This is an interactive series of Indices which shows the aggregate funding level of the pension funds of companies in a number of equity indices from around the world on an "accounting" and "wind-up"/"Settlement" basis. The charts plot both the assets and liabilities of these pension funds, based on figures disclosed in publicly available accounts. All figures are updated daily.

Asset values are adjusted in line with index movements based on holdings in the major asset categories. There is also a small deduction to assets on the wind-up basis to allow for illiquidity within certain asset classes.

Liabilities are calculated on a mark to market basis. The accounting liabilities are valued with reference to yields on AA corporate bonds of appropriate duration. The wind-up/settlement liabilities are valued with reference to the yields on Government bonds of appropriate duration. Please see below for further details.

The charts can be plotted over a timeframe selected by the user. Values that can be plotted include the net surplus or deficit position, the asset and liability values, the daily change in the funded position, and the observed 365 day rolling volatility of that funded position to date ("PVIX"). Indices available are the FTSE100 index, FTSE250 index, FTSE 350 index, S&P 500, DJ Euro Stoxx 50 and Canadian S&P / TSX.

These indices are the start of a progressive development, which will include:

• figures based on other indices, from the major economies around the world
• figures illustrating "Value at Risk" metrics for the FTSE and other indices

Click here to see the Pension Risk Tracker.

For more information please email us.