Stress Test Data Framework Dictionary 2021: Version 02

Currency_hedge

This worksheet captures the currency hedge ratios for each of your pension schemes by currency as at the balance sheet date. Currency hedge ratios should be calculated based on the currency in which liabilities are denominated, Please include details of any other approach in the Basis of preparation. Pension schemes reported on should correspond with your FSA081 form. Please explain any assumptions or simplifications that you have made in producing these data in the Basis of preparation. Please enter hedge ratio percentages as decimals (e.g. 50% should be entered as 0.5).

202101 Pensioncurrencyhedge

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Pension scheme String (255 long) PensionScheme Yes Yes
2 Currency in which liabilities are denominated String (255 long) Currencyofpensionliabilities Currencyofpensionliabilities Yes Yes
3 GBP hedge ratio Float GBPhedgeratio - -
4 USD hedge ratio Float USDhedgeratio - -
5 EUR hedge ratio Float EURhedgeratio - -
6 Other currency hedge ratio Float Othercurrencyhedgeratio - -