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.
JANUARY 31, 2010:PPA Liabilities continued to climb in the first month of 2010, returning 1.97% year-to-date as of 1/31/2010. Most of the dramatic return over the last 12 months was caused by the substantial tightening in corporate bond spreads, while a flattening yield curve in January caused further liability increases. After risk assets across the board posted impressive rallies over the last 12 months...more >
DECEMBER 31, 2009:As we look back at 2009, there was a substantial rally in both assets and liabilities. PPA Liabilities have returned 15.56% year-to-date as of 12/31/2009, caused by a substantial tightening in corporate bond spreads, while the average asset portfolio was up 19.43%. The leading indicators are pointing to a recovery taking hold, but pension funds across the country remain underfunded due to the strong pace of liability increases.more >
NOVEMBER 30, 2009:Pension Protection Act (PPA) liabilities have returned 12.80% year-to-date as of 11/30/2009. The 2009 liability rally has been a significant issue for plan sponsors, especially for those that have not hedged the interest rate risk associated with the PPA yield curve. While assets have had strong YTD returns, it has only been this month that assets have begun to outperform the YTD liability return.more >
