Ryan: 2004 Starts with Pension Asset/Liability Gap

February 6, 2004 (PLANSPONSOR.com) - The 2004 pension asset/liability gap started off behind the eight ball in January with an "impressive" 1.42% asset gain, but ran into a 2.14% liability increase - leading to -0.72% asset/liability gap, according to Ryan Labs data.

That followed an 18.08% year-end 2003 showing in the black with a 20.04% asset growth over the year on a mere 1.96% liability increase, Ryan said. The 2003 year-end showing compares to a -30.89% asset/liability deficit in 2002, and an -8.48% gap in 2001.

Examining January’s fixed-income markets shows the yield curve flattened in the intermediate and long end of the market with rates dropping 7 to 11 bps from the three-year out on the curve to the 30-year Treasury security, Ryan said. The flatter yield curve led to stronger performances in longer-duration securities during the month.

The cumulative asset/liability deficit since December 1999 of -46.95% suggests most pensions will have funding ratios of below 70%, the Ryan data indicated. Ryan’s data is based on roughly $200 billion in assets tracked in its Custom Liability Index System.