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

Santa Monica, Calif., October 2, 2023 – The aggregate funded ratio for U.S. corporate pension plans increased by an estimated 0.7 percentage points in September, ending the month at 105.3%, 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 5.4% decrease in liability value, partially offsetby a 4.8% decrease in asset value. The aggregate funded ratio is estimated to have increased by 1.9%, 6.6% and 9.9% during the third quarter, year-to-date and over the trailing twelve-month periods, respectively.

“September’s funded status increase was driven by the continued rise in Treasury yields, causing the liability value to experience its largest monthly decline since September 2022. Corporate bond yields, used to value corporate pension liabilities, are estimated to have increased by over 45 basis points,” stated Ned McGuire, Managing Director, Wilshire. “Despite the FT Wilshire 5000 Index^SM posting its worst monthly performance for 2023 and most asset classes experiencing negative returns during the month, the aggregate funded ratio is estimated to have increased due to better asset returns compared to liability returns.September’s month-end funded ratio estimate of 105.3% is the highest since December 2012 when Wilshire began reporting month-end funded ratio estimatesand 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:

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 aFTSE Pension Liability Index – Short duration matched weighting of the Barclays Long & Intermediate Aa+ U.S. Corporate Indices.

The assumedasset allocation is below:

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