With 125 systems reporting data, Wilshire said it estimates that the average funding ratio for all the programs was 95% in 2007, up from an estimated 88% in 2006.
According to the Wilshire data, for the 56 state retirement systems that reported actuarial numbers for 2007, pension assets grew 14.7%, or $118.3 billion, from $805.9 billion in 2006 to $924.2 billion in 2007. Liabilities grew 6.8%, or $64.3 billion, from $948.8 billion to $1,013 billion
The dramatically faster pace in rising asset values compared with the continued steady growth in liabilities for the 56 state pension plans led to a significant reduction in the aggregate shortfall, as the $142.9 billion shortfall in 2006 narrowed to an $88.8 billion shortfall in 2007, Wilshire said.
For the 116 state retirement systems that reported actuarial data for 2006, pension assets and liabilities were $2,109.9 billion and $2,356 billion, respectively. The average funding ratio for all 116 state pension plans was 90% in 2006.
Of the 56 state retirement systems that reported actuarial data for 2007, 75% are underfunded. The average underfunded plan has an 82% funding ratio. Of the 116 state retirement systems that reported actuarial data for 2006, 77% are underfunded with an average 83% funding ratio.
State pension portfolios have, on average, a 69% allocation to equities – including real estate and private equity – and a 31% allocation to fixed income. The 69% equity allocation is notably higher than the 61% equity allocation in 2002. Thirty-eight of 125 retirement systems have allocations to equity that equal or exceed 75%, and three systems have equity allocations below 50%.
Wilshire forecasts a long-term median plan annual return of 7.6% which is 0.4 percentage points below the median actuarial interest rate assumption of 8%
Of these 125 retirement systems, 56 systems reported actuarial values on or after June 30, 2007 and 69 systems reported before June 30, 2007. Nine of these 69 late-reporting systems last reported before June 30, 2006.
More information is available at www.wilshire.com .
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