The NISA Pension Surplus Risk index fell 0.8 percentage points in November to 6.9%, and the average plan funded status rose to 88.7% in November from 85.7% in October.
The drop in the index was due to decreases in both interest rate volatility and return-seeking asset volatility. The increase in average funded status, meanwhile, was the result of equity gains for the month.
The volatility of the asset component dropped 1.4 percentage points to 10.1%. While 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, it is the lowest since it reached 9.5% at the end of February. The liability component of the index fell 0.8 percentage points to 8.2%.
Domestic equities and international equities were higher in November as the Standard & Poor's 500 index and MSCI All-Country World index rose 10.8% and 12.3%, 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. As of Dec. 31, the plan liabilities of the constituent base totaled $1.3 trillion, with $1.5 trillion in total plan assets.