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TZXคิดถึง · 2023年04月27日

请问本题的知识点是什么？

  1. CFA II
  2. FRA

NO.PZ2023040501000050

问题如下：

Natalie Holmstead, a senior portfolio manager, works with Daniel Rickards, a junior analyst. Together they are evaluating the financial statements of Company XYZ (XYZ) with a focus on post-employment benefits.

Rickards adjusts the balance sheet and cash flow statement information presented in Exhibit 2 to better reflect the economic nature of certain items related to the pension plan.


Finally, Rickards examines the data in Exhibit 3 and calculates the effect of a 100-basis-point increase in health care inflation on XYZ’s debt-to-equity ratio.


Based on Exhibits 2 and 3, as well as Holmstead’s assumption about future health care inflation, the debt-to-equity ratio calculated by Rickards for XYZ should be closest to:

选项：

A.

2.69.

B.

2.71.

C.

2.73.

解释：

To calculate the debt-to-equity ratio, both liabilities and total equity need to be adjusted for the estimated impact of a 100-bp increase in health care costs. The proposed increase in health care costs will increase total liabilities and decrease equity by the same amount. Consequently, the debt-to-equity ratio changes as follows:

Sensitivity of benefit obligation to 100-bp increase = $93 Adjusted liabilities = $17,560 + $93 = $17,653

Adjusted equity = $6,570 – $93 = $6,477

Adjusted debt-to-equity ratio = $17,653/$6,477 = 2.7255 ≈ 2.73

Consequently, a 100-bp increase in health care costs increases the debt-to-equity ratio to approximately 2.73.

1、为什么通胀后会影响到equity？

2、为什么费用expense不用加在成本里？

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王园圆_品职助教 · 2023年05月11日

同学你好，精算假设导致的actuarial gain/loss一部分是反映在I/S表中从而影响Retained earnings的啊——题目中最后一个表格里面的pension obligation expense就是了

另一部分反映在PBO的变化里但没有反映在I/S里的，就直接进入OCI了，

而I/S里费用的增加，以及OCI里面确认的actuarial loss两者一起，造成了equity的减少

也就是上面这里的解释”因为这种未来医疗成本的增加其实属于精算假设的增加，所以一方面增加了PBO的值，另一方面，在确认一个当期的expense的增加以外，也会将剩余的精算假设带来的loss确认在OCI里（也就是exhibit3里，93是liability的增加，而12是equity里I/S的减少，同时93-12=81是equity里OCI的减少）“

王园圆_品职助教 · 2023年04月27日

嗨，爱思考的PZer你好：


同学你好，1.简单理解一下，因为DB plan里面，equity就是asset-liability得到的轧差值。如果DB plan的liability因为未来的负担变大而增加，而对于DB plan的asset来说未来医疗成本的增加是不会对asset有任何影响的， 那自然DBplan本身的Equity就必须相应变小。

当然也可以深度理解一下，因为这种未来医疗成本的增加其实属于精算假设的增加，所以一方面增加了PBO的值，另一方面，在确认一个当期的expense的增加以外，也会将剩余的精算假设带来的loss确认在OCI里（也就是exhibit3里，93是liability的增加，而12是equity里I/S的减少，同时93-12=81是equity里OCI的减少）

2.你说的“为什么费用expense不用加在成本里？”里的成本是什么？助教理解你是想问为什么表三的expense的$12为什么不也算在liability的增加里？

表3的benefit obligation change是对应的DB plan的资产负债表里面的负债的增加——反映的是由于未来医疗费用的增加会导致的PBO总共增加的现值只和，而benefit expense change则是对应的I/S表的当期费用——反映的只是当期由于PBO期初值的增加从而引起的service cost的增加

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TZXคิดถึง · 2023年05月11日

那为什么expense不会影响equity的R/E项？

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NO.PZ2023040501000050 问题如下 Natalie Holmstea a senior portfolio manager, works with niel Rickar, a junior analyst. Together they are evaluating the financistatements of Company XYZ (XYZ) with a focus on post-employment benefits.Rickar austs the balansheet ancash flow statement information presentein Exhibit 2 to better reflethe economic nature of certain items relateto the pension plan.Finally, Rickar examines the ta in Exhibit 3 ancalculates the effeof a 100-basis-point increase in health care inflation on XYZ’s bt-to-equity ratio.Baseon Exhibits 2 an3, well Holmsteas assumption about future health care inflation, the bt-to-equity ratio calculateRickar for XYZ shoulclosest to: A.2.69. B.2.71. C.2.73. To calculate the bt-to-equity ratio, both liabilities antotequity neeto austefor the estimateimpaof a 100-increase in health care costs. The proposeincrease in health care costs will increase totliabilities ancrease equity the same amount. Consequently, the bt-to-equity ratio changes follows:Sensitivity of benefit obligation to 100-increase = $93 Austeliabilities = $17,560 + $93 = $17,653Austeequity = $6,570 – $93 = $6,477Austebt-to-equity ratio = $17,653/$6,477 = 2.7255 ≈ 2.73Consequently, a 100-increase in health care costs increases the bt-to-equity ratio to approximately 2.73. B/S中，是如果net pension asset就记在asset上，如果liability就记在liability上？还是都记在asset上（如果是unrfun记录一个负值）？

2024-05-17 17:34 1 · 回答

NO.PZ2023040501000050 问题如下 Natalie Holmstea a senior portfolio manager, works with niel Rickar, a junior analyst. Together they are evaluating the financistatements of Company XYZ (XYZ) with a focus on post-employment benefits.Rickar austs the balansheet ancash flow statement information presentein Exhibit 2 to better reflethe economic nature of certain items relateto the pension plan.Finally, Rickar examines the ta in Exhibit 3 ancalculates the effeof a 100-basis-point increase in health care inflation on XYZ’s bt-to-equity ratio.Baseon Exhibits 2 an3, well Holmsteas assumption about future health care inflation, the bt-to-equity ratio calculateRickar for XYZ shoulclosest to: A.2.69. B.2.71. C.2.73. To calculate the bt-to-equity ratio, both liabilities antotequity neeto austefor the estimateimpaof a 100-increase in health care costs. The proposeincrease in health care costs will increase totliabilities ancrease equity the same amount. Consequently, the bt-to-equity ratio changes follows:Sensitivity of benefit obligation to 100-increase = $93 Austeliabilities = $17,560 + $93 = $17,653Austeequity = $6,570 – $93 = $6,477Austebt-to-equity ratio = $17,653/$6,477 = 2.7255 ≈ 2.73Consequently, a 100-increase in health care costs increases the bt-to-equity ratio to approximately 2.73. equity是利用asset-bt计算出来的，请问health care inflation的改变为啥不改变asset？

2023-05-09 15:18 1 · 回答