养老基金目标和战略英文.ppt

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1、PensionFundingTargetsandStrategiesBrianDonohue,ChicagoConsultingActuariesJerryMingione,TowersPerrinMay12,2004HistoryofFundingRulesInthebeginningoftime(post-ERISA)………….actuarieshadconsiderablecontrolovertheassumptionsandmethodsusedfordeterminingfundingrequire

2、ments.Financialassumptionsweresettobereasonableonalong-termbasis.Actuarialmethodswereselected,essentiallyrightfromthetextbook,withconsiderablefreedom.Unfundedliabilitieswerefundedover10-30yearperiods,basedonlevelpayments.HistoryofFundingRulesThenthingschange

3、dlegislatively……..In1987,OBRAinstitutedtheconceptofcurrentliability,inordertobringasolvency/terminationbasisperspectivetofundingrequirements(andtaxdeductionallowances).Basically,planswererequiredtomaintainafundinglevelof90%ofcurrentliability.Iftheyfellbelowt

4、hislevel,theywouldberequiredtocontributeadditionalamountstorecovertheirfundedpositionover(essentially)3-5years.Currentliability-basedfundingrequirementsweremademorestringentin1994:maximumCLinterestratereducedfrom110%to105%updatedmortalitytableincreasedrequir

5、edfunding%’sfordeficitreductioncontributions.HistoryofFundingRulesAndcapitalmarketchangesupsetthedynamics……..Initiallyinterestrateswerehighenoughthattheterminationbasiscalculationsdidnotoverridethelong-termfundingbasisthatplanshadtraditionallyusedforfunding.

6、Theninterestratesdeclinedinthe90’s,asdidequitymarketsintheearlyyearsofthisdecade–creatingthedoomsdayscenarioforpensionplans.Actuary-setlongterm-basedfinancialassumptionsdidnotreactmuch.Thus,thedynamicsofpensionfundingrequirementschangeddramatically.Treasuryc

7、utbacktheissuanceof30-yearbondsin1998,andtheneliminatedthementirelyin2001.Yieldson30-yearT-bondsdeclinedandthecreditspreadwidened.Itbecameapparentthatalegislativeremedywasrequired.Temporaryreliefwasgrantedfor2002-2003byraisingtheinterestratecapto120%.Current

8、SituationLet’scompareassumptionsinthelate1980’svs.today:*Potentiallyincreasestoabout6.4%withinterestraterelief.19882004averagecontributioninterestrate8.4%8.3%30-yearTreasuryyield9.0%5.1%maximumc