River and Mercantile Derivatives, part of River and Mercantile Group PLC, has completed a £1.2 billion (€0.99 billion) structured equity options mandate for Worcestershire County Council Pension Fund.
The fund was seeking downside protection for its passive UK, US and European equities.
De-risking by moving from equities to other asset classes at this stage of the cycle would have reduced return expectations for the fund and affected the affordability of future benefits to members, the company said.
The fund decided on an equity protection solution to maintain equity market exposure and reduce the likelihood of further contributions from the sponsor in 2019.
River and Mercantile Derivatives was appointed to design, execute and provide ongoing management of a structured equity protection strategy, following a competitive tender process.
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