NISA Pension Surplus Risk index dips in June
The NISA Pension Surplus Risk index fell to 5.3% in June following a volatile May when the index ended the month at 6.1% as the average funded status of the observed plans rose to 90.1% from 89.1% during the month. The volatility of the index's asset component fell to 7.3% from 8.2% as the volatility of the liability component fell to 5.8% from 6.4%. The index fell 2.4 percentage points between the end of 2018 and June 30.
Equity markets rebounded in June as the MSCI ACWI index and the S&P 500 index, were up 6.4% and 6.9%, respectively, despite still falling just short of recovering their May losses. High-grade corporate bond yields have fallen 48 basis points from April 30 to June 30 to about 2.9%.
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.