The funded status of the 100 largest corporate defined benefit pension plans improved by $30 billion during January as measured by the Milliman 100 Pension Funding Index (PFI). The deficit declined to $434 billion from $464 billion at the end of December 2011, primarily due to January’s strong investment gains. The benchmark corporate bond interest rates used to value pension liabilities remained flat in January. As of January 31, the funded ratio increased to 74.2%, up from 72.4% at the end of December 2011.
January’s $30 billion increase in market value brings the Milliman 100 PFI asset value to $1.251 trillion, up from $1.221 trillion at the end of December 2011, based on an investment gain of 2.49% for the month. January’s one-month gain is striking in comparison to the full year 2011 investment gain of 3.02%. By comparison, the 2011 Milliman Pension Funding Study published in March 2011 reported that the median expected investment return during 2010 was 0.64% (8.00% annualized). The expected rate of return for 2011 will be updated in the 2012 Milliman Pension Funding Study, due out on March 28.