The NISA Pension Risk Surplus index rose 80 basis points to 6.1% in May from April's historic low after a down month for equity markets and falling interest rates. The average plan funded status fell to 89.1% from 92%.
Additionally, the volatility of the asset component rose a full percentage point to 8.2% while the volatility of the liability component rose 0.3 percentage points to 6.4%.
Equity markets, as measured by the S&P 500 index and MSCI ACWI index, fell 6.2% and 6.6%, respectively, driven primarily by global growth concerns surrounding trade between the U.S. and China. High-grade corporate debt yields, used as a proxy for pension liability discount rates, also declined sharply during the month. Yields on 10-year A+, A and A- corporate debt fell to 3.17% from 3.41% in May; yields were down almost 24% from 4.14% at the end of October.
The Pension Surplus Risk index represents an expected rise or fall in assets given a one-standard deviation change in returns in a given year. The index constituents consist of the 100 largest publicly traded corporate pension plans as measured by pension benefit obligation. As Dec. 31, the total plan liabilities of the constituent base were $1.3 trillion with $1.2 trillion in total plan assets.