德国银行买方分析

Session39The“Buyside”Perspective–AnAnalyst’sViewofFinancialDisclosureWaydeBendus,VicePresident,DeutscheBankWhyarepensionsstillarelevantconcernforthestreet?Underlyinggrowthinpensionbenefitliabilitieshasbeenapproximately4.25%,beforeconsiderationforchangesindiscountratesFundedpositionshaveverylikelydeterioratedin2004–Despitetherecentriseinshort-termrates,long-termrateshavestabilizedoverthepastyearLaborunionsareaggressiveprotectorsofbenefits,eveninhighlydistressedindustriesHeathcareandwageinflationhavebeenfaroutpacingoverallinflation,increasingtheburdenofOPEBliabilitiesBenefitpayoutsaregrowingandhaveasignificantimpactonplanassetlevels–bleedratehavebeenasignificantoffsettorecentassetreturnsandemployercontributionsManycompanieshaveyettoaddressunderfundedpensionsonaglobalbasis–differingrulesonfundingrequirementsPotentialchangesinaccountingandERISArulescouldimpacthowcompaniesmanagetheirpensionplansAssetallocationishighlygearedtowardsequityinvestments,whichwillresultinsignificantvolatilityinfundingpositionsAverageS&P500pensionplanPensionplanassetsimprovedduetoonaverage19%marketreturnsandhigheremployercontributionsin2003PensionliabilitiesincreasedduetoaccumulationofnewbenefitsandlowerdiscountratesSource:DB,Companyreports,FactSetAveragePBOandFVAfortheS&P500AverageFundingfortheS&P500AverageAssumptionUsedfortheS&P500$0$500$1,000$1,500$2,000$2,500$3,000$3,500$4,00019931994199519961997199819992000200120022003PBOPlanAssets($800)($600)($400)($200)$0$200$400$600$800199319941995199619971998199920002001200220030.0%20.0%40.0%60.0%80.0%100.0%120.0%140.0%FundingPositionFundingLevel3.0%4.0%5.0%6.0%7.0%8.0%9.0%10.0%19931994199519961997199819992000200120022003ReturnCompensationIncreaseRateDiscountRateAverageS&P500pensionplan(cont’d)Aggregatepensionfundingimprovedmoderatelyin2003toapproximately87%from82%in2002–Underfundedplansimprovedto82%from78%TheaggregatedunderfundedpositionfortheS&P500wasapproximately$170bn–underfundedplanswereapproximately$192bnSource:DB,Companyreports,FactSetAggregateandUnderFundedFundingPositionfortheS&P500YearoverYearChangeinDistributionofFundingLevelsfortheS&P500AggregateandUnderFundedFundingLevelfortheS&P500$8,819($73,974)($170,089)($214,620)($191,604)($227,718)($250,000)($200,000)($150,000)($100,000)($50,000)$0$50,000200120022003in$mmAggregateUnderFunded32%24%25%8%6%20%14%5%5%15%20%25%0%5%10%15%20%25%30%35%Lessthan70%70%80%80%90%90%100%100%110%Greaterthan110%20022003100.9%81.5%87.0%82.2%77.8%86.9%65%70%75%80%85%90%95%100%105%200120022003AggregateUnderFundedGM–CaseStudyGM’sUSpensionplanswerefullyfundedfollowingits$18.6bndebtfinancedfundingNon-USplanswereunderfundedby$7.5bnOPEBsrepresentedaverylargeliabilityandgrewbyover$20.9bnin2003Pension&OPEBUSplansNon-USplansTotalplansOPEBCombinedPensionandOPEBliabilitiesBegPBO$79,617$12,129$91,746$57,195$148,941Servicecost9192281,1475371,684Interestcost5,1628035,9653,7989,763Participantcontributions22234584129Amendments2,244–2,244–2,244Actuariallosses5,6842225,9069,02614,932Benefitspaid(6,501)(732)(7,233)(3,621)(10,854)Exchangerate–2,3982,398–2,398Other13817155523678EndPBO$87,285$15,088$102,373$67,542$169,915PlanassetsBegFVA$60,498$5,943$66,441$5,794$72,235Actualreturn13,45270314,15586515,020Employercontributions18,62144219,0633,33922,402Participantcontributions222345–45Benefitspaid(6,501)(732)(7,233)–(7,233)Exchangerate–1,1811,181–1,181Other77–77–77EndFVA$86,169$7,560$93,729$9,998$103,727Fundedlevelat200398.7%50.1%91.6%14.8%61.0%GM–CaseStudy(cont’d)(1)USplansonlyAssetreturnsandemployercontributionsonpensionplanstotaled$33.2bnyettheunderfundedstatuswasonlyreducedby$18.0bnLowerdiscountratesandhigherbenefitpayoutserodedasignificantportionofthegainsHighbenefitpayouts,stronglaborunionsandrisingbenefitcosts,inamarketenvironmentthatisproducinglimitedreturns,willverylikelytaketheirtollonequityvaluationsforcompanieslikeGMoverthelongertermPension&OPEBUSplansNon-USplansTotalplansOPEBCombinedBridgeanalysisFundedstatus2002$(19,118)$(6,156)$(25,274)$(51,401)$(76,675)Servicecost(919)(228)(1,147)(537)(1,684)Interestcost(5,162)(803)(5,965)(3,798)(9,763)Amendments(2,244)–(2,244)–(2,244)Actuarial(5,684)(222)(5,906)(9,026)(14,932)Actualreturn13,45270314,15586515,020Employercontributions18,62144219,0633,33922,402Exchangerate–(1,217)(1,217)–(1,217)Other(61)(17)(78)(607)(685)FundedStatus2003$(1,116)$(7,528)$(8,644)$(57,544)$(66,188)ChanginFundedStatus$(18,002)$1,372$(16,630)$6,143$(10,487)Benefitpayout$(6,501)$(732)$(7,233)$(3,621)$(10,854)%ofplanassets-7.5%-9.7%-7.7%-36.2%-10.5%%ofPBO-7.4%-4.9%-7.1%-5.4%-6.4%Assumptionsandsensitivities[1]Expectedrateofreturn9.00%8.50%7.00%Discountrate6.75%6.23%6.75%Compensatoinrateofincrease5.00%3.40%4.30%25bpschangeindiscountonPBO$2,100$1,90025bpschangeinreturnonFVA$220FundingStrategiesFundingsourceProsConsRatingsimpactCashfromoperationsSignofstrongoperations,liquidity“Net”de-leveragingeffectRedeployedatsignificantreturnsEconomicbenefittodebtrepaymentNonePositive,givende-leveragingeffectCashonhandRedeployedatbetterreturnsEcon