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.