养老基金目标和战略.pptVIP

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. 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 legislatively…….. 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 level, 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 funding %’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 interest rates declined in the 90’s, 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 the 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 le