The NISA Pension Surplus Risk index jumped 1.1 percentage points in January to 7.8%, and the average plan funded status rose to 91.2% from 90.4% in December.
The increase in the index was due to a decrease in interest rate volatility and an increase in return-seeking asset volatility. The slight increase in average funded status, meanwhile, was the result of a decrease in liability values for the month.
The volatility of the asset component increased 1.4 percentage points to 11%. 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 0.1 percentage points to 7.9%.
Domestic equities and international equities were higher in January as the Standard & Poor's 500 index and MSCI All-Country World index dropped 1.1% and 0.5%, 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.
