〈全球最权威的穆迪投资机构HR福利分析案

Session39–Workshop:AnalyzingDefinedBenefitPensionPlans&PostretirementBenefitsGregCliftonVP/SeniorAnalystMoody’sInvestorsService2RatingMethodology3CashFlowConsiderationsPensionplans•Understandcontributionrequirements•RoughestimatecanbemadewithSFAS87information•Duetoundisclosedcredits,somecompaniesmaynotfacelargecontributionrequirementsforseveralyears•CanbeoffsetbycontributingstockOPEB•Primaryfocusonbenefitspaid(recordedon“pay-asyou-go”basis)•CanobtainbenefitspaidinformationintherollforwardoftheAPBO•Cananalyzegrowthin:–Netperiodicpostretirementcost–Benefitpayments•Canuseaboveratestoprojectfuturebenefitpayments4BalanceSheetAdjustments:•ForpensionsRecordedDebtPerBalanceSheet+Add:Off-balancesheetliabilities(e.g.,leaseobligations,guarantees)+Add:NetunderfundedPBOfromnotestofinancialstatements=AdjustedDebt•OPEB–mayincludetheunderfundedamountoftheAPBOinadjusteddebtincertaincircumstances5IncomeStatementAsAdjustedByMoody’s:•Servicecost(noadjustments)•Interestcost(adjustedonlyifMoody’sdisagreeswithdiscountrate)•Amortizationofpriorservicecost(Notused)•Recognizednetactuarialgains(Notused)•Amortizationoftransitionasset(Notused)•Actuallossesonplanassets,orActualgainsuptotheamountofinterestcost•=AdjustedNetPeriodicPension/OPEBcost6FinancialStatementInformation–ACloserLook7ChangeinPensionPlanAssetsFairvalueofplanassets,beg.ofyear3,0563,7613,7863,506Actualreturnonplanassets865405457(816)Employercontribution151382621Benefitspaid(304)(419)(763)(171)Translationadjustment(7)1-(8)Fairvalueofplanassets,endofyear3,7613,7863,5062,532PensionPlanFundedStatus1998199920002001FundedStatusFundedstatus(PBObasis)348817693(693)Fundinglevel(PBObasis)110.2%127.5%124.6%78.5%Benefitobligation,ABO,endofyear????Fundinglevel(ABObasis)????ChangeinBenefitObligationsBenefitobligation,beginningofyear3,3343,4132,9692,813Servicecost15515512590Interestcost237245222226Actuarial(gain)loss(5)(479)395268Benefitspaid(304)(419)(763)(171)Other(4)54(135)(1)Benefitobligation,endofyear3,4132,9692,8133,225FinancingcostoftheplanChangesinactuarialassumptions(i.e.attrition,retirement,mortality,discountandcomp.Increaserates)PBO:Projectedbenefitobligation.PVofbenefitsearnedtodateincl.projectedsalaryincreasesEconomicpositionofthefirm'spensionplans=Fairvalueofplanassets-PBOActuarialpresentvalueofbenefitsearnedduringthecurrentperiod(byvirtueofhavingworkedanotheryear)8BSandISReporting1998199920002001FundedStatusFundedstatus348817693(693)Unamortizedpriorservicecost(28)(20)(2)5Unamortizedtransitionobligation4642Unrecognizednetactuarial(gain)loss(164)(593)(311)1,096Minimumliabilityadjustment000(151)Prepaid(accrued)benefitcost160210384259Economicpositionofthefirm'spensionplans=Fairvalueofplanassets-PBONetbalancesheetentryforplanstatusIfplanlevelpensionliability(ABO-planassets),diff.mustberecognizedasamin.liabilityv.s.intangibleasset+chargetocomprehensiveincome.NetPeriodiccost(benefit)Servicecost15515512590Interestcost237245222226Expectedreturnonplanassets(267)(358)(331)(344)Recognizednetactuarial(gain)loss262(13)(14)Other(13)(51)(155)36Netperiodiccost(benefit)138(7)(152)(6)Expectedlongtermreturnonplanassets.Keysubjectivedriverofnetperiodicpensioncost.Amortization/smoothingofprioryeargainsandlossesfromreestimateofPBOandaccumulateddeferredreturnonassets.MostlyamortizationofpriorservicecostduetoplanamendmentsReportedpensioncostinP&L.9Assumptionsv.RealityCompanyassumptionsWeightedaveragediscountrate7.25%8.00%8.25%7.25%Rateofincreaseincompensationlevels4.00-5.004.00-5.004.00-5.004.00-5.00ExpectedLTrateofreturnonplanassets9.50%9.50%9.50%9.50%MarketdataMoody'sAaCorporateInterestRate6.65%7.78%7.48%7.19%6.63%Russell1000Index37.41%32.27%-22.76%-20.90%-21.65%Lehman'sfixedincome8.69%-0.82%11.63%8.44%10.26%Estimatedreturnfor60/40equity/debtmix25.9%19.0%-9.0%-9.2%-8.9%ProxyforfixedincomereturnsProxyforequityreturns19981999200020012002Discountrateusedtocomputebenefitobligation.Rateatwhichpensionobligationscouldbesettled.ShouldmoveinlinewithMoody'sAa.Shouldreflectreasonableassumptionsgivenassetmix10CaseStudy–DowChemical11Solution:PartI1.Whatisthefundedstatus(i.e.underfundedPBO)oftheU.S.plans(PBO–FVA)?2003:$(2,304)2002:$(2,536)2.Whatisthefundingratio(FVA/PBO)?2003:82.9%2002:79.0%3.Whatistheamountofbenefitspaidfor2003?Pension:$737OPEB:$1664.Doanalystscareaboutbenefitspaid?Whyorwhynot?Pension:No,theyarepaidoutoftheplanOPEB:Yes,theyaregenerallypaidbythecompany12Solution:PartI5.Howmuchmoneydidthecompanycontributetotheplanin:2003:$2352002:$1126.Howmuchdoesthecompanyexpecttocontributein2004?Pension:$37OPEB(bestguess):$166-1707.Tobediscussed13Solution:PartII20032002Whatisthetotalamountofrecordeddebt?$13,109$13,036WhatistheunderfundedPBO?2,3042,536Pensionadjusteddebt:$15,413$15,572Totalequity$9,175$7,626Whataretheleverageratios(BV)58.8%63.1%Whatarethepensionadjustedleverageratios?62.7%67.1%Debt+Equity:Book$22,284$20,662Adjusted$24,588$23,19814Solution:PartIII20032002EBIT$2,341$32TotalNetPeriodicPensionIncome(28)(145)ServiceCost(242)(219)EBIT,asadjusted:$2,071$(332)%EBITchanged(11.5)%(1,000)%Netincome(