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

December 12, 2023 

United States, New York

The estimated aggregate funding level of pension plans sponsored by S&P 1500 companies decreased by 1 percent in November 2023 to 110 percent as a result of a decrease in discount rates partially offset by an increase in equity markets. As of November 30, 2023, the estimated aggregate surplus of $151 billion USD decreased by $6 billion USD as compared to a surplus of $157 billion USD measured at the end of October according to Mercer,¹ a global consulting leader and a business of Marsh McLennan (NYSE: MMC).

The S&P 500 index increased 8.92 percent and the MSCI EAFE index increased 9.09 percent in November. Typical discount rates for pension plans as measured by the Mercer Yield Curve decreased from 6.23 percent to 5.52 percent.

“Pension funded status for the S&P 1500 fell by one percent in November despite strong equity gains,” said Scott Jarboe, a Partner in Mercer’s Wealth Practice. “Interest rates decreased approximately 70 basis points in November which offset a strong month for equities as the Fed continues to hold rates constant after several increases over the past two years. As the Fed continues to evaluate their next steps, plan sponsors should be ready to act quickly on any potential risk transfer activities or other opportunities to lock in recent funded status gains.”

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 November 30, 2023, 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 October 31, 2023, was $1.61 trillion USD, compared with estimated aggregate liabilities of $1.45 trillion USD. Allowing for changes in financial markets through November 30, 2023, changes to the S&P 1500 constituents, and newly released financial disclosures, at the end of November the estimated aggregate assets were $1.74 trillion USD, compared with the estimated aggregate liabilities of $1.59 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

Source: Mercer, November 2023

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

Mercer believes in building brighter futures by redefining the world of work, reshaping retirement and investment outcomes, and unlocking real health and well-being. Mercer’s approximately 25,000 employees are based in 43 countries and the firm operates in 130 countries. Mercer is a business of Marsh McLennan (NYSE: MMC), the world’s leading professional services firm in the areas of risk, strategy and people, with more than 85,000 colleagues and annual revenue of over $20 billion. Through its market-leading businesses including Marsh, Guy Carpenter and Oliver Wyman, Marsh McLennan helps clients navigate an increasingly dynamic and complex environment. For more information, visit mercer.com. Follow Mercer on LinkedIn and X.

_{¹ Figures provided by Mercer Investments LLC.}

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