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Citigroup Pension Discount Curve
Citigroup Pension Discount Curve and
Liability Index (formerly Salomon Brothers)
New EXCEL file includes complete information dating back to 1995.
January 2010 Highlights from Citigroup
The overall rate on the Citigroup Pension Liability Index (CPLI) climbed 2bp from 5.96% to 5.98% during the month, with Treasury yields bull-steepening and double-A corporate spreads widening. The net present value of the CPLI rose +0.3% for the month. The CPLI duration shortened to 15.7 years as of the end of January. Year-to-date returns were, obviously, +0.3% as of the end of January.
The number of bonds used to construct the January curve was unchanged at 365.
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