NISA Investment Advisors’ Pension Surplus Risk index rose for the second straight month in January, climbing 30 basis points to 10.3%.
The firm said the increase was due to an increase in interest rate volatility during the month.
Volatility for the PSRX liability component jumped 80 basis points in January — its largest one-month increase since September 2011. The Barclays Capital U.S. Long Credit index’s average option-adjusted spread ended the month at 192 basis points, up from 186 at the end of December.
Asset volatility was relatively flat, rising just 10 basis points to 8.7%.
The average funded status of plans in the universe fell three percentage points to 84.4% at the end of January.