We re-visit if risk shifting behavior exists in the investment of defined benefit (DB) plan assets. Extending prior literature, we emphasize that both financial distress of the sponsors and severe underfunding of the pension plans need to be present before it becomes optimal for the sponsors to shift pension investment risk. Our results from the analysis of the levels as well as changes in pension asset allocations, supplemented by the DB plan terminations data from the Pension Benefit Guaranty Corporation (PBGC), are consistent with the presence of risk shifting behavior. We also find that risk shifting is mitigated in the U.K. where the pension insurance premium is risk adjusted. Our evidence provides support to the view that the establishment of the PBGC that acts as the ultimate guarantor of failed DB plans, together with a largely flat-ratepremium structure, incentivizes some sponsors to take excessive risk when plan terminations become foreseeable.