Ryan: Asset, Liabilities Both Up in November

December 5, 2003 (PLANSPONSOR.com) - Both liabilities and assets turned in a positive performance last month, yet the pension asset/liability gap continued to widen in November.

Assets recorded a return of 0.72% in November, compared with a 0.95% performance turned in by liabilities.   This in turn helped spur a movement in the 2003 asset/liability ratio, which now stands at 15.14% year to date from 14.28% last month (See  Ryan: Negative Bond Market Helps Improve Pension Asset/Liability Ratio ), according to data from Ryan Labs. 

Examining November’s fixed-income markets shows the yield curve flattened compared to October’s number, increasing by 13 to 30 basis points in the two-to-five year segment of the government curve.   This was attributed to the static monthly performance of the long yields, while swap spreads tightened 2 to 12 basis points in the short end and swaption volatility fell in the short tenors and rose modestly for long term maturities.

Since December 1999, the asset-to-liability growth rate difference (pension deficit) is now -47.90%, suggesting funding ratios below 70% for most pensions.  Ryan’s data is based on roughly $200 billion in assets tracked in its Custom Liability Index system.