The aggregate funding ratio for U.S. companies in the S&P 500 index with defined benefit plans increased to 101.8% in January, from 100.9% in December, according to the Aon Pension Risk Tracker.
The funded status improved by $14 billion, with liabilities dropping $29 billion, but that was offset by assets also falling $15 billion, said a news release Feb. 2.
The pension plans returned -0.4% in January, 5.2% in December and 7.4% in November, an Aon spokesperson confirmed.
Noting that the 10-year Treasury rate increased by 11 basis points in January and that credit spreads widened by 5 basis points, Aon said this combination resulted in an increase in the interest rates used to value pension liabilities to 5.12% from 4.96% during the month.
Given a majority of the plans in the U.S. are still exposed to interest rate risk, the decrease in pension liabilities caused by increasing interest rates offset the negative effect of asset returns on the funded status of the plans, Aon added.
