NETHERLANDS - SBZ has begun the two-year process of transferring its in-house administration and board support to pension provider Syntrus Achmea.

The €2.8bn pension fund for Dutch care insurers said it feared the limited size of its organisation made it vulnerable and posed a continuity risk.

However, it has left its asset management structure - an external lead overlay manager, manager of managers and engagement manager - intact, according to its 2009 annual report.

Once the transfer process has been completed, SBZ will conduct a study to determine whether contract management and monitoring can be placed with an independent, external management bureau.

Peter van Gemst, chief investment officer, told IPD that Driebergen-based SBZ would move to Syntrus Achmea's office in De Meern as part of the transfer process, which is to be completed in 2012.

Meanwhile, the industry-wide scheme said it would split its 49% fixed income holdings into a portfolio with matching characteristics, such as government bonds, and a portfolio with mainly credit.

"We want to get a better insight into risk management for better control," Van Gemst said.

He also said SBZ would divest its stake in a global tactical asset allocation (GTAA) fund, comprising 2.1% of assets, as GTAA is "insufficiently transparent and has yielded negative results".

Van Gemst said the scheme would hold on to its "more transparent and long-term" tactical asset allocation of 0.07%, but that there were no plans of increasing its holdings.

The annual report showed SBZ was continuing to build up its indirect real estate portfolio after having already offloaded its direct property portfolio.

SBZ reported overall returns of 16.5%, but Van Gemst noted that rising interest rates had caused a loss of 3 percentage points, following the scheme's variable hedge of between 67% and 85% of the interest risk on its liabilities.

However, decreasing interest rates in the first half of 2010 have already made up for last year's negative performance, he said.

Equity holdings returned 36.8%, while the fixed income portfolio returned 16.8%, both beating their benchmarks by more than 5 percentage points.

Alternatives returned 6.9%, while property showed a loss of 11.7%.

The scheme's cover ratio has dropped from 122% last January to the minimum required funding of 105%.
 

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