The aggregate funded ratio for U.S. corporate pension plans increased by 0.2% in 2015 after seeing a decrease of 0.9%, to 82.7%, for the month of December, according to Wilshire Consulting, the institutional investment advisory and outsourced-CIO business unit of Wilshire Associates Incorporated.
The funding decrease was the result of a larger decline in asset value versus the slight decrease in liability value.
“We estimate that overall the funded ratio for the plan sample fell by 0.9%, from 83.6% in November to 82.7% in December,” says Ned McGuire, vice president and member of the Pension Risk Solutions Group of Wilshire Consulting. “The decline in funding levels was driven by a 1.7% decrease in asset value and a slight decrease in liability value. The asset result is due to negative 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 32% U.S. equity, 21% non-U.S. equity, 18% core fixed income, 27% long duration fixed income and 2% real estate.