The combined deficit of the 100 largest corporate pension plans in the US increased by $37bn in April as the interest rates used to value pension liabilities fell, Milliman said today.
According to the latest figures from the consultancy's 100 Pension funding index, the combined deficit of the 100 plans reached $321bn last month, compared to $284bn the month before.
April saw the value of the plans' pension liabilities - their projected benefit obligation - increase by $60bn, from $1.651 trillion to $1.711trn.
This was largely due to a fall in the discount rate, which schemes use to calculate the long-term value of their liabilities, from 4.22% in March to 3.98% last month.
A $23bn increase in the value of plans' assets partially offset this increase in liabilities as strong investment gains brought the total value of the 100 plans' assets up from $1.367trn to $1.390trn.
Milliman noted that April saw the strongest investment returns recorded by the plans this year to date, with a gain of 1.78%. It also represented the fourth consecutive month of investment gains, after last year saw the median investment return rate reach just 0.6% a month.
Commenting on the figures, John Ehrhardt, co-author of the Milliman Pension funding study, said: 'We knew that the funded status improvement that has characterised these 100 pension plans so far in 2013 couldn't last forever.'
'We saw a $106bn improvement during the first quarter of 2013, thanks to strong investment performance and cooperative interest rates. The strong investment performance continued through April, but interest rates were less cooperative, dropping below 4% for the first time this year and driving a $60bn increase in the pension benefit obligation.'
Looking forward, Milliman said that if the 100 companies in its index achieved the 7.5% investment returns it has forecast for the year as a whole and the current discount rate were maintained throughout 2013 and 2015, the plans' funding position would increase.
By the end of this year, the combined deficit of the plans would fall to $271bn and by the end of next year it would have fallen further to $185bn, based on aggregate contributions to the plans of $74bn in 2013 and $81bn in 2014.
