Dutch pension fund ABP's coverage ratio fell below 100 per cent over the last quarter, as falling interest rates sparked a jump in liabilities.

In a statement, the Netherlands' largest fund said its coverage ratio had fallen to 90 per cent, down from 112 per cent at the end of the second quarter and 105 per cent at the start of the year.

ABP said that between the start of the year and the end of September assets had fallen by €2bn to €237bn, and falling interest rates had increased liabilities by €35bn.

Vice-chair Joop van Lunteren said the situation meant it was “almost certain” that ABP would not be able to index-link pensions in 2012, and the fund would “probably” need to consider further measures as well.

“A cut in the pensions of the current pensioners, as well as the pension rights of those people still working, will come a step closer if the coverage ratio does not pick up significantly in the very near future. The situation on December 31, 2011 is decisive in the question of whether we will need to announce further measures. In that case, a possible reduction would need to be implemented – if there is no improvement in the situation - within 15 months, therefore as from April 1, 2013,” van Lunteren said.

Vice-chair Xander den Uyl said the impact of the financial crisis on the fund's assets had been modest, but the fall in interest rates had a “very big” impact.

“The ABP Board of Trustees is calling on the politicians to take a serious look again at the system that makes us so dependent upon the current interest rates,” den Uyl said.

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