October 2024 broke the five-month positive investment return streak for public pensions, prompting a decrease in the estimated funded status of the 100 largest U.S. public pension plans from 82.8% as of September 30, 2024, to 81.2% as of October 31, 2024, as measured by the Milliman 100 Public Pension Funding Index (PPFI). We estimate a calendar year-to-date investment return of 7.6% through the end of October.
Figure 1: PPFI funded ratio
We have projected the aggregate funded status forward from October 31, 2024, to October 31, 2025, under three scenarios. The baseline scenario assumes each plan’s future investment returns equal that plan’s current reported interest rate assumption (median rate = 7.0% in this study). The “optimistic” and “pessimistic” scenarios assume each plan’s investment returns are 7% higher and lower, respectively, than that plan’s current reported interest rate assumption.
Figure 2: PPFI funded ratio with projections
During October 2024, the deficit between the estimated plan assets and liabilities grew from $1.090 trillion at the beginning of the month to $1.193 trillion at the end of the month. In aggregate, we estimate the PPFI plans experienced investment returns of -1.6% in October, with individual plans’ estimated returns ranging from -2.9% to -0.6%. The Milliman 100 PPFI asset value decreased from $5.246 trillion as of September 30, 2024, to $5.156 trillion as of October 31, 2024. During October, the plans lost market value of approximately $80 billion, on top of a net negative cash flow of approximately $10 billion.
Figure 3: PPFI investment returns
The total pension liability (TPL) continues to grow and stood at an estimated $6.349 trillion as of October 31, 2024, up from $6.336 trillion as of September 30, 2024. Just as pension assets grow over time with investment income and shrink over time as benefits are paid, so too does the TPL grow over time with interest and shrink as benefits are paid. The TPL also grows as active members accrue pension benefits.
Figure 4: PPFI funded status
October’s negative asset return dropped five plans below the 90% funded mark as of October 31, 2024; 29 plans remain above this benchmark compared to 34 as of September 30, 2024. Meanwhile, at the lower end of the spectrum, one more plan fell below 60% funded, bringing the total number of plans under this mark to 15, up from 14 as of September 30, 2024.
Figure 5: Funded ratios at October 31, 2024
About the Public Pension Funding Index
This update is an estimate based on Milliman’s 2023 Public Pension Funding Study and was updated for market returns from June 30, 2023, to October 31, 2024. The 2023 annual study encompasses adjustments made as of June 30, 2023, and reflects updated publicly available asset and liability information gathered for the annual study.