The funding ratio based on daily market information increased between September and November, from 100% to 103%, mainly as a result of rising equity prices (table 3.1) in this period. The MSCI World index, for instance, rose by 8.3% and the AEX index by 11.5%. This had a positive impact on the pension funds' equity portfolios.
The interest rate term structure (table 1.3.1) saw a slight decline in this period, with the 30-year rate including UFR falling by 3 basis points between September and November. Whereas on the one hand falling interest rates have caused the pension funds' liabilities to increase, on the other the value of their fixed-income portfolios also grew. Since the pension funds' investments grew more strongly than their liabilities, the funding ratio based on daily market information has increased. However, as the funding ratio based on daily market information is still lower than that of twelve months ago, the policy funding ratio nevertheless declined.
At the end of November 2015, the pension funds representing the majority of all members, i.e. 3.4 million active members and 1.7 million pensioners, had policy funding ratios below 105%. Pension funds in deficit must submit a recovery plan to DNB by 1 April 2016 at the latest.