The interest rate term structure (Table 1.3) rose in October and November. For instance, 20-year rates were up by 8 basis points to 2.79%. The rise of the interest rate term structure led to a fall in the discounted value of funds’ liabilities, sometimes referred to as technical provisions. Excluding the ultimate forward rate (UFR) and averaging, however, interest rates declined, albeit modestly. As a result, the value of the fixed-income portfolio increased.
Equity prices (Table 3.1) rose considerably in these months. The MSCI World index was up by 5.9% and the AEX rose by 5.8%, pushing up the value of pension funds’ equity portfolios. All these developments had a positive impact on the funding ratio.
At end-November 2013, 34 of the 290 pension funds investing at fund’s risk had a funding ratio below 105% and consequently faced a funding deficit. This number was down by 53 from end-September 2013. At end-November, the pension funds facing a funding deficit represented well over 600,000 active members and nearly 400,000 pensioners.