In its latest monthly Pension Solutions Monitor, Legal & General Investment Management America said the estimated average funding ratio fell during December due to poor market returns.
According to LGIMA, plan discount rates rose an estimated 11 basis points during the month, with the Treasury component increasing 15 basis points and the credit component tightening by 4 basis points. The monitor cited the MSCI AC World Total Gross index and S&P 500 index falling 3.9% and 5.8%, respectively, during the period.
The Pension Solutions Monitor assumes a typical liability profile using a duration of about 12 years and an asset allocation of 60% MSCI AC World Total Gross index and 40% Bloomberg U.S. Aggregate Bond index.
In its own monthly report, Insight Investment said the funding ratio for U.S. corporate pension plans fell to 101.8% during December from 104.1% the previous month.
The fall in funding ratio during the month was the result of Insight Investment estimating that assets decreased by 2.9 percentage points, offsetting a drop in liabilities.
Those liabilities dropped slightly because the average discount rate rose to 5.11% as of Dec. 31 from 5.05% a month earlier, according to Insight.
In another monthly report, Aon said the aggregate funding ratio of S&P 500 companies that sponsor defined benefit plans fell to 93.8% as of Dec. 31 from 96% a month earlier.
Aon said pension assets returned -1.9% during December and the interest rates used to value pension liabilities remained at 4.68%, the same as a month earlier.
According to Aon, the effect of poor returns on asset values offset falling liabilities, resulting in the drop in funding ratio.
Separately, in a quarterly report released Monday, MetLife Investment Management said the estimated average funding ratio of companies in the Russell 3000 that sponsor defined benefit plans was 104.7% as of Dec. 31, up from 100.7% as of Sept. 30.
"The increase in interest rates seen in 2022 has improved pension funded status and provided attractive yields for sponsors wanting to de-risk by increasing their allocation to fixed income," Stephen Mullin, head of long duration and LDI strategies at MetLife, said in the report.
MetLife's average allocation for the tracked companies is 49% fixed income and cash, 33% equities and 18% alternatives.