Inverted swap spreads see ATP outshoot liabilities by Dkr16.5 billion

Inverted swap spreads see ATP outshoot liabilities by Dkr16.5 billion

By taking advantage of inverted swap spreads - when swap rates fall below government bond rates - the fixed income hedging portfolio of Danish labour market pension fund ATP was up Dkr16.5 billion (£1.94 billion) before tax in the first three months of 2010, despite a huge increase in liabilities and exposure to basis risk from Denmark's shallow derivatives market.

Although the fund's liabilities, which are discounted using Danish swap rates, increased by Dkr81.5 billion, the strategic weighting