The Alexander Forbes Pensions Index values have deteriorated to the extent that a 60-year-old saver is now expected to afford to replace only 58.4% of his or her income in retirement.
"The deterioration in the index value can be attributed to the fact that bond yields have fallen sharply since January 2002," Anderson said.
"Over the period since 1 January 2002, investment returns have resulted in members' accumulated credits growing slightly faster than expected relative to salary growth."
Bond yields have negatively impacted the index in two ways. Firstly, lower bond yields can signal lower investment returns which reduce the amount of capital members are expected to have when they retire.
The index considers three savers, born on January 1 1972, January 1 1962 and January 1 1952, making them 30, 40 and 50 years old respectively on January 1 2002.
Anderson explains the second adverse impact on the index: "Secondly, lower bond yields drive up the prices of the annuities that each of the three members would buy with their accumulated capital at retirement."
The index indicates the percentage of their income that each of the savers is projected to replace with a pension at retirement at age 65.
On January 1 2002, all three were expected to afford a pension providing them with 75% of their pre-retirement income when they retired and hence had index values of 75.
As of June 30 2012, their index values were 58.4, 47.8 and 41.4 respectively.
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