Pension Dashboard

Analyze the market risk factors driving a corporate pension liability.

Pension Report

Highlights of the US Corporate Pension Universe

As of 12/31/2020

  • Funded status increased by 2.1% to 88.6%.

  • Assets rose 2.1% and the liability decreased 0.2%.

  • 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 was unmoved on average while the 30-year tenor increased two bps.

  • Year-to-date changes are funded ratio +2.8%, assets +11.8%, and liability +8.3%.

  • 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 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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