Corporate pension plans probably experienced modest losses in funded status in July as Treasury rates declined and credit spreads slightly widened. Equity performance was largely overshadowed by fixed income, likely leading to greater losses in funded status for total-return plans relative to their LDI-focused peers. Based on NEPC’s hypothetical open- and frozen-pension plans, the funded status of the total-return plan fell 1.8%, while the LDI-focused plan declined 0.1% during the month.

The funded status of the total-return plan fell 1.8% as declining Treasury rates caused liabilities to grow at a faster clip than assets.

The funded status of the LDI-focused plan was down a modest 0.1%, as hedging liabilities protected against the decline in Treasury rates; the plan is 86% hedged as of July 31.

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