FRS17 and the Sterling Double A Corporate Yield Curve |
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Authors: | Frank S. Skinner&dagger , Michalis Ioannides |
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Affiliation: | Frank S. Skinner†, Michalis Ioannides* |
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Abstract: | Abstract: We argue that the appropriate discount rate used to report defined benefit pension plan liabilities in the financial statements is a yield derived from an estimate of a double A corporate yield curve. We show that parsimonious yield curve techniques are easily applicable to the sterling double A corporate bond market. Moreover, we find that with a careful selection of the data an objective and reliable yield curve can be obtained. In all we find that using a yield from a sterling double A corporate yield curve to obtain the value of defined benefit pension plan liabilities is a feasible alternative to the current recommendations of FRS17 . |
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Keywords: | FRS17 corporate yield curves valuation of defined benefit liabilities |
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