NISA Launches Pension Risk Transfer (PRT) Credit Risk Monitor

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Aug 01, 2023, 14:00 ET

With annual PRT transactions of approximately $40b, pensioners risk losing as much as $5b per annum in the form of uncompensated credit risk for bearing the risk of lower-quality insurers.
Recent insurance company innovations have increased the complexity of evaluating PRT providers.
NISA's PRT Credit Risk Monitor is a market-based measure of the typical PRT providers' relative credit risk that NISA is making available to fiduciaries to assist them in identifying a "safest annuity available*."

ST. LOUIS, Aug. 1, 2023 /PRNewswire/ -- NISA Investment Advisors, LLC, an industry-leading asset manager of customized strategies for world-leading organizations, announced today the launch of its PRT Credit Risk Monitor. The analytical credit risk assessment tool measures the potential Economic Loss to Beneficiaries (ELB) as a function of the market price of credit risk for the chosen insurer minus the market price of risk of the safest available insurer.

"We believe looking at market pricing for comparable investments/policies aligns well with ERISA's prudent expert standard – i.e., the market is a competitive environment with a multitude of experts seeking to maximize their risk-adjusted outcomes," said David G. Eichhorn, CFA, NISA's CEO and Head of Investment Strategies.

NISA's PRT Credit Risk Monitor updates quarterly, tracking the potential ELB for the following insurers:

Athene
Corebridge
Fidelity & Guaranty Life
MassMutual
NY Life
PacLife
Principal
Prudential

Mr. Eichhorn concluded: "Arguably, the market price is singularly sufficient for assessing the credit risk of an insurer, as all other information (rating, capital structure and portfolio quality) is available to all market participants and is presumed embedded in the price."

Please click here for more details on the PRT Credit Risk Monitor's methodology and the latest ELB scores for the above insurers.

* Largely governed by the Department of Labor's Interpretive Bulletin 95-1 from 1995, fiduciaries must act with "care, skill, prudence and diligence under the prevailing circumstances" when assessing PRT options.

About NISA Investment Advisors, LLC
NISA Investment Advisors, LLC is a registered investment adviser, and manages assets for some of the largest institutional investors in the U.S. The firm is 100% employee-owned and based in St. Louis, Missouri. Client portfolios include investment-grade fixed income, derivative overlay and equity investments. As of June 30, 2023, NISA managed $270 billion in physical assets and $225 billion in derivative notional value in separate account portfolios. $19.8 billion in Repurchase Agreement notional and underlying assets are reported in both physical assets and derivatives notional value under management.

For more information, visit www.nisa.com and see us on LinkedIn.

Contact:
Michael Herley for NISA Investment Advisors, LLC
[email protected] or 203-308-1409

SOURCE NISA Investment Advisors, LLC