High-level barometer of pension annuitization attractiveness

1. PENSION RISK TRANSFER INDEX ™
June 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 91.66
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
130.0% 108.00
110.6 121.4 103.00
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
May-11
May-10
May-12
Jan-10
Mar-10
Jan-11
Mar-11
Jan-12
Mar-12
Jul-10
Nov-10
Jul-11
Nov-11
Sep-10
Sep-11
Effective 6/1/2012
Commentary: US Treasury yields dropped significantly more than annuity discount. rates. Current annuity rate (2.89%) is more than double the
10 year US Treasury yield (1.43% as of June 1, 2012). Current annuity levels, while low by historical levels, offer significant value on a spread vs.
treasury basis.
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