The overall estimated funding ratio of the 100 largest U.S. public pension plans fell to 72.8% at the end of December due to negative market returns, according to the Milliman 100 Public Pension Funding index.
During the month of December, Milliman estimated that public pension plans had an aggregate investment return of -1.8%, with an estimated range of -3.7% to -0.7%.
The December decline came after two straight months of rising funding ratios that came from positive market returns. Milliman estimated that the overall ratio had risen to 74.7% as of Nov. 30 from 71.6% a month earlier.
"December's market declines left two more plans below the 90% funded status at the end of the month, so that only 17 plans now stand above this key benchmark," said Rebecca A. Sielman, principal and consulting actuary at Milliman and author of the Milliman 100 Public Pension Funding index, in a news release Tuesday. "This is considerably lower than the 46 plans that were 90% funded or better at the end of 2021, a result of the market volatility experienced throughout 2022, which caused the PPFI plans to lose an estimated 12% during the year."
A total of 26 plans were estimated to be below 60% as of Dec. 31, up from the 24 plans estimated to be below that benchmark as of Nov. 30.
Also as of Dec. 31, a total of 17 plans had ratios between 60% and 70% (up from 16 as of Nov. 30), 21 plans were between 70% and 80% (up from 18) and 19 plans were between 80% and 90% (down from 23).
As a result of the negative returns for the month, estimated assets fell to $4.315 trillion as of Dec. 31 from $4.417 trillion a month earlier, while estimated liabilities rose slightly to an estimated $5.928 trillion from $5.913 trillion.