S&P 1500 Pension Funded Status Decreased by 4 Percent in January

New York, N.Y., February 5, 2020


The estimated aggregate funding level of pension plans sponsored by S&P 1500 companies decreased by 4 percent in January 2020 to 84 percent as a result of a decrease in discount rates and equity markets. As of January 31, 2020, the estimated aggregate deficit of $402 billion USD increased by $101 billion USD as compared to $301 billion USD measured at the end of December according to Mercer,[1] a global consulting leader and a business of Marsh & McLennan Companies (NYSE: MMC).


The S&P 500 index decreased 0.16 percent and the MSCI EAFE index decreased 2.12 percent in January. Typical discount rates for pension plans as measured by the Mercer Yield Curve decreased from 3.18 percent to 2.85 percent.


“January saw a decline in pension funded status, mainly due to underperforming equity markets, lower interest rates and high-quality corporate bond yields dropping to an all-time low,” said Scott Jarboe, a Partner in Mercer’s Wealth business. “If low rates persist, risk transfer activities such as lump sum windows may be attractive during 2020. As we continue into the new year, plan sponsors should review their pension risk toolkit and explore all of their options.”


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 statement[2] and by projections to January 31, 2020 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 December 31, 2019 was $2.11 trillion USD, compared with estimated aggregate liabilities of $2.41 trillion USD. Allowing for changes in financial markets through January 31, 2020, changes to the S&P 1500 constituents, and newly released financial disclosures, at the end of January the estimated aggregate assets were $2.12 trillion USD, compared with the estimated aggregate liabilities of $2.52 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 surplus/ (deficit) position and the funded status of all plans sponsored by companies in the S&P 1500

Source: Mercer, January 2020


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


High Quality Corporate Bond Yield

S&P 500 Index

December 31, 2007



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December 31, 2012



December 31, 2013



December 31, 2014



December 31, 2015



December 31, 2016



December 31, 2017



December 31, 2018



July 31, 2019



August 31, 2019



September 30, 2019



October 31, 2019



November 30, 2019



December 31, 2019



January 31, 2020




[1]Figures provided by Mercer Investments LLC.

[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.

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