NETHERLANDS - The €11.7bn Dutch railways scheme SPF has temporarily halved its equity exposure to 16.6% through a futures transaction in anticipation of a possible collapse of the euro-zone.

The adjustment follows the scheme’s decision to shift its focus from generating maximum returns to protecting its assets, according to its 2011 annual report.

SPF officials said in the fourth quarter that the pension fund also decided to limit its investments in government bonds to paper with the highest credit rating.

Earlier in the year, the railways scheme had already divested Greek and Portuguese government bonds, followed by the sale of Belgian, Italian and Spanish bonds.

For 2011, SPF reported a return of 5%, attributing the 1.9 percentage point outperformance to its interest hedge as well as the reduced exposure of its equity portfolio.

In July, the board decided to decrease the interest hedge on its liabilities from 50% to 40%, as it considered the odds of a rate increase and the positive consequences for the coverage ratio “more important than the risk of a further decrease of interest rates”.

The 28.8% government bond portfolio and private equity were SPF’s best-performing asset classes, returning 10.5% and 12.4%, respectively.

Emerging market debt generated 8.5%, following an allocation of 50% of the scheme’s holdings to local currency, “as these offer higher interest rates and a better credit rating than dollar-denominated EMD”, officials said.

They added that the 12.6% credits portfolio has been de-risked through reduced investments in banks in Southern Europe.

The SPF board it had extensively studied several government models and that it had already “formulated principles”, but stressed that it was still waiting for clarity about a new legal framework.

The scheme also said it had been raising the risk-awareness of individual board members and appointed a risk manager independent from pensions provider SPF Beheer.

The railways scheme decided against granting indexation on 1 January after its coverage ratio at year-end dropped to 113.2%.

It did grant participants inflation compensation of 0.50% as of 1 January 2011, based on a funding ratio of more than 126% at the time.

SPF has 29,025 active participants, 25,315 pensioners and 17,190 deferred members, affiliated with 65 participating companies.