The deficit gap of defined benefit (DB) pension schemes for the UKs 350 largest listed companies rose to £119bn at the end of June in the aftermath of Brexit, Mercer has said.
Based on data from the consultancy's latest pensions risk survey, the figure represents an increase of £98bn on 31 May.
At 30 June, asset values were £694bn, up from £663bn at 31 May. At the same time, liability values went up to £813bn from £761bn. Liabilities are at the highest level since Mercer's monitoring began.
Ali Tayyebi, senior partner at Mercer's retirement business, said due to a fall in corporate bond yields, liability values rose by more than 5% in just one month, which corresponded to a 20% increase in deficit values.
He added that government bond yields fell even more, which meant liabilities on the funding basis, which pension scheme trustees typically use for setting cash contribution requirements, increased by more than 8%.
Mercer said the increase in asset values, caused by the devaluation of sterling and the possibility of a cut in UK bank base rates, had offset the growth of liabilities.
However, the immediate response of the markets to Brexit was "clearly bad news" for pension scheme deficits.
Tayyebi said: "The level of market volatility in the last week of June is just an early skirmish in the fight to understand the longer term outlook for the UK's economy and markets."
According to Le Roy van Zyl, senior consultant at Mercer's Financial Strategy Group, Brexit may be positive for some schemes, for instance, where the business outlook of the sponsor has improved significantly because of better export prospects.
But he added: "For others, their ability to continue to underwrite pension deficits and risk taking may have deteriorated significantly. Clearly, trustees and sponsors should be assessing the new state of affairs to determine if new priorities are needed or any action needs to be taken."
