养老基金目标和战略【PPT课件】

1、Pension Funding Targets and Strategies,Brian Donohue, Chicago Consulting Actuaries Jerry Mingione, Towers Perrin May 12, 2004,History of Funding Rules,In the beginning of time (post-ERISA). actuaries had considerable control over the assumptions and methods used for determining funding requirements.

2、 Financial assumptions were set to be reasonable on a long-term basis. Actuarial methods were selected, essentially right from the text book, with considerable freedom. Unfunded liabilities were funded over 10-30 year periods, based on level payments.,History of Funding Rules,Then things changed leg

3、islatively. In 1987, OBRA instituted the concept of current liability, in order to bring a solvency/termination basis perspective to funding requirements (and tax deduction allowances). Basically, plans were required to maintain a funding level of 90% of current liability. If they fell below this le

4、vel, they would be required to contribute additional amounts to recover their funded position over (essentially) 3-5 years. Current liability-based funding requirements were made more stringent in 1994: maximum CL interest rate reduced from 110% to 105% updated mortality table increased required fun

5、ding %s for deficit reduction contributions.,History of Funding Rules,And capital market changes upset the dynamics. Initially interest rates were high enough that the termination basis calculations did not override the long-term funding basis that plans had traditionally used for funding. Then inte

6、rest rates declined in the 90s, as did equity markets in the early years of this decade creating the doomsday scenario for pension plans. Actuary-set long term-based financial assumptions did not react much. Thus, the dynamics of pension funding requirements changed dramatically. Treasury cut back t

7、he issuance of 30-year bonds in 1998, and then eliminated them entirely in 2001. Yields on 30-year T-bonds declined and the credit spread widened. It became apparent that a legislative remedy was required. Temporary relief was granted for 2002-2003 by raising the interest rate cap to 120%.,Current S

8、ituation,Lets compare assumptions in the late 1980s vs. today:,* Potentially increases to about 6.4% with interest rate relief.,1988,2004,average contribution,interest rate,8.4%,8.3%,30-year Treasury yield,9.0%,5.1%,maximum current,liability rate,10.1%,5.5%*,Current Situation,Heres what those change

9、s imply in terms of valuation results and contribution requirements:,1988,2004,2004,without relief,with relief,valuation interest rate,8.4%,8.3%,8.3%,current liability rate,10.1%,5.5%,6.4%,AAL funded ratio,84%,83%,83%,CL funded ratio,115%,73%,81%,regular minimum,$47.3,$49.2,$49.2,addtl. funding char

10、ge,0.0,75.6,34.7,minimum with DRC,124.9,83.9,Current Situation,The typical pension plan today has a current liability funded status in the range of 80-90%. Many, of course, are well below this level. Contribution requirements tend to spike dramatically as funded levels fall below 90%. However, contr

11、ibution requirements in most cases lag emerging financial experience by roughly 2-3 years, due to the effects of: volatility relief four-year averaging of interest rates asset smoothing allowable contribution timing delays.,Current Situation,Plan sponsors have typically not been proactive in address

12、ing their declining funded positions with a few notable exceptions. Why? They counted on smoothing to avoid the worst effects of the capital market situation, and that the capital market situation would improve over time. They counted on legislated solutions to mitigate contribution requirements. Th

13、e implications in terms of future contribution requirements were not always made clear. The number of alternative funding measures made it hard to monitor results and determine/prioritize funding targets.,Lessons Learned,Poorly funded plans entail a number of adverse consequences, in addition to spi

14、kes in future contribution requirements: quarterly contribution requirements PBGC variable premiums participant notices re underfunding PBGC underfunding notice additional minimum liability/charges to shareholder equity.,Lessons Learned,Recent experience has exposed a need to better monitor CL fundi

15、ng, and potentially adjust funding over time so as to maintain a target funding level: 60% to avoid restrictions on benefit improvements 80%/90% to avoid additional funding charge + participant notice 100% to avoid quarterly contributions. 110% to avoid lump sum restrictions to top 25. 125% to allow

16、 section 420 transfers to fund retiree medical benefits (based on OBRA CL).,Lessons Learned,Other possible funding targets: FFL to avoid variable premium ABO to avoid additional balance sheet liability.,Lessons Learned,While 2003 results were strong, they werent a panacea. Plan sponsors still have t

17、he after-effects of smoothing methodologies to deal with. Most plans now realize that a minimum funding strategy is not optimal. There is also considerable legislative uncertainty remaining: short-term interest rate and DRC-related relief long-term funding reform.,Proactive Strategies,Push back quar

18、terly contributions requires minor acceleration of contribution timing improves CL funded % reduces PBGC premiums. Avoid DRC 90%/90%/80%/80% pattern avoids large increase in funding requirements. Avoid PBGC variable premium funding target based on FFL variable premiums, unlike contributions, are a d

19、ead-weight loss to employers.,Proactive Strategies,Example 1: Minimum Funding,Aggregate contributions: $ 390.4 Aggregate PBGC premiums: $ 10.9,Proactive Strategies,Example 2: Push back quarterly contributions,Aggregate contributions: $ 381.9 Aggregate PBGC premiums: $ 6.5,Proactive Strategies,Exampl

20、e 3: Avoid DRC,Aggregate contributions: $ 355.6 Aggregate PBGC premiums: $ 4.5,Proactive Strategies,Example 4: Avoid PBGC variable premium,Aggregate contributions: $ 346.4 Aggregate PBGC premiums: $ 1.8,Proactive Strategies,Consultants need to clarify pension funding decisions for clients. The actua

21、rial report has become a compliance document, not a consulting document. The old model (minimum and maximum) has been replaced by a new model (targets and consequences) for pension funding. Forecasts are essential to client understanding and decision-making. Ultimately, pension funding decisions sho

22、uld be less complicated than they currently seem to employers.,Proactive Strategies,Long-term strategic approaches - determine the long-term cost of the plan (e.g., level % of pay) and fund this amount, subject to min/max constraints potentially reduces the volatility of annual contribution requirem

23、ents dramatically does this by avoiding the “feast or famine” scenarios that most plan sponsors have been seeing. Area of concern: how do variations in contribution requirements correlate to the ups and downs of the business cycle? In economic terms it is not just the amount of required contribution

24、s that should be of concern, but the potential disutility of having to make those contributions at the wrong time.,Proactive Strategies,Minimum,Funding Target,Contributions,Analysis shows that target contributions in advance of requirements should reduce the level and variability of future contribut

25、ions.,Proactive Strategies,What do companies actual funding policies look like to the extent they have developed one? 90% of surveyed companies reported having some type of funding policy, although typically these are unwritten/informal. Contribution targets within these policies were as follows 34%

26、 expected to pay the minimum required contribution 16% targeted to maintain a 90% funded level for current liability 8% targeted to avoid PBGC variable premiums 6% set funded level targets based on PBO/ABO measures 5% targeted to avoid participant underfunding notices 5% expected to pay the maximum

27、deductible amount. Source: 2002 Towers Perrin survey; 115 responses,Funding Reform,In terms of near-term funding relief, Congress seems prepared to grant the following: Replacement of 30-year Treasury bond yield with a composite rate consisting of high quality long corporate bond indices adds as muc

28、h as 1.0% to the 4-year weighted average for 2004 (note: there is some uncertainty as to how Treasury will implement the new rate). Other limited relief provided for airlines, steel, and multiemployer plan sponsors. These provisions will only be effective for two years - through YE 2005. Thus contin

29、uing efforts to craft more permanent funding reform will be necessary - starting immediately.,Funding Reform,What might permanent reform look like? The Treasury department has made proposals along the following lines: Solvency measures would reflect snapshot values of assets and liabilities, includi

30、ng interest rates based on a yield curve. The changes would make pension funding more responsive to capital market conditions and the varying effects of plan demographics. There would be increased disclosure requirements with respect to plan funded status (based on the same snapshot/solvency measure), and restrictions on benefits provided under poorly funded plans. There have also been proposals to modify the PBGC premium structure to be