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Pension Solutions Monitor

January 2024

US pension funding ratios remained relatively unchanged throughout January

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios remained relatively stable throughout January 2024. Based on market movements, the average funding ratio is estimated to have modestly declined from 104.1% to 103.9%.

Equity markets modestly increased throughout the month with Global Equities1 rising 0.61% and the S&P 500 up 1.68%. Plan discount rates2 were estimated to have increased 7 basis points over the month with the Treasury component increasing 12 basis points and the credit component tightening 5 basis points. Plan assets with a traditional “50/50” asset allocation decreased 0.46% while liabilities decreased 0.29%, resulting in relatively stable funding ratios by January month-end.

The Pension Solutions Monitor assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.3

Pension funded status market summary:

  • Equity markets delivered positive performance with Global Equities and the S&P 500 up slightly over the month.
  • Plan liabilities decreased over the month due to rising Treasury yields.
  • Funding ratio levels remained relatively stable throughout the month.
 

Funded status risk

Jan 2024

Equities

Interest rates

Credit spreads

Sources: LGIM America, ICE indices and Bloomberg. Data as of January 31, 2024.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.
  3. Prior to January 2023 the funded ratio of a typical US corporate defined benefit plan was calculated using an approximate duration of 12 years and a 60% MSCI AC World Total Gross Index / 40% Bloomberg US Aggregate Index (“60/40“) investment allocation strategy incorporating data from LGIM America research, ICE indices and Bloomberg. The change to a “50/50“ asset allocation reflects our understanding that most US corporate defined benefit plans have extended the duration of their fixed income as funded status has improved for the broader market. Furthermore, we believe that the duration of a typical plan's fixed income portfolio is better represented by the Bloomberg US Long Government/Credit Index compared to the Bloomberg US Aggregate Index.

For educational purposes only.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

US pension funding ratios increased throughout December

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios increased throughout December 2023. Based on market movements, the average funding ratio is estimated to have increased from 103.4% to 104.1%.

Equity markets were strong throughout the month with Global Equities1 increasing 4.8% and the S&P 500 rising 4.5%. Plan discount rates2 were estimated to have decreased 52 basis points over the month with the Treasury component decreasing 51 basis points and the credit component tightening 1 basis point. Plan assets with a traditional “50/50” asset allocation increased 6.4% while liabilities increased 5.7%, resulting in an increase in funding ratios by December month-end.

The Pension Solutions Monitor assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.3

Pension funded status market summary:

  • Equity markets delivered strong performance with Global Equities and the S&P 500 up over the month.
  • Plan liabilities increased over the month due to decreasing Treasury yields.
  • Funding ratio levels increased as the rise in assets outpaced the rise in liabilities.
 

Funded status risk

Dec 2023

Equities

Interest rates

Credit spreads

Sources: LGIM America, ICE indices and Bloomberg. Data as of December 29, 2023.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.
  3. Prior to January 2023 the funded ratio of a typical US corporate defined benefit plan was calculated using an approximate duration of 12 years and a 60% MSCI AC World Total Gross Index / 40% Bloomberg US Aggregate Index (“60/40“) investment allocation strategy incorporating data from LGIM America research, ICE indices and Bloomberg. The change to a “50/50“ asset allocation reflects our understanding that most US corporate defined benefit plans have extended the duration of their fixed income as funded status has improved for the broader market. Furthermore, we believe that the duration of a typical plan's fixed income portfolio is better represented by the Bloomberg US Long Government/Credit Index compared to the Bloomberg US Aggregate Index.

For educational purposes only.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

US pension funding ratios increased throughout November

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios increased throughout November 2023. Based on market movements, the average funding ratio is estimated to have increased from 102.2% to 103.4%.

Equity markets were strong throughout the month with Global Equities1 increasing 9.3% and the S&P 500 rising 9.1%. Plan discount rates2 were estimated to have decreased 78 basis points over the month with the Treasury component decreasing 57 basis points and the credit component tightening 21 basis points. Plan assets with a traditional “50/50“ asset allocation increased 9.6% while liabilities climbed 8.2%, resulting in a modest increase in funding ratios by November month-end.

The Pension Solutions Monitor assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.3

Pension funded status market summary:

  • Equity markets delivered strong performance with Global Equities and the S&P 500 up over the month.
  • Plan liabilities increased over the month due to declining discount rates.
  • Funding ratio levels increased modestly as the rise in assets outpaced the rise in liabilities.
 

Funded status risk

Nov 2023

Equities

Interest rates

Credit spreads

Sources: LGIM America, ICE indices and Bloomberg. Data as of November 30, 2023.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.
  3. Prior to January 2023 the funded ratio of a typical US corporate defined benefit plan was calculated using an approximate duration of 12 years and a 60% MSCI AC World Total Gross Index / 40% Bloomberg US Aggregate Index (“60/40“) investment allocation strategy incorporating data from LGIM America research, ICE indices and Bloomberg. The change to a “50/50“ asset allocation reflects our understanding that most US corporate defined benefit plans have extended the duration of their fixed income as funded status has improved for the broader market. Furthermore, we believe that the duration of a typical plan's fixed income portfolio is better represented by the Bloomberg US Long Government/Credit Index compared to the Bloomberg US Aggregate Index.

For educational purposes only.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

US pension funding ratios decreased throughout October

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios decreased throughout October 2023. Based on market movements, the average funding ratio is estimated to have decreased from 102.6% to 102.2%.

Equity markets were weak throughout the month with global equities1 decreasing 2.9% and the S&P 500 falling 2.1%. Plan discount rates2 were estimated to have increased 41 basis points over the month with the Treasury component increasing 35 basis points and the credit component widening 6 basis points. Plan assets with a traditional “50/50” asset allocation decreased 3.7% while liabilities dropped 3.3%, resulting in a modest decrease in funding ratios by October month-end.

The Pension Solutions Monitor assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

Pension funded status market summary:

  • Equity markets delivered weak performance with global equities and the S&P 500 down over the month.
  • Plan liabilities decreased over the month due to rising discount rates.
  • Funding ratio levels fell modestly as the drop in assets outpaced the drop in liabilities.
 

Funded status risk

Oct 2023

Equities

Interest rates

Credit spreads

Sources: LGIM America, ICE indices and Bloomberg. Data as of October 31, 2023.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.

For educational purposes only.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

US pension funding ratios decreased throughout September

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios decreased throughout September 2023. Based on market movements, the average funding ratio is estimated to have decreased from 103.6% to 102.6%.

Equity markets were weak throughout the month with global equities1 decreasing 4.1% and the S&P 500 falling 4.8%. Plan discount rates2 were estimated to have increased 50 basis points over the month with the Treasury component increasing 52 basis points and the credit component tightening 2 basis points. Plan assets with a traditional “50/50” asset allocation decreased 5.2% while liabilities dropped 4.2%, resulting in a decrease in funding ratios by September month-end.

The Pension Solutions Monitor assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

Pension funded status market summary:

  • Equity markets delivered weak performance with global equities and the S&P 500 down over the month.
  • Plan liabilities moderately decreased over the month due to rising Treasury yields.
  • Funding ratio levels fell as the drop in assets outpaced the drop in liabilities.
 

Funded status risk

Sept 2023

Equities

Interest rates

Credit spreads

Sources: LGIM America, ICE indices and Bloomberg. Data as of September 29, 2023.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.

For educational purposes only.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

US pension funding ratios decreased throughout August

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios decreased through August 2023. Based on market movements, the average funding ratio is estimated to have decreased from 104.9% to 103.6%.

Equity markets were weak throughout the month with Global Equities1 decreasing 2.8% and the S&P 500 decreasing 1.6%. Plan discount rates2 were estimated to have increased 18 basis points over the month with the Treasury component increasing 19 basis points and the credit component tightening 1 basis point. Plan assets with a traditional “50/50” asset allocation decreased 2.5% while liabilities decreased 1.4%, resulting in a fall in funding ratios by August month-end. The decrease in equities outpaced the drop in liabilities to push funding ratios lower throughout the month.

The Pension Solutions Monitor assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

Pension funded status market summary:

  • Equity markets delivered weak performance with Global Equities and the S&P 500 down.
  • Plan liabilities moderately decreased over the month.
  • Funding ratio levels dropped as the decrease in assets outpaced the drop in liabilities.
 

Funded status risk

Aug 2023

Equities

Interest rates

Credit spreads

Sources: LGIM America, ICE indices and Bloomberg. Data as of August 31, 2023.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.

For educational purposes only.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

US pension funding ratios increased throughout July

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios increased through July 2023. Based on market movements, the average funding ratio is estimated to have increased from 103.5% to 104.9%.

Equity markets were strong throughout the month with Global Equities1 increasing 3.7% and the S&P 500 increasing 3.2%. Plan discount rates2 were estimated to have increased 5 basis points over the month with the Treasury component increasing 15 basis points and the credit component tightening 10 basis points. Plan assets with a traditional “50/50” asset allocation increased 1.3% while liabilities stayed relatively flat, resulting in a strong improvement in funding ratios by July month-end. The increase in equities outpaced liabilities to improve funding ratios throughout the month.

The Pension Solutions Monitor assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

Pension funded status market summary:
  • Equity markets delivered strong performance with Global Equities and the S&P 500 up.
  • Plan liabilities stayed relatively the same over the month.
  • Funding ratio levels improved as the outperformance in assets outpaced relatively steady liabilities.

  

Funded status risk

July 2023

 

Equities

 

Interest rates

 

Credit spreads

 

Sources: LGIM America, ICE indices and Bloomberg. Data as of July 31, 2023.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.

For educational purposes only.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

US pension funding ratios increased through June

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios increased through June 2023. Based on market movements, the average funding ratio is estimated to have increased from 100.7% to 103.5%.

Equity markets were strong throughout the month with Global Equities1 increasing 5.9% and the S&P 500 increasing 6.6%. Plan discount rates2 were estimated to have stayed roughly flat over the month with the Treasury component increasing 8 basis points and the credit component tightening 8 basis points. Plan assets with a traditional “50/50” asset allocation increased 3.3% while liabilities increased by 0.5%, resulting in a strong improvement in funding ratios by June month-end. The increase in equities outpaced the increase in liabilities to improve funding ratios throughout the month.

The Pension Solutions Monitor assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

Pension funded status market summary:
  • Equity markets delivered strong performance with Global Equities and the S&P 500 up.
  • Plan liabilities stayed relatively the same over the month.
  • Funding ratio levels improved as the outperformance in assets outpaced relatively steady liabilities.

  

Funded status risk

June 2023

 

Equities

 

Interest rates

 

Credit spreads

 

Sources: LGIM America, ICE indices and Bloomberg. Data as of June 30, 2023.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

US pension funding ratios increased through May

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios increased through May 2023. Based on market movements, the average funding ratio is estimated to have increased from 100.5% to 100.7%.

Equity markets were mixed throughout the month with Global Equities1 decreasing 1.0% and the S&P 500 increasing 0.4%. Plan discount rates2 were estimated to have increased roughly 26 basis points over the month with the Treasury component increasing 22 basis points and the credit component widening 4 basis points. Plan assets with a traditional “50/50” asset allocation decreased 1.9% while liabilities decreased by 2.1%, resulting in a slight improvement in funding ratios by May month-end. The drop in liabilities outweighed the lag in asset performance to improve funding ratios throughout the month.

The Pension Solutions Monitor assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

 

Pension funded status market summary:
  • Equity markets delivered mixed performance with global equities down while the S&P 500 was up.
  • Plan liabilities decreased due to rising discount rates.
  • Funding ratio levels slightly improved as the underperformance on the asset side was less than the decrease in liabilities.

  

Funded status risk

May 2023

 

Equities

Mixed

 

Interest rates

 

Credit spreads

 

Sources: LGIM America, ICE indices and Bloomberg. Data as of May 31, 2023.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

US pension funding ratios increased through April

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios increased through April 2023. Based on market movements, the average funding ratio is estimated to have increased from 100.3% to 100.5%.

Equity markets rallied through the month with Global Equities1 and the S&P 500 increasing 1.5% and 1.6%, respectively. Plan discount rates2 were estimated to have decreased roughly 5 basis points over the month with the Treasury component decreasing 3 basis points and the credit component decreasing 2 basis points. Plan assets with a traditional “50/50” asset allocation increased 1.1% while liabilities increased by 0.9%, resulting in a slight improvement in funding ratios by April month-end. The combination of stronger asset performance and rising liability values kept funding ratios relatively unchanged throughout the month.

The Pension Solutions Monitor now assumes a typical liability profile using an approximate duration of 12 years and a 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index investment strategy. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

Pension funded status market summary:
  • Equity markets delivered moderate performance with global equities up roughly 1.5%.
  • Plan liabilities increased due to falling discount rates.
  • Funding ratio levels were relatively unchanged as the performance on the asset side was offset by the rise in liabilities.

  

Funded status risk

Mar 2023

 

Equities

 

Interest rates

 

Credit spreads

 

Sources: LGIM America, ICE indices and Bloomberg. Data as of April 30, 2023.

 

  1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
  2. 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.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios increased through March 2023. Based on market movements, the average funding ratio is estimated to have increased from 99.9% to 100.3%.

Equity markets rallied through the month with Global Equities1 and the S&P 500 increasing 3.2% and 3.7%, respectively. Plan discount rates2 were estimated to have decreased roughly 30 basis points over the month with the Treasury component decreasing 34 basis points and the credit component widening 4 basis points. Plan assets with a traditional “50/50” asset allocation increased 3.8% while liabilities increased by 3.4%, resulting in a slight improvement in funding ratios by March month-end. The combination of stronger asset performance and rising liability values kept funding ratios relatively unchanged throughout the month.

The Pension Solutions Monitor now assumes a typical liability profile using an approximate duration of 12 years and a 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index investment strategy. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

 

Pension funded status market summary:
  • Equity markets delivered strong performance with global equities up roughly 3.2%.
  • Plan liabilities increased due to falling discount rates.
  • Funding ratio levels were relatively unchanged as the performance on the asset side was offset by the rise in liabilities.

Funded status risk

Mar 2023

Equities

Interest rates

Credit spreads

Sources: LGIM America, ICE indices and Bloomberg. Data as of March 31, 2023.

1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
2. 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.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios increased through February 2023. Based on market movements, the average funding ratio is estimated to have increased from 99.8% to 99.9%.

Equity markets sold off through the month with Global Equities1 and the S&P 500 decreasing 2.8% and 2.4%, respectively. Plan discount rates2 were estimated to have increased roughly 46 basis points over the month with the Treasury component increasing 38 basis points and the credit component widening 8 basis points. Plan assets with a traditional “50/50” asset allocation decreased 3.9% while liabilities decreased by 4.1%, resulting in a 0.1% increase in funding ratios by February month-end. The combination of weaker asset performance and falling liability values due to rising discount rates kept funding ratios relatively unchanged throughout the month.

The Pension Solutions Monitor now assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index investment strategy. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

 

Pension funded status market summary:
  • Equity markets delivered weak performance with global equities down roughly 2.8%.
  • Plan liabilities decreased due to rising discount rates.
  • Funding ratio levels were relatively unchanged as the underperformance in equities was offset by the drop in liabilities.

Funded status risk

Feb 2023

Equities

Interest rates

Credit spreads

Sources: LGIM America, ICE indices and Bloomberg. Data as of February 28, 2023.

1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
2. 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.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

LGIM America's Pension Solutions Monitor, which estimates the health of a typical US corporate defined benefit pension plan, estimates that pension funding ratios increased through January 2023. Based on market movements, the average funding ratio is estimated to have increased from 98.3% to 99.8%.

Equity markets rallied through the month with Global Equities1 and the S&P 500 gaining 7.2% and 6.3%, respectively. Plan discount rates2 were estimated to have decreased roughly 47 basis points over the month with the Treasury component decreasing 37 basis points and the credit component tightening 10 basis points. Given broad-based asset allocation shifts from the market these last few years, we've adjusted the standard pension portfolio from a 60/40 equities/credit allocation to a 50/50 asset allocation. Plan assets with our recalibrated traditional “50/50” asset allocation increased 6.9% while liabilities increased by only by 5.3%, resulting in a 1.5% increase in funding ratios by January month-end. Strong equity performance overcame increases in plan liabilities, resulting in an increase in the average funding ratio.

The Pension Solutions Monitor now assumes a typical liability profile using an approximate duration of 12 years and 50% MSCI AC World Total Gross Index / 50% Bloomberg US Long Government/Credit Index investment strategy. Our analysis incorporates data from LGIM America research, ICE indices and Bloomberg.

 

Pension funded status market summary:
  • Equity markets delivered strong performance with global equities up roughly 7.2%.
  • Plan liabilities increased due to falling discount rates.
  • Funding ratio levels increased as the outperformance in equities outweighed the increase in liabilities.

Funded status risk

Jan 2023

Equities

Interest rates

Credit spreads

Sources: LGIM America, ICE indices and Bloomberg. Data as of January 31, 2023.


1. “Global equities” referred to here is represented by the MSCI AC World Total Gross Index.
2. 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.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material contained here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Because these trades have not actually been executed, these results may have under‐ or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Unless otherwise stated, references herein to "LGIM", "we" and "us" are meant to capture the global conglomerate that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), LGIM International Limited (a U.S. SEC registered investment adviser and U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) and Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

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