Pension Funding Index October 2017

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By Zorast Wadia, Charles J. Clark | 09 October 2017

In September, the funded status of the 100 largest corporate defined benefit pension plans improved by $26 billion as measured by the Milliman 100 Pension Funding Index (PFI). The deficit fell to $272 billion due to interest rate and market value gains experienced during September. As of September 30, the funded ratio increased to 84.3%, up from 83.0% at the end of August. This is the highest monthly improvement in dollars and funded ratio in 2017.

The market value of assets rose by $6 billion as a result of September’s investment gain of 0.78%. The Milliman 100 PFI asset value increased to $1.465 trillion at the end of September. The projected benefit obligation (PBO), or pension liabilities, decreased to $1.737 trillion at the end of September from $1.757 trillion at the end of August. The change resulted from an increase of nine basis points in the monthly discount rate to 3.69% for September from 3.60% for August.

During the quarter that ended September 30, 2017, the funded status deficit improved by $13 billion. This was primarily due to the funded status gain experienced in September.

Over the last 12 months (October 2016–September 2017), the cumulative asset return for these pensions has been 8.30% and the Milliman 100 PFI funded status deficit has improved by $129 billion. Discount rates experienced an increase over the last 12 months moving from 3.42% as of September 30, 2016, to 3.69% a year later. The funded ratio of the Milliman 100 companies has increased over the past 12 months to 84.3% from 77.9%.