The NISA Pension Surplus Risk index fell 0.2 percentage points in March to 7.7%, and the average plan funded status rose to 95.3% from 93.3%.
The drop in the index was due to decreases in both interest rate volatility and return-seeking asset volatility. The increase in average funded status, meanwhile, was the result of a decrease in liability values for the month.
The volatility of the asset component dropped 0.7 percentage points to 10.1%. It remains at its highest level since the taper tantrum, the panic that triggered a spike in U.S. Treasury yields during several months in 2013. The liability component of the index fell 0.2 percentage points to 9.3%.
Domestic equities and international equities were higher in February as the Standard & Poor's 500 index and MSCI All-Country World index increased 4.2% and 2.7%, respectively.
The Pension Surplus Risk index, created by NISA Investment Advisors, is a forward-looking estimate of the funded status volatility of U.S. corporate defined benefit plans. The index level represents a one standard-deviation change in funded status over a one-year horizon, based on the average of the 100 largest pension plans.
