机构IPS
2018-06-23 01:45:14 0 举报AI智能生成
机构IPS
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DC DB Plan
early termination
investing risk is borne by ...
once vested, retirement assets are readily portable
investing risk is borne by ...
once vested, retirement assets are readily portable
risk obj：min surplus vol
min shortfall risk
min shortfall risk
pension surplus,
company profitability
pension plan is closed to new participants (low duration, more liq needs)
ratio of inactive/active plan mambers
inflation indexing
company profitability
pension plan is closed to new participants (low duration, more liq needs)
ratio of inactive/active plan mambers
inflation indexing
time horizon: going concern or terminated plan
Law: most countries federally regulate pension plans
tax: exempt
Law: most countries federally regulate pension plans
tax: exempt
随便句子归类
DB DC plan
fund pension obligations
minimize future pension obligations, and maintain or increase future pension income
early retirement/lump sum: increases immediate liq requirement and reduce r tolerance
Foundation Endowments
return： perpetual support and preservation of purchasing power
return requirement = required payout + expected π + fund expenses
return requirement = required payout + expected π + fund expenses
risk：
* spending rate high
* heavy reliance upon donations (10%+)
* greater budget dependency
* no spending rule in place
* smaller size ofendowment
Risk obj:
more fluid, creative and aggresive than pension funds;
above-avg ---> no contractually defined liability and long time horizon
* spending rate high
* heavy reliance upon donations (10%+)
* greater budget dependency
* no spending rule in place
* smaller size ofendowment
Risk obj:
more fluid, creative and aggresive than pension funds;
above-avg ---> no contractually defined liability and long time horizon
***'s x% annual spending requirement is not a contractual obligation
time horizon: perpetuity
legal: prudent investor rule generally applies
tax: non taxable except Unrelated Business Income (UBIT)
Unique： concentrated holdings, socially responsible investing
the use of a simple spending (absence of smoothing rule:less tolerance for ST ptf risk.
simple spending rule 波动大
rolling 3-year avg spending rule: extraordinary 还是会有影响
geometric spending rule: 克服
rolling 3-year avg spending rule: extraordinary 还是会有影响
geometric spending rule: 克服
** has a spending rule that is smoothed over a three year period, that will decrease volatility in spending requirements, allowing ** to assume higher risk tolerance.
life insurance
return: min return based on mortality rates
enhanced margin: spread mng above credited rates
surplus: taxable
enhanced margin: spread mng above credited rates
surplus: taxable
risk: surplus write-down (tolerance low)
reinvestment risk
CF vol
credit risk
reinvestment risk
CF vol
credit risk
liq: disintermediation: i 升 D(liability)降 A-L mismatch
asset marketability risk
needing minimal liq becoz the LT nature of L
asset marketability risk
needing minimal liq becoz the LT nature of L
legal:
* eligible investments
* prudent investor rule
* valuation methods is mandated by the NAIC
* eligible investments
* prudent investor rule
* valuation methods is mandated by the NAIC
tax: not taxed (except surplus transferred)
Uniqure: concentration of product offerings: company size, and level of surplus
non-life insurance
return: greater uncertainty, not interest rate sensitive (no periodic payment required)
risk: limited tolerances
* due to the relatively high uncertainty associated with calims
* the CF characteristics of non-life companies are often erratic and unpredictable
* due to the relatively high uncertainty associated with calims
* the CF characteristics of non-life companies are often erratic and unpredictable
liq： high --> given the uncertainty of CFs
time: shorter than life-ins companies
legal: risk-based capital requiements (RBC) have been established
tax: taxable
unique: the current fin status of nonlife ins companies, coupled with managing investment risk and liq requirements
banks
return: earn positive interest spread
RISKL ALM below avg
liq: deposit withdrawals
demand for loans as well as regulation
demand for loans as well as regulation
time: short to intermediate term (most bank L are ST)
legal: highly regulated
taxable
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