Funding ratios of Dutch pension funds have plummeted further in the wake of falling interest rates and declining equity markets caused by investors’ worries about the spread of the coronavirus, also known as Covid-19.
Aon saw coverage ratios decline no less than six percentage points to 95% on average in February.
Mercer, while using a different calculation method, observed a drop of five percentage points to 96%, while consultancy Sprenkels & Verschuren saw a decrease of four percentage points to 97%.
According to Aon, the 30-year euro swap rate – the main criterion for discounting liabilities – had dropped to no more than 13 bps, resulting in a 4% rise of liabilities on average last month. Mercer came up with slightly higher figures.