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Pensions_assets
This worksheet asks for a breakdown for each of the material schemes identified into the given asset categories, at the start date (Year 0) and each projection point. The categories are exhaustive and exclusive so that they sum to the amount given in the ‘Pensions balance sheet’ tab. The purpose of the sheet is to allow the PRA to perform reasonableness tests on how the assets move given the representative asset returns in the relevant scenario. If a firm has assets which do not appear to fit into the categorisation, then they should choose what they consider the best proxy, and explain this in the unstructured data request.
It is permissible (but not obligatory) to allow for periodic rebalancing of the assets in the period of the projection – for example, annual rebalancing in line with the scheme’s strategic asset allocation. Where firms do this, in the ‘Pensions assets’ tab, please reflect the asset split immediately before rather than immediately after any rebalancing modelled.