LGIMA found the funding ratio of a typical corporate pension plan fell 5 percentage points to 82.4%, primarily driven by negative global equity returns and declines in Treasury yields.
LGIMA estimated Treasury rates decreased by 36 basis points, while credit spreads widened by 17 basis points, resulting in the average discount rate dropping 19 basis points.
Liabilities for the typical plan increased 3.1%, while plan assets with a traditional 60% equity/40% bond asset allocation decreased 2.8%, LGIMA said.
As measured by Northern Trust, meanwhile, the average funding ratio for S&P 500 companies with corporate defined benefit plans dropped to 86% to the end of May from 90% from the end of April.
Global equity markets were down 5.9% during May, while the average discount rate decreased to 3.27% during the month from 3.51%, which led to higher liabilities, Northern Trust's report noted.
"May was a difficult month for pension plans as both assets and liabilities moved in the wrong direction," said Dan Kutliroff, head of OCIO business strategy at Northern Trust Asset Management, in a news release. "Equities were down as concerns on trade wars escalate. At the same time, yields declined as investors move to safer assets, leading to a rise in pension liabilities. Pension plans invested in long-duration fixed income likely experienced the downside protection this month that these strategies are designed to provide."