Swiss pension funds: funding ratio, discount rate, and asset allocation

Swiss Journal of Economics and Statistics

Table 1 Summary statistics of pension funds’ key variables

Variable	Obs.	Mean	S.E.	Perc. 10	Median	Perc. 90
Total assets, CHF bn	21,239	368.65	1701.55	4.55	50.55	592.36
Log total assets, log CHF 1000	21,239	10.85	1.86	8.42	10.83	13.29
Retiree Pension Liabilities (techn.), CHF bn	21,239	149.23	621.34	0.84	23.35	252.35
Active Insurants’ Savings, CHF bn	21,239	111.13	617.61	0.00	7.85	158.27
Number of joined employers	21,239	190.53	1663.40	1	2	40
Number of active insurants\(^{\text {a}}\)	13,104	1968.66	10,845.97	23	232	2484
Number of retired insurants	21,239	276.18	1364.69	0	28	402.6
Number of active per retired insurant	11,710	13.56	41.46	1.81	5.80	25.67
Share of equity assets, %	18,974	26.51	10.95	11.77	27.03	39.05
Technical discount rate, %	17,182	3.20	0.65	2.25	3.50	4.00
Interest paid on savings (obligatory), %	18,178	2.42	1.28	1.25	2.25	4.00
Interest paid on savings (over-obligatory), %	16,831	2.35	1.00	1.50	2.00	3.50
Funding ratio (techn.)\(^{\text {b}}\) , %	21,239	110.42	11.12	99.05	108.86	125.00
Economic funding ratio\(^{\text {c}}\) , %	19,399	106.42	16.68	89.20	104.22	124.56
Share of obligatory savings\(^{\text {d}}\) , %	16,860	53.12	22.50	28.26	52.22	76.05
Public fund = 1 \(^{\text {e}}\)	21,239	0.02	0.128
Collective fund = 1 \(^{\text {e}}\)	21,239	0.05	0.228
Joint fund = 1 \(^{\text {e}}\)	21,239	0.06	0.236

Summary statistics pooled for all years (2006–2017). Sample only includes private and public pension funds without state guarantees, and only includes funds with a (techn.) funding ratio between 81.5 and 152.3% (0.5th–95th percentile range)
\(^{\text {a}}\)Excluding active insurants with risk insurance only and no retirement insurance.
\(^{\text {b}}\)Technical funding ratio, according to Art. 44 BVV2/OBB2, evaluating pension liabilities with funds own technical discount rate and own choice of actuarial table.
\(^{\text {c}}\)Funding ratio evaluating retiree pension liabilities with risk-free market interest rates and generation table as actuarial table.
\(^{\text {d}}\)Share of active insurants’ obligatory savings (BVG minimum) to their total savings.
\(^{\text {e}}\)Dummy variable = 1 for public, collective, or joint funds and = 0 otherwise.