NEW YORK -- The U.S. fixed-income team of Dutch pension fund ABP has pulled in-house the management of $10 billion from external managers over the past year.
And it is poised to bring in-house the management of two more portfolios by the end of the year, said Arnold Shapiro, chief investment officer for ABP Investments U.S. Inc., New York, the U.S. investment arm of Pensioenfonds ABP, Heerlen, the Netherlands. He refused to say which managers would lose their mandates, but sources speculated that the next mandates will likely be active mandates that nonetheless closely follow a benchmark.
Since November 1999, ABP Investments U.S. has pulled in-house the management of two passive mandates previously run by Barclays Global Investors, San Francisco, and Goldman Sachs & Co. Asset Management, New York. But GSAM continues to run an active portfolio of mortgage-backed securities for the plan, which as of Dec. 31, the most recent date available, had assets of e154 billion ($154.7 billion).
At the end of last year, according to Paul Spijkers, president of ABP Investments U.S., six managers were in charge of roughly $3 billion in active fixed-income mandates: BlackRock Inc., New York; GSAM; Western Asset, Pasadena, Calif.; Pacific Investment Management Co., Newport Beach, Calif.; J.P. Morgan Investment Management Inc., New York; and T. Rowe Price Associates Inc., Baltimore. But neither Mr. Spijkers nor Mr. Shapiro would say if there had been any changes in the manager lineup in the past year.
None of the managers would comment.
Mr. Spijkers told Pensions & Investments a year ago that he expected to bring $8 billion in-house. The additional $2 billion now managed in-house was the result of market growth in the BGI and GSAM passive mandates, he said.
Last year Mr. Spijkers also said he hoped ABP would manage in-house 90% of it U.S. fixed-income portfolio. With $10 billion of the plan's $14.1 billion in U.S. fixed income now run in-house, ABP is getting close to its target.
The ABP team is now running in-house passive portfolios of mortgage-backed securities, corporate debt and Treasury securities, said Mr. Shapiro. The firm's long-term goal remains to develop an internal passive management capacity and then seek to start running active mandates.
ABP's investment operation received a boost last year with the appointment of Mr. Shapiro and around eight other money managers who all worked at the New York arm of UBS. The firm now employs 11 full-time professionals on the fixed-income team, he said.
Last year, Mr. Spijkers said ABP would increase its allocation to fixed income by investing new money in the asset class. He expected the allocation to U.S. fixed income to have reached $15 billion this year.
As of Dec. 31, $14.1 billion of the fund's e78.5 billion allocation to fixed income was invested in the United States. Mr. Spijkers would not provide more recent figures.
He also would not say by how much the allocation to U.S. securities would increase during 2001 as this still has to be approved by the ABP board. A decision is expected in early December, he said. The intention last year was to invest 30% of the fund's total global fixed-income allocation in U.S. securities by 2002.
The fund decided two years ago to increase its holdings in U.S. bonds as the market is larger and more liquid than in Europe.