S&P 1500 Pension Funded Status Increased 2 Percent in October 

November 13, 2023 

United States, New York

The estimated aggregate funding level of pension plans sponsored by S&P 1500 companies increased by 2 percent in October 2023 to 111 percent as a result of an increase in discount rates partially offset by a decrease in equity markets. As of October 31, 2023, the estimated aggregate surplus of $157 billion USD increased by $15 billion USD as compared to a surplus of $142 billion USD measured at the end of September according to Mercer,¹ a global consulting leader and a business of Marsh McLennan (NYSE: MMC).

The S&P 500 index decreased 2.20 percent and the MSCI EAFE index decreased 4.10 percent in October. Typical discount rates for pension plans as measured by the Mercer Yield Curve increased from 5.84 percent to 6.23 percent.

“Pension funded status for the S&P 1500 rose two percent in October and pension funded status has once again reached its highest level since we began tracking in 2006,” said Scott Jarboe, a Partner in Mercer’s Wealth Business. “Interest rates soared in October pushing to their highest levels since 2006 and propelling pension funded status up to 111% despite equities pulling back for the third consecutive month. Risk transfer activity continues to rise as companies seek to lock in the recent positive shifts in pension funded status. Although interest rates continued to surge, equity markets showed bullish signs in the third quarter. Plan sponsors who have yet to act on de-risking strategies should be carefully assessing their options to best capitalize on the recent funded status movements.”

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 October 31, 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 September 30, 2023, was $1.67 trillion USD, compared with estimated aggregate liabilities of $1.53 trillion USD. Allowing for changes in financial markets through October 31, 2023, changes to the S&P 1500 constituents, and newly released financial disclosures, at the end of October the estimated aggregate assets were $1.61 trillion USD, compared with the estimated aggregate liabilities of $1.45 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 https://www.mercer.com/en_us/insights/retirement/defined-benefit-plans/pension-discount-yield-curve-and-index-rates-in-us.html.

The Mercer US Pension Buyout Index may be accessed at https://www.mercer.com/en-us/insights/investments/market-outlook-and-trends/pension-buy-out-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, October 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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