Equity prices went up between the end of September and the end of November (see Table 3.1). The AEX stock exchange augmented by 1.1% and the MSCI World Index by 3.8%. This had a positive impact on the value of pension funds' equity portfolios. Due to the decline in capital market rate, the fixed-income securities portfolio also increased in value over this period.
The interest rate term structure, including UFR and averaging, also decreased (see Table 1.3), albeit less than the capital market rate. The 30-year rate including UFR and averaging dropped 14 basis points to 2.22%. As a result, the liabilities – generally referred to as technical reserves – went up in this period. On balance, all these developments caused the funding ratio to remain unchanged from the end of September until the end of November.
Of the 263 pension funds with investments for their own risk, 30 had funding ratios below 105% at the end of November 2014. Incidentally, this does not necessarily imply that all these funds are facing a funding deficit. At end-November, the pension funds with a funding ratio below 105% represented some 1.75 million active members and 1.25 million pensioners. The fact that these funds have a funding deficit does not mean that they have to draw up a recovery plan this year. On 1 January 2015, the new financial assessment framework (Financieel Toetsingskader – FTK) will enter into force. If the financial position of funds in 2015 is insufficient, they will have to submit a recovery plan to DNB.
Pension funds’ funding ratios (end-of-period figures)