February was not kind to pension funding status.
Mercer reported that the estimated aggregate funding level of pension plans sponsored by S&P 1500 companies decreased by one percent to 78 percent as of February 29, as a result of negative equity markets and a decrease in discount rates.
In addition, Milliman found that the funded status of the 100 largest corporate defined benefit pension plans dropped by $35 billion as measured by the Milliman 100 Pension Funding Index (PFI).
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Mercer said that, as of February 29, the estimated aggregate deficit of $487 billion for those S&P 1500 company plans increased by $15 billion, compared with the end of January.
Funded status is now down by $83 billion from the $404 billion deficit measured at the end of 2015.
Milliman reported that the market value of assets in the 100 largest corporate DB plans fell by $5 billion as a result of February's investment loss of 0.02 percent.
The Milliman 100 PFI asset value decreased to $1.376 trillion from $1.381 trillion at the end of January. In addition, the projected benefit obligation rose to $1.740 trillion at the end of February. The change resulted from a decrease of 13 basis points in the monthly discount rate to 4.06 percent for February from 4.19 percent for January.
Milliman also said that, over the last 12 months (March 2015–February 2016), the cumulative asset return for these pensions has been -3.27 percent and the Milliman 100 PFI funded status deficit has worsened by $20 billion.
The funded ratio of the Milliman 100 companies has decreased over the past 12 months to 79.1 percent from 81.2 percent.
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