The aggregate funded ratio for U.S. corporate pension plans lost a bit of ground in October, according to investment consulting and services firm Wilshire Consulting.
While asset values increased, they were outpaced by liability increases, resulting in the funded ratio falling to 85.0 percent.
“We estimate that overall, the asset value increased by 1.4 percent due to positive returns for most asset classes, while the liability value increased by 1.7 percent during the month due to falling corporate bond yields,” stated Jeff Leonard, managing director, Wilshire Associates, and head of the Actuarial Services Group of Wilshire Consulting, in a statement.
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 that is 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 was:
- 33 percent in U.S. equities;
- 22 percent in non-U.S. equities;
- 17 percent in core fixed income;
- 26 percent in long-duration fixed income; and
- 2 percent in real estate.
“Year-to-date, the funded ratio for the sample plan has decreased by 4.8 percent from 89.8 percent to 85.0 percent. This decrease was driven by the larger increase in liability value of 11.4 percent versus the 5.3 percent increase in asset value,” Leonard continued.
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