August 2026 Pension Risk Transfer Pricing Update

Executive Summary

Both the duration 7 and duration 15 annuity purchase interest rates have reached their highest levels since 2023. With rates remaining elevated, pension liabilities continuing to decline, and overall market stability strengthening in 2026, conditions remain favorable for plan sponsors to pursue de-risking initiatives and capitalize on this attractive annuity pricing.

The Pension Risk Transfer marketplace continues to build momentum as we drive through the third quarter of 2026. Given the supportive market conditions, plan sponsors should engage with an annuity search firm now to monitor market development and put their plans in an advantageous position to secure timely and optimal de-risking options before the year-end.

In September, October Three will be releasing its 2026 PRT Trends Report! This report will contain data collected from our mid-year survey of insurance carriers participating in the PRT marketplace.

Pricing Update

Both the average duration 7 and average duration 15 annuity purchase interest rates have reached new highs since late 2023. In the last month alone, the duration 7 rate climbed 29 basis points to 5.34%, while the duration 15 rate rose 27 basis points to 5.54%. As noted in the latest Pension Finance Update, another month of this upward movement continues the broader trend in rates since they first moved above 5% in 2022. These higher rates have steadily helped reduce pension liabilities for many plans. 2026 has shown overall stability, strengthening the case for plan sponsors to pursue de-risking initiatives in this favorable environment. Although future interest rate movements are always uncertain, the current environment of the Pension Risk Transfer marketplace presents a compelling window of opportunity for plan sponsors wanting to act now to de-risk their plans and take advantage of supportive annuity pricing.

Historical Activity

The 10-year and 30-year treasury rose this month, with the 10-year reaching 4.75% while the 30-year climbed to 5.27%. The Pension Risk Transfer marketplace continues to demonstrate strong momentum, with significant growth and robust activity over the past several years. As participation continues to strengthen and intensify in the marketplace, plan sponsors can benefit from competitive pricing and efficient execution of de-risking options. The fourth quarter is historically the busiest period in the marketplace, and with annuity purchase interest rates continuing to move in a positive direction, plan sponsors should take advantage of this favorable environment while it lasts.

Annuity Costs Relative to GAAP

The graph below shows the spread between the annuity purchase price and the GAAP projected benefit obligation (PBO), also referred to as the accounting book value. This month, we observed Annuity Plan 1 spread at approximately 3.58% while Annuity Plan 2’s sits at -0.50%. As annuity purchase rates increase, purchase prices drop relative to the PBO. Please note that the PBO figures shown do not include future overhead costs—such as administrative expenses and PBGC premiums—that plan sponsors would incur by retaining participants in the plan.

Be on the Lookout for Our Upcoming 2026 PRT Trends Report

In September, October Three will be releasing its 2026 PRT Trends Report! The report will contain data collected from our mid-year survey of insurance carriers participating in the PRT market.  

This year’s report will provide a mid-year snapshot of the PRT market including: 

• H1 2026 PRT transactions compared to those in the first half of 2025 

• Predictions on the performance of the PRT market for the rest of 2026 based on current deal pipeline 

• Transaction types in the first half of the year 

• How the PRT market has changed in the past year 

• Factors influencing decisions on PRT transactions 

• And other insights from insurance carriers in the PRT market 

We will make an announcement when the 2026 PRT Trends Report is published. Stay tuned! If you missed the 2025 report, you can read it by clicking here

For additional information or inquiries about the pension risk transfer marketplace, contact Mark Unhoch: munhoch@octoberthree.com.

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*October Three advises plan sponsors through every step of the Pension Risk Transfer (PRT) process.  Through long established relationships with insurers in the PRT marketplace, October Three collects annuity purchase rates for Duration 7 years and Duration 15 years on a monthly basis.  We have constructed 2 hypothetical annuity plans which have been valued using the latest mortality tables and mortality improvement scales.  Annuity Plan 1 contains retirees only and has a liability duration of 7 years. Annuity Plan 2 contains 70% retirees and 30% deferreds and has a liability duration of 15 years. Monthly annuity rates are determined by taking the average Duration 7 and Duration 15 interest rates provided from the insurers. Annuity Plan 1 was valued using the average of the Duration 7-year interest rates collected from insurers and Annuity Plan 2 was valued using the average of the Duration 15-year interest rates collected from insurers.  Using the collected annuity purchase rates and 2 hypothetical annuity plans, we have produced the following graphs representative of actual PRT market activity and the corresponding impact on pension plans.