S&P 1500 Pension Funded Status Decreased 2 Percent in March 

April 8, 2024 

United States, New York

The estimated aggregate funding level of pension plans sponsored by S&P 1500 companies decreased by 2 percent in March 2024 to 107 percent as a result of a decrease in discount rates partially offset by an increase in equity markets. As of March 31, 2024, the estimated aggregate surplus of $114 billion USD decreased by $23 billion USD as compared to a surplus of $137 billion USD measured at the end of February according to Mercer,¹ a global consulting leader and a business of Marsh McLennan (NYSE: MMC).

The S&P 500 index increased 3.10 percent and the MSCI EAFE index increased 2.78 percent in March. Typical discount rates for pension plans as measured by the Mercer Yield Curve decreased from 5.33 percent to 5.23 percent.

“Pension funded status for the S&P 1500 fell 2 percent in March as a good month for equities was offset by interest rate decreases,” said Matt McDaniel, a Partner in Mercer’s Wealth Practice. “Equity markets continued to climb last month with the S&P 500 reaching a new all-time high to close out the month of March. However, interest rates decreased leaving funded status lower to end the first quarter.”

“With the sharp rise in interest rates over the past two years, many plan sponsors have decided to increase their interest rate hedge ratios, and those who did benefitted in March. With potential rate cuts looming this year, plan sponsors should evaluate their interest rate risk exposure and determine if any changes are warranted,” 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 March 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 February 29, 2024, was $1.75 trillion USD, compared with estimated aggregate liabilities of $1.61 trillion USD. Allowing for changes in financial markets through March 31, 2024, changes to the S&P 1500 constituents, and newly released financial disclosures, at the end of March the estimated aggregate assets were $1.76 trillion USD, compared with the estimated aggregate liabilities of $1.65 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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