The estimated aggregate funding ratio of pension plans sponsored by S&P 1500 companies declined two percentage points to 79% in September, the same level as of Dec. 31, said a Mercer report.
Falling discount rates combined with equity market losses drove the funding decline.
The typical discount rate measured by the Mercer yield curve fell about nine basis points to 4.14% at the end of September.
The S&P 500 index and MSCI EAFE indexes fell 2.6% and 5.3%, respectively, during the month.
The estimated aggregate value of pension fund assets of S&P 1500 companies increased 0.91% from the previous month.
“As the third quarter ends with a volatile September, funding levels have returned to Dec. 31, 2014, levels, erasing gains from the first half of this year. … Gains in liabilities due to increased interest rates were offset by losses in the equity markets for the year,” said Jim Ritchie, a principal in Mercer’s retirement practice, in a news release.
He added: “Because the Federal Reserve held rates steady this past month, continuing the delay in expected interest rate increases, we expect to see more plan sponsors implement dynamic derisking strategies to manage the continued volatility in funded status.”