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

Santa Monica, Calif., January 4, 2024 – The aggregate funded ratio for U.S. corporate pension plans increased by an estimated 0.6 percentage points in December, ending the month at 105.7%, a 7.0 percentage point increase from December 2022, 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.

The change in the funded ratio for December can be attributed to a 5.3 percentage point increase in asset value partially offset by a 4.8 percentage point increase in liability value. The aggregate funded ratio is estimated to have increased by 0.8 percentage points during the fourth quarter and by 7.0 percentage points over the calendar year 2023.The 7.0 percentage point increase marks the third largest calendar year increase since 2012.  

"December witnessed a decrease in long Treasury yields for a second consecutive month, leading to approximately a 100 basis point decline in corporate bond yields, which are used to value corporate pension liabilities, since the end of October," commented Ned McGuire, Managing Director at Wilshire. "The resulting increase in liability value was more than offset by a second consecutive month of robust returns for most asset classes, with the FT Wilshire 5000 Index delivering its best quarterly return since the fourth quarter of 2020. These changes in asset and liability values pushed the estimated funded ratio to the highest month-end level since Wilshire began tracking funded ratios in 2012," 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 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 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 year-end (FYE). All data for fiscal year 2022 is based on the 253 S&P 500 Index constituents that maintain defined benefit pension plans as of year-end 2022. The estimated monthly funded ratios are based on liabilities, service cost, benefit payments and contributions in line with Wilshire’s 2023 corporate funding study.

About Wilshire

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