2022: Disclosures for 2021

Now that 2021 has closed and indices can be updated through year-end, there are changes in long bond yields from December 31, 2020 to December 31, 2021. The updated figure below shows those changes.

FIGURE 1.1 (UPDATED) CHANGE IN YIELDS, YEAR-END 2020 TO YEAR-END 2021

ASC 715

What does this mean?

Yields are higher at all durations with larger increases at short maturity periods. Based on our analysis, plans with a December 31 measurement date should expect increases in their effective PBO discount rate, typically by approximately 30-45 bps and in some cases more, particularly for plans with short duration liabilities.

Questions

If you are an SEI client and have any additional questions, please contact your SEI Client Portfolio Manager or Jon Waite at jbwaite@seic.com. All other inquiries can be sent to seiresearch@seic.com.

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Legal Note

Information provided by SEI Investments Management Corporation (SIMC), a registered investment adviser and wholly owned subsidiary of SEI Investments Company.

1 Financial Times Stock Exchange (FTSE) Pension Liability Index has a weighted average life (WAL) of 21.7 years and the index represents a fully-open plan.
2 Financial Times Stock Exchange (FTSE) Pension Liability Index Intermediate has a weighted average life (WAL) of 17.4 years and the index represents a plan that is closed to new entrants.