The €25bn Pensioenfonds ING reported a second-quarter loss of 12.4%, following the combination of rising interest rates and negative returns from investment markets.
It indicated that the negative result was almost portfolio-wide, with its allocation to alternatives – chiefly consisting of private equity – the only exception, yielding 3.5%.
The returns also stand in stark contrast ING first quarter returns above 13%, but mirror losses suffered by the pension funds of KLM last quarter.
It added that the alternatives portfolio had also consisted of a modest position in hedge funds, which had been cut completely in the meantime.
The pension fund had to give up no less than 17.2% of its 67% matching portfolio of fixed income holdings.
The remainder of its assets, held within a return portfolio, shrank by 2.1%.
The scheme said that mature and emerging markets were in equal measure to blame for the 2.5% loss from its equity allocation.
The -3.5% return from its combined holdings in credit and emerging market debt was mainly caused by the latter, and was due to weakening local currencies, it said.
The pension fund attributed the 1.4% loss on property chiefly to the performance of listed real estate, which lost 10.5% of its value.
It said that its real coverage ratio rose by 4.7% to 91.7%.
The Pensioenfonds ING uses its real funding ratio as the criterion for its indexation decisions as, in its opinion, this best reflected its financial position.
The scheme also applies its real coverage for its investment and risk policy.
Its policy funding – the 12-month average of its monthly coverage, and the official criterion for indexation and rights cuts under the new financial assessment framework – stood at 143.6% at June-end.
The Pensioenfonds ING has been closed since parent company ING Group had to divide up into separate firms for banking and asset management & insurance activities last year, following state support during the financial crisis. A split of the fund into two standalone entities is now also being considered.
Pensions accrual is continuing in the ING CDC Pensioenfonds and the NN CDC Pensioenfonds.