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Pension Funds

NISA Pension Risk Index inches up on rate volatility

Volatile interest rates in May pushed the NISA Pension Surplus Risk index 10 basis points higher to 6.7%.

The increase followed April's 90-basis-point decline to 6.6%. Both the volatility of the asset and liability component rose 20 basis points to 8.1% and 7.1%, respectively. The combined increases offset one another, resulting in the average plan funded status remaining at 90.9%.

In aggregate, corporate debt yields fell 3 basis points between the end of April and May, but rose as much as 14 by mid-month, and declined 24 leading into the Memorial Day holiday. The spread between the 10-year Treasury and A-rated corporate debt was about 97 basis points at the end of the month, while the spread between 10-year Treasuries and BBB-rated debt was about 152 basis points.