U.S. corporate pension plan funding ratios increased in September despite a second straight month of negative market returns thanks to falling liability values, according to three new reports.

Wilshire Advisors estimated the aggregate funding ratio of U.S. corporate plans increased 0.7 percentage points during the month to 105.3% as of Sept. 30.

The increase was driven by the largest drop in liability values since September 2022 that resulted from the continued rise in U.S. Treasury yields, said Ned McGuire, managing director at Wilshire, in an Oct. 3 news release.

“Despite the FT Wilshire 5000 index posting its worst monthly performance for 2023 and most asset classes experiencing negative returns during the month, the aggregate funded ratio is estimated to have increased due to better asset returns compared to liability returns,” McGuire said. “September’s month-end funded ratio estimate of 105.3% is the highest since December 2012.”

Wilshire’s assumed asset allocation is 31% long-duration fixed income, 28% core fixed income, 25% domestic equity, 14% international equity and 2% real estate.

In another monthly report, Insight Investment said the funding ratio for U.S. corporate pension plans increased to 107.5% as of Sept. 30, up from 106.5% a month earlier. Insight’s report echoed Wilshire’s report in citing a fall in liability values offsetting a fall in asset values.

According to Insight’s estimate, the discount rate rose to 5.74% as of Sept. 30 from 5.3% as of Aug. 31.

In another monthly report, Aon said the aggregate funding ratio of S&P 500 companies that sponsor defined benefit plans rose to 102.3% as of Sept. 30, up from 101.5% a month earlier.

Aon said pension assets returned -3.9% during September, and the interest rates used to value pension liabilities rose to 5.79% from the previous rate of 5.32% estimated a month earlier.

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