A Mercer news release said the deficit corresponds to an aggregate funded ratio of 85% as of February 28, compared to a funded ratio of 81% at December 31, 2010.
Funded status improved for the sixth straight month after hitting a deficit of $500 billion at the end of August 2010. The improvement in February was due primarily to positive equity market returns, with the S&P 500 index gaining over 3% for the month. The positive asset growth was partly offset by a decrease in yields on high quality corporate bonds, with the discount rate for the typical U.S. pension plan decreasing approximately 13 basis points during the month, according to Mercer.
Mercer estimates the aggregate combined funded status position of plans operated by S&P 1500 companies on a monthly basis. The estimated aggregate value of pension plan assets of the S&P 1500 companies at December 31, 2010, was $1.37 trillion, compared with estimated aggregate liabilities of $1.68 trillion. Allowing for changes in financial markets though the end of February 2011, changes to the S&P 1500 constituents and newly released financial disclosures, the estimated aggregate assets were $1.41 trillion, compared with the estimated aggregate liabilities of $1.66 trillion as of February 28, 2011.