U.S. Corporate Pension Plans Funding Status - Feb

Wilshire Estimates One Percentage Point Increase in Aggregate Funded Ratio for U.S. Corporate Pension Plans in February to Over 100%

The aggregate funded ratio for U.S. corporate pension plans increased by an estimated 1.0 percentage point month-over-month in February to end the month at 100.2 percent, according to Wilshire, a diversified global financial services firm. Through its suite of Outsourced Chief Investment Officer (OCIO) and advisory services, Wilshire assists in providing secure and safe retirements for millions of Americans, including those participating in some of the nation’s largest corporate and public retirement plans.

The monthly change in funded ratio resulted from a 4.8% decrease in liability values partially offset by a 3.9% decrease in asset values. The aggregate funded ratio is estimated to have increased by 2.7% and 4.2% year-to-date and over the trailing twelve months, respectively.

“February’s funded status increase was driven by the sharp increase in Treasury yields with the liability value experiencing its biggest monthly decline since September 2022. Overall, discount rates are estimated to have increased by over 30 basis points due to continued inflation worries,” stated Ned McGuire, Managing Director, Wilshire. “February’s month-end funded ratio estimate of 100.2% indicates that U.S. corporate pension plans are fully funded in aggregate, and the estimate is at its highest level since year-end 2007, which was estimated at 107.8%, before the Great Financial Crisis” Mr. McGuire added.

A 12-month review of the funded ratio follows:

The aggregate figures represent an estimate of the combined assets and liabilities of corporate pension plans sponsored by S&P 500 companies with a duration in line with the FTSE Pension Liability Index –Short. The funded ratio is based on the FTSE – Short Liability, with service cost, benefit payments and contributions in line with Wilshire’s 2022 corporate funding study. The most current month-end liability growth is estimated using a FTSE Pension Liability Index – Short duration matched weighting of the Barclays Long & Intermediate Aa+ U.S. Corporate Indices.

The assumed asset allocation is below:

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