Pension Dashboard

Analyze the market risk factors driving a corporate pension liability.

Pension Report

Highlights of the US Corporate Pension Universe

As of 8/31/2020

  • Funded status increased by 3.3% to 86.6%.

  • Assets rose 2.2% and the liability declined 5.4%.

  • Equity exposure is dominating asset portfolio risk as diversification disappears.

  • Implied returns are 5.0%, below the average expected return of 6.5%

  • The yield curve rose 20 bps on average with the 30-year tenor leading the rise.

  • Year-to-date changes are funded ratio -1.9%, assets +5.8%, and liability +7.9%.

  • The combination of lower equity and higher interest rates is the scenario of primary concern in the asset portfolio.

  • The 30-year interest rate is the critical driver of the liability.

  • Opportunities exist to improve portfolio efficiency.

Notes: The dashboard is updated daily. The report is monthly. Asset Allocation updated June, 2020. US Corporate Universe is the 100 largest corporate plans in the S&P 1500. Data sourced from the financial statements. Private asset classes are mapped to public market proxies. Liability is modeled as a 15-year duration cash flow.

 

Asset Liability Scenario Analysis & Simulation

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