Pension Surplus Risk Index


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NISA Investment Advisors, LLC (NISA) is pleased to introduce the Pension Surplus Risk Index, or PSRX®, a forward-looking estimate of the funded status volatility of US 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 plans1.  For example, an index value of 15% suggests approximately a one in three chance that a $1 billion plan could lose or gain more than 15%, or $150 million, in funded status in one year2.

We believe the PSRX, sector indices and Pension Risk Calculator will provide a useful risk measure for CFOs, Treasurers and plan fiduciaries to gauge their pension risk’s influence on enterprise risk, implications for capital structure, and level of beneficiary security, respectively. It is our hope the index, a dynamic measure of surplus risk, offers an additional dimension of context that proves meaningful in framing decisions.


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1 As determined by NISA based on publicly available information.
2 Based on common simplifying assumptions, including normal distributions, approximately zero expected surplus return, etc. Please see PSRX Guide for more detailed descriptions.

Note: The levels for the PSRX, sector indices and Pension Risk Calculator include data for periods prior to when the index was in live production. Historical levels for the index prior to live production in September 2012 are calculated using the same methodology. Past market experience is not necessarily indicative of future market experience.