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Scheme funding analysis 2019: Annex

Valuations and recovery plans of UK defined benefit (DB) and hybrid pension schemes.

Data coverage

The data contained in this statistical release were submitted by schemes to The Pensions Regulator (TPR) in recovery plans and scheme returns.

The data set builds on previous releases and includes Tranche 12 RPs received up to 31 January 2019. It also includes data on schemes in surplus for all tranches.

The majority of Cycle 4 plans (Tranches 10, 11 and 12) and Cycle 3 plans (Tranches 7, 8 and 9) are fourth and third valuations respectively under the scheme funding regime. However, Tranches 3, 6, 9 and 12 (1, 4, 7 and 10 and so on) do not constitute a perfect cohort. There are a few reasons why this may be the case, including the following:

Some schemes have had their most recent valuation less than three years since their previous valuation

  • where a scheme’s assets were less than its technical provisions (TPs) in Tranche 9 but exceeded its TPs for its Tranche 12 valuation in Cycle 4 (in “surplus” under its Tranche 11 valuation in Cycle 4)
  • where a scheme has wound up or is in the process of winding up
  • where a scheme has transferred to the Pension Protection Fund (PPF)
  • base data vary slightly in different sections as a result of data coverage, validation, and cleaning

The data count all memberships in schemes with a promise to a pension. As some individuals may have a number of pension entitlements spread over a number of schemes, they may be included more than once in the total memberships under consideration.

The summaries on mortality assumptions are based on current male pensioners aged 65 only, unless otherwise stated.

Methodology

Weighted averages are weighted by TPs.

Owing to the scheme-specific nature of the data, individual data points cannot be presented in some instances. As such, data distributions start and end at the 5th and 95th percentiles respectively, and in some instances group ranges have been broadened to include figures comprising fewer than 10 observations.

Figure totals may reflect rounding.

Maturity is measured as the ratio of pensioner TPs to total TPs.

The discount rate assumption is reported in one of two formats:

  • a single investment return
  • different investment returns for pre-retirement and post-retirement benefits

For the purposes of comparison, in instances where different rates have been reported, a single equivalent rate (SEDR) is calculated. This is based on the single rate or, where a different rates approach has been adopted, constructed from both the pre- and post-retirement rates. This is calculated using the following equation of value:

(ActiveLiabilities)×(1+Pre−retirementDiscountRate ) ActivePre−retirementDuration ×(1+Post−retirementDiscountRate ) ActivePost−retirementDuration +(DeferredLiabilities)×(1+Pre−retirementDiscountRate ) DeferredPre−retirementDuration ×(1+Post−retirementDiscountRate ) DeferredPost−retirementDuration +(PensionerLiabilities)×(1+PensionerDiscountRate ) PensionerDuration =(TotalLiabilities)×(1+SEDR ) TotalDuration

The duration parameters used in the above formula are estimated on a scheme by scheme basis, using data provided to us in the annual scheme return and valuation returns. Using the above formula the SEDR has been calculated for all schemes (tranches 1-7: schemes in deficit only, tranches 8-12: all schemes), and as such historical positions will differ to earlier publications.

Average annual deficit repair contributions (DRCs) summarised in Table 3.4 are calculated as the average of DRCs over the first four years of the RP.

The outperformance of the SEDR is calculated using different 20-year gilts (nominal and real) to previous editions. As a result, the levels of outperformance assumed will differ to those shown in previous reports. The differences may be inconsistent across tranches because the relationship between the Bank of England 20-year nominal government spot rate and FTSE index 20 year conventional gilt (used previously) varies at different dates.

Covenant Groups (1-4) are assigned at the point of initial RP reviews to facilitate prioritisation. These grades may vary to the view taken during case-level intervention, where a wider range of information is taken into account. They are defined as:

  • Covenant Group 1 - strong
  • Covenant Group 2 - tending to strong
  • Covenant Group 3 - tending to weak
  • Covenant Group 4 - weak

Covenant assessments are not usually undertaken for schemes in surplus.

‘Return-seeking assets’ as a proportion of total assets held comprise the sum of:

  • 100% of a scheme’s allocation to equities
  • 75% of property
  • 100% of commodities
  • 60% of Insurance policies
  • 80% of hedge funds
  • 25% of corporate bonds
  • 100% of assets held in the ‘other’ category

The PPF stressed asset ratio used in this report refers to: the ratio of the stressed value of assets to the (unstressed) market value of assets. For the purposes of this report the stressed value of assets is calculated for all schemes using the standard approach, but where the results of a bespoke stress have been submitted these have been instead used. The methodology for both the standard stress test is consistent with the methodology published in the relevant levy year.

Employer Industry Classification and Geographical Area as used in the Life Expectancy section have been derived using the:

  • SIC code, and
  • Registered Trading Address post code of the largest sponsoring employer by number of DB members to each scheme

Schemes in the data set

Table 1.1 Numbers of valuations analysed by cycle and tranche (schemes in surplus and deficit, all tranches)

Cycle Tranche Valuation Period Number of RPs analysed Number of surplus valuations analysed
1 1 22 September 2005 to 21 September 2006 2,127 435
1 2 22 September 2006 to 21 September 2007 1,888 463
1 3 22 September 2007 to 21 September 2008 1,840 422
2 4 22 September 2008 to 21 September 2009 2,048 156
2 5 22 September 2009 to 21 September 2010 1,937 252
2 6 22 September 2010 to 21 September 2011 1,652 445
3 7 22 September 2011 to 21 September 2012 1,770 221
3 8 22 September 2012 to 21 September 2013 1,726 271
3 9 22 September 2013 to 21 September 2014 1,530 482
4 10 22 September 2014 to 21 September 2015 1,403 432
4 11 22 September 2015 to 21 September 2016 1,462 358
4 12 22 September 2016 to 21 September 2017 1,452 430

This data set comprises schemes that have submitted recovery plans (that is, schemes in deficit on the TPs funding basis as at their valuation date) as well schemes in surplus. By 31 January 2019, TPR had received 1,452 RPs and 430 valuations in respect of schemes reporting a surplus.

77.6% of schemes with Tranche 12 valuations, reported valuations in respect of Tranche 9, Tranche 6 and Tranche 3.

Table 1.2a Concentration by scheme characteristics (schemes in surplus and deficit)

 

Percentage of schemes (%))
Tranche
3 6 9 12 10 11 12
Size by number of members
Fewer than 100 members 34.1 36.5 35.1 36.0 34.5 36.1 36.0
100 to fewer than 500 members 34.1 34.7 34.8 35.3 31.7 33.8 35.3
500 to fewer than 1,000 members 12.0 9.9 10.1 9.5 11.7 10.3 9.5
1,000 to fewer than 5,000 members 13.7 13.2 13.8 13.5 14.1 12.9 13.5
5,000 members or more 6.2 5.6 6.0 5.7 8.0 6.9 5.7
Size by TPs
Less than £5m 28.4 26.0 21.3 18.4 21.7 21.4 18.4
£5m to less than £20m 29.8 29.2 29.0 26.4 23.1 26.0 26.4
£20m to less than £100m 26.4 26.5 28.5 29.8 28.2 28.1 29.8
£100m to less than £300m 8.7 10.9 12.2 13.6 14.3 11.7 13.6
£300m or greater 6.7 7.3 9.1 11.8 12.6 12.7 11.8
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 40.5 30.5 25.1 21.7 26.9 24.2 21.7
25% to less than 50% 42.1 45.7 44.3 45.4 42.4 44.1 45.4
50% to less than 75% 15.3 20.7 26.7 28.0 26.7 27.0 28.0
75% or greater 2.1 3.2 3.9 4.9 4.0 4.7 4.9
TPs for active members
TPs reported for active members 71.5 61.0 52.7 42.4 45.7 43.5 42.4
TPs not reported for active members 28.5 39.0 47.3 57.6 54.3 56.5 57.6
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 16.7 11.3 11.4 11.4 11.3
Covenant group 2 (Tending to Strong) NA NA 38.2 45.6 46.8 47.8 45.6
Covenant group 3 (Tending to Weak) NA NA 21.8 29.0 28.1 27.3 29.0
Covenant group 4 (Weak) NA NA 23.3 14.2 13.6 13.4 14.2
RP length (schemes in deficit only)
Fewer than 5 years 25.1 32.7 34.4 39.7 38.9 34.1 39.7
5 to fewer than 7.5 years 15.1 19.6 19.4 20.0 20.5 19.4 20.0
7.5 to fewer than 10 years 38.0 23.0 19.0 19.5 15.1 21.3 19.5
10 years or more 21.9 24.7 27.2 20.7 25.6 25.3 20.7
Return seeking assets
Less than 20% 4.5 5.3 5.5 13.2 8.4 14.5 13.2
20% to less than 40% 6.6 12.8 12.1 23.9 16.8 21.6 23.9
40% to less than 60% 25.3 31.3 35.7 38.7 36.6 37.1 38.7
60% to less than 80% 45.7 40.5 39.1 20.7 31.8 22.3 20.7
80% or greater 17.9 10.1 7.6 3.5 6.3 4.5 3.5
Presence of contingent assets
No contingent asset NA 82.0 83.3 82.7 81.8 81.1 82.7
At least one contingent asset NA 18.0 16.7 17.3 18.2 18.9 17.3
Funding level (TPs)
Less than 70% 14.1 11.7 9.8 12.4 11.1 13.0 12.4
70% to less than 80% 21.1 17.8 14.6 14.9 15.5 17.0 14.9
80% to less than 90% 25.1 25.5 24.2 23.6 24.9 26.5 23.6
90% to less than 100% 21.2 23.8 27.5 26.2 25.0 23.9 26.2
100% or greater 18.5 21.2 24.0 22.9 23.5 19.7 22.9
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 23.8 8.1 19.5 17.3 8.1
90% to less than 95% NA NA 36.9 20.5 29.1 27.6 20.5
95% to less than 100% NA NA 23.0 29.5 26.3 25.7 29.5
100% to less than 105% NA NA 8.6 22.0 13.4 16.2 22.0
105% or greater NA NA 7.7 19.9 11.6 13.2 19.9
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 23.6 8.2 19.0 17.3 8.2
90% to less than 95% NA NA 34.8 19.2 27.6 26.0 19.2
95% to less than 100% NA NA 22.4 26.5 24.0 22.0 26.5
100% to less than 105% NA NA 10.6 21.1 14.7 15.9 21.1
105% or greater NA NA 8.6 25.1 14.7 18.9 25.1

Table 1.2b Distribution of members and liabilities across covenant groups (schemes in deficit only)

Tranches 10, 11 and 12
Covenant Groups (schemes in deficit only) Members (%) Assets for Part 3 (TPs) valuation (%) Technical provisions (TPs) (%) Buyout liabilities (%) s179 liabilities (%)
Covenant group 1 (Strong) 16.6 20.8 20.5 20.1 20.1
Covenant group 2 (Tending to Strong) 47.7 47.7 47.0 47.4 48.1
Covenant group 3 (Tending to Weak) 25.7 26.8 27.4 27.3 26.8
Covenant group 4 (Weak) 10.0 4.7 5.0 4.9 5.0

Coverage = approximately 88.9% of schemes in deficit for Tranches 10, 11 and 12 combined.

Covenant Groups (1-4) are assigned at the point of initial RP reviews to facilitate prioritisation. These grades may vary to the view taken during case-level intervention, where a wider range of information is taken into account. They are defined as: Covenant Group 1 - strong; 2 - tending to strong; 3 - tending to weak; 4 - weak. Covenant assessments are not usually undertaken for schemes in surplus.

Table 1.2c Distribution of schemes and memberships across TPs funding levels (schemes in surplus and deficit, Tranches 10, 11 and 12)

Funding level (TPs) Schemes (%) Members (%)
Less than 50% 1.5 0.4
50% to less than 60% 3.1 0.8
60% to less than 70% 7.5 2.7
70% to less than 80% 15.8 9.0
80% to less than 90% 25.0 37.5
90% to less than 100% 25.1 29.9
100% to less than 110% 14.5 15.5
110% to less than 120% 4.4 2.7
120% or greater 3.1 1.5

Table 1.2d Concentration of memberships by scheme characteristics (schemes in surplus and deficit)

Percentage of memberships (%)
Tranche
3 6 9 12 10 11 12
Size by number of members
Fewer than 100 members 0.8 0.8 0.8 0.8 0.7 0.9 0.8
100 to fewer than 500 members 4.4 4.4 4.1 4.0 3.7 4.7 4.0
500 to fewer than 1,000 members 4.5 3.7 3.5 3.2 4.0 4.1 3.2
1,000 to fewer than 5,000 members 16.9 16.2 15.6 14.4 14.8 17.0 14.4
5,000 members or more 73.4 74.9 76.0 77.7 76.7 73.3 77.7
Size by TPs
Less than £5m 1.3 0.6 0.4 0.3 0.4 0.4 0.3
£5m to less than £20m 3.4 2.3 2.0 1.5 1.4 1.8 1.5
£20m to less than £100m 10.3 7.9 6.7 4.9 6.0 6.3 4.9
£100m to less than £300m 15.4 12.8 10.4 8.2 9.3 9.7 8.2
£300m or greater 69.5 76.3 80.4 85.1 82.9 81.7 85.1
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 20.2 5.9 13.6 5.0 19.7 7.9 5.0
25% to less than 50% 49.6 59.2 52.2 65.9 47.7 52.4 65.9
50% to less than 75% 27.5 32.9 32.3 28.2 31.9 37.0 28.2
75% or greater 2.7 2.1 1.9 0.9 0.7 2.7 0.9
TPs for active members
TPs reported for active members 93.9 88.2 82.7 70.6 68.5 66.6 70.6
TPs not reported for active members 6.1 11.8 17.3 29.4 31.5 33.4 29.4
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 36.8 17.9 14.9 19.9 17.9
Covenant group 2 (Tending to Strong) NA NA 40.9 53.3 42.3 45.1 53.3
Covenant group 3 (Tending to Weak) NA NA 15.8 23.4 24.1 29.6 23.4
Covenant group 4 (Weak) NA NA 6.4 5.3 18.7 5.4 5.3
RP length (schemes in deficit only)
Fewer than 5 years 25.7 16.6 17.5 18.4 19.7 18.4 18.4
5 to fewer than 7.5 years 18.1 21.4 17.6 20.7 22.2 22.8 20.7
7.5 to fewer than 10 years 31.7 29.8 24.9 32.8 30.8 25.7 32.8
10 years or more 24.4 32.3 40.0 28.1 27.3 33.1 28.1
Return seeking assets
Less than 20% 3.1 3.1 3.6 14.0 8.5 13.1 14.0
20% to less than 40% 7.3 14.7 14.1 35.6 24.3 39.0 35.6
40% to less than 60% 24.2 39.5 41.0 32.2 41.1 32.7 32.2
60% to less than 80% 50.5 38.4 40.0 18.0 21.0 14.7 18.0
80% or greater 15.0 4.3 1.3 0.3 5.0 0.6 0.3
Presence of contingent assets
No contingent asset NA 50.7 65.1 61.0 68.5 64.1 61.0
At least one contingent asset NA 49.3 34.9 39.0 31.5 35.9 39.0
Funding level (TPs)
Less than 70% 4.9 3.1 2.9 2.7 4.3 4.8 2.7
70% to less than 80% 18.6 17.7 15.7 5.5 12.1 9.8 5.5
80% to less than 90% 23.0 29.1 44.3 54.1 21.2 36.1 54.1
90% to less than 100% 26.9 39.0 22.8 17.3 40.6 32.9 17.3
100% or greater 26.6 11.1 14.3 20.3 21.8 16.4 20.3
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 15.1 1.4 9.3 3.7 1.4
90% to less than 95% NA NA 31.5 19.9 19.5 19.1 19.9
95% to less than 100% NA NA 33.5 33.5 36.6 28.5 33.5
100% to less than 105% NA NA 10.2 21.3 10.2 30.3 21.3
105% or greater NA NA 9.8 23.9 24.4 18.3 23.9
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 15.8 3.1 5.7 5.5 3.1
90% to less than 95% NA NA 28.1 17.8 14.9 14.9 17.8
95% to less than 100% NA NA 23.7 13.7 30.1 17.1 13.7
100% to less than 105% NA NA 18.3 18.3 15.5 18.4 18.3
105% or greater NA NA 14.1 47.2 33.8 44.0 47.2

Funding and other security arrangements

Table 2.1a Key average funding ratios (schemes in surplus and deficit)

Unweighted average (%)
Tranche
3 6 9 12 10 11 12
Ratio of assets to:
Technical provisions 81.3 82.3 89.4 88.5 88.6 87.0 88.5
s.179 liabilities 90.1 93.9 95.7 89.8 89.4 86.9 89.8
Buyout liabilities 60.4 58.7 63.8 61.0 61.0 60.3 61.0
Ratio of TPs to:
s.179 liabilities 110.7 109.7 102.5 97.1 96.9 95.8 97.1
Buyout liabilities 74.5 71.3 71.5 68.7 68.9 69.2 68.7

Table 2.1b Key weighted average funding ratios (schemes in surplus and deficit)

Weighted average (%)
Tranche
3 6 9 12 10 11 12
Ratio of assets to:
Technical provisions 83.9 86.7 89.2 90.3 90.9 89.0 90.3
s.179 liabilities 96.3 97.8 95.3 93.7 94.8 93.7 93.7
Buyout liabilities 66.8 62.7 64.1 64.0 64.1 62.4 64.0
Ratio of TPs to:
s.179 liabilities 114.8 114.4 109.9 104.7 106.4 106.8 104.7
Buyout liabilities 79.9 72.2 71.8 70.6 70.3 70.0 70.6

Weighted by TPs.

Table 2.2 Distribution of key funding ratios on various bases (schemes in surplus and deficit)

Ratio (%)
Tranche
3 6 9 12 10 11 12
Ratio of assets to TPs:
95th percentile 97.5 98.1 113.9 112.5 112.7 111.1 112.5
Upper quartile 90.4 91.3 99.0 98.9 98.4 97.1 98.9
Median 82.6 84.2 90.1 89.4 89.3 87.3 89.4
Lower quartile 74.2 75.5 80.1 78.6 79.0 77.7 78.6
5th percentile 60.3 61.1 62.5 60.2 62.7 60.1 60.2
Ratio of assets to s.179 liabilities:
95th percentile 127.0 131.9 141.5 136.6 133.6 130.3 136.6
Upper quartile 101.4 105.4 110.0 104.6 102.9 100.6 104.6
Median 88.4 91.6 93.6 87.1 86.3 84.1 87.1
Lower quartile 75.4 79.2 78.0 71.1 71.9 69.8 71.1
5th percentile 60.6 63.7 58.6 54.5 56.8 54.8 54.5
Ratio of assets to buyout liabilities:
95th percentile 84.0 78.4 91.6 92.2 88.9 89.4 92.2
Upper quartile 68.8 66.2 73.2 71.4 70.0 69.2 71.4
Median 59.0 58.7 62.4 59.3 59.4 58.1 59.3
Lower quartile 50.8 50.7 52.5 48.6 49.8 48.4 48.6
5th percentile 40.4 39.3 40.7 35.7 37.8 37.6 35.7
Ratio of TPs to s.179 liabilities:
95th percentile 154.1 152.6 146.8 140.5 138.2 139.3 140.5
Upper quartile 123.1 123.1 116.9 111.6 108.9 108.5 111.6
Median 108.4 107.9 101.8 95.9 95.9 94.2 95.9
Lower quartile 95.6 94.8 86.6 81.3 82.3 81.7 81.3
5th percentile 77.6 74.4 63.8 56.5 59.1 58.2 56.5
Ratio of TPs to buyout liabilities:
95th percentile 97.4 90.4 91.9 91.4 90.4 91.8 91.4
Upper quartile 83.3 78.2 78.7 77.2 75.6 76.7 77.2
Median 73.5 71.1 71.8 68.7 68.1 68.2 68.7
Lower quartile 65.0 63.6 64.0 60.0 61.4 60.8 60.0
5th percentile 54.1 52.8 52.0 46.9 50.3 50.4 46.9

Table 2.3a [Unweighted] Average ratio of assets to TPs by scheme characteristics (schemes in surplus and deficit)

Unweighted average (%)
Tranche
3 6 9 12 10 11 12
Size by number of members
Fewer than 100 members 85.9 88.5 90.1 89.2 90.5 89.5 89.2
100 to fewer than 500 members 85.9 87.2 89.0 87.9 87.2 85.2 87.9
500 to fewer than 1,000 members 85.7 87.8 88.1 86.8 89.0 85.9 86.8
1,000 to fewer than 5,000 members 86.8 88.6 89.6 89.3 88.9 86.8 89.3
5,000 members or more 90.1 90.1 91.4 92.4 88.7 88.5 92.4
Size by TPs
Less than £5m 86.6 90.1 91.6 90.1 90.5 92.1 90.1
£5m to less than £20m 84.9 86.3 87.6 87.4 88.8 86.0 87.4
£20m to less than £100m 86.0 88.2 89.8 88.4 88.4 84.6 88.4
£100m to less than £300m 89.1 88.8 89.5 88.9 87.9 86.9 88.9
£300m or greater 88.4 88.1 90.5 90.2 89.0 87.9 90.2
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 84.1 88.1 90.2 85.8 90.1 87.8 85.8
25% to less than 50% 86.1 87.4 88.4 88.1 87.1 85.6 88.1
50% to less than 75% 89.4 88.0 89.8 89.8 89.2 87.2 89.8
75% or greater 96.4 94.1 92.4 98.0 95.7 96.2 98.0
TPs for active members
TPs reported for active members 87.9 90.8 92.4 91.3 91.4 89.5 91.3
TPs not reported for active members 82.1 83.9 86.2 86.8 86.9 85.4 86.8
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 88.4 86.4 87.7 85.1 86.4
Covenant group 2 (Tending to Strong) NA NA 84.7 86.2 83.6 83.1 86.2
Covenant group 3 (Tending to Weak) NA NA 82.5 82.7 81.9 80.3 82.7
Covenant group 4 (Weak) NA NA 78.6 77.4 78.1 76.8 77.4
RP length (schemes in deficit only)
Fewer than 5 years 87.3 88.4 90.6 89.7 89.6 89.3 89.7
5 to fewer than 7.5 years 81.8 82.8 84.6 82.5 84.1 83.5 82.5
7.5 to fewer than 10 years 79.6 80.2 80.5 79.2 80.1 79.6 79.2
10 years or more 74.6 76.0 76.6 72.7 74.3 72.4 72.7
Return seeking assets
Less than 20% 88.8 96.6 97.9 95.3 98.5 95.1 95.3
20% to less than 40% 89.5 90.4 92.9 89.4 92.3 88.6 89.4
40% to less than 60% 86.0 87.1 88.9 86.9 86.8 84.4 86.9
60% to less than 80% 85.0 87.5 88.4 87.3 86.6 85.2 87.3
80% or greater 88.7 87.8 87.2 88.1 89.4 89.2 88.1
Presence of contingent assets
No contingent asset NA 89.1 90.3 89.6 89.7 88.2 89.6
At least one contingent asset NA 83.9 85.7 84.5 85.5 83.1 84.5
Funding level (TPs)
Less than 70% 61.5 61.0 59.2 59.6 61.1 59.4 59.6
70% to less than 80% 75.5 75.5 75.5 75.8 75.4 75.5 75.8
80% to less than 90% 85.1 85.2 85.2 85.4 85.4 85.1 85.4
90% to less than 100% 94.5 94.5 94.7 94.8 94.6 94.7 94.8
100% or greater 110.3 110.5 109.4 109.8 109.2 110.1 109.8
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 88.0 86.5 87.9 86.9 86.5
90% to less than 95% NA NA 88.0 87.4 86.2 85.1 87.4
95% to less than 100% NA NA 89.8 87.0 87.2 85.1 87.0
100% to less than 105% NA NA 92.7 89.9 91.5 90.2 89.9
105% or greater NA NA 97.1 91.7 97.4 91.9 91.7
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 88.1 86.7 88.0 86.9 86.7
90% to less than 95% NA NA 88.3 87.4 86.4 85.3 87.4
95% to less than 100% NA NA 89.6 87.2 86.5 84.6 87.2
100% to less than 105% NA NA 90.7 89.6 90.9 89.6 89.6
105% or greater NA NA 96.7 90.9 96.2 90.9 90.9

Table 2.3b [Weighted] Average ratio of assets to TPs by scheme characteristics (schemes in surplus and deficit)

Weighted average (%)
Tranche
3 6 9 12 10 11 12
Size by number of members
Fewer than 100 members 85.4 81.2 89.9 86.9 92.4 87.2 86.9
100 to fewer than 500 members 85.8 87.0 89.4 88.3 87.7 85.6 88.3
500 to fewer than 1,000 members 86.2 87.5 88.1 86.8 89.1 85.9 86.8
1,000 to fewer than 5,000 members 87.1 88.3 90.0 90.4 88.5 87.7 90.4
5,000 members or more 91.6 88.8 89.0 90.5 91.7 89.8 90.5
Size by TPs
Less than £5m 85.5 87.5 89.9 88.0 89.1 90.0 88.0
£5m to less than £20m 84.8 86.2 87.8 87.1 88.1 85.4 87.1
£20m to less than £100m 85.8 87.9 89.9 88.6 88.7 84.6 88.6
£100m to less than £300m 89.4 88.6 89.4 89.0 87.8 87.4 89.0
£300m or greater 91.1 88.1 89.1 90.5 91.5 89.4 90.5
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 89.6 90.0 87.9 93.1 95.9 88.4 93.1
25% to less than 50% 91.7 87.2 88.8 89.0 89.7 87.5 89.0
50% to less than 75% 88.4 89.4 90.0 92.0 91.2 90.4 92.0
75% or greater 87.3 86.5 87.4 91.6 99.7 91.4 91.6
TPs for active members
TPs reported for active members 90.6 88.6 89.7 90.9 91.6 89.8 90.9
TPs not reported for active members 82.2 82.7 85.6 87.4 89.3 86.7 87.4
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 86.1 89.7 89.6 89.3 89.7
Covenant group 2 (Tending to Strong) NA NA 87.3 88.9 88.6 86.4 88.9
Covenant group 3 (Tending to Weak) NA NA 88.2 85.2 84.1 84.6 85.2
Covenant group 4 (Weak) NA NA 81.7 82.7 78.8 83.4 82.7
RP length (schemes in deficit only)
Fewer than 5 years 90.4 90.8 93.1 92.0 92.5 92.9 92.0
5 to fewer than 7.5 years 83.6 86.3 86.8 87.3 90.2 88.6 87.3
7.5 to fewer than 10 years 84.8 89.0 82.2 82.7 87.2 84.9 82.7
10 years or more 77.1 82.1 85.5 83.9 80.2 82.7 83.9
Return seeking assets
Less than 20% 92.0 90.0 97.9 100.0 101.4 95.1 100.0
20% to less than 40% 94.8 92.6 89.8 87.7 91.3 90.9 87.7
40% to less than 60% 92.6 87.4 88.3 87.9 88.4 85.7 87.9
60% to less than 80% 85.0 88.7 89.0 89.8 87.1 85.6 89.8
80% or greater 98.9 94.2 89.8 88.3 111.8 86.0 88.3
Presence of contingent assets
No contingent asset NA 89.3 90.7 92.1 91.2 89.1 92.1
At least one contingent asset NA 87.0 85.6 87.2 90.5 88.7 87.2
Funding level (TPs)
Less than 70% 65.0 62.4 63.8 62.8 60.7 61.2 62.8
70% to less than 80% 76.3 77.3 75.4 75.8 75.2 75.9 75.8
80% to less than 90% 85.1 85.2 86.1 84.8 85.2 85.3 84.8
90% to less than 100% 93.9 93.0 93.9 95.2 94.6 94.3 95.2
100% or greater 103.7 105.1 105.6 106.7 105.9 103.8 106.7
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 85.4 99.7 94.3 83.3 99.7
90% to less than 95% NA NA 89.8 89.1 84.5 85.9 89.1
95% to less than 100% NA NA 87.4 87.2 91.0 87.7 87.2
100% to less than 105% NA NA 93.0 88.4 91.5 88.8 88.4
105% or greater NA NA 91.7 95.0 94.5 93.3 95.0
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 89.1 104.2 89.5 87.7 104.2
90% to less than 95% NA NA 88.8 88.2 85.4 87.1 88.2
95% to less than 100% NA NA 88.3 92.5 90.3 86.1 92.5
100% to less than 105% NA NA 89.4 84.6 89.9 87.8 84.6
105% or greater NA NA 90.4 92.1 95.2 91.1 92.1

Weighted by TPs.

Table 2.4 Average ratio of TPs to buyout liabilities by scheme characteristics (schemes in surplus and deficit)

Unweighted average (%)
Tranche
3 6 9 12 10 11 12
Size by number of members
Fewer than 100 members 75.7 75.7 74.3 71.9 70.5 71.6 71.9
100 to fewer than 500 members 72.3 70.4 70.8 67.3 67.6 67.8 67.3
500 to fewer than 1,000 members 73.3 69.8 69.5 66.1 68.4 69.1 66.1
1,000 to fewer than 5,000 members 76.3 70.1 69.7 68.3 69.5 68.7 68.3
5,000 members or more 80.1 72.6 71.5 71.6 71.4 69.6 71.6
Size by TPs
Less than £5m 74.2 75.5 73.6 71.5 69.4 71.7 71.5
£5m to less than £20m 73.2 71.9 71.7 68.8 68.9 68.0 68.8
£20m to less than £100m 74.3 70.4 70.5 67.7 67.9 69.0 67.7
£100m to less than £300m 76.4 70.6 70.9 68.4 70.7 70.0 68.4
£300m or greater 80.9 73.6 72.5 71.2 71.3 70.1 71.2
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 71.5 70.5 69.8 65.7 65.7 66.8 65.7
25% to less than 50% 74.2 70.5 69.3 66.6 67.2 67.0 66.6
50% to less than 75% 81.1 76.8 75.4 73.6 73.8 72.9 73.6
75% or greater 91.1 86.2 85.3 82.2 85.5 86.6 82.2
TPs for active members
TPs reported for active members 74.7 71.2 70.1 66.8 68.4 68.2 66.8
TPs not reported for active members 74.6 74.3 73.5 71.0 70.1 70.5 71.0
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 70.3 68.7 70.5 69.0 68.7
Covenant group 2 (Tending to Strong) NA NA 70.8 67.7 68.5 69.4 67.7
Covenant group 3 (Tending to Weak) NA NA 70.8 67.4 67.2 67.6 67.4
Covenant group 4 (Weak) NA NA 72.3 68.5 67.7 68.9 68.5
RP length (schemes in deficit only)
Fewer than 5 years 75.3 72.6 73.3 70.4 70.3 70.6 70.4
5 to fewer than 7.5 years 75.0 72.2 72.3 67.9 68.4 67.3 67.9
7.5 to fewer than 10 years 74.7 71.6 69.6 65.7 66.9 68.2 65.7
10 years or more 73.4 69.3 68.5 64.6 66.4 67.8 64.6
Return seeking assets
Less than 20% 83.1 86.5 83.6 81.4 79.9 78.6 81.4
20% to less than 40% 81.9 78.9 77.7 71.5 74.3 72.5 71.5
40% to less than 60% 77.0 72.9 72.1 67.3 68.6 67.5 67.3
60% to less than 80% 73.2 69.0 68.1 63.2 65.4 65.3 63.2
80% or greater 70.1 69.1 69.8 64.4 65.0 65.8 64.4
Presence of contingent assets
No contingent asset NA 72.6 71.7 69.1 69.4 69.5 69.1
At least one contingent asset NA 71.7 72.3 69.5 69.1 69.7 69.5
Funding level (TPs)
Less than 70% 78.8 73.4 75.0 68.4 69.7 71.3 68.4
70% to less than 80% 74.0 71.7 71.2 67.0 67.6 65.9 67.0
80% to less than 90% 74.0 71.7 70.0 66.9 68.0 68.0 66.9
90% to less than 100% 73.3 70.2 71.1 68.6 68.9 70.5 68.6
100% or greater 74.3 75.9 73.3 74.1 72.0 72.5 74.1
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 69.4 64.4 65.0 65.7 64.4
90% to less than 95% NA NA 68.7 65.4 66.8 66.8 65.4
95% to less than 100% NA NA 74.1 66.8 69.3 68.4 66.8
100% to less than 105% NA NA 76.7 70.1 73.9 72.8 70.1
105% or greater NA NA 80.9 77.3 77.1 78.8 77.3
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 69.2 64.2 64.9 65.8 64.2
90% to less than 95% NA NA 68.7 65.3 66.9 66.9 65.3
95% to less than 100% NA NA 73.8 66.5 69.6 68.3 66.5
100% to less than 105% NA NA 75.8 69.9 73.3 72.1 69.9
105% or greater NA NA 80.2 75.8 74.9 76.0 75.8

Table 2.5 Use of contingent assets (schemes in surplus and deficit, Tranche 12 only)

Number of schemes (holding at least one) Percentage of schemes (holding at least one)
All contingent assets
PPF-recognised contingent asset 152 8.1
Contingent asset reported in support of funding (non-PPF-recognised) 183 9.7
All contingent assets 326 17.3
PPF recognised
Type A 130 6.9
Type B and C 46 2.4
Non-PPF recognised (schemes in deficit only)
Property 86 4.6
Parental guarantee 112 6.0
Escrow, cash or charge over other asset (excludes property), or other (eg letter of credit) 5 0.3

17.3% of Tranche 11 schemes hold at least one contingent asset.

PPF-recognised contingent assets fall into three categories:

* Type A: guarantees provided by the parent/group companies to fund the scheme, most commonly guarantees to cover a pre-arranged percentage of liabilities.
* Type B: includes security over cash, UK real estate and securities
* Type C: includes letters of credit and bank guarantees

There are some cases in which a contingent asset that is reported in the recovery plan has not been formally recognised by the PPF in support of the scheme’s levy calculation. These contingent assets may, for example, take the form of security over property, escrow accounts or parental/group guarantees, and are referred to here as non-PPF-recognised.

Table 2.6 Use of contingent assets by scheme characteristics (schemes in surplus and deficit, Tranche 12 only)

Percentage of schemes (%)
PPF-recognised Non-PPF-recognised All contingent assets
Size by number of members
Fewer than 100 members 2.8 2.5 5.3
100 to fewer than 500 members 8.9 8.1 16.4
500 to fewer than 1,000 members 13.4 17.3 30.2
1,000 to fewer than 5,000 members 15.0 19.8 33.6
5,000 members or more 11.1 28.7 38.9
Size by TPs
Less than £5m 2.0 2.0 4.0
£5m to less than £20m 3.2 3.8 7.0
£20m to less than £100m 10.7 9.3 19.5
£100m to less than £300m 14.5 19.9 33.2
£300m or greater 14.3 24.2 37.2
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 3.2 6.2 9.4
25% to less than 50% 8.8 10.8 19.2
50% to less than 75% 11.7 11.9 22.6
75% or greater 2.2 4.4 6.6
TPs for active members
TPs reported for active members 6.9 10.2 16.7
TPs not reported for active members 8.9 9.4 17.8
Covenant (schemes in deficit only)
Covenant group 1 (Strong) 6.0 6.0 11.9
Covenant group 2 (Tending to Strong) 6.1 10.3 15.9
Covenant group 3 (Tending to Weak) 12.6 18.3 29.8
Covenant group 4 (Weak) 16.3 11.6 27.4
RP length (schemes in deficit only)
Fewer than 5 years 8.1 9.0 16.7
5 to fewer than 7.5 years 8.0 16.4 23.7
7.5 to fewer than 10 years 12.9 14.7 26.9
10 years or more 7.7 14.8 21.5
Return seeking assets
Less than 20% 2.4 3.6 6.0
20% to less than 40% 8.9 10.9 19.8
40% to less than 60% 8.8 14.0 21.7
60% to less than 80% 10.0 5.4 15.1
80% or greater 4.5 3.0 7.6
Presence of contingent assets
No contingent asset 0.0 0.0 0.0
At least one contingent asset 46.6 56.1 100.0
Funding level (TPs)
Less than 70% 6.8 11.1 17.9
70% to less than 80% 10.7 12.9 22.5
80% to less than 90% 8.8 14.6 22.5
90% to less than 100% 8.9 11.4 19.9
100% or greater 5.3 0.0 5.3
PPF Standard stressed/Unstressed asset ratio
Less than 90% 7.9 3.9 11.8
90% to less than 95% 9.1 6.0 14.8
95% to less than 100% 9.6 9.6 18.3
100% to less than 105% 8.0 16.0 23.2
105% or greater 5.1 9.4 14.5
PPF Combined stressed/Unstressed asset ratio
Less than 90% 7.8 3.9 11.8
90% to less than 95% 8.3 5.6 13.6
95% to less than 100% 8.5 9.3 17.1
100% to less than 105% 8.3 11.4 19.7
105% or greater 7.4 14.0 20.4

Table 2.7 Schemes with contingent assets (schemes in surplus and deficit, Tranches 6, 9 and 12)

Tranche
6 9 12
All contingent assets (percentage of schemes)
Schemes with at least one PPF-recognised contingent asset 11.9 10.5 8.1
Schemes with at least one contingent asset reported in support of funding (non-PPF-recognised) 6.6 7.2 9.7
Schemes with at least one contingent asset 18.0 16.7 17.3
PPF recognised (percentage of schemes)
Type A 11.3 9.6 6.9
Type B 1.4 1.6 2.0
Type C 0.4 0.3 0.4
Non-PPF recognised (percentage of schemes in deficit)
Property 0.7 1.6 4.6
Parental guarantee 3.6 4.4 6.0
Escrow, cash or charge over other asset (excludes property), or other (eg letter of credit) 2.5 1.7 0.3

Recovery plans and contributions

Table 3.1 Distribution of recovery plan lengths (schemes in deficit only)

RP length (years)
Tranche
3 6 9 12 10 11 12
95th percentile 17.0 15.8 18.8 15.9 16.9 16.5 15.9
Upper quartile 10.0 10.0 10.3 9.7 10.2 10.3 9.7
Median 8.8 7.2 7.0 6.5 6.5 7.2 6.5
Lower quartile 5.1 4.3 4.1 4.0 4.0 4.1 4.0
5th percentile 1.8 1.0 1.0 1.0 1.1 1.1 1.0

Table 3.2 Distribution of recovery plan lengths (for schemes in deficit submitting valuations in respect of both Tranches 9 and 12)

RP length (years)
Tranche
9 12
95th percentile 18.8 16.0
Upper quartile 10.8 9.9
Median 7.7 6.7
Lower quartile 4.8 4.0
5th percentile 1.6 1.0

Table 3.3 Average recovery plan length by scheme characteristics (schemes in deficit only)

RP length (years)
Tranche
3 6 9 12 10 11 12
All schemes 8.6 7.7 8.0 7.3 7.5 7.8 7.3
Size by number of members
Fewer than 100 members 8.2 7.5 7.6 7.2 6.8 7.0 7.2
100 to fewer than 500 members 9.0 7.8 8.4 7.5 7.8 8.0 7.5
500 to fewer than 1,000 members 8.3 7.9 7.7 7.3 6.5 7.9 7.3
1,000 to fewer than 5,000 members 8.9 8.1 8.0 7.0 7.9 8.5 7.0
5,000 members or more 8.1 8.1 8.1 7.0 8.7 8.8 7.0
Size by TPs
Less than £5m 8.5 7.5 7.9 7.5 6.8 6.4 7.5
£5m to less than £20m 8.9 8.0 8.5 7.9 7.8 8.1 7.9
£20m to less than £100m 8.4 7.5 7.7 7.0 7.3 8.1 7.0
£100m to less than £300m 8.4 7.8 7.8 7.0 7.2 7.8 7.0
£300m or greater 8.4 8.1 8.0 6.8 8.5 8.3 6.8
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 8.3 7.3 7.2 7.1 6.8 6.7 7.1
25% to less than 50% 8.8 7.8 8.3 7.6 7.9 8.1 7.6
50% to less than 75% 8.8 8.3 8.2 7.0 7.5 8.2 7.0
75% or greater 7.7 7.9 7.0 6.3 6.8 7.2 6.3
TPs for active members
TPs reported for active members 8.2 7.3 8.0 7.0 7.2 7.5 7.0
TPs not reported for active members 9.4 8.3 8.0 7.5 7.7 8.0 7.5
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 6.2 5.4 5.6 5.8 5.4
Covenant group 2 (Tending to Strong) NA NA 7.3 6.6 6.8 7.1 6.6
Covenant group 3 (Tending to Weak) NA NA 8.9 7.9 8.3 8.6 7.9
Covenant group 4 (Weak) NA NA 9.5 10.0 9.7 10.1 10.0
RP length (schemes in deficit only)
Fewer than 5 years 3.2 2.9 2.8 3.0 3.0 2.8 3.0
5 to fewer than 7.5 years 6.3 6.3 6.2 6.2 6.3 6.2 6.2
7.5 to fewer than 10 years 9.2 8.9 8.8 8.8 8.8 8.9 8.8
10 years or more 15.0 14.0 14.7 14.4 14.1 14.1 14.4
Return seeking assets
Less than 20% 7.9 7.1 7.1 5.6 5.6 6.2 5.6
20% to less than 40% 8.0 6.9 6.4 6.7 6.3 7.0 6.7
40% to less than 60% 8.3 7.6 7.8 7.4 7.7 8.2 7.4
60% to less than 80% 8.7 8.1 8.5 8.2 7.8 8.3 8.2
80% or greater 9.2 8.1 8.7 8.3 8.4 8.5 8.3
Presence of contingent assets
No contingent asset NA 7.5 7.9 7.2 7.4 7.7 7.2
At least one contingent asset NA 8.6 8.2 7.5 7.6 8.3 7.5
Funding level (TPs)
Less than 70% 11.4 11.7 13.3 11.9 12.3 12.3 11.9
70% to less than 80% 9.5 9.2 10.0 8.5 9.3 9.3 8.5
80% to less than 90% 8.1 7.1 7.8 7.0 7.0 7.3 7.0
90% to less than 100% 6.0 5.4 5.1 4.5 4.6 4.5 4.5
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 8.8 8.5 7.6 8.1 8.5
90% to less than 95% NA NA 8.0 7.6 8.2 8.4 7.6
95% to less than 100% NA NA 7.9 7.5 7.3 7.7 7.5
100% to less than 105% NA NA 6.4 7.0 6.3 7.4 7.0
105% or greater NA NA 6.6 6.1 6.8 6.3 6.1
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 8.8 8.6 7.6 8.1 8.6
90% to less than 95% NA NA 8.0 7.7 8.2 8.4 7.7
95% to less than 100% NA NA 8.1 7.6 7.5 7.8 7.6
100% to less than 105% NA NA 6.8 6.9 6.6 7.3 6.9
105% or greater NA NA 6.1 6.5 6.5 6.9 6.5

Table 3.4 Average annual contributions as a percentage of technical provisions liabilities by scheme characteristics (schemes in deficit only)

Ratio Percent (%)
Tranche
6 9 12 10 11 12
All schemes 2.7 2.2 2.1 2.2 2.3 2.1
Size by number of members
Fewer than 100 members 3.2 3.0 2.6 2.8 2.9 2.6
100 to fewer than 500 members 2.6 2.1 2.0 2.1 2.2 2.0
500 to fewer than 1,000 members 2.3 2.0 2.0 2.0 2.0 2.0
1,000 to fewer than 5,000 members 2.2 1.7 1.6 1.7 1.8 1.6
5,000 members or more 1.8 1.4 1.3 1.6 1.5 1.3
Size by TPs
Less than £5m 3.6 3.4 3.3 3.3 3.4 3.3
£5m to less than £20m 2.6 2.3 2.0 2.2 2.3 2.0
£20m to less than £100m 2.4 2.0 2.0 2.0 2.1 2.0
£100m to less than £300m 2.2 1.8 1.7 2.0 2.0 1.7
£300m or greater 2.0 1.6 1.5 1.5 1.7 1.5
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 3.3 2.9 3.0 2.8 3.3 3.0
25% to less than 50% 2.5 2.1 1.9 2.1 2.2 1.9
50% to less than 75% 2.2 2.0 1.8 1.9 1.9 1.8
75% or greater 2.4 2.1 1.9 1.8 1.7 1.9
TPs for active members
TPs reported for active members 2.5 1.9 1.9 2.0 2.2 1.9
TPs not reported for active members 2.9 2.6 2.3 2.3 2.4 2.3
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA 2.1 2.5 2.0 2.3 2.5
Covenant group 2 (Tending to Strong) NA 2.2 2.1 2.3 2.4 2.1
Covenant group 3 (Tending to Weak) NA 2.1 1.8 2.1 2.2 1.8
Covenant group 4 (Weak) NA 2.6 2.2 2.3 2.4 2.2
RP length (schemes in deficit only)
Fewer than 5 years 3.0 2.4 2.3 2.5 2.6 2.3
5 to fewer than 7.5 years 3.1 2.4 2.4 2.3 2.5 2.4
7.5 to fewer than 10 years 2.5 2.4 2.1 2.2 2.2 2.1
10 years or more 2.0 1.8 1.6 1.8 1.8 1.6
Return seeking assets
Less than 20% 2.4 2.7 3.0 2.6 2.3 3.0
20% to less than 40% 2.7 2.1 2.0 2.0 2.2 2.0
40% to less than 60% 2.7 2.2 2.0 2.2 2.3 2.0
60% to less than 80% 2.6 2.3 2.1 2.4 2.3 2.1
80% or greater 2.8 2.2 2.1 2.0 2.5 2.1
Presence of contingent assets
No contingent asset 2.7 2.3 2.2 2.3 2.3 2.2
At least one contingent asset 2.5 2.0 1.9 2.0 2.2 1.9
Funding level (TPs)
Less than 70% 4.4 4.4 3.8 3.9 3.9 3.8
70% to less than 80% 3.3 2.8 2.8 2.7 2.8 2.8
80% to less than 90% 2.7 2.2 2.0 2.2 2.3 2.0
90% to less than 100% 1.3 1.1 1.0 1.1 1.1 1.0
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA 2.3 2.1 2.5 2.4 2.1
90% to less than 95% NA 2.4 2.1 2.2 2.4 2.1
95% to less than 100% NA 2.0 2.0 2.2 2.2 2.0
100% to less than 105% NA 2.2 1.9 1.9 2.3 1.9
105% or greater NA 1.9 2.6 1.8 2.3 2.6
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA 2.3 2.1 2.5 2.4 2.1
90% to less than 95% NA 2.4 2.2 2.3 2.4 2.2
95% to less than 100% NA 2.0 2.0 2.2 2.3 2.0
100% to less than 105% NA 2.1 2.0 1.9 2.3 2.0
105% or greater NA 1.9 2.4 1.8 2.0 2.4

Discount rates

Table 4.1 Average nominal discount rate and outperformance by Tranche (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Mean percentage (%)
Tranche
3 6 9 12 10 11 12
Pre and post-retirement rates (a) 5.875 5.318 4.486 2.754 3.474 3.312 2.754
Pre-retirement rate (b) 6.441 6.049 5.269 3.594 4.295 4.148 3.594
Post-retirement rate (b) 5.056 4.700 3.931 2.256 2.871 2.766 2.256
SEDR (c) 5.898 5.454 4.576 2.780 3.460 3.324 2.780
SEDR (all schemes) (d) 5.892 5.420 4.545 2.748 3.461 3.311 2.748
SEDR outperformance over 20-year UK gilt (e) 1.305 1.015 0.971 0.902 1.000 0.934 0.902
SEDR outperformance over greater than 15 year AA UK corporate bonds (f) -0.581 -0.026 0.253 0.222 0.146 -0.059 0.222

(a) Single rates provided
(b) Different rates provided
(c) Composite of pre- and post-retirement rates where different rates are provided
(d) Combined single and different rates

Source for (e): Thomson Reuters, Bank of England
Source for (f): Thomson Reuters, Markit Iboxx

Table 4.2 Average real discount rate and outperformance by Tranche (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Mean percentage (%)
Tranche
3 6 9 12 10 11 12
Pre and post-retirement rates (a) 2.130 1.572 0.875 -0.639 0.206 0.118 -0.639
Pre-retirement rate (b) 2.851 2.479 1.813 0.228 1.102 1.022 0.228
Post-retirement rate (b) 1.512 1.176 0.518 -1.067 -0.280 -0.321 -1.067
SEDR (c) 2.096 1.680 0.966 -0.647 0.169 0.103 -0.647
SEDR (all schemes) (d) 2.105 1.650 0.924 -0.675 0.150 0.084 -0.675
Real SEDR Outperformance against 20 year index linked gilts (e) 1.144 0.912 0.896 1.068 0.984 0.993 1.068

(a) Single rates provided
(b) Different rates provided
(c) Composite of pre- and post-retirement rates where different rates are provided
(d) Combined single and different rates

Source for (e) : Thomson Reuters, Bank of England

Table 4.3 Average nominal SEDR by scheme characteristics (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Mean percentage (%)
Tranche
3 6 9 12 10 11 12
All schemes 5.892 5.420 4.545 2.748 3.461 3.311 2.748
Size by number of members
Fewer than 100 members 5.597 5.106 4.274 2.691 3.355 3.223 2.691
100 to fewer than 500 members 5.998 5.493 4.620 2.850 3.564 3.401 2.850
500 to fewer than 1,000 members 6.060 5.623 4.706 2.751 3.497 3.320 2.751
1,000 to fewer than 5,000 members 6.067 5.676 4.785 2.679 3.465 3.331 2.679
5,000 members or more 6.024 5.746 4.838 2.624 3.421 3.251 2.624
Size by TPs
Less than £5m 5.568 5.049 4.191 2.635 3.304 3.148 2.635
£5m to less than £20m 5.941 5.370 4.523 2.868 3.515 3.410 2.868
£20m to less than £100m 6.026 5.581 4.666 2.817 3.565 3.392 2.817
£100m to less than £300m 6.068 5.692 4.739 2.638 3.446 3.259 2.638
£300m or greater 6.036 5.614 4.739 2.602 3.385 3.220 2.602
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 5.671 5.151 4.280 2.681 3.401 3.194 2.681
25% to less than 50% 6.082 5.570 4.709 2.842 3.556 3.399 2.842
50% to less than 75% 5.959 5.480 4.569 2.680 3.425 3.352 2.680
75% or greater 5.488 5.095 4.121 2.570 3.019 2.814 2.570
TPs for active members
TPs reported for active members 5.969 5.541 4.679 2.866 3.544 3.403 2.866
TPs not reported for active members 5.719 5.249 4.399 2.658 3.391 3.242 2.658
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 4.758 2.750 3.407 3.256 2.750
Covenant group 2 (Tending to Strong) NA NA 4.591 2.808 3.473 3.299 2.808
Covenant group 3 (Tending to Weak) NA NA 4.584 2.770 3.501 3.373 2.770
Covenant group 4 (Weak) NA NA 4.393 2.693 3.441 3.290 2.693
RP length (schemes in deficit only)
Fewer than 5 years 5.825 5.390 4.438 2.653 3.392 3.196 2.653
5 to fewer than 7.5 years 5.926 5.386 4.540 2.755 3.518 3.367 2.755
7.5 to fewer than 10 years 5.906 5.397 4.607 2.831 3.569 3.393 2.831
10 years or more 5.930 5.511 4.717 2.892 3.479 3.395 2.892
Return seeking assets
Less than 20% 5.293 4.725 3.770 2.176 2.824 2.716 2.176
20% to less than 40% 5.636 5.124 4.170 2.565 3.190 3.129 2.565
40% to less than 60% 5.870 5.396 4.508 2.796 3.475 3.402 2.796
60% to less than 80% 5.940 5.550 4.767 3.153 3.676 3.595 3.153
80% or greater 5.944 5.562 4.670 3.098 3.863 3.759 3.098
Presence of contingent assets
No contingent asset NA 5.383 4.525 2.753 3.447 3.318 2.753
At least one contingent asset NA 5.555 4.638 2.723 3.520 3.282 2.723
Funding level (TPs)
Less than 70% 5.535 5.077 4.251 2.650 3.249 3.171 2.650
70% to less than 80% 5.902 5.354 4.517 2.777 3.457 3.405 2.777
80% to less than 90% 6.000 5.457 4.631 2.797 3.499 3.411 2.797
90% to less than 100% 6.002 5.595 4.639 2.777 3.534 3.245 2.777
100% or greater NaN NA 4.481 2.697 3.442 3.265 2.697
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 4.677 3.112 3.773 3.633 3.112
90% to less than 95% NA NA 4.712 2.974 3.576 3.464 2.974
95% to less than 100% NA NA 4.406 2.901 3.431 3.357 2.901
100% to less than 105% NA NA 4.266 2.620 3.205 3.079 2.620
105% or greater NA NA 4.065 2.285 3.030 2.736 2.285
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 4.683 3.136 3.776 3.627 3.136
90% to less than 95% NA NA 4.710 2.985 3.570 3.460 2.985
95% to less than 100% NA NA 4.421 2.909 3.432 3.379 2.909
100% to less than 105% NA NA 4.355 2.647 3.250 3.147 2.647
105% or greater NA NA 4.059 2.355 3.121 2.850 2.355

Table 4.4 Average outperformance of the nominal SEDR over nominal 20 year UK gilts by scheme characteristics (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Mean percentage (%)
Tranche
3 6 9 12 10 11 12
All schemes 1.305 1.015 0.971 0.902 1.000 0.934 0.902
Size by number of members
Fewer than 100 members 1.013 0.713 0.704 0.835 0.877 0.841 0.835
100 to fewer than 500 members 1.402 1.078 1.048 1.009 1.099 1.031 1.009
500 to fewer than 1,000 members 1.476 1.224 1.137 0.916 1.048 0.950 0.916
1,000 to fewer than 5,000 members 1.498 1.268 1.200 0.832 1.029 0.946 0.832
5,000 members or more 1.441 1.323 1.241 0.785 0.987 0.870 0.785
Size by TPs
Less than £5m 0.970 0.660 0.625 0.772 0.819 0.753 0.772
£5m to less than £20m 1.354 0.961 0.961 1.015 1.046 1.047 1.015
£20m to less than £100m 1.443 1.170 1.088 0.985 1.104 1.006 0.985
£100m to less than £300m 1.498 1.275 1.140 0.794 1.005 0.908 0.794
£300m or greater 1.459 1.208 1.157 0.757 0.952 0.837 0.757
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 1.088 0.769 0.710 0.827 0.925 0.791 0.827
25% to less than 50% 1.490 1.162 1.139 1.005 1.099 1.025 1.005
50% to less than 75% 1.378 1.055 0.988 0.831 0.970 0.988 0.831
75% or greater 0.920 0.646 0.516 0.680 0.565 0.464 0.680
TPs for active members
TPs reported for active members 1.387 1.146 1.100 1.019 1.084 1.011 1.019
TPs not reported for active members 1.123 0.827 0.831 0.813 0.929 0.876 0.813
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 1.158 0.903 0.969 0.880 0.903
Covenant group 2 (Tending to Strong) NA NA 1.027 0.966 1.020 0.934 0.966
Covenant group 3 (Tending to Weak) NA NA 1.027 0.926 1.047 1.009 0.926
Covenant group 4 (Weak) NA NA 0.815 0.839 0.965 0.886 0.839
RP length (schemes in deficit only)
Fewer than 5 years 1.261 0.973 0.853 0.805 0.923 0.804 0.805
5 to fewer than 7.5 years 1.341 0.970 0.977 0.905 1.047 0.972 0.905
7.5 to fewer than 10 years 1.314 0.998 1.047 1.005 1.127 1.052 1.005
10 years or more 1.325 1.117 1.145 1.071 1.048 1.043 1.071
Return seeking assets
Less than 20% 0.720 0.339 0.161 0.309 0.345 0.321 0.309
20% to less than 40% 1.058 0.715 0.586 0.721 0.742 0.762 0.721
40% to less than 60% 1.282 0.979 0.937 0.955 1.028 1.036 0.955
60% to less than 80% 1.345 1.146 1.193 1.301 1.199 1.211 1.301
80% or greater 1.360 1.156 1.116 1.288 1.357 1.321 1.288
Presence of contingent assets
No contingent asset NA 0.984 0.953 0.905 0.985 0.943 0.905
At least one contingent asset NA 1.127 1.055 0.888 1.064 0.898 0.888
Funding level (TPs)
Less than 70% 0.933 0.712 0.683 0.841 0.816 0.819 0.841
70% to less than 80% 1.306 0.956 0.959 0.951 1.004 1.053 0.951
80% to less than 90% 1.416 1.045 1.066 0.960 1.052 1.030 0.960
90% to less than 100% 1.432 1.173 1.053 0.916 1.057 0.862 0.916
100% or greater NaN NA 0.900 0.825 0.965 0.860 0.825
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 1.127 1.289 1.275 1.237 1.289
90% to less than 95% NA NA 1.131 1.128 1.114 1.095 1.128
95% to less than 100% NA NA 0.830 1.047 0.978 0.976 1.047
100% to less than 105% NA NA 0.675 0.781 0.764 0.707 0.781
105% or greater NA NA 0.467 0.429 0.591 0.369 0.429
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 1.134 1.312 1.278 1.232 1.312
90% to less than 95% NA NA 1.129 1.141 1.112 1.098 1.141
95% to less than 100% NA NA 0.846 1.051 0.981 1.004 1.051
100% to less than 105% NA NA 0.771 0.802 0.808 0.767 0.802
105% or greater NA NA 0.457 0.511 0.669 0.468 0.511

Table 4.5 Average outperformance of the nominal SEDR over greater than 15 year AA rated corporate bonds by scheme characteristics (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Mean percentage (%)
Tranche
3 6 9 12 10 11 12
All schemes -0.581 -0.026 0.253 0.222 0.146 -0.059 0.222
Size by number of members
Fewer than 100 members -0.827 -0.333 -0.012 0.157 0.021 -0.147 0.157
100 to fewer than 500 members -0.494 0.041 0.329 0.330 0.246 0.043 0.330
500 to fewer than 1,000 members -0.456 0.185 0.419 0.233 0.192 -0.047 0.233
1,000 to fewer than 5,000 members -0.405 0.223 0.480 0.150 0.176 -0.059 0.150
5,000 members or more -0.495 0.287 0.520 0.102 0.137 -0.138 0.102
Size by TPs
Less than £5m -0.891 -0.388 -0.091 0.095 -0.037 -0.234 0.095
£5m to less than £20m -0.518 -0.076 0.243 0.337 0.196 0.058 0.337
£20m to less than £100m -0.460 0.131 0.370 0.303 0.249 0.016 0.303
£100m to less than £300m -0.399 0.229 0.423 0.113 0.149 -0.090 0.113
£300m or greater -0.504 0.167 0.434 0.074 0.098 -0.172 0.074
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% -0.774 -0.278 -0.006 0.150 0.072 -0.204 0.150
25% to less than 50% -0.409 0.122 0.420 0.324 0.245 0.036 0.324
50% to less than 75% -0.530 0.017 0.271 0.151 0.116 -0.005 0.151
75% or greater -0.992 -0.395 -0.195 -0.006 -0.296 -0.538 -0.006
TPs for active members
TPs reported for active members -0.502 0.105 0.381 0.338 0.232 0.018 0.338
TPs not reported for active members -0.756 -0.214 0.112 0.133 0.073 -0.116 0.133
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 0.443 0.220 0.118 -0.114 0.220
Covenant group 2 (Tending to Strong) NA NA 0.305 0.285 0.171 -0.054 0.285
Covenant group 3 (Tending to Weak) NA NA 0.306 0.243 0.192 0.021 0.243
Covenant group 4 (Weak) NA NA 0.098 0.157 0.104 -0.124 0.157
RP length (schemes in deficit only)
Fewer than 5 years -0.537 -0.071 0.137 0.124 0.068 -0.187 0.124
5 to fewer than 7.5 years -0.579 -0.066 0.256 0.225 0.194 -0.026 0.225
7.5 to fewer than 10 years -0.575 -0.041 0.325 0.322 0.276 0.062 0.322
10 years or more -0.639 0.076 0.426 0.390 0.201 0.049 0.390
Return seeking assets
Less than 20% -1.103 -0.702 -0.547 -0.370 -0.515 -0.667 -0.370
20% to less than 40% -0.867 -0.333 -0.131 0.040 -0.114 -0.228 0.040
40% to less than 60% -0.610 -0.061 0.219 0.275 0.174 0.041 0.275
60% to less than 80% -0.543 0.102 0.475 0.621 0.348 0.220 0.621
80% or greater -0.536 0.123 0.394 0.609 0.504 0.326 0.609
Presence of contingent assets
No contingent asset NA -0.058 0.235 0.226 0.131 -0.049 0.226
At least one contingent asset NA 0.089 0.338 0.203 0.209 -0.100 0.203
Funding level (TPs)
Less than 70% -1.029 -0.330 -0.036 0.160 -0.039 -0.180 0.160
70% to less than 80% -0.623 -0.082 0.236 0.269 0.151 0.064 0.269
80% to less than 90% -0.437 0.005 0.345 0.279 0.204 0.037 0.279
90% to less than 100% -0.395 0.129 0.337 0.235 0.201 -0.131 0.235
100% or greater NaN NA 0.185 0.148 0.106 -0.130 0.148
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 0.405 0.609 0.422 0.241 0.609
90% to less than 95% NA NA 0.415 0.450 0.258 0.107 0.450
95% to less than 100% NA NA 0.111 0.367 0.127 -0.020 0.367
100% to less than 105% NA NA -0.041 0.100 -0.090 -0.285 0.100
105% or greater NA NA -0.245 -0.250 -0.267 -0.621 -0.250
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 0.412 0.631 0.424 0.236 0.631
90% to less than 95% NA NA 0.413 0.462 0.257 0.111 0.462
95% to less than 100% NA NA 0.127 0.371 0.130 0.012 0.371
100% to less than 105% NA NA 0.052 0.121 -0.049 -0.229 0.121
105% or greater NA NA -0.255 -0.170 -0.187 -0.526 -0.170

Table 4.6 Average real SEDR by scheme characteristics (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Mean percentage (%)
Tranche
3 6 9 12 10 11 12
All schemes 2.105 1.650 0.924 -0.675 0.150 0.084 -0.675
Size by number of members
Fewer than 100 members 1.892 1.436 0.724 -0.695 0.140 0.067 -0.695
100 to fewer than 500 members 2.199 1.710 0.979 -0.589 0.214 0.177 -0.589
500 to fewer than 1,000 members 2.244 1.792 1.054 -0.697 0.174 0.040 -0.697
1,000 to fewer than 5,000 members 2.216 1.810 1.081 -0.772 0.125 0.031 -0.772
5,000 members or more 2.090 1.823 1.132 -0.803 -0.050 -0.146 -0.803
Size by TPs
Less than £5m 1.869 1.427 0.723 -0.704 0.116 0.025 -0.704
£5m to less than £20m 2.174 1.613 0.900 -0.559 0.218 0.217 -0.559
£20m to less than £100m 2.201 1.785 0.999 -0.622 0.223 0.147 -0.622
£100m to less than £300m 2.217 1.814 1.042 -0.829 0.103 -0.029 -0.829
£300m or greater 2.070 1.655 1.029 -0.834 -0.035 -0.144 -0.834
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 2.024 1.521 0.794 -0.679 0.182 0.030 -0.679
25% to less than 50% 2.221 1.764 1.054 -0.598 0.220 0.139 -0.598
50% to less than 75% 2.022 1.600 0.878 -0.774 0.038 0.106 -0.774
75% or greater 1.697 1.380 0.510 -0.787 -0.084 -0.302 -0.787
TPs for active members
TPs reported for active members 2.170 1.753 1.058 -0.549 0.233 0.154 -0.549
TPs not reported for active members 1.959 1.502 0.776 -0.771 0.079 0.032 -0.771
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 1.127 -0.734 0.044 -0.031 -0.734
Covenant group 2 (Tending to Strong) NA NA 0.967 -0.605 0.152 0.079 -0.605
Covenant group 3 (Tending to Weak) NA NA 0.947 -0.662 0.182 0.139 -0.662
Covenant group 4 (Weak) NA NA 0.753 -0.722 0.091 0.026 -0.722
RP length (schemes in deficit only)
Fewer than 5 years 2.064 1.602 0.789 -0.775 0.052 -0.013 -0.775
5 to fewer than 7.5 years 2.109 1.606 0.920 -0.680 0.203 0.100 -0.680
7.5 to fewer than 10 years 2.121 1.648 0.990 -0.622 0.245 0.121 -0.622
10 years or more 2.129 1.749 1.102 -0.518 0.153 0.185 -0.518
Return seeking assets
Less than 20% 1.586 1.029 0.283 -1.192 -0.433 -0.422 -1.192
20% to less than 40% 1.839 1.362 0.497 -0.851 -0.122 -0.110 -0.851
40% to less than 60% 2.022 1.579 0.882 -0.652 0.154 0.148 -0.652
60% to less than 80% 2.153 1.792 1.153 -0.272 0.381 0.367 -0.272
80% or greater 2.233 1.847 1.066 -0.289 0.552 0.537 -0.289
Presence of contingent assets
No contingent asset NA 1.639 0.917 -0.662 0.147 0.114 -0.662
At least one contingent asset NA 1.687 0.957 -0.732 0.161 -0.032 -0.732
Funding level (TPs)
Less than 70% 1.802 1.418 0.696 -0.734 -0.015 -0.003 -0.734
70% to less than 80% 2.101 1.592 0.919 -0.648 0.165 0.200 -0.648
80% to less than 90% 2.196 1.647 0.986 -0.638 0.133 0.159 -0.638
90% to less than 100% 2.211 1.805 0.983 -0.675 0.190 -0.021 -0.675
100% or greater NaN NA 0.883 -0.699 0.195 0.068 -0.699
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 1.080 -0.297 0.485 0.427 -0.297
90% to less than 95% NA NA 1.097 -0.462 0.264 0.228 -0.462
95% to less than 100% NA NA 0.739 -0.521 0.093 0.107 -0.521
100% to less than 105% NA NA 0.637 -0.824 -0.097 -0.145 -0.824
105% or greater NA NA 0.468 -1.113 -0.270 -0.462 -1.113
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 1.089 -0.273 0.490 0.422 -0.273
90% to less than 95% NA NA 1.098 -0.452 0.262 0.225 -0.452
95% to less than 100% NA NA 0.808 -0.509 0.114 0.131 -0.509
100% to less than 105% NA NA 0.702 -0.792 -0.072 -0.070 -0.792
105% or greater NA NA 0.322 -1.057 -0.206 -0.373 -1.057

Table 4.7 Average outperformance of the real SEDR over the 20 year spot rate on UK gilts by scheme characteristics (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Mean percentage (%)
Tranche
3 6 9 12 10 11 12
All schemes 1.144 0.912 0.896 1.068 0.984 0.993 1.068
Size by number of members
Fewer than 100 members 0.929 0.707 0.699 1.036 0.965 0.971 1.036
100 to fewer than 500 members 1.235 0.967 0.953 1.159 1.048 1.091 1.159
500 to fewer than 1,000 members 1.291 1.056 1.031 1.058 1.014 0.955 1.058
1,000 to fewer than 5,000 members 1.262 1.073 1.046 0.976 0.971 0.937 0.976
5,000 members or more 1.132 1.069 1.091 0.944 0.791 0.763 0.944
Size by TPs
Less than £5m 0.913 0.701 0.701 1.021 0.938 0.918 1.021
£5m to less than £20m 1.199 0.871 0.880 1.178 1.050 1.136 1.178
£20m to less than £100m 1.250 1.045 0.969 1.133 1.057 1.050 1.133
£100m to less than £300m 1.256 1.076 1.000 0.914 0.948 0.901 0.914
£300m or greater 1.125 0.911 0.999 0.914 0.808 0.764 0.914
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 1.061 0.797 0.769 1.048 1.013 0.919 1.048
25% to less than 50% 1.261 1.028 1.031 1.151 1.054 1.049 1.151
50% to less than 75% 1.070 0.846 0.846 0.974 0.874 1.027 0.974
75% or greater 0.711 0.619 0.460 0.936 0.746 0.619 0.936
TPs for active members
TPs reported for active members 1.211 1.024 1.027 1.191 1.066 1.051 1.191
TPs not reported for active members 0.995 0.751 0.753 0.974 0.914 0.950 0.974
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 1.082 1.015 0.880 0.881 1.015
Covenant group 2 (Tending to Strong) NA NA 0.947 1.141 0.995 0.994 1.141
Covenant group 3 (Tending to Weak) NA NA 0.930 1.077 1.021 1.055 1.077
Covenant group 4 (Weak) NA NA 0.724 1.024 0.910 0.921 1.024
RP length (schemes in deficit only)
Fewer than 5 years 1.093 0.865 0.755 0.967 0.881 0.887 0.967
5 to fewer than 7.5 years 1.157 0.852 0.896 1.064 1.031 0.995 1.064
7.5 to fewer than 10 years 1.160 0.910 0.972 1.130 1.087 1.055 1.130
10 years or more 1.179 1.021 1.077 1.234 1.008 1.112 1.234
Return seeking assets
Less than 20% 0.633 0.317 0.230 0.537 0.377 0.476 0.537
20% to less than 40% 0.874 0.617 0.462 0.892 0.716 0.802 0.892
40% to less than 60% 1.070 0.835 0.857 1.097 0.998 1.064 1.097
60% to less than 80% 1.191 1.059 1.125 1.464 1.209 1.273 1.464
80% or greater 1.264 1.100 1.049 1.460 1.355 1.404 1.460
Presence of contingent assets
No contingent asset NA 0.905 0.890 1.077 0.981 1.024 1.077
At least one contingent asset NA 0.936 0.924 1.028 0.994 0.871 1.028
Funding level (TPs)
Less than 70% 0.843 0.697 0.672 1.021 0.849 0.923 1.021
70% to less than 80% 1.144 0.850 0.901 1.106 1.001 1.126 1.106
80% to less than 90% 1.234 0.906 0.966 1.111 0.973 1.066 1.111
90% to less than 100% 1.246 1.069 0.947 1.061 1.013 0.884 1.061
100% or greater NaN NA 0.851 1.030 1.018 0.955 1.030
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 1.069 1.453 1.302 1.324 1.453
90% to less than 95% NA NA 1.065 1.273 1.094 1.143 1.273
95% to less than 100% NA NA 0.710 1.218 0.933 1.011 1.218
100% to less than 105% NA NA 0.596 0.931 0.751 0.763 0.931
105% or greater NA NA 0.426 0.624 0.572 0.454 0.624
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 1.078 1.478 1.308 1.319 1.478
90% to less than 95% NA NA 1.066 1.284 1.096 1.144 1.284
95% to less than 100% NA NA 0.781 1.227 0.954 1.040 1.227
100% to less than 105% NA NA 0.666 0.955 0.772 0.832 0.955
105% or greater NA NA 0.277 0.692 0.629 0.534 0.692

Table 4.8 Distribution of the nominal SEDR (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Rate Percentage (%)
Tranche
3 6 9 12 10 11 12
95th percentile 6.79 6.36 5.61 4.07 4.58 4.46 4.07
Upper quartile 6.30 5.83 4.95 3.18 3.86 3.74 3.18
Median 5.93 5.47 4.55 2.70 3.45 3.31 2.70
Lower quartile 5.55 5.05 4.13 2.26 3.05 2.89 2.26
5th percentile 4.85 4.31 3.47 1.70 2.31 2.15 1.70

Table 4.9a Distribution of the outperformance of the nominal SEDR over nominal 20 year UK gilts (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Rate Percentage (%)
Tranche
3 6 9 12 10 11 12
95th percentile 2.19 1.96 2.05 2.19 2.03 2.00 2.19
Upper quartile 1.70 1.41 1.36 1.33 1.36 1.31 1.33
Median 1.35 1.07 0.98 0.87 1.03 0.95 0.87
Lower quartile 0.96 0.66 0.58 0.42 0.63 0.52 0.42
5th percentile 0.26 -0.08 -0.11 -0.14 -0.09 -0.16 -0.14

Table 4.9b Distribution of the outperformance of the nominal SEDR over greater than 15 year AA rated corporate bonds (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Rate Percentage (%)
Tranche
3 6 9 12 10 11 12
95th percentile 0.52 0.91 1.31 1.51 1.20 1.03 1.51
Upper quartile -0.07 0.38 0.64 0.66 0.52 0.32 0.66
Median -0.58 0.04 0.27 0.18 0.17 -0.05 0.18
Lower quartile -1.04 -0.39 -0.14 -0.25 -0.22 -0.47 -0.25
5th percentile -1.75 -1.12 -0.82 -0.82 -0.96 -1.15 -0.82

Table 4.10 Distribution of the real SEDR (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Rate Percentage (%)
Tranche
3 6 9 12 10 11 12
95th percentile 2.96 2.56 2.02 0.73 1.18 1.16 0.73
Upper quartile 2.47 1.99 1.27 -0.29 0.54 0.48 -0.29
Median 2.15 1.69 0.91 -0.74 0.18 0.10 -0.74
Lower quartile 1.79 1.31 0.58 -1.11 -0.20 -0.28 -1.11
5th percentile 1.06 0.67 -0.04 -1.68 -0.87 -0.95 -1.68

Table 4.11 Distribution of the outperformance of the real SEDR over the 20 year spot rate on UK gilts (Tranches 1-7: schemes in deficit only, Tranches 8-12: all schemes)

Rate Percentage (%)
Tranche
3 6 9 12 10 11 12
95th percentile 2.00 1.87 2.02 2.40 1.95 2.02 2.40
Upper quartile 1.51 1.26 1.23 1.46 1.35 1.37 1.46
Median 1.18 0.94 0.89 1.02 1.02 1.02 1.02
Lower quartile 0.84 0.57 0.53 0.62 0.66 0.64 0.62
5th percentile 0.12 -0.08 -0.08 0.07 -0.03 0.00 0.07

Mortality assumptions

Table 5.1 Base mortality tables (schemes in deficit only)

Percentage of schemes (%)
Tranche
3 6 9 12 10 11 12
92 Series 37 2 4 0 2 0 0
00 Series 55 19 21 2 17 2 2
SAPS Series 6 77 74 96 79 94 96
Other Series 2 2 0 2 2 4 2

Table 5.2 Loadings applied to base mortality tables (schemes in deficit only)

Percentage of schemes (%)
Tranche
3 6 9 12 10 11 12
No Loading 55 50 50 48 48 47 48
Rating by age 23 12 10 7 10 6 7
Percentage Adjustment to q(x) 20 27 29 35 31 35 35
SAPS Series Light / Heavy 1 5 5 4 5 5 4
Combination of two or more of the above 1 5 6 6 6 7 6

Table 5.3 q(x) adjustments to base mortality tables (Tranche 12 schemes in deficit only)

Percentage of schemes (%)
Base table
00 Series SAPS Series Other Series Total
No qX Loading 93 56 100 58
Less than 80% 0 1 0 1
80% to 100% 4 28 0 26
100% to 120% 4 13 0 13
Over 120% 0 2 0 2
Total 2 96 2 100

Table 5.4 Adjustment to base mortality table from valuation date (schemes in deficit only)

Percentage of schemes (%)
Tranche
3 6 9 12 10 11 12
None / Not Stated 10 3 2 2 3 3 2
92 Base Adjustment 3 0 0 0 0 0 0
Short Cohort Projection 1 0 0 0 0 0 0
Medium Cohort Projection 51 16 5 0 10 1 0
Long Cohort Projection 33 13 3 0 8 0 0
CMI Projection 0 67 88 96 78 94 96
Other Projection 3 2 2 2 2 1 2
Use of a long-term rate of improvement 60 94 95 95 94 94 95

Table 5.5 Size of improvement adopted by tranche (schemes in deficit only)

Percentage of schemes (%)
Tranche
3 6 9 12 10 11 12
None / Not Stated 100 34 9 5 22 6 5
1% or less 0 11 9 3 8 2 3
Greater than 1% to less than 1.5% 0 13 8 10 12 8 10
1.5% 0 35 61 66 49 70 66
Greater than 1.5% to less than 2.0% 0 2 5 10 3 8 10
2.00% or greater 0 5 8 7 6 6 7

 

Life expectancy

Table 6.1a Distribution of life expectancies for future male pensioners aged 45 (schemes in surplus and deficit)

Life Expectancy (Years)
Tranche
3 6 9 12 10 11 12
95th percentile 91.6 92.4 92.3 91.5 92.2 91.9 91.5
Upper quartile 89.9 90.8 90.8 90.0 90.7 90.5 90.0
Median 89.0 89.7 89.9 89.3 89.8 89.7 89.3
Lower quartile 88.0 88.9 89.3 88.8 89.4 89.4 88.8
5th percentile 86.3 87.6 88.1 87.7 88.3 88.0 87.7

Table 6.1b Distribution of life expectancies for current male pensioners aged 65 (schemes in surplus and deficit)

Life Expectancy (Years)
Tranche
3 6 9 12 10 11 12
95th percentile 89.0 89.4 89.5 89.1 89.6 89.4 89.1
Upper quartile 87.9 88.5 88.6 88.2 88.5 88.3 88.2
Median 87.0 87.6 87.7 87.4 87.7 87.7 87.4
Lower quartile 86.1 86.9 87.3 87.1 87.4 87.4 87.1
5th percentile 84.8 85.8 86.2 86.0 86.4 86.2 86.0

Table 6.1c Distribution of life expectancies for future female pensioners aged 45 (schemes in surplus and deficit)

Life Expectancy (Years)
Tranche
3 6 9 12 10 11 12
95th percentile 93.4 94.2 94.3 93.3 94.1 94.0 93.3
Upper quartile 92.4 92.7 92.8 92.0 92.9 92.7 92.0
Median 91.3 91.9 92.1 91.2 92.0 91.9 91.2
Lower quartile 90.2 91.0 91.3 90.8 91.5 91.5 90.8
5th percentile 88.6 89.9 90.4 89.8 90.5 90.3 89.8

Table 6.1d Distribution of life expectancies for current female pensioners aged 65 (schemes in surplus and deficit)

Life Expectancy (Years)
Tranche
3 6 9 12 10 11 12
95th percentile 91.7 91.5 91.5 91.1 91.4 91.4 91.1
Upper quartile 90.5 90.5 90.5 90.0 90.5 90.3 90.0
Median 89.6 89.8 89.8 89.4 89.8 89.6 89.4
Lower quartile 88.7 89.1 89.3 89.0 89.4 89.4 89.0
5th percentile 87.3 88.2 88.3 88.1 88.5 88.3 88.1

Table 6.2a Average life expectancies for current male pensioners aged 65 by scheme characteristics (schemes in surplus and deficit)

Life Expectancy (Years)
Tranche
3 6 9 12 10 11 12
Current male pensioners aged 65
All schemes 87.0 87.7 87.9 87.6 87.9 87.8 87.6
Size by number of members
Fewer than 100 members 87.4 87.9 87.9 87.6 87.9 87.7 87.6
100 to fewer than 500 members 87.0 87.6 87.8 87.5 87.9 87.7 87.5
500 to fewer than 1,000 members 86.8 87.6 87.9 87.7 87.9 87.9 87.7
1,000 to fewer than 5,000 members 86.6 87.4 87.8 87.5 87.9 87.8 87.5
5,000 members or more 86.5 87.6 87.9 87.7 87.8 88.0 87.7
Size by TPs
Less than £5m 87.4 87.6 87.7 87.4 87.6 87.6 87.4
£5m to less than £20m 86.9 87.7 87.8 87.4 87.9 87.5 87.4
£20m to less than £100m 86.9 87.7 88.0 87.6 88.0 87.8 87.6
£100m to less than £300m 86.6 87.5 88.0 87.8 88.0 88.1 87.8
£300m or greater 86.7 87.9 88.0 87.8 88.0 88.1 87.8
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 87.2 87.8 87.9 87.6 87.8 87.8 87.6
25% to less than 50% 86.8 87.6 87.8 87.5 87.9 87.7 87.5
50% to less than 75% 86.7 87.6 87.9 87.6 87.9 87.8 87.6
75% or greater 87.0 88.2 88.4 88.0 88.4 88.1 88.0
TPs for active members
TPs reported for active members 86.9 87.6 87.8 87.6 87.9 87.8 87.6
TPs not reported for active members 87.2 87.7 87.9 87.5 87.9 87.7 87.5
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 88.0 87.8 88.2 88.0 87.8
Covenant group 2 (Tending to Strong) NA NA 87.9 87.5 87.9 87.8 87.5
Covenant group 3 (Tending to Weak) NA NA 87.8 87.6 87.9 87.7 87.6
Covenant group 4 (Weak) NA NA 87.9 87.5 87.7 87.5 87.5
RP length (schemes in deficit only)
Fewer than 5 years 87.2 87.8 88.1 87.6 88.1 87.8 87.6
5 to fewer than 7.5 years 87.1 87.7 87.9 87.6 87.9 87.8 87.6
7.5 to fewer than 10 years 87.0 87.7 87.8 87.5 87.7 87.8 87.5
10 years or more 86.8 87.4 87.7 87.4 87.7 87.5 87.4
Return seeking assets
Less than 20% 87.3 87.8 87.6 87.9 87.7 87.9 87.9
20% to less than 40% 87.0 87.9 88.1 87.6 88.1 87.9 87.6
40% to less than 60% 87.0 87.8 87.9 87.6 87.9 87.7 87.6
60% to less than 80% 87.0 87.5 87.8 87.4 87.8 87.6 87.4
80% or greater 86.6 87.3 87.6 87.4 87.8 87.7 87.4
Presence of contingent assets
No contingent asset NA 87.6 87.8 87.5 87.9 87.7 87.5
At least one contingent asset NA 87.7 88.0 87.7 87.9 87.8 87.7
Funding level (TPs)
Less than 70% 87.4 87.9 87.8 87.5 87.9 87.7 87.5
70% to less than 80% 86.9 87.6 87.9 87.5 87.7 87.7 87.5
80% to less than 90% 86.9 87.7 87.9 87.6 88.0 87.7 87.6
90% to less than 100% 87.0 87.6 88.0 87.6 87.9 87.8 87.6
100% or greater 86.7 87.5 87.8 87.5 87.8 87.9 87.5
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 87.7 87.3 87.7 87.5 87.3
90% to less than 95% NA NA 87.9 87.5 88.0 87.7 87.5
95% to less than 100% NA NA 87.9 87.5 87.9 87.8 87.5
100% to less than 105% NA NA 88.1 87.7 88.0 87.9 87.7
105% or greater NA NA 87.8 87.7 87.9 88.0 87.7
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 87.7 87.3 87.7 87.5 87.3
90% to less than 95% NA NA 87.9 87.5 88.0 87.7 87.5
95% to less than 100% NA NA 87.9 87.5 87.9 87.8 87.5
100% to less than 105% NA NA 88.0 87.6 87.9 87.8 87.6
105% or greater NA NA 87.9 87.7 87.9 88.0 87.7
Employer industry classification
Agricultural Production 86.5 88.0 88.0 87.6 87.8 87.6 87.6
Communications 86.5 87.4 87.7 87.4 88.0 88.0 87.4
Construction 87.2 87.5 87.7 87.4 87.7 87.8 87.4
Finance, Insurance and Real Estate 87.4 88.0 88.2 88.0 88.3 88.2 88.0
Manufacturing 86.6 87.4 87.7 87.4 87.8 87.5 87.4
Mining 86.7 87.8 88.0 88.0 88.2 87.6 88.0
Public Administration 87.7 87.6 87.6 87.2 88.3 87.6 87.2
Retail Trade 87.1 87.7 87.8 87.4 87.9 87.4 87.4
Services 87.1 87.8 88.0 87.7 87.8 87.8 87.7
Transportation 86.4 87.0 87.5 87.1 87.8 87.5 87.1
Utilities 87.0 87.7 88.0 87.6 88.3 88.1 87.6
Wholesale Trade 87.1 87.7 87.8 87.5 87.9 87.7 87.5
Employer geographical area
East Anglia 87.1 87.6 88.0 87.7 88.0 87.8 87.7
East Midlands 86.5 87.3 87.7 87.4 87.9 87.7 87.4
London 87.2 88.0 88.2 87.9 88.2 88.2 87.9
North East England 86.6 87.2 87.5 87.2 87.5 87.3 87.2
North West England 86.9 87.3 87.5 87.4 87.6 87.5 87.4
Northern Ireland 86.2 87.2 87.4 87.2 87.1 86.7 87.2
Scotland 86.7 87.3 87.6 87.2 87.5 87.6 87.2
South East England 87.2 87.8 88.0 87.7 88.0 87.8 87.7
South West England 87.1 87.8 88.0 87.6 87.9 87.8 87.6
Wales 86.9 87.2 87.1 86.9 87.5 87.3 86.9
West Midlands 86.6 87.5 87.7 87.3 87.7 87.6 87.3

Table 6.2b Average life expectancies for future male pensioners aged 45 by scheme characteristics (schemes in surplus and deficit)

Life Expectancy (Years)
Tranche
3 6 9 12 10 11 12
Future male pensioners aged 45
All schemes 88.9 89.7 90.0 89.4 90.0 89.9 89.4
Size by number of members
Fewer than 100 members 89.2 89.9 90.1 89.5 90.0 89.9 89.5
100 to fewer than 500 members 88.8 89.6 90.0 89.4 90.0 89.8 89.4
500 to fewer than 1,000 members 88.7 89.7 90.1 89.5 90.1 90.1 89.5
1,000 to fewer than 5,000 members 88.5 89.5 89.9 89.3 90.0 89.8 89.3
5,000 members or more 88.6 89.6 90.1 89.6 90.0 90.1 89.6
Size by TPs
Less than £5m 89.2 89.6 89.8 89.3 89.7 89.8 89.3
£5m to less than £20m 88.8 89.8 89.9 89.3 90.0 89.6 89.3
£20m to less than £100m 88.8 89.8 90.2 89.5 90.1 89.9 89.5
£100m to less than £300m 88.5 89.6 90.2 89.6 90.2 90.2 89.6
£300m or greater 88.8 89.9 90.2 89.6 90.1 90.2 89.6
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% 89.1 89.9 90.1 89.5 89.9 89.9 89.5
25% to less than 50% 88.6 89.7 89.9 89.4 90.0 89.8 89.4
50% to less than 75% 88.7 89.7 90.0 89.4 90.0 89.9 89.4
75% or greater 88.9 89.0 90.6 89.9 90.5 90.5 89.9
TPs for active members
TPs reported for active members 88.8 89.7 90.0 89.4 90.0 89.9 89.4
TPs not reported for active members 89.1 89.8 90.1 89.4 90.0 89.9 89.4
Covenant (schemes in deficit only)
Covenant group 1 (Strong) NA NA 90.2 89.6 90.3 90.2 89.6
Covenant group 2 (Tending to Strong) NA NA 90.1 89.3 90.0 89.9 89.3
Covenant group 3 (Tending to Weak) NA NA 89.9 89.5 90.0 89.8 89.5
Covenant group 4 (Weak) NA NA 90.1 89.3 89.8 89.7 89.3
RP length (schemes in deficit only)
Fewer than 5 years 89.0 89.8 90.3 89.5 90.2 89.9 89.5
5 to fewer than 7.5 years 89.1 89.8 90.1 89.5 90.1 89.9 89.5
7.5 to fewer than 10 years 88.8 89.8 90.0 89.4 89.8 90.0 89.4
10 years or more 88.6 89.5 89.8 89.2 89.9 89.6 89.2
Return seeking assets
Less than 20% 89.2 89.0 89.6 89.8 89.6 90.1 89.8
20% to less than 40% 88.9 90.0 90.2 89.5 90.2 90.1 89.5
40% to less than 60% 88.9 89.9 90.1 89.4 90.0 89.8 89.4
60% to less than 80% 89.0 89.6 90.0 89.2 90.0 89.7 89.2
80% or greater 88.6 89.4 89.8 89.4 89.9 89.7 89.4
Presence of contingent assets
No contingent asset NA 89.7 90.0 89.4 90.0 89.9 89.4
At least one contingent asset NA 89.6 90.2 89.6 90.0 90.0 89.6
Funding level (TPs)
Less than 70% 89.3 90.1 90.0 89.4 90.0 89.8 89.4
70% to less than 80% 88.7 89.7 90.0 89.4 89.9 89.8 89.4
80% to less than 90% 88.8 89.8 90.0 89.5 90.1 89.8 89.5
90% to less than 100% 88.9 89.6 90.2 89.5 90.0 90.0 89.5
100% or greater 88.7 89.6 89.9 89.4 90.0 90.1 89.4
PPF Standard stressed/Unstressed asset ratio
Less than 90% NA NA 89.8 89.1 89.8 89.6 89.1
90% to less than 95% NA NA 90.1 89.4 90.2 89.8 89.4
95% to less than 100% NA NA 90.2 89.3 90.0 89.9 89.3
100% to less than 105% NA NA 90.2 89.5 90.1 90.0 89.5
105% or greater NA NA 89.9 89.6 89.9 90.2 89.6
PPF Combined stressed/Unstressed asset ratio
Less than 90% NA NA 89.8 89.1 89.8 89.6 89.1
90% to less than 95% NA NA 90.1 89.4 90.2 89.8 89.4
95% to less than 100% NA NA 90.1 89.3 90.0 89.9 89.3
100% to less than 105% NA NA 90.2 89.5 90.1 90.0 89.5
105% or greater NA NA 89.9 89.6 90.0 90.2 89.6
Employer industry classification
Agricultural Production 88.2 90.0 90.2 89.5 89.7 90.2 89.5
Communications 88.5 89.6 89.7 89.1 90.1 90.0 89.1
Construction 88.9 89.5 89.7 89.3 89.7 90.0 89.3
Finance, Insurance and Real Estate 89.2 90.2 90.4 89.9 90.4 90.3 89.9
Manufacturing 88.5 89.5 89.9 89.3 89.9 89.7 89.3
Mining 88.3 89.8 90.3 89.9 90.4 89.6 89.9
Public Administration 89.2 89.4 89.7 89.0 90.5 89.5 89.0
Retail Trade 88.9 89.8 89.9 89.2 90.0 89.6 89.2
Services 89.0 89.9 90.1 89.5 89.9 89.9 89.5
Transportation 88.3 89.1 89.7 88.9 89.9 89.7 88.9
Utilities 89.5 89.7 90.1 89.3 90.4 90.1 89.3
Wholesale Trade 89.0 89.3 90.0 89.3 90.1 89.8 89.3
Employer geographical area
East Anglia 88.9 89.7 90.1 89.5 90.2 90.0 89.5
East Midlands 88.7 88.5 89.8 89.2 90.0 89.9 89.2
London 89.1 90.2 90.4 89.8 90.3 90.4 89.8
North East England 88.4 89.4 89.6 89.0 89.6 89.4 89.0
North West England 88.7 89.4 89.6 89.2 89.7 89.6 89.2
Northern Ireland 87.8 89.2 89.5 88.9 89.2 88.8 88.9
Scotland 88.4 89.4 89.6 89.0 89.6 89.7 89.0
South East England 89.1 89.9 90.2 89.6 90.2 89.9 89.6
South West England 89.0 90.0 90.2 89.5 90.0 89.9 89.5
Wales 88.8 89.3 89.2 88.7 89.5 89.5 88.7
West Midlands 88.5 89.5 89.9 89.2 89.8 89.6 89.2

Table 6.3 Average change in life expectancies for current male pensioners aged 65 by scheme characteristics, Tranche 9 versus Tranche 12 (schemes in surplus and deficit)

Change in assumed age at death (years) Percentage of schemes (%)
Current male pensioners aged 65
All Schemes -0.32 100
Size by number of members
Fewer than 100 members -0.36 36
100 to fewer than 500 members -0.30 36
500 to fewer than 1,000 members -0.35 9
1,000 to fewer than 5,000 members -0.33 14
5,000 members or more -0.22 5
Size by TPs
Less than £5m -0.38 18
£5m to less than £20m -0.33 27
£20m to less than £100m -0.32 30
£100m to less than £300m -0.27 13
£300m or greater -0.31 11
Maturity (ratio of pensioner TPs to total TPs)
Less than 25% -0.37 21
25% to less than 50% -0.31 46
50% to less than 75% -0.32 28
75% or greater -0.29 5
TPs for active members
TPs reported for active members -0.30 42
TPs not reported for active members -0.34 58
Covenant (schemes in deficit only)
Covenant group 1 (Strong) -0.38 11
Covenant group 2 (Tending to Strong) -0.33 46
Covenant group 3 (Tending to Weak) -0.28 29
Covenant group 4 (Weak) -0.36 14
RP length (schemes in deficit only)
Fewer than 5 years -0.34 40
5 to fewer than 7.5 years -0.32 20
7.5 to fewer than 10 years -0.31 19
10 years or more -0.32 21
Return seeking assets
Less than 20% -0.30 13
20% to less than 40% -0.34 23
40% to less than 60% -0.33 39
60% to less than 80% -0.33 21
80% or greater -0.22 3
Presence of contingent assets
No contingent asset -0.33 83
At least one contingent asset -0.29 17
Funding level (TPs)
Less than 70% -0.34 12
70% to less than 80% -0.30 15
80% to less than 90% -0.29 24
90% to less than 100% -0.36 27
100% or greater -0.32 23
PPF Standard stressed/Unstressed asset ratio
Less than 90% -0.29 8
90% to less than 95% -0.38 20
95% to less than 100% -0.30 29
100% to less than 105% -0.33 23
105% or greater -0.31 20
PPF Combined stressed/Unstressed asset ratio
Less than 90% -0.29 8
90% to less than 95% -0.38 19
95% to less than 100% -0.33 27
100% to less than 105% -0.33 22
105% or greater -0.29 25
Employer industry classification
Agricultural Production -0.40 1
Communications -0.42 1
Construction -0.32 3
Finance, Insurance and Real Estate -0.31 18
Manufacturing -0.30 26
Mining -0.01 1
Public Administration -0.49 1
Retail Trade -0.36 5
Services -0.33 28
Transportation -0.46 5
Utilities -0.38 1
Wholesale Trade -0.31 10
Employer geographical area
East Anglia -0.29 11
East Midlands -0.36 5
London -0.36 25
North East England -0.31 10
North West England -0.26 9
Northern Ireland -0.29 2
Scotland -0.31 5
South East England -0.32 17
South West England -0.47 6
Wales -0.22 2
West Midlands -0.30 8

Glossary

00 series base mortality table (00 series)

Based on 1999-2002 experience collected from UK insurance companies.

92 series base mortality table (92 series)

Based on 1991-1994 experience collected from UK insurance companies.

Actuarial valuation

A comparison by the actuary of the value placed on scheme assets with the TPs and an assessment of any future contribution requirement. Calculation of the TPs is usually based on full member-by-member data.

Buyout liabilities (or s75 or solvency)

This refers to the scheme actuary’s estimate of the cost of securing scheme liabilities with annuities purchased from a regulated insurance company, which may be used as the solvency estimate as part of the actuarial valuation for a scheme in windup. Section 75 (s75) of the Pensions Act 1995 provides for the calculation of a debt on the employer on the buyout basis (see s75 debt) if a scheme winds up (or if an employer becomes insolvent or ceases to participate in a multi-employer scheme). Throughout this publication the term ‘buyout’ is used. In a small number of cases, an alternative measure of solvency is submitted to TPR, in which case this will be the data that has been used in this analysis and there is no distinction made.

Contingent assets

Contingent assets are assets on which a claim by the pension scheme would exist on the occurrence of one or more specified future events (‘the contingent event’), such as movements in corporate asset holdings, increased employer borrowing, employer failure or the failure to achieve a specified funding level. Unless the events occur, these assets are not available to the trustees to meet members’ benefit payments. They are not included as scheme assets for the purpose of assessing whether a scheme meets its statutory funding objective (ie that assets are sufficient to cover TPs) until they are transferred to the scheme.

Continuous Mortality Investigation (CMI)

The CMI Mortality Projections, created by the UK Actuarial Profession, are based on a deterministic model driven by user inputs. The model is based on the assumption that current rates of mortality improvement converge to a single long-term rate. The latest version of the model, CMI_2016, was published in March 2017.

Deficit repair contributions (DRCs)

These are contributions made by sponsors to the scheme in order to address any asset to TPs deficit, in line with the Schedule of Contributions and the RP.

Defined benefit (DB)

Benefits are worked out using a formula that is usually related to the members’ pensionable earnings and/ or length of service. These schemes are also referred to as ‘final salary’ or ‘salary-related’ pension schemes.

Different rates

Where separate discount rates are reported in respect of pre-retirement and post-retirement benefits in the valuation of liabilities. (See also ‘Single rates’).

Discount rate

A discount rate is a rate of compound interest which is used to calculate the present value of a sum due at a later time. This action discounts the sum due to its value today. It inherently assumes that the present value is invested and has to earn the chosen discount rate to achieve the sum due at the later time. (See also ‘Single rates’, ‘Different rates’).

Effective date (valuation date)

An actuarial valuation or an actuarial report considers the funding of a scheme as at a particular date, known as the effective date. The effective date will be earlier than the date on which calculations are done. The effective date of a scheme’s first Part 3 valuation cannot be before 22 September 2005.

Part 3 Valuation or scheme funding valuation

An actuarial valuation meeting the requirements of Part 3 of the Pensions Act 2004 concerning the funding of DB pension liabilities, which apply to any actuarial valuation received by trustees (on or after 30 December 2005) that is based on an effective date of 22 September 2005 or later.

Pension Protection Fund (PPF)

A corporate body established under the Pensions Act 2004. The PPF was set up to provide compensation to members of eligible DB pension schemes, when there is a qualifying failure event in relation to the employer, and where there are insufficient assets in the pension scheme to cover the PPF level of compensation.

Pension protection levy

This is the annual amount that a pension scheme is charged by the PPF. It is composed of a scheme-based levy and a risk-based levy.

PPF Stressed Asset Ratio

The ratio of the stressed value of assets (as per the PPF’s standard stress approach) to the unstressed market value of assets. The standard approach is carried out by the PPF on behalf of schemes that are not required to and do not opt to carry out a bespoke stress. The stressed assets value is used as a measure of investment risk for the PPF levy calculations.

Recovery plan (RP)

Under Part 3 of the Pensions Act 2004, where there is a funding shortfall at the effective date of the actuarial valuation, the trustees must prepare a plan to achieve full funding in relation to the TPs. The plan to address this shortfall is known as a recovery plan.

Recovery plan length

The recovery plan length is the time that it is assumed it will take for a scheme to eliminate any shortfall at the effective date of the actuarial valuation, so that by the end of the recovery plan it will be fully funded in relation to the TPs.

SAPs base mortality tables (includes ‘S1’ and ‘S2’ series)

Based on mortality experience of UK self-administered pension schemes. In October 2008, the CMI published the ‘S1’ Series; the first mortality tables to be based on UK pension scheme data.

Section 179 liabilities (s179)

This refers to a valuation of PPF compensation benefits under section 179 of the Pensions Act 2004, for PPF levy purposes. This measure is designed to be a close approximation to the liability measure that would be used to decide whether the PPF would need to take on the scheme were the employer to become insolvent. In contrast to TPs, the assumptions to be used in an s179 valuation are prescribed by the PPF and are standard across all schemes. They are designed such that s179 is close to the cost of securing the valued benefits with an insurance company at the valuation date.

Section 179 (s179) valuation

To calculate the risk-based pension protection levy, the PPF board must take account of scheme underfunding. To obtain a consistent basis for determining underfunding, schemes must complete a PPF valuation (section 179). This valuation will be based on the level of assets and liabilities for the scheme. The liabilities will be based on the scheme benefits, taking into account key features of the levels of compensation paid by the board of the PPF, as set out in Schedule 7 of the Pensions Act.

Technical provisions (TPs)

The funding measure used for the purposes of Part 3 valuations (see above). The ‘TPs’ are a calculation undertaken by the actuary of the assets needed at any particular time to make provision for benefits already considered accrued under the scheme using assumptions prudently chosen by the trustees - in other words, what is required for the scheme to meet the statutory funding objective. These include pensions in payment (including those payable to survivors of former members) and benefits accrued by other members and beneficiaries, which will become payable in the future.

Tranches

‘Tranche’ refers to the set of schemes which are required to carry out a scheme-specific funding valuation within a particular time period. Schemes whose valuation dates fell from 22 September 2005 to 21 September 2006 (both dates inclusive) were in Tranche 1, from 22 September 2006 to 21 September 2007 were Tranche 2 (both dates inclusive), etc. Because scheme-specific funding valuations are generally required every three years, schemes whose valuations are in Tranche 1 will also be likely to carry out valuations in Tranches 4, 7 and 10.

Short (SC), medium (MC) and long (LC) cohort projections

A number of UK mortality studies have shown that in recent years, the birth cohort of pensioners born around 1926 is, on average, living longer than those born earlier or later (the ‘golden cohort’). In 2002, the UK Actuarial Profession created three different cohort projections which take account of the ‘golden cohort’ effect, each projecting the future of the ‘golden cohort’ differently. The ‘short cohort’ projections assume that the ‘extra’ improvement in longevity experienced by the golden cohort will last, for the most fortunate generation, until 2010 (before reverting to ‘normal’ levels of improvement), the ‘medium cohort’ projections assume the effect will last until 2020 and the ‘long cohort’ projections assume the effect will last until 2040.

Single effective discount rate (SEDR)

A single composite rate and made up of constituents of the different rates reported, allowing approximately for the maturity of schemes. This approach is also used to normalise bases where the discount rate varies year-on-year. Please see the ‘Methodology’ section of this document for greater detail.

Single rates

Where a single discount rate has been reported in respect of the valuation of pre-retirement and post-retirement liabilities.

Triennial valuation cycles (cycles)

Given that all schemes are required to submit a Part 3 valuation to TPR at least every three years, each three year period (three valuation tranches), is referred to as a cycle. Cycle 1 corresponds to the first three valuation tranches (Tranches 1, 2 and 3); Cycle 2 the second three valuation tranches (Tranches 4, 5 and 6); etc. The majority of Cycle 2 plans (Tranches 4, 5 and 6) are second valuations under the scheme funding regime. However, Tranches 1 and 4 (2 and 5, and so on) do not constitute a perfect cohort. See the ‘Data coverage’ section in this document for further detail.

Valuation summary

A form to be completed when a recovery plan and schedule of contributions have been agreed by the trustees and the employer, following an actuarial valuation.