资本市场和金融机构.pdf

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Anunregisteredinvestmentcompanythatpoolsresourcesfromwealthy
individualsandFIswhichinvestthefundsontheirbehalf.
Managerispaid1or2%offundassets,and20%to40%ofprofitsrealized
bythefund’sinvestmentstrategy.
Investors:Wealthyindividuals,pensionfunds,insurancecompanies,
universityendowmentfund
LessregulatedthanMFs.
HedgeFundssufferedheavylosesduring2008
AccordingtoHedgeFundResearch
About700fundsclosedinthefirstthreequartersof2008(upover70percentfromthesame
periodlastyear)
Theaveragehedgefundlost18percentofitsvaluein2008
HFalongwithinvestmentbanks,exchangetradedfunds,money-marketfundsandpension
funds(‘shadowbankingsystem’)investedheavilyinsecuritizedproducts(.,mortgage
backedsecurities).
‘shadowbankingsystemhasprovidedabout80%oftotallendingsince1992.
StrategiesofHF
Non-
Opportunistic:Possibleassets’mispricing()
Event-driven:Potentialmergers.
1:.
LongTermCapitalManagementcollapse(1998)
LTCMwantedtotakeadvantageofunusualspreadsbetweenbondprices
CorporatebondsandT-bondsusuallyfollowsystematicpatternThentheirprices
starttodivergeLTCMseesthisasamispricing:SellsshortT-bondsandbuyslong
CorpbondsHowever,theoppositeoccurred:thespreadbetweenthepricesofT-
!
T-bondsLTCMexpectation
Corpbonds
July1998
2:.
:Introduction
,labourunion,
governmententity,orotherorganizationtopaypaythepension
benefitsofretiredworkers.
Thepensionfundisalegallyseparateentity(aseparate
accountwithinafirmoracorporation)
PensionFundsarerunbyAssetManagers(firmmanagersor
otherFIs;withhelpofactuariesandotheradvisers)
PensionFundsarecurrentlyveryactiveinmonitoringfirms’
performanceduetotheirincreasingcontrollingshare
ownership.
TheyreduceAgencyproblemsbetweenmanagersand
shareholders
3:.
PensionPlans

OldagesecurityandGuaranteedIncomeSupplement.
Flatpayment.

employeestoretired,disabledworkers,surviving
spouses.
Paidfromcurrentcontributions(Premiumsfromcurrentworkers
supportretiredpensioners).
.
RRSPsthatCanadianssetupwithFIstoprovidetax-
shelteredself-financedretirementfunds.
-sponsoredpensionplans.
.,TrustedPensionFunds,profitsharingplans,groupRRSP.
4:.
Employer-sponsored(cont’d)
TrusteedPensionPlans
AssetManager(Trustee)
InsuranceCompanies,trustcompanies,banks,
Investmentbanks,specializedfundmanagerThey
holdandmanagethefund’sassetsaccordingto
specifiedguidelinesforaFee.
LargestPensionfundsinCanada
OntarioTeachers'PensionBoardandOntarioMunicipal
Employees’RetirementBoard.
LargestPensionFundManager(discretiontomanagefunds):
CaissededepotetplacementduQuebec
‘Withtheexceptionofvestedassets,whichmaybewithdrawnbyan
employeeandplacedintoarestrictedRRSP,theassetsofpension
fundsareonlywithdrawntomeetpaymentstobeneficiaries’(p105)
5:.
TypesofTrusteedPensionPlans
a),atretirement,
whateverpensionincomeisavailablebasedon
accumulatedcontributionsandinvestmentreturns.
Eachemployeehasanaccountintowhichtheemployerandthe
employee(inacontributoryplan)makeregularcontributions.
Contributionsfrombothpartiesaretax-deductible,and
investmentincomeaccruestax-free.
Theemployeebearsalltheinvestmentrisk.
Theretirementaccountisbydefinitionfullyfunded.
Adefinedcontributionplanislessriskyforthecompany,butcould
:.
b)‘guaranteed’incometo
workersinretirementnomatterwhathappensinthefinancial
markets.
Eachemployee’spensionbenefitentitlementis
determinedbyaformulathattakesintoaccountyearsof
servicefortheemployerand,inmostcases,wageor
salary.(Seeexampleonnextslide)
Employerabsorbstheinvestmentrisk.
7:.
NumericalexamplesofatypicalDefined-Benefitplan.
AtypicalDBplandeterminestheemployee'sbenefitasafunctionof
bothyearsofserviceandwagehistory.
Asarepresentativeplan,consideronewhichtheemployeereceives
retirementincomeequalto1%offinalsalary(oraverageofthree
lastyears),timesthenumberofyearsofservice.
Example1.
Assumeanemployeeretiresafter40yearsofservicewithaaverage
salaryof60,??
AssumethefollowingActuarialDefinedBenefitmodelretirement
peryear
Retirementperyear=*(Avgsalarylastthreeyears)*(#yearsworked)
A:Retirementbenefitperyear=*$60,000*40=$24,000
8:.
Example2:
Assumeanemployeeis40yearsoldandhasbeenworkingfor
samefirmasabovefor15years(samesalary).
Ifnormalretirementageis65,theinterestrateis8%,andthe
employee’slifeexpectancyis80,
whatisthepresentvalueoftheaccruedpensionbenefit?
A:Annuitypromised(atretirement)=*60,000*15=$9,000
PVaccruedPensionbenefit=$9,000*(P/A,8%,15)(P/F,8%,25)
=$9,000()()=$11,247
9:.
DecreasesininterestratesabigproblemforPrivatePensionFunds
WhymanyCanadianPrivateSponsoredfunds(Defined-BenefitPlans)
arecurrentlyunderfunded?(orendeficit.,.,thefunddoesnothave
enoughassetstomeetallobligations,orpaymentstoretirees,ifitwas
dismantlednow)
-Currentlypensionplansarevaluedeverythreeyears
Assumelastyearvaluationwas2006
-PensionfundshaveAssetsandLiabilities(obligationstoretirees)
Example
Supposein2004afirmsetasidealumpsumthatshouldbeequal$100,000
after20years(amountthathastobecovered).Therequiredamountis
$31,180assuming6%growth(interestrate).
Apensionliabilityistheamountofmoneythatmustbesetasideina
,itisassumedthatthe
moneywouldgeneratelessincomebetweennowandthetimeithastobe
paidouttoretirees,sometimesdecadesintothefuture.
10:.
Thefollowingtablereportsahypotheticalscenarioinlast5yearsforthe
firm’spensionfundOver
RateofAssets(A)MarketLiabilities(L)(Under)
ReturnYearInterestratefunded
Assets(riskadjustedproposal)(A)-(L)
Start2004startrate(6%)100,000/()20=$31,180
7%End2004$31,180()=$33,362(6%)100,000/()19=33,051+$311
7%End200533,362()=35,698(6%)100,000/()18=35,034+664
7%End200635,698()=38,196(5%)100,000/()17=43,630(5,434)
1%End200738,196()=38,578(5%)100,000/()16=45,811(7,233)
-15%End200838,578(1-)=32,791(4%)100,000/()15=64,186(31,395)
11:.
Whatshouldthefirmhavedone?Options:(1)Buyinsuredannuities.
(2)APolicyof100%fixedinvestmentthatguarantee6%
azerocouponbondwithfacevalueof$100,000(Immunization)
BALANCESHEETOFAPENSIONFUNDFULLYIMMUNIZED
YEARASSETSLIABILITIES
Start200431,180
200431,180()=33,05133,051
200531,180()2=35,03435,034
200637,13637,136
200739,36539,365
200841,72741,727
200944,23044,230
201046,88446,884
201149,69749,697
201252,67952,679
201355,83955,839
201459,19059,190
201562,74162,741
201666,50666,506
201770,49670,496
201874,72674,726
201979,20979,209
202083,96283,962
202189,00089,000
202294,34094,340
2023100,000100,000
12:.
Whataboutcompaniesthatfailorfilefor
bankruptcy?
PFsareseparateentities,sothemoneyinthem
isstillprotectedfromcreditors.
Insadcases,retireesmayloosehalfoftheir
retirementormore.

benefitscouldbedistributed.
CanadianBankruptcycourts
Unions
Nortel,Chrysler,GMC[seearticleshandedinclass]
MainregulatorofPFs(over1,000):
PFsreporttoprovincialregulators.
13:.

Sincethebeginningsofthe1990stheMFindustryhas
grownveryrapidlywithadrasticdecreaseinmarket
valueduring2008.
Passiveindexfundshaveconsistentlyoutperformed
activelymanagedMFs.
Hedgefundsarenotforthefaint-hearted.
Pensionfundsareactivemonitorsofpubliclylisted
companies.
Definedbenefitplansaresteadilybeingreplaced
bydefinedcontributionplans.
Hedgefundsandpensionfundshavesufferedheavy
lossesduring2008and2009.
14