The aggregate funded ratio for US corporate pension plans decreased by 3.7 per cent to 78.9 per cent for the month of January 2017, according to Wilshire Consulting, the institutional investment advisory and outsourced-CIO business unit of Wilshire Associates.
The decrease in funding was the result of an increase in liability value and a decrease in asset value.
“We estimate that overall the funded ratio for the plan sample fell by 3.7 per cent from 82.6 per cent in December to 78.9 per cent in January,” says Ned McGuire (pictured), vice president and member of the Pension Risk Solutions Group of Wilshire Consulting. “The decline in funding levels was driven by a 2.8 per cent decrease in asset value and a 1.8 per cent increase in liability value. The asset result is due to negative returns for public equity, and the liability result is due to declining corporate bond yields used to value pension liabilities.”
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+ US Corporate Index.
