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IPE special report May 2018

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ATP makes €711m return on interest-rate swaps

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DENMARK – ATP, the Danish labour market supplementary pension scheme, says it made a “healthy” DKK5.3bn (€711m) return on its interest-rate swaps portfolio in the first quarter.

Arbejdsmarkedets Tillaegspension said the swaps return formed part of an overall market return of DKK12.1bn before tax, or four percent, in the period. “The return was boosted by a positive return on the portfolio of interest-rate hedging instruments and healthy returns on equities,” the scheme said in its first-quarter report.

Equities returned DKK4.5bn, or 8.5%.

ATP has been active in interest rate swaps to hedge the market risk of guaranteed benefits since 2001 and has a portfolio worth DKK31.1bn.

The scheme expects to return more than eight percent on its total portfolio this year. It said: “Based on the interest rate and price levels prevailing at the end of Q1, ATP has calculated an expected market return on investments of 8.5% for 2005.”

ATP returned four percent on investments in the first quarter, taking its total assets to DKK324.1bn (€43.5bn), from DKK283bn a year before.

At the end of the quarter, its strategic portfolio allocation target was 71.7% bonds, 21.3% equities and seven percent other (private equity and real estate).

Earlier this month the scheme signed a deal to use socially responsible investing research from Eiris.

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