Fiscal Year 2022 Review of Operations
Annuity Retirement Benefit Association Reserve Fund

全国市町村職員共済組合連合会

National Federation of Mutual Aid Associations for Municipal Personnel

Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

Table of Contents

Investment Results (Overview) ………………………………………………………………………………………………………. 3【Section 1 Administration and Investment of Funds in FY2022】
1 Investment results(1) Asset mix……………………………………………………………………………………………………………………….... 5(2) Investment return ………………………………………………………………………………………………………………. 6(3) Investment income …………………………………………………………………………………………………………….. 7(4) Value of assets …………………………………………………………………………………………………………………. 8(5) Fees ………………………………………………………………………………………………………………………….….. 92 Benchmark portfolio…………………………………………………………………………………………………………………. 10
3 Risk management(1) Approach to risk management …………………………………………………………………………….…………………. 11(2) Risk management efforts …………………………………………………………………………………………………….. 12(3) Status of risk management …………………………………………………………………………………………………… 13【Section 2 Businesses and Fund Investment of the Federation】
1 Organizational structure ……………………………………………………………………………………………………………. 15
2 Fund Management Committee ……………………………………………………………………………………………………. 18
3 Basic approach to investment …………………………………………………………………………………………………….. 20【Section 3 Reference Data】
1 Changes in the investment results ……………………………………………………………………………………………….. 22
2 Issues held ………………………………………………………………………………………………………………………….. 232

Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

Investment Results (Overview)

Investment return+0.42%

Realized return (book value basis)(FY2022)

Investment income+JPY 2.964 billion

Realized income (book value basis)(FY2022)

Value of investment assets:

JPY 768.5 billion

Book value(End of FY2022)
As pension funds are intended for long-term investment, the investment status must be judged from the long-term
perspective.
(Note 1) The investment return and investment income represent the figures after the deduction of fees, etc.
(Note 2) Realized income represents the sum of trading profits/losses and interest and dividend income, etc.

3Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

Section 1 Administration and Investment of Funds in FY2022

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

1 Investment results(1) Asset mix
The composition by asset (book value basis) is as follows:(Unit: %)FY2022End of FY2021

Domestic bonds

100.0

End of Q1

End of Q2

End of Q3

End of Q4(End of FY)

100.0

100.0

100.0

100.0

Benchmarkportfolio

100.0

Short-term
assets

(1.5)

(0.5)

(0.5)

(0.5)

(1.2)

Total

100.0

100.0

100.0

100.0

100.0

(Note 1) Due to rounding, the total sum of individual figures may not necessarily add up to Total.
(Note 2) Loans are included in domestic bonds (6.3% of domestic bonds).
(Note 3) Short-term assets held by each fund were classified into relevant asset classes in principle.

5Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

1 Investment results(2) Investment return
The realized return for FY2022 was 0.42% for the overall assets.
Domestic bonds held by the Annuity Retirement Benefit Association Reserve Fund were evaluated based on book value on
the premise of continued holding until maturity.
(Unit: %)FY2022
Q1

Q2

Q3

Q4

Changes in realized return

FY total

Realized return

0.10

0.10

0.11

0.11

0.42

Domestic bonds

0.10

0.10

0.11

0.11

0.42

Short-term assets(0.00)(0.00)(0.00)(0.00)(0.00)(Reference)(Unit: %)FY2022Modified total return

Q1

Q2

Q3

-1.35

-0.84

-2.75

Q4

FY total

2.51

-2.29

(Note 1) The return in each quarter is the period rate.
(Note 2) Loans are included in domestic bonds.
(Note 3) The realized return and modified total return represent the figures after the deduction of fees, etc.
(Note 4) The modified total return represents the realized return adjusted for the effects of changes in valuation gains/losses that would arise if the assets are evaluatedbased on market value.

6Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

1 Investment results(3) Investment income
The realized income for FY2022 was JPY2.964 billion (for overall assets).
Domestic bonds held by the Annuity Retirement Benefit Association Reserve Fund were evaluated based on book value on
the premise of continued holding until maturity.
(Unit: JPY100M)

FY2022Q1Q2Q3Changes in realized income
Q4

FY total

Realized income

6.70

7.13

7.60

8.21

29.64

Domestic bonds

6.70

7.13

7.60

8.21

29.64

(0.00)(0.00)(0.00)(0.00)(0.00)

Short-term assets(Unit: JPY100M)(Reference)
FY2022

Investment income

Q1

Q2-89.57-57.44

Q3-192.16

Q4

FY total

177.80-161.37(Note 1) The realized return and investment income represent the figures after the deduction of fees, etc.
(Note 2) Realized income represents the sum of trading profits/losses and interest and dividend income, etc.
(Note 3) Loans are included in domestic bonds.
(Note 4) The investment income represents the realized income adjusted for the effects of changes in valuation gains/losses based on market value.
(Note 5) Due to rounding, the total sum of individual figures may not necessarily add up to FY Total.

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

1 Investment results(4) Value of assets
The book value, total market value and valuation gains/losses by asset is as follows.
(Unit: JPY100M)

FY2022End of FY2021
Book
value

End of Q1

Total market
Valuation
gains/losses
value

Book
value

End of Q2

Total market
Valuation
gains/losses
value

Book
value

End of Q3

Total m arket
Valuation
gains/losses
value

Book
value

End of Q4 (End of FY)

Total market
Valuation
gains/losses
value

Book
value

Total m arket Valuation
gains/losses
value

Domestic bonds

6,646

6,574

-71

6,779

6,617

-162

7,102

6,871

-230

7,291

6,866

-425

7,685

7,422

-262

Short-term
assets

(99)

(99)

(0)

(34)

(34)

(0)

(32)

(32)

(0)

(33)

(33)

(0)

(93)

(93)

(0)

Total

6,646

6,574

-71

6,779

6,617

-162

7,102

6,871

-230

7,291

6,866

-425

7,685

7,422

-262

(Note 1) Due to rounding, the total sum of individual figures may not necessarily add up to Total.
(Note 2) The total market value and valuation gains/losses are indicated here for reference. The valuation gains/losses were tentatively calculated based on the market value.
(Note 3) Loans are included in domestic bonds.
(Note 4) Short-term assets held by each fund were classified into relevant asset classes in principle.

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

1 Investment results(5) Fees
There are no fees related to investment because the funds of the Annuity Retirement Benefit Association Reserve Fund areinvested in domestic bonds through in-house investment and investment of deposits by member associations.

9Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

2 Benchmark portfolio

Benchmark portfolio
1. Benchmark portfolio
Domestic bonds
Asset mix

100%

The Federation manages the Annuity Retirement Benefit Association Reserve Fund with a benchmark portfolio of 100%
domestic bonds to secure the base interest rate with the minimum risk based on the characteristics of a cash-balance
pension plan whose benefit level is linked to government bond yields or other benchmarks.

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

3 Risk management(1) Approach to risk management○ Generally speaking, "risk" refers to danger or possibility of negative impact. In the field of asset investment, risk means
uncertainty of returns, etc. associated with market volatility or other factors.
○ Risks in the field of asset investment include interest rate fluctuation risk, price fluctuation risk, credit risk and liquidity risk.
Therefore, it is important to understand the magnitude and multifaceted impacts of various risks commensurate withinvestment from a long-term perspective.
○ The Federation appropriately implements risk management ensuring that investment of funds should be made safely andefficiently from a long-term perspective and considering the attributes of a cash balance-type pension plan that
determines the benefit level linked to government bond yields, etc.

Implementation policy for risk management concerning investment of the fund (extract)
1. Basic approach concerning risk management
The National Federation of Mutual Aid Associations for Municipal Personnel appropriately conducts risk management related to theinvestment of funds in light of the following matters.
(1) Investment of funds should be made safely and efficiently from a long-term perspective.
(2) A benchmark portfolio should be developed and investment of funds should be made based on the benchmark portfolio throughappropriate diversification across multiple asset classes with different risk/return profiles and other characteristics (hereinafter referred
to as "diversified investment") in principle.
3． Method of risk management(2) Matters unique to each reserve fund(iii) Annuity Retirement Benefit Association Reserve Fund
A. Risk management shall be appropriately implemented in consideration of the characteristics of a cash-balance pension plan whose
benefit level is linked to government bond yields or other benchmarks.

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

3 Risk management(2) Risk management efforts○ Management of the deviation of the asset mix• Investment based on the benchmark portfolio requires the management of various risk factors. Therefore, in order tosecure returns in line with the benchmark portfolio from the long-term perspective, it is important, in particular, to manage
the degree of deviation of the asset mix ratio of the fund from that of the benchmark portfolio.
• Specifically, for its asset as a whole, the Federation keeps track of and manages the status of the deviation of the fundfrom the benchmark in terms of the asset mix.
○ Management of asset administration institutions
The Federation requires asset administration institutions to fulfill the fiduciary responsibilities and develop systems toensure compliance with laws, and appropriately manages them by keeping track of their status of asset administration.
○ Reporting on the status of risk management and improvement measures implemented
The status of risk management and improvement measures implemented are reported to the General Assembly and theFund Management Committee.

12Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

3 Risk management(3) Status of risk management○ Domestic bonds
1. Change in duration
Duration, which represents the sensitivity of how much bond prices will change in response to a certain change in interest
rates, is an indicator of market risk related to bond investment.
The duration of domestic bonds was from 10.79 to 11.38.

2. Status of holding of domestic bonds○ Status of holding of bonds by credit rating
While the Federation makes it a principle to limit its bond investments to bonds with a credit rating of A or higher, it did not
hold bonds with a credit rating of BBB or lower in FY2022.
(Note)

This policy applies to bonds other than government bonds, municipal bonds, and bonds issued by corporations under special laws (limited to those with agovernment guarantee).

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

Section 2 Businesses and Fund Investment of the Federation

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

1 Organizational structure

Organizational structure (1)1. Organization
As of April 1, 2023, it is required that the Federation has executives consisting of one President, 13 Managing Directors and three
Auditors, including one full-time Managing Director and one full-time Auditor with academic knowledge. The maximum number of
employees is 126.
The organization consists of the General Affairs Department (General Affairs Division, Planning Division, Insurance Division andWelfare Division), the Finance Department (Accounting Division, Investment Planning Division, In-house Investment Division, FundManagement Division and Alternative Fund Management Division), the Pension Department (Pension Planning Division, Pension
Information System Division, Pension Inspection Division, Pension Benefit Division and Retirement Pension Benefit Division), as wellas the IT and Information Security Office, Investment Risk Management Office and Audit Office.
2. General Assembly
The General Assembly consists of 61 members, 47 of which are elected by mutual vote of the Presidents of associations which are
the members of the Federation (hereinafter the "Member Associations"). Among the members of the General Assembly, 14 are electedby mutual vote of the Executive Directors of the Member Associations.
Revision of the articles of incorporation, the formulation and revision of the rules of operations, annual business plans, budgets andaccount settlement, disposal of important assets and assumption of significant debt are subject to resolution of the General Assembly.
3. Fund Management Committee
This is a committee consisting of members who possess academic knowledge or practical experience in areas such as the pension
system, economics, finance and fund management, which studies expert matters pertaining to the establishment and revision of basic
policies and the administration and investment of the Employees' Pension Insurance Benefit Association Reserve Fund, Annuity
Retirement Benefit Association Reserve Fund and Transitional Long-term Benefit Association Reserve Fund (hereinafter the "Funds").
4. Long-term Benefit Fund Committee
This is a committee also participated in by the representatives of Member Associations, which conducts research and study relating tobasic policies for investment of Funds and other important matters.
5. Operational Management Committee
This is a committee also participated in by the representatives of Member Associations, which conducts research and monitoring ofbusiness administration and fund management implemented by the Federation and the Member Associations, as well as assessment ofbusiness.

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

1 Organizational structure

Organizational structure (2)6. Fund Investment Review Council
This is a council for ensuring the safe and effective investment of surplus from business operation of each of theaccountings of the Federation, discussing decision-makings as to the investment of funds. This council is constituted by afull-time managing director (hereinafter a "Senior Managing Director"), the Secretary-General, the General Manager ofFinance Department, the Chief Investment Specialist, the Senior Investment Specialist, the Manager of Investment
Planning Division, the Manager of In-house Investment Division, the Manager of Fund Management Division, the Manager
of Alternative Fund Management Division, the Manager of Investment Risk Management Office, and other members as
may be deemed necessary. In principle, the council regularly meets once a month, and from time to time depending on thenecessity.
7. Investment Risk Management Committee
This is a committee to conduct activities such as verification, reporting and discussion so as to ensure appropriate risk
management related to fund investment. This committee is constituted by the Senior Managing Director, the SecretaryGeneral, the Manager of Investment Risk Management Office, the General Manager of Finance Department and othermembers as may be deemed necessary. In principle, the council regularly meets once a month, and from time to timedepending on the necessity.

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

1 Organizational structure

Organizational structure (3)8. Organizational structure of Federation

As of April 1, 2023

Report of status of investment,risk management, etc.

Fund Management
Committee(Discussion by financial experts)
Basic policy, benchmark portfolio,risk management, investment
methods, etc.

GeneralAssembly

Long-term Benefit Fund Committee(Discussion by representatives of Member Associations, etc.)

Operational Management Committee(Monitoring by certified public accountants, etc.)

Use of expert
knowledge

Recommendation

President

Auditor
Audits of businesses

Managing
Director

Fund Investment Review Council(Check and discussion by executives
and employees [monthly])
Status of investment, etc.

SecretaryGeneral

Investment Risk
Management Committee

Cooperation(Check and discussion by executives
and employees [monthly])
Risk management, etc.

Audit Office
Investment Risk
Management Office

General Manager ofFinance Department
Chief Investment Specialist

Risk management

Senior Investment Specialist
Investment Planning
Division
Basic policy, funding plan, benchmark portfolio

In-house Investment
Division

Fund Management
Division

Alternative FundManagement Division

In-house investment

Entrusted investment concerning
bonds and equities

Entrusted investment concerning
alternative assets

17Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

2 Fund Management Committee

Fund Management Committee (1)○ Fund Management Committee
A Fund Management Committee is established within the Federation. The Committee shall comprise of members who possess
academic knowledge or practical experience in areas such as the pension system, economics, finance and fund management.
Members are appointed by the President.
As an advisory body for the President, the Fund Management Committee has a duty to conduct research on basic issues relating tofund management, discuss matters necessary for the achievement of the purpose to contribute to the safe and efficient fundmanagement, and to report the findings to the President. The Committee is also to give advice to the President for any otherimportant matters relating to the fund management.
For expert matters relating to the management and investment of Funds, including the adoption and amendment of basic policies forthe management and investment of Funds including benchmark portfolio, deliberation at the Fund Management Committee is required.
List of Fund Management Committee Members (As of April 2023)

Chairperson

Ohno Sanae

Vice President, Musashi University

Kato Yasuyuki

Professor, Business School, Kyoto University of Advanced Science
Adjunct Professor, Kyoto University
Specially Appointed Professor, Tokyo Metropolitan University

Takehara Hitoshi

Professor, Waseda Business School (Graduate School of Business andFinance)

Tokushima Katsuyuki

Toshino Masashi
Miwa Yumiko

NLI Research Institute
Director, Member of the Board, Head of Pension Research, CMA
Financial Research Department
Specially Appointed Professor, Faculty of Business Administration , Seikei
University
Professor, Faculty of Commerce, Meiji University(Note) In Japanese alphabetical order, honorifics omitted.

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

2 Fund Management Committee

Fund Management Committee (2)○ Meetings of the Fund Management Committee (FY2022)
Meeting
numberMeeting date

Main subjects
•
•
•

52nd

June 16, 2022
(Web conference)

•
•
•
•
•

53rd

54th

November 28, 2022
(Web conference)

March 23, 2023

Consultation paper
Subjects to be discussed this year and how to proceed with themExamination of the benchmark portfolio for the Employees' Pension Insurance
Benefit Association Reserve Fund
Examination of the benchmark portfolio for the Transitional Long-term Benefit
Association Reserve Fund
Recommendation paper (draft)
Status of investment of pension funds
Effect of the Russia-Ukraine situation and status of investment, etc.

•
•
•
•

Examination of the benchmark portfolio for the Annuity Retirement Benefit
Association Reserve Fund
Recommendation paper (draft)
Status of investment of pension funds
Status of investment of domestic bonds
Status of investment in alternative assets•••

Investment of pension funds in FY2023
Status of investment of pension funds
Stewardship activities

19Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

3 Basic approach to investment

Basic approach to investment○Basic policy
Funds shall be invested for the purpose of contributing to the stable management of annuity retirement benefit plan
operations in light of the characteristics of a cash balance-type pension program, whose benefit level is linked to thegovernment bond yield or other benchmarks.
In addition, funds shall be managed appropriately by establishing a benchmark portfolio so that investment returns needed
for the fund (i.e. assumed return (meaning the assumed return stipulated in Article 28, Paragraph (5) of the Order for
Enforcement of the Local Public Service Mutual Aid Association Act (Cabinet Order No. 352 of 1962))) will be generated
with the minimum risk.
Basic Policy for Management and Investment of Annuity Retirement Benefit Association Reserve Fund (Extract)
1. Basic Policy
The Federation shall manage the Annuity Retirement Benefit Association Reserve Fund with the objective of contributing to thestability of the annuity retirement benefit plan operations based on the characteristics of a cash-balance pension plan whose
benefit level is linked to government bond yields or other benchmarks, from the long-term perspective in a safe and efficientmanner.
Accordingly, the Federation shall administer and invest the Annuity Retirement Benefit Association Reserve Fund by
establishing an asset mix from the long-term perspective (the "benchmark portfolio").
2. Investment target
The investment of the Annuity Retirement Benefit Association Reserve Fund, which has the characteristics of a cash-balance
pension plan, shall be managed appropriately by establishing the benchmark portfolio so that investment returns needed for thefund (i.e., assumed return (meaning the assumed return stipulated in Article 28, Paragraph (5) of the Order for Enforcement of the
Local Public Service Mutual Aid Association Act (Cabinet Order No. 352 of 1962))) will be generated with the minimum risk.
In doing so, attention shall be paid not to distort price formation in the market and private sector investment activities.

20Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

Section 3 Reference Data

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

1 Changes in the investment results

Changes in the investment return, etc. (since the integration of employee pension plans)
1. Investment return

Realized return
Domestic
bonds
Short-term
assets(Unit: %)FY 2015(second

FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022

0.13

0.39

0.42

0.43

0.50

0.44

0.41

0.42

0.16

0.41

0.43

0.46

0.51

0.44

0.41

0.42

0.02

0.00

0.00

0.00

0.00

(0.00)(0.00)(0.00)FY 2015(second

FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022

8.06

-3.30

1.73

2.60

-0.04

-0.20

-1.04

-2.29

(Reference)

Modified total
return(Unit: %)2. Value of investment income
Realized
incomeDomestic
bonds
Short-term
assets(Unit: JPY100M)

FY 2015(second

FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022

0.27

3.74

8.26

13.00

19.97

22.29

24.83

29.64

0.26

3.74

8.26

12.99

19.97

22.29

24.83

29.64

0.01

0.00

0.00

0.01

0.00

(0.00)(0.00)(0.00)(Reference)

Investment
income(Unit: JPY100M)

FY 2015(second

FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022

16.96-32.39

33.75

77.98

-1.47

-10.07-63.56-161.37(Note 1) The investment return for fiscal year 2015 is the period rate for the second half of fiscal year 2015.
(Note 2) The investment income for fiscal year 2015 is the aggregate amount of investment income for the second half of fiscal year 2015.
(Note 3) The figures for short-term assets after fiscal year 2020 are included in domestic bonds.

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Annuity Retirement Benefit Association Reserve Fund(National Federation of Mutual Aid Associations for Municipal Personnel)

2 Issues held

Issues held
The tables below show the top 10 bond issues held through in-house investment as of the end of March 2023, classified byissuer name. For information concerning bond issues ranked 11th or lower, see the website of the Federation (available inJapanese only).
The status of holding related to issues does not represent the assessment of issuers, etc. by the Federation.
○ Domestic bond (in order of book value balance)No.

Names of issuer

1 Japan Finance Organization for Municipalities
2 Joint LGB
3 Aichi Prefecture
4 Fukuoka Prefecture
5 Saitama Prefecture
6 Chiba Prefecture
7 Kanagawa Prefecture
8 Hiroshima Prefecture
9 Government of Japan
10 Shizuoka Prefecture
Total
58 IssuersBook value balance(Unit: JPY100M)
4,671
489
159
97
95
93
90
81
81
80
7,106

(Note 1) The names of issuers are those assigned by the Federation as of the end of March 2023 using data from the Nomura Research Institute’s T-STAR/GX system, MSCI’s
Barra One, and Bloomberg.
(Note 2) The book value balance is an aggregated figure calculated for each issuer by the Federation based on data registered in T-STAR/GX system of Nomura ResearchInstitute.

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