In May, the funded status of the 100 largest corporate defined benefit pension plans decreased by $65 billion as measured by the Milliman 100 Pension Funding Index (PFI). The deficit widened to $210 billion from $145 billion at the end of April due to a sharp decrease in the benchmark corporate bond interest rates used to value pension liabilities. As of May 31, the funded ratio fell to 87.9%, down from 91.4% at the end of April. This is the third largest monthly decline in dollars in the past five years. Only January 2015 ($97 billion) and December 2018 ($70 billion) had worse outcomes.

May’s negative 0.74% investment return decreased Milliman 100 PFI asset values by $15 billion to $1.521 trillion at the end of May. By comparison, the 2019 Milliman Pension Funding Study reported that the monthly median expected investment return during 2018 was 0.53% (6.6% annualized).

The Milliman 100 PFI projected benefit obligation increased by $50 billion during May to $1.731 trillion. The change resulted from a decrease of 24 basis points in the monthly discount rate to 3.61% for May from 3.85% in April. This is the lowest discount rate since December 2017 (3.53%).

Over the last 12 months (June 2018–May 2019), the cumulative asset gain for these pensions has been 3.72% and the Milliman 100 PFI funded status deficit has grown by $68 billion. The primary reason for the worsening of the funded status deficit has been a decline in discount rates over the past 12 months.