Pension Solutions Monitor

LGIM America estimates that pension funding ratios increased ~2.8% throughout March from 93.5% to 96.3%. While asset performance for a typical plan with a traditional asset allocation was muted over the month, the increase in pension plan discount rates was the primary driver for the increase in funding ratios. Our calculations indicate the discount rate’s Treasury component increased 37 basis points, while the credit spread component tightened 8 basis points, resulting in a 29 basis point increase.¹ Overall, liabilities for the average plan decreased 2.7%, while plan assets with a traditional “60/40” asset allocation rose by ~0.22%.²

Source: Bloomberg and LGIM America as of March 31, 2022. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Bloomberg Aggregate.

LGIM America estimates that pension funding ratios increased ~0.7% throughout February from 92.8% to 93.5%. The primary driver of the modest increase was the fall in liability values due to a rising discount rate. This overshadowed the negative asset performance over the month. Our calculations indicate the discount rate’s Treasury and credit spreads components increased 9 basis points and 17 basis points, respectively, totaling a 26 basis point increase.¹ Overall, liabilities for the average plan decreased 2.7%, while plan assets with a traditional “60/40” asset allocation declined by ~2.0%.²

Source: Bloomberg and LGIM America as of February 28, 2022. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Bloomberg Aggregate.

LGIM America estimates that pension funding ratios were relatively stable throughout January, increasing from 92.6% to 92.8%. The fall in liability values from rising discount rates outpaced the poor equity performance on the asset side, resulting in the 0.2% rise in the average plan's funded status. Our calculations indicate the discount rate’s Treasury component increased 26 basis points while the credit component widened 13 basis points.¹ Overall, liabilities for the average plan decreased 4.1%, while plan assets with a traditional “60/40” asset allocation declined by ~3.8%.²

Source: Bloomberg and LGIM America as of January 31, 2022. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Bloomberg Aggregate.

LGIM America estimates that pension funding ratios increased ~2.5% throughout December, primarily due to strong global equity performance. Our calculations indicate the discount rate’s Treasury component increased 9 basis points while the credit component tightened 3 basis points, resulting in a net increase of ~6 basis points.¹ Overall, liabilities for the average plan decreased 0.4%, while plan assets with a traditional “60/40” asset allocation rose by ~2.3%.²

Source: Bloomberg and LGIM America as of December 31, 2021. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Bloomberg Aggregate.

LGIM America estimates that pension funding ratios decreased ~1.6% throughout November, primarily due to poor equity performance and lower Treasury yields. Our calculations indicate the discount rate’s Treasury component declined 14 basis points while the credit component widened 12 basis points, resulting in a net decrease of ~2 basis points.¹ Overall, liabilities for the average plan increased 0.5%, while plan assets with a traditional “60/40” asset allocation declined by ~1.3%.²

Source: Bloomberg and LGIM America as of November 30, 2021. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Bloomberg Aggregate.

LGIM America estimates that pension funding ratios increased ~2.0% throughout October, primarily due to robust global equity performance. Our calculations indicate the discount rate’s Treasury component declined 4 basis points while the credit component was relatively unchanged, resulting in a net decrease of 4 basis points.¹ Overall, liabilities for the average plan increased 0.8%, while plan assets with a traditional “60/40” asset allocation rose by ~3.1%.²

Source: Bloomberg and LGIM America as of October 31, 2021. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Bloomberg Aggregate.

LGIM America estimates that pension funding ratios decreased ~1.1% throughout September, primarily due to weak global equity performance. Our calculations indicate the discount rate’s Treasury component rose 19 basis points while the credit component tightened 3 basis points, resulting in a net increase of 16 basis points.¹ Overall, liabilities for the average plan decreased 1.6%, while plan assets with a traditional “60/40” asset allocation declined by ~2.8%.²

Source: Bloomberg and LGIM America as of September 30, 2021. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Bloomberg Aggregate.

LGIM America estimates that pension funding ratios increased ~1.6% throughout August, primarily due to the strong global equity performance. Our calculations indicate the discount rate’s Treasury component rose 3 basis points while the credit component widened 2 basis points, resulting in a net increase of 5 basis points.¹ Overall, liabilities for the average plan decreased 0.3%, while plan assets with a traditional “60/40” asset allocation grew by ~1.4%.²

Source: Bloomberg and LGIM America as of August 31, 2021. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Bloomberg Aggregate.

LGIM America estimates that pension funding ratios decreased ~0.7% throughout July, primarily due to declining Treasury yields. Our calculations indicate the discount rate’s Treasury component decreased 18 basis points while the credit component widened 6 basis points, resulting in a net decrease of 12 basis points.¹ Overall, liabilities for the average plan increased 1.7%, while plan assets with a traditional “60/40” asset allocation rose ~0.9%. ²

Source: Bloomberg/Barclays and LGIM America as of July 31, 2021. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIM America estimates that pension funding ratios decreased ~1.5% throughout June, primarily due to declining Treasury yields. Our calculations indicate the discount rate’s Treasury component decreased 17 basis points while the credit component tightened 3 basis points, resulting in a net decrease of 20 basis points.¹ Overall, liabilities for the average plan increased 2.8%, while plan assets with a traditional “60/40” asset allocation rose ~1.1%. ²

Source: Bloomberg/Barclays and LGIM America as of June 30, 2021. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIM America estimates that pension funding ratios increased ~0.3% throughout May, primarily due to strong equity performance. Our calculations indicate the discount rate’s Treasury component decreased 2 basis points while the credit component tightened 2 basis points, resulting in a net decrease of 4 basis points.¹ Overall, liabilities for the average plan increased 0.7%, while plan assets with a traditional “60/40” asset allocation rose ~1.1%.²

Source: Bloomberg/Barclays and LGIM America as of May 31, 2021. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIM America estimates that pension funding ratios increased ~0.4% throughout April, with the strong equity performance being offset by lower discount rates. Our calculations indicate the discount rate’s Treasury component decreased 12 basis points while the credit component tightened 8 basis points, resulting in a net decrease of 20 basis points.¹ Overall, liabilities for the average plan increased 2.6%, while plan assets with a traditional “60/40” asset allocation rose ~3.0%.²

Source: Bloomberg/Barclays and LGIM America as of April 30, 2021. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIM America estimates that pension funding ratios increased ~3.7% throughout March, with the impact primarily due to strong equity performance and higher discount rates. Our calculations indicate the discount rate’s Treasury component increased 24 basis points while the credit component widened 5 basis points, resulting in a net increase of 29 basis points.¹ Overall, liabilities for the average plan decreased 3.0%, while plan assets with a traditional “60/40” asset allocation rose ~1.1%.²

Source: Bloomberg/Barclays and LGIM America as of March 31, 2020. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIM America estimates that pension funding ratios increased ~3.5% throughout February, with the impact primarily due to strong equity performance and higher liability discount rates. Our calculations indicate the discount rate’s Treasury component increased 38 basis points while the credit component tightened 8 basis points, resulting in a net increase of 30 basis points.¹ Overall, liabilities for the average plan decreased -3.2%, while plan assets with a traditional “60/40” asset allocation rose ~0.8%.²

Source: Bloomberg/Barclays and LGIM America as of February 28, 2020. Numbers shown above may not add up due to rounding.
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIM America estimates that pension funding ratios increased ~1.5% throughout January, with the impact primarily due to higher Treasury yields driving liability values lower.¹ Although plan assets with a traditional “60/40” asset allocation decreased slightly, they did not fall as much as liabilities.²

Source: Bloomberg/Barclays and LGIM America as of January 31, 2020
1. Discount rates based on a blend of the Intercontinental Exchange Mature US Pension Plan AAA-A and Intercontinental Exchange Retired US Pension Plan AAA-A discount curves.
2. For the average plan LGIM America assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.