Dutch pension funds receive billions as additional collateral
Dutch pension funds received billions of euros as additional collateral on swap contracts last week in the wake of rapidly declining interest rates.
Liability-driven investment managers at Achmea Investment Management and NN Investment Partners, which deal with swaps used by pension funds for hedging their interest risk, said that checking whether banks and central clearing houses could fulfill their obligations required a lot of attention.
Last week, the 30-year swap rate – schemes’ main criterion for discounting liabilities – nose-dived, entitling pension funds to billions of collateral within two days. During periods of a modest rates decline, the collateral exchanges usually involve no more than hundreds of millions.
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