The aggregate funded ratio for US corporate pension plans decreased by 2.7 percentage points in March to end the month at 79.2 per cent, according to Wilshire Consulting.The monthly change in funding resulted from a 7.3 per cent decrease in asset values partially offset by a 4.0 per cent decrease in liability values. The aggregate funded ratio is estimated to have decreased by 9.4 and 9.5 percentage points during the first quarter and over the trailing twelve months, respectively.
“March’s decrease in funded ratio was driven by stress in financial markets due to the COVID-19 pandemic. For most asset classes, returns were negative for the month,” says Ned McGuire, Managing Director and a member of the Investment Management & Research Group of Wilshire Consulting. “March marks the third consecutive monthly decrease with the funded ratio now at its lowest month-end level since October 2016.
The aggregate figures represent an estimate of the combined assets and liabilities of corporate pension plans sponsored by S&P 500 companies with a duration in line with the FTSE Pension Liability Index – Intermediate. The Funded Ratio is based on the FTSE – Intermediate liability, with service cost, benefit payments and contributions in line with Wilshire’s 2019 corporate funding study. The most current month-end liability growth is estimated using the Barclays Long Aa+ US Corporate Index.