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PFProjectBenefitsPVSingleRun

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Interactively run this function

Answer  

PV of Benefit Outgo
Membership category codePV (winds up, sponsor meets any shortfall)PV (winds up, sponsor doesn't meet shortfall)Equivalent spread differentialPV (scheme never winds up)
06618.682749729156366.768071497010.001362037658691416939.90538727296
118013.112755547417682.0120462040.0011445999145507818013.1127555474
234258.754007129734257.3164391794.76837158203125E-0634258.7540071297

Parameter NameInputAn input expression?Delimiter
iWindUp
iFunding
NumberFactors
Factors
FactorDrivingDefault
StartingFundingLevel
AmortisationFactor
TargetFundingLevel
AssetReturns
StatusCreatesOutgo
StatusWindUpMap
ProjectionLength
AgeRange
MinAge
CurrStatuses
CurrAges
CurrAccrued
CurrFutAcc
AccrueFor
NewStatuses
NewAges
NewAccrued
NewFutAcc
DecrementTable
ExpectedFactors
FactorDefaultAdjParam
WindUpDefaultAdjParam
BaseSponsorDefaultRates
SponsorRecoveryRates
NumberCats
StatusAgeRanges
NumberWindUpPriorities
StatusWindupPriorities
StatusCats
SurplusDistFracs
ExpStatuses
ExpFactAccrued
ExpFactFutAcc
ExpAccruedMin
ExpAccruedFrac
ExpAccruedMax
ExpFutAccMin
ExpFutAccFrac
ExpFutAccMax

Calculation description
Time-stamp calculation?  
  


Function Description

Returns, for an illustrative pension scheme with benefit and other characteristics approximated by the input parameters, an array containing (for each aggregate membership category):

 

(1)    The present value of members' future benefits allowing for the possibility of the scheme sponsor will default in the future, but assuming that when the sponsor defaults any shortfall in the cost of providing these benefits from elsewhere is met (e.g. by the sponsor’s bankruptcy estate)

 

(2)    The present value of members' future benefits allowing for the possibility of the scheme sponsor will default in the future, and allowing for the possibility that when the sponsor defaults there may be a shortfall in the assets available to meet the cost of providing these benefits from elsewhere (e.g. because there are insufficient assets available in the sponsor’s bankruptcy estate)

 

(3)    The equivalent implied spread on the benefits attributable to that category of members (i.e. the addition to the yield curve needed to result in a value as per (2) given cash flows as per (1)

 

(4)    The present value of members’ future benefits ignoring the possibility of the scheme sponsor defaulting in the future (which differs from (1) because some members’ benefits, e.g. for active members, may uprate more rapidly as long as the sponsor has not defaulted / scheme has not been wound up)

 

The impact of setting FactorDefaultAdjParam or WindUpDefaultAdjParam to non-zero values is explained further in MnPFProjectBenefitsProbDefault.

 


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