NISA Pension Surplus Risk index slips in May as funding improves

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.

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.