NISA Investment Advisors' Pension Surplus Risk index fell 20 basis points to 9.2% in August, driven by a drop in asset volatility.
Asset volatility fell to 7.5% during the month as the Russell 3000 rose 4.2% and the MSCI ACWI ex-U.S. Investible Market index rose 0.6%.
Volatility for the PSRX liability component rose 20 basis points, as the Barclays U.S. Long Credit average option-adjusted spread ticked up to 154 basis points from 149 in July.
The index is a forward-looking estimate of funded status volatility for U.S. corporate pension funds based on the average of the 100 largest corporate pension funds, as determined by NISA.
