In October, the funded status of the 100 largest corporate defined benefit pension plans declined by $13 billion as measured by the Milliman 100 Pension Funding Index (PFI).

The deficit expanded back to a triple-digit value of $104 billion primarily due to a 3.42% investment loss. An increase in the benchmark corporate bond interest rates used to value pension liabilities helped to offset the full extent of the 1.0% decline in funded status in October. As of October 31, the funded ratio moved to 93.4% from 94.4% reported at the end of September.

The market value of assets declined by $57 billion as a result of October’s 3.42% investment loss, the largest monthly loss seen in 2018 and the biggest one-month investment loss since January 2008’s 3.57% loss. By comparison, the 2018 Milliman Pension Funding Study reported that the monthly median expected investment return during 2017 was 0.55% (6.8% annualized). The Milliman 100 PFI asset value decreased to $1.482 trillion from $1.539 trillion at the end of September.

The projected benefit obligation decreased by $44 billion during October, lowering the Milliman 100 PFI value to $1.586 trillion from $1.630 trillion at the end of September. The change resulted from an increase of 22 basis points in the monthly discount rate to 4.40% for October from 4.18% in September.