所有计划发起人都应该问的基本养老金风险管理问题。

作为一个企业养老金计划的发起人并不容易，这是很重要的Gary Veerman, Head of LDI Solutions, Capital Group，充分意识到。VEERMAN一直在考虑和执行责任驱动的投资（LDI）战略，以实现他的职业生涯的重要组成部分，因此他有一个完美的诀窍，以帮助计划以细微和整体方式对其挑战的解决方案。VEERMAN最近与II谈到了被谈话的谈话，包括洞察力的谈话，包括在信贷市场中更充分利用现有机会的基准。

What’s driving demand for LDI right now?

资助状态仍然是主要驱动程序。对于上下文，我们已经看到了历史上最长的股票市场之一，计划赞助商已被赔偿，以便他们在股票中所采取的风险。但很大程度上是因为似乎更低的利率，与其他一些因素一起，许多计划仍然存在于10年前的地方。最近，我们还看到一些大公司利用低利息债务融资，并培训了他们的一些无资格的赤字。

Except now we’re at or near the end of a cycle instead of the beginning of one – and the road ahead is widely expected to have more frequent volatility spikes.

这就是计划保荐人面临的困境——一个非常理性的解决方案是，作为投资者，简单地提升资本结构。无论市场环境如何，出售股票和购买信贷（在许多情况下是同一家发行公司）似乎都是一种审慎的风险管理举措，但在经历了10多年的股价飙升之后，尤其如此。另外，相对于负债而言，获得去风险收益感觉相当不错。

在本地设计院的发展过程中，我们在哪里？有最先进的策略吗？

如果有一个银弹,状况challenge would already be solved. But as an organization, we believe it comes down to the blocking and tackling. From an asset allocation standpoint, that can mean focusing on your risk budget and balancing more of that risk toward equities than interest rates – with equity risk being compensated and interest rate risk arguably being non-compensated. From a fixed income implementation standpoint, it involves hiring proven active managers that demonstrated good downside protection in periods of market stress.

听起来，一个关键可能是让计划发起人多样化他们的信贷组合。

最近我一直在和计划发起人谈论私人信贷、证券化信贷和其他多部门类型的解决方案。计划发起人考虑所有这些方法是明智的，但你也必须退一步，考虑风险和回报的权衡，相对于更普通的方法，这是一个渐进的基础。

Here’s an example of what I mean: Private credit may get you, let’s say, 30 to 50 basis points above public market credit, before considering any added risk. If you’re going to allocate 5% of your portfolio to something that potentially gets you 50 basis points, you have to go through all the steps of adding an asset class like private credit to gain two and a half basis points of expected rate of return increase. And we know that things like private credit have liquidity constraints and other factors that will make them track the liabilities less accurately. In short, there are pros and cons to everything. If you’re not very confident that the pros significantly outweigh the cons, stick to the blocking and tackling.

Where are the opportunities for LDI strategies in investment-grade credit at the moment?

我们的信念是，整个投资级长期信贷体系通常应该是起点，包括BBB。保荐人通常会提高信用质量或尽量减少BBB风险敞口，因为他们正试图对AA级贴现曲线进行微调。我们明白这一点，我们确实管理着这样高质量的投资组合。但实际上，这会给客户带来意想不到的负面后果。例如，它会给管理者带来重大挑战，比如流动性不理想、集中风险和产生超额回报的自由度有限。我们需要实现超额回报目标，只是为了减轻与债券评级下调相关的负债相对逆风。与限制BBB不同，保荐人可以考虑将全部投资级长期信贷与美国国债或债券条混合，以达到预期的整体质量，同时保持结果与广泛的投资级债券的完整性。

当一个计划发起人考虑到更广泛的信贷领域时，质量下降的风险是他们应该考虑的吗？

这是我们所有人都在谈论的计划发起人。BBB在彭博-巴克莱美国多头公司指数中占了一半以上。我们的观点是，在过去几年中，有相当一部分进入BBB的企业是并购活动的产物，而并购活动是由历史上的低利率环境推动的。我们相信这些公司中的许多都有可以实现的去杠杆化计划，并有可能在信贷质量方面提高一个或更多。

也就是说，积极的管理是至关重要的，因为在BBB领域内肯定存在着迁移风险，特别是对于那些没有有效执行去杠杆化战略的公司来说，这种风险是一种特殊的方式。这就是为什么我们如此热衷于基本面分析，努力不把这些债券放在我们的客户投资组合中，让它们承受降级风险。

You seem passionate about the alignment of LDI strategy goals between plan sponsors and managers, including customization of benchmarks. How does that work to an investor’s advantage?

Fixed income indices sometimes work in strange ways. If you invest per an index, then as issuers take on more debt, you’re buying more of their bonds because they just borrowed more money – that’s very counterintuitive. Whether that’s the government or corporations, that’s a foundational flaw of blindly using that index as a hedging tool. This has important implications for both benchmark customization and portfolio implementation via active management.

同样重要的是，公司债券和股票来自同一家公司——只是资本结构的不同部分。因此，当出现一段时期的压力和股市大幅下跌时，这些公司债券不太可能表现良好。这就是为什么整体思考很重要。即使你放弃了一点收益率，因为你是部分地分配给美国国债或债券，而不是完全分配给信贷，从风险管理的角度来看，你是在极大地帮助自己。

Do your conversations with plans differ depending on whether they are considering pension risk transfer?

是的，但这在很大程度上取决于养老金风险转移活动的预期规模和预期时间框架。向保险公司进行实物资产转移是否可行在很大程度上取决于交易规模，为此类活动做准备肯定会影响交易之前的投资策略。但是，同样，预期的时间表也很重要，对于没有明确时间表的发起人来说，值得考虑的是，你是否真的想通过尝试为不确定的未来交易微调信贷组合，从而在资产负债表结果上做出潜在的妥协。为获得最佳结果而构建资产负债表上的本地设计院（LDI）投资组合可能更为合适，同时也不会忽视持有高质量长期公司债券的大型计划最终可能节省交易成本，然后将其转让给保险公司。

市场上是否有足够的容量让每个人都能执行他们想要的战略？

There’s been a lot of talk around the availability of high quality corporate bonds in the marketplace; that is, if everyone buys long bonds, the math just doesn’t work. What we’ve experienced with significant de-risking is that there’s generally been no problem sourcing those bonds. Foundationally, supply and demand are something to keep an eye on, but ultimately with demand from plan sponsors, companies will come to the table with that supply. So, at the industry level, capacity constraints are probably a little bit overblown, and we don’t see it as a significant headwind anytime in the short to intermediate term.

在管理者能力方面，你不得不怀疑：一个300亿美元或400亿美元的长期信贷管理者在什么时候失去了增值能力？例如，我们认为，证券选择是养老金计划可以加入本地设计院（LDI）计划的最特殊风险。如果你是一本价值400亿美元的商业书，并且有一本吸引人的新发行的书面市，那么你的投资组合所受到的影响很可能会小于某人拥有50亿美元商业书的影响。管理者越大，就越应该重新评估对结果的期望。通常情况下，他们的跟踪误差会降低很多，而且他们没有能力承担他们想承担的风险，或者说他们没有能力承担赞助人期望的风险。我采访过的一位计划发起人称之为“密室索引”

Regarding that security selection process, is the research behind it foundational to your LDI strategies?

It is at the heart of our value proposition; particularly given that we are among the largest active equity managers. Our equity analysts have very different conversations with senior management at companies compared to debt analysts, unsurprisingly, since, for example, certain potential corporate actions may be good for one type of investor but bad for another. Our equity analysts share those insights with our fixed income analysts in the spirit of partnership and collaboration, and often our debt analysts go to meetings with the equity analysts or just hop on the phone and get those insights directly from the C-level executives in those honest conversations. That’s a huge differentiator. There are other firms that do equities and fixed income, but I challenge you to find one that has a culture of partnership like this one.

我们已经谈了很多关于计划发起人和行业的问题。在您认为计划发起人需要什么的背景下，是什么让您和您在资本集团的团队与众不同？

The biggest thing is that we’re privately owned, so we can allocate the resources we need to pursue our investment goals and appropriately resource LDI solutions. We are active managers. We do not have any passive strategies. We will not implement strategies where we do not believe we can add value. Active management is not a philosophy for us, it’s a culture, and that’s vastly different from trying to be all things to all people. As I mentioned earlier, equity markets can be highly correlated with credit markets. When equities are down, there’s a higher probability of widening spreads and credit downgrades creating additional headwind. The last thing you want is your active manager to be down as well. That asymmetry of downside risk management is what LDI is about – and it’s what we aim to provide.

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_{披露：
投资没有联邦存款保险公司的保险，也没有银行或任何其他实体的存款或担保，因此它们可能会失去价值。
Statements attributed to an individual represent the opinions of that individual as of the date published and do not necessarily reflect the opinions of Capital Group or its affiliates. This information is intended to highlight issues and should not be considered advice, an endorsement or a recommendation.
This content, developed by Capital Group, home of American Funds, should not be used as a primary basis for investment decisions and is not intended to serve as impartial investment or fiduciary advice.
引用的所有Capital Group商标均为Capital Group Companys，Inc.或其附属公司拥有的注册商标。所提及的所有其他公司和产品名称均为其各自公司的财产。
债券投资组合和持有大量标的债券的投资组合的本金回报不受保证。投资受到与基础债券持有相关的相同利率、通货膨胀和信用风险的影响。
债券评级通常从AAA/AAA（最高）到D（最低）不等，由标准普尔、穆迪和/或惠誉等信用评级机构指定，作为发行人信誉的标志。
资本集团公司通过三个投资集团管理股权资产。这些团体独立作出投资和代理投票决定。固定收益投资专业人士在整个资本组织内提供固定收益研究和投资管理；但是，对于具有股权特征的证券，他们仅代表三个股权投资集团之一行事。}

Investment-grade government and credit bonds, often weighted toward the long end, largely persist as the primary hedging assets in most liability driven investment (LDI) strategies.

Bloomberg Barclays美国长期政府/信贷（LGC）指数与其组成债券具有持久的战略相关性，这些债券仍然被广泛认为是负债计划发起人可用的基本对冲资产。因此，该索引有助于构建地图，说明本地设计院（LDI）的核心机会集。了解长期债券的组成对于计划发起人制定有效的投资策略至关重要。在这里，Colyar Pridgen, Senior LDI Strategist, Capital Group，列出本地设计院（LDI）的机会集，以及公司本地设计院（LDI）方法的相关见解。

长期债券市场在更广泛的固定收益体系中所占比例相当有限。使用彭博巴克莱美国通用指数¹作为以美元计价的债券市场的一个不完美的代表，下面的图表表明，长期债券（期限至少为10年的债券）比中间债券（期限为1至10年）小得多。²

许多企业数据库赞助商，保险公司和其他投资者正在寻求长债券市场的回报和对冲机遇，导致追求长期债券暴露的多样性。在某些情况下，这些投资者正在寻找更多创造性和更不符合持续时间的传统途径。其中一些是由美国普遍指数捕获的，尽管在该指数中的高产债务和其他文书可以从许多赞助商认为是核心套期保资资产中的东西。

这就把我们带到下面的地图，我们的长期债券市场的主要地图，基本上打开了上一页图表的右下角。下文描述的LGC指数的组成部分代表了美国企业DB计划最常用于实施本地设计院（LDI）战略的实物债券的基本工具包。

从这张图中可以看出，在长期市场中，AA级质量的公司债券份额相当小。³While discount rate selection methodologies vary somewhat, these long AA corporate bonds typically drive the critical tail ends of the discount curves used for valuing pension liabilities for accounting purposes. Despite this important role in liability measurement, it’s clear that prudent investors must broaden their investments beyond AA-rated bonds, simply due to their limited depth and breadth.

The long bond market is far from static.

另一个基本观察是，许多在LDI基准中获得突出的指数和次幂，通常以牺牲LGC指数的普及为基准 - 实际上是长期政府/信贷指数的子集。这些各种分组的组成以及更广泛的长键生态系统内的相对身材远离静止。随着LGC指数的市场价值增加，底层组件的比例随着时间的推移而变化，如下图所示。

不断变化的信贷发放模式是上述转变的关键驱动力。彭博-巴克莱美国长期信贷指数（LC指数）规模的增长及其质量分布的漂移，是其他密切相关的结果。在本地设计院（LDI）环境中，评级迁移对资产和负债的影响尤其重要。近年来普遍观察到的低质量趋势在下表中很明显。

“按部门划分的美国长期政府/信贷指数历史”和“按质量划分的美国长期信贷指数历史”图表说明了长期债券市场的一些关键动态，而“美国通用指数”地图则在更广泛的固定收益背景下呈现了长期趋势。在Capital Group，我们认为“美国长期政府/信贷指数”地图——长期债券市场的主要地图——为制定有效的养老金投资策略提供了关键细节，并在此提供了一个如何使用该地图来促进本地设计院基准选择过程的示例。

Using the long bond market map for LDI benchmark selection and customization.

本地设计院（LDI）环境中的基准测试可能是一个令人眩晕的话题。不同的计划环境和赞助人偏好推动了标杆哲学的扩散。然而，在许多情况下，发起人使用类似的固定收益构建块来制定这些不同的基准，并通过其基准选择明确或以其他方式，经常表达对某些普遍性问题的答案。我们认为，多头债券市场地图，如上面的美国多头政府/信贷指数地图，可以促进富有成效的基准测试，可以促进富有成效的基准测试对话，并最终加强对以下重要问题的决策：

基本组件选择/权重

• Is the Bloomberg Barclays U.S. Long Government/Credit Index the best benchmark for my plan? Do I instead want to more explicitly define the mix of credit and government components, given my broader asset allocation?
• 是企业或信用更适合基础the credit-risky portion of my benchmark? Is Treasury or government a more suitable basis for the credit-riskless portion of my hedging portfolio? Do I view these as material decisions?

Benchmark engineering intricacies

• 更细致的基准构建（例如，发行人上限、质量限制、到期日调整、行业重新加权）能否改善负债匹配或其他投资目标？
• Should pension risk transfer objectives influence these benchmark engineering decisions? Is transfer-in-kind feasible?

Implementation beyond LGC

• Should bonds outside of the long government/credit universe, such as intermediate maturity, high yield and private debt, play a role within my hedging portfolio?
• Should STRIPS (or derivatives such as U.S. Treasury futures or interest rate swaps) be leveraged in enhancing capital efficiency and/or matching liability-relative curve risk?
• 我想要一个投资策略，是管理或衡量更明确地对我的责任？我如何确保管理者的责任和适当的治理？竣工管理是否提供了切实可行的解决方案？

其他图表注释

展览1：美国普遍指数的地图“Long STRIPS” refers to U.S. Treasury STRIPS with maturities of at least 10 years, which are not part of the LGC index. While depicted as a subset of long Treasury in order to offer a broad sense of the relative size of an important component of the universe of physical hedging instruments (and to avoid potentially double-counting stripped Treasuries), note that STRIPS are not in fact a component or subset of Treasuries. Note also that because Long STRIPS contain no cash flows before 10 years (while long Treasury, on the other hand, does implicitly incorporate shorter-dated cash flows in the form of coupon payments), there is some measure of inconsistency worth noting (e.g., arguably, technically nine-year coupon STRIPS could be included here, to the extent that they are created from coupons of Long Treasuries).

Exhibit 2: Map of U.S. Long Government/Credit Index“主权等”是指主权（此处包括最大的部门）、外国机构（质量分布相似，但偏斜程度较高）和超国家（相对较小的部门，长期而言完全是AAA级债券）的合计便利部门。另一个非公司信贷部门，如图所示，被描述为“地方当局”，这在技术上是外国地方政府部门的二级描述。

图表3：按行业划分的美国长期政府/信贷指数历史Before 6/30/2000, many credits that today would be categorized as long corporate were instead a component of the long noncorporate credit universe, with the legacy sector name foreign corporations. These securities have been included in the “Sovereign, etc.” category for periods prior to 6/30/2000.

Exhibit 4: History of U.S. Long Credit Index by quality在2000年6月30日之前，许多今天属于外国地方政府部门（我们称之为“地方当局”）的信贷被改为传统部门名称Canadian。这些证券已列入“地方当局”在我们的历史数字。

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¹_{Per Barclays POINT: “The U.S. Universal Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar denominated issues are excluded from the Universal Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index.” POINT is a registered trademark of Barclays Capital Inc.While quite broad, the more than $25 trillion U.S. Universal Index offers an admittedly incomplete representation of the dollar-denominated bond universe; and in addition to the exclusions noted by Bloomberg Barclays, it is notable that securities with maturities of less than one year are omitted. For the purposes of this article, the U.S. Universal Index is considered to be sufficiently broad, and to capture the bulk of bonds important to most liability driven investors.}

²_{在市场价值的基础上尤其如此。请注意，本文中的所有图表都是以市场价值表示的。}

³_{多头企业指数的AA板块也相当集中，截至2019年3月31日，有4家发行人的市值占比明显超过50%。投资没有联邦存款保险公司的保险，也没有银行或任何其他实体的存款或担保，因此它们可能会失去价值。}

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Disclosures

^{This content, developed by Capital Group, home of American Funds, should not be used as a primary basis for investment decisions and is not intended to serve as impartial investment or fiduciary advice.
债券投资组合和持有大量标的债券的投资组合的本金回报不受保证。投资受到与基础债券持有相关的相同利率、通货膨胀和信用风险的影响。
Statements attributed to an individual represent the opinions of that individual as of the date published and do not necessarily reflect the opinions of Capital Group or its affiliates. This information is intended to highlight issues and should not be considered advice, an endorsement or a recommendation.
巴克莱点数据©2019巴克莱资本有限公司经许可使用。POINT是巴克莱资本公司的注册商标。
过去的表现并不代表未来的结果。
引用的所有资本集团商标都是首都集团公司，Inc。或附属公司所拥有的注册商标。提到的所有其他公司和产品名称是其各自公司的商标或注册商标。
美国资金分销商，Inc。，成员芬兰。}

To cut through the complexity, here are three fundamental pension risk management questions (and answers from Capital Group’s Gary Veerman, Head of LDI Solutions and Chris Anast, Senior Retirement Strategist from a July 2018 paper) that all plan sponsors should ask themselves – regardless of their company-specific situation.

在做出审慎的养老金风险管理决策时，计划发起人需要考虑许多因素。股票业绩、利率变动、下滑路径发展、养老金福利担保公司保费、供款政策、公司特定风险承受能力、精算假设变化等等。

此外，当计划发起人努力实现其最终目标：向计划参与者支付福利义务时，其中许多变量都超出了计划发起人的控制范围。

为了减少复杂性，以下是所有计划发起人都应该问自己的三个基本养老金风险管理问题——不管他们公司的具体情况如何。

养老金不对称是我战略资产配置决策的一个因素吗？

Plan sponsors evaluate many different types of risk, and one of these is surplus risk – the variability of possible funding status outcomes over time. Its simplicity makes it an intuitive and frequently used metric in pension asset-liability analysis.

Here’s the problem: pension plan outcomes are, in fact, asymmetrical. Even though upside and downside scenarios may be equally likely, their impact is very different.

大多数计划发起人的“最佳投资点”是100%到115%的资金。在这一范围以上，资金水平的提高带来的好处越来越小。在100%以下，保荐人通常会持有更大的头寸，以获得更高风险的回报资产，目的是提高资金状况。

在甜蜜点的顶端，有资助的115％，赞助商肯定有一个舒适的垫子来天气，诸如精算假设，债券降级和适度资助的地位下降的改变。可以说，资助的任何资助状况超过115％的资助结果，但赞助或参与者没有额外的福利。我们经常将此过剩作为“被困的盈余”，因为通常不能利用超出某个点的资助状态增益来为公司或计划参与者创造价值。

On the flipside, when a plan’s funded status is below 100% there can be significant negative implications. And it only gets worse as funded status declines further. The potential pain for sponsors increases exponentially, with limitations on lump sums, large expected cash contributions, and a portfolio without the asset base to help close the funding gap. In these low-funded scenarios, cash contributions will likely be the largest driver of plans increasing their funding position.

我的利率风险对冲够了吗？

It’s important to consider two strategic factors when making interest rate hedging decisions. The first is to recognize that interest rate risk is an uncompensated risk. The second is that hedging decisions should be based on the forward rates rather than spot rates.

对于养老金计划，股票和其他产生回报的资产通常用于获取超过负债的预期回报溢价，以帮助改善计划的资金状况，并支付计划的持续服务成本和费用。

相反，负债套期保值组合通过更好地匹配负债的利率敏感性来降低波动性，并随着负债的利息成本而增长。基于这些基本原则，股票风险是一种“补偿”风险，而利率风险是无补偿的。”

Additionally, while current interest rate levels are observable and easy to reference, it’s forward rates that matter when making hedging decisions. Forward rates are derived by current spot rates and reflect the arbitrage-free pricing of interest rates in future periods. Therefore, forwards will always be higher than spot rates when the yield curve has an upward slope.

根据定义，如果实现了向前速率，则在分析的时间段内横跨产量曲线的返回相同。重要的是，这适用于对冲资产以及负债的回报。因此，如果意识到前瞻性，套期保值资产和负债将由于利率运动而具有相同的回报，其他一切都是平等的。

对于未经预订的计划，只有在未来利率超过前向曲线时，计划将担任资助地位的福利。在这种情况下，负债将超过资产，为赞助商创造积极的资助状态成果。

Am I using my overall risk budget in the most efficient possible way?

For a pension plan, all risk isn’t created equal. Understanding the sources and types of risk in your portfolio is the key to securing long-term plan objectives with the least amount of uncertainty.

As mentioned above, equities and other return-generating assets are utilized to outperform the liability, while the hedging portfolio is utilized to reduce volatility and fluctuate with the liability. So, in order to maximize the effectiveness of the return-generating assets, plan sponsors should consider the sources of risk in the portfolio.

Consider a simple example to demonstrate how a plan with a defined risk budget can construct a portfolio in very different ways and with very different pension risk management outcomes.

The equity and fixed income allocations in these portfolios differ, however both result in a one-year surplus VaR (95%) of $29 million.

You would expect portfolio B to have a higher expected rate of return due to the 10% higher allocation to equities. While portfolio B has a smaller fixed income portfolio, it is created in a more capital-efficient manner by utilizing a combination of long credit and Treasury STRIPS. This results in a much higher hedge ratio of 75% for portfolio B relative to portfolio A.

总之，投资组合B对股票进行了更高的分配，较高的预期回报，更高的利率对冲比和风险预算均衡，而不是未补偿的风险。

By following the three takeaways above, plan sponsors can seek to build a better asset allocation that can help improve their pension risk management outcomes. Whether considering pension risk asymmetry, the level of interest rate risk hedging, or getting compensated for risk, these insights can help guide decision making toward an improved LDI strategy.

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