Pension Solutions’ Monitor

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.

LGIM America estimates that pension funding ratios increased ~2.3% throughout December, with the impact primarily due to the strong equity performance outpacing plan liabilities. Our calculations indicate the discount rate’s Treasury component increased 7 basis points while the credit component tightened 6 basis points, resulting in a net increase of 1 basis point.¹ Overall, liabilities for the average plan remained relatively flat, while plan assets with a traditional “60/40” asset allocation rose ~2.9%.²

Source: Bloomberg/Barclays and LGIM America as of December 31, 2020
1. 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
2. For the average plan LGIMA assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIMA estimates that pension funding ratios increased ~2.4% throughout November, with the impact primarily due to strong equity performance outpacing plan liabilities. Our calculations indicate the discount rate’s Treasury component decreased 5 basis points while the credit component tightened 22 basis points, resulting in a net decrease of 27 basis points.¹ Overall, liabilities for the average plan increased ~4.5%, while plan assets with a traditional “60/40” asset allocation rose ~7.8%.²

Source: Bloomberg/Barclays and LGIMA as of November 30, 2020
1. 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
2. For the average plan LGIMA assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIMA estimates that pension funding ratios decreased ~0.5% throughout October, with the impact primarily due to poor equity performance. Our calculations indicate the discount rate’s Treasury component increased 18 basis points while the credit component tightened 10 basis points, resulting in a net increase of 8 basis points.¹ Overall, liabilities for the average plan decreased ~0.9%, while plan assets with a traditional “60/40” asset allocation2 fell ~1.6%.²

Source: Bloomberg/Barclays and LGIMA as of October 31, 2020
1. 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
2. For the average plan LGIMA assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIMA estimates that pension funding ratios decreased ~1.2% throughout September, with the impact primarily due to poor equity performance. Our calculations indicate the discount rate’s Treasury component declined 2 basis points while the credit component widened 6 basis points, resulting in a net increase of 4 basis points.¹ Overall, liabilities for the average plan decreased ~0.4%, while plan assets with a traditional “60/40” asset allocation fell ~1.9%.²

Source: Bloomberg/Barclays and LGIMA as of September 30, 2020
1. 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
2. For the average plan LGIMA assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIMA estimates that pension funding ratios increased ~5.6% throughout August, with the impact primarily due to strong global equity performance and a higher discount rate. Our calculations indicate the discount rate’s Treasury component increased 24 basis points while the credit component widened 4 basis points, resulting in a net increase of 28 basis points.¹ Overall, liabilities for the average plan decreased ~4.0%, while plan assets with a traditional “60/40” asset allocation2 increased by ~3.4%.²

Source: Bloomberg/Barclays and LGIMA as of August 31, 2020
1. 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
2. For the average plan LGIMA assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.

LGIMA estimates that pension funding ratios decreased ~1.8% throughout July, with the impact primarily due to a lower discount rate driving liability values higher. Our calculations indicate the discount rate’s Treasury and credit components each decreasing 19 basis points, resulting in an overall decrease of 38 basis points.¹ In all, liabilities for the average plan increased ~6.4%, while plan assets with a traditional “60/40” asset allocation increased by only ~3.8%.²

Source: Bloomberg/Barclays and LGIMA as of July 31, 2020
1. 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
2. For the average plan LGIMA assumes a 60% allocation to MSCI AC World and a 40% allocation to Barclays Aggregate.