Liability hedging

Overview

It is not mandatory to provide the PV01 and IE01 calculations. We are asking that, if schemes calculate, commission and are provided these figures for the scheme, they provide these to the regulator. If a scheme does not currently commission these figures then it is not a requirement for the scheme to do so.

If you are unsure of whether or not your scheme currently calculates or commissions (and has available) PV01 or IE01 then the trustees should speak with their investment consultant or scheme actuary.

For note, “PV01” can be calculated for a scheme to illustrate the sensitivity of the total scheme assets or liabilities to a one basis point (or 0.01 per cent) change in interest rates (spot curve if available; otherwise, par curve). Some schemes may be provided these figures by their investment advisors as part of the quarterly update or annual update.

“IE01” can be calculated for a scheme to illustrate the sensitivity of the total scheme assets or liabilities to a one basis point (or 0.01 per cent) change in inflation. Some schemes may be provided these figures by their investment advisors as part of the quarterly update or annual update.

Please provide the PV01 and IE01 based on the same calculation date and same asset value. In addition, the PV01 and IE01 for the assets should be provided at the same calculation date as the PV01 and IE01 for the liabilities.

Does your investment consultant calculate, and have they provided the trustees with, the PV01 and IE01 for the scheme assets? *

If you are unsure of whether or not your scheme currently calculates or commissions (and has available) PV01 or IE01 then the trustees should speak with their investment consultant or scheme actuary.

For note, “PV01” of a portfolio of assets is the sensitivity of the total scheme assets to a one basis point (or 0.01 per cent) change in interest rates (spot curve if available; otherwise, par curve). Some schemes may be provided these figures by their investment advisors as part of the quarterly update or annual update.

“IE01” of a portfolio of assets is the sensitivity of the total scheme assets to a one basis point (or 0.01 per cent) change in inflation. Some schemes may be provided these figures by their investment advisors as part of the quarterly update or annual update.

Effective date of PV01 and/or IE01 asset calculations

Please provide PV01 and IE01 as at the most recent valuation date under Part 3 of the Pensions Act 2004 (this is the date of your most recent triennial actuarial valuation) where possible. If this is not available, the most recently available value should be input.

What is the PV01 change in asset value (based on total scheme assets)?

Please provide the PV01 in £ amount as at the most recent valuation date under Part 3 of the Pensions Act 2004 (where possible). If the information is not available as at this date, then please provide the most recently available information.

“PV01” of a portfolio of assets is the sensitivity of the total scheme assets to a one basis point (or 0.01 per cent) change in interest rates (spot curve if available; otherwise, par curve). Some schemes may be provided these figures by their investment advisors as part of the quarterly update or annual update.

If you are unsure of whether or not your scheme currently calculates or commissions (and has available) PV01 then the trustees should speak with their investment consultant or scheme actuary.

What is the IE01 change in asset value (based on total scheme assets)?

Please provide the IE01 in £ amount as at the most recent valuation date under Part 3 of the Pensions Act 2004 (where possible). If the information is not available as at this date, then please provide the most recently available information.

If you are unsure of whether or not your scheme currently calculates or commissions (and has available) IE01 then the trustees should speak with their investment consultant or scheme actuary.

What are the total scheme assets which were used to calculate the PV01 and/or IE01?

Please provide the total scheme assets in £ which you used to calculate the PV01 and IE01 figures provided.

Does your investment consultant calculate, and have they provided the trustees with, the PV01 and IE01 for the scheme liabilities? *

If the scheme commissions and has available the calculation of PV01 and IE01 figures then please answer the question as “yes”. If the scheme does not calculate these figures or they are not available then please answer the question as “no”.
If you are unsure of whether or not your scheme currently calculates or commissions (and has available) PV01 or IE01 then the trustees should speak with their investment consultant or scheme actuary.
“PV01” of a scheme’s liabilities is the sensitivity of the total scheme liabilities (on a chosen basis) to a one basis point (or 0.01 per cent) change in interest rates (spot curve if available; otherwise, par curve).

“IE01” of a scheme’s liabilities is the sensitivity of the total scheme liabilities (on a chosen basis) to a one basis point (or 0.01 per cent) change in inflation.

Some schemes may be provided these figures by their investment advisors/scheme actuary as part of a quarterly update or annual update.

Please provide the PV01 and IE01 based on the same calculation date and same liability value. In addition, the PV01 and IE01 for the liabilities should be provided at the same calculation date as the PV01 and IE01 for the assets.

Effective date of PV01 and/or IE01 liability calculations

What is the PV01 change in scheme liability value (based on total scheme liabilities)?

Please provide the PV01 in £ amount as at the most recent valuation date under Part 3 of the Pensions Act 2004 (where possible). If this is not available, the most recently available value should be input.

“PV01” of a scheme’s liabilities is the sensitivity of the total scheme liabilities (on a chosen basis) to a one basis point (or 0.01 per cent) change in interest rates (spot curve if available; otherwise, par curve). Some schemes may be provided these figures by their investment advisors/scheme actuary as part of a quarterly update or annual update.

If you are unsure of whether or not your scheme currently calculates or commissions (and has available) PV01 then the trustees should speak with their investment consultant or scheme actuary.

What is the IE01 change in scheme liability value (based on total scheme liabilities)?

Please provide the IE01 in £ amount as at the most recent valuation date under Part 3 of the Pensions Act 2004 (where possible). If this is not available, the most recently available value should be input.

“IE01” of a scheme’s liabilities is the sensitivity of the total scheme liabilities (on a chosen basis) to a one basis point (or 0.01 per cent) change in inflation. Some schemes may be provided these figures by their investment advisors/scheme actuary as part of a quarterly update or annual update.

If you are unsure of whether or not your scheme currently calculates or commissions (and has available) IE01 then the trustees should speak with their investment consultant or scheme actuary.

What is the total scheme liability figure used to calculate the PV01 and/or IE01?

Please provide the total scheme liability data in £ which you used to calculate the PV01 and IE01 figures provided.

Please provide the liability basis used to calculate PV01 and/or IE01?

Please select the liability basis on which the PV01/IE01 has been calculated. Where none of the options are relevant, then please select “other”.