Defined-benefit (DB) pension funds, often underfunded, rely on the legal obligation of their sponsor to secure pension rights for individuals. The sponsor guarantee being risky, its riskiness must be hedged to secure the pension promises. This appendix details the implementation of the extended...

Recent legislation and accounting rule changes motivate defined-benefit pension plans to manage the interest rate risk arising from volatility in their liabilities, as measured by either the accumulated benefit obligation (ABO) or the projected benefit obligation (PBO). For either measure, asset...