The NISA Pension Surplus Risk index fell 0.6 percentage points in July to 6.9%, and the average plan funded status fell to 84% in July from 84.4% in June.
July saw a drop in the average funded status following two consecutive months of improvement, due to discount rate declines that outpaced equity returns.
The volatility of the asset component fell 0.9 percentage points to 10.9%, but it still remains at its highest level since the taper tantrum, the panic that triggered a spike in U.S. Treasury yields during several months in 2013. On the other side of the equation, the liability component of the index also fell 0.9 percentage points to 8% as yield spreads continued to tighten.
Domestic equities were higher in July as the S&P 500 index rose 5.5% but the MSCI ACWI was flat for the month.
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.
