高盛—資本市場策略

Introduction
A perfect storm of adverse market conditions over the
past three years has devastated many corporate
defined benefit pension plans. Negative equity market
returns have eroded plan assets at the same time that
declining interest rates have increased benefit
obligations. In extreme cases, this has left corporate
pension plans with funding gaps as large as or larger
than the market capitalization of the plan sponsor.
These events have focussed companies and their
investors, perhaps for the first time, on evaluating
how pension plan management affects the health of
the overall company.1
The task is a complicated one. The pension fund and
its sponsor are linked directly and indirectly in many
ways, not all of which are captured by the commonly
studied metrics, which tend to focus on the fund as an
isolated entity. In order to fully capture the economic
impact of a company’s pension plan on the company
as a whole, it is necessary to analyze the fund in the
context of the company’s capital structure. Goldman
Sachs has recently developed a framework for
analyzing the broad spectrum of corporate finance
decisions that are related to a company’s capital
structure. In this report, we describe how companies
can apply this approach in light of their pension plan
management decisions, and we illustrate this
application using a detailed case study.
First, we evaluate how investment and asset/liability
management decisions made by the plan fiduciary, in
the interests of plan beneficiaries, affect the
shareholders of the overall company. Oddly enough,
though the plan fiduciary chooses the investment
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