The funded status of U.S. corporate defined benefit plans improved in May as liabilities fell, said reports from BNY Mellon and Wilshire Consulting.
The funded status of the typical U.S. corporate pension plan rose 1.5 percentage points to 91.6% in May, said the BNY Mellon Institutional Scorecard.
Liabilities declined 1.9% over the month, the result of a 15-basis-point increase in the discount rate to 4.2%, and driving the funded status to the highest level since June 2014 when it was 92%.
May also marked the fourth consecutive month of discount rate increases.
Investment performance, on the other hand, was “somewhat flat,” said Andrew D. Wozniak, head of fiduciary solutions of the investment strategy and solutions group within BNY Mellon Investment Management, in a telephone interview.
Assets declined 0.23% for the typical corporate defined benefit plan in May, mainly the result of a 26% allocation to long-duration bonds, which returned -1.7% in the month, Mr. Wozniak said.
Year-to-date May 31, the typical corporate DB plan has returned 3.03%.
Other plan types that BNY Mellon monitors — public DB plans, and endowments and foundations — returned -0.05% and 0.03%, respectively, in May, missing their return benchmark of 0.6%.
Among the various asset classes, the best performer was U.S. small-cap equity, which returned 2.3% in May. The worst performer was emerging markets equity, which returned -4%, Mr. Wozniak said.
Separately, Wilshire Consulting found the aggregate funding ratio for U.S. corporate pension plans rose 90 basis points to 84.9% in May, driven by a 1.8% decrease in liabilities.
Assets also declined 0.8% over the month “due to negative returns for asset classes outside of U.S. equity,” said Ned McGuire, vice president and a member of the pension risk solutions group of Wilshire Consulting, in a news release.
The figures are the result of estimates of combined assets and liabilities of S&P 500 firms that have defined benefit plans.
The estimated asset allocation is 32% domestic equity, 27% long-duration fixed income, 21% international equity, 18% core fixed income and 2% real estate.
Wilshire Consulting is the institutional investment consulting and outsourced CIO unit of Wilshire Associates.