NISA Pension Surplus Risk index dips in April on asset rise

The NISA Pension Surplus Risk index fell to 7.6% in April from 8.7% a month earlier. The volatility of the index's asset component fell to 12.6% during the month, down from 13.5% in March, while the liability component fell 0.5 percentage points to 10.3%.

Asset volatility was aided by rebounding equities. The MSCI ACWI index was up 10.6% in April, while the S&P 500 gained 12.7%; year-to-date the indexes are down 13.5% and 9.9%, respectively. The liability component, however, was impacted by falling interest rates, driven in part by central banks' efforts to buy corporate debt. Average yields on 10-year AA-rated corporate debt was 2.15% on April 30, currently about 2.3%, and down from 2.7% at the end of March.

The rise in assets was offset by the increase in liabilities, resulting in the average plan funded status falling 1 percentage point to 83.5% in April.

The Pension Surplus Risk Index, or PSRX®, is a forward-looking estimate of the funded status volatility of U.S. corporate defined benefit pension 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. As of Dec. 31, the plan liabilities of the constituent base totaled $1.3 trillion, with $1.5 trillion in total plan assets.