FTSE Pension Discount Curve
Disclaimer
The SOA Retirement Section Council makes the following FTSE Pension Discount Curve statistics available on our website as a service for our members. The publishing of these statistics does not imply an endorsement of either the methodology for development or use of these statistics for pension accounting or other purposes.
Please note: The monthly curves are and will remain publicly available on the SOA website. However, Yield Book no longer supports posting of the FTSE Fixed Income index data on their website. They have been removing the content since FTSE switched to their new commercial policy and data delivery system in 2022. All users of the FTSE Pension Discount Curve and Liability Index monthly files, can be added to the distribution list by reaching out to the FTSE Fixed Income Client Service team Client Service team at fi.index@lseg.com.
FTSE Pension Discount Curve and Liability Index (formerly Citi)
The Citi Pension Liability Index and Citi Pension Discount Curve were acquired in August 2017 by FTSE Russell, a unit of the London Stock Exchange Group (“LSEG”), and were renamed the FTSE Pension Liability Index and the FTSE Pension Discount Curve. References to Citi will be replaced with the current FTSE Russell references as they become available.
The FTSE Discount Curve and Liability Index include two additional discount rates calculated for pensions with shorter liabilities than those of the standard rates. The additional rates are calculated using the same discount curve and methodology as the standard rates but with shorter liabilities (As of January 2017, the Weighted Average Lives, or “WALs,” were 21.9 years and 16.8 years compared to the standard rate's WAL of 26.9 years.)
We present the FTSE Pension Discount Curve for October 2024
- FTSE Pension Discount Curve and Liability Index
- FTSE Above Median Pension Discount Curve and Liability Index
Contact for Technical Questions
For technical questions about the development of the FTSE Pension Discount Curve, please contact fi.index@lseg.com.
For questions regarding access to data on the SOA website, please contact Carla Eisenberg at ceisenberg@soa.org.