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huangme7 · 2024年03月21日

问题

  1. CFA II
  2. FRA

* 问题详情，请 查看题干

NO.PZ202401310100000107

问题如下：

A 100 basis point decrease in investment grade corporate bond yields may affect Kensington’s plan funded status by less than the increase in the benefit obligation because:

选项：

A.

remeasurements from changes in assumptions are recognized in OCI, not in earnings.

B.

a decrease in service cost will partially offset the increase.

C.

the fair value of plan assets may simultaneously increase.

解释：

C is correct. A decrease in interest rates may result in an increase in the fair value of plan assets that offsets the increase in the benefit obligation from a lower discount rate, especially plan assets invested in longer-duration fixed-income securities.

为什么A decrease in interest rates may result in an increase in the fair value of plan assets ？

能否用公式解释一下

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1 个答案

王园圆_品职助教 · 2024年03月21日

同学你好，本题同样不太适合完全用公式解释呢，这一章节这样定性的题目更多一点，同学可以直接定性分析哦

funded status是PBO和plan asset 两项的轧差 

discount rate现在下降，肯定会导致PBO上升

但是plan assets一般也是由大量债券构成的，那discount rate现在下降也会导致plan asset的价值上升， 最后funded status整体就不会增加那么多，会被plan assets 的增加抵消一部分

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