NISA Investment Advisors' Pension Surplus Risk index dropped for the third straight month in March to 6.1%.
The average plan funded status fell 1.3 percentage points to 88.7%; the volatility of the index's asset component was unchanged during the month at 7.7%, while the liability component's volatility fell to 6.1% from 6.3%.
The 0.1 percentage-point decline in March brought the index — which models the expected one-year forward volatility of corporate defined benefit plans — to its lowest point since the index began in December 2006.
The decline in the funded status of the 100 observed plans used in the analysis can be tied to the fall of corporate bond yields in a month that saw the yield on 10-year, A-rated corporate issues fall to 3.4% from 3.7%. The dip in yields, that consequently increase a pension fund's benefit obligations, was not offset by investment gains in a market where global and U.S. equities rose 1% and 1.8%, respectively, in March.