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

Santa Monica, Calif., June 1, 2023 – The aggregate funded ratio for U.S. corporate pension plans increased by an estimated 0.8 percentage points in May and ended the month at 99.8%, 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 2.9% decrease in liability value partially offset by a 2.0% decrease in asset value. The aggregate funded ratio is estimated to have increased by 2.3% and 2.4% year-to-date and over the trailing twelve months, respectively.

May’s funded status increase can be attributed to the rise in Treasury yields, which resulted in the liability value declining by more than the asset value due to higher yields on high-quality fixed income securities. Discount rates are estimated to have increased by nearly 20 basis points. The increase in fixed income yields was due to the debt ceiling negotiations and the markets’ interpretation of the Federal Reserve’s future monetary actions. “Notably, the FT Wilshire 5000 index experienced gains in May driven by a small number of companies with significant positive returns,” stated Ned McGuire, Managing Director, Wilshire. “With May’s month-end funded ratio estimate of 99.8%, U.S. corporate pension plans are nearing full funding in aggregate, reaching the highest level since year-end 2007” 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:

About Wilshire

Wilshire is a global provider of market-leading indexes, advanced analytics, and multi-asset investment solutions. A trusted partner toa diverse range of more than 500 leading institutional investors and financial intermediaries, our clients rely on us to improve investment outcomes for a better future. Wilshire advises on over $1.3 trillion in assets and manages $83 billion in assets and is headquartered in the United States with offices worldwide.

More information on Wilshire can be found at www.wilshire.com.

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