September 2026
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Funded Status
Average funded status increased from 115.7% to 116.6% driven by lower liability values. The PSRX fell 0.1% to 6.1%.
Funded Status
PSRX®1 Funded Status Volatility | Annualized
Discount Rates and Returns
The IRR on NISA’s illustrative liability2 increased 48 bps. The S&P 500’s modest decline masked what was generally a tough month for equities.
Treasury Yields and Credit Spreads
Treasury yields surged as the Fed hiked for the first time since July 2023. Investment-grade credit spreads were fairly quiet by contrast even as supply continued to exceed historical norms.
Treasury Yields
Index OAS Credit Spreads | bps
Investment Grade Supply and Trading
Investment-grade supply remained heavy. Trading volumes increased modestly.
New Investment Grade Supply 13+ Years | $b
TRACE IG Avg Daily Dollar Volume | $mm4
1 NISA Investment Advisors, LLC (NISA) created and maintains the Pension Surplus Risk Index, or PSRX®, 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 determined by NISA based on publicly available information. 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 year, based on common simplifying assumptions, including normal distributions, approximately zero expected surplus return, etc. Please see the PSRX Guide for more detailed descriptions.
2 Liability IRR (Internal Rate of Return) and implied liability return are calculated using liability cash flows that create a present value of $1 billion and duration of 11 years using the FTSE Pension Discount Curve as of 09/30/2026.
3 Bloomberg U.S. Corporate High Yield Index.
4 FINRA TRACE Market Breadth Investment Grade Bond Dollar Volume daily average for each month.
Sources: Bloomberg, FTSE, SIFMA. With respect to Bloomberg index data in this presentation – Source Bloomberg Index Services Ltd. © 2026 Bloomberg Index Services Ltd. Used with permission. Bloomberg is a registered trademark of Bloomberg Finance L.P. and its affiliates.
Indices, if any, used herein are presented for illustrative purposes only. Broad-based securities indices are unmanaged and are not subject to fees and expenses typically associated with managed accounts or investment funds. Investments cannot be made directly into an index. The performance of such indices shown represent unmanaged, passive buy and hold strategies, and investment characteristics and risk/return profiles that may differ materially from NISA’s portfolios or composites.
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