GS 高盛：美股深度策略报告－次级债问题

（68页）08.03 August 3, 2007

United States: Portfolio Strategy

United States: Portfolio Strategy Pension review 2007: High-class problems

Table of contents
Corporate system has recovered nicely, but new questions arise 3
Aggregate US private DB plans exceed 100% funding level 3
Slicing and dicing the data - further evidence of improvement 5
Full funding brings a whole new set of questions 8
Actuarial assumptions remain closely watched 11
Public pension programs remain underfunded 13
Employers now focusing on “other” retiree benefits 18
State and local governments now facing the music: GASB 45 20
Appendix I – Disclosures related to DB Pension plans 22
Appendix II- Disclosures related to retiree health care plans 58
Disclosures 66
Exhibits
1: S&P 500 US DB plans now overfunded 4
2: Funded ratio for S&P 500 plans has improved by 17ppts in four years 4
3: Snapshot of retiree-related programs for S&P 500 companies, 2006 5
4: Every sector posted an improvement in funded status in 2006 6
5: S&P 500 DB pension plans sorted by total sector obligation, 2006 6
6: More companies moving into higher funded categories 7
7: Largest plans currently have high funded ratios 8
8: Plan sponsors continue to freeze plans 9
9: Asset allocations have changed little over the past several years 10
10: Expected return assumptions continue to decline 11
11: Distribution of expected return assumptions by S&P 500 companies 12
12: Accounting discount rates finally rise 13
13: Public pension DB program assets about 30% larger than private DB plans 14
14: Private DB plans represent a shrinking % of total retirement assets 15
15: Many public DB plans remain underfunded 16
16: Retiree healthcare underfunding has persisted while DB pension has improved 18
17: Many companies moved to reduce retiree health care obligations, 2005-2006 19
18: Expect similar cutbacks to retiree health care in 2007 and beyond 19
Recent retirement liability-related reports by the Goldman Sachs US Portfolio Strategy/Accounting Group:
January 11, 2007 – Pension rule may afflict some balance sheets
March 7, 2007 - GASB 45 puts focus on govt retiree health care
March 20, 2007 – LDI in 2007 – where do we stand?
April 4, 2007 – Pensions: Previewing FASB Phase Two
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