Perspectives Contributor

Gregory J. Yess, CPA

Ignore Mortality at Your Own Risk

For the fifth year in a row, the updated Society of Actuaries mortality tables have reduced the size of pension liabilities: While this short...

Two Alternatives in the End-state

Many plan sponsors find themselves in the fortunate position of approaching the end of their plan’s glidepath. Favorable market conditions and a contribution nudge...

Groundhog Day Meets Mortality Assumptions

Perhaps it would have been more fitting if the Society of Actuaries published their updated pension mortality improvement scale, MP-2018, on February 2. (For...

SOFR, So Good

The LIBOR transition continues. A global effort has been underway since 2013 to reduce dependency on LIBOR, the benchmark interest rate discredited by a...

Implementing Your Beta

When envisioning any new strategy, it is human nature to skim over the details. Previous posts in this series outlined the strategic rationale and...

Small Balances, Big Bias?

Small balance annuity buyouts have been increasingly popular in the last few years – and for good reason. Given the fixed PBGC premium1 charged per...

Rebuilding Beta

In our previous post, we outlined a framework for evaluating asset allocation decisions and suggested that asset owners could enhance returns by separating investments...

Breaking Down Your Beta

Like visiting the doctor periodically, it is important for an investor to assess the overall health of her portfolio from time to time. At...

Sharing an Interesting Analysis

Sometimes you come across a piece of analysis that is interesting enough to feel compelled to pass it on. I had this reaction while...

Anticipating the FIFO Rule

As the effort to reform the U.S. tax code speeds through the legislative process, it is clear that, whatever the specifics of the ultimate...

The Beginning of the End for LIBOR

The end is nigh for the London Interbank Offered Rate. The CEO of the British markets regulator, the Financial Conduct Authority, announced yesterday that...

Go Long!

The Treasury Department is considering issuing an ultra-long bond with a maturity greater than 30 years. The idea was first raised in post-election interviews...

Taking A Hike

It is a well-known market truism that the Fed tries to avoid surprising markets with its monetary policy decisions, especially when those decisions result...

Equity Spread Duration is Bubbling Up

Summary In recent months we’ve observed that equity’s effective spread duration (ESD) seems especially pronounced—for example, the S&P 500’s ESD is currently about 25...

Make Funded Status Great Again (Again)

The ongoing equity rally and the rise in Treasury yields prompted us to revisit this analysis. Between yesterday’s close (December 1) and November 10,...

Make Funded Status Great Again

It has been an interesting week. Regardless of your political leanings, Tuesday’s election seems to have already produced another unlikely winner: defined benefit plan...

The Topography of Pension Risk

Last week, we participated in the annual P&I Pension Settlements Strategies conference. We will share the full materials in an upcoming post, but I...

Grading Rates on a Curve

Can rates in the U.S. only go up from here? With Treasury yields reaching historical lows recently, it may be tempting to think of...

There’s Beta in My Alpha! (Part 2)

I received some feedback asking whether the high correlation of managers both to beta and to each other applies to “Aggregate” managers as well....

There’s Beta in My Alpha!

When I was a kid, being called different never felt like a good thing. Fortunately, with age I have come to realize that sometimes...

Bonds Without Borders

It may pay to be a little more cosmopolitan when it comes to your bond portfolio. Yield differences between comparable maturity instruments in different...

Long Corporates and Low Treasuries

We talk with a lot of pension plan sponsors who strategically want to hedge their liabilities by buying long duration corporate bonds but who...

Rebalancing? Don’t Forget Derivatives

January’s steep drop in equity prices and rise in bond prices mean that many institutional investors are thinking about the same thing: rebalancing. With...

Spending in Retirement: It’s Complicated

You may have missed that the Employee Benefit Research Institute (EBRI) released a study on retirement spending back in November.* The headline conclusion was...

Live (Less) Long and Prosper?

Working in the pension industry, it can be confusing to know which side to root for when new longevity projections come out. And when...

Our Take on Negative Swap Spreads

While the topic may not have come up at the Thanksgiving table, it’s one of the most discussed issues in the markets right now:...

The Full Picture on Partial Buyouts

We hear annuity buyouts frequently discussed as a silver bullet to reduce pension plan risk. Whether buyouts are the right de-risking option was the...

The Full Picture on Partial Buyouts

Plan sponsors may be disappointed if they expect to eliminate most of their pension risk with a partial buyout. Unless a buyout is paired...

Credit Where It’s Due

When de-risking with liability driven investing, pension plans must decide on the right blend of corporate bonds and Treasuries to hedge their liabilities. We...

Pension Buyout Reality Check

Recent annuity purchases highlight the need to examine what drives their pricing. Plan sponsor announcements that allude to “par” settlements relative to accounting values...

The Beauty of the Bundle

DC participants want the most for their money when choosing a retirement income strategy. While annuities can offer higher income, that value is partially...

Long Live Longevity Annuities

DC plans can now offer deferred “longevity” annuities that provide income in the later years of retirement. This is good news for those participants...

The Long View on Short Rates

Since the 2008 financial crisis, the market has suggested a rapid rise in short-term rates to a higher equilibrium level. And while that future...

Refocusing on Retirement Income Risk

Fixed income allocations in defined contribution plans, while perceived as low risk, may actually expose participants to substantial volatility in retirement income. To reduce...

Spreading Confusion

We have observed (with some bemusement) how the financial media often compares the yields on different countries’ debt without adjustment for the different currencies...

Cash on the Barrelhead

LDI hibernation strategies may present an opportunity to de-risk at a lower expected cost and on a more flexible contribution schedule than annuity buyouts....

At the Crossroads

Many pension plan sponsors and fiduciaries are confronting perhaps the most important decision in the plan’s life – whether to pursue an internal de-risking...

Putting Longevity Risk in its Place

Pension plans run the risk that actual beneficiary lifespans can exceed those assumed in their liability projections. We estimate the risk to be about...

Contribution Relief with a Catch

At first blush, MAP-21 would appear to make pension plan contributions less likely in the near term. However, it also makes pension deficits more...

Defining the Pension De-Risking Spectrum

Pension de-risking need not be an all-or-nothing decision. In fact, plan fiduciaries may be surprised by the degree to which pension risk profiles can...

PSRX Overview

NISA’s proprietary Pension Surplus Risk Index (PSRX®) and supplemental data offer plan fiduciaries a means of monitoring plan funded status volatility and the ability...

Prospective Funded Status Volatility

Negative performance of risk assets, coupled with lower interest rates, has had the obvious effect of reducing funded status for most corporate defined benefit...

Break-even Yield Curve

Like any market, timing interest rates is challenging. This brief addresses one key, and often overlooked, aspect of interest rate levels – specifically, rate...

Dynamic Liability Driven Investing

Pension plans have used Liability Driven Investment (LDI) strategies for years. In this brief we introduce a more comprehensive platform: Dynamic LDI. The improvement...

Interest Rate Hedges

Interest rate markets have experienced pronounced volatility in recent years. Many pension liability hedge strategies that relied heavily on derivatives and Treasury bonds outperformed...