Fixed Income Management

Ryan ALM will neutralize interest rate risk by matching the duration term structure of the index benchmark. We then optimize returns by out-yielding the index benchmark within each duration term structure cell. This will produce low risk and enhanced returns relative to said benchmark. Our system of credit filters is designed to avoid solvency issues. As a proof statement, these filters have enabled us to avoid any defaults since the firm’s founding.

Discount Rates

In conformity to ASC 715 (FAS 158) rules, Ryan ALM provides a series of four discount rate yield curves (full universe, above median, top 1/3, high end). We consistently show a higher yield than the popular discount rates used among pensions.

Custom Liability Index (CLI)

The CLI is designed to be the proper benchmark to liability driven objectives. The CLI calculates the present value of liabilities based on numerous discount rates (ASC 715 (FAS 158), PPA – MAP 21, PPA – Spot Rates, GASB 67, Market). The CLI calculates the growth rate, summary statistics and interest rate sensitivity as a series of monthly reports.

Liability Beta Portfolio™️ (LBP)

Once the CLI is installed, Ryan ALM can manage assets as an LBP, which cash flow matches each client’s projected liability benefit payment schedule using investment grade bonds. This is the most cost-efficient way to de-risk a pension. Our LBP model has been back tested to December 2009, showing a consistent cost savings vs. ASC 715 (FAS 158) liability valuation by 8% to 15%.  

Liquidity Management

Ryan ALM provides a customized liquidity solution that will fully fund benefits and expenses chronologically at low cost. Our cash flow matching approach provides certainty (barring a default) of cash flows that will accurately defease monthly liabilities for as far out as each client wishes. Our solution can eliminate the “cash sweep”  approach and allow growth assets to grow unencumbered which should enhance their ROA. Because we buy investment grade corporate bonds cash flow matched to the liability cash flows, we should outyield typical cash management strategies.