DENMARK - The DKK259.7bn (e34.8bn) Arbejdsmarkedets Tillaegspension (ATP) is searching for managers to run a e100m US mortgage bond mandate.
The fund proposes to increase its share of foreign mortgage bonds to 31.7% of the total foreign bond portfolio in 2004, compared to 29.2% in 2003.
According to Henrik Jepsen, head of the e28.2bn fixed income portfolio, ATP is expected to appoint the new managers in the first half of 2004.
“We have been actively examining this market and this is part of our ongoing quest for diversification,” Jepsen said.
“We think the US mortgage market is an area where it would be valuable to diversify into,” he said.
“We plan to start with around e100m, around 0.3% of our total portfolio but we may look to increase this allocation in the future.”
The fund manages a substantial part of its Danish and German mortgage bond portfolio inhouse. A high yield bond portfolio is jointly managed by Pimco Europe and Morgan Stanley Investment Management. Emerging markets bonds are held by Pimco Europe and Citigroup Asset Management.
“The biggest mortgage bond market in Europe is the Danish market where we are very active, but there is still a big difference between the Danish market, which is a local market and the US markets. While we have the expertise to manage Danish mortgage bonds, we feel that we do not have the specific knowledge of US mortgage markets to manage it ourselves,” Jepsen added.
ATP plans to increase its allocation to equities to 20% in 2004 and has a long-term strategy to raise listed equity to 40%. The fund also plans to allocate 72% to bonds, down from 81.3% as at December 31, 2003.
Allocation to real estate will also be increased to 5% from 3.9% and private equities will hike from 1.2% to 3%.
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