On a monthly basis, Ryan Labs tracks the return of pension plan assets versus their liabilities. The Asset/Liability Watch provides a snapshot of the issues facing pension plan sponsors and trustees, while providing a glimpse of the overall solvency of defined benefit pension funds. Liabilities in the Asset/Liability Watch are priced at the PPA curve, as well as the Treasury curve.
JUNE 30, 2010:With credit continuing to rally, PPA liabilities gained another 4.01% in the month of June to finish with a YTD return of 10.45%. The 2nd Quarter proved to be painful for both assets declining and liabilities rallying. The Quarter closed with assets down –6.60%, and the difference between assets and liabilities for the quarter being –15.39%. The average U.S. pension portfolio in America, estimated at 65% equities and 35% fixed income, has returned -2.98% YTD.more >
MAY 31, 2010:The 2010 story shows no end as PPA liability returns continue to rally, gaining another 1.30% in the month of May to finish with a YTD return of 6.44%. May proved to be a disastrous month in the equity markets, as fear and dislocation have returned. The European debt crisis, coupled with the BP oil leak, have brought with it volatility reminiscent of late 2008 and early 2009. The S&P gave back 856 basis points of YTD returns in a month, and the asset allocation model declined a further...more >
APRIL 30, 2010:PPA Liabilities skyrocketed in April leading to a year-to-date return of 5.14% through the first four months of 2010. Liabilities are still at much higher valuation levels compared with 12 months earlier due to the rapid compression of corporate bond spreads over the past year. With a tremendous rally across asset classes, plan sponsors are hoping the world has returned to “normal” rather than the “new normal”.The typical U.S. pension portfolio in America, estimated. more >
