Delta Lloyd Pension Fund Reaffirms Ongoing Buy-Out Monitoring and APF Orientation to Safeguard Pensions

Stichting Pensioenfonds Delta Lloyd (DLPF) recently published its Actuariële en bedrijfstechnische nota (ABTN) on November 26, 2025. This document outlines the fund’s actuarial and business technical operations, including its investment policy and risk management.

Allocation Changes: Matching Portfolio Dynamic Strategy

For fiscal year 2026, DLPF will implement a dynamic strategy for its matching portfolio allocation. Up to a swap interest coverage ratio of 130%, 90% (with a bandwidth of 85% – 95%) of the liabilities on swap interest will be allocated to the matching portfolio. The minimum size of the return portfolio will be 20% of the portfolio for coverage ratios up to 130%. Above a coverage ratio of 130%, the share of the matching portfolio, expressed as a percentage of total invested capital, will increase incrementally. For example, at a 130% coverage ratio, the target allocation for matching is 70% (65%-75% bandwidth), increasing to 94% (89%-99% bandwidth) at a 190% coverage ratio. This dynamic adjustment aims to reduce risk as the coverage ratio increases. The execution of risk reduction will be based on the swap coverage ratio at the end of a quarter, with the strategic weighting for the subsequent quarter based on the norm weighting from the provided table. The asset manager has one month to bring the allocation within the new bandwidth after a change. (Page 37-38, ABTN)

Allocation Changes: Matching Portfolio Composition

Within the matching portfolio, the strategic allocation for the LDI-portfolio remains at 40% (35%-45% bandwidth), and the spread portfolio remains at 60% (55%-65% bandwidth). Effective January 1, 2026, the allocation within the LDI-portfolio for 10+ Euro government bonds will be 4%-21%, Euro government-related bonds at 8% (6%-10% bandwidth), and liquidities + net cash + interest derivatives at 9%-27%. Within the spread portfolio, Dutch mortgages will be 15% (11%-19% bandwidth), and corporate bonds will be 45% (41%-49% bandwidth), further split into Euro corporate bonds at 33% (29%-37% bandwidth) and Corporate Green bonds at 12% (8%-16% bandwidth). Liquidities within the spread portfolio will be 0% (0%-1% bandwidth). (Page 40, ABTN)

Allocation Changes: Return Portfolio Composition

Effective January 1, 2026, the allocation within the return portfolio, expressed as a percentage of the return portfolio, will be as follows: Various Equity Styles at 66.7% (58.2%-75.2% bandwidth), Emerging Market Debt (EMD) at 16.7% (11.7%-21.7% bandwidth), and Non-listed Real Estate at 16.6% (11.6%-21.6% bandwidth). Within Various Equity Styles, worldwide equities will be 59.4% (53.4%-65.4% bandwidth) and emerging markets equities will be 7.3% (4.8%-9.8% bandwidth). Within EMD, EMD Hard Currency (HC) and EMD Local Currency (LC) will each be 8.35% (5.85%-10.85% bandwidth). Within Non-listed Real Estate, Dutch residential will be 8.30% (5.8%-10.8% bandwidth) and European multi-sector will be 8.30% (5.8%-10.8% bandwidth). Liquidities will be 0% (0%-1% bandwidth). (Page 43, ABTN)

Allocation Changes: Government Bond Country Distribution

Effective August 1, 2025, the country distribution of the government (related) bond portfolio will be based on the rating distribution of the countries. For AAA-rated countries, the allocation will be between 3.7% and 25.7%. For AA+ to AA- rated countries, the allocation will be between 3.8% and 12.8%. For countries rated lower than AA-, the allocation will be between 0% and 2.4%. The norm weight for AAA is dependent on the swap spread of a 20-year German Bond. (Page 41, ABTN)

New Asset Class Considerations: Inflation-Linked Bonds

DLPF is currently not purchasing inflation-linked bonds due to their high cost, limited effect, and potential to lead to more reductions under current FTK legislation. Additionally, there are no market instruments with Dutch inflation, and inflation-linked bonds do not align with the LDI portfolio’s goal of hedging nominal interest rate risk. However, inflation developments are monitored, and the investment advisory committee periodically discusses whether a protection structure in the form of inflation-linked bonds is opportune. If such a decision is made, the board would need to reformulate the matching portfolio’s objective. (Page 64, ABTN)

Futureproof Solution

DLPF is exploring possibilities to secure accrued pension rights and pensions, including monitoring the buy-out market for potential buy-outs to ensure inflation-proof pensions. The fund will also orient itself towards the Algemeen Pensioenfonds (APF) market to assess if a transition to an APF could be a future-proof solution. (Page 67, ABTN)