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.

U.S. corporate pension plans experienced significant gains in funded status in the fourth quarter, driven by a robust equity market in November and December. Treasury yields steepened and credit spreads continued to contract to pre-COVID levels, leading to an increase in estimated liability valuations over the quarter. For this period, the funded status of a total-return plan increased by 5.9%, outperforming the LDI-focused plan which rose by 5.4%.

The funded status of the total-return plan improved as risk assets gained in the quarter.

The LDI-focused plan saw a positive return in funded status from gains in risk assets. The plan is 81% hedged as of December 31.

Download NEPC's Pension Funded Status Monitor