The NISA Pension Surplus Risk index rose 0.6 percentage points in August to 7.5% due to an increase in both the interest rate and return-seeking asset volatility.
The average plan funded status increased by 3.3 percentage points, to 87.3% in August from 84% in July.
The volatility of the asset component remained unchanged at 10.9%, while the liability component of the index rose 1.2 percentage points to 9.2%.
Domestic equities were higher in August as the S&P 500 index rose 7.1% while the MSCI ACWI went up 5.97% for the month.
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.
