February 2021

LGIM America estimates that pension funding ratios increased ~3.5% throughout February, with the impact primarily due to strong equity performance and higher liability discount rates. Our calculations indicate the discount rate’s Treasury component increased 38 basis points while the credit component tightened 8 basis points, resulting in a net increase of 30 basis points.1 Overall, liabilities for the average plan decreased -3.2%, while plan assets with a traditional “60/40” asset allocation rose ~0.8%.2

Source: Bloomberg/Barclays and LGIM America as of February 28, 2020. 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 Barclays Aggregate.

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