NISA Investment Advisors' Pension Surplus Risk index fell 0.2 percentage points in September to 6.4%.
That represents the index's lowest level since its inception in December 2006, edging out its previous low of 6.5% set a year ago. The Pension Surplus Risk index represents an expected rise or fall in assets given a one-standard deviation change in returns in a given year.
The volatility of both the asset and liability components declined during the month to 7.4% and 6.6%, respectively, from 7.6% and 6.9%. The average funded status across the 94 corporate pension plans observed was 93%, up 0.4 percentage points from August and 6.7 percentage points from last September.