The demise of Credit Suisse has hardly affected Dutch pension funds. ABP sold most of its stake in the bank in 2021. In the same year, its asset manager APG engaged with Credit Suisse about corporate ethics.

ABP reduced its equity holding in Credit Suisse from €92m on 31 March to just €6m at the end of 2021. According to a spokesperson, the €458bn civil service scheme has since sold off its complete exposure to the failed bank.

Other large Dutch pension schemes also have little to no exposure to Credit Suisse. Healthcare scheme PFZW owned €7m of shares in the bank at the time of its most recent report, while construction scheme Bpf Bouw’s stake was worth €26m. According to the fund, its holding in Credit Suisse was part of a passive investment mandate.

Metal industry schemes PME and PMT had no equity exposure to Credit Suisse. PME sold its stake in the bank in 2017 when it made a change to its investment policy, excluding banks that are active in institutional brokerage.

PME wants to avoid exposure to this category of banks, because it can have exposure to them elsewhere in the portfolio, for example as a counterparty for hedging interest rate risk.

No AT1 bonds

Dutch pension funds own several hundreds of millions of euros worth of Credit Suisse bonds, but these holdings do not include the so-called AT1 bonds that were wiped out completely in the process of the bank’s rescue last weekend.

Credit Suisse is included in the most recent engagement list of both ABP and Bpf Bouw which is published each year alongside the funds’ annual reports. ABP will publish its engagement list for 2022 in a few months’ time.

                                                Dutch pension fund holdings in Credit Suisse (in €m)

ABP none 163
PFZW 7 40 
Bpf Bouw 26  62
PMT none 19
PME none  16

According to the 2021 engagement list, ABP engaged with Credit Suisse on corporate ethics and good governance. That seems to make sense, as the bank was involved in several scandals including money laundering, corruption and espionage.

ABP declined to comment on its engagement with Credit Suisse, but the fact that it has sold its stake in the bank suggests it was not successful.

On Thursday, the president of the Dutch central bank DNB said the decision by the Swiss authorities to wipe out completely the value of Credit Suisse’s AT1 bonds risks shaking up the market for convertible bonds in Europe.

According to DNB data, Dutch pension funds owned a total of €691m in convertible bonds by the end of 2022.

Speaking at DNB’s annual press conference on Thursday, Knot said it is still “an open question” to him why the Swiss authorities decided to write down completely the AT1 bonds of Credit Suisse, but not the equity.

“I’m interested in the question of why the value of Credit Suisse’s equity was not written down completely, but the AT1 bonds were. I haven’t seen an explanation for this yet,” said Knot, referring to FINMA’s statement.

This article appeared originally in Pensioen Pro, IPE’s Dutch sister publication.