荷兰养老基金不再是加息的冲击吸收器

关键论点

• 新框架按年龄组预设对冲比率，取代了2021年后推动大量接收方互换流的主动负债对冲。
• 更静态的对冲和长期利率需求结构性下降，给30年期欧元互换利率带来上行压力，10s30s陡峭化更受青睐。
• 基金仍以EURIBOR 6M曲线为基准，因此对冲组合将继续聚焦于紧密跟踪欧元互换的信用债。
• 对冲组合与互换曲线的错配被计入超额收益部分，主要由年轻参与者承担。

对应原文证据

1. Pension funds had reduced their hedges during the low-rate environment and increased them significantly again when rates rose on the back of higher inflation.
2. More static hedging and structurally lower demand for longer-dated rates add to the upward pressure on 30Y euro swap rates.
3. For this reason, we continue to see steepening pressure on the 10s30s curve, although much hinges on the global macro environment.