Seminario Formativo Lo sviluppo della previdenza complementare

Seminario Formativo
Lo sviluppo della previdenza complementare
tra investimenti nell’economia reale, finanza sostenibile
e rilancio delle adesioni
L’investimento dei fondi pensione fra limiti normativi e
regolamentari e vincoli di mercato
Strategie di investimento dei fondi pensione e le responsabilità
degli amministratori dopo il DM 166/2014
Centro studi Cisl di Firenze, 19 novembre 2015
Materiale a supporto dell'intervent o di Giuseppe Corvino
STRUTTURA DELL’INTERVENTO
1. IL CONTESTO DI RIFERIMENTO
a. I macro trend
b. Il ruolo dei Fondi Pensione negoziali
2. LE IMPLICAZIONI SULLA POLITICA DI INVESTIMENTO
a. Investimento finanziario o previdenziale?
b. Il modello di governance di un fondo pensione
c. La funzione obiettivo di un fondo pensione
STRUTTURA DELL’INTERVENTO
1. IL CONTESTO DI RIFERIMENTO
a. I macro trend
b. Il ruolo dei Fondi Pensione negoziali
2. LE IMPLICAZIONI SULLA POLITICA DI INVESTIMENTO
a. Investimento finanziario o previdenziale?
b. Il modello di governance di un fondo pensione
c. La funzione obiettivo di un fondo pensione
IL CONTESTO DI RIFERIMENTO: I MACRO TREND
Demografia /
assistenza
Rendimenti
molto
contenuti
Ricerca di
rendimenti
Sistemi
pensionistici
/ risparmio
Globalizzazione
/ Emerging
mkts
Cambiamenti nella
regolamentazione
Risk
management
Se mpre maggiore enfasi
al co ntrollo del risc hio
nelle varie
regolame ntazioni
BASE L 3, S2, SMI, 166
Climate
change
Ba se: No rth America (n=63) EMEA (n=106) AP AC (n =44) L AI (n=30); Q 2: Wh ich of the fo llo wing do yo u c on side r to be th e m ost serious ma rket risks to yo ur firm’s in vestmen t strateg y / p ortfolio
o ve r the ne xt thre e yea rs? S ele ct up to two . S ourc e: Th e Ec on omist inte llige nce U nit herein after refe rred to a s th e “EIU S urvey.” Ple ase se e Imp ortan t No te s fo r more info rma tion a bo ut the
survey.
IL CONTESTO DI RIFERIMENTO: I MACRO TREND
Demografia /
assistenza
Rendimenti
molto
contenuti
Ricerca di
rendimenti
Sistemi
pensionistici
/ risparmio
Globalizzazione
/ Emerging
mkts
Cambiamenti nella
regolamentazione
Risk
management
Se mpre maggiore enfasi
al co ntrollo del risc hio
nelle varie
regolame ntazioni
BASE L 3, S2, SMI, 166
Climate
change
Ba se: No rth America (n=63) EMEA (n=106) AP AC (n =44) L AI (n=30); Q 2: Wh ich of the fo llo wing do yo u c on side r to be th e m ost serious ma rket risks to yo ur firm’s in vestmen t strateg y / p ortfolio
o ve r the ne xt thre e yea rs? S ele ct up to two . S ourc e: Th e Ec on omist inte llige nce U nit herein after refe rred to a s th e “EIU S urvey.” Ple ase se e Imp ortan t No te s fo r more info rma tion a bo ut the
survey.
IL CONTESTO DI RIFERIMENTO
Positive
1
Switzerland
Germany
Finland
Netherlands
Denmark
Austria
Belgium
France
Sweden
Spain
Italy
Norway
UK
Ne gative
2
3
4
5
6
7
8
9
10
IL CONTESTO DI RIFERIMENTO
La tipologia di investimento con rendimento superiore al 4% non è mai
stata così limitata1
100%
Weight in select universe
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Global High Yield
U.S. CMBS
U.S. MBS
1
Emerging Market
Global Corporate IG
Euro Peripheral
Includes t he following I ndices: US Treasury, US I nt ermediate Treasury, US Long Treasury, US Aggregate, US Agency, US Government Sovereign, US Credit, US Credit Corp, US Credit Industrial, US Credit Ut ility, US Credi t
Finance, US Securitized, US MBS , US CMBS Aggregate, US Int ermediat e Corp, US Credit Corp 10+ Yrs, US HY , Global Emerging Markets, Global Agg, A sian Pacifi c Aggregate. Sources: BlackRock Investment Instit ute,
Barcl ays and Thomson Reuters, June 2014.Notes: The bars show market capital izat ion weights of assets with an average annual yield over 4% in a select universe that represents about 70% of the Barclays Multiverse Bond
Index. Euro Core is based on French and German government debt indexes. Euro Peripheral is an average of government debt indexes for It aly, Spain and Ireland. Emerging market s combine external and local currency
debt.
All currency denoted in USD as of January 2, 2015
Il tema degli investimenti alternativi ed infrastrutturali
However, private assets bring their own set of challenges
PUNTI
DI ATTENZIONE
Most
significant
challenges or risks when investing in private markets
41%
Portfolio pricing and transparency
41%
Modelling risk factors / performing scenario
analysis / accessing historical data
38%
Understanding regulatory treatment / regulators’
view of the asset class
33%
Conducting manager searches / knowing which
questions to ask during due diligence
• Seek managers with
are able to offer kno
training
• Build custom port
liquidity and ramp-u
• J-curve mitigation
through opportunist
generating assets th
and income vis-à-vi
26%
20%
10%
STRUCTURAL
Liquidity / long manager lock-up periods
Ability to demonstrate required internal
governance / oversight to regulators
• Evaluate your risk m
partner with a mana
position transparen
risk scenarios base
forward-looking ass
31%
Portfolio ramp-up periods / J-Curve
Fee structures
• Focus on managers
advantages in sou
and access to off-m
EXECUTION
Access to opportunities
BlackR
6%
Source: The Economist Intelligence Unit, “Driving Returns: Global insurers reconsider fixed income and private assets”, September 2014
For professional clients only - proprietary and confidential
•
Utilize your partne
negotiate governan
control
PUNTI DI ATTENZIONE
Graph 1
Life insurance companies and pension funds in the financial system
Total investment expressed as a percentage of financial system assets1
The scale of life insurance and pension funds
NL
AU
US
10
DK
ATTR PT
IT
ES
KR
BE LU FR
GR
3
25
UK
CA
MX PL
0
20
15
CH
IE
30
6
JP
DE
5
NO
Combined size
Pension funds
FI
The scale of life insurers and pension funds combined
25
20
15
10
SE
9
12
Life insurance
5
0
15
18
GR ES AT TR BE IT LU FR PT KR MX PL DE JP SE IE US CA AU NO DK CH FI NL UK
0
AT = Austria, AU = Australia, BE = Belgium, CA = Canada, CH = Switzerland, DE = Germany, DK = Denmark, ES = Spain, FI = Finland,
FR = France, GR = Greece, IE = Ireland, IT = Italy, JP = Japan, KR = Korea, LU = Luxembourg, MX = Mexico, NL = Netherlands, NO =
Norway, PL = Poland, PT = Portugal, SE = Sweden, TR = Turkey, UK = United Kingdom, US = United States.
1
The size of the financial system is approximated as the sum of total assets of deposit money banks, plus stock and bond market
capitalisation, as defined in the World Bank’s Financial Development and Structure Database as of end-2009. The pension and
insurance data are from the OECD’s Global Pension Statistics and Insurance Statistics, end-2009. Investment data exclude assets
linked to unit-linked products sold to policyholders and do not include assets under management of foreign affiliates and branches.
Sources: OECD and World Bank.
The large footprint of insurance companies and pension funds in the financial system is also
reflected in their importance in fixed income markets. Their holdings of bills and bonds (those
held via specialised mutual funds included) often account for a large segment of overall bond
market capitalisation in their respective countries. This share exceeds 40% in countries
where this sector is large compared to domestic bond markets, as in Switzerland, the
Netherlands and the Nordic countries. The share still exceeds 30% in Canada and the United
Kingdom, and lies close to or above 10% in other major markets, including France, Germany
and the United States. It is thus plausible to expect some impact on financial markets when
there are significant changes in the fixed income strategies of insurance companies and
pension funds.
2.2
The industry’s role and its services
IL CONTESTO DI RIFERIMENTO: I MACRO TREND
Demografia /
assistenza
Rendimenti
molto
contenuti
Ricerca di
rendimenti
Sistemi
pensionistici
/ risparmio
Globalizzazione
/ Emerging
mkts
Cambiamenti nella
regolamentazione
Risk
management
BASE L 3, S2, SMI, 166
Climate
change
Se mpre maggiore enfasi
al co ntrollo del risc hio
nelle varie
regolame ntazioni
Ba se: No rth America (n=63) EMEA (n=106) AP AC (n =44) L AI (n=30); Q 2: Wh ich of the fo llo wing do yo u c on side r to be th e m ost serious ma rket risks to yo ur firm’s in vestmen t strateg y / p ortfolio
o ve r the ne xt thre e yea rs? S ele ct up to two . S ourc e: Th e Ec on omist inte llige nce U nit herein after refe rred to a s th e “EIU S urvey.” Ple ase se e Imp ortan t No te s fo r more info rma tion a bo ut the
survey.
Basel!Accords!versus!Solvency!II:!
Regulatory!Adequacy!and!Consistency!under!the!
Postcrisis!Capital!Standards!
I VINCOLI REGOLAMENTARI
Daniela!Laas!and!Caroline!Siegel!
0
10
20
30
40
50
60
70
80
90 100
0
% of Corporate Bonds in Asset Portfolio
10
20
30
40
50
60
70
80
1000
3000
5000
SCRagg
0
Capital Charge (in CU million)
1000
3000
5000
CRmkt
CRcr
CRCCB + CRGSIB
0
Capital Charge (in CU million)
1000
3000
5000
CRmkt
CRcr
0
Capital Charge (in CU million)
This!version:!February!20th!2014!
90 100
0
% of Corporate Bonds in Asset Portfolio
(a) Basel II
10
20
30
40
50
60
70
80
90 100
% of Corporate Bonds in Asset Portfolio
(b) Basel III
(c) Solvency II
Figure 3: Capital Requirements for Different Percentages of Corporate Bonds in the Portfolio
This figure shows the capital charges with respect to different portfolio weights of corporate bonds under Basel II (Subfigure (a)), Basel III for GSIBs with α = 2.5
(Subfigure (b)), and Solvency II (Subfigure (c)). In Subfigures (a) and (b), the black and the white parts of the bars illustrate the charges for the trading and banking
book, respectively. The grey parts of the columns in Subfigure (b) represent the sum of the capital conservation buffer and the buffer for GSIBs.
0
10
20
30
40
50
60
70
80
90 100
% of Government Bonds in Asset Portfolio
(a) Basel II
0
10
20
30
40
50
60
70
80
90 100
% of Government Bonds in Asset Portfolio
(b) Basel III
1000
3000
5000
SCRagg
0
Capital Charge (in CU million)
1000
3000
5000
CRmkt
CRcr
CRCCB + CRGSIB
0
Capital Charge (in CU million)
5000
3000
1000
0
Capital Charge (in CU million)
21
CRmkt
CRcr
0
10
20
30
40
50
60
70
80
90 100
% of Government Bonds in Asset Portfolio
(c) Solvency II
Figure 4: Capital Requirements for Different Percentages of Government Bonds in the Portfolio
This figure shows the capital charges with respect to different portfolio weights of government bonds under Basel II (Subfigure (a)), Basel III for GSIBs with α = 2.5
(Subfigure (b)), and Solvency II (Subfigure (c)). In Subfigures (a) and (b), the black and the white parts of the bars illustrate the charges for the trading and banking
book, respectively. The grey parts of the columns in Subfigure (b) represent the sum of the capital conservation buffer and the buffer for GSIBs.
Basel!Accords!versus!Solvency!II:!
Regulatory!Adequacy!and!Consistency!under!the!
Postcrisis!Capital!Standards!
I VINCOLI REGOLAMENTARI
Daniela!Laas!and!Caroline!Siegel!
0
10
20
30
40
50
60
70
80
90 100
0
10
% of Stocks in Asset Portfolio
20
30
40
50
60
70
80
1000
3000
5000
SCRagg
0
Capital Charge (in CU million)
1000
3000
5000
CRmkt
CRcr
CRCCB + CRGSIB
0
Capital Charge (in CU million)
1000
3000
5000
CRmkt
CRcr
0
Capital Charge (in CU million)
This!version:!February!20th!2014!
90 100
0
10
% of Stocks in Asset Portfolio
(a) Basel II
20
30
40
50
60
70
80
90 100
% of Stocks in Asset Portfolio
(b) Basel III
(c) Solvency II
Figure 1: Capital Requirements for Different Percentages of Stocks in the Portfolio
This figure shows the capital charges with respect to different portfolio weights of stocks under Basel II (Subfigure (a)), Basel III for GSIBs with α = 2.5 (Subfigure (b)),
and Solvency II (Subfigure (c)). In Subfigures (a) and (b), the black and the white parts of the bars illustrate the charges for the trading and banking book, respectively.
The grey parts of the columns in Subfigure (b) represent the sum of the capital conservation buffer and the buffer for GSIBs.
0
10
20
30
40
50
60
70
80
90 100
% of Real Estate in Asset Portfolio
(a) Basel II
0
10
20
30
40
50
60
70
80
90 100
% of Real Estate in Asset Portfolio
(b) Basel III
1000
3000
5000
SCRagg
0
Capital Charge (in CU million)
1000
3000
5000
CRmkt
CRcr
CRCCB + CRGSIB
0
Capital Charge (in CU million)
5000
3000
1000
0
Capital Charge (in CU million)
20
CRmkt
CRcr
0
10
20
30
40
50
60
70
80
90 100
% of Real Estate in Asset Portfolio
(c) Solvency II
Figure 2: Capital Requirements for Different Percentages of Real Estate in the Portfolio
This figure shows the capital charges with respect to different portfolio weights of real estate investments under Basel II (Subfigure (a)), Basel III for GSIBs with
α = 2.5 (Subfigure (b)), and Solvency II (Subfigure (c)). In Subfigures (a) and (b), the black and the white parts of the bars illustrate the charges for the trading and
banking book, respectively. The grey parts of the columns in Subfigure (b) represent the sum of the capital conservation buffer and the buffer for GSIBs.
Appendix A
Equity
Interest
Property
Spread
Equity
1.00
0.00
0.00
0.00
Interest
0.00
1.00
0.75
0.75
Property
0.00
0.75
1.00
0.50
Spread
0.00
0.75
0.50
1.00
CORRmkt
Table 4: Correlation Coefficients for the Calculation of SCRmkt in Formula 25 under Solvency II (see
EIOPA, 2012b).
Basel!Accords!versus!Solvency!II:!
Regulatory!Adequacy!and!Consistency!under!the!
I VINCOLI B
REGOLAMENTARI
Appendix
Postcrisis!Capital!Standards!
Daniela!Laas!and!Caroline!Siegel!
0
10
20
30
40
50
60
70
80
1000
3000
5000
CRmkt
CRcr
CRCCB + CRGSIB
0
Capital Charge (in CU million)
1000
3000
5000
CRmkt
CRcr
0
Capital Charge (in CU million)
This!version:!February!20th!2014!
90 100
0
% of Alternatives in Asset Portfolio
10
20
30
40
50
60
70
80
90 100
% of Alternatives in Asset Portfolio
(b) Basel III
1000
3000
5000
SCRagg
0
Capital Charge (in CU million)
(a) Basel II
0
10
20
30
40
50
60
70
80
90 100
% of Alternatives in Asset Portfolio
(c) Solvency II
Figure 5: Capital Requirements for Different Percentages of Alternative Investments in the Portfolio
This figure shows the capital charges with respect to different portfolio weights of investments in private equity and hedge funds
under Basel II (Subfigure (a)), Basel III for GSIBs with α = 2.5 (Subfigure (b)), and Solvency II (Subfigure (c)). In Subfigures
(a) and (b), the black and the white parts of the bars illustrate the charges for the trading and banking book, respectively.
The grey parts of the columns in Subfigure (b) represent the sum of the capital conservation buffer and the buffer for GSIBs.
28
This Working Group was chaired by Peter Praet, Member of
the European Central Bank’s Executive Board
July 2011
JEL Classification: G22, G23, G28, M4
I VINCOLI REGOLAMENTARI
CGFS Papers No 44
Fixed income strategies of insuran ce compan ies and pens ion
funds, July 2011
The trade-offs between different asset classes can be illustrated by
means of a basic example. Under the instrument-specific capital
requirements in Solvency II, the following investment allocations
generate the same capital requirement under the standard formula:
1. 100% in covered bonds (AAA-rated) with a duration of one year,
2. 20% in covered bonds (AAA-rated) with a duration of five years,
and the rest in EEA government bonds,
3. 13.3% in corporate bonds, AAA-rated, with a duration of five
years, and the rest in EEA government bonds,
4. 8.6% in corporate bonds, A-rated, with a duration of five years,
and the rest in EEA government bonds,
5. 1.6% in corporate bonds, B-rated, with a duration of five years,
and the rest in EEA government bonds,
6. 1.5% in “global equities” and the rest in EEA government bonds,
7. 1.2% in “other equities” and the rest in EEA government bonds.
IL CONTESTO DI RIFERIMENTO: I MACRO TREND
Demografia /
assistenza
Rendimenti
molto
contenuti
Ricerca di
rendimenti
Sistemi
pensionistici
/ risparmio
Globalizzazione
/ Emerging
mkts
Cambiamenti nella
regolamentazione
Risk
management
BASE L 3, S2, SMI, 166
Se mpre maggiore enfasi
al co ntrollo del risc hio
nelle varie
regolame ntazioni
Climate
change
Ba se: No rth America (n=63) EMEA (n=106) AP AC (n =44) L AI (n=30); Q 2: Wh ich of the fo llo wing do yo u c on side r to be th e m ost serious ma rket risks to yo ur firm’s in vestmen t strateg y / p ortfolio
o ve r the ne xt thre e yea rs? S ele ct up to two . S ourc e: Th e Ec on omist inte llige nce U nit herein after refe rred to a s th e “EIU S urvey.” Ple ase se e Imp ortan t No te s fo r more info rma tion a bo ut the
survey.
Global ageing: A billion shades of grey | The Economist
12/05/14 12:15
25
Global ageing
A billion shades of grey
An ageing economy will be a slower and more unequal one—unless policy starts
changing now
Apr 26th 2014 | From the print edition
WARREN BUFFETT, who on May 3rd hosts the
folksy extravaganza that is Berkshire Hathaway’s
annual shareholders’ meeting, is an icon of
American capitalism (see article
(http://www.economist.com/news/leaders/21601255-all-his-success-building-greatcorporation-warren-buffett-should-now-contemplate) ). At 83, he also epitomises a striking
demographic trend: for highly skilled people to go on working well into what was once thought to
be old age. Across the rich world, well-educated people increasingly work longer than the lessskilled. Some 65% of American men aged 62-74 with a professional degree are in the workforce,
compared with 32% of men with only a high-school certificate. In the European Union the
pattern is similar.
This gap is part of a deepening divide between the well-educated well-off and the unskilled poor
that is slicing through all age groups. Rapid innovation has raised the incomes of the highly
skilled while squeezing those of the unskilled. Those at the top are working longer hours each
year than those at the bottom. And the well-qualified are extending their working lives,
compared with those of less-educated people (see article
IL CONTESTO DI RIFERIMENTO: I MACRO TREND
Demografia /
assistenza
Rendimenti
molto
contenuti
Ricerca di
rendimenti
Sistemi
pensionistici
/ risparmio
Globalizzazione
/ Emerging
mkts
Cambiamenti nella
regolamentazione
Risk
management
BASE L 3, S2, SMI, 166
Se mpre maggiore enfasi
al co ntrollo del risc hio
nelle varie
regolame ntazioni
Climate
change
Ba se: No rth America (n=63) EMEA (n=106) AP AC (n =44) L AI (n=30); Q 2: Wh ich of the fo llo wing do yo u c on side r to be th e m ost serious ma rket risks to yo ur firm’s in vestmen t strateg y / p ortfolio
o ve r the ne xt thre e yea rs? S ele ct up to two . S ourc e: Th e Ec on omist inte llige nce U nit herein after refe rred to a s th e “EIU S urvey.” Ple ase se e Imp ortan t No te s fo r more info rma tion a bo ut the
survey.
STRUTTURA DELL’INTERVENTO
1. IL CONTESTO DI RIFERIMENTO
a. I macro trend
b. Il ruolo dei Fondi Pensione negoziali
2. LE IMPLICAZIONI SULLA POLITICA DI INVESTIMENTO
a. Investimento finanziario o previdenziale?
b. Il modello di governance di un fondo pensione
c. La funzione obiettivo di un fondo pensione
IL RUOLO DEI FONDI PENSIONE
In ogni istante dalla sua vita lavorativa, il lavoratore
si trova ad avere uno “zainetto” previdenziale
composto da una posizione “capitalizzata” e da
una “scontata”
I fondi pensione sono complementari
alla previdenza di base
IL RUOLO DEI FONDI PENSIONE
La previdenza complementare non è un “prodotto” finanziario come gli
altri.
I prodotti “tradizionali” prevedono un processo di creazione e distribuzione
dei prodotti in cui la rete di vendita gioca un ruolo fondamentale.
Tanto fondamentale da essere strettamente regolamentato.
Identifico più linee
di investimento
Le realizzo
Le distribuisco
La platea sceglie
I fondi pensione devono interpretare a monte i
bisogni degli aderenti e soddisfarli con la
massima efficienza ed efficacia
Analizzo la mia
platea
Identifico le linee
di investimento
Le controllo
STRUTTURA DELL’INTERVENTO
1. IL CONTESTO DI RIFERIMENTO
a. I macro trend
b. Il ruolo dei Fondi Pensione negoziali
2. LE IMPLICAZIONI SULLA POLITICA DI INVESTIMENTO
a. Investimento finanziario o previdenziale?
b. Il modello di governance di un fondo pensione
c. La funzione obiettivo di un fondo pensione
INVESTIMENTO FINANZIARIO O PREVIDENZIALE?
Questo porta a due principali considerazioni:
1.
l’obiettivo della gestione non può essere definito
attraverso tradizionali esposizioni statiche ai mercati
(leggi Benchmark) tanto poi ci pensa la rete
distributiva a far comporre i mattoncini in funzione
delle aspettative degli aderenti e delle condizioni dei
mercati
Gestioni a ritorno assoluto?
Relativo su inflazione?
IL MODELLO DI GOVERNANCE DI UN FONDO PENSIONE
Questo porta a due considerazioni:
2.
Abbandonare la logica dei benchmark di mercato
vuol dire lasciare il mondo dei “fondi comuni” ed
entrare nel mondo dell’ALM, del risk appetite, del
budget di rischio e degli indicatori di rischio stocastici
Chi (e come) calcola il budget di rischio?
Chi (e come) decide l’asset allocation?
Quali ipotesi si utilizzano?
Chi (e come) controlla la gestione?