Quarterly Annuity Update

Equities Rose in Q3 2025

• U.S. Large Cap (S&P 500) increasing 8.1%
• U.S. Small/Mid Cap (Russell 2000) increasing 12.4%
• International (MSCI ACWI Ex US) increasing 7.0%

• Treasury yields decreasing
• 2-Year decreasing 12bp from 3.72% to 3.60%
• 10-Year decreasing 8bp from 4.24% to 4.16%
• 30-Year decreasing 5bp from 4.78% to 4.73%

• Plan assets, 60% equity/40% fixed income allocation, increasing 6.0%
• 40% S&P 500, 10% Russell 2000, 10% MSCI ACWI ex. U.S., 40% Bloomberg U.S. Aggregate Bond"
• Plan liabilities with a 13 - 14 duration increasing 3.1%
• Excess return of assets over liabilities of 286bp

• FTSE Pension Liability Index decreasing 13bp from 5.58% to 5.45%
• FTSE Pension Liability Index - Interm. decreasing 13bp from 5.46% to 5.33%

USICG Pension Liability Indices

USICG Pension Liability Curve

Pension Liability Indices

Pension Liability Curve

This curve compares pension liabilities across different maturities (6 months to 30 years) at two points in time: March and June 2023. It shows how liabilities shift with changes in the yield curve, helping plan sponsors understand the timing and magnitude of future obligations.

USICG Index Model Liabilities

Funded Status Sensitivity

Index Model Liabilities

Funded Status Sensitivity

This chart helps plan sponsors understand how interest rate changes affect liabilities and funding levels which is critical for risk management and strategic planning. It shows how a pension plan’s funded status reacts to shifts in the yield curve, ranging from -2.0% to +2.0%.

Each row represents a starting funded status (from 70% to 120%), and each column reflects the impact of interest rate changes. Blue cells indicate improved funding (typically from rising rates), while gray cells show deterioration (from falling rates). For example, a plan at 100% funded could drop to 91% with a -2.0% shift or rise to 111% with a +2.0% shift.