The funded status of the typical U.S. corporate pension plan fell 2.4 percentage points to 81.8% in September, the result of rising liabilities and declining asset values, said the BNY Mellon Institutional Scorecard.
Liabilities rose 1.1% over the month, the result of a six-basis-point drop in the discount rate to 4.38%, while assets declined 1.9%. For the quarter ended Sept. 30, the funded status for the typical corporate DB plan is down six percentage points from 87.8% on June 30. It is also 3.7 percentage points from the mid-September high of 85.5%.
The other plan types that BNY Mellon monitors — public DB plans and endowments/foundations — returned -2.2% and -2.3%, respectively, in September, missing their monthly return targets of 0.6% and 0.5%.
The typical corporate DB plan benefited from a 26% allocation to long-duration bonds, which returned 0.8% over the month, said Andrew D. Wozniak, head of fiduciary solutions of the investment strategy and solutions group within BNY Mellon Investment Management, in a telephone interview. Public DB plans and endowments and foundations were hindered by a higher allocation to private equity, the worst performing asset class for the month with a return of -6%.
Among the other various asset classes, real estate investment trusts were the best performer, returning 2.2%; global fixed, 0.5%; hedge funds, -0.5%; emerging market debt, -1.4%, domestic large-cap equity, -2.5%; high-yield bonds -2.6%; emerging market equity, -3%; international equity, -4.6%; and domestic small-cap equity, -4.9%.