NISA Investment Advisors Pension Surplus Risk index fell to 6.2% in February from 6.6% at the end of January. The volatility of the asset and liability components fell 0.7 and 0.5 percentage points, respectively. The average funded status of the observed corporate pension plans rose slightly to 90% from 88.7%.
February's index reading is its lowest level since the index began in December 2006 and below its previous low of 6.4% in September 2018. Amid the market volatility in the fourth quarter, the index rose as high as 7.7% at the end of December while the average plan funding ratio fell to 87.1%.
The index estimates the one-year forward volatility of U.S. corporate defined benefit plans based on data from the 100 largest U.S. plans, indicating a one standard deviation change in the change in funded status over that period.