向复习CFA L2的筒子们求教 FSA中 expected return为什么对PBO没有影响

notes上总结的表格说 提高expected rate of return 对balance sheet PBO 没有影响。想不通想不通。balance sheet PBO中包含了Acturial gain or loss （AGL）的摊销,
AGL包含两部分，一部分是由于精算假设变更产生差异，另一部分是expected return和actual return的差异，如果提高expected rate of return, then expected return would be higher, then the difference between expected return and actual return would be different, and this difference would impact the balance sheet PBO as it would be amortized in the following years.  PBO would not be the same.

哪位高手帮忙解释一下

ovallavo 发表于 2013-12-4 10:57
谢谢，请帮忙帮我理解这句话，notes上的 P107

Periodic Pension Cost - US GAAP, page 107

Periodic Pension Cost - US GAAP, page 107

Amortization of actuarial gain and losses. An increase or decrease in PBO from a change in actuarial assumptions is combined with the deferred gains and losses that result from the differences between the expected return and actual return on plan assets. Combined, these area called actuarial gains and losses.

1） 这里能肯定的这个叫AGL的东西包含了两部分，一部分是有精算假设改变发生的差额，另一部分是预期收益和实际收益的差额，我的理解对么？

没错


Actuarial gains and losses are recognized in other comprehensive income (OCI). Under GAAP, AGL are amortized using the corridor approach.

2）GAAP下，全部的AGL是要计入OCI的，这时候AGL下面的两部分的处理不一样了，是么？属于精算假设的进入Balance sheet 上的PBO，属于收益差异的进入income statement 的 pension expense，是么？那么等到AGL满足摊销条件的时候，实际上只摊销剩下的精算假设的差额，因为收益差额已经在利润表中冲掉了？感觉不太对劲，盼指教。


在 B/S 表里资产项 net pension assets 增加 actual return (或者负债项减少 actual return)，在 I/S 表加 expected return，actual return 和 expected return 的差额进 OCI

摊销 actuarial gains or losses：
1) 由于精算假设引起，比如折现率变小导致 actuarial loss，放到 OCI，逐步摊销；
2) plan asset 的预期收益和实际收益的差别，当在 OCI 中累计到一定程度时，就得摊销到 I/S 中


在 I/S 表中确认的项目包括
1) current service cost
2) interest expense
3) expected returns on plan assets
4) past service cost 的摊销部分
5) actuarial gains and losses 的摊销部分

我感觉你混淆了 balance sheet PBO 和 periodic pension cost 中的相关计算，我从 notes 里摘出两段，注意加粗的部分

PBO, page 102
From one period to the next, the benefit obligation changes as a result of current service cost, interest cost, past(prior) service cost, actuarial assumptions, and benefits paid to employees
...
Changes in actuarial assumptions are the gains and losses that result from changes in variables such as mortality, employee turnover, retirement age, and the discount rate.


Periodic Pension Cost - US GAAP, page 107
Expected return on plan assets
... The difference in the expected return and the actual return is combined with other items related to changes in actuarial assumptions into the "actuarial gains and loss" account

我想可能的原因是 amortization of AGL only happens when certain criteria is met, i.e. the corridor principle. If not meeting the corridor criteria, the AGL will not be amortized to PBO. 可能是基于这一点，Notes和书上都会认为expected return的改变不会对balance sheet PBO 产生影响。

ovallavo 发表于 2013-12-3 14:37
我想可能的原因是 amortization of AGL only happens when certain criteria is met, i.e. the corridor pr ...

上面应该写的很明确了啊。

PBO中考虑的只有 actuarial assumptions，即 gains and losses that result from changes in variables such as mortality, employee turnover, retirement age, and the discount rate，这里可没提到 expected return rate 哦。后面 US GAAP Periodic pension cost 里才综合考虑了 expected/real return rate 以及 actuarial assumptions 变化带来的影响

yuanlinios 发表于 2013-12-3 21:27
上面应该写的很明确了啊。

PBO中考虑的只有 actuarial assumptions，即 gains and losses that result ...

谢谢，请帮忙帮我理解这句话，notes上的 P107

Periodic Pension Cost - US GAAP, page 107

Amortization of actuarial gain and losses. An increase or decrease in PBO from a change in actuarial assumptions is combined with the deferred gains and losses that result from the differences between the expected return and actual return on plan assets. Combined, these area called actuarial gains and losses.

1） 这里能肯定的这个叫AGL的东西包含了两部分，一部分是有精算假设改变发生的差额，另一部分是预期收益和实际收益的差额，我的理解对么？

Actuarial gains and losses are recognized in other comprehensive income (OCI). Under GAAP, AGL are amortized using the corridor approach.

2）GAAP下，全部的AGL是要计入OCI的，这时候AGL下面的两部分的处理不一样了，是么？属于精算假设的进入Balance sheet 上的PBO，属于收益差异的进入income statement 的 pension expense，是么？那么等到AGL满足摊销条件的时候，实际上只摊销剩下的精算假设的差额，因为收益差额已经在利润表中冲掉了？感觉不太对劲，盼指教。

好像明白了，我现在的理解是，由于actual return 已经反映在plan assets的余额里面，而expected return 反映在income statement, 所以差额进了OCI，这种情况下报表已经平了，就不用在PBO里面体现了。
而由于精算假设导致的差异进了OCI,为了平报表，需要把PBO的余额再加上精算假设导致的差异，这样才能平衡。对么？

ovallavo 发表于 2013-12-4 13:27
好像明白了，我现在的理解是，由于actual return 已经反映在plan assets的余额里面，而expected return 反映 ...

这回对了

太感谢你了

恩，我也学习了