ATP ditching swaps for bricks-and-mortar hedges
Increasing costs and shrinking liquidity have helped drive Denmark’s biggest pension fund away from its traditional hedging tools – bonds and swaps – but it required a change to the fund’s discounting curve
It only takes 40 minutes to get from Copenhagen's central train station to Hillerød, home to ATP, the country's biggest pension fund, but the sleepy town of 30,000 feels a very long way from the fast-changing, never-resting world of global finance. That feeling disappears within minutes of meeting ATP's chief risk officer, Chresten Dengsøe, who outlines how the fund's hedging strategy has been caught in the crossfire between international regulators and globe-trotting banks.
The bottom line is
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