The estimated aggregate funding ratio of pension plans sponsored by S&P 1500 companies fell two percentage points to 81% in August, said a report released Tuesday by Mercer.
The typical discount rate measured by the Mercer yield curve rose about 11 basis points to 4.22% as of Aug. 31, which helped mitigate losses by the S&P 500 and MSCI EAFE indexes of 6.3% and 7.6%, respectively.
Likewise, the Wilshire 5000 Total Market index fell 5.95% in August, its worst month since May 2012, Wilshire announced Tuesday.
The estimated aggregate value of pension fund assets of S&P 1500 companies as of Aug. 31 totaled $1.77 trillion, down 3.8% from the previous month, while estimate aggregate liabilities totaled $2.2 trillion, down 1% the previous month.
“While the decline for the month was only (two percentage points), August was a very bumpy ride for plan sponsors,” said Matt McDaniel, partner in Mercer's retirement business, in a news release on the results. “Turmoil in equity markets stemming from concerns in China led to a decrease in funded status of more than (five percentage points) through Aug. 24. Fortunately, a partial recovery, combined with a rise in discount rates late in the month, allowed pension plans to recover much of the loss.”