Pension Solutions’ Monitor

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.