The SOA Pension Section Council makes the following Citigroup Pension Discount Curve statistics available on our website as a service for our members. The publishing of these statistics does not imply an endorsement of either the methodology for development or use of these statistics for pension accounting or other purposes.
Citigroup Pension Discount Curve and Liability Index (formerly Salomon Brothers)
New EXCEL file includes complete information dating back to 1995.
Note that we have expanded our CPLI family to include two additional discount rates calculated for pensions with shorter liabilities than those of the standard CPLI. The new CPLIs are calculated using the same discount curve and methodology as the standard CPLI but with shorter liabilities (WALs of 21.9 years and 16.8 years compared to the standard CPLI's WAL of 26.9 years. We have back-calculated the new CPLIs to 31 December, 2009. See the attached document for details.
We present the Citigroup Pension Discount Curve (CPDC)
November 2013 Highlights from Citigroup
The overall rate on the Citigroup Pension Liability Index (CPLI) climbed to 4.92% as of the end of November, from 4.81% the previous month. Spreads tightened, but Treasury yields rose still more at the long end. The net present value of the CPLI declined 1.50% for the month, and the YTD return moved to -10.57% as of the end of November. The CPLI duration shortened to 17.7 years as of the end of the month.
The number of bonds used to construct the 11/31 curve was 471, down 18 from the 10/31 curve. Most of the reduction came from Moody’s downgrade of Bank of New York Mellon to A1 from Aa3.
Quantitative Pension Strategy: Bank Downgrades Sink CPLI
- The bank downgrades announced by Moody’s on 21 June, 2012 caused the debt of five banks to be removed from the universe of bonds used to calculate the Citigroup Pension Liability Index.
- We estimate that had those downgrades been in effect as of the end of May, the level of the CPLI would have been 4.14%, 20bp lower than the 4.34% reported.
Click here for the document
Contact for Technical Questions
If you have technical questions about the development of the Citigroup Pension Discount Curve, please contact, Martin Bernstein, Pension Risk Analysis Group, Citigroup Global Capital Markets by phone 212.723.6067 or through email (email@example.com).
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