Wilshire estimates a two-percentage point increase in aggregate funded ratio for U.S. corporate pension plans in July
Santa Monica, Calif., August 3, 2023 – The aggregate funded ratio for U.S. corporate pension plans increased by an estimated two percentage points in July and ended the month at 105.4%, 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 increase in funded ratio was driven by a 0.9% rise in asset value and a 1.2% decrease in liability value. The aggregate funded ratio is estimated to have increased by 6.7% and 10.2% year-to-date and over the trailing twelve months, respectively.
“July marked the fourth consecutive month of funded status increase, with six out of the seven months so far this year experiencing an increase. The FT Wilshire 5000 has seen positive returns for five consecutive months and is up nearly 20.5% year-to-date,” stated Ned McGuire, Managing Director, Wilshire. “With a liability return of approximately 2.5% and an asset return of approximately 8.7% year-to-date, the estimated July month-end funded ratio for U.S. corporate pension plans reached 105.4%. This level is the highest since year-end 2007 when it 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 2023 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 and Intermediate Aa+ U.S. Corporate Indices.
The assumed asset allocation is below:
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The index underperformed a 0.33% monthly return for the HFRX Global Hedge Fund Index
Wilshire estimates little change in aggregate funded ratio for U.S. corporate pension plans in August.
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