NISA Investment Advisors’ Pension Surplus Risk index rose to 9.3% in November, up from 8.7% in October as general interest rate volatility and levels increased following the U.S. election results.
The volatility of the return-seeking asset component of the index declined 10 basis points to 9.3% over the month.
The liability component rose to 10.2% as of Nov. 30, up 120 basis points from the end of October.
The average plan funding ratio was 82.5% at the end of November, up from 79.9% as of Oct. 31.
The index is a forward-looking estimate of the funded status volatility of the 100 largest corporate pension plans as determined by NISA from publicly available information.