The average U.S. corporate pension plan funding ratio has fallen more than 12 percentage points year-to-date March 12, according to estimates from money manager Barrow, Hanley, Mewhinney & Strauss.
As of March 12, the money manager estimated the average funding ratio had fallen to 76.6% from 88.7% as of Dec. 31.
Pension plan asset losses have totaled 10% since Dec. 31, the estimate showed, assuming an average asset allocation of 43% equities, 38% fixed income, 16% other (alternatives) and 3% cash.
Also contributing to the loss of funding ratio is the 28-basis-point drop in Barrow Hanley's estimated discount rate to 2.84% as of March 12, the result of U.S. Treasury yields falling 92 basis points, partially offset by the widening of credit spreads by 64 basis points. The estimate assumes the average duration of corporate pension liabilities is 12 years.
Barrow Hanley attributes 9.5 percentage points of the funding ratio drop to equity losses, another 3 points due to the discount rate drop and another 1.7 points due to losses in alternatives, partially offset by 2.1 percentage points added due to bond returns.
