NISA Investment Advisors' Pension Surplus Risk index dropped 40 basis points in February to 9.9%.
The firm said the drop was due to a decrease in return-seeking asset volatility during the month, which fell 100 basis points in February to 7.7%.
Equity volatility subsided in February after picking up in January — the Chicago Board Options Exchange Market Volatility index had an average daily closing value of 15.9 in February, vs. 19.1 in January.
Volatility for the PSRX liability component rose slightly to 8.2% from 7.9%.
