Table of Contents
The principal assumptions used to determine the pension expense and the actuarial value of the projected benefit
obligation for the U.S. and non-U.S. pension plans were:
Assumptions used to determine benefit obligations at December 31:
Pension Benefits
U.S. Plans
2015
Weighted-average discount rate...................................................................
Weighted-average rate of increase in compensation levels.........................
2.70%
N/A
Non-U.S. Plans
2014
2015
2.50%
N/A
2014
3.81%
3.67%
3.67%
3.65%
Assumptions used to determine net expense for years ended December 31:
Pension Benefits
U.S. Plans
2015
Weighted-average discount rate .......................
Weighted-average rate of increase in
compensation levels......................................
Weighted-average expected long-term rate of
return on plan assets......................................
2014
Non-U.S. Plans
2013
2015
2014
2013
2.50%
3.00%
2.40%
3.67%
4.58%
4.41%
N/A
N/A
N/A
3.65%
3.85%
3.50%
N/A
N/A
N/A
6.34%
6.35%
6.44%
Delphi selects discount rates by analyzing the results of matching each plan’s projected benefit obligations with a
portfolio of high-quality fixed income investments rated AA-or higher by Standard and Poor’s.
Delphi does not have any U.S. pension assets; therefore no U.S. asset rate of return calculation was necessary. The
primary funded non-U.S. plans are in the U.K. and Mexico. For the determination of 2015 expense, Delphi assumed a longterm expected asset rate of return of approximately 6.25% and 7.50% for the U.K. and Mexico, respectively. Delphi evaluated
input from local actuaries and asset managers, including consideration of recent fund performance and historical returns, in
developing the long-term rate of return assumptions. The assumptions for the U.K. and Mexico are primarily long-term,
prospective rates. To determine the expected return on plan assets, the market-related value of approximately 50% of our plan
assets is actual fair value. The expected return on the remainder of our plan assets is determined by applying the expected longterm rate of return on assets to a calculated market-related value of these plan assets, which recognizes changes in the fair value
of the plan assets in a systematic manner over five years.
Delphi’s pension expense for 2016 is determined at the 2015 year end measurement date. For purposes of analysis, the
following table highlights the sensitivity of the Company’s pension obligations and expense to changes in key assumptions:
Change in Assumption
25 basis point (“bp”) decrease in discount rate.................................................................
25 bp increase in discount rate ..........................................................................................
25 bp decrease in long-term expected return on assets .....................................................
25 bp increase in long-term expected return on assets......................................................
Impact on
Pension Expense
Impact on PBO
+ $8 million
- $6 million
+ $3 million
- $3 million
+ $88 million
- $81 million
—
—
The above sensitivities reflect the effect of changing one assumption at a time. It should be noted that economic factors
and conditions often affect multiple assumptions simultaneously and the effects of changes in key assumptions are not
necessarily linear. The above sensitivities also assume no changes to the design of the pension plans and no major restructuring
programs.
96