The overall funding ratio of the 100 largest U.S. corporate pension plans improved slightly in September, climbing to 103.6% as of Sept. 30 from 103.1% at the end of August, according to the Milliman 100 Pension Funding index released on Oct. 6.
Milliman explained that a significant jump of 43 basis points in the monthly discount rate — from 5.41% in August to 5.84% in September — was responsible for this result, citing that discount rates have not risen this much since September 2022 and have not been this high since March 2010.
This increase also helped to offset September's investment losses of 3.73%, the worst such month of the calendar year thus far, as the market value of plan assets declined by $55 billion to $1.27 trillion, Milliman noted.
"September was a record month of sorts, even though the net movement in funded ratio was modest," said Zorast Wadia, a principal and consulting actuary at Milliman, in the release. "September returns were the lowest of the year, yet the rise in discount rates was the largest monthly change we've seen in the last 12 months."
Wadia added that "in the end, this rise and the corresponding $60 billion liability drop outweighed September's decrease in assets due to down markets."