Pension plans sponsored by S&P 1500 companies saw their deficits grow to $488 billion by the end of May, wiping out the positive performance they had achieved in the first quarter, according to New York-based consulting firm Mercer.

The problem was two-fold, as the value of equities fell, and future bond liabilities because rose of falling interest rates, according to Mercer. U.S. equity markets fell 6% during May as measured by the S&P 500 total return index.

Plan sponsors who hedged their liability by holding a higher allocation in long duration bonds would have seen better asset performance during the month, according to Mercer.

In the bond markets, prices and yields move in opposite directions. Interest rates on high-quality corporate bonds, which are used to measure the pension liability, fell 10 to 15 basis points, as measured by the Mercer Pension Discount Yield Curve. That means the dollar value of those underlying bonds fell, potentially creating a shortfall of cash for the corresponding pension liabilities that will come due at around the same time. The yield curve hit an all-time low, driving the aggregate S&P 1500 liability in excess of $2 trillion for the first time.

“We saw a big step backwards for most U.S. pension plans in May which, on top of declines in April, essentially wiped out the positive performance we saw in the first quarter of the year,” says Jonathan Barry, a partner in Mercer’s Retirement Risk and Finance business.

Long-duration fixed-income portfolios have continued to perform well, as plan sponsors have terminated vested cash-outs and implemented other strategies to reduce their risks and obligations to pension plans.

GM, for instance, announced June 1 that it would reduce its pension volatility for most of its salaried retirees through a combination of buyouts and transferring management to Prudential Insurance Co. of America. GM paid Prudential $29 billion to assume $26 billion of pension liabilities through an annuity purchase.