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

Santa Monica, Calif., November 10, 2023 – The aggregate funded ratio for U.S. corporate pension plans increased by an estimated 0.6 percentage points in October, ending the month at 105.5%, 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.

This month’s change in funded ratio can be attributed to a 4.0% decrease in liability value, partially offset by a 3.4% decrease in asset value. The aggregate funded ratio is estimated to have increased by 6.8% and 6.4% year-to-date and over the trailing twelve-month periods, respectively.

“October’s funded status increase was driven once again by the fourth consecutive monthly decrease in liability value resulting in a more than 10% decrease since June 2023, and sixth monthly decrease this year, due to the continued rise in Treasury yields. Long duration high quality corporate bond yields, used to value corporate pension liabilities are estimated to have increased by over 100 basis points since the end of July,” stated Ned McGuire, Managing Director, Wilshire. “Despite the third consecutive negative monthly returns for most asset classes, the aggregate funded ratio is estimated to have increased over this period due to decreasing liability values. October’s month-end funded ratio estimate of 105.5% is the highest since December 2012 when Wilshire began reporting month-end funded ratio estimates and is approaching the funded ratio of 107.8% before the Great Financial Crisis,” Mr.McGuire added.

A 12-month review of the funded ratio follows:

For illustrative purposes only.

‍

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 & Intermediate Aa+ U.S. Corporate Indices.

The assumed asset allocation is below:

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 $1.3 trillion in assets and manages $88 billion in assets as of June 30, 2023. Wilshire is headquartered in the United States with offices worldwide.

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

Important Information

Wilshireis a global financial services firm providing diverse services to various types of investors and intermediaries. Wilshire’s products, services, investment approach and advice may differ between clients and all of Wilshire’s products and services may not be available to all clients. For more information regarding Wilshire’s services, please see Wilshire’s ADV Part 2 available at www.wilshire.com/ADV.

This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional advice. This material contains proprietary information of Wilshire. It may not be disclosed, reproduced, or otherwise distributed, in whole or in part, to any other person or entity without prior written permission from Wilshire.

This material represents the current opinion of Wilshire and is subject to change without notice. Wilshire assumes no duty to update any such opinions. Wilshire believes that the information obtained from third party sources contained herein is reliable, but has not undertaken to verify such information. Wilshire gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use.

Unless otherwise noted, data and figures related to historical and current macroeconomic trends as well as company-specific developments are sourced from Bloomberg and Barclays.

Wilshire Advisors LLC (Wilshire) is an investment advisor registered with the SEC. Wilshire® is a registered service mark. All other trade names, trademarks, and/or service marks are the property of their respective holders.

Copyright© 2023 Wilshire. All rights reserved.

code