December 2015 S&P 1500 Pension Funding

December 2015 S&P 1500 Pension Funding

S&P 1500 pension funded status increased by 3% in 2015 fueled by increases in interest rates

  • January 5, 2016
  • United States, New York

The estimated aggregate funding level of pension plans sponsored by S&P 1500 companies increased from 79% as of December 31, 2014 to 82% as of December 31, 2015. Decreases in equity and fixed income markets were more than offset by increases in interest rates used to calculate corporate pension plan liabilities, increasing funded status by 3%.The estimated aggregate deficit of $404 billion as of December 31, 2015 is approximately $100 billion less than the $504 billion deficit seen at the end of 2014 according to Mercer,[1] a global consulting leader in advancing health, wealth and careers of individuals, and a wholly-owned subsidiary of Marsh & McLennan Companies (NYSE: MMC).

Mercer’s main findings for 2015 include:

·         Despite volatile equity markets, funded status increased in 2015

·         Deficits decreased in 2015, coming closer to the levels seen at the end of 2013

·         Deficits decreased from $504 billion at 2014 year-end to $404 billion at 2015 year end, which will drive adjustments to balance sheets and 2016 P&L expense

·         Interest rates increased by 43 basis points from 2014 year-end, more than offsetting the negative impact of decreases in equity markets in 2015

The S&P 500 index decreased by 0.7% during 2015 and the MSCI EAFE index decreased by 3.3%. Typical discount rates for pension plans as measured by the Mercer Yield Curve increased by 43 basis points to 4.24%.

”Plan sponsors have been waiting for years to see an increase in interest rates help improve their funded status”, said Matt McDaniel, a Partner in Mercer’s Retirement Business. “In 2015, we took a small step in that direction. If rates continue to rise, funded status will further improve. But, recent history has shown us how volatile rates can be, so plan sponsors need to define now the specific actions they will take as rates rise, so they can be ready to execute. Otherwise, they risk falling into the same trap as 2008, when a majority of plans were fully funded but failed to lock in gains.”

Mercer estimates the aggregate funded status position of plans sponsored by S&P 1500 companies on a monthly basis. Figure 1 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 year-end statement[2] and by projections to December 31, 2015 in line with financial indices. The estimates include US domestic qualified and non-qualified plans and all non-domestic plans. The estimated aggregate value of pension plan assets of the S&P 1500 companies as of December 31, 2014, was $1.89 trillion, compared with estimated aggregate liabilities of $2.39 trillion. Allowing for changes in financial markets through December 31, 2015, changes to the S&P 1500 constituents, and newly released financial disclosures, at the end of December the estimated aggregate assets were $1.80 trillion, compared with estimated aggregate liabilities of $2.20 trillion. Figure 2 shows the interest rates used in Mercer’s pension funding calculation.

Notes for editors

Information on the Mercer Yield Curve is available at .

The Mercer US Pension Buyout Index may be accessed at

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 surplus/(deficit) position and the funded status of all plans sponsored by companies in the S&P 1500

Source: Mercer, December 2015

See Figure 2 for High Quality Corporate Bond Yield and S&P 500 data points.

Figure 2: Sample Data Points:


High Quality Corporate Bond Yield[3]

S&P 500 Index[4]

December 31, 2007



June 30, 2008



December 31, 2008



June 30, 2009



December 31, 2009



June 30, 2010



December 31, 2010



June 30, 2011



December 31, 2011



June 30, 2012



December 31, 2012



June 30, 2013



December 31, 2013



June 30, 2014



December 31, 2014



March 31, 2015



June 30, 2015



September 30, 2015



October 31, 2015



November 30, 2015



December 31, 2015




About Mercer

Mercer is a global consulting leader in talent, health, retirement and investments. Mercer helps clients around the world advance the health, wealth and careers of their most vital asset – their people. Mercer’s more than 20,000 employees are based in 43 countries and the firm operates in over 140 countries.  Mercer is a wholly owned subsidiary of Marsh & McLennan Companies (NYSE: MMC), a global professional services firm offering clients advice and solutions in the areas of risk, strategy and people. With annual revenue of $13 billion and 57,000 colleagues worldwide, Marsh & McLennan Companies is also the parent company of Marsh, a leader in insurance broking and risk management; Guy Carpenter, a leader in providing risk and reinsurance intermediary services; and Oliver Wyman, a leader in management consulting. For more information, visit Follow Mercer on Twitter @Mercer.



[1]Figures provided by Mercer Investment Consulting, LLC. Funded status figures from 12/31/2013 onwards have been revised to reflect updated 10-K data.



[2]Source of financial statement data: Standard & Poor’s Capital IQ. Standard and Poor’s is a division of The McGraw-Hill Companies, Inc. This may contain information obtained from third parties, including ratings from credit ratings agencies such as Standard & Poor’s.  Reproduction and distribution of third party content in any form is prohibited except with the prior written permission of the related third party.  Third party content providers do not guarantee the accuracy, completeness, timeliness or availability of any information, including ratings, and are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, or for the results obtained from the use of such content.  THIRD PARTY CONTENT PROVIDERS GIVE NO EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. THIRD PARTY CONTENT PROVIDERS shall not be liable for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including lost income or profits and opportunity costs) in connection with any use of THEIR CONTENT, INCLUDING ratings. Credit ratings are statements of opinions and are not statements of fact or recommendations to purchase, hold, or sell securities. They do not address the suitability of securities or the suitability of securities for investment purposes, and should not be relied on as investment advice.



[3]Assumed duration of approximately 12 years. Based on an estimate of the Mercer Yield Curve Mature Plan Index rate.



[4]Includes price changes only; total returns also include dividends.