NEPC’s quarterly 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. During the third quarter, the funded status of typical corporate pension plans declined approximately 4.5% in the third quarter for a total-return focused-plan, while an LDI-focused plan saw a smaller decline of roughly 0.4%, according to NEPC's hypothetical open and frozen pension plans.
The total-return plan suffered a net loss of funded status as liability valuations increased at a faster pace than asset growth.
The LDI-focused plan saw a modest decrease in funded status as robust fixed-income returns offset rising valuations of liabilities. The plan is currently 72% hedged, as of September 30.