Pension fund risk manager of the year: PKA
After moving to Eonia discount rates for its swaps in 2011, Denmark's PKA decided to make Eonia the benchmark for its hedge portfolio at the end of 2012. It's a smart move, dealers say - but one with some risks of its own
Pension fund valuation practices are going through a slow, deliberate revolution. Where that process ends up is still unclear, but Denmark’s PKA has already made a call – in late 2012, it became one of the first funds to start using swaps linked to euro overnight rates as the benchmark when hedging its liabilities.
That follows a 2011 decision to re-engineer the credit support annexes (CSAs) governing collateral posting on its hedge portfolio – now also discounted using the euro overnight index
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