Some of the largest Dutch pension funds have reported losses ranging from 5.8% up to 10.2% for the first quarter fo the year.
Progress, the €4.9bn Dutch pension fund for Unilever, said it had incurred a 10.2% loss on investments due to collapsing equity markets during Q1 2020.
As a consequence of negative returns combined with further falling interest rates, the funding level for Unilever’s closed defined benefit (DB) scheme had dropped 19 percentage points to 110%, it said.
However, its “policy funding” – the average coverage ratio of the past 12 months, and the main criterion for rights cuts and inflation compensation – had declined by three percentage points to 124%, it added.
Forward, Unilever’s €341m Dutch defined contribution (DC) plan, said it had lost 5.8% in the first three months of the year. Its funding level had plummeted by 20 percentage points to 104%, leaving its policy coverage at 120%.
Similarly, multi-sector pension fund PGB posted a quarterly return of -8.3%, and closed March with a policy funding level of 100.6%. The €27.3bn pension fund said its 38% matching portfolio of predominantly euro-denominated government bonds had returned 4%.
In contrast, it lost 15.9% on its return holdings. It said it had been able to limit its losses by selling part of the put options it had acquired as a hedge against a decline of its equity investments.
PGB added that the individual pension assets of its participants in DC plans – invested in life-cycle arrangements – had incurred losses ranging from 7% to 13% for the oldest and youngest cohorts, respectively.
The €20bn Philips Pensioenfonds saw its assets decline by 6.6% in the first quarter, due to losses on its 42.5% securities holdings.
It said its fixed income portfolio of 57.5% had produced a “slightly positive result”, despite losses on high yield credit and emerging market debt.
The €3.5bn pension fund of technical research institute TNO said it had generated –6.7% for the first quarter, following losses for listed equity (-21.2%), fixed income, including Dutch residential mortgages (-3.1) and property (-11.2%).
With a yield of 1.2%, private equity was its only asset class delivering a postive return.
The TNO scheme also lost 0.3% on its full hedge of its dollar, pound and yen-nominated liquid investments, but gained 1.7% on its 40% interest risk coverage of its liabilities.
At the end of the quarter, its policy funding level stood at 104.4%.
ABP, the largest pension fund in the Netherlands with €420bn in assets, posted a loss on investments of 9.8% in Q1 2020.
Reported losses at other large industry-wide schemes ranged from 8.8% for the €218bn healthcare pension fund PFZW to 5% for BpfBouw, the €63bn scheme for the building sector.
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