U.S. corporate pension fund surpluses remained robust in June on the back of another month of strong investment returns, according to three new reports.
Wilshire Advisors estimated the aggregate funding ratio of U.S. corporate plans reached 102.3% as of June 30, an increase of 1.1 percentage points above the 101.2% funding ratio estimated as of April 30.
"June's funded status increase resulted from continued asset value increases, with most asset classes posting positive returns," said Ned McGuire, managing director at Wilshire, in a July 1 news release. "The FT Wilshire 5000 index notably returned over 3% in June and more than 13% in the first half of 2024."
"Broad U.S. equity markets reached new highs multiple times during June and year to date, propelling the estimated increase in the aggregate funded ratio for both June and year to date," McGuire added.
The increase for June was specifically attributed to a 1.1-percentage-point increase in asset values, with no discernible change in liability values.
Wilshire's assumed asset allocation is 32% long-duration fixed income, 28% core fixed income, 24% domestic equity, 14% international equity and 2% real estate.
Legal & General Investment Management America estimated the average funding ratio of the typical U.S. corporate pension plan jumped to 109.9% as of June 30 from 108.8% a month earlier.
LGIMA's Pension Solutions Monitor cited the S&P 500 index and MSCI ACWI Total Gross index returning 3.6% and 2.3%, respectively, during the period. The strong performance offset a rise in liabilities that the monitor said was the result of an estimated decrease in discount rates of 17 basis points in the month ended June 30. That decrease was driven primarily by lower Treasury yields, according to the monitor.
The monitor assumes a typical liability profile using a duration of 12 years and an asset allocation of 50% MSCI ACWI index and 50% Bloomberg U.S. Long Government/Credit index.
In another monthly report, Insight Investment said the funding ratio for U.S. corporate pension plans slightly decreased to 114.3% at the end of June from 114.6% a month earlier.
Insight’s report said rising liabilities slightly offset strong investment returns. The manager estimated that liabilities rose 1.4 percentage points during June, while asset values rose 1.1 percentage points.
