In February, the funded status of the 100 largest corporate defined benefit pension plans improved by $20 billion as measured by the Milliman 100 Pension Funding Index (PFI). The funded status deficit narrowed to $122 billion from $142 billion at the end of January due to investment gains incurred during February.
The market value of assets rose by $15 billion as a result of February’s robust investment gain of 1.24%. The Milliman 100 PFI asset value increased to $1.525 trillion from $1.510 trillion at the end of January. By comparison, the 2018 Milliman Pension Funding Study reported that the monthly median expected investment return during 2016 was 0.55% (6.8% annualized).
The projected benefit obligation, or pension liabilities, fell to $1.647 trillion at the end of February. The change resulted from an increase of two basis points in the monthly discount rate, to 4.08% for February from 4.06% for January.
Over the last 12 months (March 2018– February 2019), the cumulative asset return for these pensions has been 2.6% and the Milliman 100 PFI funded status deficit improved by $22 billion. The funded status gain is the result of the general upward trend in discount rates during most of 2018.