The Dutch pension funds' average policy funding ratio based on daily market information declined sharply from 102% to 96% in the first quarter of 2016. The decrease is primarily due to the downward trend in the interest rate term structure (Table 1.3.1). For example, the 30-year rate including the UFR fell by 53 basis points to 1.31% (Table 1.3.1). 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. However, the effect on liabilities was much greater than on fixed-income securities. The most important equity prices (Table 3.3) mainly lost value in the first quarter. The MSCI World index, for instance, fell by 2.5% and the AEX index by 0.4%. This had a negative impact on the pension funds' equity portfolios.
Both developments have led to a lower funding ratio based on daily market information. Because this funding ratio is lower than one year ago, the policy funding ratio has declined.
At the end of March 2016, the pension funds representing the majority of all members had a policy funding ratio of below 105%. i.e. 3.9 million active members and 2.2 million pensioners, had policy funding ratios below 105%.