U.S. corporate defined benefit plan funding ratios rose in April despite poor market returns, primarily due to rising discount rates, which lowered liability values, three reports show.
In Wilshire Advisors' monthly report, the aggregate funding ratio for U.S. corporate pension plans increased by 30 basis points in April, to 97.4% as of April 30 from 97.1% as of March 31.
While assets fell 7.7 percentage points due to a troubled equities market in February, liability values offset those losses by dropping 7.9 percentage points, due primarily to an estimated increase of discount rates by more than 60 basis points, said Ned McGuire, managing director at Wilshire, in the report.
"Moving nearly in tandem with the liability values, the asset value decreased by a similar amount with core fixed income's performance the third worst month ever and worst since February 1980," Mr. McGuire said.
Wilshire's assumed asset allocation is 34% long-duration fixed income, 25% core fixed income, 24% domestic equities, 16% international equities and 1% real estate.
Wilshire spokeswoman Amy Bradford could not be immediately reached for further information.
Legal & General Investment Management America said in its monthly pension solutions monitor that it estimates that the typical U.S. corporate pension plan's funding ratio rose to 97.2% as of April 30, from 96.3% a month earlier.
LGIMA estimated that U.S. Treasury rates rose 54 basis points for the month while credit spreads increased 18 basis points, resulting in the average discount rate dropping by roughly 2 basis points.
Insight Investment in its own estimate said the funding ratio for U.S. corporate DB plans rose to 99.4% from 97.8% during April.
Assets decreased by 6.6 percentage points, while liabilities declined by 8.1 percentage points. The average discount rate rose to 4.59% as of April 30 from 3.91% a month earlier.
