Covid-19 pandemic: Mortality-related considerations for DB pension schemes

In this paper, we consider the impact that the Covid-19 may have on the funding level of defined benefit (DB) pension schemes. We also discuss the implications for undertaking mortality analyses and for setting future mortality rates.

This briefing note covers:

  • Impact of the Covid-19 pandemic on deaths in the general population
  • What does Covid-19 mean for pension scheme liabilities?
  • Illustrations of different future Covid-19 scenarios 
  • Setting appropriate mortality assumptions in the current environment

Overall, we estimate that the impact the direct impact of the Covid-19 deaths on pension schemes is likely to be small – the reduction in pensioner liability values is likely to be less than 0.5% of liabilities. The impact on pension scheme liabilities is therefore likely to be much smaller than the impact of recent asset volatility.

Our view is that it is still useful for trustees to continue to undertake mortality analyses (both socio-economic and experience) to assess the relative mortality of their schemes. 

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