November 2021

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.


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