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.

Corporate pension plans in the United States experienced overall gains in funded status in the third quarter amid robust equity returns in July and August; funded status declined in September, driven by a pullback in the stock market. During the quarter, Treasury yields were mostly unchanged while credit spreads contracted, leading to an approximately 1% increase in estimated liability valuations. In this period, the funded status of a total-return plan increased 3.2%, also due to the strong showing by equities, outperforming the LDI-focused plan which rose 2.8%.

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, combined with protection from contracting credit spreads due to a higher credit hedge ratio. The plan is 78% hedged as of September 30.

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