DENMARK - ATP, Denmark's flat-rate mandatory occupational pension scheme, has quadrupled its reserves in four years to DKK70.1bn (€9.4bn).

Under the "traffic light" risk system introduced in 2001, ATP could now suffer four consecutive "red light" events, which equate to a 12.5% drop in equities at the same time as a 0.7% fall in interest rates, without risk to members' benefits.

Lars Rohde, chief executive officer, told IPE that ATP was very proud of the buffer growth. Last year ATP actually lost DKK12.7bn on its hedging portfolio as interest rates rose but liabilities, which are also measured in relation to yields, fell by DKK16.3bn.

ATP has separated assets into a hedging and investment portfolio: assets in each are roughly equal.

Rohde said the structure meant that if the inhouse investment team wanted to take a position on rising interest rates, then it could but only within the investment portfolio.

"What this all means is that from the first day someone starts saving for a pension with us, the product is hedgeable and the pension is safer," he said.

The hedging portfolio mostly comprises swaps. Within the investment portfolio, ATP made handsome returns on both private and listed equities as well as real estate.

Listed equities produced 20.4% while private equity delivered 25%.

Asked whether he agreed with recent comments that criticised the rapacity of private equity practitioners, Rohde declined. He also clarified that ATP was not about to relocate abroad.

The Danish Ministry of Taxation is currently redrafting pensions legislation in line with a ruling from the European Court of Justice that it must not discriminate against foreign-based pension policies.

The Ministry is concerned lest Danish schemes decide to base themselves in another EU state, in so doing reducing its income from pension investments.

"We are a law-based scheme," said Rohde. "Even in my wildest imagination, I can't see us leaving Denmark."

In 2005, ATP provided about DKK10bn in investment income tax, but only about DKK1bn last year.