In November 2014 the Financial Reports of Pension Schemes: A Statement of Recommended Practice (2015) was issued.
This SORP is applied for all pension scheme years commencing on or after 1 January 2015 or earlier if a scheme adopts FRS 102.
The main changes due to SORP 2015
Annuity policies held by the trustees now need to be reported at the value of the related obligations. Previously these could be included at £nil value. This change applies to both defined benefit and defined contribution schemes.
Under FRS 102 investments need to be shown at fair value and it sets out a fair value hierarchy. This is extended by the SORP (2015) to all scheme investments.
Investment risks now require to be disclosed. The nature and extent of credit and market risks in relation to financial instruments and the risk management practices in relation to these risks need to be disclosed. These disclosures should be made for all scheme investments and put in the context of the trustees’ investment strategy.
The Pension Scheme SORP 2015 recommends disclosure of direct transaction costs by type and by main asset class.
Additional disclosures are to be included in a report alongside the financial statements setting out the value of actuarial liabilities and the assumptions and methods used for the calculation of actuarial liabilities. This can be based on the latest scheme funding valuation. There does not need to be a valuation as at the scheme year end for the purpose of the annual report. However, liabilities covered by annuities will need to be included within the report as mentioned above in point 1.