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Long swaps, bonds return 30% over first quarter at ING pension fund

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The €29bn Pensioenfonds ING has reported a 30% return on its 50-year interest swaps and government bonds thanks to falling interest rates over the first quarter, boosting its quarterly return to 13.8%.

The pension fund generated 15.9% on its matching portfolio, which consisted of 70% of its assets.

Its 30% return portfolio delivered 12.4%, with equity producing an overall result of 15.5% and European equity returning 18%. 

The ING scheme attributed the 7.4% return on credit and emerging market debt to the latter, due to higher interest levels and a stronger US dollar.

It also noted that listed property continued its rise, generating 18% during the first quarter.

Non-listed real estate returned almost 10%.

Alternative investments returned 7.8%, largely due to the performance of private equity.

The pension fund added that it would divest its remaining positions in hedge funds over the coming months.

ING Pensioenfonds said the return from alternatives included a 1% loss on its currency hedge, following the depreciation of the euro against the dollar.

It had covered 50% of the risk on the six largest positions in foreign currency.

Over the course of the first quarter, the scheme’s funding in real terms dropped by 2.6 percentage points to 86.6%, whereas its official policy coverage ratio stood at 142.9% at March-end.

The ING Pensioenfonds has been a closed pension plan since 1 January, when banc-assurer ING was split into companies for insurance and banking.

Over the first three months, the scheme’s total number of participants fell by 476 to 72,039.

In other news, SPW, the €11.6bn pension fund for housing corporations, posted a quarterly result of 10.6%, due in part to a 16% return on developed market equities.

Within its fixed income portfolio, emerging markets, government bonds and credit returned 9.7%, 4% and 8.3% respectively.

SPW’s holdings in alternatives also performed well, delivering 13.6% for hedge funds, 10.9% for private equity and 13.3% for infrastructure.

Commodities and real estate returned 5.3% and 14.7%, respectively.

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