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Structure of Bond Pension Funds During Decreasing Yield Curves

In: Advances in Longitudinal Data Methods in Applied Economic Research

Author

Listed:
  • Mário Papík

    (Comenius University)

Abstract

Pension system in Slovakia has been transformed from a single-pillar system to a three-pillar system since 2004. Following outbreak of financial crisis between years 2008 and 2009, pension sector has been subjected to several regulatory changes in order to protect retirement savings. Bond pension funds are currently the most dominant element in pension system with 70% of total assets allocated in this kind of pension funds. Aim of this manuscript is to analyse the structure of assets owned by bond pension funds and to identify key portfolio components that impact returns of these funds. This relationship has been analysed on sample of all five bond pension funds operating in Slovakia for period from 2009 to 2017. Relationship between individual components of portfolio and portfolio returns has been described by two linear regression models with mixed effects. Statistically significant variables have been identified as bonds evaluated at fair value with maturity less than 3 months and bonds evaluated at fair value with maturity longer than 5 years, both denominated in Euros. This manuscript has showed that bond pension portfolios, that are evaluated mainly at fair value and with long maturity, are prone to increased interest rate risks in than in the past. Higher interest rate risk could have negative impact on pension’s savings in the future.

Suggested Citation

  • Mário Papík, 2021. "Structure of Bond Pension Funds During Decreasing Yield Curves," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Longitudinal Data Methods in Applied Economic Research, pages 95-107, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-63970-9_7
    DOI: 10.1007/978-3-030-63970-9_7
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