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Taking Stock: NEPC's July 2020 Pension Monitor

August 6, 2020 / by NEPC

Download NEPC's Pension Funded Status Monitor

The funded status of a typical corporate pension plan experienced a decrease in funded status in July, with plans that hedge interest-rate risk faring better than total-return plans. The funded status for a typical total-return plan declined by 2.0%, while an LDI-focused plan saw a modest increase of 0.5%, based on NEPC's hypothetical open- and frozen-pension plans. Gains were driven
primarily by the continuing rally in equities, mitigated by increases in liabilities as Treasury rates and credit spreads declined.

The funded status of the total-return plan dropped by 2.0%, as investment gains were offset by losses fueled by lower interest rates and contracting credit spreads, leading to an uptick in liabilities.

The LDI-focused plan increased by 0.5% in funded status as gains from risk and hedging assets offset the increase in liabilities. The plan is currently 75% hedged, as of July 31.

Topics: Blog, Corporate Defined Benefit, Taking Stock

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