Year-end level estimated from DOL Employee Benefits Security Administration, Private Pension Plan Bulletin: Abstract of Form 5500 Annual Reports and DOL Form 5500 Direct Filing Entity Bulletin: Abstract of Form 5500 Annual Reports table 12, Defined Contribution, as a share of Assets in US Government securities where the total level is estimated using DFE Table 2 and Table 12 (Excluding real estate and 403b assets). The share of US Government Securities held in US Treasury Securities is assumed to be equal to the share observed in State and Local Pensions. The level is then adjusted for plans whose fiscal years do not end on December 31 and to include plans with fewer than 100 participants. Data are available with a two-year lag. Series is converted to quarterly and estimated for quarters assuming constant transactions throughout the year. Capital gains are estimated based on the percent change in the Merrill Lynch AAA Treasury Master par weighted price index (Bloomberg G0Q0) applied to the previous quarter's level. The unadjusted transactions are the change in the level less estimated capital gains, less any other changes in volume. Data for the most recent ten years show no significant seasonality.
Last edited on: 02/12/2020