FTSE Pension Discount Curve
The SOA Retirement Section Council makes the following FTSE 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.
FTSE Pension Discount Curve and Liability Index (formerly Citi)
The Citi Pension Liability Index and Citi Pension Discount Curve were acquired in August 2017 by FTSE Russell, a unit of the London Stock Exchange Group (“LSEG”), and were renamed the FTSE Pension Liability Index and the FTSE Pension Discount Curve. References to Citi will be replaced with the current FTSE Russell references as they become available.
The FTSE Discount Curve and Liability Index include two additional discount rates calculated for pensions with shorter liabilities than those of the standard rates. The additional rates are calculated using the same discount curve and methodology as the standard rates but with shorter liabilities (As of January 2017, the Weighted Average Lives, or “WALs,” were 21.9 years and 16.8 years compared to the standard rate's WAL of 26.9 years.)
We present the FTSE Pension Discount Curve for August 2020
Contact for Technical Questions
If you have technical questions about the development of the FTSE Pension Discount Curve, please contact the FTSE Fixed Income Help Desk at +1 (212) 816-2665, or firstname.lastname@example.org.
If you are having trouble accessing the current FTSE data, please contact Jane Lesch at email@example.com.