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

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

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

  • October 6, 2017
  • United States, New York City

New York, October 6, 2017 -- The estimated aggregate funding level of pension plans sponsored by S&P 1500 companies increased by one percent to 83% funded status in September 2017, as a result of an increase in discount rates and supported by positive equity markets. As of September 30, 2017, the estimated aggregate deficit of $392 billion USD represents a decrease of $40 billion as compared to the deficit measured at the end of August 2017. The aggregate deficit is down $16 billion USD from the $408 billion measured at the end of 2016 according to Mercer,[1] a global consulting leader in advancing health, wealth and careers, and a wholly owned subsidiary of Marsh & McLennan Companies (NYSE: MMC). 

The S&P 500 index gained 1.93 percent and the MSCI EAFE index gained 2.23 percent in September. Typical discount rates for pension plans as measured by the Mercer Yield Curve increased by 7 basis point to 3.71 percent. 

“Interest rates finally moved in a positive direction while equities rose”, said Matt McDaniel, a Partner in Mercer’s Wealth business. “With both these forces working together, pension funded status is now the highest it has been since Fall 2015. Now, the ball is in plan sponsors’ court to make sure they preserve these gains. Plans using a dynamic derisking strategy should be frequently monitoring funded status to see if triggers are hit, and those considering risk transfer transactions may find that the time is right.”                                              

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 September 30, 2017 in line with financial indices. The estimates include US 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, 2017 was $1.92 trillion USD, compared with estimated aggregate liabilities of $2.35 trillion USD. Allowing for changes in financial markets through September 30, 2017, changes to the S&P 1500 constituents, and newly released financial disclosures, at the end of September the estimated aggregate assets were $1.91 trillion USD, compared with the estimated aggregate liabilities of $2.30 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, September 2017 

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



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



June 30, 2015



December 31, 2015



June 30, 2016



December 31, 2016



June 30, 2017



July 31, 2017



August 31, 2017



September 30, 2017



About Mercer

Mercer delivers advice and technology-driven solutions that help organizations meet the health, wealth and career needs of a changing workforce. Mercer’s more than 22,000 employees are based in 43 countries and the firm operates in over 130 countries. Mercer is a wholly owned subsidiary of Marsh & McLennan Companies (NYSE: MMC), the leading global professional services firm in the areas of risk, strategy and people. With more than 60,000 colleagues and annual revenue over $13 billion, through its market-leading companies including Marsh, Guy Carpenter and Oliver Wyman, Marsh & McLennan helps clients navigate an increasingly dynamic and complex environment. For more information, visit www.mercer.com. Follow Mercer on Twitter @Mercer

Mercer Investment Consulting, LLC is a federally registered investment adviser under the Investment Advisers Act of 1940, as amended, providing nondiscretionary and discretionary investment advice to its clients on an individual basis. Registration as an investment adviser does not imply a certain level of skill or training. The oral and written communications of an adviser provide you with information about which you determine to hire or retain an adviser. Mercer’s Form ADV Part 2A & 2B can be obtained by written request directed to:  Compliance Department, Mercer Investments, 701 Market Street, Suite 1100, St. Louis, MO  63101.

[1]Figures provided by Mercer Investment Consulting 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.