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Pension Funding Index: Funded status declines by $13 billion in October
By: Milliman | November, 2018

The Milliman 100 PFI funded ratio decreases to 93.4% due to October’s 3.42% investment loss

The funded status of the 100 largest corporate defined benefit pension plans declined by $13 billion during October 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. October’s significant investment loss brings the year-to-date investment performance to a loss of 1.99%. Pension liabilities have fallen by 7.28% year-to-date as discount rates have risen, resulting in an overall funded status improvement of $117 billion so far in 2018.

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.

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