Pension funding ratios

October

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.

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