2007 9 7 1
2
3
4
( ) () FAS158 FRS17 IAS19 04 FTK 5
6
FAS 158 2006.12.15 FAS87 2005.11 2006.12.15 BS PL BS PL2 3 2 2 7
FAS15 8
9
2005 DB 2001 PBGC US LTV) DC 10
DB 90 100 30 10 20 (51515 )324 24 80 80% 70% (at risk plan) PBGC05 1930 11
PPA FAS158 1 BS 2 PL CFO 12
DC 13
P&I(2007/6/11) 2006100 1.08 1.12375 506 20021,510 500 14
(2005 2006) IBM HP GM DC 15
16
LDI 17
06 200620 20 18
50 70 (/ / The Coming Shakeout in the Defined Benefit Market, McKinsey and Company (2007) 19
20
FRS17 ( ) ( ) 19 2007 21
Pension Capital Strategies FTSE100 4545 303 27 143 ICI 124 16 123 16 103 22
2004 (PPF) (trustee) 1995 MFR trustee(sponsor?) 2004 PPF http://www.dwp.gov.uk/lifeevent/penret/penreform/ (scheme specific) statutory funding obligation PPF 23
(statutory funding obligation) statement of funding principles( (technical provision) Pensions Regulator technical provision FRS17PPF 24
PPF Levy() PPF 27000 90100 20 (0.014%) 80 Underfunding Risk( ) Assumed Insolvency Probability(B) 0.8 0.53 Underfunding Risk(A) 125 ) Assumed Insolvency Probability(B) Dan &Bradstreet 25
Statutory Funding Obligation trustee ( ) PPF Levy (179) uy-out cost PPF 97 97 26
17 (2001) derisking 70 buy out 04 27
28
29
Derisking LDI LDI 10 20 82 14 BP, BAE Systems Derisking 30
31
32
19 (IAS19) 05EU 2004 12 33
= Financial Assessment Framework 06(07 ) 34
1997 1998 1999 2000 2001 2002 2003 2004 2005 3331.6 3867.5 4512.7 4637.6 4607.8 4273.0 4818.1 5421.1 6248.2 2793.6 3018.5 3341.5 3612.3 3929.9 4304.9 4694.3 4518.7 4983.6 119% 128% 135% 128% 117% 99% 103% 120% 125% Financial information on pension funds DNB 35
(Collective DC) DC DB Cf. (2006) 36
DB 1998 61.4 15.5 5.9 4.6 3.9 5.2 3.6 100.0 1,038 1999 61.3 15.7 7.4 4.3 3.7 4.3 3.3 100.0 1,020 2000 59.2 16.6 8.7 4.1 3.8 4.1 3.3 100.0 988 2001 56.4 17.7 10.5 3.4 4.6 4.2 3.3 100.0 963 2002 53.1 19.4 12.4 3.0 5.0 4.0 3.1 100.0 939 2003 48.2 22.7 14.5 2.5 5.0 3.7 3.4 100.0 921 2004 46.2 24.9 15.8 2.1 5.1 3.6 2.3 100.0 860 2005 41.2 29.4 16.0 2.0 5.5 3.2 2.6 100.0 831 2006 37.8 33.7 15.3 2.1 6.3 2.7 2.1 100.0 792 1998 66.5 25.0 6.0 1.7 0.5 0.2 0.2 100.0 482.2 1999 59.6 31.2 6.2 1.6 0.2 1.0 0.2 100.0 493.1 2000 58.7 30.6 6.2 1.4 0.2 0.9 2.0 100.0 517.7 2001 56.1 32.2 6.5 1.3 1.8 0.9 1.3 100.0 539.1 2002 54.3 31.6 6.8 1.1 2.4 0.8 2.9 100.0 590.5 2003 49.3 35.4 8.6 0.9 2.3 0.8 2.7 100.0 622.0 2004 12.0 72.6 8.6 1.0 2.3 0.8 2.6 100.0 605.2 2005 10.6 74.1 8.1 0.9 3.1 0.7 2.5 100.0 624.6 2006 10.1 76.0 7.1 0.9 3.6 0.6 1.7 100.0 621.7 37
2003 2004 2006 2007ABP 06 0.17 07 2.82 38
1997 1998 1999 2000 2001 2002 2003 2004 2005 31.8% 36.4% 45.3% 41.1% 41.9% 34.9% 39.6% 39.6% 41.5% 32.3% 33.2% 29.8% 35.0% 35.9% 41.3% 39.3% 40.2% 40.0% 9.5% 9.2% 9.2% 10.3% 10.8% 10.9% 10.0% 9.7% 9.7% 22.1% 17.4% 11.9% 9.5% 7.9% 7.1% 5.3% 4.4% 3.3% 1.6% 1.2% 0.8% 1.2% 1.1% 2.7% 2.3% 2.6% 2.3% 2.7% 2.5% 3.0% 2.9% 2.5% 3.1% 3.5% 3.5% 3.2% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 3,332 3,868 4,513 4,638 4,608 4,273 4,818 5,421 6,248 Financial information on pension funds DNB 39
ABP 40
41
30.5% 27.0% 3.5% 5.0% 6.00% 6.20% 2.0% 2.0% 68.00% 71.00% 4.0% 5.0% 3.5% 5.0% 153.00% 156.00% 2.5% 3.0% 4.10% 5.70% 10.0% 9.0% 2.0% 2.0% 1.10% 0.90% 56.0% 60.0% FTK 124.6% 124.9% 4.0% 7.0% 15.0% 10.0% 25.0% 23.0% 44.0% 40.0% 42
ABP 2,000(32 ) 40 32 28 ( PE 43
FAS158 FRS17 IAS19 PL 44
45
(Fair Value Accounting) 46
2006 2006 A. Statutory Funding Obligation (technical provision) B. Pension Protection Fund Levy( )(179 A. B. B buy-out 47
BS 48
49
DB ALM, LDI) 50
cf.(2004) 51
(Liability Driven Investment) BS LDI 52
Waring and Siegel (2007) Don t kill the goose that lay golden eggs FAJ,1/2 DB DC 53
( ) (Economic Value) () 54