NISA Investment Advisors’ Pension Surplus Risk index fell to 8.4% in September from 8.6% in August. It was the second consecutive month-over-month decline for the index after holding steady at 8.8% during May and June.
The volatility of the return-seeking asset component of the index rose 30 basis points to 9% during the month, but declined over the quarter by 10 basis points. The index is up 20 basis points over the trailing 12 months ended Sept. 30. The trailing three-year high for the asset volatility high was 10.1%, set in September of last year.
The liability component stood at 8.3% as of Sept. 30, up 20 basis points from the end of August and up 40 basis points since June 30. Volatility among liabilities jumped 80 basis points in July to a 12-month high of 8.7% before settling lower later in the quarter.
The average plan funded status was 80.1% at the end of September, up from 79.6% at the end of July.
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.