Based on a review of interest rate activity over the last six years ending with 2014, an increase in the net interest rate for the year has occurred just once. The year 2015, like 2013, changes the history to two years in the last seven years in which interest rates increased, resulting in lower pension liabilities. The Milliman 100 discount rates climbed 38 basis points to 4.22% at the end of 2015 from 3.84% at the end of 2014.

The asset performance for 2015 was dismal: Investment returns were 1.15% for the year, well under the annual asset return expectation of 7.3%.

The result was a funded status improvement of $35 billion at the end of 2015 when compared to the end of 2014. The year-end 2015 funded ratio was 82.7%, up from 81.5% at the end of 2014. But the 2015 funded ratio still trails the year-end high point over the last seven years of 88.3% at the end of 2013.

The funded status increased by $35 billion during 2015 for the 100 largest corporate defined benefit pension plans as measured by the Milliman 100 Pension Funding Index (PFI). Higher interest rates were the dominant factor in the funded status improvement. While lower-than-expected investment returns produced a $45 billion loss, pension liabilities decreased by $80 billion.

During December, the funded status decreased by $7 billion. The deficit increased to $294 billion from a deficit of $287 billion at the end of November. The funded status drop for the month of December was due to negative investment returns of 0.93%. As of December 31, the funded ratio decreased to 82.7% from 83.3% at the end of November.

December’s $18 billion decrease in market value brings the Milliman 100 PFI asset value to $1.410 trillion at year-end 2015. The projected benefit obligation (PBO) decreased by $11 billion during December, lowering the Milliman 100 PFI value to $1.705 trillion from $1.716 trillion at the end of November. The change resulted from an increase of six basis points in the monthly discount rate to 4.22% for December from 4.16% for November.