The Pensions Regulator (TPR) has added new questions to its 2014 scheme return forms in respect of three areas for DB and hybrid schemes: surplus; value-at-risk calculations; and asset-backed contribution arrangements (ABCs).

TPR’s new questions relate to the following:

  • Surplus. Reflecting the fact that some DB or hybrid schemes have moved into surplus in recent years, TPR is now asking for information about the financial assumptions used to calculate technical provisions for schemes which have declared a surplus as at their most recent valuation date under Part 3 of the Pensions Act 2004. Schemes will need to confirm the discount rates used (and discount rate structure), as well as the assumptions used regarding salary increases and inflation.
  • Value-at-risk (VaR) calculations. To improve its understanding of the risk characteristics of the overall DB landscape, TPR is seeking details of VaR calculations undertaken by the scheme actuary at the most recent valuation date. A VaR calculation is an estimate of the additional deficit that may arise in a scheme over a period of time, expressed in conjunction with a specified level of probability that this will occur.
  • Asset-backed contribution arrangements. TPR now asks for information about the structure, valuation and terms of any ABC arrangement entered into by a DB or hybrid scheme. The information required includes the net present value of the ABC arrangement at the most recent valuation date, details of how the scheme's interest in the ABC arrangement has been funded and confirmation of the type of assets underpinning the ABC structure.

Further information about the additional questions is contained in a new checklist published alongside anexample form of scheme return for 2014.