DENMARK – ATP, Denmark’s largest pension fund, made a profit of DKK3.5bn (€469.6m), from its hedging activities in the first quarter of 2006.

“The overall hedging activity was a profit of DKK3.5bn, which contributed to the overall strengthening of the bonus potential,” ATP, Arbejdsmarkedets Tillægspension, said.

In the first quarter of 2005, the activity saw a loss of DKK4.25bn. In 02005 as a whole it lost DKK6.0bn.

“The objective of ATP’s hedging activities is, primarily, to hedge the interest-rate risk related to ATP’s guaranteed benefits,” the fund said. “In other words, the objective of the hedging activities is not per se to generate a return.”

The hedging portfolio is comprised primarily of interest-rate swaps.

ATP said its bonus potential – reserves – increased by DKK10.1bn in the first quarter, equivalent to a 19.2% increase relative to the end of 2005.

The market return on the ATP investment portfolio totalled DKK8.9bn, or 2.5%.

It said this was due to a high return on listed domestic equities, which contributed almost DKK4bn to the return. The overall market return on listed equities totalled DKK6.8bn, equivalent to 8.2%.

“I’m very satisfied with the results,” said chief executive Lars Rohde. “The ATP Group’s reserves have been strengthened significantly during the period under review. Moreover, I’m pleased to see that ATP’s return on investment in domestic equities once again outperforms the increase in the OMXCB Index.”

Rising interest rates were the main cause of the DKK23.2bn decline in the market value of pension liabilities.

Elsewhere, Danica Pension posted a negative 1.6% return on customer funds in the first quarter.

“The return was affected by the rise in interest rates which resulted in a negative return of 4.2% on bonds, including derivatives, while equities yielded a positive return of 5.7%,” it said.

Danica raised the equity allocation to 21% as at the end of March this year.

Topics