October's volatility drives NISA Pension Surplus Risk higher; funded status dips to 91%

NISA Investment Advisors' Pension Surplus Risk index jumped a full percentage point to 7.4% from 6.4% during October's market sell-off.

The month-over-month increase was the largest since August 2015, when the index rose 1.2 percentage points to 10.3%, as global stocks markedly declined.

The volatility of both the asset and liability components rose 1.4 and 0.7 percentage points, to 8.8% and 7.3%, respectively. During October corporate yields, as measured by the Bloomberg Barclays U.S. Aggregate Corporate Bond index, rose to 4.28% from 4.07% at the end of September. Yields began the year at 3.25%. During October, the MSCI All-Country World index fell 7.5%, while the Russell 3000 index was down 7.36%.

The average funded status across the 97 plans covered by NISA was 91.1% on Oct. 31, down from 93% at the end of September. The average funded status had been increasing steadily since March; the 1.9 percentage-point drop was the sharpest decline since January 2016.

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.