By contrast, the funding ratio based on daily market information went up to 107% in May, from 103% in March, mainly on the back of the rise in the interest rate term structure (Table 1.3.1) in that period. For instance, 30-year rates were up by 42 basis points. The interest rate increase brings down the pension funds' liabilities, but it also reduces the value of their fixed-income asset portfolios, albeit to a smaller degree. Equity prices (Table 3.1) also went up in the second quarter of 2015, which had a positive effect on the value of pension funds' equity portfolios. Despite these positive developments, the funding ratio based on daily market information is still lower than its level twelve months ago, causing the policy funding ratio to come down.
At end-May 2015, the pension funds representing the majority of all members, i.e. 3.1 million active members and 1.7 million pensioners, had a funding ratio between 100% and 105%. As most of these funds have a policy funding ratio below the required funding ratio, they are in a deficit situation. Pension funds in deficit must submit a recovery plan to DNB by 1 July 2015 at the latest.
Chart 1: Policy funding ratio (%)