The funded status of the country’s 100 largest corporate defined benefit pension plans increased by $5 billion during November, as measured by the Milliman 100 Pension Funding Index (PFI). A decrease in the benchmark corporate bond interest rates used to value pension liabilities led to a $13 billion rise in plan liabilities for the month. This was offset, however, by robust investment gains that increased plan assets. As of November 30, the PFI funded ratio rose to 103.5%, up from 103.2% at the end of October, and the funded status surplus improved to $45 billion.
The market value of plan assets rose by $18 billion as a result of November’s strong 1.88% investment return. The Milliman 100 PFI asset value increased to $1.338 trillion at the end of November. By comparison, the 2024 Milliman Pension Funding Study reported that the monthly expected investment return for 2023 was 0.52% (6.4% annualized). The full results of the annual 2024 study can be found at www.milliman.com/pfs.
During November, the projected benefit obligation increased to $1.292 trillion from $1.279 trillion at the end of October. This change was a result of a drop of 10 basis points (bps) in the monthly discount rate, to 5.21% for November from 5.31% in October.
Highlights
| $ BILLION | FUNDED PERCENTAGE | |||
|---|---|---|---|---|
| MV | PBO | FUNDED STATUS | ||
| October | 1,320 | 1,279 | 41 | 103.2% |
| November | 1,338 | 1,292 | 45 | 103.5% |
| Monthly change | +18 | +13 | +5 | 0.3% |
| YTD Change | +10 | (42) | +51 | 4.0% |
Note: Numbers may not add up precisely due to rounding
Over the last 12 months (December 2023 to November 2024), the cumulative asset return for the PFI plans was 11.95%, and the Milliman 100 PFI funded status position improved by $31 billion. The funded status gain is primarily the result of robust investment performance over the past 12-month period. Despite discount rates falling by 34 bps, to 5.21% from 5.55% one year ago, the funded ratio of the Milliman 100 companies has increased over the past 12 months, to 103.5% from 101.1%.
We will continue to closely monitor the movement of the financial markets and the interest rate environment as year-end approaches.
Figure 1: Milliman 100 Pension Funding Index — Pension surplus/deficit
Figure 2: Milliman 100 Pension Funding Index — Pension funded ratio
2025-2026 projections
If the Milliman 100 PFI companies were to achieve the expected 6.4% asset return (as per the 2024 PFS), and if the current discount rate of 5.21% were maintained during the last month of 2024 through the end of 2026, we forecast that the funded status of the surveyed plans would increase. This would result in a projected pension surplus of $61 billion (funded ratio of 104.8%) by the end of 2025 and a projected pension surplus of $76 billion (funded ratio of 106.0%) by the end of 2026. For purposes of this forecast, we have assumed 2025 and 2026 aggregate annual contributions of $25 billion.
Under an optimistic forecast with rising interest rates (reaching 5.86% by the end of 2025 and 6.46% by the end of 2026) and asset gains (10.4% annual returns), the funded ratio would climb to 117% by the end of 2025 and 131% by the end of 2026. Under a pessimistic forecast with similar interest rate and asset movements (4.56% discount rate at the end of 2025 and 3.96% by the end of 2026 and 2.4% annual returns), the funded ratio would decline to 93% by the end of 2025 and 85% by the end of 2026.
Milliman 100 Pension Funding Index - December 2024 (all dollar amounts in millions)
Pension asset and liability returns
About the Milliman 100 monthly Pension Funding Index
For the past 24 years, Milliman has conducted an annual study of the 100 largest defined benefit pension plans sponsored by U.S. public companies. The Milliman 100 Pension Funding Index projects the funded status for pension plans included in our study, reflecting the impact of market returns and interest rate changes on pension funded status, utilizing the actual reported asset values, liabilities, and asset allocations of the companies’ pension plans.
The results of the Milliman 100 Pension Funding Index were based on the actual pension plan accounting information disclosed in the footnotes to the companies’ annual reports for the 2023 fiscal year and for previous fiscal years. This pension plan accounting disclosure information was summarized as part of the Milliman 2024 Pension Funding Study, which was published on April 23, 2024. In addition to providing the financial information on the funded status of U.S. qualified pension plans, the footnotes may also include figures for the companies’ nonqualified and foreign plans, both of which are often unfunded or subject to different funding standards than those for U.S. qualified pension plans. They do not represent the funded status of the companies’ U.S. qualified pension plans under ERISA.