Credit Suisse Pensionskasse, the pension fund for the employees of the Swiss bank, achieved returns of 9.5% last year, up from 6.2% in 2020, with real assets contributing with the best performance (10%) among other asset classes, according to the scheme’s financial statement for 2021.
Within real assets, it gained returns of 0.5% for infrastructure, 1.4% for real estate, 8.1% for private equity. Bonds, however, recorded negative returns of -0.5%, and equities 5.2%, according to the statement.
The pension fund splits its investments into four categories including nominal assets, real assets, diversifiers – with low or negative correlation to other asset classes – and transition investments, which are investments that the board of trustees does not consider part of the strategic plan.
Under the current strategic asset association, the Pensionskasse invests 40.5% in nominal assets, including 7.5% in cash, 12.5% in rates, meaning receivables with interest rate risk, 20.5% in credit, 53% in real assets including infrastructure (2.5%), equity (33%), and real estate (18%), 4% in diversifiers and 2% in transition investments.
At the end of last year the pension fund had an economic exposure, or effective asset allocation, of 10.8% in cash including derivatives, 28.5% in rates and credit including derivatives, 55.1% in real assets including infrastructure (2.8%), real estate (17.8%), equity (33.1%), 4.5% in diversifiers including derivatives and 1.2% in transition investments.
The Pensionkasse uses derivatives for risk management, avoiding leverage on assets. The exposure to derivatives is covered by the available liquidity.
The market value of the derivatives held by Credit Suisse Pensionskasse in 2021 stood at CHF97.5m (€94.9m), down from CHF100.5m in 2020. It had a total exposure to directly held derivatives of CHF246.7m last year, up from CHF31.5m in 2020, according to the financial statement.
AUM and funding ratio up
Assets under management stood at CHF19.4bn last year, up from CHF18bn in the year before.
Its funding ratio reached the highest level since 2013 at 130.9% last year, compared with 120.5% in 2020 and 116.4% in 2019. The pension fund has unrestricted risk capacity, it added.
As a result of the positive returns last year, the board of trustees has decided to apply an interest rate on pension assets of 6.5% for 2021.
The board has also decided not to adjust pensions to inflation. The last adjustment took place in 2007 and since then the cumulative rate of inflation has been 3.2%, as measured by the national index of consumer prices, it said.
The Pensionskasse catered for a total of 28,839 active members and pension beneficiaries at the end of 2021, compared with 28,939 at the end of 2020.
The pension fund has completed a spin-off of the savings into 1e plans. The new 1e plan has been included in Pensionskasse 2 since 2020, managed by the Credit Suisse Group in Switzerland, and offering insured members with a wage of CHF129,060, as of 2021, the opportunity to choose from among six investment strategies.