Credit Suisse Swiss Pension Fund Index Q2 217 YTD 217: 3.94% Q2 217: 1.15% Positive second quarter, with slowdown in June Significant positive contribution from Swiss equities in reporting quarter Sharp rise in allocation to liquidity in Q2; decrease in allocation to equities
Index versus Mandatory Minimum Rate of Return since January 2 Credit Suisse Swiss Pension Fund Index Remains Positive in Second Quarter and Reaches New High In the reporting quarter, the Pension Fund Index advanced by 1.15% to reach a new all-time high of 165.92 points as of June 3, 217, from a baseline of 1 at the start of 2. After a positive development in April (+.99%) and May (+.56%), the Credit Suisse Swiss Pension Fund Index showed a decline in June (.39%). Swiss equities contributed significantly to the positive development of the Credit Suisse Swiss Pension Fund Index (+.75%). Real estate (+.3%), liquidity (+.13%), and foreign equities (+.1%) also made positive contributions. Foreign currency bonds (.7%) and alternative investments (.6%) made negative contributions in the second quarter, however. The index of the BVG mandatory minimum rate of return (1% p.a. since January 217) rose by.25% to 151.34 points in the reporting quarter, likewise from a baseline of 1 in January 2. The return of the Credit Suisse Swiss Pension Fund Index is therefore.9% above the BVG requirement in the second quarter of 217. The annualized return on the Credit Suisse Swiss Pension Fund Index (since January 1, 2) was 2.94% as of June 3, 217. This contrasts with an annualized BVG mandatory minimum rate of return of 2.4%. Chart 1a: 18 17 16 15 14 13 12 11 1 9 8 2 22 24 26 28 21 212 214 216 Credit Suisse Swiss Pension Fund Index BVG rate of return 4.% until Dec. 31, 22 / 3.25% from Jan.1, 23 / 2.25% from Jan. 1, 24 / 2.5% from Jan. 1, 25 / 2.75% from Jan.1, 28 / 2.% from Jan. 1, 29 / 1.5% from Jan. 1, 212 / 1.75% from Jan. 1, 214 / 1.25% from Jan. 1, 216 / 1.% since Jan. 1, 217 Scale: Index level The Credit Suisse Swiss Pension Fund Index is calculated on the basis of the returns realized by Swiss pension funds (prior to deducting management costs) whose assets are held at Credit Suisse under a global custody arrangement. Asset management and advisory tasks, however, are performed by the pension funds themselves or by third parties. In its role as global custodian, Credit Suisse has no influence on the performance of individual pension funds. Credit Suisse Swiss Pension Fund Index 2
Table 1a: Credit Suisse Swiss Pension Fund Index Jan. 1, 2 Jun. 3, 217 Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. Oct. Nov. Dec. Annual return 2 98.74 99.88 11.68 11.51 11.32 11.59 12.55 15.34 13.7 14.32 12.56 12.6 2.6% 21 13.67 11.59 1.5 11.68 12.86 11.84 99.81 97.94 93.78 95.97 97.71 98.34 4.15% 22 98.3 98.4 99.58 98.32 98.6 94.85 91.62 92.43 89.71 91.36 93.28 9.49 7.98% 23 89.45 88.45 88.23 91.59 93.15 94.94 95.58 96.56 95.8 97.53 97.65 98.86 9.25% 24 1.81 12.1 11.65 11.84 1.69 1.94 1.79 1.87 11.36 11.7 11.56 13.3 4.49% 25 14.68 15.18 15.7 15.67 18.4 19.62 111.59 111.29 113.6 112.59 114.66 116.33 12.62% 26 117.42 118.55 119.14 118.75 116.48 116.48 117.75 119.43 121.2 122.17 122.2 123.99 6.58% 27 125.74 124.83 125.95 127.98 128.79 128.8 127.4 127.22 127.83 129.4 127.28 126.52 2.4% 28 122.25 121.64 119.45 122.61 123.22 119.65 12.65 121.72 117.76 111.35 111.77 19.76 13.25% 29 19.4 16.38 18.2 111.24 112.43 113.27 116.69 118.21 119.61 119.1 119.84 121.68 1.86% 21 121.42 122.79 124.59 125.15 124.24 121.57 123.23 122.32 124.6 125.64 124.77 125.33 3.1% 211 126.9 127.1 126.37 126.95 126.32 124.84 122.56 121.22 121.52 123.47 123.19 124.63.56% 212 126.33 127.9 128.42 128.55 127.69 128.72 131.33 131.44 132.31 132.13 133.4 133.61 7.21% 213 135.56 136.71 138.31 139.33 139.95 136.91 138.4 137.89 139.14 14.95 141.5 141.3 5.76% 214 141.53 143.11 143.8 144.68 146.55 146.91 147.27 149.1 149.32 15.6 151.64 152.23 7.73% 215 149.45 153.54 154.53 154.71 154.51 151.98 154.82 151.4 149.99 154.4 155.54 153.67.95% 216 152.24 151.26 152.92 154.35 156.35 155.97 157.73 158.65 158.62 157.48 157.73 159.63 3.87% 217 16.3 162.97 164.3 165.65 166.57 165.92 3.94% Table 1b: Performance Contribution (Monthly) Credit Suisse Swiss Pension Fund Index (Jan. 1, 217 Jun. 3, 217) Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. Oct. Nov. Dec. YTD Liquidity.15%.8%.3%.2%.13%.2%.17% CHF bonds.5%.23%.12%.6%.7%.14%.6% Foreign currency bonds.11%.14%.2%.5%.7%.5%.2% Swiss equities.17%.46%.4%.55%.37%.16% 1.8% Foreign equities.%.76%.26%.22%.3%.9% 1.13% Alternative investments.4%.8%.%.1%.5%.2%.3% Real estate.13%.23%.13%.13%.13%.5%.8% Mortgages.%.1%.1%.%.%.1%.% Other.%.2%.1%.%.%.%.3% Total.26% 1.83%.65%.99%.55%.39% 3.94% Credit Suisse Swiss Pension Fund Index 3
Chart 1b: Credit Suisse Swiss Pension Fund Index by Segment Size Chart 1b shows a breakdown by segment as follows: < CHF 15 million, CHF 15 5 million, CHF 5 million 1 billion, and > CHF 1 billion. 18 17 16 15 14 13 12 11 1 9 8 2 22 24 26 28 21 212 214 216 CHF 15 mn 5 mn CHF 5 mn 1 bn Credit Suisse Swiss Pension Fund Index < CHF 15 mn > CHF 1 bn BVG rate of return 4.% until Dec. 31, 22 3.25% from Jan.1, 23 / 2.25% from Jan.1, 24 / 2.5% from Jan.1, 25 / 2.75% from Jan.1, 28 / 2.% from Jan.1, 29 / 1.5% from Jan.1, 212 / 1.75% from Jan.1, 214 / 1.25% from Jan.1, 216 / 1.% since Jan.1, 217 Scale: Index level Table 1c: Performance Jan. 1, 217 Jun. 3, 217 Credit Suisse Swiss Pension Fund Index > CHF 1 bn CHF 5 mn 1 bn CHF 15 5 mn < CHF 15 mn Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. Oct. Nov. Dec. YTD.26% 1.83%.65%.99%.55%.39% 3.94%.28% 1.74%.54%.9%.57%.31% 3.76%.33% 1.66%.51%.84%.66%.36% 3.7%.24% 1.83%.62% 1.%.54%.37% 3.91%.24% 1.94%.8% 1.8%.52%.46% 4.16% Table 1d: Annualized Performance Jan. 1, 2 Jun. 3, 217 Annualized performance since January 1, 2 Credit Suisse Swiss Pension Fund Index 2.94% BVG rate of return 2.4% > CHF 1 bn 2.86% CHF 5 mn 1 bn 3.5% CHF 15 5 mn 3.15% < CHF 15 mn 2.88% Credit Suisse Swiss Pension Fund Index 4
Risk / Return Positions Five-Year Line Annualized Return Rises in the Reporting Quarter While Annualized Risk Falls Slightly The line showing the five-year annualized risk/ return positions of the individual pension funds (Chart 2a) showed a positive change in the sec ond quarter of 217. The unweighted average annualized return rose to 5.21% in the reporting quarter (+.19%; red triangle). The unweighted average annualized risk fell slightly to 3.89% (.2%; red triangle). Chart 2a: Annualized Risk/Return Comparison; Five-Year View, Monthly Results from July 212 to June 217 9 8 7 6 5 4 3 2 1 1 2 3 4 5 6 7 8 y-axis: annualized return in percent (%) x-axis: annualized risk in percent (%) Table 2a: Key Figures Jul. 1, 212 Jun. 3, 217 Risk Return Sharpe ratio Credit Suisse Swiss Pension Fund Index 3.89% 5.21% 1.5 > CHF 1 bn 3.82% 5.39% 1.56 CHF 5 mn 1 bn 3.33% 5.18% 1.69 CHF 15 5 mn 3.71% 5.19% 1.55 < CHF 15 mn 4.21% 5.18% 1.39 Table 2b: Return Bandwidths Jul. 1, 212 Jun. 3, 217 Minimum 1st quartile Median 3rd quartile Maximum Credit Suisse Swiss Pension Fund Index 2.67% 4.87% 5.44% 5.92% 8.14% > CHF 1 bn 4.23% 4.71% 5.52% 5.76% 7.82% CHF 5 mn 1 bn 4.25% 5.18% 5.28% 5.44% 6.3% CHF 15 5 mn 2.67% 4.88% 5.38% 5.77% 6.98% < CHF 15 mn 3.15% 4.82% 5.42% 6.17% 8.14% Our risk/return overview shows the five-year view. It should be noted that only funds that were part of the index for the entire observation period are included. Funds joining after July 1, 212, are not included in the five-year observation period (July 1, 212 June 3, 217). Credit Suisse Swiss Pension Fund Index 5
Asset Allocation Liquidity Component Rises Significantly; Foreign and Swiss Equities Show a Fall; Real Estate Component Still at a High Level The asset allocation as of June 3, 217 shows a significant increase in the liquidity component (+.72% to 5.5%). After four quarters with a rising allocation, swiss equities (.9% to 13.69%) as well as foreign equities (.34% to 18.19%) showed a fall again for the first time. The Swiss franc bonds component continued its downward trend, falling below 24% for the first time to 23.93%. With a further slight increase, the real estate component (+.8% to 23.14%) remains at a high level. Chart 4: 1 9 8 7 6 5 4 3 2 1 Liquidity CHF bonds Foreign currency bonds Swiss equities Maximum 3rd quartile Median 1st quartile Minimum Foreign equities Alternative investments Real estate Mortgages Scale: in percent (%) Chart 3: 1 9 8 7 6 5 4 3 2 1 Liquidity 4.71 4.74 4.88 5.5 4.66 4.88 4.33 5.5 CHF bonds 25.91 25.44 25.85 25.86 25.5 24.29 24.5 23.93 Foreign currency bonds 7.82 7.59 7.37 7.34 7.51 7.7 6.92 7. Swiss equities 13.2 13.75 12.9 12.99 13.17 13.31 13.78 13.69 Foreign equities 16.85 17.3 17.32 16.94 17.55 18.2 18.53 18.19 Alternative investments 5.93 5.59 5.64 5.77 5.88 6.16 6.15 6.15 Real estate 22.15 22.37 23.5 22.92 23. 23. 23.6 23.14 Mortgages 2.1 2.1 2.5 2.8 2.12 2.7 2.1 2.12 Other 1.42 1.22.95 1.6 1.5 1.2 1.6.73 Scale: in percent (%) Credit Suisse Swiss Pension Fund Index 6
Increase in Direct Investments in Real Estate As in the previous quarter, there was another increase in direct real estate investments within the real estate asset class; these increased slightly, both in Switzerland (+.7% to 9.7%) and abroad (+.2% to.34%). In the case of indirect real estate investments only the foreign share showed an increase (+.1% to.97%), while the proportion of indirect investments in Switzerland was further reduced (.2% to 12.13%). Chart 5: 25 2 15 1 Foreign real estate. indirect Foreign real estate. direct Swiss real estate. indirect Swiss real estate. direct 1.2.98 1.1 1.34.93.84.96.97.2.26.28.28.29.31.32.34 11.82 12.1 12.42 11.88 12.37 12.31 12.15 12.13 9.11 9.3 9.34 9.42 9.41 9.54 9.63 9.7 5 Scale: in percent (%) Credit Suisse Swiss Pension Fund Index 7
Increase in Hedge Funds Component, While Commodities Component Declines The alternative investments component showed only a minimal increase compared with the previous quarter (+.1% to 6.15%). Within alternative investments, there was an increase in the hedge funds component (+.1% to 2.85%) and a marginal increase in the private equity component (+.2% to 1.3%). On the other hand, the commodities component declined slightly (.1% to 2.28%). Chart 6: 6 5 4 3 Commodities 2.29 2.33 2.1 2.16 2.13 2.15 2.38 2.28 Private equity.93.64.94.91.93 1. 1.1 1.3 Hedge funds 2.7 2.62 2.6 2.69 2.83 3.1 2.75 2.85 Scale: in percent (%) 2 1 Modified Duration The modified duration increased to 6.7 in April 217, before falling again in the following two months to reach a level of 6.1 as of the end of June 217. Table 3a: Modified Duration 1 Jan. 1, 217 Jun. 3, 217 Credit Suisse Swiss Pension Fund Index > CHF 1 bn CHF 5 mn 1 bn CHF 15 5 mn < CHF 15 mn Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. Oct. Nov. Dec. 5.98 6.1 6.5 6.7 6.2 6.1 6.3 6.8 6.14 6.11 6.9 6.9 6.42 6.62 6.65 6.79 6.61 6.56 5.96 5.96 6.4 6.6 5.98 5.95 5.87 5.86 5.87 5.88 5.88 5.9 Note: The modified duration indicates the direct sensitivity of the bond price (in percentage terms) to a 1% change in the market interest rate. Only direct bond investments are used in calculating the modified duration; collective investments are excluded. Credit Suisse Swiss Pension Fund Index 8
Currency Allocation Increased Swiss Franc Component The currency allocation in the second quarter of 217 showed an increase in the CHF component to 76.68% (+.51%) after decreases in the preceding quarters. A slight increase can be seen in the JPY (+.3 percentage points to.47%), GBP (+.2 percentage points to.46%), and EUR components (+.1% to 3.34%). A decrease can be seen in the USD (.28% to 6.92%) and Other components (.3% to.47%). Chart 7: 1 9 8 7 6 5 4 3 2 1 Q3 15 Q4 15 Q1 16 Q2 16 Q3 16 Q416 Q1 17 Q2 17 CHF 77.41 78.63 76.42 76.47 75.62 76.38 76.17 76.68 EUR 3.85 3.68 3.59 3.46 3.33 3.23 3.33 3.34 USD 7.39 7.37 7.1 7.4 7.3 7.6 7.2 6.92 GBP.46.45.49.45.41.43.44.46 JPY.54.57.51.47.54.52.44.47 Other 1.35 9.3 11.88 12.11 13.6 12.39 12.42 12.12 Scale: in percent (%) Credit Suisse Swiss Pension Fund Index 9
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CREDIT SUISSE (Switzerland) Ltd. Global Custody Solutions Uetlibergstrasse 231 CH-845 Zurich +41 44 335 75 47 global.custody@credit-suisse.com www.credit-suisse.com/globalcustody Important Note The Credit Suisse Swiss Pension Fund Index is calculated on the basis of the stated performance of the Swiss pension funds whose assets are held at Credit Suisse under a global custody arrangement. Asset management and advisory tasks, however, are performed by the pension funds themselves or by third parties. In its role as global custodian, Credit Suisse has no influence on the performance of individual pension funds. As a leading provider of global custodian services, Credit Suisse is able to prepare broadly-based and representative analyses of the Swiss pension fund business. At system level, the data provides a very up-to-date picture of current investment activities relating to second-pillar assets, since second-pillar pension funds (excluding institutions with complete coverage) manage around 8 percent of all such assets. When interpreting these figures, it must be kept in mind that the Credit Suisse Swiss Pension Fund Index is not an artificially constructed performance index but an index based on actual pension fund data. Consequently, the index is alive, which significantly increases its informative value regarding the current investment behavior of Swiss pension funds. On the other hand, the fact that it is constantly revised limits the comparability of data over time. The index is nevertheless an up-to-date indicator, especially as highly accurate pension fund data remains difficult to obtain. SNCS 2 7.217