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Aggregate funded ratio of US corporate pension plans down in May

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The aggregate funded ratio for US corporate pension plans decreased by 0.7 percentage points to end the month of May at 76.8 per cent, matching the low point over the past twelve month and bringing its year-to-date decline to 4.6 percentage points.

That’s according to the latest figures from Wilshire Consulting, the institutional investment advisory and outsourced-CIO business unit of Wilshire Associates Incorporated.

Wilshire Consulting assists in ensuring secure and safe retirements for approximately 49 million Americans including those participating in some of the nation’s largest corporate and public retirement plans. 

The monthly change in funding resulted from a 0.8 per cent increase in liability values versus relatively flat asset values (-0.1 per cent). The year-to-date decrease in funding is the result of an 8.6 per cent increase in liability values. 

“Though US stocks posted positive returns in May, assets were flat overall as a rising US dollar eroded the value of non-US stock holdings,” says Ned McGuire, vice president and a member of the Pension Risk Solutions Group of Wilshire Consulting. “The Wilshire 5000 Total Market IndexSM gained 1.80 percent during the month reaching a year-to-date high on the next to last trading day of May. Narrowing long corporate AA+ credit spreads pushed lower the corporate bond yields used to value pension liabilities, which led to a 0.8 per cent increase in liability values.” 

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 2016 corporate funding study. The most current month end liability growth is estimated using the Barclays Long Aa+ US Corporate Index. 

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