April’s performance means 2004 is back in a positive asset/liability value added position after March concluded a quarter in which the asset/liability deficit favored liabilities (See Liabilities Gain Distance Over Assets ). For the year, assets have underperformed liabilities by 0.86%, according to data supplied by Ryan Labs, the specialist fixed income research and asset management firm that manages bond portfolios tailored to match plans’ liability profiles.
Since December 1999, the cumulative Asset/Liability deficit is now at -46.01% suggesting funding ratios below 70% for most pensions.
Examining April’s fixed-income market showsabsolute total returns were negative across the board as a greater than expected nonfarm payroll number for the month of March spooked investors and traders alike in the fixed income markets. The yield curve blew out by 50 to 85 basis points as the curve steepened out to the five year area and then flattened into the long end.