“We don’t believe in LDI” – Munsters

NETHERLANDS - The €212bn Dutch pension fund ABP says it does not believe Liability Driven Investments should be included in its new strategic investment plan.

"What we will not do is match the nominal liabilities and we do not believe in this either, or in the concept of LDI [Liability Driven Investments] as it is currently discussed," said ABP chief investment officer Roderick Munsters last week, outlining ABP's strategic investment plan for 2007-2009.

He added: "Our real liabilities cannot be matched anyway, as the income inflation in the Netherlands cannot be shortened."

ABP has the ambition to index fully, so the pension fund is therefore putting more emphasis on its real liabilities, rather than its nominal ones.

His comments emerged at the same time as a study was published suggesting tighter pension legislation is stimulating interest in  LDI in the Netherlands.

The research, conducted by the US asset management firm SEI Investments, suggests Dutch pension funds focus far more on integrated LDI strategies than their foreign counterparts.

"Dutch pension fund managers also have a better understanding of LDI due mainly to the tightening of legislation governing pension funds under the New Financial Assessment Framework (nFTK)," SEI said.

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