Declining yields of Treasury bonds were the main reason for a 0.9 percent decline in the funded status of a typical U.S. pension plan in August, according to BNY Mellon Asset Management, which tracks the health of U.S. pension plans through its BNY Mellon Pension Liability Indexes. The declining yields led to a 2.0 percent increase in the typical plan's liabilities, versus a 1.1 percent increase in the assets of a typical moderate risk portfolio.

For the year to date, the funded status of a typical plan is 2.0 percent better than it was at the beginning of the year as moderate risk assets are up 4.5 percent versus a 2.5 percent increase in liabilities.

"The continuing liquidity difficulties in the fixed income market during August once again brought a flight to quality," said Peter Austin, executive director of BNY Mellon Pension Services. "Treasury yields dipped an average of 12 basis points, increasing the value of pension liabilities. U.S. stocks recovered half of the losses they incurred during July, but international stocks were once again weak."

Lower interest rates increase liabilities and the value of bonds.

Unexpected changes in a plan's demographics, among other factors, also affect the size of the benefit liability. The BNY Mellon Pension Liability Indexes, which were launched in March 2006, are designed to track the market values and returns of pension liabilities for young, average and mature pension plans.