A monthly update highlighting key market indicators that are most relevant for pension plans
LGIM America estimates that pension funding ratios increased ~0.3% throughout May, primarily due to strong equity performance. Our calculations indicate the discount rate’s Treasury component decreased 2 basis points while the credit component tightened 2 basis points, resulting in a net decrease of 4 basis points.1 Overall, liabilities for the average plan increased 0.7%, while plan assets with a traditional “60/40” asset allocation rose ~1.1%.2
Source: Bloomberg/Barclays and LGIM America as of May 31, 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 Barclays Aggregate.