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Pension accounting: ASC 715 discount rate selection

September 18, 2023
clock 2 MIN READ

2023: Disclosures for 2022

Now that 2022 has closed and indices can be updated through year-end, there are changes in long bond yields from December 31, 2021 to December 31, 2022.

What does this mean?

Yields are significantly higher at all durations with much larger increases at short maturity periods. Based on our analysis, plans with a December 31st measurement date should expect increases in their effective PBO discount rate, typically by approximately 220 bps for open plans, approximately 240 for plans with shorter durations (such as closed or frozen plans) and potentially more for plans with very 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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Jon Waite

Jon Waite

Director, Advisory Team and Chief Actuary, Institutional Group

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

1Financial Times Stock Exchange (FTSE) Pension Liability Index has a duration as of 12/31/2022 of 17.6 years and the index represents a fully-open plan.

2Financial Times Stock Exchange (FTSE) Pension Liability Index Intermediate has a duration as of 12/31/2022 of of 13.8 years and the index represents a plan that is closed to new entrants.