1. Investment return
a. Realised return:
- Versus required return of Liability Proxy +1.8%
- Versus 30 year best-estimate VIS expected returns relative to Liability Proxy
b. Funding measures:
- Probability of TP full-funding (by 2032) (KRI)
- Evolution of TP funding
- Evolution of SS funding
2. Investment risk
a. Deficit risk:
- Probability of actual reliance being greater than affordable risk capacity in 3 years’ time
- Self-sufficiency hedge ratios
- Asset liability volatility and VaR95
b. Other liability hedging attributes:
- The allocation to assets with sensitivity to long-term inflation Effectiveness of hedging (ex-post)
3. Active management
a. Asset allocation:
- Implemented Portfolio return versus market comparators within risk tolerance
b. Public markets:
- Aggregate alpha
- Aggregate ex-post information ratio of internal and external actively managed mandates
- USSIM assessments informed by mandate balanced scorecards
c. Private markets:
- Aggregate alpha
- USSIM assessments informed by mandate balanced scorecards
4. Portfolio Resilience
a. Liquidity (KRIs):
- Cash adequacy over a 1 week horizon
- Collateral adequacy over a 3 month horizon
- Ability to replenish collateral over a 6 month period
b. Counterparty risk (KRI):
- Probability of losing 0.5% of Scheme NAV from any single counterparty default in a 12 month period (assuming a 50% loss given default)
5. Responsibility investment
a. Climate risk management:
- USSIM assessment against its objectives/KPIs
- An assessment by the Risk team of how USSIM is delivering vs the Trustee’s net zero ambition (KRI)
- An assessment by the Risk team of how USSIM is delivering on managing physical risk (KRI)
b. ESG integration:
- USSIM assessment against its objectives/KPIs
- An assessment by the Risk team of how USSIM is integrating ESG factors (including reporting and stewardship) (KRI)
6. Advice and support
a. USSIM advice:
- The IC survey helps to assess the performance of USSIM’s advisory capabilities
- A qualitative assessment by the IC based on the advice delivered throughout the year
b. Support provided by USSIM:
- Support to USS non-executive bodies and other stakeholders delivered through the year