aftermath

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Archive for October 12th, 2008

Aftermath Pension Metric – Draft 2

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I’ve taken this holiday weekend, this month’s economic turmoil, and the past year’s efforts at my favorite hobby as occasion to launch something I’ve dreamed and worked toward for nearly a quarter of a century: what I’m calling the Aftermath Pension Metric. Although I was comfortable enough with the APM’s first draft to post the preliminary results, I have numerous refinements planned, so will see many drafts through the remainder of 2008, hoping to be pretty much settled in by the end of the year. I don’t anticipate any of the drafts taking the APM very far from any preceding draft, and I expect basic trends to remain intact throughout. But for now, this remains very much a work in progress.

Draft 2 knocks about 25-30 basis points off the APM results previously given in Draft 1, but as expected leaves intact the basic trend we’ve seen for October 2008 –

  10/9/2008   91.37
  10/8/2008   93.68
  10/7/2008   93.22
  10/6/2008   94.95
  10/3/2008   97.05
  10/2/2008   97.98
  10/1/2008   99.57
  9/30/2008   99.71

Further details are provided in the APM document.

(Remember, as I’ve previously observed, posts such as this represent efforts of my favorite pastime. My formal work does not involve any of this, and none of it represents any position or comment that should in any way be attributed to my employer. Likewise, as always, it represents general personal impressions and should not be treated or used as formal professional advice.)

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Written by macheide

12 October 2008 at 5:38 pm

Posted in άctuary

New Box, Same Old Noodles

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Packaging along the same lines as that of a certain maverick-wannabe. “Voters react negatively to negative campaigning, so I’m going to run a clean campaign.” . . . “No wait, hold on, I do still want to win at any cost, so let’s go with traditional politics.”

New box. Same old noodles.

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Written by macheide

12 October 2008 at 12:13 pm

Posted in vagblanc

Aftermath Pension Metric – Background

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Basic Indicator – Pension Funded Status. The Aftermath Pension Metric (APM) is a general measure of the funded status of defined benefit pension plans sponsored by private U.S. employers. An APM over 100 indicates that the aggregate market value of pension plan assets exceeds the aggregate projected benefit obligation of the plans; an APM under 100 indicates a deficit of assets relative to obligations.

Alter Ego – Aggregate Economic Measure. The APM provides a unique aggregate measure of diverse economic conditions, more so than any other single measure reflecting the combination of many significant economic forces. As the stock market rises and falls, so too will the APM, all else constant. As interest rates rise and fall, so too will the APM, all else constant. But once fully developed, the APM reflects many other economic trends beyond those basic two, ranging from the cost of living to currency values to demograpic trends, as well as trends in the design of retirement savings programs and retirement financing decisions.

Employers – Dynamic S&P 500. The APM as of any particular date is based on the S&P 500 constituents as of that date. For example, APM values for October 2008 include Wrigley’s pension plan through October 2, but not beyond, since the S&P 500 replaced Wrigley with Dr. Pepper Snapple Group on October 3.

Primary Data Source – 10-k Annual Financial Statements. The APM as of any particular date is based information disclosed by companies on their 10-k annual financial statements filed through that particular date.

Defined Benefit Pension Plans. The APM reflects the plan assets and projected benefit obligations for U.S. tax-qualified single-employer defined benefit pension plans, defined benefit nonqualified supplemental executive retirement plans (SERPs), and defined benefit foreign pension plans. Note that SERPs are generally unfunded, and that foreign pension plans generally are less well funded than are U.S. qualified pension plans.

Accounting – SFAS 87 Measurements. The APM is based on the market value of pension plan asssets and the projected benefit obligation, as measured and reported under generally accepted acounting principles prescribed by SFAS 87.

Further details and methodology notes will be provided in a document I’ll post online shortly.

(Remember, as I’ve previously observed, posts such as this represent efforts of my favorite pastime. My formal work does not involve any of this, and none of it represents any position or comment that should in any way be attributed to my employer. Likewise, as always, it represents general personal impressions and should not be treated or used as formal professional advice.)

actuary cat feed subscribe to aftermath’s άctuary category

bumper sticker [www.internetbumperstickers.com] - actuary

Written by macheide

12 October 2008 at 5:38 am

Posted in άctuary