According to Wilshire Consulting, the aggregate funded ratio for U.S. corporate pension plans fell slightly to 85% for the month of October. The decrease in funding was the result of a greater increase in liability value versus a smaller increase in asset value.
“We estimate that overall, the asset value increased by 1.4% due to positive returns for most asset classes, while the liability value increased by 1.7% during the month due to falling corporate bond yields,” says Jeff Leonard, managing director, Wilshire Associates, and head of the Actuarial Services Group of Wilshire Consulting.
“Year-to-date, the funded ratio for the sample plan has decreased by 4.8%, from 89.8% to 85%. This decrease was driven by the larger increase in liability value of 11.4% versus the 5.3% increase in asset value,” Leonard adds. The funded ratio in October 2013 was 91.2%.
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 2014 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 33% in U.S. equities, 22% non-U.S. equities, 17% core fixed income, 26% long-duration fixed income and 2% real estate.
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