Monthly calculation of the RBFR Index

At a glance

  • Monthly calculation of the PPCmetrics RBFR Index
  • The PPCmetrics RBFR Index was launched in 2015 based on data of 230 pension funds with consolidated pension assets of over CHF 480 billion and the peer group is continuously updated

PPCmetrics RBFR Index

The PPCmetrics RBFR Index (risk-bearing funding ratio Index) was launched in November 2015 and measures the current exposure of risk carriers. It corresponds to the consolidated risk-bearing funding ratio of the pension funds of the PPCmetrics universe. This universe consists of several hundred Swiss pension funds which are managed under the full capitalisation system as of the effective date (1 January). The computation is based on the revised annual reports of the pension funds. In order to determine the values during the year, pension liabilities and pension assets are extrapolated on the basis of standardised assumptions. The values for the current year are adjusted retroactively as of 31.08. with the integration of the new annual reports. A documentation of the index can be found here.

As of 31 December 2014, 230 pension plans with consolidated pension assets of more than CHF 480 billion are included in the calculation of the PPCmetrics RBFR Index. The peer group is updated annually.

The PPCmetrics RBFR Index currently stands at:

117.0%-1.20% *

* Relative change compared to previous month.

After the exclusion of current pension entitlements (at 100% of their market value), 117.0% of the vested benefits of the active plan members are currently covered by existing capital.