As of May 31, the funded ratio fell to 78 percent, down from nearly 83 percent at the end of April. The 2012 funded ratio has now fallen below its Dec. 31, 2011, value of 78.7 percent.

The projected benefit obligation, or what companies are paying out in benefits, increased by $60 billion, raising the Milliman 100 PFI value to $1.6 trillion from $1.56 trillion at the end of April. The monthly discount rate fell to 4.56 percent from 4.76 percent in April.

"Despite the sour news, the effort by plan sponsors to reduce pension volatility seems to be working thus far, with the gradual repositioning to fixed-income investments. Although the -2.14 percent investment return was discouraging, we estimate that a typical 60 percent equity/40 percent fixed income portfolio would have produced an investment return of -3.62 percent in May, or a loss of $49 billion," Milliman researchers found.

Over the past 12 months, the Milliman 100 PFI had a cumulative asset return of 3.1 percent and the funded status deficit has increased by $194 billion. For the past year, the funded ratio of these companies dropped to 78 percent from 88.5 percent.

Milliman, in its 2012 Pension Funding Study, predicted companies would achieve a nearly 8 percent median asset return. If it happened and the discount rate of 4.56 percent were maintained during 2012 and 2013, "we forecast that the funded status of the surveyed plans would increase. This would result in a projected pension deficit of $323 billion (with a funded ratio of 80.2 percent) by the end of 2012 and a projected pension deficit of $248 billion (with a funded ratio of 84.9 percent) by the end of 2013," the report found.