April 2022

LGIM America estimates that pension funding ratios increased ~0.9% throughout April from 96.3% to 97.2%. 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 component and the credit spread component increased 54 basis points and 18 basis points respectively, resulting in a 72 basis points increase.1 Overall, liabilities for the average plan decreased 7.1%, while plan assets with a traditional “60/40” asset allocation decreased by ~6.3%.2

Source: Bloomberg and LGIM America as of April 30, 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.

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