The €6.8bn pension fund PostNL saw its funding drop 2.9 percentage points to 110.5% in the third quarter, despite a quarterly result of 3.3%, which took its year-to-date return to 12.4%.

A funding drop of 6.7 percentage points directly caused by the sharp decline of interest rates – the criterion for discounting liabilities – was in part offset by the combination of a 2.2% result on the interest hedge on its liabilities and returns on investments of 1.1% during the past three months, it said.

The Pensioenfonds PostNL, which reported a 1.7% result on its 65.5% fixed income portfolio, noted that returns and risk premiums of the various fixed income categories had varied strongly.

“Credit performed better than German government bonds,” it said, adding that risk premiums for high yield and emerging markets debt rose during the third quarter.

The scheme’s 19% equity allocation, including share options, generated 2.8%, leading to a year-to-date result of 11.8%, according to the pension fund.

It said that equity emerging markets produced the best results, chiefly thanks to its currency component.

“The euro depreciated compared to almost all other currencies, in particular the US dollar, resulting in negative results of the currency hedge,” it explained.

The Pensioenfonds PostNL further said that the Japanese equity markets performed relatively well, while European equity fell short of expectations.

The pension fund further reported a 0.7% yield of its 7.1% property portfolio. However, it incurred a 13% loss on its 3.1% commodities holdings.

In other news, the €2.9bn scheme of technical research institute TNO announced a quarterly result of 4.6%, leading to a year-to-date return of almost 14%.

It said during the first nine months, all asset classes generated positive results. However, during the most recent quarter it lost more than 1.4 percentage points due to the complete hedging of the currency risk on its liquid investments in US dollars, British pound and Japanese yen.

In contrast, declining swap rates during the first three quarters resulted in a positive contribution of more than 3.8 percentage points to its year-to-date result, it added.

The TNO scheme said that its fixed income holdings returned 4.4% during the third quarter. It said that following “undiminished strong demand” for secure German government bonds, ten-year interest rates had dropped to 0.75% mid-October, compared with 1.93% at year-end.

The pension fund further announced yields of 4.6%, 3.5% and 3.3% on its equity, property and private equity investments respectively. It closed the third quarter with a funding of 110.7%.

Elsewhere, the €18bn pension fund for private road transport, Vervoer, and the €6.4bn scheme of chemicals manufacturer DSM, PDN, reported quarterly results of 5.8% and 3.2% respectively, with coverage ratios of 110.7% and 108.4% respectively at September-end.

Dutch schemes have been warned to expect a decline of at least 3 percentage points in funding due to falling interest rates

The country’s largest pension funds, including ABP, PMT and PME, recently confirmed a further decline in their coverage ratios.