The NISA pension surplus risk index fell in January to 5.7% from 5.9% in December, as the average plan funded status slid to 89.7% from 91.4%. The volatility of the index's asset and liability components declined; the asset component's volatility fell to 7.3% from 7.4%, while the liability's volatility was down to 5.6% from 6.4%.
NISA pension surplus risk index, funding down in January
High-grade corporate debt yields were down 12.5% during the month to 2.3% from about 2.7% at the end of 2018. The drop in yields contributed to the fall in funded status, particularly as equities declined in the month.
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 plan liabilities of the constituent base totaled $1.3 trillion, with $1.2 trillion in total plan assets, the most recent data available.
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