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.

Driven by an increase in Treasury rates and strong equity returns, the funded status of typical corporate pension plans improved in February. Total-return plans outpaced LDI-focused plans that hedge more interest-rate risk, as losses from fixed-income assets eroded gains from equities. While credit spreads remained mostly flat for the month, the Treasury curve increased and steepened, reducing plan liabilities. Based on NEPC’s hypothetical open- and frozen-pension plans, the funded status of the total-return plan rose 5.2%, while the LDI-focused plan increased 1.9%.

The funded status of the total-return plan increased 5.2%, driven by a decrease in liabilities and gains from risk assets.

The funded status of the LDI-focused plan increased 1.9% as shrinking liability values were offset by losses from fixed-income mandates. The plan is 84% hedged, as of February 28.

Download NEPC's Pension Funded Status Monitor