U.S. corporate pensions felt the pain of low bond yields in August.

The retirement funds for U.S. corporations had just 82% of the money they expect to need over time for pensioners as of August, down four percentage points from July, according to a statement from consulting firm Mercer on Monday. The steep drop stemmed from long-term bond yields plunging to record lows, which effectively increases the current value of companies' future obligations. Declines in U.S. equities didn't help either.

When companies have more than about 80% of the funding they expect to need for pensions, they tend to cut their investments in riskier assets like stocks and increase safer holdings like bonds to lock in gains and reduce risk. Companies closer to that level or below it are less likely to make those shifts, and more likely to contribute more of their cash flow toward their pensions, JPMorgan Chase & Co. strategists wrote last month.

The 1,500 publicly listed companies that Mercer looked at controlled around $2.05 trillion of pension assets at the end of August, compared with liabilities estimated at $2.51 trillion, and their investment decisions can have big impacts on markets. Their underfunded pensions could result in their buying fewer stocks and corporate bonds and more Treasuries.

"Funded status dropped sharply in August with interest rates now at their lowest point in modern history," said Matt McDaniel, a partner in Mercer's wealth business. "The current environment leaves us with a puzzling dilemma: where to invest when most asset classes look expensive."

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