Asset Gains for 100 Largest Public Pensions Surge $98B in May; PRT Costs Decline

The 100 largest public defined benefit plans in the U.S. raked in $98 billion in asset gains during May thanks to a 2.4% investment gain during the month, according to Milliman’s Public Pension Funding Index. It was the funds’ best monthly market performance in more than a year.

The consulting and actuarial firm said the strong gains boosted their estimated funded level to 81.1% from 79.6% a month earlier. It also said that the deficit between the estimated plan assets and liabilities decreased to $1.242 trillion at the end of May from $1.340 trillion at the beginning of the month.

The estimated returns for the individual plans ranged from a loss of 0.2% to a high of 4.2% as the total asset value of the 100 plans rose to $5.327 trillion as of the end of May, from $5.213 trillion as of April 30. The gains pushed five plans above 90% funded, increasing the number of plans at that level of funding to 30. At the same time, one plan mustered a move above the 60% funded mark, with the total number of plans under that level now at 11.

Milliman also reported that its Milliman Pension Buyout Index, which gauges the estimated cost to transfer retiree pension risk to an insurer, declined to 100.8% of a plan’s accounting liabilities in May from 101.1% in April. Pension risk transfer transactions are most-often completed by corporate pension fund sponsors. Milliman sets the index as the difference between the discount rates reported by insurers for pricing group annuities and the accounting discount rate used by many plan sponsors.

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The firm also said that the average annuity purchase cost among all insurance companies in its index rose to 104.4% from 104.1%. The metrics also demonstrate that the competitive bidding process for these deals is estimated to save plan sponsorson average around 3.6% as of May 31, Milliman noted.

“The $7.1 billion in new premium sales was significantly lower than last year’s Q1 results of $14.6 billion,” Jake Pringle, co-author of the MPBI. “With the MPBI under 101% and increased insurer capacity so far in 2025, this may be a good time for plan sponsors considering a buyout to take advantage of competitive PRT pricing.”