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.

The funded status of a typical corporate pension plan saw small changes during October, with total-return plans outperforming LDI-focused plans that hedge interest-rate risk. With the downturn in equities and interest rates rising, the funded status for a typical total-return plan increased by 0.9%, while an LDI-focused plan saw a decrease of 0.2% based on NEPC’s hypothetical open- and frozen-pension plans. Estimated liability valuations for both plans broadly decreased during the month.

The funded status of the total-return plan increased by 0.9% driven by rising interest rates and despite a pullback in equities.

The funded status of an LDI-focused plan fell by 0.2% as losses from equities eroded gains from decreasing (hedged) liabilities. The plan is currently 78% hedged, as of October 31.

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