|
Citigroup Pension Discount Curve
Citigroup Pension Discount Curve and
Liability Index (formerly Salomon Brothers)
New EXCEL file includes complete information dating back to 1995.
October 2009 Highlights from Citigroup
The overall rate on the Citigroup Pension Liability Index (CPLI) climbed 15bp from 5.54% to 5.69% during the month, with Treasury yields rising and corporate spreads tightening. The net present value of the CPLI fell 2.0% for the month. The CPLI duration shortened to 16.1 years as of the end of October. Year–to–date returns were +8.2% as of the end of October.
The number of bonds used to construct the October curve increased to 360 from 347 the previous month. Wyeth entered the index upon its upgrade by S&P.
|