INVESTMENT ALLOCATION

Transcription

1 Investment Allocation AI.9 INVESTMENT ALLOCATION The following is the basis for allocating investment income to each division and each major line of business and the components underlying the calculation of corporate investment income. All allocation formulas have been reviewed and approved by the Manitoba Pubic Insurance Board of Directors for the fiscal year and are based on the asset allocation methodology that was presented to, and approved by, the Public Utilities Board in the 2011 General Rate Application. The Corporation pools its investment portfolio and the resulting investment income is allocated based on a formula between the lines of business. The formula uses the average weighted equity balances pertaining to the lines of business to allocate the amount of investment income earned to each line of business and division. This formula assigns all liabilities and equities to each business line and deducts all non-interest bearing assets. The resulting net average weighted equity balances are then used to allocate the pooled investment income between the lines of business and division. For the components of the pooled investment income projected for the to fiscal years see the Schedule on the following page. Details of investment income and the Corporation s investment portfolio, including comparisons to the 2012 General Rate Application, are included in the attached Schedules 1 to 6. Page 1

2 Investment Allocation - AI.9 Investment Allocation Average Investment Income Investment Effective Corporate Basic's 2011/12 Portfolio Rate Total Share (in millions) (in thousands) Short-term $ % $ 1,075 $ 915 Long-term bonds 1, % $ 100,863 $ 85,830 Equities % $ (1,260) $ (1,072) Real Estate % $ 17,133 $ 14,579 Infrastructure % $ 1,164 $ 991 Total 2,244.3 $ 118,975 $ 101,243 Basic % of Total % Average Average Investment Income Investment Effective Corporate Basic's 2012/13 Portfolio Rate Total Share (in millions) (in thousands) Short-term $ % $ 344 $ 293 Long-term bonds 1, % $ 53,082 $ 45,170 Equities % $ 27,155 $ 23,108 Real Estate % $ 12,344 $ 10,504 Infrastructure % $ 1,095 $ 932 Total 2,308.1 $ 94,020 $ 80,007 Basic % of Total % Average Average Investment Income Investment Effective Corporate Basic's 2013/14 Portfolio Rate Total Share (in millions) (in thousands) Short-term $ % $ 395 $ 336 Long-term bonds 1, % $ 55,511 $ 47,236 Equities % $ 28,161 $ 23,963 Real Estate % $ 16,344 $ 13,908 Infrastructure % $ 3,280 $ 2,791 Total 2,445.0 $ 103,691 $ 88,234 Basic % of Total % Page 1

3 Investment Allocation - AI.9 Investment Allocation Average Average Investment Income Investment Effective Corporate Basic's 2014/15 Portfolio Rate Total Share (in millions) (in thousands) Short-term $ % $ 383 $ 326 Long-term bonds 1, % $ 53,961 $ 45,920 Equities % $ 30,514 $ 25,967 Real Estate % $ 19,691 $ 16,757 Infrastructure % $ 7,400 $ 6,297 Total 2,642.7 $ 111,949 $ 95,266 Basic % of Total % Average Average Investment Income Investment Effective Corporate Basic's 2015/16 Portfolio Rate Total Share (in millions) (in thousands) Short-term $ % $ 394 $ 335 Long-term bonds 1, % $ 54,159 $ 46,088 Equities % $ 32,945 $ 28,035 Real Estate % $ 21,542 $ 18,332 Infrastructure % $ 11,228 $ 9,555 Total 2,845.9 $ 120,268 $ 102,345 Basic % of Total % Average Average Investment Income Investment Effective Corporate Basic's 2016/17 Portfolio Rate Total Share (in millions) (in thousands) Short-term $ % $ 1,037 $ 882 Long-term bonds 1, % $ 47,648 $ 40,547 Equities % $ 35,613 $ 30,305 Real Estate % $ 23,035 $ 19,602 Infrastructure % $ 15,000 $ 12,764 Total 3,104.1 $ 122,333 $ 104,101 Basic % of Total % Note: Portfolio balances and effective rates represent averages. The calculated corporate total for investment income is based on monthly calculations. Page 2

4 Investment Allocation - Schedule 1 - AI GRA Actual Forecast Outlook 2007/ / / / / / / / /16 Investment Income: Short Term Interest 5,084 4, , Long Term Bond Income (1) 82,106 84,480 88,943 73,719 64,309 64,370 69,091 69,075 70,587 Equity Dividends (2) 10,373 9,976 9,579 9,455 (1,155) 11,822 12,349 13,338 14,801 Equity Gain/Loss 42,589 (80,407) (5,332) 17,913 2,125 16,036 16,546 17,933 18,585 Realized gain (loss) on FVTPL bonds 6,541 2,863 14,822 39,704 Unrealized gain (loss) onfvtpl bonds (5,533) 14,576 (3,653) 26,122 Sub Total 140,152 19, , , ,180 92,572 98, , ,367 Income from New Asset Classes: Venture Capital income 2, Corporate Investment Income For Fiscal years ending February 28/29 EAFE Dividends/Gains Infrastructure Income - - 1,164 1,095 3,280 7,400 11,228 Real Estate Income 670 5,964 17,133 12,344 16,344 19,691 21,542 Sub Total 2, ,483 18,297 13,439 19,624 27,091 32,770 Management Fees (3,338) (2,902) (2,715) (3,122) (4,032) (2,143) (2,354) (2,527) (2,351) Pension Fund Transfer (13,531) (11,804) (12,335) (20,342) (27,470) (9,848) (11,960) (13,344) (14,518) Corporate Total 125,543 4,632 96,282 95, ,975 94, , , ,268 Basic's Share 108,763 3,695 84,145 83, ,243 80,007 88,234 95, ,345 % of Total 86.63% 79.77% 87.39% 87.61% 85.10% 85.10% 85.09% 85.10% 85.10% (1) Includes bond premium/discount amortization and gain (loss) on sale (2) Includes foreign exchange gain (loss) on US equities, write-downs, and gain (loss) on Cdn and US equities (3) 2010/11 Bond income, realized and unrealized gain (loss) on bonds have been restated for IFRS. Page 1

5 Investment Allocation - Schedule 1 - AI.9 Corporate Investment Income For Fiscal years ending February 28/ GRA Actual Forecast Outlook 2007/ / / / / / / / /16 Investment Income: Short Term Interest 5,084 4, ,167 1,138 1,166 Long Term Bond Income (1) 82,106 84,480 88,943 79,960 62,902 56,604 59,203 62,529 65,393 Equity Dividends (2) 10,373 9,976 9,579 9,455 9,437 12,123 11,158 10,938 13,073 Equity Gain/Loss 42,589 (80,407) (5,332) 17,913 23,803 16,651 15,399 15,052 14,828 Realized gain (loss) on HFT bonds 6,541 2,863 8,581 Unrealized gain (loss) on HFT bonds (5,533) 14,576 3,208 Sub Total 140,152 19, , ,501 96,588 86,226 86,927 89,657 94,460 Income from New Asset Classes: Venture Capital income 2, EAFE Dividends/Gains ,651 3,745 4,057 6,067 Infrastructure Income - - 1,376 3,783 6,521 8,713 9,310 Real Estate Income 670 4,187 9,491 12,448 13,443 14,727 15,851 Sub Total 2, ,706 10,867 17,882 23,709 27,497 31,228 Management Fees (3,338) (2,902) (2,715) (3,123) (3,045) (2,177) (2,288) (2,378) (2,430) Pension Fund Transfer (13,531) (11,804) (12,335) (20,342) (10,284) (10,958) (11,668) (12,368) (13,110) Corporate Total 125,543 4,632 96, ,742 94,126 90,973 96,680 96, ,148 Basic's Share 108,763 3,695 84,145 88,079 80,854 78,000 82,961 87,809 94,443 % of Total 86.63% 79.77% 87.39% 87.43% 85.90% 85.74% 85.81% 85.74% 85.74% (1) Includes bond premium/discount amortization and gain (loss) on sale (2) Includes foreign exchange gain (loss) on US equities, write-downs, and gain (loss) on Cdn and US equities (3) 2010/11 Bond income, realized and unrealized gain (loss) on bonds have been restated for IFRS. Page 2

6 Investment Allocation - Schedule 1 - AI.9 Corporate Investment Income For Fiscal years ending February 28/29 DIFFERENCE Actual Projected Outlook 2007/ / / / / / / / /16 Investment Income: Short Term Interest (1) 629 (504) (772) (755) (772) Long Term Bond Income (1) (6,241) 1,407 7,766 9,888 6,546 5,194 Equity Dividends (2) (10,592) (301) 1,191 2,400 1,728 Equity Gain/Loss (21,678) (615) 1,147 2,881 3,757 Gain (loss) on sale of bonds ,241 39, Realized gain (loss) on HFT bonds (6,861) 26, Unrealized gain (loss) on HFT bonds (6,862) 35,592 6,346 11,454 11,072 9,907 Sub Total Income from New Asset Classes: EAFE Dividends/Gains (1,651) (3,745) (4,057) (6,067) Infrastructure Income (212) (2,688) (3,241) (1,313) 1,918 Real Estate Income ,777 7,642 (104) 2,901 4,964 5,691 Sub Total ,777 7,430 (4,443) (4,085) (406) 1,542 Management Fees (987) 34 (66) (149) 79 Pension Fund Transfer (17,186) 1,110 (292) (976) (1,408) Corporate Total (5,084) 24,849 3,047 7,011 15,269 10,120 Basic's Share (4,271) 20,389 2,007 5,273 7,457 7,902 % of Total 0.00% 0.00% 0.00% 0.18% -0.80% -0.64% -0.72% -0.64% -0.64% (1) Includes bond premium/discount amortization and gain (loss) on sale (2) Includes foreign exchange gain (loss) on US equities, write-downs, and gain (loss) on Cdn and US equities (3) 2010/11 Bond income, realized and unrealized gain (loss) on bonds have been restated for IFRS. Page 3

7 Investment Allocation - Schedule 2 - AI GRA Corporate Investment Portfolio as at February 28/29 in $000s Book Value Forecast Outlook 2006/ / / / / / / / / /16 Bonds: Government of Canada 316, , , , , , , , , ,959 Corporate 97,068 88, ,210 42,978 28,928 49,957 56,074 57,956 59,396 64,652 Other Provincial 332, , , , , , , , , ,099 Utility Province of Manitoba 267, , , , , , , , , ,210 Municipal 96,858 93,737 99,524 96,882 95, , , , , ,694 Health Institutions 27,130 27,054 12,347 12,901 12,497 12,482 14,010 14,481 14,840 16,154 School 358, , , , , , , , , ,339 Total Bonds 1,496,335 1,632,356 1,472,393 1,703,606 1,703,414 1,396,358 1,567,342 1,619,953 1,660,200 1,807,106 Venture Capital 8,091 7,110 7,326 7,651 7,126 6,771 6,771 6,771 6,771 6,771 Equity Linked note 20, Real Estate , , , , , , ,076 Total Long-Term Investments 1,524,426 1,639,466 1,479,719 1,726,472 1,811,331 1,594,119 1,793,351 1,916,951 2,002,662 2,180,953 Cash 1,021 4,499 (2,485) (2,192) 5,824 (10,461) Short-term investments 56, , ,308 95,079 59, ,348 68,706 62,556 66,428 30,023 Equities 433, , , , , , , , , ,273 Private Equities 6,400 4, Infrastructure - 11,590 17,185 56, , ,189 Total Cash, ST investments, Equities and Infrastructure 490, , , , , , , , , ,485 Total Portfolio 2,015,010 2,187,313 2,021,677 2,206,451 2,403,859 2,244,271 2,341,857 2,524,112 2,708,424 2,936,438 Basic's Share 1,740,449 1,894,953 1,612,715 1,928,313 2,101,700 1,909,875 1,992,920 2,148,019 2,304,869 2,498,909 % of Total 86.37% 86.63% 79.77% 87.39% 87.43% 85.10% 85.10% 85.10% 85.10% 85.10% Yield Percentage: Short Term 4.00% 4.14% 1.91% 0.12% 0.48% 0.86% 0.93% 1.20% 1.94% 3.13% Long Term 4.97% 4.80% 4.71% 4.42% 4.28% 4.50% 2.60% 3.12% 3.41% 4.04% Equities 8.14% 12.25% % 5.40% 6.50% 0.30% 6.10% 6.10% 6.10% 6.10% Real Estate - Pooled Fund 0.04% 6.30% 13.00% 6.00% 6.00% 6.00% 6.00% Infrastructure % 7.00% 7.00% 7.00% 7.00% Page 1

8 Investment Allocation - Schedule 2 - AI.9 Corporate Investment Portfolio as at February 28/29 Book Value Forecast Outlook 2006/ / / / / / / / / /16 Bonds: Government of Canada 15.7% 19.4% 10.7% 17.0% 14.9% 5.4% 5.8% 5.6% 5.3% 5.3% Corporate 4.8% 4.1% 5.1% 1.9% 1.2% 2.2% 2.4% 2.3% 2.2% 2.2% Other Provincial 16.5% 13.7% 14.0% 18.5% 18.1% 14.3% 15.3% 14.7% 14.0% 14.1% Utility 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Province of Manitoba 13.3% 14.3% 18.0% 15.6% 13.1% 12.9% 13.9% 13.3% 12.7% 12.8% Municipal 4.8% 4.3% 4.9% 4.4% 4.0% 5.0% 5.4% 5.2% 4.9% 5.0% Health Institutions 1.3% 1.2% 0.6% 0.6% 0.5% 0.6% 0.6% 0.6% 0.5% 0.6% School 17.8% 17.7% 19.4% 19.3% 19.1% 21.8% 23.5% 22.5% 21.5% 21.6% Total Bonds 74.3% 74.6% 72.8% 77.2% 70.9% 62.2% 66.9% 64.2% 61.3% 61.5% Venture Capital 0.4% 0.3% 0.4% 0.3% 0.3% 0.3% 0.3% 0.3% 0.2% 0.2% Equity Linked note 1.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Real Estate 0.0% 0.0% 0.0% 0.7% 4.2% 8.5% 9.4% 11.5% 12.4% 12.5% Total Long-Term Investments 75.7% 75.0% 73.2% 78.2% 75.4% 71.0% 76.6% 75.9% 73.9% 74.3% Cash 0.1% 0.2% -0.1% -0.1% 0.2% -0.5% 0.0% 0.0% 0.0% 0.0% Short-term investments 2.8% 5.8% 13.5% 4.3% 2.5% 6.5% 2.9% 2.5% 2.5% 1.0% Equities 21.5% 19.1% 13.4% 17.5% 21.9% 22.4% 19.5% 19.2% 19.4% 18.8% Private Equities 0.3% 0.2% 0.0% 0.0% Infrastructure 0.5% 0.7% 2.2% 4.2% 5.9% Total Cash, ST investments, Equities and Infrastructure 24.3% 25.0% 26.8% 21.8% 24.6% 29.0% 23.4% 24.1% 26.1% 25.7% Total Portfolio 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Page 2

9 Investment Allocation - Schedule 3 - AI.9 (i) Actual Forecast $ % 2011/ /12 Difference Increase Investment Income: 2013 GRA 2012 GRA (Decrease) Short Term Interest 1, % Long Term Bond Income (1) 64,309 62,902 1, % Equity Dividends (2) (1,155) 9,437 (10,592) % Equity Gain/Loss 2,125 23,803 (21,678) -91.1% Realized gain (loss) on FVTPL bonds 39,704-39,704 Unrealized gain (loss) onfvtpl bonds 26,122-26,122 Sub Total 132,180 96,588 35, % Income from New Asset Classes: - - Venture Capital income EAFE Dividends/Gains Infrastructure Income 1,164 1,376 (212) -15.4% Real Estate Income 17,133 9,491 7, % Sub Total 18,297 10,867 7, % Management Fees (4,032) (3,045) (987) 32.4% Pension Fund Transfer (27,470) (10,284) (17,186) 167.1% Corporate Total 118,975 94,126 24, % June 15, 2012 Page 1

10 Investment Allocation - Schedule 3 - AI.9 (ii) Forecast Actual $ % 2012/ /12 Difference Increase Investment Income: 2013 GRA 2013 GRA (Decrease) Short Term Interest 344 1,075 (731) -68.0% Long Term Bond Income (1) 64,370 64, % Equity Dividends (2) 11,822 (1,155) 12, % Equity Gain/Loss 16,036 2,125 13, % Realized gain (loss) on FVTPL bonds - 39,704 (39,704) Unrealized gain (loss) onfvtpl bonds - 26,122 (26,122) Sub Total 92, ,180 (39,608) -30.0% Income from New Asset Classes: - - Venture Capital income EAFE Dividends/Gains Infrastructure Income 1,095 1,164 (69) Real Estate Income 12,344 17,133 (4,789) -28.0% Sub Total 106, ,297 87, % 4% Management Fees (2,143) (4,032) 1, % Pension Fund Transfer (9,848) (27,470) 17, % Corporate Total 94, ,975 (24,955) -21.0% June 15, 2012 Page 2

11 Investment Allocation - Schedule 3 - AI.9 (iii) Forecast Projection $ % 2012/ /13 Difference Increase Investment Income: 2013 GRA 2012 GRA (Decrease) Short Term Interest (504) -59.4% Long Term Bond Income (1) 64,370 56,604 7, % Equity Dividends (2) 11,822 12,123 (301) -2.5% Equity Gain/Loss 16,036 16,651 (615) -3.7% Realized gain (loss) on FVTPL bonds Unrealized gain (loss) onfvtpl bonds Sub Total 92,572 86,226 6, % Income from New Asset Classes: Venture Capital income EAFE Dividends/Gains - 1,651 (1,651) Infrastructure Income 1,095 3,783 (2,688) -71.1% Real Estate Income 12,344 12,448 (104) -0.8% Sub Total 106, , ,903 18% 1.8% Management Fees (2,143) (2,177) 34 Pension Fund Transfer (9,848) (10,958) 1, % Corporate Total 94,020 90,973 3, % June 15, 2012 Page 3

12 Investment Allocation - Schedule 4 - AI.9 Six Year Corporate Investment Income $ Amount Comparison For Fiscal Years ending February 28/29 in $000s 2011/ / / GRA 2012 GRA 2011 GRA 2012 GRA 2011 GRA 2010 GRA 2011 GRA 2010 GRA 2009 GRA Actual Forecast Projected Actual Forecast Projected Actual Forecast Projected Short Term Interest 1, ,922 Long Term Bond Income 64,309 62,902 73,418 79,960 79,714 73,984 88,943 77,140 86,637 Equity Dividends (1,155) 9,437 10,686 9,455 10,535 19,061 9,579 16,662 14,150 Equity Gain/Loss 2,125 23,803 14,161 17,913 13,874 11,310 (5,332) 11,312 11,344 Gain (loss) on sale of bonds (1) ,000 Gain/loss on sale of HFT/FVTPL bonds 39, , , Unrealized gain/loss on HFT/FVTPL bonds 26, , , Sub Total 132,180 96,588 99, , , , , , ,053 Real Estate Income 17,133 9,491 12,549 4,187 4,818 3, ,440 - Venture Capital Income EAFE Dividends/Gains - - 3, ,683-1,574 - Infrastructure 1,164 1,376 1, Sub Total 150, , , , , , , , ,053 Management Fees (4,032) (3,045) (3,281) (3,123) (3,137) (2,379) (2,715) (2,285) (2,901) Pension Fund Transfer (27,470) (10,284) (10,284) (20,342) (9,642) (9,642) (12,335) (9,027) (9,774) Corporate Total 118,975 94, , ,742 96, ,638 96,282 97, ,378 Basic's Share 101,243 80,854 92,605 88,079 85,730 88,337 84,145 84,152 91,965 % of Total 85.10% 85.90% 89.76% 87.43% 88.88% 86.91% 87.39% 86.38% 86.45% (1) Gain (loss) on sale of bonds included in Long Term Bond Income commencing in 2010 GRA. 2008/ / / GRA 2009 GRA 2008 GRA 2009 GRA 2008 GRA 2007 GRA 2008 GRA 2007 GRA 2006 GRA Actual Forecast Projected Actual Forecast Projected Actual Forecast Projected Short Term Interest 4,279 1,545 2,575 4,802 2,525 2,361 3,267 2,418 2,994 Long Term Bond Income 75,726 84,523 87,675 80,671 86,560 77,659 72,255 73,721 76,052 Equity Dividends 9,976 13,691 10,871 10,374 10,493 6,757 9,390 6,348 5,471 Equity Gain/Loss (80,405) 8,024 20,258 45,132 45,715 15,315 25,694 40,566 6,927 Gain (loss) on sale of bonds (1) 8,754 5,000 5,000 1,435 5,000 5,000 21,561 5,000 5,000 Gain/loss on sale of HFT/FVTPL bonds 6, Unrealized gain/loss on HFT/FVTPL bonds (5,533) Sub Total 19, , , , , , , ,053 96,444 Real Estate Income Venture Capital Income EAFE Dividends/Gains Infrastructure Sub Total 19, , , , , , , ,053 96,444 Management Fees (2,902) (2,781) (3,162) (3,338) (2,731) (3,001) (3,139) (2,630) (2,640) Pension Fund Transfer (11,804) (8,893) (8,893) (13,531) (8,231) (8,231) (8,603) (7,593) (7,477) Corporate Total 4, , , , ,331 95, , ,830 86,327 Basic's Share 3,695 86, , , ,926 83, , ,119 75,765 % of Total 79.77% 85.99% 87.68% 86.63% 87.51% 87.58% 86.37% 87.52% 87.77% Page 1

13 Investment Allocation Schedule 5 - AI.9 Manitoba Public Insurance Real Estate Investments as at February 28/29 in millions at book value Description $ Annual Total $ 2008/09 None /10 Cityplace parking lots /11 Greystone Real Estate Pooled Fund (GRF) Cityplace and parking lots 2011/12* GRF Cityplace and parking lots 2012/13* GRF Cityplace and parking lots Real Estate to be determined 2013/14* GRF Cityplace and parking lots Real Estate to be determined *The classification of non-manitoba Public Insurance occupied space in Cityplace changed on March 1, 2011 from Property Plant & Equipment to Investments due to implementation of IFRS. Page 1

14

15

16