Between end-June and end-August, most equity prices went up (Table 3.1). While the AEX remained flat, the MSCI-World Index rose by 1.6%. Falling capital market rates pushed up the value of pension funds’ fixed-income asset portfolios. Both developments had a favourable effect on funding ratios.
Conversely, the interest rate term structure, including UFR and averaging (Table 1.3) fell. For instance, 30-year rates were down by 22 basis points to 2.45%, driving an increase in technical reserves. Three-month averaging of interest rates has kept this increase in check, but the favourable effect of averaging will wear off over the next few months. On balance, these developments caused the funding ratio to remain unchanged between June and August.
Of the 268 pension funds with investments for the fund's risk, twelve had funding ratios below 105% at end-August 2014. This does not mean, however, that all of these funds are facing funding deficits. At the end of August, the pension funds with funding ratios below 105% represented only 10,000 active members and 8,500 pensioners. To the extent these funds face funding deficits, they do not need to prepare recovery plans this year. Based on the expectation that the new Financial Assessment Framework (Financieel Toetsingskader/FTK) comes into force on 1 January 2015, pension funds must submit recovery plans next year, if their financial position warrants such plans at that time.