wtw-全球养老金金融观察：2021年第二季度（英）-2021.7-15页_308kb

Global Pension Finance Watch Summary - Second Quarter 2021

Core Content Overview

The Willis Towers Watson Pension Index tracks the funded status of a hypothetical benchmark pension plan, measuring the ratio of the market value of assets to the Projected Benefit Obligation (PBO). The index is influenced by two main factors: investment performance and changes in discount rates (which affect liability measurements).

In Q2 2021, investment returns were positive across all regions, but discount rates decreased globally (except Switzerland), leading to increased liabilities in most regions. This dynamic resulted in mixed pension index outcomes, with some regions showing improvement and others experiencing declines.

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Key Findings

Pension Index Performance (Q2 2021)

• Brazil: -1.1%
• Canada: 1.4%
• Eurozone: 1.6%
• Japan: -5.8%
• Switzerland: 4.0%
• U.K.: -0.3%
• U.S.: -1.5%

12-Month Performance

• Brazil: -5.6%
• Canada: 14.8%
• Eurozone: 14.7%
• Japan: 3.0%
• Switzerland: 16.2%
• U.K.: 0.6%
• U.S.: 20.8%

Discount Rate Trends

• Discount rates generally decreased in Q2 2021, except for Switzerland, where they increased slightly.
• The RATE:Link methodology is used in most regions to determine benchmark discount rates, while Brazil uses a proxy based on real government bond yields.

Liability Growth

• Brazil: 2.3%
• Canada: 3.6%
• Eurozone: 0.8%
• Japan: 7.6%
• Switzerland: -0.3%
• U.K.: 4.2%
• U.S.: 6.7%

Asset Performance (Q2 2021)

• Brazil: 1.2%
• Canada: 5.0%
• Eurozone: 2.4%
• Japan: 1.4%
• Switzerland: 3.7%
• U.K.: 3.9%
• U.S.: 5.1%

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Regional Analysis

Brazil

• Investment Returns: Domestic equity +9.6%, domestic fixed income +0.3%, benchmark portfolio +1.2%
• Discount Rate: Decreased by 1 basis point to 8.53%
• Liability Growth: +2.3%
• Pension Index Change: -1.1%

Canada

• Investment Returns: Domestic equity +8.5%, international equity +5.5%, domestic fixed income +3.7%, benchmark portfolio +5.0%
• Discount Rate: Decreased by 18 basis points to 3.15%
• Liability Growth: +3.6%
• Pension Index Change: +1.4%

Eurozone

• Investment Returns: Domestic equity +18.1%, benchmark portfolio +2.4%
• Discount Rate: Decreased by 3 basis points to 1.20%
• Liability Growth: +0.8%
• Pension Index Change: +1.6%

Japan

• Investment Returns: Domestic equity +0.1%, international equity +8.4%, domestic fixed income +0.4%, international fixed income +1.4%, benchmark portfolio +1.4%
• Discount Rate: Decreased by 37 basis points to 1.21%
• Liability Growth: +7.6%
• Pension Index Change: -5.8%

Switzerland

• Investment Returns: Domestic equity +9.5%, domestic fixed income +0.0%, benchmark portfolio +3.7%
• Discount Rate: Increased by 1 basis point to 0.27%
• Liability Growth: -0.3%
• Pension Index Change: +4.0%

United Kingdom

• Investment Returns: Domestic equity +5.6%, international equity +7.3%, domestic fixed income +3.2%, benchmark portfolio +3.9%
• Discount Rate: Decreased by 17 basis points to 1.88%
• Liability Growth: +4.2%
• Pension Index Change: -0.3%

United States

• Investment Returns: Domestic equity +8.0%, international equity +5.1%, domestic fixed income +1.6%, benchmark portfolio +5.1%
• Discount Rate: Decreased by 39 basis points to 3.04%
• Liability Growth: +6.7%
• Pension Index Change: -1.5%

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Key Insights

• Investment Performance: Positive returns were observed in all regions during Q2 2021, with the U.S. and Canada showing the highest gains.
• Discount Rates: A global decline in discount rates (except Switzerland) led to increased liabilities, negatively impacting the pension index in most regions.
• Pension Index Impact: The index improved in Canada, Eurozone, and Switzerland due to strong asset performance and stable or rising discount rates, while it declined in Brazil, Japan, and the U.S.
• Liability Measurement: Liabilities are calculated using discount rates based on high-quality corporate bonds and international accounting standards.
• Asset Smoothing: Some standards (e.g., ASC 715, CICA 3461) allow for smoothing of investment returns, which can buffer year-to-year volatility.
• Currency Effects: The index results are presented in local currency, and currency fluctuations can significantly affect asset and liability values.

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Recommendations

• Organizations are advised to monitor pension funded status daily to make informed decisions.
• A systematic, multi-local approach to risk management is essential for effective pension plan oversight.
• Understanding liability characteristics, contribution policies, and asset mix is crucial for accurate plan performance evaluation.
• The Willis Towers Watson Pension Index serves as a benchmark indicator of capital market effects on pension financing, but individual plan results may vary significantly.