NISA Investment Advisors’ Pension Surplus Risk index rose slightly in May to 9.5%, a 20-basis-point increase from April.
It was the first monthly increase since January. The increase was due to a rise in interest rate volatility during the month.
Annualized volatility for the index’s liability component rose to 7.4% in May from 6.8% in April. Annualized volatility for the asset component actually fell 10 basis points during the month to 7.5%.
The average funded status of plans in NISA’s universe was 88.9% in May, compared to 88.8% at the end of April.
The Pension Surplus Risk index aims to be a forward-looking estimate of the funded status volatility of U.S. defined benefit pension funds, based on averages of the 100 largest corporate plans.
