February 2007
DerivativesMarkets: Swaps sizzle on call for Danish ALM change
Asset managers, pension funds and derivatives specialists across Europe need to be aware of the potential changes in Danish ALM activity. Several Danish pension funds and life insurers have written to the Danish Financial Services Authority suggesting that they be allowed to change their discount curve for liabilities from Danish government bonds. Christine Joseph-Haller looks at the implications for the euro and Danish krone fixed-income markets.
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A version of this article first appeared in Total Derivatives.
Total Derivatives is the prime source of real-time news and analysis of the global fixed income derivatives markets.
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The eurozone and Danish swap markets are abuzz with talk of potential major changes in Danish ALM activity. In early January, several Danish pension funds and life insurers wrote to the Danish Financial Services Authority, suggesting that they be allowed to change their discount curve for liabilities from Danish government bonds (plus a spread) to Danish swaps. Danish swap market sources and Danish pension fund sources see a “good” or “pretty likely” chance that the regulator will act on the suggestion.
The Danish FSA will consider industry demands for a change in the discount rate that is used for the calculation of pension fund liabilities, says the regulator’s deputy director, Per Plougmand Bærtelsen.
“The...
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