The NISA Pension Surplus Risk index rose 0.4 percentage points in October to 7.7%, and the average plan funded status fell to 85.7% in October from 86.1% in September.
The increase in the index was due to an increase in both interest rate volatility and return-seeking asset volatility. The drop in average funded status, meanwhile, was due to equity losses for the month.
The volatility of the asset component jumped 0.5 percentage points to 11.5%, remaining at its highest level since the taper tantrum, the panic that triggered a spike in U.S. Treasury yields during several months in 2013. On the other side of the equation, the liability component of the index also increased 0.2 percentage points to 9% as yield spreads continued to tighten.
Domestic equities and international equities were lower in October as the S&P 500 index and MSCI ACWI index fell 2.8% and 2.4%, respectively.
The Pension Surplus Risk index, or PSRX, 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. As of Dec. 31, the plan liabilities of the constituent base totaled $1.3 trillion, with $1.5 trillion in total plan assets.
