NISA Investment Advisors' Pension Surplus Risk index fell 40 basis points to 8.7% in March, driven by a decrease in return-seeking asset volatility.
Volatility for the return-seeking asset component of the index declined 120 basis points over the month to 8.8%, while volatility for the liability component rose 30 basis points to 8.4%.
Plans in the universe ended the month with an average funded status of 80%, up 1 percentage point from February, but down 2.9 percentage points from Dec. 31.
The index is down 20 basis points from the end of 2015.
The index is a forward-looking estimate of the funded status volatility of the 100 largest corporate plans as determined by NISA from publicly available information.