Income Research + Management Launches Funded Status Monitor For U.S. Pensions

Income Research + Management (“Income Research” or “IR+M”) today announced the launch of its Funded Status Monitor for U.S
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Monitor reveals that average plan’s funded status is down 4% year-to-date.


BOSTON, October 6, 2020 — Income Research + Management (“Income Research” or “IR+M”) today announced the launch of its Funded Status Monitor for U.S. pension plans, empowering plan sponsors to better assess risks and track how market environments evolve.


The IR+M Funded Status Monitor captures the month-over-month impact of interest rates and market returns on funded statuses. “We believe the transparency and timeliness afforded through an in-house developed funded-status calculator will help drive deeper and more meaningful conversations with plan sponsors about the health of their pensions.” said Theresa Roy, Pension and Liability Driven Investment (LDI) Specialist at IR+M.


The IR+M Funded Status Monitor calculates month-end funded statuses for three different sample pension plans:


  • An end stage plan, which is hard frozen with a target liability duration of 8 to 10 years;
  • An average plan, which is soft frozen with a target liability duration of 12 to 14 years;
  • And a young plan, which is open and accruing with a target liability duration of 15 to 17 years.


“As sponsors move through their LDI journey, they often require increasingly custom investment solutions to meet the changing risk profiles of their plans. We recognize that a one-size-fits-all approach falls short in capturing each sponsor’s unique plan and circumstances.” Ms. Roy explained. “Our diverse set of illustrative plans are intended to serve as guideposts to help individual sponsors assess a reasonable monthly funded status change for their own plans.”


The September month-end report shows funded status declines across all three sample plans. Liabilities were stable month over month as discount rates remained flat. However, funded statuses decreased driven by negative returns on growth assets. Plans with a smaller allocation to growth assets, such as the end stage plan, fared better over the month, seeing a 0.7% decrease in funded status. On the other hand, the young plan’s funded status fell 2.1% because of the higher allocation to growth assets.


The average plan funded status decreased by 1.6%, ending the month at 85.8%. Treasury rates and credit spreads had a minimal impact, and the fall in equity prices was the primary driver of the funded status decline. The average plan’s funded status is still down 4% year-to-date.


Since its inception in 1987, IR+M has provided practical solutions for plan sponsors seeking to better match liabilities in their pension plans. The firm currently (as of September 1, 2020) manages $25.8bn in LDI assets.


The firm’s full September LDI Monitor can be found on the IR+M website.



About Income Research + Management (IR+M)


IR+M is a privately-owned, independent, fixed income investment management firm that serves institutional and private clients. The firm managed $83.6bn across cash management, insurance, liability driven investing, tax efficient investing and ESG and socially responsible investing strategies. IR+M’s investment philosophy and process are based on the belief that careful security selection and active risk management provide superior results over the long-term. By combining the capacity and technology of a larger firm with the culture and nimbleness of a boutique firm, IR+M strives to provide exceptional service for clients and a rewarding experience for employees. For more information, visit



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Becky Nye

Director, Montieth & Company

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