Statsobligationsränta kontra bostadsobligationsränta - en jämförande studie av noterade bolags tillämpning av IAS 19 för svenska pensionsförpliktelser
Sammanfattning: Background: When calculating future pension obligations, the debate in Sweden over the past 10 yearshas mainly been about the selected discount rate. IAS 19 states that the discount rate should be determinedby the reference to the market yields on high quality corporate bonds. For countries, such as Sweden, wherethere are no deep markets for corporate bonds, the discount rate should instead be determined by thereference to market yields on government bonds. After the financial crisis in the early 2000s, the marketyield on government bonds fell which led to the Swedish companies having much larger pension obligationscompared to countries where the market yield on corporate bonds could be used. In 2012, Swedenintroduced a local solution by using the market yield on mortgage bonds—as a substitute for corporatebonds. Much of the debate in Sweden, after 2012, has been about the appropriateness of adopting apragmatic solution in this way, partly from a regulatory perspective, but also from a user perspective,focusing on how comparability is affected by the companies' selected discount rate. The Ericsson groupchose, in 2015, to once again go back to the use of mortgage bonds as a reference. An interesting questionis therefore to examine whether or not more companies in Sweden have gone in the same direction.Purpose of Study: The purpose of the study is to survey what type of discount rate and to what percentagecompanies listed on the Swedish stock exchange use when calculating their Swedish pension obligationsand also to examine if there is a correlation between company specific elements, such as industry or capitalstructure, and the companies' selected discount rate percentage.Method: The study reviews all listed companies on the Stockholm Stock Exchange with Swedish pensionobligations for the years 2013-2019 through a descriptive analysis followed by a regression analysis. Thedescriptive analysis maps out what type of discount rate, and at what percentage, the companies’ haveselected today and also over time. The regression analysis examines the correlation between companyspecificelements and the companies’ selected discount rate.Conclusions: The study shows that the majority (70%) of the companies in our sample uses market yieldson mortgage bonds, and that the distribution between selected discount rates have been comparativelystable during the years 2013-2019. Our results show that the discount rate percentage was at an average of1,5% in year 2019, and that the development of the percentage for the discount rate types have followedeach other closely during the period 2013-2019. The regression analysis shows a positive correlationbetween the companies’ Swedish Funding Ratio, Total Pension Ratio and Debt to Equity Ratio, and their selecteddiscount rate percentage, and a negative correlation between the companies’ Total Funding Ratio and theirselected discount rate.Suggestions for Further Research: For a broader understanding of how companies selected referencerate affects the discount rate percentage for Swedish pension obligations it would be interesting to studydevelopment and correlations for a longer period of time, or during a period when the reference rates arewider apart. Another interesting aspect would be to broaden the context from Sweden and to includecompanies with pension obligations in other countries.
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