Corporate pension plan funding status volatility, as measured by the NISA Investment Advisors Pension Surplus Risk index, increased 100 basis points in May to 9.9%.
The index is a forward-looking estimate of the funding status volatility of the largest 100 U.S. corporate pension plans. According to NISA, the index level represents a one standard deviation change in funded status over a one-year period. For example, the index's current level suggests approximately a one-in-three chance that a $1 billion pension plan could lose or gain $99 million in funded status in one year.
The PSRX pension plans represent approximately $1.1 trillion of defined benefit assets and $1.4 trillion in pension liabilities.
According to NISA, the month-over-month change in the index in May was driven by an increase in interest rate and risk asset volatility.
During the month, the yield on 10-year U.S. Treasuries rose 46 basis points. The Chicago Board Options Exchange Volatility Index, or VIX, which is often referred to as the “fear index,” spiked 20.6% between April 30 and May 31 to close at 16.3.