WTW-2024年全球固定收益计划会计假设调查（英）-8正式版WN8

2024Globalsurveyof

accountingassumptions

fordefinedbenefitplans

ExecutiveSummary

July2024

Executivesummary

The2024GlobalSurveyofAccounting

AssumptionsforDefinedBenefit

Plansisthe35thannualWTWsurvey

ofassumptionsselectedbymajor

corporationsfortheirdefinedbenefit

(DB)plansaroundtheworld.

Inbroadterms,accountingstandardsaimtoenable

employerstoapproximatethecostofanemployee’s

pensionorotherpostretirementbenefitoverthat

employee’sservicetenure.Anybenefitaccounting

methodthatrecognizesthecostofbenefitsbeforetheir

paymentbecomesduemustbebasedonestimatesor

assumptionsaboutfutureeventsthatwilldeterminethe

amountandtimingofbenefitpayments.

Twokeyeconomicassumptionsinthedetermination

ofbenefitcostsunderanaccountingstandardare

thediscountrateandinflation.UnderASC715,there

isanotherkeyeconomicassumption—theexpected

long-termrateofreturnonplanassets(forfundedplans).

Inmanycountries,fouradditionaleconomicassumptions,

whicharesomewhatlinkedtoinflation,canplayakeyrole:

(1)rateofsalaryincrease;(2)rateofincreaseinpensions,

bothindefermentandinpayment;(3)cashbalance

interestcreditingrate;and(4)rateofincreaseinthe

socialsecurityparametersreflectedinthepensionbenefit

formula.Wediscusstheseinourfullreport.

Althoughthissurveymainlyexploreseconomic

assumptions,wehaveagainshowndataregarding

mortalityassumptions,whicharereceivingcloser

attentionbecauseofincreasinglongevity.

Theobservationsinthisreportreflectdataatornearthe

endof2023.Considerationshouldbegiventomarket

movementssinceDecember31,2023.Asdiscussions

aroundaccountingassumptionsstartforthe2024

year-end,yourWTWconsultantwouldwelcomethe

opportunitytodiscusshowthatvolatilitymighthave

affectedyourplans'liabilitiesandassets.

Keyfindings

Ourfullreport,whichrepresents1,100companieswith

datafrom47countriesandregions,includesthefollowing

keyfindings:

•In2023,therewasaglobaldeclineinbothcorporate

andgovernmentbondyields.Specifically,government

bondyieldsdecreasedin33outofthe42listed

countries.Additionally,halfoftheEurozonecountries

endedtheyearwithareductioningovernmentbond

yieldsexceeding50basispoints.

•As2023unfolded,economicuncertaintiespersisted;

however,themainstockmarketsexhibitedresilience,

maintaininglevelsclosetothoseobservedatthe

endof2022.Somemarketsevenshowedmodest

improvements.Movinginto2024,whilenotfully

recoveringtoprevioushighs,mostmajorindices

demonstratedcautiousoptimisminthefaceofongoing

globaleconomicchallenges.

•Theyear-on-yearchangesofexpectedratesofreturn

assumptionshaveremainedfairlystable,rangingfrom

–28bpsto+58bps.

DiscountratesInflation

Discountratesareusedtocalculatebenefitobligations,

andtheserviceandinterestcostportionoftheemployee

benefitcost.

WhileASC715doesnotexplicitlydefinethequalityofthe

bondyields,mostplansponsorsbasetheirdiscountrate

onAA-ratedbonds.IAS19referstohigh-qualitycorporate

bondyields,whichisgenerallyinterpretedtomean

AA-ratedorbetter.Theprimaryfocusforcorporations

hasbeenplacedonlong-term,high-qualitycorporate

bondsofappropriatedurationconsistentwiththe

benefitobligation.

Wherethereisnodeepmarketincorporatebonds,

itiscustomaryforASC715discountratestobebased

ongovernmentbondsbutadjustedbysomelevelof

riskpremiumtoapproximatecorporatebondyields.

Bycontrast,IAS19requirestheuseofgovernment

bondswithnoadditionalriskpremiuminsuchsituations;

therefore,wepresentdiscountratesforbothaccounting

standardsseparately.

Theassumptionforlong-termpriceinflationinfluences

othereconomicassumptionssuchas:

•Rateofsalaryincrease

•Rateofincreaseinpensions,bothindefermentand

inpayment

•Rateofincreaseinthesocialsecurityparameters

reflectedinthepensionbenefitformula

•Cashbalanceinterestcreditingrateforsomeplans

Figure2showstheaverageinflationassumptionforthe

2024and2023expense.Forsomedevelopingcountries,

inflationhashistoricallybeenveryvolatile,whichhas

ledsomecompaniestoselectassumptionsonareal

basis(i.e.,netofinflation).Contrarytotheprevious

year,inflationrateshavebeenoveralldiminishedinline

withmonetarypoliciesadjustments,exceptinJapan

andSwitzerland.IntheU.K.andEurozonecountries,

inflationcurvesareoftenusedtoderiveaplan’s

inflationassumption.

Figure1showstheaveragediscountratesforbenefit

obligationsattheendof2023and2022,usingASC715

andIAS19.Thesetablesincludevaluesforcompanieswith

December31balancesheetdatesonly.Oursurveyresults

formajoreconomiesrevealareversalinthe2023discount

rateupward-trend,withtheexceptionofJapan.

Forcountrieswithadeepmarketincorporatebonds,

ithasbecomeincreasinglycommontomatchexpected

cashflowsfromtheplaneithertoaportfolioofbonds

thatgeneratessufficientcashflowsortoanotional

yieldcurvegeneratedfromavailablebondinformation.

ThisisacommonapproachinCanada,theEurozone,

Japan,theU.K.andtheU.S.andisbecomingmore

commoninAustralia,Norway,SwedenandSwitzerland.

Figure1.Discountratesforbenefitobligations—averages

Averages—Averages—

ASC715IAS19

2024202320242023

Canada4.81%5.10%4.69%5.06%

Germany3.39%3.74%3.36%3.66%

Japan1.75%1.56%1.69%1.52%

Netherlands3.35%3.67%3.47%3.64%

Switzerland1.43%2.13%1.45%2.13%

UnitedKingdom4.62%4.85%4.64%4.79%

UnitedStates5.21%5.52%5.09%5.36%

Forthepurposesofthistable,2024representsthediscountrate

assumptionusedforbenefitobligationsattheendof2023.

Figure2.Inflationassumptions—averages

20242023

Canada2.04%2.05%

Germany2.24%2.28%

Japan1.37%1.33%

Netherlands2.23%2.31%

Switzerland1.25%1.19%

UnitedKingdom*3.16%3.30%

UnitedStates2.69%2.72%

*Retailpriceindex

4/2024GlobalSurveyofAccountingAssumptionsforDefinedBenefitPlans—ExecutiveSummary

Expectedratesofreturn

Figure3.Averageassetallocationbycountry

Theexpectedrateofreturnonassetsisthelong-term

expectationoftheannualearningsrateontheassetsof

thepensionfund.UnderASC715,theexpectedreturn

onassetsisacomponentoftheemployeebenefitcost.

Expectedratesofreturnreflecttheplansponsor’soutlook

whileconsideringtheplan’sassetallocation.

0%20%40%60%80%100%

Canada

25%57%14%

Germany

19%24%54%

Japan

27%38%33%

Figure3showstheaverageallocationsplitamong

equities,bonds,property,cashandinsurancecontracts/

otherinvestments.Theweightedaverageoftheexpected

long-termrateofreturnoneachclassgivesanindication

oftheappropriateexpectedreturnonassetsassumption.

Incomparingwithresultsfromlastyear’ssurvey,

wewitnessedonlyminorchangesinassetallocations

acrosstheboard.

Netherlands

7%

11%

15%

21%

76%

40%

34%

20%

Switzerland

23%

14%

49%

34%43%

UnitedKingdom

UnitedStates

EquitiesBondsPropertyCashInsurance/other

Assetallocationsarelikelytobedrivenbyseveralfactors,

suchasfundedstatus,sponsorriskappetite,nature

andmaturityoftheobligations,andlocalregulations.

ThecompleteresultsshowthatsponsorsinAustralia,

HongKongSARandNewZealandareholdingrelatively

largeequitypositions(morethan45%).Brazil,India,

Indonesia,MexicoandTaiwanarecountrieswhere

regulatoryinvestmentrestrictionsinfluencetheirassetmix.

Figure4showstheaverageexpectedratesofreturnfor

2024and2023expenseforallplansreportedunderASC

715only.Theyear-on-yearchangesofexpectedratesof

returnassumptionsvaryevenwithindevelopedcountries

bothindirectionandmagnitudeofchange.Highlevelsof

uncertaintyregardingboththefixed-incomeandequity

markets,pairedwiththeuncertaintyofhowinflation

mayreacttomonetarypolicy,maybethedriversbehind

theseresults.Asexpected,thereisapositivecorrelation

betweenexpectedrateofreturnandtheamountofplan

assetsheldinequitiesbyplansponsors.

Figure4.Expectedratesofreturn—averages

20242023

Canada5.25%5.17%

Germany4.40%4.15%

Japan2.98%2.75%

Netherlands3.84%3.61%

Switzerland3.59%3.83%

UnitedKingdom5.19%4.91%

UnitedStates6.23%6.23%

2024GlobalSurveyofAccountingAssumptionsforDefinedBenefitPlans—ExecutiveSummary/5

Mortalitytables

Figure5.Lifeexpectancyofa60-year-oldmale

Figure5showstheassumedlifeexpectancyatage60

forbothamalecurrentlyage60andamalecurrently

age40.Notethatsometablesaregenerational,while

othersarestatic.Thelatterdonotincludeanallowance

forimprovementinlifeexpectancyforfutureemployee

cohorts;thus,lifeexpectancyatage60isthesamefora

malecurrentlyage60andamalecurrentlyage40.

Themajorityofsurveyedcountrieshaveimpliedlife

expectanciesofbetween20and30years.Theimpactof

thedifferencesinthisassumptionwillvarydependingon

thepaymentelectionassumptionbetweenlumpsumand

annuity,theformoftheannuityandthemixofcurrent

planparticipants,amongotherfactors.

Projectedbenefitsecurityratio

Theprojectedbenefitsecurityratioistheratioofthe

currentmarketvalueofplanassetstotheplan’sprojected

benefitobligation.Theprojectedbenefitobligationis

theactuarialpresentvalueofallbenefitsattributedby

thebenefitformulatoservicebeforethebalancesheet

date,includingbenefitsbasedonexpectedfuturesalary

increases.UnderIAS19,thisisknownasthedefined

benefitobligation.

Figure6showstheaverageprojectedbenefitsecurity

ratiofor2024and2023,forfundedplansineachcountry.

Asdetailedinthetablebelow,mostmajoreconomies

experienceadecreaseintheirratios,mostlyattributedto

lowerdiscountrates,despitetheoverallpositiveequity

marketperformance.Inthecomprehensivereportwhere

30countriesareanalysed,changesinPBOsshowed

nearlyequalproportionsofincreasesanddecreasesin

theirratiosoverthecourseoftheyear.

051015202530

29.27

27.16

Netherlands

Germany

Switzerland28.46

26.60

28.45

25.53

UnitedKingdom27.57

26.01

Canada

27.54

26.46

UnitedStates

26.94

25.26

Japan

24.51

24.51

Lifeexpectancyatage60

ofamalecurrentlyage40

Lifeexpectancyatage60

ofamalecurrentlyage60

Figure6.Projectedbenefitsecurityratio—averages

20242023

Canada1.111.14

Germany0.700.67

Japan1.181.09

Netherlands0.960.97

Switzerland0.930.99

UnitedKingdom1.131.17

UnitedStates0.960.97

6/2024GlobalSurveyofAccountingAssumptionsforDefinedBenefitPlans—ExecutiveSummary

Aboutthesurvey

The2024GlobalSurveyofAccountingAssumptionsfor

DefinedBenefitPlansisthe35thannualWTWsurveyof

assumptionsselectedbymajorcorporationsfortheirDB

plansaroundtheworld.

Thefullreportcoversaccountingassumptionsunder

variousglobalstandards;forthisreport,53%ofthesurvey

participantsreportunderASC715and47%underIAS19

orothersimilaraccountingstandards.Thisissimilartothe

mixofparticipantslastyear.

The1,100companiesincludedinthefullreporthave

disclosedassumptionsfortheirDBplans.Thereport

reflectsdataatorneartheendof2023.Whilethis

executivesummarycoversonlyCanada,Germany,Japan,

theNetherlands,Switzerland,theUnitedKingdomandthe

UnitedStates,thefollowing47countriesarerepresented

inthefullreport:

ArgentinaMexico

AustraliaNetherlands

Wecollectedretirementplandatausingasurveyform

andvariousWTWdatabasesthatmaintainaccounting

assumptions.Resultsinthefullreportareshownona

plan-levelbasis;therefore,someresultscoulddifferfrom

whatisreportedonacompanylevel.

AustriaNewZealand

BangladeshNorway

BelgiumPakistan

BrazilPhilippines

WTWbelievesthesesurveyshaveeliciteduseful

information,andwewouldbepleasedtoprovideyou

withmoredetail.Asnapshotoffindingsforafewkey

marketsisavailableinthisexecutivesummary.Forf