Investment grade Fixed Income
The nominal fixed income portfolio is actively managed and is primarily invested in Danish government bonds and Danish mortgage bonds. As of December 2018, PensionDanmark held a portfolio of approx. EUR 4.8bn of investment grade bonds.
The investments are supplemented with European government bonds, European covered bonds and credit bonds with a high creditworthiness on an opportunistic basis.
The portfolio uses interest rates derivatives (swaps and futures) to manage duration risk, curve risk and swap-spread risk.
The index linked portfolio is predominantly invested in Danish index linked bonds issued by Danish mortgages institutions and the Danish Treasury. The value of the debt is linked to the Danish inflation index.
As of december 2018, PensionDanmark held a portfolio of approx. EUR 5.6bn of primarily non-investment grade credits.
PensionDanmark's credit portfolio consists of:
- Investment Grade bonds
- High Yield bonds
- Senior Secured loans
- Emerging Market bonds
In almost all sub-asset classes, our portfolio consists of a mix of assets managed internally and by external managers. The combination of internal and external asset management strives to achieve a good absolute and relative return at a reasonable cost.
Depending on the asset class, we use a combination of benchmark-focused (passive), benchmark-aware and truly non-benchmark focused strategies.