US - Exactly one year after the largest corporate pension funds touted a 100% funded status, liabilities hit a record high while solvency levels swooped to 75% last month, according to data by Milliman.
Total assets of the defined benefit schemes in the Milliman 100 Pension Funding Index totalled US$1.007trn at the end of August, while liabilities reached US$1.341trn. The August decline to 75%, from 75.4% the previous month, marks the fourth straight month of declines.
Milliman principal and consulting actuary John Ehrhardt said: "August was something of a milestone month. Not only did pension liabilities hit an all-time high for the second straight month, but it was one year ago exactly that pension funding last stood above 100%."
Over the past year, the cumulative return was -9.78%, Milliman said.
However, the companies expect an average rate of return of 8.1% for 2009.
"With an expected return of 8.1% and a discount rate of 5.34% for the balance of 2009, the funded status of the Milliman 100 pension plans is projected to slightly increase, with an expected pension deficit of $331bn and a funded ratio of 75.5% as of December 31. Asset returns of 28.5% for the rest of 2009 would result in a funded ratio of 80% and a projected deficit of $270bn at the end of the year," the firm said.
A number of pension schemes have been prompted to lock in gains with a move into bonds after the estimated deficit across FTSE 100 DB pension schemes improved by £36bn, over the 12 months ending 30 June last year, JLT Employment Benefits found.
HM Treasury has agreed in principle to give NEST a £329m contingent liability guarantee in the event of the master trust's wind up or closure.
AMP Capital has set up a dedicated team to help institutional investors, including pension funds, invest in infrastructure through direct equity allocations.