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  2. PENSION FUNDS
October 08, 2020 10:09 AM

NISA Pension Surplus Risk index, funding falls in September

Aaron M. Cunningham
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    The NISA Pension Surplus Risk index fell to 7.3% in September from 7.5% in August. The average plan funded status fell to 86.1% from 87.3%. In September, U.S. equities, as measured by the S&P 500 index, fell 3.8%, while global equities within the MSCI ACWI index fell 3.2%. High-quality 10-year debt yields rose about 5 basis points to about 1.85%.

    The Pension Surplus Risk index, or PSRX, is a forward-looking estimate of the funded status volatility of U.S. corporate defined benefit pension 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. As of Dec. 31, the plan liabilities of the constituent base totaled $1.3 trillion, with $1.5 trillion in total plan assets.

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