NETHERLANDS - Giant Dutch pension fund SPZW, managed by PGGM, saw its asset fall by €2.5bn in the first quarter of this year to €85.8bn, because of "strongly negative" equity returns.

Presenting its first quarter results today, SPZW, the industry-wide pension fund for the healthcare and welfare sectors previously known as PGGM, said its total investment return for the first quarter was negative at -2.9%, after losing 12.7% on equities.

According to the fund, the worst performing equity regions were Japan and continental Europe and, within the emerging markets, India and China.

PGGM's alternative beta investments, combined in the portfolio of strategies, were hit as well, with a negative return of -6.6%.

Total investment return in the last quarter of 2007 was also negative, at -0.5%, compared with the third quarter's positive gain of 2.6%.

The cover ratio dropped by 11% to 137% at the end of March 2008 but this is still above the DNB's required nominal cover ratio of 125%.

Peter Borgdorff, managing director of Pensioenfonds Zorg en Welzijn, stated: "The turbulence in the volatile financial markets had a major effect on our return and our cover ratio in the first quarter."

He added losses were limited, however, because of the fund's diversity of investment risks, while the current cover ratio "provides sufficient buffer to weather the negative effects of the market."

He concluded there is every reason for the fund to continue its current long-term policy.

Earlier this week, Dutch media reports estimated a total loss of €83bn for financial institutions such as banks and pension funds since the start of the subprime crisis.

At the same time as revealing its latest results, SPZW also announced it has made its first €27m outlay from its microfinance investment programme in March, via the Dexia Microcredit fund.

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