养老基金目标和战略(1)

PensionFundingTargetsandStrategiesBrianDonohue,ChicagoConsultingActuariesJerryMingione,TowersPerrinMay12,2004HistoryofFundingRulesInthebeginningoftime(post-ERISA)………….actuarieshadconsiderablecontrolovertheassumptionsandmethodsusedfordeterminingfundingrequirements.Financialassumptionsweresettobereasonableonalong-termbasis.Actuarialmethodswereselected,essentiallyrightfromthetextbook,withconsiderablefreedom.Unfundedliabilitieswerefundedover10-30yearperiods,basedonlevelpayments.HistoryofFundingRulesThenthingschangedlegislatively……..In1987,OBRAinstitutedtheconceptofcurrentliability,inordertobringasolvency/terminationbasisperspectivetofundingrequirements(andtaxdeductionallowances).Basically,planswererequiredtomaintainafundinglevelof90%ofcurrentliability.Iftheyfellbelowthislevel,theywouldberequiredtocontributeadditionalamountstorecovertheirfundedpositionover(essentially)3-5years.Currentliability-basedfundingrequirementsweremademorestringentin1994:maximumCLinterestratereducedfrom110%to105%updatedmortalitytableincreasedrequiredfunding%’sfordeficitreductioncontributions.HistoryofFundingRulesAndcapitalmarketchangesupsetthedynamics……..Initiallyinterestrateswerehighenoughthattheterminationbasiscalculationsdidnotoverridethelong-termfundingbasisthatplanshadtraditionallyusedforfunding.Theninterestratesdeclinedinthe90’s,asdidequitymarketsintheearlyyearsofthisdecade–creatingthedoomsdayscenarioforpensionplans.Actuary-setlongterm-basedfinancialassumptionsdidnotreactmuch.Thus,thedynamicsofpensionfundingrequirementschangeddramatically.Treasurycutbacktheissuanceof30-yearbondsin1998,andtheneliminatedthementirelyin2001.Yieldson30-yearT-bondsdeclinedandthecreditspreadwidened.Itbecameapparentthatalegislativeremedywasrequired.Temporaryreliefwasgrantedfor2002-2003byraisingtheinterestratecapto120%.CurrentSituationLet’scompareassumptionsinthelate1980’svs.today:*Potentiallyincreasestoabout6.4%withinterestraterelief.19882004averagecontributioninterestrate8.4%8.3%30-yearTreasuryyield9.0%5.1%maximumcurrentliabilityrate10.1%5.5%*CurrentSituationHere’swhatthosechangesimplyintermsofvaluationresultsandcontributionrequirements:198820042004withoutreliefwithreliefvaluationinterestrate8.4%8.3%8.3%currentliabilityrate10.1%5.5%6.4%AALfundedratio84%83%83%CLfundedratio115%73%81%regularminimum$47.3$49.2$49.2addtl.fundingcharge0.075.634.7minimumwithDRC124.983.9CurrentSituationThetypicalpensionplantodayhasacurrentliabilityfundedstatusintherangeof80-90%.Many,ofcourse,arewellbelowthislevel.Contributionrequirementstendtospikedramaticallyasfundedlevelsfallbelow90%.However,contributionrequirementsinmostcaseslagemergingfinancialexperiencebyroughly2-3years,duetotheeffectsof:volatilityrelieffour-yearaveragingofinterestratesassetsmoothingallowablecontributiontimingdelays.CurrentSituationPlansponsorshavetypicallynotbeenproactiveinaddressingtheirdecliningfundedpositions–withafewnotableexceptions.Why?Theycountedonsmoothingtoavoidtheworsteffectsofthecapitalmarketsituation,andthatthecapitalmarketsituationwouldimproveovertime.Theycountedonlegislatedsolutionstomitigatecontributionrequirements.Theimplicationsintermsoffuturecontributionrequirementswerenotalwaysmadeclear.Thenumberofalternativefundingmeasuresmadeithardtomonitorresultsanddetermine/prioritizefundingtargets.LessonsLearnedPoorlyfundedplansentailanumberofadverseconsequences,inadditiontospikesinfuturecontributionrequirements:quarterlycontributionrequirementsPBGCvariablepremiumsparticipantnoticesreunderfundingPBGCunderfundingnoticeadditionalminimumliability/chargestoshareholderequity.LessonsLearnedRecentexperiencehasexposedaneedtobettermonitorCLfunding,andpotentiallyadjustfundingovertimesoastomaintainatargetfundinglevel:60%toavoidrestrictionsonbenefitimprovements80%/90%toavoidadditionalfundingcharge+participantnotice100%toavoidquarterlycontributions.110%toavoidlumpsumrestrictionstotop25.125%toallowsection420transferstofundretireemedicalbenefits(basedonOBRACL).LessonsLearnedOtherpossiblefundingtargets:FFLtoavoidvariablepremiumABOtoavoidadditionalbalancesheetliability.LessonsLearnedWhile2003resultswerestrong,theyweren’tapanacea.Plansponsorsstillhavetheafter-effectsofsmoothingmethodologiestodealwith.Mostplansnowrealizethataminimumfundingstrategyisnotoptimal.Thereisalsoconsiderablelegislativeuncertaintyremaining:short-terminterestrateandDRC-relatedrelieflong-termfundingreform.ProactiveStrategiesPushbackquarterlycontributionsrequiresminoraccelerationofcontributiontimingimprovesCLfunded%reducesPBGCpremiums.AvoidDRC90%/90%/80%/80%patternavoidslargeincreaseinfundingrequirements.AvoidPBGCvariablepremiumfundingtargetbasedonFFLvariablepremiums,unlikecontributions,areadead-weightlosstoemployers.ProactiveStrategies200420052006200720082009Currentliability$828$975$1,106$1,220$1,314$1,398Marketvalueofassets8498869029791,0261,075Funded%(w/accruedcontributions)104%91%85%82%80%85%PBGCpremiums1.10.32.22.42.72.2ContributionsJanuary150.00.00.08.69.911.9April150.00.08.69.911.928.9Jul