By: Kendra Kaake, Senior Investment Strategist, ASA, ACIA, FRM
MARCH, 2013
Evaluating the Selection Process for Determining
the Going Concern Discount Rate
The Going Concern Issue
The going concern valuation is meant to be an aid in the budgeting process toward full
funding and, in most cases, works alongside the solvency valuation to promote the long term
viability of the plan. The Standards of Practice that guide plan sponsors through the process
of choosing the going concern discount rate for actuarial valuations are not highly restrictive
and have historically resulted in a broad range of assumptions among pension plan
sponsors. So, how does the selection of the going concern discount rate influence the
funding process and what effect should it have on the investment decision?
A Different Perspective
The going concern discount rate, although an important element of the funding decision, is
not something that should have any effect on the investment decision. After all, it’s just an
assumption, whose primary use is to control the strength/weakness of the funding regime. It
influences how a plan sponsor manages two tradeoffs: the tradeoff between pay now or pay
later, and the tradeoff between low cost and stable cost.
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p1
Background
Financial economists and actuaries have been debating best practice for valuing pension
liabilities for decades. Financial economists have historically argued that liabilities should be
discounted using current market yields and that those yields should reflect the high credit
quality of entitlements being promised and the duration of projected plan cash flows.
Actuaries have supported that view with the caveat that an actuary should be afforded the
flexibility to apply judgment on the basis of each particular situation. In addition, some
actuaries have argued that, over the long term, the discount rate used to value liabilities for
budgeting purposes should be consistent with the long term return expectation of the plan’s
asset portfolio. My colleague Bob Collie points out that “nothing is certain in life, and the
provision of retirement income – played out as it is over decades – is an especially uncertain
game”.1 Further, he outlines three aspects of uncertainty:
1. Funding. How much money is set aside today?
2. Investment. How much risk is being taken in the investment of those assets?
The investment
risk taken on
should evolve as
a balanced
tradeoff between
the upside return
potential and the
downside risk of
increased
contributions
3. Backstop. What happens in the case of a shortfall
The key takeaways from his paper were (1) that those three aspects are inter-dependent
and (2) that the backstop role is an intrinsic component of security, all the more so when
funding is weak, and/or investment is aggressive.
For some plans, Canadian regulators have prudently adopted a balanced solution, ensuring
that plans are funded on a going concern basis (the projected value of future benefits
discounted relative to the expected return on plan assets) and on a solvency basis (the
market value of existing accrued entitlements). As a natural extension, the investment risk
assumed should then evolve, in concert with each particular plan’s governance process, as
a balanced tradeoff between the upside return potential and the downside risk of increased
contributions. The key advantage of having both requirements is that the flexibility of the
going concern approach is not allowed to go so far as to leave a consistent shortfall on a
solvency basis.
1
Bob Collie. 2012. ―A perspective on retirement security: Who stands behind America‘s pensions?‖ Russell Research
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p2
Other plans (such as public, multi-employer and target date) are not required to fund on a
solvency basis. In those cases, the going concern discount rate becomes the key
assumption in the funding exercise.2 In these cases, ignoring the solvency position neglects
an essential aspect of uncertainty, and hence, increases the likelihood that a backstop may
be required.
Going Concern Discount Rate
The liability discount rate is based on the long term expected return on portfolio assets. It is
determined by the plan actuary3, to some extent discretionary, and typically calculated using
a building block approach composed of component factors such as inflation and expected
real returns for each broad asset class. The regulations also allow for a risk adjustment
range in this calculation to account for a variety of uncertainties.
The discount rate decision is meant to represent a best-estimate assumption and be a
reflection of the long-term expected return on portfolio assets. The actuarial professions role
is to provide guidance to the process of selecting assumptions for funding valuations.4 In
Intended as a
budgeting tool,
the rate is a
reflection of the
long-term
expected return
on portfolio
assets
cases where minimum statutory contributions are not affected by a solvency valuation, the
Canadian Institute of Actuaries (CIA) recommends that the process for determining the
going concern discount rate begin with the selection of a best estimate assumption and
further introduce a plan specific margin of adverse deviation for conservatism, or a Provision
for Adverse Deviation (PfAD).5
―In general, the pension liability will change over time as a result of benefit accruals and improvements, actual versus
expected plan experience, plan closure or freezing, changes in plan demographics and regulations. However, the pension
liability will be the most sensitive to changes in the liability discount rate and inflation‖ Source: ―Asset Allocation and Risk
Management for Defined Benefit Pension Plans: A Canadian Perspective‖ Kaake, K. 2012.
3
Actuarial Standards of Practice (ASOP) #27 - Selection of Economic Assumptions for Measuring Pension Obligations: ‗BestEstimate Range - For each economic assumption, the narrowest range within which the actuary reasonably anticipates that the
actual results, compounded over the measurement period, are more likely than not to fall.‘
4
ASOP 27 ‗General Selection Process—The general process for selecting economic assumptions for a specific measurement
should include the following steps: a. identify components, if any, of each assumption and evaluate relevant data; b. develop a
best-estimate range for each economic assumption required for the measurement, reflecting appropriate measurement-specific
factors; and c. further evaluate measurement-specific factors and select a specific point within the best-estimate range. With
respect to some (or all) of the components of an economic assumption, the actuary is not required to identify the explicit bestestimate range before selecting the specific point, provided that the actuary is satisfied that the selected point would be within
the best-estimate range had such range been explicitly identified. After completing steps (a) through (c) for each economic
assumption, the actuary should review the set of economic assumptions for consistency.‘
2
“Provision for Adverse Deviation (PfAD) that is appropriate for the plan‘s risks and consistent with Plan‘s the risk
management process. A margin of 50 basis points is common and may result in a PfAD of 8% of plan liability for a fully
funded plan with a typical maturity profile.‖ Canadian Institute of Actuaries, Task Force on the Determination of Provisions for
Adverse Deviations in going Concern Valuations. January 2013. ―Provisions for Adverse Deviations in going Concern
Actuarial Valuations of Defined Benefit Pension Plans‖
5
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p3
Budgeting versus Pricing
Although most pension plans in Canada have the obligation to fund benefits on both a
solvency and a going concern basis (which improves the stability and consistency of
contributions), many plans rely on the going concern assumptions to determine the pricing of
future benefit accruals. A return assumption that is higher (lower) than the achievable return
associated with the asset allocation decision may lead to an under (over) pricing of future
benefit entitlements.
Moreover, for plans that have altered the level of risk exposure within their portfolio (typically
when the funded status diverges from a desired range), the pricing of future benefits often
diverges from the desired long-term risk-return profile for the plan. When a plan falls below
an acceptable funded level and does not have the desire or the ability to fund through
contributions alone, the plan sponsor may choose to increase their exposure to risk (and
hence their return assumption) in an effort to improve the funded position. Without a
corresponding increase in the PfAD, the impact of a higher portfolio risk profile with its
associated higher return assumption is two-fold:
1. A decrease in the incremental price of benefits going forward.
2. An immediate improvement in the going concern funded status of the Plan as the
present value of future benefits is decreased.
Note that in both instances, entitlements are discounted with a return assumption, ahead of
the associated risk. To highlight the implications of this, consider an organization with the
A risky investment
strategy can make
a given benefit
promise ‘appear’
less expensive
following two Plans (A and B):
Plan Comparison
Plan A
Plan B
Payment due in 30 years
$250,000
$250,000
Stocks
$15,000
$15,000
Bonds
$15,000
Total
$30,000
$15,000
Expected Return
6%
8%
Expected Liability
$43,528
$24,844
Unfunded Liability
$13,528
$9,844
Current
Investments
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p4
While both plans have a $250,000 payment due in 30 years, Plan A has $30,000 and is
allocated equally into stocks and bonds, for an expected return of 6%. However, Plan B
invests only $15,000 exclusively in stocks expected to earn 8%. Ironically, the expected and
unfunded liabilities for Plan A (at $43,528 and $13,528 respectively) end up being larger
than that of Plan B (at $24,844 and $9,844 respectively). That is to say, a risky investment
strategy can make a given benefit promise appear less expensive, which comes perilously
close to assuming that a dollar invested in equity is worth more than a dollar invested in
fixed income. This can lead to significant intergenerational inequity among participants over
the life of a plan.
To help resolve the issues associated with relying on the going concern discount rate to
price benefits, a more appropriate solution to pricing might be to use a conservative return
expectation. This expectation would be consistent with the long-term level of risk exposure
appropriate for the Plan, in a fully funded position. Given that individual plan dynamics may
vary significantly from plan to plan, regular asset-liability studies should be employed as an
aid in this process.6
Similar intergenerational inequity can also evolve when management adopts a short-term
focus in a manner inconsistent with the long-term nature of the assumptions and/or the
asset allocation decision.7 Of course, although the potential for concern is much more
pronounced in plans that are not required to fund on a solvency basis8, an unattainable
going concern discount rate assumption will nonetheless distort gains and losses over time.
Therefore, the discount rate choice, if relied upon for budgeting purposes, should be a
It is important
to take care that
the discount
rate choice does
not affect the
investment
decision
reflection of the investment strategy but not the reverse. Put another way, it is important to
take care that the discount rate choice does not affect the investment decision.
Note that the CIA recommends actuaries address the following question when setting the going concern discount rate: ―With
a PfAD of x% in a fully funded plan, what is the probability that the plan will be fully funded at some future date?‖ Canadian
Institute of Actuaries, Task Force on the Determination of Provisions for Adverse Deviations in going Concern Valuations.
January 2013. ―Provisions for Adverse Deviations in going Concern Actuarial Valuations of Defined Benefit Pension Plans‖
6
7
Typical examples would include: granting (removing) benefit entitlements as a direct result of short-term economic gains
(losses); or, setting contribution rates based on the cost of an additional year of benefits and pricing the cost using a discount
rate assumption that does not reflect the long-term risk budget of the plan; or even if the assumption turns out – as it inevitably
will – to be different from actual experience.
8
Plans such as public, multi-employer or target date have the option to fully omit or partially omit (post-retirement cost of
living adjustments, for example) entitlements from the Solvency valuation process. Single employer corporate plans are
typically required to fully fund on a Solvency basis.
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p5
Observed Asset Returns
To help us understand the limitations inherent in choosing a single best estimate discount
rate assumption to value and price the liability it is important to assess the distribution of
observed returns and volatility.
The actual observed return distribution is commonly different from the theoretical normal
distribution. Observed returns typically have fat tails (extreme events occur more often) and
skewness (the distribution has one tail that is longer than the other). In addition, the
variance of returns is characterized by variability over time, mean reversion and clustering.
Forecasted Asset Returns
Ultimately, the best estimate return assumption should be set so that there is an equal
likelihood of the actual value being greater or less than the expected value. To isolate the
practical implications of the best estimate assumption, we’ve utilized Russell’s capital market
assumptions as an aid in exploring the impact of market risk, active risk and diversification
on the long term funding viability of a typical Canadian pension plan. To this end, we’ve
looked at distributions of forecasted outcomes.
Static return assumptions are not consistent with either financial theory or capital market
history. Moreover, to help us understand why the average return expectation might not
Ultimately, there
should be an equal
likelihood of the
actual value being
greater or less
than the expected
value
reflect economic reality, we’ve generated a range of forecasted returns, using Russell
Capital Market assumptions. Exhibit 3 shows the evolution of cumulative annualized returns
over a 20-year horizon. For this traditional portfolio (60% equity / 40% bonds), we’ve
forecasted the distribution of possible outcomes across a variety of horizons. In each year
the results are ranked from worst to best case outcomes to produce a range of financial
outcomes (uncertainty), worst case outcomes (downside risk) and expected or average
outcomes (trends).
Interestingly, over the mid and long term, average return expectations are greater than
median return expectations. For example, our simulated outcomes produced an average
annualized return of 5.7%; however, if we rank the simulations and choose the median path
(the 2,500th path in a simulated set of 5,000) we find that the cumulative annualized return
is only 5.2%. This spread between average and median is a reflection of the distribution of
asset returns across time, where skewness, fat tails and volatility play an important role in
forecasting future outcomes.
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p6
Note that by increasing (decreasing) the allocation to return seeking assets we would see an
increase (decrease) the dispersion of results which, by and large, would result in an
increased (decreased) exposure to economic downside risk.
Exhibit 3: Evolution of cumulative annualized returns over a 20-year horizon for a passively managed
9
portfolio.
25%
Passive Portfolio
20%
Total Return
15%
10%
5%
0%
-5%
-10%
-15%
95%
1-year
19.0%
3-year
13.0%
5-year
11.2%
10-year
9.8%
20-year
8.9%
75%
10.3%
7.6%
7.1%
6.8%
6.7%
50%
4.2%
4.0%
4.1%
4.7%
5.2%
25%
-2.1%
0.0%
1.0%
2.5%
3.6%
5%
-12.6%
-6.3%
-3.8%
-0.7%
1.3%
3.9%
4.1%
4.4%
5.1%
5.7%
Average Return
Importantly, Russell’s current assumptions result in both the average and the median
cumulative annualized returns being comparatively less than the typical discount rate
assumption for going concern valuations in Canada.
Additional concerns arise when we take this analysis further to look at the probability of
exceeding the cumulative going concern return (Exhibit 4). When comparing forecasted
results to a static annual going concern discount rate of 6.25%, the probability of exceeding
our estimate for a passively managed portfolio (60% equity / 40% bonds) is less than 35%
over the long term.
9
Russell strategic planning assumptions at December 31, 2012. Model contains 30% Canadian Equity, 30% Global Equity and
40% DEX Universe Bonds. Forecast produces 5,000 20-year paths of portfolio returns and interest rates Assets are calculated
along each path. Model assumes annual rebalancing. The model portfolio does not represent an actual portfolio and is shown
for illustrative purposes only. Refer to Exhibit 7 for a more detailed summary of the 20-year distribution statistics.
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p7
Exhibit 4: Probability of exceeding the typical long-term going concern return expectation.
Going Concern Discount Rate
Cumulative Going Concern Return
Number of forecasted paths with returns
exceeding the Going Concern discount rate
Probability of exceeding the Cumulative Going
Concern Discount Rate
1-Yr
6.25%
106%
3-Yr
6.25%
120%
5-Yr
6.25%
135%
10-Yr
6.25%
183%
20-Yr
6.25%
336%
2,064
1,715
1,556
1,530
1,617
41%
34%
31%
31%
32%
Active Management
When making forecasting adjustments to reflect assumptions for active management, the
picture becomes more positive.10 Our simulated outcomes produce an average return of
6.8% and, for the median path, a return of 6.3% at a 20-year horizon. As a caveat, this
invariably assumes that the plan sponsor can implement an effective active management
program to contribute positive excess returns.
Exhibit 5: Evolution of cumulative annualized returns over a 20-year horizon for an actively managed
11
portfolio.
25%
Active Portfolio
20%
15%
Total Return
10%
5%
0%
-5%
-10%
-15%
1-year
3-year
5-year
10-year
20-year
95%
20.5%
14.2%
12.4%
10.9%
10.1%
75%
11.5%
8.9%
8.2%
7.9%
7.8%
50%
5.3%
5.1%
5.2%
5.7%
6.3%
25%
-1.1%
1.0%
2.0%
3.5%
4.6%
5%
-12.0%
-5.3%
-2.8%
0.4%
2.4%
5.0%
5.2%
5.4%
6.1%
6.8%
Average Return
10
Russell offer rigorous, robust, logically consistent alpha forecasts for all asset classes that have monthly pricing and returns
data. These forecasts allow us to make more accurate and appropriate recommendations to clients and products for clients and
are consistent with Russell‘s mission of ―Improving Financial Security for People‖. A fundamental starting point for
forecasting alpha is a method for explicitly assuming a modest and reasonable level of manager selection skill.
11
Russell strategic planning assumptions at December 31, 2012. Model portfolio contains 30% Canadian Equity, 30% Global
Equity and 40% DEX Universe Bonds. Forecast produces 5,000 20-year paths of portfolio returns and interest rates Assets are
calculated along each path. Model assumes annual rebalancing. Forecast assumes Alpha of 1.1% and Tracking Error of 1.6%
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p8
Notwithstanding, when comparing forecasted results under this paradigm we do see an
improved probability of exceeding the cumulative going concern 6.25% return assumption,
to as much as 50% at the long end of our 20-year horizon (exhibit 6).
Exhibit 6: Probability of exceeding the typical long-term going concern return expectation.
Going Concern Discount Rate
Cumulative Going Concern Return
Number of forecasted paths with returns
exceeding the Going Concern discount rate
Probability of exceeding the Cumulative Going
Concern Discount Rate
1-Yr
6.25%
106%
3-Yr
6.25%
120%
5-Yr
6.25%
135%
10-Yr
6.25%
183%
20-Yr
6.25%
336%
2,268
2,096
2,027
2,218
2,513
45%
42%
41%
44%
50%
Summary
The going concern best estimate assumption is a very important tool in the budgeting
process. Nonetheless, it is a forecast and, by definition, does not come without error.
Extending the use of this assumption beyond the general budgeting exercise can lead to
poor governance, the under-pricing of future benefit entitlements and intergenerational
inequity, especially in cases where the PfAD fails to reflect an adequate level of
conservatism. Moreover, the going concern discount rate should not have any influence on
the investment decision. The real world peculiarities in the distribution of observed returns,
combined with the timing asymmetry of contributions and benefit payments, can have
important implications to the long-term funding viability of the Plan. These considerations,
among others, will not be reflected in a static discount rate assumption.
Plan sponsors should consider relying on a conservative best estimate assumption and
include a plan specific adverse margin for uncertainty to ultimately determine the going
concern discount rate. This is particularly important if the full solvency position is not
included in the funding process. Regular asset-liability studies should also be considered as
an aid in setting an investment allocation strategy, setting risk tolerance budgets and pricing
future benefit entitlements.
on a total portfolio level, net of fees. The model portfolio does not represent an actual portfolio and is shown for illustrative
purposes only. Refer to Exhibit 7 for a more detailed summary of the 20-year distribution statistics.
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p9
REFERENCES
Collie, Bob. 2012. “A perspective on retirement security: Who stands behind America’s
pensions?” Investments and Wealth Monitor by Investment Management Consultants
Association (IMCA), 35-40
Actuarial Standards Board. 2007. “Actuarial Standard of Practice No. 27” Selection of
Economic Assumptions for Measuring Pension Obligations
Canadian Institute of Actuaries, Task Force on the Determination of Provisions for Adverse
Deviations in going concern Valuations. 2013. “Provisions for Adverse Deviations in
going concern Actuarial Valuations of Defined Benefit Pension Plans”
Collie, Bob. 2009. “Corporate bonuses and the error of EROA” Russell Research
Appendix
Our research has found that forecasts based on the sample statistics of historical return data
are not the strongest indicators of future market outcomes. These forecasts fail to
incorporate any of the lessons from academic research on asset class behavior. Russell’s
approach to setting risk/return assumptions is based on a combination of financial theory
and capital market history.
Russell’s capital market forecasts are revised every quarter or more frequently if market
circumstances change materially. Our forecasting process is designed to project market
outcomes over strategic planning horizons and is constructed by identifying and estimating
structural relationships among market elements. Projections of financial outcomes are then
combined with investor risk preferences in the development of asset allocation and liability
management strategies.
The forecasting system is structured around a core set of macro-economic variables.
The following are the distinctive features of our forecast model:

Inputs that are forward-looking, yet consistent with history (we consider historical
means as good reflections of history but poor predictors of future returns)

Inputs that dynamically adjust by time-period (static inputs are not consistent with
either financial theory or capital market history)

Relationships between asset classes that are modeled directly and consistently
across each scenario, rather than indirectly through correlations alone.
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p 10
Exhibit 7: Detailed Summary of Distribution Statistics (20-year)12
Passive Portfolio
RETURN SUMMARY STATISTICS
Number of Periods
98th Percentile Return
2nd Percentile Return
Average Return
Annualized Return
Cumulative Return
Excess Return Over Risk-Free
Average Excess Return Over Risk-Free
Excess Return Over Market
Average Excess Return Over Market
RISK SUMMARY STATISTICS
Beta
Beta T-Stat
Upside Beta
Downside Beta
Upside Semi-Variance
Downside Semi-Variance
Upside Semi-Standard Deviation
Downside Semi-Standard Deviation
RISK/RETURN STATISTICS
Annualized Standard Deviation
Variance
Sharpe Ratio
Excess Return Over Market/Risk
Sortino Ratio
CORRELATION STATISTICS
R-Squared
Standard Error
Correlation
12
Average
20
27.0%
-17.4%
5.7%
5.7%
202%
2.6%
2.8%
-2.0%
-2.0%
Average
0.58
0.43
0.58
0.56
1.6%
0.9%
12.6%
8.8%
Average
10.3%
1.1%
0.24
-19.0%
0.39
Average
0.81
0.05
0.90
Active Portfolio
25th
75th
25th
0.53
0.36
0.48
0.44
1.2%
0.4%
11.1%
6.4%
25th
9.0%
4.1%
0.07
75th
0.62
0.50
0.68
0.68
2.0%
1.2%
14.0%
10.8%
75th
11.6%
7.2%
0.40
0.07
25th
0.76
0.04
0.87
0.53
75th
0.87
0.05
0.93
Average
20
28.4%
-16.5%
6.8%
6.8%
270%
3.7%
3.9%
-0.9%
-0.9%
Average
0.58
0.42
0.58
0.56
1.8%
0.9%
13.4%
8.5%
Average
10.5%
1.1%
0.35
-8.6%
0.69
Average
0.79
0.05
0.89
25th
75th
25th
0.53
0.36
0.47
0.44
1.4%
0.4%
11.8%
6.0%
25th
9.1%
5.2%
0.16
75th
0.62
0.49
0.69
0.69
2.2%
1.1%
14.7%
10.7%
75th
11.7%
8.3%
0.51
0.18
25th
0.74
0.04
0.86
0.72
75th
0.86
0.05
0.93
Footnotes for this analysis:
Model contains 30% Canadian Equity, 30% Global Equity and 40% DEX Universe Bonds.
All statistics that show average, 25th and 75th are calculated for all 5,000 paths and the summary statistics show are based
on the statistics calculated individually on the paths. All beta and market relative statistics are versus Global Equity. All
semi-variance and semi-standard deviations statistics are based on the total return of the portfolio in relation to a neutral
return of 0%.
Standard deviation calculations are done by calculating the standard deviation of all 5,000 forecasted paths and showing
the average, 25th percentile and 75th percentile of those potential standard deviations. This is a different measure than
what is analyzed in the placemat and other analysis (where the standard deviation measures the potential dispersion in 10
or 20 years, rather than the volatility of the path) and therefore will not match.
R-Squared is the percentage of the excess return of the portfolio over cash that is explained by the excess return of Global
Equity over cash. The correlation is the correlation of excess return of the portfolio over cash with the excess return of
Global Equity over cash. The standard error is a measure of the excess returns of the portfolio over cash that are not
explained by the excess return of Global Equity over cash. It is calculated as the square root of the average of the squared
errors based on the calculated betas for each path.
Evaluating the Selection Process for Determining the Going Concern Discount Rate
p 11
Important information
Nothing in this publication is intended to constitute legal, tax securities or investment
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publication of Russell Investments Canada Limited and has been prepared solely for
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Forecasting or other forward-looking information is inherently uncertain, maybe
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References to future returns for either asset allocation strategies or asset c lasses are
not promises or even estimates of actual returns a client portfolio may achieve. Asset
classes are broad general categories which may or may not correspond well to
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Russell Investments Canada Limited is a wholly owned subsidi ary of Frank Russell
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Russell Investments Canada Limited.
Date of publication: April 2013
INST-2013-04-11-0165 (EXP-04-14)
Evaluating the Selection Process for Determining the Going Concern Discount Rate
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