养老基金目标和战略.pptxVIP

Pension Funding Targets and StrategiesBrian Donohue, Chicago Consulting ActuariesJerry Mingione, Towers PerrinMay 12, 2004History of Funding RulesIn 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 RulesThen 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 tableincreased required funding %’s for deficit reduction contributions.History of Funding RulesAnd 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 legislative remedy was required.Tempo