S&P 1500 Pension Funded Status Decreased 1 Percent in July 

August 8, 2024

United States, New York

The estimated aggregate funding level of pension plans sponsored by S&P 1500 companies decreased by 1 percent in July 2024 to 108 percent as a result of a decrease in discount rates partially offset by an increase in equity markets. As of July 31, 2024, the estimated aggregate surplus of $128 billion USD decreased by $8 billion USD as compared to a surplus of $136 billion USD measured at the end of June according to Mercer¹,  a business of Marsh McLennan (NYSE: MMC).

The S&P 500 index increased 1.13% percent and the MSCI EAFE index increased 2.89% percent in July. Typical discount rates for pension plans as measured by the Mercer Yield Curve decreased from 5.48 percent to 5.25 percent.

“Pension funded status for the S&P 1500 decreased one percent in July, driven by a drop in interest rates following the latest Fed meeting and indications that a rate cut may be coming soon,” said Matt McDaniel, a partner in Mercer’s Wealth Practice. “This was partially offset by equity markets tallying another winning month, with the S&P 500 reaching new all-time highs.”

"With August off to a bumpy start, we could see further declines in funded status if conditions don’t improve.  Plan sponsors who have put in place robust risk mitigation strategies tend to be weathering this environment better," Mr. McDaniel added. 

Mercer estimates the aggregate funded status position of plans sponsored by S&P 1500 companies on a monthly basis. Figure 1 (below) shows the estimated aggregate surplus/(deficit) position and the funded status of all plans sponsored by companies in the S&P 1500. The estimates are based on each company’s latest available year-end statement² and by projections to July 31, 2024, in line with financial indices. The estimates include U.S. domestic qualified and non-qualified plans, along with all non-domestic plans. The estimated aggregate value of pension plan assets of the S&P 1500 companies as of June 30, 2024, was $1.72 trillion USD, compared with estimated aggregate liabilities of $1.59 trillion USD. Allowing for changes in financial markets through July 31, 2024, changes to the S&P 1500 constituents, and newly released financial disclosures at the end of July, the estimated aggregate assets were $1.74 trillion USD, compared with the estimated aggregate liabilities of $1.62 trillion USD. Figure 2 shows the discount rates used in Mercer’s pension funding calculation.

Notes for editors

Information on the Mercer Yield Curve is available at http://www.mercer.com/pensiondiscount.

The Mercer US Pension Buyout Index may be accessed at http://www.mercer.us/our-thinking/mercer-us-pension-buyout-index.html.

Unless otherwise stated, the calculations are based on the Financial Accounting Standard (FAS) funding position and include analysis of the S&P 1500 companies.

Figure 1 : Estimated aggregate funded status of all plans sponsored by companies in the S&P 1500

Figure 2: High Quality Corporate Bond Yield and S&P 500 data points

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_{¹ Figures provided by Mercer Investments LLC.}

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