NETHERLANDS - The €10bn pension fund of Rabobank lost 3.1% of its overall return last year thanks to a change of its hedge to protect its cover ratio.

The scheme had introduced a strategic hedge against interest risks as well as against a considerable drop in the value of its equity, property and alternative assets, as a replacement of its old hedge, which was purely aimed at interest risks.

The loss was caused by winding down its old hedge and investing in the new set-up, the scheme said in its annual report. However, the hedge prevented a considerable drop in its funding ratio as a result of more recently decreasing long-term interest rates, it added.

The Rabobank Pensioenfonds reported net returns of  1.7% and a cover ratio of 159.5% at year-end. Its minimum required funding ratio is 116.1%.

Equity, fixed income and property returned 6.9%, 1.6% and 3.9% respectively, while alternatives yielded 6.7%. According to the scheme, only liquid assets, which returned 3.9%, did not fall short of their benchmark.

Within the alternatives' portfolio, private equity was the best returning category, with a yield of 22.5%. Hedge funds and commodities returned 4.1% and 17.1% respectively.

The scheme attributed the negative yield of -4.7% of infrastructure to the usual low initial returns of this investment category.

Last year, the Rabobank Pensioenfonds has made further steps to build up a strategic portfolio, focusing on the alternatives portfolio, including private equity, it said. At year-end, alternatives comprised of 6.8% of the scheme's assets, while the strategic allocation allows for 9.5%.

In addition, the allocation to non-listed property will be increased, both in the scheme's self-managed portfolio and through participations in real estate funds, the scheme made clear.


The pension funds' 45,410 workers, 34,320 deferred members and 9,745 pensioners have been granted an indexation of 1.63% last year. The Rabobank is one of the few companies which still pay the pension contributions in full.

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