The NISA Pension Surplus Risk index fell to 7.1% in May from 7.6% in April as equity recovery continued. The average plan funded status rose to 83.8% from 83.5%, the first increase since December. In May, U.S. equities, as measured by the S&P 500 index, gained 4.1%, while global equities within the MSCI ACWI index rose 4.5%, continuing their recovery from March lows and helping the asset side of the equation. High-quality 10-year debt yields fell about 20 basis points to about 2%, pushing liabilities slightly higher, however, but not enough to fully offset asset improvements.
NISA Pension Surplus Risk index slips in May as funding improves
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.