The funded status of the 100 largest corporate defined benefit pension plans dropped by $62 billion during August 2011 as measured by the Milliman 100 Pension Funding Index (PFI). The funded status decline was due to the two-fold effect of investment losses coupled with a decrease in corporate bond interest rates that are the benchmarks used to value pension liabilities.
The funded ratio fell to 79.3% from 83.0% at the end of July2011 and the funded status deficit increased to $314 billion from a deficit of $252 billion. The funded status has eroded by more than $128 billion since June 30. This is the worst two-month decline since the drop in funded status of $134 billion prior to June 30, 2010.