In Denmark, where pension funds have been keen to distance themselves from the practice of aggressive tax planning both by themselves and firms they work with, the DKK886bn (€117.6bn) pension fund ATP has said it is not investing in the Cayman Islands after the recent update of the EU blacklist.

Lars Toft, tax director at ATP, said: “With Cayman Islands on the list we will not invest in the jurisdiction going forward.”

He added: “That does not mean that we are able to change the investments that have been made in the past and it is important to underline that we haven’t engaged in any aggressive tax planning via our investments on Cayman Islands.”

The blacklisting did not change that fact, he said.

“That being said, we are in dialogue with business partners about some of the investments in the jurisdiction,” said Toft.

The country’s second biggest pension fund, the commercial provider PFA, took a similarly firm line when asked by IPE.

“PFA has been actively involved in the EU’s blacklist on an ongoing basis,” a spokesman said, adding that it was the firm’s policy not to invest in holding companies located in countries on this list at the time of investment.

“The fact that Cayman Islands is now on the list has the logical consequence that PFA will not make investments in holding companies located in the Cayman Islands as long as the Cayman Islands are listed, he said.

Sweden’s largest pension fund Alecta is also taking an immediate stance on the change, according to CIO Hans Sterte.

“We are not making any new investments through Cayman Islands as long as they are on the tax haven blacklist,” he said.

Danish labour-market pension fund Sampension said that according to the rules it had set for itself on responsible tax practice, it distanced itself from investments in jurisdictions on the EU blacklist or those assessed by the OECD’s Global Forum on transparency and exchange of information for tax purposes as non-compliant or partially compliant.

However, its rules also state that such an investment was not excluded where there was considered to be very limited risk of aggressive tax planning associated with the actual investment.

In practice, Sampension said its rules meant that in future it would not make new investments in, for example, forestry funds and private equity funds domiciled in the Cayman Islands until the islands were taken off the EU list.

At Danske Bank subsidiary Danica Pension, CIO Poul Kobberup said his firm looked carefully at countries on the EU’s tax blacklist.

“Therefore, the addition of the Cayman Islands to the EU blacklist means that we will rethink our position on any possible future investments through the Cayman Islands,” he said, adding that the firm was focusing on making sure those investments were subject to proper and fair taxation.