Corporate pension plans likely experienced declines in funded status in November as equities fell towards the ends of the month amid fears of persistent inflation and the new Omicron variant. Interest rates dipped and flattened across the curve while credit spreads widened, resulting in positive returns for fixed-income mandates. Total-return plans with larger equity allocations and higher liability durations likely experienced a smaller improvement in funded status relative to LDI focused peers holding more long-dated bonds. Based on NEPC’s hypothetical open- and frozen-pension plans, the funded status of the total-return plan decreased 1.4%, while the LDI-focused plan declined 0.3% during the month.

The funded status of the total-return plan fell 1.4% as depressed equity values and increasing liability valuations offset gains from wider credit spreads.

The funded status of the LDI-focused plan declined 0.3%, with gains from long-duration bonds offsetting losses in the equity market. The plan is 87% hedged as of November 30.

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