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  2. DEFINED BENEFIT
June 08, 2016 01:00 AM

NISA: Funded status volatility falls in May

Aaron M. Cunningham
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    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.

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