Dennis van Ek, actuary and principal at the consultancy, said the daily coverage ratio and the average three-month funding would be at 92 per cent after just three months. Van Ek attributed the steep drop in rates to investors' flight to safe-havens. "Thanks to the uncertainty about Greece and the eurozone, both the markets for equity and euro-denominated bonds are decreasing, resulting in investors swapping their equity for their national government's paper", he said. "Currently, we are seeing dropping government rates in the UK, the US and in Japan, whereas investors in the eurozone are switching to government bonds of the highest rated countries – Germany in particular."
Following the rate drop, many pensions funds with an extensive interest hedge are now considering to cash in on at least part of their cover of swaps and long-term government bonds, the actuary stated.
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