Falling capital market rates pushed up the value of pension funds’ fixed-income asset portfolios. Equity price developments (Table 3.1) also had a favourable effect on the funding ratio. Between end-March and end-May, the AEX and the MSCI World index were up 1.0% and 2.4%, respectively. On the other hand, the interest rate term structure including UFR and averaging (Table 1.3) declined, which resulted in an increase in technical provisions. Incidentally, the current interest rate decline is not yet reflected in the interest rate term structure due to interest averaging, and this may push funding ratios down in the months ahead. Overall, these developments resulted in a net funding ratio increase of one percentage point in May.
Of the 275 pension funds with investments for their own risk, 11 had funding ratios below 105% at the end of May 2014. At end-May, the pension funds with a funding ratio below 105% represented some 425,000 active members and 200,000 pensioners. With a view to the transition to a new financial assessment framework (FAF), it was agreed in 2012 that pension funds facing a funding deficit may, in principle, include this in their policy at the start of the new FAF, assuming the FAF will take effect on 1 January 2015.
Table 1 - Pension funds’ funding ratios (end-of-month figures)