Although assets gained 1.28% for the month of February, liabilities grew 2.46%. With February’s overall lackluster performance, the asset/liability deficit has favored liabilities for the first two months of 2004 (See Ryan: 2004 Starts with Pension Asset/Liability Gap ) and for the year, assets have underperformed liabilities by 1.93%, according to data supplied by Ryan Labs.
Since December 1999, the cumulative Asset/Liability deficit is now at -47.60% suggesting funding ratios below 70% for most pensions.
Examining February’s fixed-income market show all sectors experienced positive, absolute return performance for the second month in a row as yields fell across the nominal curve. The yield curve moved down in a roughly parallel fashion as rates declined from 12 to 20 basis points throughout the curve.
Looking back to 2003, Ryan Labs saw reason to be happy, determining assets grew 20.04% for the year compared to liabilities growing 1.96%. However, the numbers will trend downwards, Ryan found, due to smoothing practices and the use of non-market discount rates employed by private and public plans.