品职教育 2016 cfa iii ss6 institutional ips知识框架图 何旋

1、.I仁二 P Z A C A D E M Y . C O M 讲师：何旋 . ens1onI I I I I F 一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一 l -l l l l l l l l l c l l l l l I I Il IlIIIDBILIlII I I IIPS IPS- .:Funded statusillll， Underfunded:ll-IlI_ -L Determined by stated cri

2、teria usually related to yearsDBof service andsalary Sponsor manage plan assets and bear investment risk Firm keeps all contributions current. Only financial liability is making contributions toDCemployees account. The plan must offer sufficient investment vehicles Receive payments after retirement

3、Subject to earlyterminationrisk if employee is terminatedearly Not bear risk/return of investment Own the plan and can transport accountremploymentsituati Bear all risk/return of investment Must make all investment decisions given available investmentvehicles. IPSReturn定性： Desired: Minimization of c

4、ontributions Fully funded: return requirement= discount rate of planliabilitiesUnderfunded: return requirement= discount rateof plan liabilities+ excess return Plan status: Higher pension surplusRiskprofitabiIity Sponsor and pension fund common risk exposures: The lower the correlation of sponsor op

5、erating results with pension assetreturns active lives relative to retiredlivesg orkforce MixGreater retired li ves, increased liquidity needsLiquidity Time Horizon active lives retired livestime horizon associated with expected term to retirementa function oflife expectancyfor those currently recei

6、vingbenefitsLegal and Regulatory Most countries federally regulate pensionplansTaxes tax-exemptUnique ERISA requires due diligence, but small sponsors may nothave theplan resources or expertise to thoroughly investigate alternative assets1Simple spending rule”、:Rolling 3-year averagespendingrule ex

7、tr aor din ar y changes-Geometric spending rule l l 1IPS百Long-term funds generally owned by operating non-profitml l l l l l l l l l l l l l l l l l l l l arket value1_1 + market value1_2 +market value1_33 Return Risk Higher spending rate Heavy reliance upon donations, 10% or more its ability to tol

8、erate risk is diminished Greater budgetdependency No spending rule in place Smaller size ofendowment More fluid, creative and aggressive than pension funds above-average risk tolerance Anticipatedandunanticipatedneeds for cash in excess of contributionsreceivedLiquidity Spending needs vs. gifts and

9、donations Large cash outlays may sometimes be needed forcapitalimprovements -new library Care and discipline should be exercised in valuing illiquid, non-marketable investments estimates to determinespendingTime HorizonLe叩 rudent Investor Ru|e genera|y app|iesTaxesINon taxable, except UBIT -Unrelate

10、d business income UniqueIConcentrated holdings, Socially responsible investingReturnRiskLiquidity Minimum return: based on mortalityrates SurplusFocuson growth, taxable account interest rate risk Valuation concerns: surpluswrite-down Reinvestmentrisk: reinvesting coupon income at a rate lower than t

11、he original Cash flow volatility Credit risk Disintermediation7int Asset marketabilityriskTime HorizonLegal and RegulatoryTraditionally holding periods of 20-40 yearshas become progressively shorter as theduration of liabilities hasdecreasedEligible investmentsPrudent InvestorRuleValuationMethods is

12、 mandated by theNAICTaxesUniqueConcentration of product offerings, company size, and level of surplusr1l l l l l l l l l l l l l l I Ir-.一 .:.L.I 工 ：一一.- IiNon-life liability durations tend to be short er, and claim processing and payments periods are longer,I I I I I I I I :than for life companies;

13、 In general, a life insurance companys liabilities are relatively certain in value butuncertain in timing, while a non-life insurance companys liabilities are relatively uncertain in both value and timing,with l greateruncertaintydue tothepossibility of higher claimsfrequency notas interest rate sen

14、sitive since their policiesdo nottypically pay periodic returnsReturnRiskLiquidity Time HorizonLegal and RegulatoryTaxes Unique Use returns from the equity portion of their portfolio to grow thesurplus Use the surplus portfolio to provide funds for unexpected, large liability claims limited risk tol

15、erances Due to therelatively high uncertainty associated with claims The cash flow characteristics of nonlife companies are often erratic and unpredictable. High liquidity requirements given theuncertainty of the cashflowshorter time horizons than life insurance companiestaxable entitiesthe current

16、financial status of nonlife insurance companies, coupled with managing investment risk and liquidity requirementsReturn earn a positive interestspreadRiskALM Below averageLiquidity deposit withdrawals demand for loans as well asregulationTime HorizonSince most bank liabilities are short term, the av

17、erage maturity of securities in theLegal and Regulatoryare highly regulatedTaxestaxable entitiesUniqueVary from bank tobank L-A Liabilities- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -.I I I I I I I I IFor an increase in interest rates:IIIf LAD

18、GO, market value of equity decreaseIIfLADG=O,marketvalueofequityunchanged:For an ddecrease in interest rates:IfLADGO, market valueofequitydecrease:II IfLADGO, market value ofequity increase个； II ILT L八 V I IIUII- V 口 1 A -VI- 中 A lYA11-11Ul16-U:I_- - . assetslInactiveRetiredInflation1Jom1na,l l l l l I l l l l l l l l -ealbonuIMarketDeferredpensionpayment Accrued benefitInflationcurrent wage levelNominalReal bond Nominalll1FuturewagegrowthInflationReal