By David B. Chittim
Senior Vice President, Investments, BNY Mellon Asset Management, and
Andrew D. Wozniak, ASA, MAAA
Director of Research, BNY Mellon Asset Management

Sponsors of defined benefit plans increasingly recognize the benefits of aligning the plan’s asset allocation with its liabilities: reduced funding and expense risk, with more consistent funding levels. At the same, there has been a dearth of good information on how liabilities are performing in a real-time, “real world” environment. Benchmarking of both assets and liabilities is an important component of an effective asset/liability strategy.

In response to this need, BNY Mellon Asset Management has designed the BNY Mellon Pension Liability Indexes, a set of benchmarks that closely track the market value of actual pension liabilities, using current discount rates. The total return of these benchmarks can be compared to a range of investment portfolios with different asset and risk profiles, which allows plan sponsors to evaluate the effectiveness of investment strategies under a variety of economic and interest rate conditions.

This report explains the indexes in theory and practice, including a sample monthly index update. For a hard copy and more information, please contact Peter Austin of BNY Mellon Pension Services at 412 234-4474.

The preceding information is based upon the analysis of historical performance of various asset classes and assumptions with respect to future economic conditions. Past performance is not an indication of future results. This information is not intended to provide specific advice, recommendations or projected returns of any particular BNY Mellon Asset Management product.