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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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ABP is the largest Dutch pension fund, with capital of €209 billion. Its new strategic investment portfolio implies significant changes after ABP achieved a 133% cover ratio at the end of the fourth quarter.
ABP asset allocation and research chief investment officer Tom Steenkamp says that, over the latter part of 2006, ABP’s new investment policy had led to a big rise in the duration of ABP’s strategic portfolio. Duration is now up at around eight years, from five years previously. Moreover ABP has lengthened the duration of its fixed-income portfolio chiefly through swaps.
