NISA Investment Advisors' Pension Surplus Risk index was unchanged at 8.8% in July. The index has been steady at 8.8% since the May reading, where it declined 30 basis points from the end of April.
The volatility of the return-seeking asset component of the index fell 50 basis points to 8.6% during the month. For the trailing 12 months, the index is up 80 basis points. The three-year asset volatility high was 11.1% in August 2013.
The liability component saw an uptick in volatility, gaining 80 basis points from June to 8.7%. The 12-month high was 8.9% in August 2015. Over the trailing three-year period, the liability volatility maxed out at 10.3% in August of 2013 as well.
The average plan funding status was 79.6% in July, up from 78.6% the month before. The average funded status reached 90.9% at the end of 2013, its highest point since the 2008 financial crisis and had followed a general downward path in the years following.
The index is a forward-looking estimate of the funded status volatility of the 100 largest corporate plans as determined by NISA from publicly available information.
