As of March 20th, LGIMA estimates that pension funding ratios decreased 5.7% year to date, with changes primarily attributed to negative global equity performance. Our calculations indicate the discount rate’s Treasury component fell by 85 basis points while the credit component widened 177 basis points, resulting in a net increase of 92 basis points. Overall, liabilities for the average plan have decreased ~11.6% while plan assets with a traditional “60/40” asset allocation have declined ~17.7% year to date. Our March 19th calculations indicated a 5.9% decrease in funding ratio throughout 2020.
Bloomberg Barclays, LGIMA. Data as of March 20, 2020. Discount rates based on a blend of the Intercontinental Exchange US Pension Plan AAA-A and Intercontinental Exchange Mature US Pension. Plan AAA-A discount curves, For the average plan LGIMA assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.
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