NISA Pension Surplus Risk index at 5.8% in July

The NISA Pension Surplus Risk index rose to 5.8% from 5.3% during a relatively calm month for yields and equities. The volatility of the asset component of the index rose 0.4 percentage points to 7.7% while the same metric for the liability component rose to 6.4% from 5.8%. The average plan funded status fell to 89.6% from 90.1%. Since September, the average funding ratio has come off its high of 93%.

Corporate debt yields slowed their decent in July as the average yield on a 10-year A-rated bond fell 4 basis points to about 2.9%. Since Nov. 30, the yield is down 125 basis points.

NISA Investment Advisors' 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 of Dec. 31, the total plan liabilities of the constituent base were $1.3 trillion with $1.2 trillion in total plan assets.