NISA Investment Advisors' Pension Surplus Risk index fell 30 basis points in May to 8.8%, mainly due to a drop in return-seeking asset volatility. The index is down 10 basis points from the end of 2015 and 80 basis points from one year ago.
Volatility for the return-seeking asset component of the index declined 20 basis points over the month to 8.8%. Asset volatility a year ago was 7.7%. The asset volatility high over the past five years was 14.8%.
The volatility for the liability component declined 10 basis points to 8.1%. Liability volatility a year ago was 8.7%. The liability volatility high over the past five years was 10.3%.
The average funding ratio was 79.9%. About two years ago, the average funding ratio was closer to 90%.
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.