DENMARK - Italy is highly unlikely to default on its debt despite the current crisis, according to Danish commercial pension fund Danica Pension, which has no plans to offload its Italian bond holdings.

But management of the DKK294bn (€39.5bn) fund are discussing what might happen in the event of a complete collapse of the euro-zone.

Peter Lindegaard, CIO, told IPE: "We are paying a lot of attention to the developments in Italy. It is our belief an Italian default will result in a breakdown of the euro co-operation. But we are 95% sure will not happen.

"We are having ongoing discussions regarding possible outcomes, if the entire euro co-operation collapses."

At the moment, however, the Danske Bank subsidiary was making no changes to its holdings of Italian debt.

Lindegaard said: "Presently, we are not taking any specific measures against a worsening of the crisis in Italy - hence, we do not plan to reduce our stock of Italian bonds."

There was no plan in place for the specific case of Greece leaving the euro-zone, he said.

"Our exposure toward Greece is very low, since we do not hold any Greek bonds," he said.

However, the euro-zone bailout fund - the European Financial Stability Facility - could be an attractive investment prospect for the Danish pension fund.

Lindegaard said: "It is very likely we would invest in EFSF bonds - especially if they are characterised by high volume and liquidity."

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