Stress Test Data Framework Dictionary 2017: Version 02

Pensions_parameters

This worksheet captures how current market conditions at the Reporting Date would be translated into the key assumptions (when expressed as a single equivalent rate) in the trustees’ funding basis. It also asks for the cost of accrual (expressed as a percentage of pensionable payroll) on both the IAS19 and trustees' funding bases.

201702 PensionsRisk

Order Field Name Enumeration Definition
1 Pension scheme The name of a defined benefit pension scheme.
2 Cost of accrual IAS basis The cost of accruing benefits in the scheme on an IAS basis, expressed as an average proportion of pensionable pay. When multiplied by the pensionable payroll for the year, this should provide an estimate of the service cost for the coming year. In line with the typical convention for accounting statements, this should be expressed as the cost to the company (i.e. not including member contributions).
3 Discount rate funding basis The discount rate used to calculate values on the 'Pensions_funding' tab, based on the statement of funding principles and market conditions at the valuation date. If the trustees use separate ‘pre’ and ‘post’ discount rates, or a full yield curve approach, please estimate a single representative rate. The main use is for the PRA to estimate the margin over gilts in the trustees’ discount rate.
4 RPI inflation funding basis The assumed rate of future inflation (measured according to the retail price index (RPI)) used to calculate the values on the 'Pensions_funding' tab. If the trustees use an inflation yield curve approach, please estimate a single representative rate.
5 CPI Inflation funding basis The assumed rate of future inflation (measured according to the consumer price index (CPI)) used to calculate figures for liability values on the 'Pensions_funding' tab.
6 Cost of accrual funding basis The estimated total cost of accrual for the scheme on the funding basis at the reporting date, expressed as a proportion of the pensionable payroll. In line with the typical convention for trustees’ valuations, this should be expressed as the cost including member contributions.