The aggregate funded ratio for U.S. corporate pension plans increased by 3.2% to 84.1% for October, according to Wilshire Consulting, the institutional investment advisory and outsourced-CIO business unit of Wilshire Associates Incorporated.
The rise in funding was the result of an increase in asset value and no change in liability value.
“We estimate that overall the funded ratio for the plan sample increased by 3.2%, from 80.9% in September to 84.1% in October,” says Ned McGuire, vice president and member of the Pension Risk Solutions Group of Wilshire Consulting. “The increase in funding levels was driven by a 4% increase in asset value and no change in liability value. The asset result is due to positive returns for most asset classes.”
The aggregate figures represent an estimate of the combined assets and liabilities of corporate pension plans sponsored by S&P 500 companies with a duration in-line with the Citi Group Pension Liability Index Intermediate. The Funded Ratio is based on the CPLI Intermediate liability, with service cost, benefit payments and contributions in line with Wilshire’s 2015 corporate funding study. The most current month end liability growth is estimated using the Barclays Long Aa+ U.S. Corporate Index.
The assumed asset allocation is:
- U.S. Equity – 32%;
- Non-U.S. Equity – 21%;
- Core Fixed Income – 18%;
- Long Duration Fixed Income – 27%; and
- Real Estate – 2%.