12/8/2022
U.S. Corporate Pension Plans Funding Status Nov 2022
Wilshire Estimates No Change in Aggregate Funded Ratio for U.S. Corporate Pension Plans in November.
The aggregate funded ratio for U.S. corporate pension plans was unchanged month-over-month in November to end the month at 99.1 percent, according to Wilshire, a diversified global financial services firm. Through its suite of Outsourced Chief Investment Officer (OCIO) and advisory services, Wilshire assists in ensuring 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 primarily from a 6.3 percent increase in liability values offset by a 6.4 percent increase in asset values. The aggregate funded ratio is estimated to have increased by 2.9 and 5.5 percentage points year-to-date and over the trailing twelve months, respectively.
“November saw a sharp increase in liability value resulting from a more than 50 basis point decrease in corporate bond yields used to value corporate pension liabilities, ” stated Ned McGuire, Managing Director, Wilshire. “Non-US equities, represented by the MSCI ACWI ex U.S. Index, experienced the highest monthly return of 11.80% since November 2020. The increase in asset value offset the increase in liability value,” 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 to a diverse range of more than 500 institutional investors and financial intermediaries, our clients rely on us to improve investment outcomes for a better future.
Wilshire is headquartered in the United States with offices worldwide and advises on over $1.2 trillion in assets, $79 billion of which are assets under management.
