The Aon Pension Risk Tracker calculates the aggregate funded position on an accounting basis for the companies in the S&P/TSX Composite Index with defined benefit (DB) plans. To access Aon's interactive tracker, which dates back to 2013, click here. The tool uses Aon's Risk Analyzer platform, which allows plan sponsors to track their individual plan's funded status on a daily basis. Versions of the Pension Risk Tracker are also available for the S&P 500 in the
Key Findings:
- During 2020, the aggregate funded ratio for Canadian pension plans in the S&P/TSX Composite index increased slightly, from 90.8% to 91.2%, according to the Aon Pension Risk Tracker. The funded status deficit decreased only slightly, by
$0.2 billion , which was driven by asset increases of$18.7 billion , offset by liability increases of$18.5 billion year to date. - Pension assets returned 9.9% over 2020 and were positive in Q4, ending the quarter up 3.9%.
- The year-end long-term
Government of Canada bond yield dropped 55 basis points (bps) relative to the last year-end rate, and credit spreads widened by 13 bps. This combination resulted in a decrease in the interest rates used to value pension liabilities from 2.92% to 2.50%. Given a majority of the plans inCanada are still exposed to interest rate risk, the increase in pension liability caused by decreasing interest rates offset the positive effect of asset returns on the funded status of the plan.
"Equity markets performed strongly in 2020 and helped funded ratios improve," said
"After a wild ride throughout the year – funded status cratered in late March, to almost 80% – Canadian pension plans ended 2020 in a similar, if slightly better, funded position compared to how they started the year," said
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