[资本市场和金融机构].8-2讲义教材
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Largest Pension funds in Canada Ontario Teachers' Pension Board and Ontario Municipal Employees’ Retirement Board.
Largest Pension Fund Manager (discretion to manage funds): Caisse de depot et placement du Quebec
leave retirees with lower pensions.
6
b) Defined Benefit Plans. It provides ‘guaranteed’ income to workers in retirement no matter what happens in the financial markets.
Investors: Wealthy individuals, pension funds, insurance companies, university endowment fund
Less regulated than MFs.
Hedge Funds suffered heavy loses during 2008
‘With the exception of vested assets, which maybe withdrawn by an employee and placed into a restricted RRSP, the assets of pension funds are only withdrawn to meet payments to beneficiaries’ (p 105)
Retirement per year= 0.01*(Avg salary last three years)*(# years worked)
A: Retirement benefit per year = 0.01*$60,000*40 = $24,000
8
Example 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 employee’s life expectancy is 80, what is the present value of the accrued pension benefit?
A: Annuity promised (at retirement) = 0.01*60,000*15=$9,000 PV accrued Pension benefit = $9,000*(P/A,8%,15)(P/F,8%,25)
= $9,000(8.5595)(0.1460) = $11,247
The pension fund is a legally separate entity (a separate account within a firm or a corporation)
Pension Funds are run by Asset Managers (firm managers or other FIs; with help of actuaries and other advisers)
5
Types of Trusteed Pension Plans
a) Defined Contribution Plan. It provides, at retirement, whatever pension income is available based on accumulated contributions and investment returns.
9
Decreases 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)
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
Strategies of HF
Non-directional. Long and short position in assets
Opportunistic: Possible assets’ mispricing (LTCM. See next slide)
Event-driven: Potential mergers.
Employer absorbs the investment risk.
7
Numerical examples of a typical Defined-Benefit plan.
A typical DB plan determines the employee's 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.
3
Employer-sponsored (cont’d) Trusteed Pension Plans
Asset Manager (Trustee) Insurance Companies, trust companies, banks, Investment banks, specialized fund manager They hold and manage the fund’s assets according to specified guidelines for a Fee.
funds (‘shadow banking system’) invested heavily in securitized products (e.g., mortgage backed securities). In the U.S. the ‘shadow banking system has provided about 80% of total lending since 1992.
1
Long Term Capital Management collapse (1998)
LTCM wanted to take advantage of unusual spreads between bond prices
Corporate 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 Tbonds and Corp. bonds increased!
2. Hedge Funds
An unregistered investment company that pools resources from wealthy individuals and FIs which invest the funds on their behalf.
Manager is paid 1 or 2% of fund assets, and 20% to 40% of profits realized by the fund’s investment strategy.
T-bonds
Leabharlann Baidu
LTCM expectation
Corp bonds
July 1998
2
3. Pension Funds: Introduction
Pension Fund. Fund set up by a corporation, labour union, government entity, or other organization to pay the pension benefits of retired workers.
According to Hedge Fund Research About 700 funds closed in the first three quarters of 2008 (up over 70 percent from the same
period last year) The average hedge fund lost 18 percent of its value in 2008 HF along with investment banks, exchange traded funds, money-market funds and pension
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
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 income accrues tax-free.
Each employee’s 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)
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
Largest Pension Fund Manager (discretion to manage funds): Caisse de depot et placement du Quebec
leave retirees with lower pensions.
6
b) Defined Benefit Plans. It provides ‘guaranteed’ income to workers in retirement no matter what happens in the financial markets.
Investors: Wealthy individuals, pension funds, insurance companies, university endowment fund
Less regulated than MFs.
Hedge Funds suffered heavy loses during 2008
‘With 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)
Retirement per year= 0.01*(Avg salary last three years)*(# years worked)
A: Retirement benefit per year = 0.01*$60,000*40 = $24,000
8
Example 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 employee’s life expectancy is 80, what is the present value of the accrued pension benefit?
A: Annuity promised (at retirement) = 0.01*60,000*15=$9,000 PV accrued Pension benefit = $9,000*(P/A,8%,15)(P/F,8%,25)
= $9,000(8.5595)(0.1460) = $11,247
The pension fund is a legally separate entity (a separate account within a firm or a corporation)
Pension Funds are run by Asset Managers (firm managers or other FIs; with help of actuaries and other advisers)
5
Types of Trusteed Pension Plans
a) Defined Contribution Plan. It provides, at retirement, whatever pension income is available based on accumulated contributions and investment returns.
9
Decreases 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)
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
Strategies of HF
Non-directional. Long and short position in assets
Opportunistic: Possible assets’ mispricing (LTCM. See next slide)
Event-driven: Potential mergers.
Employer absorbs the investment risk.
7
Numerical examples of a typical Defined-Benefit plan.
A typical DB plan determines the employee's 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.
3
Employer-sponsored (cont’d) Trusteed Pension Plans
Asset Manager (Trustee) Insurance Companies, trust companies, banks, Investment banks, specialized fund manager They hold and manage the fund’s assets according to specified guidelines for a Fee.
funds (‘shadow banking system’) invested heavily in securitized products (e.g., mortgage backed securities). In the U.S. the ‘shadow banking system has provided about 80% of total lending since 1992.
1
Long Term Capital Management collapse (1998)
LTCM wanted to take advantage of unusual spreads between bond prices
Corporate 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 Tbonds and Corp. bonds increased!
2. Hedge Funds
An unregistered investment company that pools resources from wealthy individuals and FIs which invest the funds on their behalf.
Manager is paid 1 or 2% of fund assets, and 20% to 40% of profits realized by the fund’s investment strategy.
T-bonds
Leabharlann Baidu
LTCM expectation
Corp bonds
July 1998
2
3. Pension Funds: Introduction
Pension Fund. Fund set up by a corporation, labour union, government entity, or other organization to pay the pension benefits of retired workers.
According to Hedge Fund Research About 700 funds closed in the first three quarters of 2008 (up over 70 percent from the same
period last year) The average hedge fund lost 18 percent of its value in 2008 HF along with investment banks, exchange traded funds, money-market funds and pension
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
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 income accrues tax-free.
Each employee’s 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)
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