资本市场和金融机构82.pptx

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1、13.Pension Funds:IntroductionPension Fund.Fund set up by a corporation,labour union,government entity,or other organization to paypay the pension benefits of retired workers.The pension fund is a legally separate entity(a separate account within a firm or a corporation)Pension Funds are run by Asset

2、 Managers(firm managers or other FIs;with help of actuaries and other advisers)Pension Funds are currently very active in monitoring firms performance due to their increasing controlling share ownership.They reduce Agency problems between managers and shareholders第1页/共13页2Pension PlansA.Government s

3、ponsoredOld age security and Guaranteed Income Supplement.Flat payment.Canada Pension Plan.Contributions by employers and employees to retired,disabled workers,surviving spouses.Paid from current contributions(Premiums from current workers support retired pensioners).B.Personal Pension Plan.RRSPs th

4、at 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.第2页/共13页3Employer-sponsored(contd)Trusteed Pension PlansAsset Manager(Trustee)Insurance Companies,trust companies,banks,I

5、nvestment banks,specialized fund manager They hold and manage the funds assets according to specified guidelines for a Fee.Largest Pension funds in CanadaOntario Teachers Pension Board and Ontario Municipal Employees Retirement Board.Largest Pension Fund Manager(discretion to manage funds):Caisse de

6、 depot et placement du QuebecWith the exception of vested assets,which maybe withdrawn by an employee and placed into a restricted RRSP,the assets of pension funds are only withdrawn to meet payments to beneficiaries(p 105)第3页/共13页4Types of Trusteed Pension Plansa)Defined Contribution Plan.It provid

7、es,at retirement,whatever pension income is available based on accumulated contributions and investment returns.Each employee has an account into which the employer and the employee(in a contributory plan)make regular contributions.Contributions from both parties are tax-deductible,and investment in

8、come accrues tax-free.The employee bears all the investment risk.The retirement account is by definition fully funded.A defined contribution plan is less risky for the company,but could leave retirees with lower pensions.第4页/共13页5b)Defined Benefit Plans.It provides guaranteed income to workers in re

9、tirement no matter what happens in the financial markets.Each 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)Employer absorbs the investment risk.第5页/共13页6Numerical

10、 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

11、the number of years of service.Example 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)*(#year

12、s worked)A:Retirement benefit per year=0.01*$60,000*40=$24,000 第6页/共13页7Example 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 presen

13、t value of the accrued pension benefit?A:Annuity promised(at retirement)=0.01*60,000*15=$9,000PV accrued Pension benefit=$9,000*(P/A,8%,15)(P/F,8%,25)=$9,000(8.5595)(0.1460)=$11,247 第7页/共13页8Decreases in interest rates a big problem for Private Pension Funds Why many Canadian Private Sponsored funds

14、(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

15、 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 pl

16、an 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.第8页/共13页9The following table reports a hypothetical scenario in last 5 years for the firms pension fu

17、nd 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 +

18、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)第9页/共13页10What should the firm have done?Options:(1)Buy insured annuities.(2)A Policy of 100%

19、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=35,03435,034200637,13637,136200739,36539,36520

20、0841,72741,727200944,23044,230201046,88446,884201149,69749,697201252,67952,679201355,83955,839201459,19059,190201562,74162,741201666,50666,506201770,49670,496201874,72674,726201979,20979,209202083,96283,962202189,00089,000202294,34094,3402023100,000100,000第10页/共13页11What about companies that fail or

21、 file for bankruptcy?PFs are separate entities,so the money in them is still protected from creditors.In sad cases,retirees may loose half of their retirement or more.The Pension plan would likely be wound up.Few benefits could be distributed.Canadian Bankruptcy courts UnionsNortel,Chrysler,GMC see

22、articles handed in classMain regulator of PFs(over 1,000):OSFI.Other PFs report to provincial regulators.第11页/共13页124.Concluding remarksSince the beginnings of the 1990s the MF industry has grown very rapidly with a drastic decrease in market value during 2008.Passive index funds have consistently o

23、utperformed actively managed MFs.Hedge funds are not for the faint-hearted.Pension funds are active monitors of publicly listed companies.Defined benefit plans are steadily being replacedby defined contribution plans.Hedge funds and pension funds have suffered heavy losses during 2008 and 2009.第12页/共13页13感谢您的观看！第13页/共13页