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Lessons from FRS17 Disclosures

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Lessons from FRS17 Disclosures Is Pension Fund Asset Allocation Really Determined by Fundamentals? Mike Orszag W W W . W A T S O N W Y A T T . C O M Paris, April 2, 2004 Key Question z Do pension funds make asset allocation decisions based on corporate finance risk considerations? z Factors which might matter: – Size of pension scheme relative to company – Size of deficits relative to company – Maturity of scheme Copyright © Watson Wyatt Worldwide. All rights reserved. Data z UK listed companies have had to report pension liabilities on FRS17 basis since late 2001 z Collected roughly 150 data items for FTSE350 on corporate finance from FRS17 disclosures z Matched data to other data on market returns/option price data, betas, etc. Copyright © Watson Wyatt Worldwide. All rights reserved. Accounting Dates z Roughly 48% of FTSE350 (168 companies) use Dec. 31 as end of year, 17% (60 companies) use 31 March, 8% (29 companies) use 30 September, remainder use a variety of dates z Define a panel with two waves: – 2001 Wave = Accounting dates between 30 June 2001 and 29 June 2002 – 2002 Wave = Accounting dates between 30 June 2002 and 29 June 2003 Copyright © Watson Wyatt Worldwide. All rights reserved. Pension Surplus(Deficit)/Pension Liabilities FTSE 350 companies with positive reported pension liabilities 2001 2002 Wave 2002 has 5% -30% -48.1% only 10 10% -24.9% -43.7% companies with 25% -15.2% -34.0% surpluses as 50% -7.7% -27.4% opposed to 81 in 2001. 75% 3.3% -17.3% Among FTSE 90% 15.5% -8.3% 100, wave 2001 95% 21.8% -1.0% has only 4 companies in surplus as N 242 257 opposed to 46 in 2001 Copyright © Watson Wyatt Worldwide. All rights reserved. Equity Allocation of Pension Funds 15 UK FTSE 350 – Calendar Year 2002 accounts Percentiles 10 t 1% .169485 n e 5% .3179815 rc 10% .4089045 Obs 254 Pe 25% .5425532 5 50% .6640593 Mean .6343839 75% .755668 90% .8119375 Variance .0278154 0 0 .2 .4 .6 .8 1 95% .8623853 Skewness -.7325749 Equity share of total assets 99% .9631634 Kurtosis 3.641208 FTSE 350: 2002 FTSE100 slightly lower median, lower mean Copyright © Watson Wyatt Worldwide. All rights reserved. Equity Allocation of Pension Funds Variation in equity share between 2001 and 2002 (FTSE 350) 15 Percentiles 1% -.335226 5% -.1859357 10 10% -.1400082 Obs 231 25% -.0830409 Sum of Wgt. 231 ent c r e 50% -.046847 Mean -.0529932 P Std. Dev. .0893082 5 75% -.0134888 90% .0074313 . 95% .0304655 99% .1343837 0 -.2 -.1 0 .1 .2 Change in Equity Allocation Slightly bigger drop among FTSE100 Copyright © Watson Wyatt Worldwide. All rights reserved. Pension Liabilities/Market Cap (2001) Pension Risk 1 Granada Group Plc WDMix Monorsr iGsoroun Sp uPpelcrmarkets Plc VodaHBfOoneS P Glcroup Plc BGG3Il Fax GDiGrriroSeaoupoupngdemso iPl tPrhcKovliniedent NeHaBAxyts AP G lcPlScrocuotptish & Newcastle Plc .8 BriRtiAbsehnSaCbey tLandoBOentkf eil wCNrIi nac aCGityatoiai ronPoup lPl lPalccl cPlc CHBunzaScipltPiontahrrCludent oderablGJr oouSeus aiapa inPlnd l PsPlcburl cWc iyre Pllescs Plc SBPmBrAitladfSlhiac S&notoec Nrtvedis e andh&rphewn Ex and BiT elLernglent Siceout esyPltcherer n Energy Plc CoHSmpasBCs HoSc GrlodouptitnisgRhs o PoPyalcwl e&r SBTPulcn P Alclliance Insurance Plc NAGuoRnglrtisJohLl oohns ePlBaToy rnAmAsicntrds cDRosoler oan oPTcyili clMSByisckata a nMPedt tGlaPlchey ilrBco auprintid sPl hG cFenoodseral TPrlucst Plc CadbAvMiurvaayr k (Scsf or ahwmndeeppe rSlyp eksnBAnceowEr n PSy aslcs tCemGNs U) Rolls-Royce Plc ATmescoSierKiGxEMsngfa NChamlHlaaheIoi tansnsUAlGrionUhert nirlPLCnion iealontGenuied l evPprd G oDt Pll scPluprUeroicdctm ilGPliteGKirceoupqsN Pllcc e Royal Bank of Scotland r RPeareRckeeditst oB nEle Plnsckiecv iseerr Plc .6 Land Securities Plc BHLegalP Bi &ll itGonener Plcal Group Plc Lattice Group Plc ha ReIntuetrenrats iGoInmraoulper Pop Piawllce Tr obaPlccco Group Plc British American Tobacco British Airway s Plc _s Invensys Plc y MWanPP G Grorupoup Plc t Smiths Group Corus Group ui OlAsdWot rMaZlusenteuleaely cPla P cPlclc .4 eq Standard Chartered Imperial Chemical Industries Plc P & O Princess Cruises .2 0 Boots Company Plc 0 1 2 3 4 pension_liability__market_cap bandwidth = .8 Copyright © Watson Wyatt Worldwide. All rights reserved. Pension Liabilities/Market Cap (2002) 1 Dixons Group Plc WmmMO M2orrison Supermarkets Plc Granada Group Plc RDiFCenteragnietndseookriilc aIPnritoviali denPlct .8 BGNexL Gltoy Prodlcusp TSB Group Plc HayHBAbbeOs SG yPr oupNatlc ional GSlKeBaxcOhloSrdCoda mG erGirtrousho KPuplpli cnP Plelcc BCapiBPrSaamExftebaw leeGalsry oupI nPdlcustries Plc SmIHinScotPeltioDrntrWhhudenata t &iliGtCashiy ioNntr toupMbn blPoeiaraaepellila h wP P andPdandeeollwcrw Pl e WGBAErc Pierenlcel eSysrsasl TPterlusmc st Plc SBu3BScoRoyiABTo SeGAnSczArm votMial teoupiPlklshr tilBntlcie sa plsT&rhnkcr eSo& nof Ntu PetShwlcceotcrnalands Etlne ePlrgcy Plc ACaJongldhoburn soAmyn eS Mrcicahatwtnhepp ePylcesRolls-Royce Plc AGTemUAsUerScVn osPlIiVthecamAd (Uf orPtilLiBTmtiCes rPl yPl cklcnown as CGNU) e ComReedpa Eslss eGvriouper .6 ReBRiGAHaloAlclPil anckJlTla i iBteiSahertni dllBet oitiD en GKoand GPnsboncrlme coupkPuN iLeirlscycesq rP c PPPlelclslccter ar EMI Group Plc VHBoImSBCdradfMaUnpefoaoilrr nkiHrevalesdo erGra&Tldnoba iBGodnu girnSpouscgpenc cPPllepolyc Gerro upPlc Plc h BReArlliitutiasnherc Landes GUnroi cComuphe Pmlpc anyplc PLC s NSoiBartx hContrclerna yRisno ePlckncts y LeKPiengfgaral si&sohe nG rPener Plclcal Group Plc t i EMAP Royal Sun & Alliance Insurance Plc BritHansish Aomne Priclcan Tobacco u Liberty INatnterionnaaltiona Grild Transco LAWoandstSmirlaZs SeleneteRexhcysuec PrGialtcrimes oPu l pcpllcc British Airways plc .4 WPP Group Invensys Plc eq Man Group Plc Corus group Old Mutual Plc P &As Oso Prciatinecedss B rCitisruhise Fosods Plc Standard Chartered Imperial Chemical Industries Plc .2 0 Boots Company Plc 0 5 10 15 bs1 Copyright © Watson Wyatt Worldwide. All rights reserved. Pension Surplus/Pension Liability (2001) Pension Risk 1 Granada Group Plc Dixons Group Plc WM Morrison Supermarkets Plc Vodaf one Group Plc HBOS Plc BG GrGoluaxpoS3Im GrithoKuplin Pelc Diageo Friends Prov ident ScottisNeh x&t NPelcwHcaasy stl eG Prouplc BAA Plc .8 CentricaAbbeyR NeBanSartititoiBOsfknalehilw CLaIan yiGrtn iadPol l CcupPolc PPllcc CaHipJBunzli ttaSona G ilnGrsboroCuuupaprybl P ePl clanc d WirelePrssu PdelcSntciahrodl P lcers Plc SmAilBtlhianr ad&c fNeo eradpn Sehd&e SLevwBicenoircgntBPestl ieTsytrhe rnatnd Pl Scouthern EnerExegyl Plc Compass GrHoupSBCBT H RPooldcyinaglSc s& PloStutcins hA lliaPownceer PlIncsurance Plc Northern RGuocsAk nPgllcoD BaAaLlmilroycey lraMdsicyaas inlT R Pl anSPioBcld c T GGintJreouoonhn epPr slaPcoAsll ncT rMsusoacttti athPeyledc British Foods Plc RoMaBllAsrkE-Rs Syoayncdste eS PmpAvClescnaicvdbearur (Pfyolc rScmehrwlyep kpesnown as CGNU) AmershGKamN PLKiCnTgefNscoisahteionrA PlalSllieic xUGrd nEMC iDitdoeGa ontIPd mG lilcnUleraenoctnhilquieitltpev sriePHa PGrlsec lcrnPo sGulcoprnou P Plpclc e Roy al Bank of Scotland ReckPeitart sBoenn cPkilcser PlcReed Elsev ier .6 Land Securities Plc LBHattPic LeBiega Gllirtouol n&p P GPlcelcneral Group Plc har Reuters Group Plc Imntpeernriatali oTnaobla Pcocwoe Gr rPoulcp Plc s British American TobacBrcoitish Airway s Plc _ Invensys Plc WPP Group Man Group Plc ty Sm ithCos Gruroups Group AstraZWoenlecseale yP lcPlc Old Mutual Plc .4 equi Standard Chartered Imperial Chemical Industries Plc P & O Princess Cruises .2 0 Boots Company Plc -.6 -.4 -.2 -5.55e-17 .2 .4 pension_surplus__deficit___pensi bandwidth = .8 Copyright © Watson Wyatt Worldwide. All rights reserved. Maturity z FTSE350- 2002 Lowess smoother 1 s t e .8 s s a l a t .6 o t f o e ar .4 h s y t .2 qui E 0 0 1 2 3 sc5 bandwidth = .8 Copyright © Watson Wyatt Worldwide. All rights reserved. Changes in Equity Allocation Regression for Change in Equity Allocation Changes in Equity Allocation of Pension Funds Lag BS1 -0.008 (0.67) .5 Lag BS7 0.109 (2.85)** ftse100 -0.028 q (2.24)* e f f 0 di Lag PL1 -0.004 (0.93) Constant -0.026 (2.43)* Observations 229 5 -. R-squared 0.05 -.6 -.4 -.2 0 .2 .4 bs7 Absolute value of t statistics in parentheses bandwidth = .8 •significant at 5%; ** significant at 1% BS7 is not statistically significant if robust regression methods are used. Copyright © Watson Wyatt Worldwide. All rights reserved. Conclusions z Not much connection between fundamentals and asset allocation z Results hold in both cross-section and panel regressions Copyright © Watson Wyatt Worldwide. All rights reserved. .
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