturnsduringthe

quarter.Overall,thebenchmarkportfolio

Internationalequity2.9%20.7%

decreased1.6%overthequarter.

Domesticfixedincome-2.8%1.2%

Thebenchmarkdiscountrateincreased29

basispointsoverthequarter.Overall,this

InternationalfixedincomeNANA

Benchmarkportfolio-1.6%4.3%

changecombinedwithinterestaccumulation

decreasedtheliabilityby3.4%overthequarter.

Interestrates

Jun.

2024

Mar.

2024

Dec.

2023

Thecombinedeffectoftheassetandliability

30-yeargovt.bond4.66%4.42%4.14%

movementswasa1.8%increaseinthepension

10-yeargovt.bond4.17%3.93%3.53%indexoverthequarter.

Three-monthgovt.bond5.23%5.25%5.24%

Long-termAA-rated

corporatebond

5.13%4.80%4.51%

Benchmarkdiscountrate5.13%4.84%4.50%

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page9of13

UnitedStates

WTWPensionIndex—UnitedStates

120

110

117.0asof

6/30/2024

100

90

80

70

60

50

Jun-13Dec-13Jun-14Dec-14Jun-15Dec-15Jun-16Dec-16Jun-17Dec-17Jun-18Dec-18Jun-19Dec-19Jun-20Dec-20Jun-21Dec-21Jun-22Dec-22Jun-23Dec-23Jun-24

Domesticequitiesandbondsshowed

positivereturnswhileinternationalequities

showednegativereturnsduringthesecond

Q2

Last12

Months

Investmentreturns

2024

Domesticequity2.5%21.8%

quarter.Overall,thebenchmarkportfolio

Internationalequity-0.5%11.5%

increased1.3%overthequarter.

Domesticfixedincome0.3%3.0%

Benchmarkportfolio1.3%13.0%

Thebenchmarkdiscountrateincreased20

basispointsforthequarter.Thischange

combinedwithinterestaccumulation

decreasedtheliabilityby0.9%overthe

Interestrates

Jun.

2024

Mar.

2024

Dec.

2023

30-yeargovt.bond4.51%4.34%4.03%

quarter.

10-yeargovt.bond4.36%4.20%3.88%

Thecombinedeffectoftheassetand

liabilitymovementswasa2.4%increasein

thepensionindexforthequarter.

Three-monthgovt.bond5.48%5.46%5.40%

Long-termAA-rated

corporatebond5.30%5.05%4.82%

Benchmarkdiscountrate5.58%5.38%5.19%

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page10of13

Generalcomments

Inordertoobtainageneralindicationofpensionplanperformanceinvariouscountries,wedefineda

benchmarkpensionplanthatisintendedtoberepresentativeofthepensionliabilitiesandplanassets

(includingassetmix)thataretypicallyfoundineachglobalmarket.Notethatcertainsimplifyingassumptions

aremadeaboutcashcontributionsmadetothebenchmarkplanandothercharacteristics.

Liabilitymeasurement

Pensionplanliabilitiesundermanycommonlyusedinternationalaccountingstandards(includingASC715,

CICA3461,CVM371,FRS17andIAS19)aremeasuredusingadiscountratethatissetbasedonyields

availableonhigh-qualitycorporatebondsasofthedatethatliabilitiesaremeasured.

Whilethediscountrateisthemostcommonlyquotedassumption,liabilityandexpensecalculationsdepend

onanumberofadditionalassumptions,botheconomic(suchasexpectedsalaryincreasesandexpected

benefitincreases)anddemographic.Otherfinancialassumptionsareadjustedsoastoremainconsistent

withchangesinthediscountrate.

Assetsmoothing

ASC715andCICA3461allowplansponsorstousesmoothingmechanismstobuffertheeffectsofyear-to-

yearinvestmentperformance.Plansusingthese

approacheswillseetheeffectofinvestmentreturn

experiencespreadoveraperiodofyears.

Exchangerates

(currencyperUS$1)

Jun.

2024

Mar.

2024

Dec.

2023

Brazil5.595.014.85

Canada1.371.351.32

Currencyeffects

Theresultspresentedinthisdocumentareinlocal

currency.Changesinrelativecurrencyvaluesmay

haveasignificantimpactonassetandliability

measurements.Theeffectofcurrencymovements

dependsonthecompany’sreportingcurrencyand

Eurozone0.930.930.91

Japan160.82151.3140.99

Switzerland0.900.900.84

U.K.0.790.790.79

itsglobalallocationofassetsandliabilities.Theaccompanyingtableshowsthevalueofforeigncurrencythat

equatestooneU.S.dollaratvariousmeasurementdates.

Localregulatoryrequirements

Thisupdatereviewsfinancialresultsforpensionplansbasedonmeasurementsdefinedbyinternational

accountingstandards.Localaccountingorfundingrequirementsmaybebasedonsignificantlydifferent

typesofassetorliabilitymeasuresinsomelocations.

Eurozonebenchmarkplan

TheresultsshownfortheEurozonearebasedontypicalfundedplansfoundinBelgiumandthe

Netherlands.

GlobalPensionFinanceWatch:SecondQuarter2024.Copyright©2024WTW.Allrightsreserved.

Page11of13

Definitionofterms

Bondyields

.Governmentbondyieldsarebasedonpublishedinformation.GovernmentbondyieldsfortheEurozonearebasedonGerman

governmentbonds.Duetothelackofmarketablesecurities,Braziliangovernmentbondyieldsarerealrates,exceptforthethree-

monthgovernmentbondyield,whichisanominalrate(i.e.,includesinflation).

.CorporatebondyieldsreflecttheFTSETMXCorporateBondIndexforCanada,iBoxxEUROCorporatesAA10+fortheEurozone,

iBoxx15+AACorporateBondIndexfortheU.K.andML10+High-QualityIndexintheU.S.

.Benchmarkdiscountratesaredeterminedfortheaverageplanbasedonyieldsavailableonhigh-qualitycorporatebondsasofthe

datethatliabilitiesaremeasured.DiscountratesforCanada,theEurozone,Japan,Switzerland,theU.K.andtheU.S.arebasedon

ourRATE:Linkmethodology.DiscountratesforBrazilareaproxyfortheyieldoncorporatebonds,developedfromtherealyieldon

30-yeargovernmentbondswithanadjustmenttoaccountforliquiditycharacteristicsandtheadditionofalong-terminflation

assumption.Higherorlowerdiscountratesmightbeappropriateforotherplans.

Benchmarkinvestmentreturns

.Benchmarkinvestmentreturnsreflectthecombinedeffectofpricechangesandinterestordividendincome.Thiswilltypicallydiffer

fromthedailyresultspublishedinfinancialjournals,whicharebasedsolelyonpricechanges.

.Investmentreturnshavebeenbasedoncommonlyquotedlocalbenchmarks,asdetailedbelow:

.ForBrazil,domesticequityreturnsarebasedontheFTSEAll-WorldBrazilindex,anddomesticfixed-incomereturnsonthe

iBoxxGEMXBrazilindex.

.ForCanada,domesticequityreturnsarebasedontheS&P/TSXComposite,internationalequityreturnson10%S&P500(in

Canadiandollars),20%S&PTSXComposite(inCanadiandollars),10%MSCIEAFETotalReturnIndexNetDividends(in

Canadiandollars)anddomesticfixed-incomereturnson60%FTSETMXLongBondTotalReturn.

.FortheEurozone,domesticequityreturnsarebasedontheMSCIEurozonemarketindex,internationalequityreturnsonthe

MSCIWorldex-EMUtotalreturnindexanddomesticfixed-incomereturnsontheiBoxxEUROverallindex.

.ForJapan,domesticequityreturnsarebasedontheFTSEAll-WorldJapanindex,internationalequityreturnsontheMSCI

World(ex-Japan)Indexwithnetdividendsreinvested,domesticfixed-incomereturnsontheFTSEJapanGovernmentTotal

indexandinternationalfixed-incomereturnsontheFTSEGlobalGovernmentBondindex.

.ForSwitzerland,portfolioreturnsarebasedonthePictetIndex2005BVG-40+index.

.FortheU.K.,domesticequityreturnsarebasedontheFTSEAllShare,internationalequityreturnsontheFTSEAll-Worldex-

U.K.anddomesticfixed-incomereturnsontheFTSEOver15YearsGilts.

.FortheU.S.,domesticequityreturnsarebasedon80%S&P500Indexand20%Russell2500,internationalequityreturnson

theMSCIEAFEIndex,anddomesticfixed-incomereturnson87.5%BarclaysCapitalAggregateBondIndexand12.5%three-

monthT-bills.

.Benchmarkportfolioreturnshavebeenbasedonatypicaldiversifiedportfolioineachcountrythathasnotyetbeensecuredviaan

insurancepolicy.Benchmarkportfolioreturnsforthisquarterhavebeenbasedonthefollowingassetallocations:

.Brazil:10%domesticequityand90%domesticfixedincome

.Canada:40%equity(20%domestic,20%international)and60%domesticfixedincome

.Eurozone:40%domesticequityand60%domesticfixedincome

.Japan:30%equity(20%domestic,10%internationa