US Pension Briefing – September 2023

Key takeaways

  • September saw a remarkable surge in pension discount rates, reaching levels unseen in over a decade.
  • Global equities and fixed income both posted negative returns.
  • Pension plans, on the whole, maintained or slightly improved their funded status, as asset declines were slightly less than liability decreases.

September 2023 summary

The global decline in equity markets persisted and intensified compared to the previous month. This was driven by the depletion of “excess” savings accumulated during the pandemic, a slowdown in retail spending and hiring, and concerns about a potential government shutdown in Washington on October 1. Despite a decline of approximately 4.75% in US equities during the month, the year-to-date performance still shows a positive gain of almost 12%.

The surge in discount rates in September resulted in a 3.5% – 6.5% decrease in pension liabilities depending on duration. However, nearly all asset classes, including equities and fixed income, experienced negative returns, largely offsetting the gains in funding achieved through higher discount rates. Consequently, many pension plans are expected to see only a modest improvement in their funded status.

Discount rates & asset returns

FTSE pension discount rate index last 12 months

Source: FTSE Pension Liability Index

Discount rates increased 0.48% in September, with the FTSE pension discount curve finishing the month at 5.65%. The discount rate has increased 0.63% since December 2022 and has increased 0.48% since September 2022 on a rolling 12-month basis. While rates have been trending upwards since June, the significant increase in rates during September means that the FTSE pension discount curve ended the month at the highest it has been in over 10 years.  The last time rates were above 5.60% was June 2011.

US Treasury yield curve 

Source: U.S. Department of the Treasury

In September, the Treasury yield curve shifted higher across all maturities, especially at the long-end. The shift in rates was largely attributable to the fact that the Fed is signaling that they are still not comfortable with the current level of inflation, and has stated that there may be another rate hike by the end of the year. Prevailing sentiment from the Fed is that rates will remain at an elevated level for a prolonged period of time.

September 2023 Investment returns (%)

Source: Morningstar

Equities and fixed income had another tough month in September, both having negative returns. US equities were down 4.76% over the month, and international equities lost 3.42%. Within US equities, energy was the only sector with positive returns for the month. Real estate and information technology were the sectors that detracted the most from performance returning -7.25% and -6.87% respectively. Consumer discretionary, industrials, and utilities also hurt performance with all three sectors losing close to 6%. Value stocks modestly outperformed growth stocks for the month after a long streak of growth stock outperformance. 

With rates rising, fixed income had negative returns in September with long credit bonds performing the worst. For the most part, credit spreads were stable with the exception of high yield corporate spreads widening. The US Dollar gained 2.5% while gold fell by 4.7%. 

Staying Informed on Pension Trends with Agilis


Navigating the dynamic landscape of US pension is vital for successful financial management. This September, we saw shifts in pension discount rates, volatility in global and US equities, and changes in the US government credit rating, all of which can impact your pension plan. With such complexities in the mix, having a dedicated partner to guide you through is crucial.


Agilis brings over 30 years of expertise with our commitment to excellence across a wide array of actuarial and investment solutions. Whether it’s about understanding how the FTSE pension discount rate affects you or gauging the potential impacts of shifting US Treasury yield curves, our team ensures a holistic, long-term approach tailored to your needs.


Don’t leave your pension planning to chance. Let Agilis help you navigate the intricacies of the pension world. Stay ahead, informed, and confident with Agilis by your side.

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