U.S. corporate pension plans suffered investment losses during October, and while three new reports disagree about whether funding ratios dropped as a result, all agree that funding surpluses remain.
Legal & General Investment Management America estimated the average funding ratio of the typical U.S. corporate pension plan ticked lower to 102.2% as of Oct. 31 from 102.6% a month earlier.
In its latest monthly Pension Solutions Monitor, LGIMA said the estimated average funding ratio fell because both global and domestic equities suffered weak performance during October.
The pension funding monitor cited the MSCI ACWI Total Gross index and the S&P 500 index dropped 2.9% and 2.1%, respectively, during the period.
Also, the monitor estimates plan discount rates increased 41 basis points during October, with the Treasury component increasing 35 basis points and the credit component widening by 6 basis points.
LGIMA's Pension Solutions Monitor assumes a typical liability profile using a duration of 12 years and an asset allocation of 50% MSCI ACWI and 50% Bloomberg U.S. Long Government/Credit index.
In another monthly report, Insight Investment said the funding ratio for U.S. corporate pension plans increased to 108.1% as of Oct. 31, up from 107.5% a month earlier.
Insight's report said that while asset levels fell due to negative market returns, liability values dropped further thanks to rising discount rates, offsetting the loss in assets.
According to Insight's estimate, the discount rate rose to 6.1% as of Oct. 31 from 5.74% as of Sept. 30.
In a third monthly report, Aon said the aggregate funding ratio of S&P 500 companies that sponsor defined benefit plans rose to 103.2% as of Oct. 31, up from 102.3% a month earlier.
Aon said pension assets returned -2.8% during October, and the interest rates used to value pension liabilities rose to 6.16% from the previous rate of 5.79% estimated a month earlier.
