NEPC’s monthly pension funded status monitor tracks the funded status of two hypothetical plans to gauge the impact of movements in markets, interest rates, and credit spreads on pension plans.
The funded status of a typical corporate pension plan rose in November, with LDI-focused plans that hedge interest-rate risk faring better than total-return plans. While the strong rally in equities boosted asset returns, declining interest rates and
contracting credit spreads ratcheted up liability values for both plans. Based on NEPC's hypothetical open- and frozen- pension
plans, the funded status of the total-return plan went up by 2.6%, while the LDI-focused plan saw an increase of 3.8% as long duration fixed income outperformed on the back of falling credit yields.
The funded status of the total-return plan increased 2.6%, driven by a robust performance by equities.
The funded status of the LDI-focused plan increased 3.8% as gains from equities and long-duration fixed income offset a relative estimated liability increase. The plan is 80% hedged, as of November 30.