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5yr FYE-Set S&P500 PBO FRs

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That is, pension plan funded ratios for S&P500 pension plan sponsors, determined on the basis of plans’ projected benefit obligations, split into 12 sets on the basis of the month in which a company’s fiscal year ends, for each set showing aggregate funded status as of the close of the most recent 5 fiscal years.

The general idea of looking at separate FYE sets being that, for example, pension plan funded status changes for companies with a fiscal year ending September 30 can be rather different than for companies with a fiscal year ending December 31, depending on experience during the 4th calendar quarter, including investment gains or losses, changes in interest rates, levels of company contributions to their pension plans, design changes such as plan freezes, and other factors.

(Note – As with all aftermath images, click on the image
for a version of the image with greater detail.)

For example, the line with the most recent experience – pension plans of companies with fiscal year ending May 31, showing fiscal years ending 5/31/2004 through 5/31/2008 (red line with squares, ending at the farthest right edge of the chart) – ends at 5/31/2008 at a funded ratio of about 108%, up from just under 100% at 5/31/2007. In contrast, the line for pension plans of companies with fiscal year ending April 30, showing fiscal years ending 4/30/2004 through 4/30/2008 (pinkish line with diamonds) declined during the most recent year, to just over 100% as of 4/30/2008 from about 102% as of 4/30/2007.

OK. But the lion’s share of the data is represented by pension plans sponsored by companies that use the calendar year as their fiscal year, shown here by the heavy black line with shadowed diamonds for 12/31/2003 through 12/31/2007. Easiest way to illustrate the overwhelming influence of that set: the shadowy gray line just below the 12/31 set’s line is the aggregate funded ratio for all 12 sets combined. So back to our illustrative comparison, no matter how much the final calendar quarter makes the 12/31 line look different from the 9/30 line, the overall experience for the entire S&P500 universe will pretty much reflect the 12/31 line, since the data for non-12/31 fiscal years is nominal relative to the data for 12/31 fiscal years.

(Remember, as I’ve previously observed, posts such as this represent efforts of my favorite pastime. My formal work does not involve any of this, and none of it represents any position or comment that should in any way be attributed to my employer. Likewise, as always, it represents general personal impressions and should not be treated or used as formal professional advice.)

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Written by macheide

31 July 2008 at 8:20 pm

Posted in άctuary


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