CFA-特许金融分析师-中文学习精要

1、Pension plan 中文学习精要关键术语defined contribution plan ；defined benefit plan ；projected benefit obligation （ PBO）；accumulated benefit obligation （ABO）；vested benefit obligation （VBO）；service cost；interest cost；discount rate；the rate of compensation increase；Plan assets；actual Return on assets；expected Ret

2、urn on assets；funded status； Net pension asset （liability ）；Reported pension cost （credit） on income statementnon smoothed pension cost （ credit）Intrinsic value methodfair value methodLOS a： Explain the differences in accounting for defined contribution and defined benefit pension plans*In a defined

3、 contribution plan ， the employee makes contributions and the employer may be obligated to make periodic contributions through matching programs The firm makes no promise to the employee regarding the amounts of funds that will accumulate in the plan over time Employees often make their own investme

4、nt decisions in these plans， and therefore， bear the risk that their chosen investment vehicles may not perform well over time*ln a defined contribution plan,雇主定期支付一定的现金至U pension plans 账 户中，由雇员自己做出pension plans的投资计划，因此也由雇员自己承担投资风 险和获得投资收益。*ln a defined benefit plan， the company promises to pay a ce

5、rtain amount at retirement This amount may or may not be related to an employee's salary level*in a defined benefit plan ，雇主承诺在雇员退休时，支付一定的退休金。退 休金金额可能与雇员工资挂钩，可能也无关系。这样，是雇主，而不是雇员，承 担了 pension plans投资的风险与收益,LOS b*The projected benefit obligation （ PBO） is the present value of all future pension pa

6、yments based on expected salary increases over time* PBO 是一个现值，是在雇员退休后一直到其死亡是每年支付的 pension payments 按照一个 discount rate 折现计算得到的，考虑了雇员的工资增长。 discount rate 是精算师确定的，作为未来现金流的折现率。如雇员今年 30 岁，他 的退休时候的 pension payments 可能不是按照他现在的工资 ，而是按照他退休那 一年 60 岁的工资确定的，比如，多工作一年，就在他退休一直到死亡，每年支 付 15的 60 岁时候的年工资。雇员共工作两年， 则退休

7、时候公司每年应支付 2* 15的 60 岁工资，直至 其死亡。雇员共工作 20年，则退休时候公司每年应支付 20* 15的 60岁工资， 直至其死亡。*The accumulated benefit obligation （ABO） is the present value of all future pension payments based on current salary level，s ignoring future increases*ABO与PBO最大区别是PBO考虑了雇员未来工资的增长。而 ABO基于雇 员目前的工资水平。不考虑其以后的工资增长。其余计算两者是相同的The v

8、ested benefit obligation （VBO） is the amount of the ABO to which the employee is entitled based on the company's vesting schedule Most companies require that personnel be employed for a specified period of time before they are entitled to full pension benefits *VBO是按照公司的养老金计划，目前可以享受的那一部分ABO。有的公司

9、对养老金计划有限制，如工作满 15 年，才可全部享受，否则可能只有 70。一般来说，PBO> ABO> VBO*这里关键的是搞清楚 Cost Components两个重要组成部分service cost和 interest costThe service cost is the change in the PBO attributed to employee efforts during the year比如说公司承诺，雇员每多工作一年，其养老金每年可增加其 60 岁那一年 工资的 15。设其 60岁是年工资为 30000，其在 60 岁退休，活到 80 岁。设 discount

10、rate是5%,贝U 2005的service cost是其退休后20年每年因为在2005 年工作了而多领取的30000X1 5% = 450的按5%折现的现值。设雇员2005年 30 岁，这里折现要两次，第一次要将 20 个 450 折现到 60岁时，再将其折现到 30岁时候。所以service cost对应的时间期限一般是一年，而PBO对应的是雇员 工作年限这一段时间所享受的养老金。* The interest cost is the increase in the PBO due to the passage of time Even if no additional benefits

11、are earned in a given yea，r the PBO will rise due to the time value of moneyinterest cost是PBO随时间的流逝而产生的利息。interest cost= beginning PBOX discount rate*下面这张表讲了如何将 PBO at the beginning of the year调整到PBO at the end of the yearPBO at the beginning of the yearCost Components Service cost Interest costActu

12、arial gains and lossesPrior service cost from plan amendmentsOther FactorsEffects of foreign currency exchange rate changesEffects of business combinations and divestituresCurtailments， settlements， and special termination benefitsCash Flows Contributions by plan participants that increase plan bene

13、fitsBenefits paid=PBO at the end of the year*其中 Actuarial gainsand losses是由于计算 PBO的 Actuarial assumption 的改 变而发生的。*Contributions by plan participants that increase plan benefits 是 plan participa nts自己支付的那一部分，这部分增加了PBQ Ben efits paid是当年实际支付给 plan participants 的那一部分，减少了 PBO。*对于PBO,重要的部分可记忆为三来源(Service

14、 cos，Interest cost，Con tributi ons by pla n participa nts that in crease pla n ben efits), 去向(Ben efits paid)。*PBO也是 pension plan 的实际的负债，与 plan assets的两个 return( actual Return on assets expected Return on assets 无关，而与 discount rate 和 the rate of compensation increase 有关 。 the rate of compensation in

15、crease 是养老 金精算 师对雇员未来薪金增长的估计，因为PBO计算是考虑到的未来薪金的增长。如雇员 30 岁时薪金 20000、年，设其 rate of compensation increase 为年 2，则其 60 岁是薪金为 20000x( 1 + 0. 02) 30。可见，discount rate 越大，Service cost 越小，而Interest cost越大，但一般来说对Service cost的影响是主要的，即discount rate 越大，PBO 越大。rate Of compe nsati on in crease 越大，PBO 越大。disco unt ra

16、te 对 ABO VBO 的 影响与对 PBO 一样。the rate of compe nsation in crease 对 ABO， VBO无 影响。因为ABO VBO不考虑工资的增长。LOS d： Identify the factors that affect a plan's assets，and discuss how thefunded status of a plan is determined.* 下面这张表讲了如何将 Plan assets opening balancei调节到 Plan assets closing balanca 这里 Plan assets

17、指的是 pension plan 资产的 fair market value of pension plan,是其实际的市场价值，Plan assets与PBO是对应的，一个是资产， 一个是负债，都是实际的。Plan assets opening balance Employer contributions Plan participant contributions Return on assetsExpensesEffects of foreign currency exchange rate changesEffects of business combinations and dive

18、stituresSettlementsBenefits paid= Pla n assets clos ing bala nee* 这里 Contributions are the payments made by the company or the participants into the pension aeeount即由公司与雇员向养老金账户中的支付 ，增加了 pension plan 资产*plan's assets的 return 有两个，一个是实际的 actual Return on assets 另夕卜 一个是 expected Return on assets 要注

19、意这两者的区别。 actual Return on assets 是实际的，即pension plan资产实际产生的收益，而 expected Return on assets是 估计的产生的收益，expected Retur n on assets是人为的估计的。目的后面会看到，是为了减少收益表上 reported pension cost 的波动。即希望 reported pension cost 不要由于 actual Return on assets 的波动而跟着波动。*前面已经指出了 Plan assets是 pension plan的实际的资产价值，因此，这 里用的是 actual

20、 Return on assets而不是 expected Return on assets这一点重要。*Expe nses是支付给养老金投资管理公司的费用，减少了 Plan assetsThe benefits paid to participants that reduce the PBO are paid out of plan asset，s reducing the balancet )benefits paid to participants 是实际支付给退休者的，减 少的 Plan assets。Plan assets主要记住三来源(两 contributions, return

21、 )，两去向(Expenses Ben efits paid)。注意 Ben efits paid 在 PBO 和 Pla n assets均 出现的。*funded status是个重要的概念，定义是Plan assets减去PBO因为Plan assets 和 PBO是真实的资产与负债，因此 funded status 是 the true economic position of the plan。The funded status of the plan is the difference between the assets (the fair value of the plan a

22、ssets) and the liability (the PBO)t_fun ded status Pla n assets- PBOThe funded status of the plan is the true economic position of the plan. 注意 true economic position of the plan .这几个词语，后面还有 accounting position of the plan 这个词语。funded status of the plan 是 pension plan 的真实的经济状况。LOS：f Compute the liab

23、ility (or asset)to be reported on a company's balance sheet based upon pension and other postretirement benefit disclosures under US Generally Accepted Accounting Principles(US GAAP)*funded status of the plan 是 pension plan 的真实的经济状况的，但不出现在 资产负债表上，出现在资产负债表上的是Net pension asset (liability )。计算 Net

24、pension asset (liability) 是 从 Funded status出发至U Net pension asset ( liability )，由下表给出。这张表相当难理解，取巧的方法是记忆从Funded status开始， 加cost( losses)，减gains( assets，而不必去理解其道理。要理解的话，也可 以。PBO 是实际的负债， Un recog ni zed actuarial losses or Un recog ni zed actuarial gains 都已经包括在 PBO中了，这样，funded status of the plan也包括了 Un

25、 recog ni zed actuarial losses or Un recog ni zed actuarial gains 而 Net pension asset (liability)不包括 Un recog ni zed actuarial losses or Un recog ni zed actuarial gains Unrecognized actuarial losses or Unrecognized actuarial gains is not recognized， but deferred and amortized over time as an in crea

26、se in pension expe nse 这样，原 来 Un recog ni zed actuarial losses在 fun ded status of the pla n 是减掉的，现在再把 它加上去。Fun ded status = fair value of pla n assets PBO*Funded status Unrecognized actuarial losses or Unrecognized actuarial gains Unrecognized prior service cost Unrecognized prior transition obligat

27、ion or Unrecognized prior transition asset Amortization of actuarial gains or losses and plan amendments= Net pension asset (liability)*Net pension asset (liability) 是 accounting position of the plan，出现在资 产负债表上的，而 Funded status出现在foot note中。*这里应注意Funded status和Net pension asset (liability )是如何联系起来 的

28、(力卩 cost (losses，减 gains (asset®)Net pension asset 对于公司来说 ，是 asset 出现在 balance sheet 的右边， Net pension liability 是负债，出现在 balance sheet 的左边。*财务分析的时候，应将资产负债表上的 Net pension asset (liability)调整 成 Funded status,因为 funded status of the plan 是 pension plan 的真实的经济状 况，而 Net pension asset (liability) 是 ac

29、counting position of the plan。调整的方 法举例如下，设 Net pension asset为100，而Funded status是50。则调整是将 balanee sheet 右边 Net pension asset 100 去掉， balanee sheet左边 liability 力卩50， equity 减去 150。 第二例，设 Net pension liability 为 80 ，而 Funded status 是 50。则调整是将 balance sheet 左边 Net pension liability 去掉 30， equity 加上 30 即

30、可。注意调整的对应项是 equityLOS g： Calculate the pension or other postretirement benefit expense ( income) to be reported on a company's income statement based upon footnote and other disclosures under U S GAAP*这里讲了在 in come stateme nt上，如何反映当年的 pension expe nse 注意， 在in come stateme nt反映的不是当年的实际的 pension e

31、xpe nse 而是为了减少 pension expe nse的年与年之间的波动，采用了smoothed pension expe nse, 如同Net pension asset (liability )在 balance sheet 上差不多。Reported pension expense is calculated as follow：sActual EventsService cost Interest costSmoothed EventsExpected return on plan assetsAmortization of gains and losses Amortizat

32、ion of prior service costsAmortization of transition asset or liabilityOther EventsCurtailments，settlements， and termination benefits= Reported pension cost (credit) on in come stateme nt* 这里，重要的是三项， Service cos，t Interest cost 增加了 pension expense， 而 Expected return on plan assets减少了 pension expense

33、 因为这是当年的估计的 收益。注意，是 Expected return on plan asset，s 而不是 actual return on plan assets 因此， Reported pension cost( credit) on income statement 是 accounting pension expense of the plan, 不是当年实际的 pension expense Amortization of gains and losses Amortization of prior service costs要满足 corridor method 才会出现。*

34、 当年实际发生的 pension expense叫 non smoothed pension cost (credit), 不出现在 income statement 上，但可以自己计算得出。计算方法如下Service cost Interest costactuarial lossesplan amendmentsactual return on plan assets= non smoothed pension cost (credit)*这里，关键的是三项。Service cost 和 Interest cost 与计算 Reported pension cost (credit) on

35、 in come stateme nt 是一样的，而关键的这里用的是 actual return on plan assets 而不是 expected return on plan assets 因此 non smoothed pension cost （credit）是实际发生的 pension expensaSummary of effect of changes in pension plan assumptions*plan assumptions 包括三个，即 discount rate ，the rate of compensation increase，expected ret

36、urn on plan assets*plan assets不受这三个假设的影响。*PBO 受 disco unt rate ，the rate of compe nsati on in crease 的影响。Higher disco unt rate ，lower rate of compe nsati on in crease 减少 PBQ*Reported pension cost （ credit） on in come stateme nt 受这三个假设影响。 Higher discount rate ， lower rate of compensation increase， higher expected return on plan assets 均会减少 Reported pension cost（ credit） on income statemen（t 这 个要理解 Reported pension cost （ credit） on in come stateme nt 的计算过程，就 知道了是否有影响以及影响的方向了）*Funded status要把三个assumptions对plan assets和PBO的影响结合起来 考虑，幸运的是plan assets不受这三个假设的影响，只要考虑 PBO受dis