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

Santa Monica, Calif., December 5, 2023 – The aggregate funded ratio for U.S. corporate pension plans increased by an estimated 0.3 percentage points in November, ending the month at 105.1%, 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 can mostly be attributed to a 7.4 percentage point increase in liability value offset by a 7.8 percentage point increase in asset value. The aggregate funded ratio is estimated to have increased by 6.4 percentage points and 5.8 percentage points year-to-date and over the trailing twelve-month periods, respectively.

"November's increase in funded status was driven by the decrease in Treasury yields and corporate bond spreads, marking the largest monthly increase in liability value since December 2012, when Wilshire began monthly reporting of funded ratio estimates. Corporate bond yields, used to value corporate pension liabilities, are estimated to have decreased by nearly 70 basis points this month," commented Ned McGuire, Managing Director at Wilshire. "With several asset classes achieving their best monthly performances in over a decade, notably core fixed having its best monthly performance since 1985, the aggregate funded ratio is estimated to have slightly increased despite the largest monthly increase in liability value in more than 10 years," added Mr. McGuire.

A 12-month review of thefunded ratio follows:

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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 payment sand 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 collectdata 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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