U.S. Corporate Pension Plans Funding Status – October 2023

Wilshire estimates 0.6 percentage point increase in aggregate funded ratio for U.S. corporate pension plans in October.

Santa Monica, Calif., November 10, 2023 – The aggregate funded ratio for U.S. corporate pension plans increased by an estimated 0.6 percentage points in October, ending the month at 105.5%, 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.

This month’s change in funded ratio can be attributed to a 4.0% decrease in liability value, partially offset by a 3.4% decrease in asset value. The aggregate funded ratio is estimated to have increased by 6.8% and 6.4% year-to-date and over the trailing twelve-month periods, respectively.

“October’s funded status increase was driven once again by the fourth consecutive monthly decrease in liability value resulting in a more than 10% decrease since June 2023, and sixth monthly decrease this year, due to the continued rise in Treasury yields. Long duration high quality corporate bond yields, used to value corporate pension liabilities are estimated to have increased by over 100 basis points since the end of July,” stated Ned McGuire, Managing Director, Wilshire. “Despite the third consecutive negative monthly returns for most asset classes, the aggregate funded ratio is estimated to have increased over this period due to decreasing liability values. October’s month-end funded ratio estimate of 105.5% is the highest since December 2012 when Wilshire began reporting month-end funded ratio estimates and is approaching the funded ratio of 107.8% before the Great Financial Crisis,” Mr.McGuire added.

A 12-month review of the funded ratio follows:

For illustrative purposes only.

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 & Intermediate Aa+ U.S. Corporate Indices.

The assumed asset allocation is below:

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