A report from Wilshire Consulting showed a 1% increase in the aggregate funded ratio for US corporate pension plans in July, ending the month at 84.3%.
This is up 8.3% over the past year, and is also the first increase since March, when the funded ratio was at 84.1%.
According to the report, the monthly change came from a 1.3% increase in asset values partially offset by a 0.3% increase in liability values. The aggregate funded ratio is up 2.4% year-to-date (YTD).
The assumed asset allocations are currently 33% in US equities, 23% non-US equities, 25% long-duration fixed income, 17% core fixed income, and 2% real estate.
According to Wilshire Consulting, the aggregate figures represent “an estimate of the combined assets and liabilities of corporate pension plans 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 estimation for the current month end liability growth uses the Barclays Long Aa+ US Corporate Index.
The 12-month review of the funded ratio and the current assumed asset allocations are below.