U.S. Corporate Pension Plans Funding Status – October 2024

Santa Monica, Calif., November 5, 2024 – The aggregate funded ratio for U.S. corporate pension plans increased by an estimated 1.3 percentage points in October, ending the month at 102.9%, according to Wilshire, a diversified global financial services firm. Wilshire assists in providing a suite of OCIO and advisory services to some of the nation’s largest retirement plans which help fund the retirement of millions of Americans.

This month’s change in funded ratio resulted from a 4.6% decrease in liability value partially offset by a 3.5% decrease in asset value. Although the aggregate funded ratio is estimated to have decreased by 1.9% over the trailing twelve months, it is estimated to have increased by 7.1% year-to-date.

"October’s increase in funded status resulted from the significant monthly rise in Treasury yields, marking the first month-over-month increase in the discount rate since April 2024. Corporate bond yields, which are used to value corporate pension liabilities, are estimated to have increased by approximately 40 basis points in October," commented Ned McGuire, Managing Director at Wilshire. “The FT Wilshire 5000 Index^SM recorded only its second down month of 2024, following its worst daily performance on the last trading day of October since September, ending a streak of five consecutive monthly increases. Furthermore, most asset classes also experienced negative returns during the month, with international equities facing their largest monthly decline since September 2022. Despite the decrease in asset values, the aggregate funded ratio is estimated to have increased due to a larger decrease in liability values, and October’s month-end aggregate funded ratio estimate remains over 100%," added Mr. McGuire.

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 2024 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 Data

Wilshire’s practice is to collect data on U.S. pensions from 10-K filings for companies in the S&P 500 Index at fiscal yearend (FYE). All data for fiscal year 2023 is based on the 253 S&P 500 Index constituents that maintain defined benefit pension plans as of year-end2023. The estimated monthly funded ratios are based on liabilities, service cost, benefit payments and contributions in line with Wilshire’s 2024 corporate funding study.

We should note that our estimated monthly funded status of U.S. corporate plans proxy private assets’ returns using publicly available benchmarks. This year, our methodology provided higher than actual realized asset returns due to the difference in returns between private assets compared to public markets and this change was reflected as of December 31, 2023.

About Wilshire

Wilshire is a leading global financial services firm and trusted partner to a diverse range of approximately 500 leading institutional investors and financial intermediaries. Our clients rely on us to improve investment outcomes for a better future. Wilshire advises on over $1.4 trillion in assets and manages $121 billion in assets as of June 30, 2024. Wilshire is headquartered in the United States with offices worldwide.  More information on Wilshire can be found at www.wilshire.com.

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