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Citigroup Pension Discount Curve

Disclaimer

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)

March 2014 Highlights from Citigroup

The overall rate on the Citigroup Pension Liability Index (CPLI) fell 0.04% in March to end the month at 4.54%. Spreads tightened modestly and the Treasury curve flattened, with rates up in the five-year area but lower at the long end. The net present value of the CPLI rose 1.21% for the month, and the YTD return climbed to 8.80%. The CPLI duration extended to 18.3 years as of the end of the month.

The number of bonds used to construct the 3/31 curve was 572, a decline of 1 from the 2/28 curve.

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 (martin.bernstein@citi.com).

If you are having trouble accessing the current Citigroup data, please contact Susan Martz at smartz@soa.org.