ATP ditching swaps for bricks-and-mortar hedges

Denmark’s biggest pension fund retreating from higher costs, lower liquidity

Chresten Dengsøe, ATP

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 t

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