NISA Pension Surplus Risk index hits 40-month high

The NISA Pension Surplus Risk index rose to 8.7% in March from 7.2% in February. The 1.4 percentage point change was the second consecutive monthly jump in the index as the coronavirus continued to infect the markets. The volatility of both the index's asset and liability components hit double digest in March, the first time since August 2013. The asset component's volatility reading was 13.5% at the end of the month, up from 9.5% in February, while the liability component rose 3.3 percentage points to 10.8%.

Global equities, as measured by the MSCI ACWI index fell 13.7% in March as U.S. equities (S&P 500) did relatively better, falling 12.5%. Corporate bond spreads widened as yields rose relative to Treasuries.

The average plan funded status was 84.5%, a 2.2 percentage point decline from February and a 7 percentage point decline from the end of 2019.

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.