​Highlights of the US Corporate Pension Universe

As of 11/30/2020

​

• Funded status decreased by 0.8% to 97.4%.

• Assets fell 1.0% and the liability increased 0.1%.

• Equity exposure is dominating asset portfolio risk as diversification disappears.

• Implied returns are 6.0%, below the average expected return of 6.5%

​

• The yield curve increased 4 bps on average while the 30-year tenor decreased 10 bps.

• Year-to-date changes are funded ratio +9.2%, assets +4.6%, and liability -5.0%.

• The combination of lower equity and higher interest rates is the scenario of primary concern in the asset portfolio.

• The 30-year interest rate is the critical driver of the liability.

• Opportunities exist to improve portfolio efficiency.

​

​Notes: The dashboard is updated daily. The report is semi-annual. Asset Allocation updated April, 2021. US Corporate Universe is the 100 largest corporate plans in the S&P 1500. Data sourced from the financial statements for fiscal year 2020. Private asset classes are mapped to public market proxies. Liability is modeled as a 15-year duration cash flow.