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. February resulted in a decline in funded status for typical corporate pension plans; funded status for total-return plans fell by around 5.9%, and 3% for an LDI-focused plan, according to NEPC's hypothetical open- and frozen-pension plans.
The funded status of total-return plans fell by 5.9% as equities nosedived amid escalating fears around the impact of the new Coronavirus; lower interest rates also resulted in higher liability valuations.
LDI-focused plans experienced a moderate decrease to funded status of 3% as bonds rallied amid a flight to quality. The plan is currently 71% hedged, as of February 29.