Third Quarter of FY 2015
Investment Results of Employees’ Pension Insurance
Benefit Fund
(Local Public Service Mutual Aid Associations)
Employees’ Pension Insurance
(Local Public Service Mutual Aid Associations)
Summary of Investment results in FY 2015 3Q
◯ Total investment assets as of the end of the third quarter were 19,812.9 billion yen.
◯ Modified total return for the third quarter (period rate) was + 2.69%, mainly driven by rises in prices of domestic and
foreign equities. Realized return (period rate) was + 1.03%.
◯ Investment income for the third quarter was + 528.6 billion yen. Realized income was + 184.2 billion yen.
(100 million yen)
FY 2014
1Q
2Q
Total assets
FY 2015
3Q
198,129
4Q
Total
198,129
Modified total return
(Realized return)
2.69%
(1.03%)
2.69%
(1.03%)
Investment income
(Realized income)
5,286
(1,842)
5,286
(1,842)
* Pension reserve funds are invested over the long term and their investment results should be judged from the long-term
perspectives. Quarterly investment results are published in light of ensuring thorough information disclosure.
It should be noted that investment income, which is market value valuation as of the end of each quarter, includes unrealized
profits/losses and thus changes depending on market trends.
(Note 1) The return and income figures are after excluding investment fees settled during the relevant periods.
(Note 2) The return figures are for the relevant periods, and return figures for FY 2015 are for periods after the integration of
employee pension schemes in October 2015.
2
Employees’ Pension Insurance
(Local Public Service Mutual Aid Associations)
Asset Allocation
(100 million yen)
FY 2014
FY 2015
1Q
2Q
3Q
4Q
Market value Allocation Market value Allocation Market value Allocation Market value Allocation Market value Allocation
(Book value)
(Book value)
(Book value)
(Book value)
(Book value)
ratio
ratio
ratio
ratio
ratio
Domestic
bonds
97,590
49.26%
(92,914)
Domestic
equities
39,734
20.05%
(31,783)
Foreign
bonds
22,151
11.18%
(21,205)
Foreign
equities
29,475
14.88%
(21,645)
Short-term
assets
9,180
(9,181)
4.63%
198,129 100.00%
(176,727)
Total
(Note 1) The sum of figures does not necessarily match the total figure
because the above figures are rounded.
(Note 2) The allocation ratios of the benchmark portfolio are domestic bond
35% (±15%), domestic equity 25% (±14%), foreign bond15%
(±6%), and foreign equity 25% (±12%).
Asset allocation ratios for FY 2015 3Q
Foreign equities
14.88%
Short‐term assets
4.63%
Foreign bonds
11.18%
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Domestic equities
20.05%
Domestic bonds
49.26%
Employees’ Pension Insurance
(Local Public Service Mutual Aid Associations)
Investment Return
FY 2014
FY 2015
1Q
2Q
Modified total return
(Realized return)
3Q
4Q
Total
2.69%
(1.03%)
2.69%
(1.03%)
Domestic bonds
0.69%
0.69%
Domestic equities
9.60%
9.60%
-1.33%
-1.33%
5.26%
5.26%
Foreign bonds
Foreign equities
(Note 1) The return figures are after excluding investment fees settled during the relevant periods.
(Note 2) The return figures are for the relevant periods, and return figures for FY 2015 are for periods after the integration of
employee pension schemes in October 2015.
4
Employees’ Pension Insurance
(Local Public Service Mutual Aid Associations)
Investment Income
(100 million yen)
FY 2014
FY 2015
1Q
2Q
3Q
4Q
Total
Investment income
(Realized income)
5,286
(1,842)
5,286
(1,842)
Domestic bonds
695
695
3,400
3,400
-287
-287
1,417
1,417
62
62
Domestic equities
Foreign bonds
Foreign equities
Short-term assets
(Note 1)
(Note 2)
(Note 3)
The income figures are after excluding investment fees settled during the relevant periods.
The sum of figures does not necessarily match the total figure because the above figures are rounded.
The income figures are for the relevant periods, and income figures for FY 2015 are for periods after the integration
of employee pension schemes in October 2015.
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Employees’ Pension Insurance
(Local Public Service Mutual Aid Associations)
Investment Environment in FY 2015 3Q
<Market Movements (October to December) >
Domestic bond: 10-year JGB yields declined on the back of expectations for additional monetary easing by the BOJ (bond prices rose).
Domestic equity: Domestic equity prices were on a rising trend due to rebounds from the significant declines in the second quarter, coupled
with expectations for recovery in the global economy and strong corporate earnings, but declined slightly in December, weighed down by
concerns about declines in corporate earnings due to the stronger yen.
Foreign bond: 10-year US government bond yields increased as the US policy rate was raised (bond prices declined), and 10-year German
bund yields increased due to ECB’s additional monetary easing that was below market expectations (bond prices declined).
Foreign equity: Foreign equity prices were on a rising trend due to rebounds from the significant declines in the second quarter, coupled with
monetary easing in China and Europe, but declined in December, weighted down by, among other factors, further declines in oil prices.
○Reference Indexes
Domestic
bond
Domestic
equity
Foreign
bond
Foreign
equity
Foreign
exchange
○Benchmark Returns
(10-year JGB yields) (%)
End of Sep.
FY 2015
0.36
End of Oct.
FY 2015
0.31
End of Nov.
FY 2015
0.31
End of Dec
FY 2015
0.27
1411.16
17388.15
2.04
1558.20
19083.10
2.14
1580.25
19747.47
2.21
1547.30
19033.71
2.27
0.59
0.52
0.47
0.63
16284.70
9660.44
119.78
133.73
17663.54
10850.14
120.72
133.29
17719.92
11382.23
123.25
130.20
17425.03
10743.01
120.24
130.70
(TOPIX, price return) (point)
(Nikkei 225 ) (yen)
(10-year US government bond
yields) (%)
(10-year German bund yields)
(%)
(NY Dow) (dollar)
(German DAX) (point)
(Dollar/yen) (yen)
(Euro/yen) (yen)
Oct. to
2015
Domestic bond
NOMURA-BPI (Overall)
Domestic stock
TOPIX (dividend-inclusive)
Foreign bond
Citigroup World Government Bond
Index (ex-Japan, no hedge, in yen)
Foreign stock
MSCI ACWI (ex-Japan, in yen,
dividend-inclusive)
Dec.
1.00%
9.83%
-1.35%
5.25%
Market Index Trends (FY 2015 3Q)
102
115
Domestic equity
Foreign
bond
101
110
100
105
Domestic bond
Foreign equity
99
98
9月末
End Sep
100
10月末
End Oct
End
Nov
11月末
95
9月末
End Sep
12月末
End Dec
6
10月末
End Oct
11月末
End
Nov
12月末
End
Dec
Employees’ Pension Insurance
(Local Public Service Mutual Aid Associations)
Reserve Fund Allocation upon Enactment of the Law on Integration of
Employees’ Pension Insurance (EPI)
Total
As of September 30,
2015
As of October 1, 2015
Long-term Benefit
Fund
(Market value)
Employees’ Pension
Transitional Long-term
Insurance (EPI)
Benefit (TLTB) Fund
Benefit Fund
(Market value)
(Market value)
41,178.6 billion yen
20,545.5 billion yen 21,124.1 billion yen
(Reference)
Funding ratio (estimated government funding ratio) before integration (old EPI)
＝estimated amount of old EPI reserve funds as of the end of FY 2014 (164.8 trillion yen)
/ estimated amount of first tier and second-tier old EPI expenditures in FY 2015 (33.7 trillion yen)
＝4.9 years
Estimated allocation of local public service mutual aid associations (EPI Fund)
＝estimated amount of first-tier and second-tier expenditures in FY2015 (4.2 trillion yen)
x estimated government funding ratio (4.9 years)
＝20,545.5 billion yen
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Employees’ Pension Insurance
(Local Public Service Mutual Aid Associations)
Glossary
○
Benchmark portfolio
Asset allocation percentages determined by statistical method and considered most eligible (market value basis)
○
Deviation tolerance
If the asset mix of a portfolio deviates from the benchmark portfolio, the deviation is to be eliminated by rebalancing assets or by
other means. However, rebalancing assets whenever a small deviation arises due to market value fluctuations and similar
reasons is not efficient from the trading cost perspective. Therefore, a range in which a deviation from the benchmark is allowed
is established, which is called deviation tolerance.
○
Transitional Long-term Benefit (TLTB) Fund
The combined funds of the TLTB association reserve funds administered and invested by mutual aid associations and the
National Federation of Mutual Aid Associations for Municipal Personnel (collectively “Mutual Aid Associations, etc.”) for benefit
payments of the old occupational portion (TLTB) after the integration of employee pension schemes, and the TLTB Adjustment
Fund built by the Pension Fund Association for Local Government Officials for the purpose of providing necessary amounts in
case of a shortage in TLTB payments by each Mutual Aid Associations, etc.
○
Employees’ Pension Insurance (EPI) Benefit Fund
The combined funds of EPI benefit association reserve funds administered and invested by Mutual Aid Associations, etc. for
EPI benefit payments, and the EPI Benefit Adjustment Fund built by Pension Fund Association for Local Government Officials for
the purpose of providing necessary amounts in case of a shortage in EPI benefit payments by the Mutual Aid Associations, etc.
○
Modified total return
This is one of indicators for measuring investment performance. Changes in profits/losses on market value valuation of assets
are added to realized income to recognize income at market value, which is then divided by the sum of the average principal
amount, accrued income at the previous term-end and unrealized profits/losses at the previous term-end, to obtain the modified
total return. Since the calculation is relatively easy, this is used as an indicator for understanding changes in market value of
assets to show investment efficiency.
(Formula)
Modified total return = (trading profit/loss + interest and dividend income + changes in accrued income (accrued income at the
term-end – accrued income at the previous term-end) + changes in unrealized profits/losses (unrealized profits/losses at the
term-end – unrealized profits/losses at the previous term-end)) / (average principal amount + accrued income at the previous
term-end + unrealized profits/losses at the previous term-end)
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Employees’ Pension Insurance
(Local Public Service Mutual Aid Associations)
Glossary
○
Government funding ratio
In association with the integration of employee pension schemes, it was necessary to assign a portion of mutual aid
associations’ pension reserves that match the level of Employees’ Pension Insurance (EPI) to EPI reserves (shared
resources) after the integration. Specifically, an amount equivalent to the funding ratio of EPI before integration (the
level of reserves measured as a number years’ worth of amount held against annual expenditure of the basic pension
and EPI (first tier and second-tier) funded by insurance premiums) was set aside as shared resources. This funding
ratio is called the government funding ratio.
○ Investment income
This represents market value income, calculated by adding profits/losses on market value valuation of assets to
realized income.
(Formula) Investment return = trading profit/loss + interest and dividend income + changes in accrued income
(accrued income at the term-end – accrued income at the previous term-end) + changes in unrealized profits/losses
(unrealized profits/losses at the term-end – unrealized profits/losses at the previous term-end)
○ Long-term Benefit Fund
A pension fund administered and invested by Mutual Aid Associations, etc. and the Pension Fund Association for
Local Government Officials before integration of employee pension schemes.
○ Benchmark
A benchmark means a benchmark indicator against which to compare when assessing investment performance.
We use benchmarks that represent market movements (see page 6).
○ Benchmark return
This represents changes in benchmarks, i.e., market average returns.
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