US - Large companies could lose more than the $70bn which has already vanished off balance sheets through their pension funds in 2008, according to Mercer.
Adrian Hartshorn, a member of Mercer's Financial Strategy Group, commented: "The current higher yields on AA bonds mean that pension liabilities have declined over the last three months, but generally not by as much as the fall in the value of plan assets, leaving pension plans worse off overall.
Hartson continued: "The ultimate reality may be more painful, as the funded status position could deteriorate even further if credit spreads revert to more normal levels, and equity markets do not rebound."
Mercer suggested the worst may not yet be over, but warned companies not to make hasty, major decisions around portfolio allocation during the current period of increased volatility.
The consultants found many pension funds had moved assets into bonds or liability matched products, but often failed to address equity market risk.
Hartson concluded: "Companies need to implement risk management strategies carefully and consider which risk they are seeking to mitigate."
"It is only by considering the investment strategy in tandem with the behaviour of the liabilities under different economic scenarios that the true nature of the risk can be understood," he added.
Partner Insight: In recent years, pensions administrators have seen scheme member engagement increase significantly. The advent of Pensions Freedoms in 2015 and the increased choices faced by members have led to a sea-change in the levels and types of...
Purna Bhudia looks at how the PPF's investment strategy has evolved, especially in the area of credit
Two consultancies have reported decreases in defined benefit (DB) transfer quotation requests in Q3, and said guaranteed minimum pension (GMP) equalisation could impact transfer activity.
The Association of Consulting Actuaries (ACA) and Royal London have proposed a "pensions pound" to "radically simplify" defined benefit (DB) pensions rights.