After hitting a historic low in June, the NISA Investment Advisors Pension Surplus Risk index rose 80 basis points to 9.4% at the end of July.
Asset volatility rose to 7.8% from 7.2% in June as equity markets sold off during the month — the Russell 3000 index fell 2% and the MSCI ACWI ex-U.S. index dropped 0.9% in July.
Volatility for the liability component rose slightly to 6.6%, from 6.4%.
The index is a forward-looking estimate of funded status volatility for U.S. corporate pension plans based on the average of the 100 largest corporate pension plans, as determined by NISA.
The PSRX 90th and 10th percentile bands — which provide a range of funded status volatility in NISA’s universe — were 12.8% and 6.1%, respectively, in July, up from 11.7% and 5.5%, respectively.
The average funded status of plans in the universe fell 100 basis points to 88.9%.