The NISA Pension Surplus Risk index rose 0.1 percentage points in February to 7.9%, and the average plan funded status rose to 93.3% from 91.2% in January.
The increase in the index was due to a decrease in interest rate volatility and an increase in return-seeking asset volatility. The increase in average funded status, meanwhile, was the result of a decrease in liability values for the month.
The volatility of the asset component dropped 0.2 percentage points to 10.8%. It remains at its highest level since the taper tantrum, the panic that triggered a spike in U.S. Treasury yields during several months in 2013. The liability component of the index increased 1.6 percentage points to 9.5%.
Domestic equities and international equities were higher in February as the Standard & Poor's 500 index and MSCI All-Country World index increased 2.6% and 2.3%, respectively.
The Pension Surplus Risk index, created by NISA Investment Advisors, is a forward-looking estimate of the funded status volatility of U.S. corporate defined benefit plans. The index level represents a one standard-deviation change in funded status over a one-year horizon, based on the average of the 100 largest pension plans.