Credit Suisse Pensionskasse, the pension fund for the employees of the Swiss bank, has tactically decided to cut equity risk exposure early, building up its bond investments at what it considered being the right time to limit losses in 2022, it said in its latest financial statement.
The pension fund returned -7.5% last year, compared with a -9.4% target, according to the strategy, continuing to align its investment portfolio to its strategic asset allocation.
According to its strategic asset allocation, the bank’s pension scheme invests 5.5% of its assets in cash, 30% in fixed income (rates), 15.5% in credit, 25% in equity, 19.5% in real estate, and 3.5% in infrastructure.
The effective 2022 strategy showed that 2.6% of assets were allocated to liquid assets including derivatives, 44.5% to fixed income (rates) and credit, 55.1% to real assets, 4.5% to total active strategies, and 1.2% to transition strategies, according to the statement.
The market value of the fund’s derivatives potfolio increased last year to CHF115.7m, from CHF97.5m in 2021. The exposure through directly held derivatives jumped from CHF246.7m in 2021 to CHF475.3m in 2022.
Capital commitments for private equity, infrastructure and private debt investments amounted to CHF940m. Asset management costs for alternative investments went up in the year under review to CHF155.7m.
The scheme proceeded to liquidate its insurance-linked security programme worth CHF357.1m.
Investments in fixed income (rates) and credit made a negative contribution of -2.6% and 1.5%, respectively, to the overall result, equity returned -4.1%, while the scheme recorded positive returns with real estate and infrastructure, it added.
Assets under management fell from CHF19.37bn in 2021 to CHF17.40bn in 2022, according to the statement. The scheme’s funding level also decreased from 130.9% in 2021 to 128.7% in 2022.
In 2022, the pension fund increased the technical interest rate from 1.21% to 2.58%, which led to a reduction in the pension capital of pension recipients of around CHF1.03bn. It carried out an asset/liability management study last year to set the target value of fluctuation reserves to protect against price losses at 20%.
Martin Wagner, the chief executive officer of Credit Suisse Pensionskasse, reiterated in the editorial of the annual report that the pension fund will remain independent operationally following the takeover by UBS.
He also stated that Credit Suisse Pensionskasse is a legally independent foundation with its own organisation and accounting and that the entitlements to benefits, and current pensions are in no way in jeopardy.
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