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This site is intended only for non-US professional investors or US-based fiduciaries representing non-US investors eligible to invest in Aegon Asset Management’s (the “Company”) UCITS funds. This site, and the funds described herein, are not suitable for individual investors.
The following information regarding the Company’s funds is for informational purposes only and does not constitute an offer for shares, products or services and should not be interpreted as an offer to sell, an invitation to acquire an investment, or a solicitation of an offer to buy for any persons who are prohibited from receiving such information under their domiciled local laws.
Aegon Asset Management Investment Company (Ireland) Plc is structured as an umbrella type open-ended investment company with variable capital consisting of a number of different sub-funds (“Funds”) and is authorized in Ireland pursuant to European Communities (Undertakings for Collective Investment in Transferable Securities) UCITS Regulations and the Central Bank UCITS Regulations (“UCITS Regulations"). Aegon Asset Management Europe ICAV is structured as an umbrella type open-ended investment ICAV with variable capital consisting of Funds and is authorized in Ireland as a UCITS pursuant to the UCITS Regulations.
These Funds are registered in Ireland and are available only to residents of those jurisdictions where allowed by law. Investors that do not meet these requirements will be denied access by the Company.
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Risk notice - Capital risk. The value of investments can go down as well as up and is not guaranteed.
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Risk notice - Capital risk. The value of investments can go down as well as up and is not guaranteed.
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You can get the current prospectuses, accounts, important information for investors and fund prices at https://www.fundinfo.com. Please click the accept button and select the county in which you live and identify yourself as a private investor.
Risk notice - Capital risk. The value of investments can go down as well as up and is not guaranteed.
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You can get the current prospectuses, accounts, important information for investors and fund prices at https://www.fundinfo.com. Please click the accept button and select the county in which you live and identify yourself as a private investor.
Risk notice - Capital risk. The value of investments can go down as well as up and is not guaranteed.
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Risk notice - Capital risk. The value of investments can go down as well as up and is not guaranteed.
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Funding ratios of Dutch pension funds have recovered strongly in 2021, due to rising interest rates and positive developments of the equity markets. In this article we give more information about the funding ratio development of an average Dutch pension fund by providing an overview of the development of the actual and (12-month) moving average funding ratio. In addition, we make a projection of the funding ratio as of March 12, based on the latest market developments. An overview is also given of the most important market movements (up till now) in 2021.
Figure 1 shows the funding ratio development during the last year, including an estimated funding ratio at March 12. We here consider an average Dutch pension fund, based on statistics published by DNB.
Figure 1. Sources: DNB, Bloomberg, Aegon Asset Management as at March 12, 2021.
We estimate that the actual funding ratio has increased with 6.3%-point due to market movements in 2021, to end at 106.6% at March 12. The 12-month average funding ratio is projected to increase with 2.0%-point to 97.0%.
Figure 2 shows the estimated change in the current funding ratio in 2021 (up to March 12).
Figure 2. Sources: DNB, Bloomberg, Aegon Asset Management as at March 12, 2021.
This breakdown shows that equity markets moved upward in 2021, leading to a funding ratio increase of 1.3%-point. Market interest rates increased with circa 0.45%-point. This resulted in a significant increase of the funding ratio due to lower liabilities (6.8%-point). This positive effect was partially offset by the negative effect of the increasing interest rates on the fixed income (-0.9%-point) and interest rate swap portfolios (-2.1%-point).
The change of the market curve and UFR curve is shown in the figures below.
Figure 3. Sources: Bloomberg, Aegon Asset Management as at March 12, 2021.
Figure 4. Sources: Bloomberg, Aegon Asset Management as at March 12, 2021.
Figure 3 shows that the market curve for long maturities has shifted almost parallel. This effect occurs to a lesser extent for the UFR curve, with which the liabilities are discounted, see Figure 4. This is caused by the extrapolation technique used for this curve and results in a lower interest rate sensitivity of the liabilities. This effect is reinforced by the adjustment of the UFR methodology as of January 1, 2021. The rise in market interest rates in the past period is therefore not translated one-on-one into lower liabilities.
Finally, Figure 5 shows the development of the equity markets in 2021 (again, up to March 12).
Figure 5. Sources: Bloomberg, Aegon Asset Management as at March 12, 2021. N.B. All indices have been rebased to 100% at December 31, 2020.
This figure shows that equities (both equities world and emerging markets) have delivered a return of approximately 4% in 2021 up to March 12. For listed real estate, the return has been higher so far (+ 9%). So far, all these categories have thus contributed to the increase in the funding ratio.
Conclusions
We expect the current funding ratio for the average Dutch pension fund to have risen by 6.3%-points so far in 2021 due to market movements, ending at 106.6% as of March 12. Our estimate is that the 12-month average funding ratio in this period rose by 2.0%-points to 97.0% as of 12 March. The main reason for this significant recovery is the rise in market interest rates in recent months. Positive developments in the equity markets also contributed to the recovery.
Aegon AM Dekkingsgraadscan pensioenfondsen (Dutch).pdf