Q & A Database

The GIPS Standards Q&A database contains questions and answers (Q&As) on various searchable topics that provide additional interpretation on an issue. Q&As are considered to be authoritative guidance and must be followed in order to claim compliance with the GIPS standards.

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  • Current

    Effective: 13 May, 2026
    Categories: Benchmarks
    Source: GIPS Standards FMP Technical Committee

    Could you confirm that when calculating the hedge ratio-adjusted benchmark for the portion where hedging is allowed, whether the calculation should be based on a “gilts flat” liability basis (i.e., excluding any discount margin)?

    When calculating the hedge ratio–adjusted benchmark for the portion of liabilities where hedging is permitted, the GIPS Standards for Fiduciary Management Providers require using a “gilts flat” liability basis—excluding any discount margin above gilts or swaps. As outlined in Provisions 32.A.24, 32.A.28, and 32.A.29 of the GIPS Standards for Fiduciary Management Providers Handbook, benchmarks must reflect the shape of the liabilities using either full liability cash flows, a gilts/swap-based proxy, or a gilt of similar duration, and must not include any margin (e.g., gilts + 0.5%). The hedge ratio–adjusted benchmark is an adjusted version of this liability benchmark, incorporating full liabilities for the hedged portion and cash for the unhedged portion, and must also exclude any margin.