S&P 1500 Pension Funded Status Decreased by One Percent in September 

The estimated aggregate funding level of pension plans sponsored by S&P 1500 companies decreased by one percent in September 2024 to 107 percent as a result of a decrease in discount rates partially offset by an increase in equity markets. As of September 30, 2024, the estimated aggregate surplus of $121 billion USD decreased by $8 billion USD compared to a surplus of $129 billion USD measured at the end of August according to Mercer,¹ business of Marsh McLennan (NYSE: MMC).

The S&P 500 index increased 2.02% percent and the MSCI EAFE index increased 0.62% percent in September. Typical discount rates for pension plans as measured by the Mercer Yield Curve decreased from 5.10 percent to 4.93 percent.

“Pension funded status for the S&P 1500 fell 1% in September as lower interest rates offset another month of equity gains,” said Matt McDaniel, a Partner in Mercer’s Wealth Practice. “While long-term bond markets had already priced in much of the Fed's September interest rate cut, we did see a slight decline in pension discount rates. Meanwhile, the bull run for equity markets continues and set new all-time highs yet again in the month.”

“A more dovish Fed will have implications for both discount rates and broader market reactions. While future Fed rate cuts may not directly lower pension discount rates, uncertainty around future activity will likely cause funded status volatility. Many sponsors have built up surpluses within their plans and should be considering what de-risking methods make the most sense for their particular situation,” 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 September 30, 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 August 31, 2024, was $1.77 trillion USD, compared with estimated aggregate liabilities of $1.64 trillion USD. Allowing for changes in financial markets through September 30, 2024, changes to the S&P 1500 constituents, and newly released financial disclosures at the end of September, the estimated aggregate assets were $1.80 trillion USD, compared with the estimated aggregate liabilities of $1.68 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

_{¹ Figures provided by Mercer Investments LLC.}

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