Sessional Research Event: Holistic Balance Sheet and Employer Covenant
The Royal Society of Medicine
1 Wimpole Street
London, W1G 0AE
You can now download a copy of the paper.
Registration: 16.30 - 17.00
Programme: 17.00 - 19.00
Drinks reception: 19:00 - 20:00
The meeting on 28 January in London and 18 February in Edinburgh will be presentations by Barrie & Hibbert and PriceWaterhouseCoopers of the findings of the research project on holistic balance sheets and employer covenants commissioned by the Institute and Faculty of Actuaries in 2012. A synopsis of the two presentations is given below:
- The Barrie & Hibbert research discusses how a market consistent valuation of the sponsor covenant can be undertaken. The paper provides a general overview of the valuation problem and introduces a Monte Carlo simulation framework for the valuation of the sponsor covenant. Later in the paper simpler, faster calculations are developed to estimate the full valuation method used earlier in the paper. Case studies are used to illustrate the accuracy and reliability of the methods proposed. In addition this work also considers how the market consistent pension fund balance sheet can be used to assess risk based capital requirements before finally setting out the team’s conclusions.
- The PwC research goes back to basics and considers what sponsor support actually means and looking at some of the definitions used. The paper then looks at what an appropriate basis of valuation might be for sponsor support and how valuation analysis is currently used in assessing and understanding sponsor support. The paper then addresses the EIOPA proposals reviewing the principles and specific points on methodology. This is illustrated by using an example calculation showing the impact of some of the assumptions which drive the calculations. The paper then suggests an alternative process and methodology for placing a value on the sponsor support of the purposes of the Holistic Balance Sheet.
The meeting will be structured to allow each team to give a short presentation of their findings followed by a brief question and answer session on the technical issues. After both parties have presented then a longer session inviting comments and questions from the floor on the topic will take place.
Please note, that as a result of member feedback, we will be trialling a new ‘enhanced networking initiative’ at this sessional research meeting.
The purpose of this initiative is to improve integration and networking among members, with particular focus on making those who are newly qualified or new to events, feel encouraged to approach more experienced members and become integrated into the actuarial community.
At each meeting, members who have particular experience in the topic area or those who are happy to be approached by new members and share their experience will be asked to wear a yellow ribbon on their name badge.
We would invite all those members who are happy to wear a yellow ribbon on their name badge to signal that they encourage any member to approach them and ask questions about the sessional meeting, chat or even just to introduce themselves to get in touch with Event Management.