Assets are managed to cover pension liabilities

The starting point for SPK’s asset management is the pension liabilities. The overall objective with the asset management is to always have enough assets to cover the liabilities, both in the short and in the long term.

Pension commitment is assigned a market value

According to regulations, pension commitments should be assigned a market value which is derived by calculating the present value of net future pension commitments based on a model specified by the Swedish Financial Supervisory Authority. The daily variation in this value can be large, depending on the daily changes in the interest rates. The underlying insurance population is in this context very stable.

The collective funding ratio is an important key number

Collective funding ratio refers to the market value of the assets in relation to the pension liabilities and is usually presented as a percentage. As long as the collective funding ratio is larger than 100% we have enough assets to cover the liabilities. The bottom chart shows how SPK’s assets, liabilities and collective funding ratio have developed during the last 12-month period.

Assets, TP och Collective funding ratio

Normally assets are managed with a long-term perspective

Since the average net pension payment period is very long, management of assets should also have a long term perspective. But securing long-term persistence requires short-term survival and the daily variations in market values of assets and liabilities therefore require short term risk considerations as well. SPK has developed an award winning and well defined risk management action plan based on the size of the capital buffer which clearly indicates when focus temporarily should be on short term risk reduction measures.

Long term asset allocation strategy

In determining the long term strategy, the portfolio’s normal risk level is chosen with consideration of SPK’s long-term need for asset return. However, if the capital is adversely affected to such an extent that solvency is deemed to be in jeopardy, then capital protection is prioritized in the short run. Actual asset return is subsequently controlled for adequacy in relation to the long-term need. If deemed not be adequate, this could lead to a reassessment of the investment strategy or increased contributions from employers. The long-term need for asset return does not constitute an upper limit for SPK’s ambitions. Within the risk limits given, SPK should work for achieving the best possible long term return in addition to the long term need if opportunities arise.

SPK has decided to use the following long term asset allocation strategy:


The actual asset allocation can temporarily deviate from the above strategy depending on market movements (within certain limits) or as a result of risk reduction measures in accordance with our internal action plan for solvency protection.