| ATP returns inadvertently boosted by its hedging portfolio |
|
|
| 3.09.2006 | |
|
The ATP scheme, Denmark's largest pension fund with €49.7bn in assets under management, supplemented the poor beta on the equity market and a trailing fixed income market with its active hedging programme in the first half of 2006. This activity allowed the scheme to add €670m on top of its investment results, totalling €322m. At the end of 2005 and after the introduction of mark-to-market accounting, ATP divided its investment portfolio into two separate sub-portfolios designed to better fit its particular pension mission. A first portfolio, called the "hedging portfolio", is a pure liability-driven investment portfolio comprised of long-dated bonds as well as derivative tools such as interest-rate swaps, "the aim of which is to ensure optimal hedging of ATP's pension liabilities," according to the scheme. The second portfolio, called "investment portfolio", is an active investment strategy, "the aim of which is to generate an absolute return that is sufficient to ensure growth in the bonus potential, thus making it possible to preserve the long-term purchasing power of pensions." In other words, even if the main aim of ATP's hedging programme is not to generate a positive return, but rather to match its liabilities, changes in the interest spread between swaps in euros and Danish kroner had an unintended positive consequence. However, a tightening in the interest spread later in the year, says ATP, would reduce the hedging result for the full year. "In case of a tightening of, say, 0.1 percentage points, hedging activities will suffer a loss of approximately DKK 4.1bn relative to the result achieved in H1," stated ATP in its half-year report. Based on the assumption that interest rates will remain unchanged from their 30 June 2006 level and the normal return on equities will be approximately 2 percentage points higher per annum than the yield on a 10-year government bond, ATP expects a market return on its investment portfolio of 3.7 per cent for 2006. J.L. |
|
Artikel in diesem Zusammenhang |
|
© bfinance. Alle Rechte vorbehalten. Das Vervielfältigen und Verbreiten über bfinance veröffentlichter Inhalte oder das Speichern in Datenbanken außerhalb der Grenzen des Urhebergesetzes ohne Zustimmung von bfinance ist verboten. Diese E-Mail-Adresse ist gegen Spam Bots geschützt, Sie müssen JavaScript aktivieren, damit Sie es sehen können