Fund E, the most conservative of the five funds run by Chile's private pension managers (AFPs), posted a real return of -10.39% between January and September 2026, according to the [Pensions Superintendency](https://www.spensiones.cl/portal/institucional/594/w3-article-17161.html). In September alone it fell 4.92%. The loss has reached Congress: lawmakers from the Independents-PPD caucus began collecting signatures for an investigative committee and filed a criminal complaint for possible breach of fiduciary duty, Cooperativa reported.
It is an unusual drop for a fund designed for people close to retirement. Here are the figures for the five funds, what explains the fall of Fund E, how the AFPs respond and what a member can do.
How much Fund E fell and how the other funds did
| Fund | Profile | September 2026 | January to September 2026 |
|---|---|---|---|
| A | Riskiest | -0.65% | +8.61% |
| B | Risky | -1.23% | +5.26% |
| C | Intermediate | -3.10% | -1.50% |
| D | Conservative | -4.19% | -6.38% |
| E | Most conservative | -4.92% | -10.39% |
These are real returns, adjusted for inflation through Chile's inflation-indexed unit (UF). The regulator attributed September's losses to local fixed income, the Chilean stock market (the IPSA fell 3.40%) and rising interest rates. Pension assets totaled 5,565.75 million UF at the end of September, about US$235.5 billion.
In pesos: a member with 10 million pesos in Fund E at the start of the year would now have about 8.96 million pesos in equivalent purchasing power. In 2025, by contrast, the same fund returned 8%, according to La Tercera.
Why Fund E fell: a bet on US interest rates
The explanation lies in interest rate derivatives known as swaps. According to La Tercera, the AFPs received a fixed rate and paid a floating one, a position that gains when long-term US rates fall. Academic Sebastián Cea (Universidad de los Andes) compared it to buying a long US Treasury bond financed with short-term debt, without putting up the capital.
The goal was to lengthen Fund E's duration, its sensitivity to interest rates, to match the life annuities many members buy when they retire. The fund's duration rose from about 14 years at the end of 2024 to 18 years at the end of 2025; a life annuity matches better with about 13 years. When US rates rose instead of falling, the positions lost money.
| Data point | Value |
|---|---|
| Fund E members (June 2026) | 774,243 |
| Of whom aged 60 or over | About 69,000 |
| Fund E's peak derivatives exposure | About 3.7% of the fund |
| Regulatory limit for funds D and E | 2% |
| Fund E duration at end-2025 | 18 years |
| Extra loss attributed to longer duration | About 3 points this year |
Source: La Tercera, with data from the regulator and one AFP. The total loss is unclear: The Clinic cites US$7.7 billion in derivatives, while deputy Jaime Araya spoke of "11.6 billion dollars" (The Clinic). Part of these figures are valuation losses, not necessarily realized.
What the Chamber of Deputies will investigate
Deputies Jaime Araya and Héctor Ulloa are leading the request for a special investigative committee, which needs the signatures of two fifths of the Chamber. They want to establish the responsibility of the AFPs and of those who were supposed to supervise them. Ulloa called it "aberrant" that the managers treat 10% losses as normal (Cooperativa).
Separately, deputy José Montalva explained that losing money is not a crime, but it could amount to breach of fiduciary duty if the money was knowingly lost in a risky operation to benefit the AFPs rather than members. That is the complainants' hypothesis, which prosecutors will have to review.
| Date | Milestone |
|---|---|
| 2020 to 2022 | Three pension withdrawals of about US$50 billion shorten Fund E's duration to under 8 years |
| End of 2024 | Fund E's duration reaches about 14 years |
| November 2025 | The Central Bank warns about rate derivatives in its Financial Stability Report |
| End of 2025 | Fund E's duration rises to 18 years |
| 9 April 2026 | The regulator sets derivatives limits, with 210 days to comply |
| September 2026 | US rates rise; Fund E falls 4.92% in the month |
| 16 October 2026 | Deputies announce an investigative committee and a complaint |
What the AFPs and the regulator say about Fund E
- AFP Association: "This is not a bet by the AFPs. This is a long-term strategy", according to La Tercera.
- Pensions Superintendent Joaquín Cortez: told El Mercurio the exposure "was inconvenient" and that the problem was its size, not the type of investment. He summoned the AFPs one by one to comply with the limits.
- Former superintendent Osvaldo Macías: "A pension fund is not meant to speculate". He said the regulator repeatedly warned the managers.
- Government: Economy Minister Daniel Mas blamed decisions taken under the previous government.
- Former finance ministers: Ignacio Briones called the management "imprudent"; Nicolás Eyzaguirre said AFPs cannot be allowed to "make bets" with mandatory savings.
According to La Tercera, the regulator can order money to be returned to members if a breach of the rules is proven.
What a Fund E member can do
- Do not sell in a panic. Switching funds now turns a loss in value into a permanent loss.
- If you are about to retire, adviser Felipe Gormaz suggests considering a programmed withdrawal rather than buying a life annuity right away, so as not to lock in the fall.
- Check your statement on your AFP's website and compare it with the other funds.
- Follow the rule changes: from April 2027 the five funds will be replaced by ten generational funds.
No AFP has fallen below the minimum return since the 1990s; if one did, it would have to cover the gap with its own capital. For context, see Chile's unemployment over the last 50 years and the IMF's growth forecast for Chile.
Frequently asked questions
How much has Fund E fallen in 2026?
A real return of -10.39% between January and September 2026, according to the Pensions Superintendency. In September it fell 4.92%.
Why did Fund E fall if it is the most conservative?
Because of interest rate derivatives that gained if long-term US rates fell. Rates rose and the positions lost value.
Which pension fund did best in 2026?
Fund A, with a real return of +8.61% between January and September.
Should I switch out of Fund E?
It depends on your age and time horizon. Switching after a fall locks in the loss; it is worth reviewing with your AFP or a pension adviser.
