NETHERLANDS - The €5.2bn pension fund of steel producer Hoogovens has unveiled third-quarter returns of 6.1%, totalling -0.1% over 2006 so far - leading to a more than €130m fall in assets.

The result was due to matching liabilities and a search for extra returns, the company scheme said. During the first nine months its assets decreased by €132m.

The returns on Hoogovens' matching portfolio and returns portfolio were -3% and 3.5% respectively.

The matching portfolio aims at the development of the liabilities based on the real market interest rates, by investments in fixed income, and in interest and inflation derivatives. It consists of 53.2% of the scheme's total assets.

The returns portfolio contains equity, credit bonds, real estate and absolute returns, totalling the remaining 46.8% of the pension fund's assets. It is meant to keep the contributions at an affordable level.

During the first three quarters, the fixed income, equity and real estate in the return portfolio yielded 4.1%, 6.8% and 6.5% respectively. Alternative investments returned 2.5%.

In 2004, the scheme introduced the separate portfolios as a way to achieve a transparent link between investments and liabilities.

The scheme's coverage ration based on nominal market interest rates, rose from 136.4% to 138.1%. Full indexation has been taken into account.

Because of the policy of matching investments to liabilities, the market interest rates no longer have an impact on the coverage ratio, the scheme indicated.

The pension fund of Hoogovens has approximately 37,000 members, of whom 12,000 are active and 10,000 are deferred participants, and 15,000 are pensioners.

Elsewhere, it has emerged that ABP and Sweden's AP7 and Denmark's PKA have joined the Mississippi Public Employees' Retirement System in the US in suing Dell over alleged accounting fraud.

The funds are claiming aggregate losses of approximately $88m, according to reports.