SPMS, the €10.2bn Dutch occupational pension fund for medical consultants, has started implementing a new risk management framework for its investment portfolio.

The rules govern who is responsible for setting levels of risk, how those risks are measured, who provides advice and who monitors risks.

The scheme said the framework included risks such as interest rates, counterparties, liquidity, and currency, and these were assessed against policy, procedure and reporting criteria.

In its annual report for 2017, the pension fund also detailed a new “three-line defensive model”.

Jeroen Steenvoorden, director of SPMS, said that the first defensive threshold comprised the scheme’s administrative bureau, while the second line of defense was made up of the scheme’s financial risk manager and a new manager for non-financial risks.

The third protective layer still had to be established, he said, and would be based on additional regulation in the wake of the IORP II pensions directive, as well as guidance from regulator De Nederlandsche Bank.

Steenvoorden added that SPMS had professionalised its compliance function through the appointment of a full-time manager for non-financial risks, who has replaced the three part-time compliance officers on the board and the administrative bureau.

However, the pension fund also emphasised that it did not plan to reduce investment risk for the time being, arguing that a reduced risk exposure could mean a lower pension result as well as a contribution increase for members and employers. The pension scheme planned to consult its accountability body first, it said.

The scheme has also decided to carry out an extensive asset-liability management study, which it said it would evaluate every six months.

SPMS posted a net investment result of 5.2%, in part due to a 5% result from its currency hedge of the dollar, sterling and the yen. This more than offset a 3.6% loss incurred on its interest rate hedge.

The scheme’s European and emerging markets equity exposures generated 12.8% and 25.6%, respectively, while US equity gained 5.8%. Nevertheless, the pension fund decided to increase its US holdings from 37% to 43% of the equity portfolio, citing diversification reasons.

The pension fund said it also wanted to reduce the retail stake in its property portfolio in favour of logistics assets, with target allocations for retail and logistics at 32% and 21%, respectively.

Last year, SPMS started building an infrastructure debt portfolio, with an initial investment of €250m in three funds. Steenvoorden said he expected that the portfolio would meet its strategic allocation of 5% at year-end.

In 2017, SPMS’s funding improved by 8 percentage points to 126%. It rose further to 127.1% at May-end.

The pension fund granted its fixed indexation of 3%, but refrained from paying an additional bonus as deemed its funding level insufficient.