资本市场和金融机构(1).ppt

2.Hedge FundsAn unregistered investment company that pools resources from wealthy individuals and FIs which invest the funds on their behalf.nManager is paid 1 or 2%of fund assets,and 20%to 40%of profits realized by the funds investment strategy.nInvestors:Wealthy individuals,pension funds,insurance companies,university endowment fundnLess regulated than MFs.Hedge Funds suffered heavy loses during 2008 According to Hedge Fund ResearchnAbout 700 funds closed in the first three quarters of 2008(up over 70 percent from the same period last year)nThe average hedge fund lost 18 percent of its value in 2008 nHF along with investment banks,exchange traded funds,money-market funds and pension funds(shadow banking system)invested heavily in securitized products(e.g.,mortgage backed securities).nIn the U.S.the shadow banking system has provided about 80%of total lending since 1992.Strategies of HFnNon-directional.Long and short position in assetsnOpportunistic:Possible assets mispricing(LTCM.See next slide)nEvent-driven:Potential mergers.1Long Term Capital Management collapse(1998)nLTCM wanted to take advantage of unusual spreads between bond pricesnCorporate bonds and T-bonds usually follow systematic pattern Then their prices start to diverge LTCM sees this as a mispricing:Sells short T-bonds and buys long Corp bonds However,the opposite occurred:the spread between the prices of T-bonds and Corp.bonds increased!July 1998Corp bondsT-bondsLTCM expectation23.Pension Funds:IntroductionnPension Fund.Fund set up by a corporation,labour union,government entity,or other organization to paypay the pension benefits of retired workers.nThe pension fund is a legally separate entity(a separate account within a firm or a corporation)nPension Funds are run by Asset Managers(firm managers or other FIs;with help of actuaries and other advisers)nPension Funds are currently very active in monitoring firms performance due to their increasing controlling share ownership.nThey reduce Agency problems between managers and shareholders3Pension PlansA.Government sponsorednOld age security and Guaranteed Income Supplement.Flat payment.nCanada Pension Plan.Contributions by employers and employees to retired,disabled workers,surviving spouses.nPaid from current contributions(Premiums from current workers support retired pensioners).B.Personal Pension Plan.nRRSPs that Canadians set up with FIs to provide tax-sheltered self-financed retirement funds.C.Employer-sponsored pension plans.E.g.,Trusted Pension Funds,profit sharing plans,group RRSP.4Employer-sponsored(contd)Trusteed Pension PlansnAsset Manager(Trustee)n Insurance Companies,trust companies,banks,Investment banks,specialized fund manager They hold and manage the funds assets according to specified guidelines for a Fee.nLargest Pension funds in CanadanOntario Teachers Pension Board and Ontario Municipal Employees Retirement Board.nLargest Pension Fund Manager(discretion to manage funds):nCaisse de depot et placement du QuebecWith the exception of vested assets,which maybe withdrawn by an employee and placed into a restricted RRSP,the assets of pension funds are only withdrawn to meet payments to beneficiaries(p 105)5Types of Trusteed Pension Plansa)Defined Contribution Plan.It provides,at retirement,whatever pension income is available based on accumulated contributions and investment returns.nEach employee has an account into which the employer and the employee(in a contributory plan)make regular contributions.nContributions from both parties are tax-deductible,and investment income accrues tax-free.nThe employee bears all the investment risk.nThe retirement account is by definition fully funded.nA defined contribution plan is less risky for the company,but could leave retirees with lower pensions.6b)Defined Benefit Plans.It provides guaranteed income to workers in retirement no matter what happens in the financial markets.nEach employees pension benefit entitlement is determined by a formula that takes into account years of service for the employer and,in most cases,wage or salary.(See example on next slide)n Employer absorbs the investment risk.7nNumerical examples of a typical Defined-Benefit plan.A typical DB plan determines the employees benefit as a function of both years of service and wage history.As a representative plan,consider one which the employee receives retirement income equal to 1%of final salary(or average of three last years),times the number of years of service.nExample 1.Assume an employee retires after 40 years of service with a average salary of 60,000 per year.What is his retirement benefit?Assume the following Actuarial Defined Benefit model retirement per year Retirement per year=0.01*(Avg salary last three years)*(#years worked)A:Retirement benefit per year=0.01*$60,000*40=$24,000 8nExample 2:Assume an employee is 40 years old and has been working for same firm as above for 15 years(same salary).If normal retirement age is 65,the interest rate is 8%,and the employees life expectancy is 80,what is the present value of the accrued pension benefit?nA:Annuity promised(at retirement)=0.01*60,000*15=$9,000nPV accrued Pension benefit=$9,000*(P/A,8%,15)(P/F,8%,25)=$9,000(8.5595)(0.1460)=$11,247 9Decreases in interest rates a big problem for Private Pension Funds Why many Canadian Private Sponsored funds(Defined-Benefit Plans)are currently under funded?(or en deficit.,i.e.,the fund does not have enough assets to meet all obligations,or payments to retirees,if it was dismantled now)-Currently pension plans are valued every three years Assume last year valuation was 2006-Pension funds have Assets and Liabilities(obligations to retirees)Example Suppose in 2004 a firm set aside a lump sum that should be equal$100,000 after 20 years(amount that has to be covered).The required amount is$31,180 assuming 6%growth(interest rate).A pension liability is the amount of money that must be set aside in a plan to meet future payments.If interest rates fall,it is assumed that the money would generate less income between now and the time it has to be paid out to retirees,sometimes decades into the future.10The following table reports a hypothetical scenario in last 5 years for the firms pension fund Over Rate of Assets(A)Market Liabilities(L)(Under)Return Year Interest rate fundedAssets (risk adjusted proposal)(A)-(L)Start 2004 start rate (6%)100,000/(1.06)20 =$31,1807%End 2004$31,180(1.07)=$33,362 (6%)100,000/(1.06)19=33,051 +$311 7%End 2005 33,362(1.07)=35,698 (6%)100,000/(1.06)18=35,034 +6647%End 2006 35,698(1.07)=38,196 (5%)100,000/(1.05)17 =43,630 (5,434)1%End 2007 38,196(1.01)=38,578 (5%)100,000/(1.05)16=45,811 (7,233)-15%End 2008 38,578(1-0.15)=32,791 (4%)100,000/(1.03)15=64,186 (31,395)11nWhat should the firm have done?Options:(1)Buy insured annuities.(2)A Policy of 100%fixed investment that guarantee 6%return on 20 years.E.g.buying a zero coupon bond with face value of$100,000(Immunization)BALANCE SHEET OF A PENSION FUND FULLY IMMUNIZEDYEARASSETSLIABILITIESStart 200431,180200431,180(1.06)=33,05133,051200531,180(1.06)2=35,03435,034200637,13637,136200739,36539,365200841,72741,727200944,23044,230201046,88446,884201149,69749,697201252,67952,679201355,83955,839201459,19059,190201562,74162,741201666,50666,506201770,49670,496201874,72674,726201979,20979,209202083,96283,962202189,00089,000202294,34094,3402023100,000100,00012nWhat about companies that fail or file for bankruptcy?nPFs are separate entities,so the money in them is still protected from creditors.n In sad cases,retirees may loose half of their retirement or more.nThe Pension plan would likely be wound up.Few benefits could be distributed.nCanadian Bankruptcy courts nUnionsnNortel,Chrysler,GMC see articles handed in classMain regulator of PFs(over 1,000):OSFI.Other PFs report to provincial regulators.134.Concluding remarksnSince the beginnings of the 1990s the MF industry has grown very rapidly with a drastic decrease in market value during 2008.nPassive index funds have consistently outperformed actively managed MFs.nHedge funds are not for the faint-hearted.nPension funds are active monitors of publicly listed companies.nDefined benefit plans are steadily being replacedby defined contribution plans.nHedge funds and pension funds have suffered heavy losses during 2008 and 2009.14