NISA Pension Surplus Risk index dips in September

The NISA Pension Surplus Risk index fell to 6.1% from 6.4% in September, while the average plan funded status rose to 88.8% from 87.6%. The volatility of the asset and liability components of the index were both lower during the month, each falling 0.6 percentage points to 8% and 7.1%, respectively.

Both global and U.S. equities were higher in September, but they were still unable to recoup August losses. High-grade U.S. corporate debt yields, often used to measure a plan's benefit obligation, rose during the month; however, they are still more than 100 basis points lower over the past nine months.

NISA Investment Advisors' index represents an expected rise or fall in assets given a one-standard deviation change in returns in a given year. The index constituents consist of the 100 largest publicly traded corporate pension plans as measured by pension benefit obligation. As of Dec. 31, the total plan liabilities of the constituent base were $1.3 trillion, with $1.2 trillion in total plan assets, the most recent data available.