Pension Dashboard

Analyze the market risk factors driving a corporate pension liability.

Your path.

Analyze the alternatives.

Act to align the asset and liability. Adapt as necessary.

Pension Report

Highlights of the US Corporate Pension Universe

As of 5/30/2020

  • Funded status decreased by 0.3% to 100.6%.

  • Assets rose 3.1% and the liability increased 3.3%.

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

  • Implied returns are 6.0%, below the average expected return of 6.5%

  • The yield curve declined 5 bps on average while the 30-year tenor decreased 5 bps.

  • Year-to-date changes are funded ratio +12.4%, assets +3.5%, and liability -9.2%.

  • 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 semi-annual. Asset Allocation updated April, 2021. US Corporate Universe is the 100 largest corporate plans in the S&P 1500. Data sourced from the financial statements for fiscal year 2020. 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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