According to the BNY Mellon Institutional Scorecard the funded status of typical U.S. corporate defined benefit plans fell by 1.3 percent in February, to 78.7 percent. Despite assets returning 0.62 percent on the month, liabilities were up 2.3 percent as discount rates dropped by 14 basis-points, to 4.18 percent.

Overall, corporate pension assets are down 1.8 percent year-to-date, and down 6.2 percent over the last 12 months. Meanwhile, liabilities are up 4.2 percent year-to-date, though, they are down 1.6 percent since February, 2015.

Interestingly, the 2.3 percent increase in liabilities that corporate DB plan sponsors saw in February was higher than the returns of most asset classes over the course of the month. Of the asset classes the scorecard tracks, Global Fixed-Income and Long Duration Fixed-Income assets performed the best, with both returning 2.2 percent. Emerging Market Debt, REITs and High Yield Bonds were also slightly positive, with 1.3, 0.9 and 0.6 percent returns, respectively. International equity was the worst performer, falling by 1.1 percent in February.

According to BNY Mellon estimates, the S&P pension deficit has now swelled to $441 billion, an increase of $37 billion. This is largely attributed to rising liabilities—estimated at $2.07 trillion—versus existing assets, estimated at $1.63 trillion.

"For over a decade, most plan sponsors and investment managers have been calling for a rise in interest rates. 2016 is shaping up to be another humbling year in that regard," said Andrew Wozniak, head of BNY Mellon Fiduciary Solutions. "On the funding front, a number of our clients are exploring the possibility of making voluntary contributions to mitigate the pain associated with rising variable Pension Benefit Guaranty Corp. premiums and lower funding ratios."

In February, public DB plans and endowments & foundations also missed their return targets—though only by a small margin. Public plans missed their target of 7.5% annual returns by 60 basis-points; and endowments & foundations missed their target of 5% returns over inflation and spending by 50 basis-points. Both types of investors are heavily weighted toward alternative assets, which account 27 percent of typical public DB portfolios, and 57 percent of endowments & foundation portfolios.

Typical public DB plans are now 4.9 percent behind their year-to-date return target, and 15.4 percent behind one-year return target as assets have, in total, dropped 7.9 percent over that time period. Similarly, endowments & foundations are short of their year-to-date target by 4.4 percent, and 14.6 percent behind their 12 month return target.

February now marks the fourth consecutive month in which the funded status of the typical U.S. corporate pension plans decreased; and the fourth consecutive month in which public DB plans and foundations & endowments failed to meet their monthly return targets.