NISA Investment Advisors' Pension Surplus Risk index increased to 10.3% in January, its highest level since September. The index rose 70 basis points from the previous month.
The change was due to an increase in the volatility of investment returns, as the asset volatility component of the index rose to 8.7% at the end of January from 8.5% in December.
The PSRX aims to be a forward-looking estimate of the funded status volatility of U.S. defined benefit pension funds, based on averages of the 100 largest corporate plans.
The average funded status of plans in NISA's universe fell to 87.9% in January, down from 90.9% at the end of December.