The Milliman 100 PFI funded ratio increases to
86.2% primarily due to investment gains
The funded status of the 100 largest corporate defined benefit
pension plans increased by $12 billion during November as
measured by the Milliman 100 Pension Funding Index (PFI).
The deficit lessened to $272 billion primarily due to investment
gains. Benchmark corporate bond interest rates used to value
pension liabilities fell 24 basis points in November after seeing
increases in the prior three months. As of November 30, the
funded ratio increased to 86.2% from 85.2% reported at the end
of October. Pensions are still down for the year with an overall
decline in funded status of $89 billion.
The market value of assets improved by $77 billion as a result
of November’s 5.03% investment gain. This massive investment
gain tops the whopping 4.68% return of April, putting 2020
in the record books for having two of the top 10 highest
return months in the same year. Also noteworthy for 2020 was
March’s investment loss of 5.37%, which ranks among the
highest historical monthly losses. The Milliman 100 PFI asset
value increased to $1.707 trillion at the end of November. By
comparison, the 2020 Milliman Pension Funding Study reported
that the monthly median expected investment return during
2019 was 0.53% (6.5% annualized). The full results of the annual
2020 study can be found at milliman.com/pfs.
FIGURE 1: MILLIMAN 100 PENSION FUNDING INDEX — PENSION SURPLUS/DEFICIT
FIGURE 2: MILLIMAN 100 PENSION FUNDING INDEX — PENSION FUNDED RATIO
The projected benefit obligation (PBO) increased by $65
billion during November, raising the Milliman 100 PFI value
to $1.980 trillion from $1.915 trillion at the end of October.
The change was the result of a 24 basis point decrease in
the monthly discount rate to 2.47% for November from
2.71% in October. In spite of increases in the three months
prior to November, current discount rates continue to rank
among the lowest ever recorded in the 20-year history of the
Milliman 100 PFI.
Over the last 12 months (December 2019–November 2020),
the cumulative asset return for these pensions has been
11.15% and yet the Milliman 100 PFI funded status deficit has
worsened by $45 billion. The primary reason for the widening
of the funded status deficit during this time period has been
discount rate declines. Discount rates fell from 3.09% as of
November 30, 2019, to 2.47% a year later. The funded ratio
of the Milliman 100 companies has decreased over the past
12 months to 86.2% from 87.6%. We will continue to closely
monitor the movement of the financial markets and the
interest rate environment as year-end approaches.
2020-2022 Projections
If the Milliman 100 PFI companies were to achieve the expected
6.5% median asset return (as per the 2020 Pension Funding
Study), and if the current discount rate of 2.47% were maintained
during the remaining month of 2020 through the end of 2022,
we forecast that the funded status of the surveyed plans would
increase. This would result in a projected pension deficit of $188
billion (funded ratio of 90.4%) by the end of 2021 and a projected
pension deficit of $105 billion (funded ratio of 94.6%) by the end
of 2022. For purposes of this forecast, we have assumed 2021 and
2022 aggregate annual contributions of $50 billion.
Under an optimistic forecast with rising interest rates (reaching
3.12% by the end of 2021 and 3.72% by the end of 2022) and asset
gains (10.5% annual returns), the funded ratio would climb to 103%
by the end of 2021 and 121% by the end of 2022. Under a pessimistic
forecast with similar interest rate and asset movements (1.82%
discount rate at the end of 2021 and 1.22% by the end of 2022 and
2.5% annual returns), the funded ratio would decline to 79% by the
end of 2021 and 73% by the end of 2022.
MILLIMAN 100 PENSION FUNDING INDEX — NOVEMBER 2020 (ALL DOLLAR AMOUNTS IN MILLIONS)
PENSION ASSET AND LIABILITY RETURNS

ABOUT THE MILLIMAN 100 MONTHLY PENSION FUNDING INDEX
For the past 20 years, Milliman has conducted an annual study of the 100 largest defined benefit pension plans sponsored by U.S.
public companies. The Milliman 100 Pension Funding Index projects the funded status for pension plans included in our study,
reflecting the impact of market returns and interest rate changes on pension funded status, utilizing the actual reported asset values, liabilities, and asset allocations of the companies’ pension plans.
The results of the Milliman 100 Pension Funding Index were based on the actual pension plan accounting information disclosed in
the footnotes to the companies’ annual reports for the 2019 fiscal year and for previous fiscal years. This pension plan accounting
disclosure information was summarized as part of the Milliman 2020 Pension Funding Study, which was published on April 28,
2020. In addition to providing the financial information on the funded status of U.S. qualified pension plans, the footnotes may also
include figures for the companies’ nonqualified and foreign plans, both of which are often unfunded or subject to different funding
standards than those for U.S. qualified pension plans. They do not represent the funded status of the companies’ U.S. qualified
pension plans under ERISA.