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Corporate Pension Quarterly Q3 2021

Holding the Line

Developed equity markets moved higher during the third quarter as the economic re-opening continued. Many plans will enter the fourth quarter of 2021 at their highest funded level in years, with the average plan1 currently 97% funded and approximately 40% of plans funded over 100%.

As funded status has improved for many plans, they have looked to de-risk their asset allocations, often adding to fixed income and improving their rates and credit hedges. Pension risk transfer transactions are also becoming an increasingly attractive option for well-funded plans. Learn more in this quarter’s edition.

Historical Aggregate S&P 500 Funded Status

We estimate that, in aggregate, pension asset returns were -3.1% and 0.3% for the month and quarter, respectively.


Source: Goldman Sachs Asset Management as of September 30, 2021. Funded statuses reflect monthly estimates with the exception of year-end data. Estimate is based on U.S. plans (where specified) of pension plans within the S&P 500.

Q&A with Our Team

Michael Moran

CFA, Senior Pension Strategist, Goldman Sachs Asset Management

Michael Moran


What does the typical pension risk transfer transaction entail, and what are the costs and benefits?

Pension risk transfer, otherwise known as annuitization, entails transferring all or a portion of pension obligations and relevant assets to an insurance company. Following a risk transfer transaction, plans are no longer responsible for making benefit payments and plan sponsors can remove the transferred liability from their balance sheets.


On the plus side, these transactions eliminate or reduce the size of the pension obligation and can fully or partially address the impact of pension volatility on financial metrics, but likely require a premium to effect the transfer and may involve a potentially lengthy legal and regulatory process. 

Matthew Maciaszek

Fixed Income Portfolio Manager, Goldman Sachs Asset Management

Matthew Maciaszek


How did the COVID-driven events of 2020 impact the market for pension risk transfers?

Risk transfer activity, which has grown steadily over the past eight years, slowed sharply in 2020 to less than $25bn in total group annuitization sales. Market volatility was likely the main culprit for the decline. But fluctuations in funding levels, low interest rates and sponsors’ laser-like focus on keeping their operations running smoothly with a remote workforce also contributed.


But we have seen increased interest and growing risk transfer activity in 2021, with the dollar volume of transaction activity more than double what was seen in the second quarter of 2020, and we expect that the longer-term trend of growing risk transfer activity is back on track.

Pension Risk Transfer

Given the strong and improving funded status position for plans, many companies are evaluating approaches to transfer pension risk off their balance sheets.


Pension risk transfer (“PRT”) is the process of transferring all or a portion of pension obligations to an insurance company.

Source: Goldman Sachs Asset Management. For illustrative purposes only. This does not constitute a recommendation to adopt any particular de-risking strategy. There is no guarantee that any potential benefits or considerations will be achieved. Although certain information has been obtained from public sources believed to be reliable, without independent verification, we do not guarantee its accuracy, completeness or fairness.

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1S&P 500 plans for which data is available. Source: Goldman Sachs Asset Management as of September 30, 2021. The economic and market forecasts presented herein have been generated by Goldman Sachs Asset Management for informational purposes as of the date of this presentation. They are based on proprietary models and there can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation. There is no guarantee that objectives will be met. For discussion purposes only. These examples are for illustrative purposes only and are not actual results. If any assumptions used do not prove to be true, results may vary substantially.


Funded status can refer either to the ratio of assets to liabilities or, in dollar terms, the deficit or surplus of a pension plan.

Constant maturity US Treasury rates refers to an average yield of a range of Treasury securities maturing at various periods, intended to provide a reference rate for a particular tenor.



Please refer to the attached report for important risks additional disclosures.

The views expressed herein are as of 09/30/2021 and subject to change in the future. Individual portfolio management teams for GSAM may have views and opinions and/or make investment decisions that, in certain instances, may not always be consistent with the views and opinions expressed herein.

Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.


Prospective investors should inform themselves as to any applicable legal requirements and taxation and exchange control regulations in the countries of their citizenship, residence or domicile which might be relevant.

Fixed income investing involves interest rate risk. When interest rates rise, bond prices generally fall.

High-yield, lower-rated securities involve greater price volatility and present greater credit risks than higher-rated fixed income securities.

Although certain information has been obtained from sources believed to be reliable, we do not guarantee its accuracy, completeness or fairness. We have relied upon and assumed without independent verification, the accuracy and completeness of all information available from public sources.

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Index Benchmarks
Indices are unmanaged. The figures for the index reflect the reinvestment of all income or dividends, as applicable, but do not reflect the deduction of any fees or expenses which would reduce returns. Investors cannot invest directly in indices.
The indices referenced herein have been selected because they are well known, easily recognized by investors, and reflect those indices that the Investment Manager believes, in part based on industry practice, provide a suitable benchmark against which to evaluate the investment or broader market described herein.

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