FOI reference - FOI-24
Date - 13 July 2022
Request
I am interested to understand the proportion of the private sector defined benefit (DB) system liabilities for which liability-driven investment has been deployed but understand that this is not a simple question as any asset could arguably be counted as a hedge (with its hedging value subsequently debatable). If there are resources available online in this area could you point me to them?
More specifically, if you were able to release the following data I would be most grateful:
- the total value of scheme liabilities that have been liability-hedged using instruments that are not bonds
- the average duration of bonds in the private sector DB asset mix
- any splits of the above by scheme (size, status as active, CTNA, etc)
Response
Following a search of our paper and electronic records, I have established that we do not hold the information at a sufficient level of coverage to be able to answer the question.
The Pensions Regulator recently consulted on collecting asset information from defined benefit schemes. We did consider requesting further information around hedging as part of this consultation. However, given the varying bases on which hedging could be reported back to us, we considered that the risk of reporting inaccurate information outweighed the benefit of collecting it. For this reason, the Purple Book remains the key source of data on assets and runs off the scheme return data on asset allocation.