负债驱动投资

June 2022 Liability Driven InvestmentJune 2022 Authors Iain Clacher & Con Keating Editor Simon Mills Introduction Thepurpose of a UK-defined benefit tax-approved pension scheme trust will beset out expressly in the terms of the trust deed (or can be deduced from theterms of the trust). But, in essence, the employer setsup such a trust to paypensionsfor lifeto its employees and former employees on attaining retirementage. That is the trust which the trustee is to perform. The trust’s activities arealso limited to retirement benefit-related activities (broadly the provision ofretirement benefits) by the Pensions Act 20041. Those pensions will be financed by employer contributions and, if applicable,employee contributions and, importantly, the investment return on thosecontributions. The lower the investment return, the higher the contributions orthe lower the benefits. The powers of the trustee, however widely drawn in the trust deed, must beexercised for that purpose and within that limitation. That leads on to theprimary duty of a pension scheme trustee, inperforming the trust, whichis topay pensions as and when they fall due.But, insofar as the employer has, underthe terms of the trust deed, unwisely relinquished its dual key power (onagreeing valuation assumptions, contribution rates and recovery plans2) to thetrustee, the trustee will also owe some duties to the employer. But thispaperisnot about trustee duties to the employer in such a situation. Instead, we examine the focus, driven by a combination of the accountingstandards applicable to employer accounts, financial economic theory andPensions Regulator pro-active engagement,on the short-term solvency ofschemes at eachtriennial or interimvaluation. This has resulted in an excessivefocus onvariations or changes in scheme surpluses and deficits due tovaluations;from this,we have seenthe emergenceofliability-driven investment(LDI)to manage theseperceived“risks”. Ultimately, the objective of these strategies is to lower the variability of thevaluation datesolvency position,to managevaluationdeficitsor surplusesrather than the ability to pay pensions from cash flows as and when they fall due.The stated motivation, that this will reduce the impact of the schemedeficits or surpluseson the sponsor’s accounts, is,and always was,weak. Thesponsor may and must produce its own valuationsin accordance with theprevailing corporate accounting standards, not the standards imposed bystatuteon DB pension schemes. Of course, the sponsor may choose to hedgethe variability of these valuations and faces no constraints when doing sooutside of the scheme. We should also draw out an associated conflation. If the volatility of the marketvalue of the scheme’s assets as at valuation dates leads to deficits, those deficitslead to a recovery period to make good the deficit.The shorter the recoveryperiod, the greater the pressure on the employer to pay deficit reductioncontributions or to change future service benefits. That creates the feedbackloop of seeking to reduce that outturn by hedging this risk, which, in turn,increases the cost of the benefit, which in turn leads to the outcome that thebenefits become very poor value for money and are replaced, for future service,by money purchase benefits. In those money purchase benefits, the employeeassumes investment riskand longevity risk and is given an annual statutorymoney purchase illustration which is based on abest estimateinvestmentreturn assumption consistent, as required by regulations,with inflation of 2.5%pa andgrossof expenses for the investment fund in question.By way ofexample, those used by the USS in 2021for its default lifestyle funds are GrowthFund:4.77% pa, Moderate Growth:4.15% pa, and Cautious Growth Fund: 3.38%pa-morehere:https://www.uss.co.uk/-/media/project/ussmainsite/files/for-members/misc/assumptions-document.pdf.In contrast, the‘prudent’discountrate used in the valuation ofthe DB benefits of the USS asof31stMarch 2020,based on an inflation assumption ofRPI of 2.8% pa/CPI of 2.1% pa,and a prudentinvestment return (netof investment management expenses) was3.45%paonthe pre-retirement portfolio and1.7%pa (i.e.a negative return after inflation)on the post-retirement portfolio3. It could be said that we have here the perfect illustration of Goodhart’s Law4where the goal of providing the highest pension for the lowest cost with a highlevel of certainty has, in consequence of the accounting standards and the waythe flexibility built into the statutory funding regime under Part 3 of the PensionsAct 2004,been interpreted by the Pensions Regulator and by some trustees and their advisers, leadingto the provision of the lowest pension at the highest costin pursuit of the goal of avoiding deficits at valuation dates. It shouldalsobe recognised that the risk management of the solvency positionis not the same as the risk management of the pensions ultimately payable andmay even have negative effects on the