High-level monthly barometer of pension annuitization affordability

1. PENSION RISK TRANSFER INDEX ™
August 1, 2012 PRT Index Level
What is the Dietrich Pension Risk Transfer (PRT) Index ?
The Dietrich Pension Risk Transfer Index has been designed to create a monthly 79.80
benchmark that tracks the relative attractiveness of annuitizing accrued pension
obligations by considering three key underlying financial ratios 80 95 105 120
 Funded Status Level (50% Index Weight) Annuitization Attractiveness
 Current /Historical Annuity Rates (30% Index Weight) Plan/Monitor Opportunistic Settlement Attractive
 Annuity Rates vs. Treasury and Corporate Bonds (20% Index Weight) Sept 2010: Jan 2009:
Index Low =82.7 Index High =121.4
Annual PRT Index PRT INDEX Monthly PRT Index PRT INDEX
108.00
130.0%
103.00
110.6 121.4
110.0% 98.00
93.00
90.0% 88.00
91.5 90.0 83.00
86.7
70.0% 78.00
Jan-08 Jan-09 Jan-10 Jan-11 Jan-12
Mar-12
Mar-10
May-10
Jan-11
Mar-11
May-11
May-12
Jan-10
Nov-10
Nov-11
Jan-12
Jul-10
Sep-10
Jul-11
Sep-11
Jul-12
Effective 8/1/2012
Commentary: The monthly index level was driven to its lowest level on record, by declining pension funding levels, interest rates, and annuity
discount rates. The current annuity discount rate proxy of 2.54% has fallen 66 bps since the beginning of the year.
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