In July, the funded status of the 100 largest corporate defined benefit pension plans decreased by $11 billion as measured by the Milliman 100 Pension Funding Index (PFI). The funded status deficit swelled to $216 billion from $205 billion at the end of June due to a decrease in the benchmark corporate bond interest rates used to value pension liabilities. As of July 31, the funded ratio fell to 87.9%, down from 88.4% at the end of June.
Between June 30 and July 31, the projected benefit obligation increased by $15 billion, raising the Milliman 100 PFI liability value to $1.783 trillion from $1.768 trillion. The change was the result of an eight basis point decrease in the monthly discount rate, which declined to 3.37% for July from 3.45% in June. July’s discount rate is the third lowest discount in the 19-year history of the PFI.
July’s 0.56% investment return raised the Milliman 100 PFI asset value by $4 billion to $1.567 trillion.