In July, the funded status of the 100 largest corporate defined benefit pension plans increased by $12 billion as measured by the Milliman 100 Pension Funding Index (PFI). The deficit fell to $108 billion from $120 billion due to a robust investment gain of 1.15% for the month. The funded status improvement was partially offset by pension liability increases resulting from a small decrease in the benchmark corporate bond interest rates used to value pension liabilities. As of July 31, the funded ratio climbed to 93.4%, up from 92.7% at the end of June.

The market value of assets rose by $13 billion as a result of July’s investment gain of 1.15%. The Milliman 100 PFI asset value increased to $1.537 trillion from $1.524 trillion at the end of June.

The projected benefit obligation increased by $1 billion during July, raising the Milliman 100 PFI value to $1.645 trillion. The change resulted from a paltry decrease of one basis point in the monthly discount rate to 4.11% for July from 4.12% in June.

Over the last 12 months (August 2017–July 2018), the cumulative asset return for these pensions has been 5.4% and the Milliman 100 PFI funded status deficit has improved by $138 billion. The primary reason for the improvement in the funded status deficit has been discount rate gains over the past 12 months.