The funded status of the 100 largest corporate defined benefit pension plans improved by $106 billion during January as measured by the Milliman 100 Pension Funding Index (PFI). This was the second largest monthly funded status improvement in the 12-year history of the Milliman 100 PFI. The $74 billion funded status decline in 2012 was wiped out and bettered by $32 billion. The deficit was reduced to $305 billion from $411 billion at the end of December 2012, primarily due to the rise in the benchmark corporate bond interest rates used to value pension liabilities. In addition, strong January investment gains also helped to power the funded ratio to 81.7%, up from 76.5% at the end of December 2012.
Over the last 12 months (February 2012 to January 2013), the cumulative asset return for these pensions has been 8.54% and the Milliman 100 PFI funded status deficit has risen by $8 billion. The primary reason for the increase in the funded status deficit has been the lower trending discount rates seen throughout most of 2012. The discount rate as of January 31, 2012, was 4.71%. In spite of this, the funded ratio of the Milliman 100 companies has slightly increased over the past 12 months to 81.7% from 81.1%.