International and domestic equities posted notable losses in the first quarter of 2026 as geopolitical volatility and rising energy prices weighed heavily on investor sentiment. However, the funded ratio for plan sponsors remained relatively resilient; despite asset headwinds, the increase in discount rates offset asset losses during the quarter.
For the three months ended March 31, the 30-year Treasury yield increased four basis points to 4.88%. During this period, credit spreads widened seven basis points. The discount rate for the open total-return plan rose 17 basis points to 5.79%, and the discount rate for the frozen LDI-focused plan increased 20 basis points to 5.56%. The funded status of our total-return and LDI-focused plans increased modestly, rising by 0.3% and 0.5%, respectively.
Total-return plans may want to consider the impact of rate changes on plan liabilities and the role of LDI in light of the current rate environment. For certain plan sponsors, lower rates may increase liabilities and reduce funded status, which could lead to higher required contributions and PBGC variable-rate premiums. NEPC consultants are available to discuss the impact and cost of various pension finance and derisking strategies in light of rate movements and volatility in the market.
Source: FactSet, FTSE and Brentwood LLC, as of March 31, 2026.
Rate Movement
Retiree Buyout Index
The Buyout Index for Retirees is estimated to be approximately 106.9% of PBO as of March 31, 2026.
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PRT Litigation Update:
The dismissals of pension risk transfer (PRT) litigation cases continued in March as the lawsuit against Weyerhaeuser and its administrative committee, independent fiduciary State Street Investment Management, and five unnamed individuals was dismissed on March 30. The judge in the case noted that plaintiffs failed to prove a violation of ERISA. This marks the dismissal of six PRT cases to date with four outstanding, as of the end of the first quarter, to the best of our knowledge.
Sources:
Pensions & Investments. (2026, March 31). Court dismisses Weyerhaeuser pension risk transfer lawsuit. https://www.pionline.com/institutional-investors/pension-risk-transfer/piweyerhaeuser-pension-risk-transfer-lawsuit-dismissal
