WTW-全球养老金金融观察：2022年第一季度（英）-13页_300kb

Global Pension Finance Watch – First Quarter 2022 Summary

Core Content

The Global Pension Finance Watch report for Q1 2022 highlights the impact of volatile market conditions, rising discount rates, and inflation on pension plan funded status across major global markets. The report provides insights into how capital market performance and liability assumptions influence the financial health of defined benefit pension plans.

Key Findings

Overall Pension Index Performance

• All regions reported positive pension index returns in Q1 2022 due to the sharp increase in discount rates, which offset negative asset returns in most markets.
• The overall impact of the changes resulted in a positive funded status for all markets.

Regional Performance Overview

Region	Q1 2022 Index Return	Last 12 Months Index Return
Brazil	1.1%	7.7%
Canada	5.6%	7.8%
Eurozone	6.7%	11.3%
Japan	2.4%	-0.7%
Switzerland	7.8%	13.0%
U.K.	1.6%	3.3%
U.S.	7.0%	9.0%

Investment Returns

• Brazil had the only positive investment return in Q1 2022 at 1.8%, while other regions saw negative returns.
• Investment returns for the last 12 months were generally positive, except for the U.S. and Japan.

Discount Rate Movements

• Benchmark discount rates increased globally in Q1 2022, with the largest increase in the U.S. (115 basis points).
• These increases reduced pension liabilities significantly in most regions, with Brazil being the exception due to its lower rate change.

Liability Growth Factors

• Liability values decreased in all regions except Brazil, which saw a 0.7% increase.
• The combined effect of asset and liability movements resulted in the pension index increases noted above.

Main Points

1. Market Volatility and Discount Rates

• Q1 2022 was marked by rising global discount rates, which had a positive impact on the pension index for all regions.
• Inflationary pressures were most notable in the U.K., where pension plans typically link increases to inflation indicators.

2. Asset Performance

• Asset returns were generally negative across all regions except Brazil, which saw positive returns from domestic equities and fixed income.
• The benchmark portfolio decreased in value for most regions, which was partially offset by the liability reduction due to higher discount rates.

3. Pension Index Calculation

• The WTW Pension Index measures the funded ratio of a hypothetical benchmark plan, calculated as the ratio of the market value of assets to the projected benefit obligation (PBO).
• The index reflects the combined impact of investment performance and changes in liability assumptions.

4. Importance of Monitoring

• Organizations that monitor pension funded status in real-time are better positioned to manage pension risks and make informed decisions.
• WTW offers daily monitoring services to support cost and risk management for multinational employers.

5. Regional Insights

Brazil

• Domestic equity and fixed income showed positive returns.
• The benchmark discount rate increased by 16 basis points, contributing to a 0.7% liability increase.
• Overall, the pension index increased by 1.1%.

Canada

• Domestic equity was positive, while international equity and domestic fixed income were negative.
• The benchmark discount rate increased by 92 basis points, leading to a 12.6% liability decrease.
• The pension index increased by 5.6%.

Eurozone

• Both equities and bonds showed negative returns.
• The benchmark discount rate increased by 59 basis points, reducing liabilities by 11.3%.
• The pension index increased by 6.7%.

Japan

• Domestic equities and bonds had negative returns.
• The benchmark discount rate increased by 23 basis points, leading to a 3.7% liability decrease.
• The pension index increased by 2.4%.

Switzerland

• Equities and bonds returned negatively.
• The benchmark discount rate increased by 90 basis points, reducing liabilities by 12.1%.
• The pension index increased by 7.8%.

U.K.

• Domestic equities showed positive returns, while international equities and domestic fixed income were negative.
• The benchmark discount rate increased by 82 basis points, reducing liabilities by 11.4%.
• The pension index increased by 1.6%.

U.S.

• Equities and bonds returned negatively.
• The benchmark discount rate increased by 115 basis points, reducing liabilities by 11.2%.
• The pension index increased by 7.0%.

6. Liability Measurement and Assumptions

• Pension liabilities are measured using discount rates based on high-quality corporate bond yields.
• Additional assumptions such as salary growth, benefit increases, and demographic factors are also used in liability calculations.

7. Asset Smoothing

• ASC 715 and CICA 3461 allow for asset smoothing, which spreads investment returns over multiple years to stabilize the funded status.

8. Currency Effects

• The report presents results in local currency, and currency movements can significantly affect asset and liability measurements.
• Exchange rates for the quarter are provided in the table below:

Region	Mar. 2022 (currency per US$1)	Dec. 2021 (currency per US$1)	Sep. 2020 (currency per US$1)
Brazil	4.68	5.64	5.53
Canada	1.25	1.28	1.25
Eurozone	0.92	0.88	0.87
Japan	123.84	115.1	113.45
Switzerland	0.93	0.92	0.93
U.K.	0.76	0.74	0.74

9. Benchmark Portfolio Composition

• The benchmark portfolios are diversified and reflect typical asset allocations in each region, as outlined below:

Region	Equity (%)	Fixed Income (%)	Other (%)
Brazil	10%	90%	-
Canada	40%	60%	-
Eurozone	40%	60%	-
Japan	30%	70%	-
Switzerland	30%	50%	10%
U.K.	20%	80%	-
U.S.	60%	40%	-

10. Risk Management Perspective

• Successful multinational organizations exhibit a systematic approach to pension risk management, including:
  • Understanding complex risks and management levers.
  • Establishing clear risk tolerance metrics.
  • Monitoring financial markets, legislation, and trends.
  • Implementing multi-local strategies.

11. Conclusion

• The WTW Pension Index serves as a key indicator of capital market effects on pension plan financing.
• Daily monitoring and real-time analysis are recommended for effective risk management.
• Local regulatory requirements and accounting standards vary, and benchmark assumptions are simplified for the purpose of the index.