NETHERLANDS - Pension funds including ABP are in talks with De Nederlandsche Bank over liquidity concerns, although officials stressed pension payments are not affected.

The news comes just a day after Wouter Bos, the Dutch minister of finance, told pension funds they should not expect any financial aid from the government if they run into liquidity problems (See earlier IPE story: No state aid for ailing Dutch schemes)

Roderick Munsters, the chief investment officer at APG, the recently-separated asset management arm of the fund, said: "A conversation with the Dutch central bank has taken place, in which we expressed our concerns regarding the limited liquidity in US dollars for our hedge. This was at the end of October."

He added: "With a swap-window between the European Central Bank and the US Federal Reserve our situation has improved significantly in the meantime."

IPE understands a number of pension funds other than ABP, one of Europe's largest, have contacted the DNB in recent weeks and that the bank is looking into how to respond.

Asked if ABP had approached the ECB to ease the short-term liquidity squeeze, Munsters said: "No, we have not directly approached the ECB, this was not about a concrete amount."

He explained low liquidity in the US dollar market was a problem for all large players without a bank license.

An ABP spokesman added the fund has acted proactively to execute its asset management policy, of which the dollar currency hedge is part.

He said: "This is of course separate from the liquidity which is necessary for our pension payments. These are some hundreds of millions euro per month are there is absolutely no talk of a lack of liquidity.

"In other words: there is no relation between the liquidity in US dollars for our hedge and the pension payments."

ABP, like all Dutch pension funds, has suffered from the falling equity markets that have resulted from the credit crunch.

At the end of October, the fund said its assets had dropped by almost 10% in the nine months to the end of September to €195bn, while its coverage ratio had dropped 22 percentage points to 118% - below the required ratio of around 125%.

Industry experts told IPE today the coverage ratio will have dropped further and could now be below 105%. As at October 23, the date of its most recent financial report, it said its coverage ratio was still above 105% despite the "strong developments" in the financial markets.

Underfunded schemes with a coverage ratio of less than 105% must inform the regulator of how they expect to improve their position within three years.

ABP held €6.3bn in cash at the end of last year, according to its 2007 annual report.

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