Scheme funding analysis 2023 annex

Annex: Valuations and recovery plans of UK defined benefit and hybrid pension schemes.

Published: 17 August 2023

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Data

The data contained in this statistical release were submitted by schemes to The Pensions Regulator (TPR) in triennial valuation summaries, their associated recovery plans, and annual scheme returns.

The data set builds on previous releases and includes tranche 16 valuations and associated recovery plans received up to 26 June 2023. It also includes data on schemes in surplus for all tranches.

Tranche 16 is the first tranche of the sixth cycle of the scheme funding regime, generally reflecting the sixth valuation of this cohort of schemes. Table 1.1 details which tranche of schemes belong in which funding cycle. Tranche 16 belongs in the same cohort as trances 13, 10, 7, 4 and 1. However, these cohorts do not contain exactly the same schemes. 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 the previous cycle (ie tranche 13) but exceeded its TPs for its valuation under the current cycle (i.e.: tranche 16).
• 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 varies 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.

As part of our ongoing efforts to continually improve our data and analysis capability, this iteration of the annual scheme funding analysis reflects the second time that the statistics have been produced having removed a variety of manual and semi-manual steps in the production of the analysis. This has allowed us to take an effective date of underlying data much closer to the publication date than has been possible in the past. The effective date of the underlying data supporting this iteration of the publication is 26 June 2023, whereas in previous publications — published at around the same time each year — have had effective dates of January or February in the corresponding year.

Methodology

Weighted averages are weighted by TPs. Where ‘average’ is used in the report, it refers to the mean.

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 effective discount 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 (schemes in deficit only for tranches 1 to 7; all schemes for tranches 8 to 16), and as such historical positions will differ to earlier publications.

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

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 to 4) are assigned at the point of initial recovery plan 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, but where the results of a bespoke stress have been submitted these have been instead used. The methodology for the standard stress test is consistent with the methodology published in the relevant levy year.

Schemes in the data set

Table 1.1: number 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	1,481	460
5	13	22 September 2017 to 21 September 2018	1,112	658
5	14	22 September 2018 to 21 September 2019	1,181	547
5	15	22 September 2019 to 21 September 2020	1,287	470
6	16	22 September 2020 to 21 September 2021	1,050	662

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 as schemes in surplus. By 26 June 2023, we had received 1,050 recovery plans and 662 valuations in respect of schemes reporting a surplus.

70.6% of schemes with tranche 16 valuations also reported valuations in tranche 13, tranche 10, tranche 7, tranche 4 and tranche 1.

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

Size by number of members

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	33.2	34.0	34.1	32.0	34.6	36.5	34.4	35.0	35.1	34.5	36.1	36.0	34.7	37.4	35.9	35.9
100 to fewer than 500 members	34.0	36.1	34.1	33.0	34.7	34.7	32.8	34.7	34.8	31.7	33.8	35.3	31.2	34.1	35.5	31.3
500 to fewer than 1,000 members	11.1	10.3	12.0	11.9	10.9	9.9	11.1	10.5	10.1	11.7	10.3	9.5	12.4	9.1	9.8	11.4
1,000 to fewer than 5,000 members	14.5	12.6	13.7	15.0	12.8	13.2	14.0	12.7	13.8	14.1	12.9	13.4	14.2	12.4	13.4	14.1
5,000 members or more	7.1	6.9	6.2	8.2	7.0	5.6	7.8	7.1	6.0	8.0	6.9	5.8	7.5	6.8	5.5	7.2

Size by TPs

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	31.1	31.8	28.4	27.4	27.8	26.0	23.5	23.6	21.3	21.7	21.4	18.8	20.3	19.6	16.4	18.5
£5m to less than £20m	28.7	31.1	29.8	28.2	29.8	29.2	24.8	26.9	29.0	23.1	26.0	26.0	21.3	25.1	25.5	21.8
£20m to less than £100m	24.9	23.0	26.4	25.6	25.2	26.5	28.6	27.9	28.5	28.2	28.1	29.9	29.4	29.0	31.0	28.5
£100m to less than £300m	7.7	7.1	8.7	9.9	8.6	10.9	12.4	10.4	12.2	14.3	11.7	13.5	14.8	12.6	14.6	15.7
£300m or greater	7.7	7.0	6.7	8.9	8.6	7.3	10.7	11.3	9.1	12.6	12.7	11.7	14.1	13.8	12.5	15.5

Maturity (ratio of pensioner TPs to total TPs)

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	47.2	46.4	40.5	38.2	36.5	30.5	30.2	29.0	25.1	26.9	24.2	21.9	21.7	19.6	15.9	16.9
25% to less than 50%	36.6	37.7	42.1	40.1	42.3	45.7	42.1	44.3	44.3	42.4	44.1	45.1	42.7	41.6	41.3	40.3
50% to less than 75%	14.4	13.7	15.3	18.9	18.6	20.7	24.1	23.7	26.7	26.7	27.0	28.0	30.3	32.7	36.4	36.1
5% or greater	1.8	2.2	2.1	2.7	2.7	3.2	3.6	3.0	3.9	4.0	4.7	5.0	5.4	6.0	6.4	6.7

Presence of active members

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	78.1	73.7	71.5	67.8	63.5	61	55.8	51.5	52.7	45.7	43.5	42.7	37.1	34.7	38	29.8
TPs not reported for active members	21.9	26.3	28.5	32.2	36.5	39	44.2	48.5	47.3	54.3	56.5	57.3	62.9	65.3	62	70.2

Covenant (schemes in deficit only)

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (Strong)							21.8	18.0	16.7	11.4	11.4	11.0	13.0	22.6	22.4	19.4
Covenant group 2 (Tending to Strong)							37.4	33.1	38.2	46.8	47.8	44.8	42.8	37.9	39.6	40.6
Covenant group 3 (Tending to Weak)							22.2	25.0	21.8	28.1	27.4	29.6	28.7	25.9	21.6	21.7
Covenant group 4 (Weak)							18.7	23.9	23.3	13.6	13.3	14.6	15.6	13.7	16.5	18.3

RP length (schemes in deficit only)

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	25.5	29.2	25.1	18.3	26.0	32.7	28.3	29.1	34.4	38.9	34.1	39.6	47.3	50	49.9	55.1
5 to fewer than 7.5 years	14.4	17.6	15.1	14.9	19.0	19.6	21.1	18.1	19.4	20.5	19.4	19.7	21.4	22.8	22.9	22.6
7.5 to fewer than 10 years	41.5	39.3	38.0	32.1	28.9	23.0	20.4	23.0	19.0	15.1	21.3	19.7	15.4	12.5	15.0	11.2
10 years or more	18.6	13.9	21.9	34.7	26.2	24.7	30.1	29.8	27.2	25.6	25.3	21.0	15.9	14.7	12.3	11.1

Return seeking assets

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	3.2	4.6	4.5	5.2	6.5	5.3	6.9	7.3	5.5	8.4	14.5	13.6	18.3	20.9	24.0	29.1
20% to less than 40%	5.2	5.9	6.6	11.2	9.7	12.8	14.2	12.2	12.1	16.8	21.6	23.7	27.1	28.8	29.3	29.4
40% to less than 60%	18.7	18.4	25.3	30.3	28.5	31.3	37.4	33.9	35.7	36.6	37.1	38.4	36.1	33.4	31.4	26.0
60% to less than 80%	50.3	48.5	45.7	43.4	42.9	40.5	35.3	38.6	39.1	31.8	22.3	20.9	16.5	14.2	13.4	13.2
80% or greater	22.6	22.6	17.9	9.9	12.4	10.1	6.2	8.1	7.6	6.3	4.5	3.5	2.1	2.6	1.8	2.3

Presence of contingent assets

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				84.6	79.7	82	78.9	80.7	83.3	81.8	81.1	82.8	82.1	84.1	81.3	84.6
At least one contingent asset				15.4	20.3	18	21.1	19.3	16.7	18.2	18.9	17.2	17.9	15.9	18.7	15.4

Funding level (TPs)

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	18.3	12.5	14.1	42.8	19.8	11.7	22.4	20.7	9.8	11.1	13.0	12.3	8.5	10.7	12.8	8.3
70% to less than 80%	21.3	18.6	21.1	26.3	24.5	17.8	25.2	23.2	14.6	15.5	17.0	14.9	11.8	11.8	15.3	9.8
80% to less than 90%	26.4	26.5	25.1	15.6	27.6	25.5	26.5	24.4	24.2	24.9	26.5	23.2	17.2	20	20.9	17.2
90% to less than 100%	18.4	23.0	21.2	8.4	16.7	23.8	14.9	18.1	27.5	25.0	23.9	25.9	25.3	25.8	24.2	26.0
100% or greater	15.6	19.3	18.5	6.8	11.5	21.2	11.1	13.5	24.0	23.5	19.7	23.7	37.2	31.7	26.8	38.7

PPF standard stressed/unstressed asset ratio

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							22.3	26.4	23.8	19.5	17.3	8.2	6.8	5.1	4.4	4.9
90% to less than 95%							36.6	35.3	36.9	29.1	27.6	20.5	15.1	13.9	13.0	9.9
95% to less than 100%							24.1	22.1	23.0	26.3	25.7	29.3	26.1	22.2	20.0	16.7
100% to less than 105%							11.2	9.8	8.6	13.4	16.2	21.9	23.2	22.9	21.3	23.2
105% or greater							5.9	6.4	7.7	11.6	13.2	20.1	28.7	35.8	41.3	45.3

PPF combined stressed/unstressed asset ratio

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							22.1	26.0	23.6	19.0	17.3	8.2	6.7	5.1	4.6	4.9
90% to less than 95%							35.7	33.8	34.8	27.6	26.0	19.2	14.5	13.9	12.7	9.7
95% to less than 100%							23.3	21.1	22.4	24.0	22.0	26.3	22.2	20.4	18.8	15.3
100% to less than 105%							11.7	11.2	10.6	14.7	15.9	21.0	22.1	21.3	20.1	20.5
105% or greater							7.2	7.9	8.6	14.7	18.9	25.2	34.4	39.4	43.8	49.6

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

	Tranches 14, 15 and 16
Covenant Groups (schemes in deficit only)	Members (%)	Assets for part 3 (TPs) valuation (%)	Technical provisions (%)	Buyout liabilities (%)	s179 liabilities (%)
Covenant group 1 (strong)	25.1	21.7	21.5	23.4	21.6
Covenant group 2 (tending to strong)	50.6	55.8	55.2	51.2	55.8
Covenant group 3 (tending to weak)	16.7	15.5	15.9	17.6	15.6
Covenant group 4 (weak)	7.6	7.0	7.3	7.8	7.0

Coverage = approximately 91% of schemes in deficit for tranches 14, 15 and 16 combined.

Table 1.2c: distribution of schemes and memberships across TPs funding levels (schemes in surplus and deficit, tranches 14, 15 and 16)

Funding level (TPs)	Schemes (%)	Members (%)
Less than 50%	1.7	0.2
50% to less than 60%	2.5	0.6
60% to less than 70%	6.6	2.0
70% to less than 80%	13.0	5.5
80% to less than 90%	19.3	23.9
90% to less than 100%	25.1	38.0
100% to less than 110%	21.8	24.7
110% to less than 120%	6.1	4.4
120% or greater	4.0	0.8

Tables 1.2d: concentration of memberships by scheme characteristics (schemes in surplus and deficit)

Size by number of members

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	0.6	0.8	0.8	0.5	0.8	0.8	0.7	0.9	0.8	0.7	0.9	0.8	0.6	1.0	0.8	0.7
100 to fewer than 500 members	3.5	4.6	4.4	3.0	4.6	4.4	3.7	4.7	4.1	3.7	4.7	4.0	3.3	5.3	3.9	3.8
500 to fewer than 1,000 members	3.5	3.8	4.5	3.3	4.2	3.7	3.8	4.2	3.5	4.0	4.1	3.2	3.8	4.1	3.2	4.0
1,000 to fewer than 5,000 members	14.0	15.0	16.9	12.3	16.0	16.2	13.9	16.6	15.6	14.8	17.0	14.3	13.9	18.1	14.3	15.6
5,000 members or more	78.3	75.8	73.4	80.8	74.4	74.9	78.0	73.7	76.0	76.7	73.3	77.7	78.5	71.5	77.8	75.9

Size by TPs

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	1.2	3.1	1.3	0.9	0.9	0.6	0.5	0.6	0.4	0.4	0.4	0.3	0.5	0.4	0.2	0.3
£5m to less than £20m	3.4	4.4	3.4	2.5	3.0	2.3	1.9	2.6	2.0	1.4	1.8	1.5	1.0	1.6	1.2	1.0
£20m to less than £100m	11	11.6	10.3	7.3	9.2	7.9	6.7	7.6	6.7	6.0	6.3	4.9	4.8	6.2	4.5	4.4
£100m to less than £300m	10.8	10.2	15.4	10.1	11.0	12.8	9.6	9.2	10.4	9.3	9.7	8.3	7.5	9.0	7.5	7.6
£300m or greater	73.7	70.7	69.5	79.2	76.0	76.3	81.4	79.9	80.4	82.9	81.7	85.0	86.2	82.8	86.6	86.8

Maturity (ratio of pensioner TPs to total TPs)

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	14.8	14.9	20.2	16.4	9.3	5.9	6.2	8.4	13.6	19.7	7.9	5.0	15.5	7.9	4.5	15.3
25% to less than 50%	46.2	51.4	49.6	44.5	49.4	59.2	47.1	49.7	52.2	47.7	52.4	65.4	51.5	52.4	52.8	41.5
50% to less than 75%	37.8	31.6	27.5	37.8	39.5	32.9	43.8	40.0	32.3	31.9	37.0	27.8	31.6	35.6	41.0	39.1
75% or greater	1.3	2.1	2.7	1.3	1.8	2.1	3.0	1.9	1.9	0.7	2.7	1.7	1.4	4.1	1.6	4.1

Presence of active members

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	97.5	95.1	93.9	90.8	89.8	88.2	79.7	74.7	82.7	68.5	66.6	70.9	62.1	53.4	67.3	47.0
TPs not reported for active members	2.5	4.9	6.1	9.2	10.2	11.8	20.3	25.3	17.3	31.5	33.4	29.1	37.9	46.6	32.7	53.0

Covenant (schemes in deficit only)

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)							36.9	23.9	36.8	14.9	19.9	16.6	8.5	28.0	26.6	17.9
Covenant group 2 (tending to strong)							33.0	41.4	40.9	42.3	45.1	53.8	54.3	42.5	55.3	50.1
Covenant group 3 (tending to weak)							18.9	20.0	15.8	24.1	29.6	24.4	19.2	24.7	11.3	19.0
Covenant group 4 (weak)							11.2	14.7	6.4	18.7	5.4	5.2	18.0	4.8	6.8	12.9

RP length (schemes in deficit only)

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	17.0	32.8	25.7	7.1	15.2	16.6	13.6	23.3	17.5	19.7	18.4	19.7	32.0	47.1	39.9	49.5
5 to fewer than 7.5 years	13.9	18.6	18.1	9.0	17.1	21.4	30.9	12.9	17.6	22.2	22.8	20.3	17.1	29.2	18.6	23.6
7.5 to fewer than 10 years	43.7	38.1	31.7	28.5	39.9	29.8	23.8	34.2	24.9	30.8	25.7	32.4	40.3	14.9	14.4	20.0
10 years or more	25.5	10.5	24.4	55.4	27.8	32.3	31.7	29.6	40.0	27.3	33.1	27.7	10.6	8.8	27.1	7.0

Return seeking assets

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	0.6	1.4	3.1	2.1	3.0	3.1	9.2	6.1	3.6	8.5	13.1	14.8	21.8	27.1	31.9	46.5
20% to less than 40%	5.5	11.9	7.3	21.3	15.9	14.7	25.3	26.3	14.1	24.3	39.0	35.0	38.3	38.4	25.6	29.1
40% to less than 60%	22.7	24.6	24.2	39.3	40.6	39.5	40.3	35.5	41.0	41.1	32.7	31.6	23.5	24.6	37.0	19.2
60% to less than 80%	58.8	45.6	50.5	30.9	35.0	38.4	21.9	28.8	40.0	21.0	14.7	18.4	15.8	9.3	4.0	5.0
80% or greater	12.3	16.6	15.0	6.4	5.6	4.3	3.3	3.3	1.3	5.0	0.6	0.3	0.6	0.6	1.5	0.2

Presence of contingent assets

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				63.5	56.2	50.7	64.2	61.7	65.1	68.5	64.1	61.6	79.1	65.8	58.9	77.0
At least one contingent asset				36.5	43.8	49.3	35.8	38.3	34.9	31.5	35.9	38.4	20.9	34.2	41.1	23.0

Funding level (TPs)

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	5.5	3.6	4.9	31.7	8.2	3.1	10.1	7.5	2.9	4.3	4.8	2.7	2.2	3.9	2.3	2.7
70% to less than 80%	13.1	8.7	18.6	33.8	23.9	17.7	20.1	21.1	15.7	12.1	9.8	5.6	6.7	4.8	4.6	4.5
80% to less than 90%	34.4	23.5	23.0	14.9	39.0	29.1	28.0	37.3	44.3	21.2	36.1	52.6	12.3	14.7	43.5	8.9
90% to less than 100%	31.3	42.4	26.9	15.9	21.8	39.0	32.3	27.3	22.8	40.6	32.9	18.1	46.2	39.7	27.7	21.1
100% or greater	15.6	21.7	26.6	3.7	7.1	11.1	9.6	6.8	14.3	21.8	16.4	21.0	32.6	36.9	21.9	62.8

PPF Standard stressed/Unstressed asset ratio

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							12.4	13.8	15.1	9.3	3.7	1.4	1.4	0.7	1.8	0.9
90% to less than 95%							26.2	26.3	31.5	19.5	19.1	20.3	15.2	5.1	4.0	4.8
95% to less than 100%							40.0	38.1	33.5	36.6	28.5	32.9	21.0	13.6	24.7	10.6
100% to less than 105%							12.4	12.3	10.2	10.2	30.3	20.8	30.5	27.1	30.6	30.3
105% or greater							9.0	9.6	9.8	24.4	18.3	24.7	31.8	53.5	38.9	53.5

PPF combined stressed/unstressed asset ratio

	Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							8.2	8.4	15.8	5.7	5.5	3.0	1.3	0.7	2.6	0.9
90% to less than 95%							20.5	22.8	28.1	14.9	14.9	17.4	14.8	5.9	2.7	4.2
95% to less than 100%							31.7	21.2	23.7	30.1	17.1	14.3	12.6	5.5	10.2	11.3
100% to less than 105%							17	28.6	18.3	15.5	18.4	17.9	23.3	19.4	22.3	12.3
105% or greater							22.5	19.0	14.1	33.8	44.0	47.5	48.0	68.5	62.2	71.4

Funding and other security arrangements

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

Ratio of assets to:

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Technical provisions	79.8	82.3	81.3	71.3	79.0	82.3	78.4	82.2	89.4	88.6	87.0	88.8	93.5	91.6	89.0	93.7
s.179 liabilities	83.9	93.5	90.1	76.1	92.7	93.9	80.4	84.2	95.7	89.4	86.9	90.0	97.3	97.5	92.0	101.4
Buyout liabilities	53.4	58.0	60.4	51.4	57.7	58.7	55.5	58.3	63.8	61.0	60.3	61.2	68.7	69.8	68.3	74.5

Ratio of TPs to:

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
s.179 liabilities	105.0	113.5	110.7	101.5	112.3	109.7	99.9	98.6	102.5	96.9	95.8	96.9	100.0	102.9	99.4	105.2
Buyout liabilities	66.9	70.3	74.5	71.9	72.9	71.3	70.7	70.9	71.5	68.9	69.2	68.8	73.5	75.8	76.4	79.3

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

Ratio of assets to:

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Technical provisions	85.8	88.8	83.9	74.4	83.1	86.7	84.1	84.8	89.2	90.9	89	90.5	96.4	96.0	93.7	99.2
s.179 liabilities	92.7	105.2	96.3	79.7	100.6	97.8	89.1	90.9	95.3	94.8	93.7	94.3	102.6	105.5	99.6	109.4
Buyout liabilities	60.8	66.7	66.8	55.2	62.1	62.7	60.6	60.6	64.1	64.1	62.4	64.5	71.8	75.4	75.7	80.4

Ratio of TPs to:

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
s.179 liabilities	108.2	118.6	114.8	105.8	121.8	114.4	109.4	111.4	109.9	106.4	106.8	105.4	106.9	111.1	108.3	111.1
Buyout liabilities	70.8	75.0	79.9	74.1	74.4	72.2	72.1	71.2	71.8	70.3	70.0	71.1	74.1	78.2	80.5	81.1

Weighted by TPs.

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

Ratio of assets to TPs:

	Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	97.3	98.0	97.5	93.2	96.3	98.1	97.7	107.0	113.9	112.7	111.1	113.3	118.8	115.6	113.1	118.0
Upper quartile	89.0	91.1	90.4	80.2	88.0	91.3	87.6	92.5	99.0	98.4	97.1	99.2	103.7	101.6	100.2	103.1
Median	81.3	84.1	82.6	71.3	80.1	84.2	79.3	82.2	90.1	89.3	87.3	89.6	95.1	92.6	90.3	95.4
Lower quartile	71.8	75.5	74.2	62.2	71.4	75.5	70.1	72.2	80.1	79.0	77.7	78.6	82.9	81.7	78.2	84.4
5th percentile	57.5	61.4	60.3	50.6	57.6	61.1	55.2	56.0	62.5	62.7	60.1	60.3	65.1	62.8	59.2	64.1

Ratio of assets to s.179 liabilities:

	Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	121.5	132.9	127.0	115.0	130.2	131.9	119.7	126.4	141.5	133.6	130.3	137.5	143.9	143.4	140.0	146.4
Upper quartile	94.5	106.0	101.4	88.1	104.6	105.4	92.4	97.6	110.0	102.9	100.6	104.8	113.2	113.2	108.8	118.1
Median	81.3	90.8	88.4	72.1	90.9	91.6	77.3	81.0	93.6	86.3	84.1	87.3	95.1	95.1	89.9	100.4
Lower quartile	70.3	78.7	75.4	60.7	77.8	79.2	64.5	67.3	78.0	71.9	69.8	71.1	78.5	79.2	72.2	84.0
5th percentile	55.4	63.4	60.6	48.5	63.0	63.7	51.7	53.8	58.6	56.8	54.8	54.6	58.7	59.0	52.6	59.7

Ratio of assets to buyout liabilities:

	Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	74.1	78.0	84.0	75.7	79.6	78.4	79.2	88.1	91.6	88.9	89.4	93.1	99.7	101.5	101.9	103.8
Upper quartile	60.6	66.0	68.8	59.3	65.5	66.2	63.3	66.3	73.2	70.0	69.2	71.6	80.7	81.3	80.0	87.7
Median	52.3	57.3	59.0	49.8	57.1	58.7	54.0	56.0	62.4	59.4	58.1	59.4	67.1	68.2	67.3	74.3
Lower quartile	45.2	50.0	50.8	42.4	48.4	50.7	45.8	48.0	52.5	49.8	48.4	48.6	55.7	56.4	54.3	61.7
5th percentile	35.5	39.1	40.4	32.5	38.7	39.3	35.7	36.5	40.7	37.8	37.6	36.0	41.2	41.3	39.4	43.2

Ratio of TPs to s.179 liabilities:

	Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	154.3	160.0	154.1	146.9	154.9	152.6	151.2	151.3	146.8	138.2	139.3	140.4	140.8	143.7	139.1	146.1
Upper quartile	115.9	126.0	123.1	113.9	126.9	123.1	112.3	111.0	116.9	108.9	108.5	111.4	113.5	116.0	113.3	117.8
Median	101.4	110.2	108.4	99.3	110.8	107.9	97.3	95.7	101.8	95.9	94.2	95.7	99.6	102.0	99.5	104.3
Lower quartile	89.0	97.5	95.6	85.4	96.5	94.8	83.9	82.3	86.6	82.3	81.7	81.2	85.8	89.7	84.9	92.1
5th percentile	72.7	79.3	77.5	67.4	76.4	74.4	61.8	60.9	63.8	59.1	58.2	56.5	61.0	65.3	62.4	66.6

Ratio of TPs to buyout liabilities:

	Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	87.2	89.8	97.4	94.2	94.8	90.4	91.4	93.6	91.9	90.4	91.8	91.6	94.2	96.5	98.0	98.6
Upper quartile	73.5	77.6	83.3	79.5	80.2	78.2	78.0	78.2	78.7	75.6	76.7	77.3	81.1	83.6	84.8	87.0
Median	66.1	69.9	73.5	71.8	71.9	71.1	70.0	69.7	71.8	68.1	68.2	68.7	73.3	75.5	77.0	79.9
Lower quartile	59.1	62.6	65.0	63.3	65.0	63.6	62.5	62.9	64.0	61.4	60.8	60.0	65.3	67.5	68.4	72.3
5th percentile	49.2	52.5	54.1	51.6	54.8	52.8	52.2	53.4	52.0	50.3	50.4	46.8	53.7	56.1	53.7	58.9

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

Size by number of members

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	85.3	86.5	85.9	76.8	82.4	88.5	82.1	82.7	90.1	90.5	89.5	89.7	95.2	93.2	90.1	94.3
100 to fewer than 500 members	82.3	86.5	85.9	72.0	81.6	87.2	79.5	81.6	89.0	87.2	85.2	88.0	91.5	89.7	86.8	91.7
500 to fewer than 1,000 members	81.6	88.5	85.7	70.4	82.2	87.8	80.0	81.9	88.1	89.0	85.9	87.1	92.6	90.2	87.7	94.4
1,000 to fewer than 5,000 members	84.9	88.0	86.8	73.6	83.0	88.6	81.0	82.4	89.6	88.9	86.8	89.1	94.1	92.0	90.2	96.7
5,000 members or more	89.0	91.7	90.1	76.3	84.1	90.1	81.8	85.3	91.4	88.7	88.5	92.7	94.8	95.4	95.5	97.1

Size by TPs

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	86.1	86.8	86.6	77.8	83.5	90.1	83.9	84.4	91.6	90.5	92.1	91.0	94.9	95.2	92.0	94.7
£5m to less than £20m	82.1	86.4	84.9	72.3	81.2	86.3	80.2	80.7	87.6	88.8	86.0	87.5	94.1	89.8	86.6	93.0
£20m to less than £100m	82.4	87.7	86.0	71.4	82.1	88.2	79.3	81.1	89.8	88.4	84.6	88.4	91.8	90.1	87.7	92.5
£100m to less than £300m	84.7	88.1	89.1	73.2	83.8	88.8	79.8	83.4	89.5	87.9	86.9	88.9	93.1	90.6	89.9	94.7
£300m or greater	89.1	91.2	88.4	75.5	82.8	88.1	81.8	84.5	90.5	89.0	87.9	90.4	94.8	94.9	92.8	96.8

Maturity (ratio of pensioner TPs to total TPs)

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	82.6	85.2	84.1	74.5	81.7	88.1	82.4	83.1	90.2	90.1	87.8	86.5	93.1	91.1	88.6	90.5
25% to less than 50%	83.5	87.6	86.1	71.6	81.5	87.4	78.7	80.8	88.4	87.1	85.6	88.0	91.7	90.7	87.4	93.4
50% to less than 75%	88.2	90.7	89.4	75.6	83.8	88.0	81.5	82.5	89.8	89.2	87.2	90.0	94.6	91.7	90.0	94.6
75% or greater	92.6	94.6	96.4	81.5	89.6	94.1	88.3	90.6	92.4	95.7	96.2	98.6	99.7	101.2	96.2	101.3

Presence of active members

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	85.0	88.5	87.9	74.7	84.2	90.8	83.3	85.6	92.4	91.4	89.5	91.5	95.7	94.6	91.9	96.8
TPs not reported for active members	81.1	83.7	82.1	72.4	79.2	83.9	77.9	78.8	86.2	86.9	85.4	87.0	92.3	90.2	87.3	92.8

Covenant (schemes in deficit only)

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)							81.1	81.6	88.4	87.7	85.1	84.9	88.3	87.3	84.9	85.8
Covenant group 2 (tending to strong)							78.6	79.3	84.7	83.6	83.0	84.5	85.1	85.8	83.0	87.1
Covenant group 3 (Tending to weak)							76.1	78.5	82.5	81.9	80.3	82.1	82.7	80.1	80.2	82.9
Covenant group 4 (Weak)							74.5	75.1	78.6	78.1	76.6	76.2	77.8	77.1	76.0	79.4

RP length (schemes in deficit only)

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	84.9	86.4	87.3	78.3	84.4	88.4	86.2	87.1	90.6	89.6	89.3	89.7	89.8	90.0	88.0	90.1
5 to fewer than 7.5 years	78.7	82.5	81.8	73.1	80.9	82.8	79.6	79.1	84.6	84.1	83.5	82.5	83.5	82.6	81.6	82.6
7.5 to fewer than 10 years	78.4	80.0	79.6	71.0	78.0	80.2	76.0	77.8	80.5	80.1	79.6	79.2	78.7	78.5	75.7	77.0
10 years or more	76.0	76.7	74.6	66.5	73.2	76.0	69.7	70.4	76.6	74.3	72.4	72.6	72.8	69.6	67.1	68.8

Return seeking assets

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	86.2	87.6	88.8	91.3	86.6	96.6	92.9	93.2	97.9	98.5	95.1	96.0	99.7	99.1	97.5	101.3
20% to less than 40%	86.9	86.0	89.5	79.6	86.2	90.4	86.0	87.7	92.9	92.3	88.6	89.5	94.6	91.2	88.0	93.2
40% to less than 60%	84.9	86.8	86.0	73.5	82.9	87.1	80.1	82.5	88.9	86.8	84.4	86.9	90.9	89.1	85.1	88.5
60% to less than 80%	83.6	87.5	85.0	71.6	81.4	87.5	78.8	79.2	88.4	86.6	85.2	87.7	91.2	88.3	85.3	90.8
80% or greater	83.8	88.0	88.7	70.5	80.4	87.8	73.1	79.5	87.2	89.4	89.2	88.4	91.4	93.2	93.5	94.7

Presence of contingent assets

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				74.6	83.1	89.1	81.8	83.1	90.3	89.7	88.2	89.9	94.9	93.0	90.2	95.3
At least one contingent asset				70.6	79.7	83.9	77.8	79.5	85.7	85.5	83.1	84.4	87.4	85.0	84.2	87.3

Funding level (TPs)

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	61.0	61.0	61.5	59.9	61.5	61.0	60.7	59.7	59.2	61.1	59.4	59.6	59.5	60.4	59.3	59.5
70% to less than 80%	75.2	75.4	75.5	74.7	75.3	75.5	75.2	75.4	75.5	75.4	75.5	75.8	75.5	75.8	75.6	75.7
80% to less than 90%	84.9	85.1	85.1	84.4	85.0	85.2	84.8	85.1	85.2	85.4	85.1	85.4	85.3	85.6	85.5	85.4
90% to less than 100%	94.6	94.4	94.5	94.3	94.3	94.5	94.0	94.4	94.7	94.6	94.7	94.8	95.1	94.9	95.0	95.1
100% or greater	111.5	110.9	110.3	111.5	110.7	110.5	109.6	109.3	109.4	109.2	110.1	109.9	109.9	109.6	108.7	109.5

PPF Standard stressed/Unstressed asset ratio

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							76.4	79.1	88.0	87.9	86.9	87.3	95.3	92.2	88.1	93.1
90% to less than 95%							79.9	80.6	88.0	86.2	85.1	87.5	91.5	89.5	86.9	88.2
95% to less than 100%							81.2	83.3	89.8	87.2	85.1	87.2	90.6	89.5	85.9	91.2
100% to less than 105%							85.4	87.9	92.7	91.5	90.2	90.0	92.2	90.0	86.8	93.0
105% or greater							93.8	94.4	97.1	97.4	91.9	92.1	97.9	94.9	92.4	96.9

PPF Combined stressed/Unstressed asset ratio

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							76.4	79.1	88.1	88.0	86.9	87.5	95.3	92.2	88.5	93.1
90% to less than 95%							79.8	80.6	88.3	86.4	85.3	87.4	91.5	89.6	86.6	88.1
95% to less than 100%							81.0	82.9	89.6	86.5	84.6	87.3	91.4	89.7	86.0	91.2
100% to less than 105%							85.1	86.9	90.7	90.9	89.6	89.7	91.3	89.3	86.5	93.2
105% or greater							92.5	93.2	96.7	96.2	90.9	91.3	96.8	94.7	92.1	96.4

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

Size by number of members

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	83.8	85.0	85.4	75.1	81.5	81.2	87.7	81.0	89.9	92.4	87.2	87.1	93.1	92.1	90.6	94.4
100 to fewer than 500 members	82.7	86.4	85.8	71.7	82.4	87.0	79.0	82.3	89.4	87.7	85.6	88.4	92.9	91.4	88.8	93.1
500 to fewer than 1,000 members	81.0	88.2	86.2	70.7	81.1	87.5	79.3	81.8	88.1	89.1	85.9	87.0	92.3	91.0	89.4	93.4
1,000 to fewer than 5,000 members	84.9	87.4	87.1	73.2	81.8	88.3	80.7	83.4	90.0	88.5	87.7	90.3	94.5	93.7	91.1	96.9
5,000 members or more	92.2	94.8	91.6	77.5	85.0	88.8	85.8	85.6	89.0	91.7	89.8	90.7	97.1	97.6	92.9	100.5

Size by TPs

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	84.5	85.8	85.5	75.6	81.9	87.5	82.0	82.0	89.9	89.1	90.0	89.0	93.8	92.4	90.0	92.9
£5m to less than £20m	81.8	86.5	84.8	72.1	81.2	86.2	80.2	80.3	87.8	88.1	85.4	87.2	93.4	88.9	86.4	92.5
£20m to less than £100m	82.6	87.7	85.8	71.3	82.1	87.9	79.5	80.9	89.9	88.7	84.6	88.6	92.2	90.3	87.9	92.7
£100m to less than £300m	85.1	87.8	89.4	73.4	83.7	88.6	79.9	83.6	89.4	87.8	87.4	88.9	93.2	91.0	90.1	94.9
£300m or greater	91.9	94.5	91.1	77.3	84.5	88.1	85.5	85.3	89.1	91.5	89.4	90.6	96.8	97.0	92.7	99.9

Maturity (ratio of pensioner TPs to total TPs)

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	82.0	87.6	89.6	72.8	82.9	90.0	82.6	85.5	87.9	95.9	88.4	93.2	96.6	90.9	93.8	99.4
25% to less than 50%	86.3	93.1	91.7	73.2	83.8	87.2	83.9	83.4	88.8	89.7	87.5	89.1	93.7	96.1	90.2	97.6
50% to less than 75%	95.4	94.1	88.4	79.8	84.2	89.4	84.8	85.7	90.0	91.2	90.4	92.1	99.2	96.3	93.8	100.3
75% or greater	99.5	99.4	87.3	85.4	89.5	86.5	91.5	94.9	87.4	99.7	91.4	93.6	106.2	99.4	99.1	103.2

Presence of active members

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	90.5	93.3	90.6	76.6	84.5	88.6	85.2	85.5	89.7	91.6	89.8	91.0	96.5	97.7	92.6	101.0
TPs not reported for active members	86.6	84.2	82.2	74.7	80.2	82.7	81.9	82.3	85.6	89.3	86.7	87.7	96.2	93.6	91.4	96.7

Covenant (schemes in deficit only)

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (Strong)							89.1	86.7	86.1	89.6	89.3	85.5	91.6	90.8	88.4	88.6
Covenant group 2 (Tending to Strong)							81.6	83.0	87.3	88.6	86.4	87.4	92.3	92.9	87.4	91.5
Covenant group 3 (Tending to Weak)							77.2	82.1	88.2	84.1	84.6	84.8	88.0	84.5	85.2	87.6
Covenant group 4 (Weak)							78.2	79.9	81.7	78.8	83.4	79.0	86.9	80.7	86.1	85.2

RP length (schemes in deficit only)

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	89.0	93.6	90.4	79.5	88.7	90.8	90.1	91.4	93.1	92.5	92.9	92.3	94.2	94.8	91.4	92.2
5 to fewer than 7.5 years	83.2	88.7	83.6	78.9	84.0	86.3	86.3	86.0	86.8	90.2	88.6	87.3	86.8	88.8	89.1	86.9
7.5 to fewer than 10 years	86.3	85.2	84.8	75.3	82.2	89.0	84.8	81.7	82.2	87.2	84.9	82.6	90.1	86.0	83.9	90.7
10 years or more	83.8	81.9	77.1	72.3	81.1	82.1	75.6	79.5	85.5	80.2	82.7	83.8	87.8	77.5	84.2	69.7

Return seeking assets

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	84.9	97.0	92.0	85.0	93.8	90.0	92.3	94.1	97.9	101.4	95.1	99.6	101.3	101.3	97.8	101.7
20% to less than 40%	96.5	90.8	94.8	82.6	87.1	92.6	86.8	87.1	89.8	91.3	90.9	87.8	97.0	95.5	91.1	100.5
40% to less than 60%	91.4	92.2	92.6	74.8	84.5	87.5	83.9	83.7	88.3	88.4	85.7	87.9	93.5	92.6	86.0	92.8
60% to less than 80%	87.9	94.5	85.0	73.9	83.0	88.7	78.6	81.9	89.0	87.1	85.6	89.9	93.9	90.3	90.4	98.6
80% or greater	97.3	91.1	98.9	91.8	77.6	94.2	87.5	72.1	89.8	111.8	86.0	88.3	91.3	85.4	115.1	94.5

Presence of contingent assets

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				78.0	85.6	89.3	85.4	85.1	90.7	91.2	89.1	92.2	97.5	97.8	94.1	101.2
At least one contingent asset				74.3	82.4	87.0	83.5	84.3	85.6	90.5	88.7	87.2	92.7	92.3	89.2	93.4

Funding level (TPs)

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	64.1	65.9	65.0	64.5	64.9	62.4	63.6	63.2	63.8	60.7	61.2	62.8	62.6	62.2	62.4	60.7
70% to less than 80%	76.3	76.1	76.3	75.6	76.0	77.3	75.5	75.7	75.4	75.2	75.9	75.7	75.6	76.3	75.8	76.3
80% to less than 90%	85.5	85.2	85.1	84.9	85.2	85.2	85.2	84.7	86.1	85.2	85.3	84.8	86.7	86.0	85.5	86.0
90% to less than 100%	93.7	94.9	94.0	93.3	94.5	93.0	94.3	93.5	93.9	94.6	94.3	95.1	95.5	95.4	93.9	94.7
100% or greater	109.0	105.3	103.7	104.9	104.3	105.1	101.7	104.2	105.6	105.9	103.8	106.7	106.7	106.3	107.1	105.7

PPF standard stressed/unstressed asset ratio

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							81.7	79.3	85.4	94.3	83.3	99.8	96.0	88.5	113.1	95.7
90% to less than 95%							81.7	83.3	89.8	84.5	85.9	89.2	93.8	90.6	92.8	101.4
95% to less than 100%							84.7	84.6	87.4	91.0	87.7	87.2	93.3	91.0	85.9	95.8
100% to less than 105%							85.9	88.5	93.0	91.5	88.8	88.4	97.4	95.8	90.4	96.6
105% or greater							92.4	90.4	91.7	94.5	93.3	95.1	99.4	97.5	96.2	101.3

PPF combined stressed/unstressed asset ratio

	Weighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							82.8	77.2	89.1	89.5	87.7	104.2	96.0	88.4	110.6	95.7
90% to less than 95%							79.6	83.1	88.8	85.4	87.1	88.1	93.8	90.0	91.7	99.8
95% to less than 100%							82.6	82.9	88.3	90.3	86.1	92.7	93.0	89.1	90.7	95.2
100% to less than 105%							85.7	84.9	89.4	89.9	87.8	84.6	97.9	93.7	86.4	95.8
105% or greater							91.7	92.0	90.4	95.2	91.1	92.3	97.7	97.6	94.2	100.5

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

Size by number of members

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	69.8	72.8	75.7	75.0	75.7	75.7	73.3	74.8	74.3	70.5	71.6	71.6	74.2	76.5	76.9	79.2
100 to fewer than 500 members	66.0	69.3	72.3	70.9	72.3	70.4	69.2	68.7	70.8	67.6	67.8	67.5	72.2	74.7	75.7	79.1
500 to fewer than 1,000 members	66.6	69.4	73.3	71.4	71.6	69.8	69.2	68.8	69.5	68.4	69.1	66.0	74.4	76.1	74.8	81.2
1,000 to fewer than 5,000 members	66.3	71.2	76.3	72.0	72.7	70.1	70.9	70.5	69.7	69.5	68.7	68.5	74.0	76.3	78.1	80.6
5,000 members or more	69.8	73.6	80.1	73.9	75.2	72.6	72.4	71.9	71.5	71.4	69.6	71.8	76.4	78.5	79.1	81.2

Size by TPs

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	68.9	71.6	74.2	73.9	75.3	75.5	72.6	75.0	73.6	69.4	71.7	71.1	72.1	76.4	76.2	77.9
£5m to less than £20m	66.2	70.0	73.2	71.7	72.7	71.9	70.6	69.9	71.7	68.9	68.0	68.8	73.9	74.3	74.7	79.1
£20m to less than £100m	67.1	70.1	74.3	71.6	73.1	70.4	69.7	69.8	70.5	67.9	69.0	67.9	72.7	75.6	76.6	79.8
£100m to less than £300m	66.6	72.4	76.4	73.1	73.0	70.6	71.7	71.1	70.9	70.7	70.0	68.4	74.8	77.2	77.3	80.8
£300m or greater	71.5	74.3	80.9	75.2	75.3	73.6	73.2	71.2	72.5	71.3	70.1	71.4	76.7	77.9	79.7	81.7

Maturity (ratio of pensioner TPs to total TPs)

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	64.6	68.3	71.5	69.6	71.3	70.5	67.9	69.6	69.8	65.7	66.8	65.4	68.3	72.0	71.5	73.7
25% to less than 50%	67.4	70.9	74.2	71.8	72.8	70.5	69.1	69.1	69.3	67.2	67.0	66.7	71.3	73.7	74.1	76.9
50% to less than 75%	75.1	77.3	81.1	78.2	78.5	76.8	75.9	75.2	75.4	73.8	72.9	73.7	78.3	78.9	79.6	83.3
75% or greater	84.4	87.7	91.1	87.7	86.2	86.2	89.0	87.9	85.3	85.5	86.6	82.2	87.5	88.5	87.2	91.6

Presence of active members

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	66.8	70.4	74.7	71.9	73.3	71.2	70.3	70.5	70.1	68.4	68.2	66.7	71.8	73.3	73.1	77.0
TPs not reported for active members	70.8	72.9	74.6	74.6	74.6	74.3	72.2	72.1	73.5	70.1	70.5	71.1	74.9	77.3	78.6	80.9

Covenant (schemes in deficit only)

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)							70.1	71.0	70.3	70.5	69.0	68.9	71.9	73.7	74.7	76.8
Covenant group 2 (tending to strong)							70.1	69.5	70.8	68.5	69.4	67.5	71.4	74.2	75.1	77.4
Covenant group 3 (tending to weak)							69.4	69.8	70.8	67.2	67.6	67.2	70.7	72.9	76.0	77.5
Covenant group 4 (weak)							69.6	71.5	72.3	67.7	68.8	68.6	73.7	73.0	75.0	77.1

RP length (schemes in deficit only)

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	69.1	71.6	75.3	73.3	75.0	72.6	72.6	73.3	73.3	70.3	70.6	70.4	73.0	74.9	76.5	78.6
5 to fewer than 7.5 years	68.6	70.8	75.0	74.2	74.2	72.2	70.8	70.4	72.3	68.4	67.3	67.9	71.3	73.7	73.4	75.9
7.5 to fewer than 10 years	66.3	70.1	74.7	72.2	71.5	71.6	69.4	68.4	69.6	66.9	68.2	65.5	69.6	73.2	72.5	74.5
10 years or more	66.3	70.6	73.4	70.4	71.8	69.3	69.2	68.9	68.5	66.4	67.8	64.8	70.0	70.9	73.5	74.5

Return seeking assets

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	80.3	81.4	83.1	86.8	84.5	86.5	85.3	85.9	83.6	79.9	78.6	81.2	83.3	84.4	86.0	87.4
20% to less than 40%	76.9	78.0	81.9	78.5	81.0	78.9	76.2	75.7	77.7	74.3	72.5	71.7	75.3	76.7	77.9	79.6
40% to less than 60%	69.8	72.9	77.0	72.7	74.7	72.9	71.5	71.3	72.1	68.6	67.5	67.3	70.7	72.4	72.8	75.9
60% to less than 80%	66.5	70.0	73.2	70.6	71.2	69.0	66.9	68.2	68.1	65.4	65.3	63.0	68.1	71.0	67.1	72.1
80% or greater	64.3	67.8	70.1	68.9	69.4	69.1	67.6	67.1	69.8	65.0	65.8	64.0	67.6	71.4	64.1	75.5

Presence of contingent assets

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				73.1	73.9	72.6	71.4	71.3	71.7	69.4	69.5	69.1	73.9	75.9	76.7	80.2
At least one contingent asset				71.2	73.4	71.7	70.8	71.2	72.3	69.1	69.7	69.6	72.9	75.9	75.7	77.3

Funding level (TPs)

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	70.3	74.9	78.8	72.3	75.1	73.4	71.6	72.7	75.0	69.7	71.3	68.5	72.2	73.7	74.3	77.5
70% to less than 80%	66.6	70.3	74.0	71.7	71.9	71.7	70.2	68.9	71.2	67.6	65.9	67.0	69.7	72.4	71.8	74.5
80% to less than 90%	66.5	69.4	74.0	71.8	72.4	71.7	70.2	69.6	70.0	68.0	68.0	66.8	71.5	72.7	75.3	76.4
90% to less than 100%	66.5	70.3	73.3	74.1	74.3	70.2	71.4	71.0	71.1	68.9	70.5	68.6	72.6	75.6	76.6	78.5
100% or greater	69.6	72.3	74.3	80.4	78.3	75.9	75.2	76.7	73.3	72.0	72.5	73.8	77.1	80.5	81.3	83.9

PPF standard stressed/unstressed asset ratio

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							67.2	68.1	69.4	65.0	65.7	64.4	70.1	70.9	65.9	75.5
90% to less than 95%							68.6	69.4	68.7	66.8	66.8	65.2	68.1	71.7	68.2	74.2
95% to less than 100%							73.3	71.8	74.1	69.3	68.4	66.7	71.0	72.5	73.6	74.2
100% to less than 105%							75.6	76.5	76.7	73.9	72.8	70.3	74.8	74.6	77.4	78.2
105% or greater							86.0	85.6	80.9	77.1	78.8	77.4	79.3	81.3	81.3	84.2

PPF combined stressed/unstressed asset ratio

	Unweighted average (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							67.2	68.2	69.2	64.9	65.8	64.2	70.1	71.0	65.5	75.5
90% to less than 95%							68.7	69.5	68.7	66.9	66.9	65.1	68.3	72.0	68.3	74.4
95% to less than 100%							73.1	71.8	73.8	69.6	68.3	66.5	71.1	72.7	73.8	74.4
100% to less than 105%							75.5	74.9	75.8	73.3	72.1	70.1	74.5	74.3	77.6	78.3
105% or greater							83.2	83.3	80.2	74.9	76.0	75.8	78.0	80.5	80.8	83.5

Table 2.5: use of contingent assets (schemes in surplus and deficit, tranche 16 only)

All contingent assets

	Number of schemes (holding at least one)	Percentage of schemes (holding at least one)
PPF-recognised contingent asset	101	5.9
Contingent asset reported in support of funding (non-PPF-recognised)	165	9.6
All contingent assets	263	15.4

PPF recognised

	Number of schemes (holding at least one)	Percentage of schemes (holding at least one)
Type A	74	4.3
Type B and C	29	1.7

Non-PPF recognised (schemes in deficit only)

	Number of schemes (holding at least one)	Percentage of schemes (holding at least one)
Parental guarantee	103.0	6.0
Escrow, cash or charge over other asset (including property), or other (eg letter of credit)	75.0	4.4

Table 2.6: use of contingent assets by scheme characteristics (schemes in surplus and deficit, tranche 16 only)

Size by number of members

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Fewer than 100 members	2.2	5.3	7.5
100 to fewer than 500 members	6.3	11	16.9
500 to fewer than 1,000 members	7.0	24	29.8
1,000 to fewer than 5,000 members	9.8	27.4	36.8
5,000 members or more	12.4	29.9	40.2

Size by TPs

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Less than £5m	2.4	2.8	5.2
£5m to less than £20m	2.0	6.5	8.5
£20m to less than £100m	6.6	13.2	19.6
£100m to less than £300m	9.0	25.8	33.6
£300m or greater	11.4	27.7	37.7

Maturity (ratio of pensioner TPs to total TPs)

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Less than 25%	2.9	7.9	10.0
25% to less than 50%	6.3	14.3	20.4
50% to less than 75%	6.6	16.3	22.4
75% or greater	3.6	4.5	8.0

Presence of active members

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
TPs reported for active members	5.5	14.2	19.5
TPs not reported for active members	5.8	12.9	18.3

Covenant (schemes in deficit only)

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Covenant group 1 (Strong)	5.8	13.1	18.9
Covenant group 2 (Tending to Strong)	5.9	19.7	24.9
Covenant group 3 (Tending to Weak)	7.2	20.0	26.0
Covenant group 4 (Weak)	6.8	22.0	28.3

RP length (schemes in deficit only)

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Fewer than 5 years	6.0	16.6	22.3
5 to fewer than 7.5 years	7.6	17.9	25.2
7.5 to fewer than 10 years	5.8	23.2	27.9
10 years or more	5.8	22.4	26.9

Return seeking assets

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Less than 20%	2.1	9.0	11.1
20% to less than 40%	7.4	16.7	23.9
40% to less than 60%	6.2	15.8	21.2
60% to less than 80%	8.1	10.6	17.8
80% or greater	0	0	0

Presence of contingent assets

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
No contingent asset	0	0	0
At least one contingent asset	30.4	71.7	100

Funding level (TPs)

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Less than 70%	4.9	15.6	19.1
70% to less than 80%	5.9	19.7	25.7
80% to less than 90%	7.6	20.7	28.1
90% to less than 100%	6.1	16.7	22.1
100% or greater	4.0	0.2	4.3

PPF standard stressed/unstressed asset ratio

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Less than 90%	2.6	1.3	3.9
90% to less than 95%	7.0	9.3	15.4
95% to less than 100%	8.5	13.7	21.7
100% to less than 105%	7.2	16.9	23.3
105% or greater	3.5	14.2	17.7

PPF combined stressed/unstressed asset ratio

	Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Less than 90%	3.8	1.2	5.0
90% to less than 95%	7.2	9.0	15.3
95% to less than 100%	8.2	13.6	21.2
100% to less than 105%	6.5	17.6	23.6
105% or greater	4.0	14.1	18.0

Table 2.7: schemes’ use of contingent assets (schemes in surplus and deficit, tranches 4 to 16)

All contingent assets

	Tranche (Percentage of schemes)
	4	5	6	7	8	9	10	11	12	13	14	15	16
Schemes with at least one PPF-recognised contingent asset	8.0	14.1	11.9	11.9	12.6	10.5	10.1	9.4	8.0	8.8	5.8	5.7	5.9
Schemes with at least one contingent asset reported in support of funding (non-PPF-recognised)	7.7	6.9	6.6	10.8	7.6	7.2	8.4	9.9	9.6	9.4	10.3	13.4	9.6
Schemes with at least one contingent asset	15.4	20.3	18	21.1	19.3	16.7	18.2	18.9	17.2	17.9	15.9	18.7	15.4

PPF recognised

	Tranche (Percentage of schemes)
	4	5	6	7	8	9	10	11	12	13	14	15	16
Type A	6.6	12.7	10.6	10.2	10.9	9.1	8.3	7.9	6.5	6.8	4.5	4.5	4.3
Type B and C	1.5	1.7	1.4	1.8	2.0	1.5	2.0	1.8	1.7	2.1	1.4	1.4	1.7

Non-PPF recognised (schemes in deficit only)

	Tranche (Percentage of schemes)
	4	5	6	7	8	9	10	11	12	13	14	15	16
Parental guarantee	4.2	4.2	3.6	5.1	4.2	4.4	5.3	6.2	5.8	5.9	6.8	9.0	6.0
Escrow, cash or charge over other asset (including property), or other (eg letter of credit)	3.8	2.8	3.1	5.9	3.6	3.3	3.7	4.4	4.8	4.2	4.5	6.7	4.4

Recovery plans and contributions

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

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	15.0	15.0	17.0	19.8	17.4	15.9	18.0	17.6	18.7	16.9	16.5	16	14.8	14.8	14.7	13.4
Upper quartile	10.0	10.0	10.0	12.0	10.0	10.0	11.0	11.0	10.3	10.3	10.3	9.8	8.8	8.1	8.1	7.2
Median	8.8	8.0	8.8	9.4	8.3	7.2	7.9	8.1	7.1	6.6	7.3	6.6	5.5	5.2	5.3	5.0
Lower quartile	5.0	5.0	5.1	6.8	5.0	4.4	5.0	5.0	4.2	4.0	4.3	4.0	3.3	3.0	3.2	3.0
5th percentile	1.6	1.2	2.0	2.5	1.7	1.1	1.7	1.2	1.0	1.2	1.3	1.0	0.9	0.9	1.-	0.9

Table 3.2: distribution of recovery plan lengths (for schemes in deficit submitting valuations in respect of both tranches 13 and 16)

	RP length (years) — tranche
	13	16
95th percentile	15.3	13.8
Upper quartile	9.2	7.5
Median	6.3	5.0
Lower quartile	4.1	3.0
5th percentile	1.5	1.0

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

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
All schemes	8.1	7.7	8.6	9.7	8.5	7.8	8.5	8.5	8.0	7.5	7.9	7.4	6.5	6.2	6.3	5.7

Size by number of members

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	8.0	8.0	8.2	8.9	8.1	7.5	8.3	8.3	7.7	6.9	7.2	7.3	5.8	5.7	6.3	5.7
100 to fewer than 500 members	8.2	7.9	9.0	10.1	8.6	7.9	8.8	8.4	8.4	7.9	7.9	7.7	6.8	6.6	6.6	5.8
500 to fewer than 1,000 members	8.1	7.5	8.3	9.8	8.2	7.8	7.9	8.7	7.8	6.7	7.9	7.4	6.8	6.1	6.4	5.6
1,000 to fewer than 5,000 members	8.1	7.2	8.9	9.9	8.9	8.1	8.6	9.3	8.0	7.9	8.7	7.0	6.3	6.2	5.7	5.4
5,000 members or more	7.8	7.2	8.1	10.5	8.9	8.1	9.1	8.8	8.1	8.7	8.8	6.9	7.4	5.8	6.0	5.8

Size by TPs

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	8.0	7.9	8.6	8.9	8.1	7.6	8.4	8.3	8.0	6.8	6.5	7.7	5.8	5.2	6.1	5.5
£5m to less than £20m	8.3	8.1	8.9	10.0	8.6	8.1	8.9	8.6	8.5	7.8	8.1	7.9	6.8	6.4	7.1	6.4
£20m to less than £100m	8.2	7.4	8.4	9.9	8.4	7.5	8.3	8.4	7.8	7.3	8.1	7.2	6.4	6.6	6.1	5.4
£100m to less than £300m	7.5	6.9	8.4	9.7	8.6	7.8	8.2	8.9	7.7	7.3	7.9	7.0	6.7	6.2	6.1	5.6
£300m or greater	7.9	7.3	8.4	10.6	9.0	8.1	9.0	8.9	8.0	8.5	8.3	6.8	6.7	5.7	5.7	5.5

Maturity (ratio of pensioner TPs to total TPs)

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	8.0	7.5	8.3	8.8	7.7	7.4	8.0	8.1	7.3	6.8	6.8	7.2	5.8	5.2	5.9	5.9
25% to less than 50%	8.2	7.9	8.8	10.5	8.8	7.8	9.0	8.7	8.3	7.9	8.1	7.7	7.0	6.4	6.6	5.6
50% to less than 75%	8.4	8.2	8.8	9.9	9.0	8.3	8.6	8.9	8.3	7.5	8.2	7.1	6.1	6.5	6.1	5.8
75% or greater	6.9	7.1	7.7	9.3	8.1	7.9	7.0	7.1	7.0	6.9	7.5	6.5	6.6	5.3	6.1	5.7

Presence of active members

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	8.0	7.4	8.2	9.5	8.1	7.4	8.1	8.2	8.0	7.2	7.6	7.1	6.0	5.8	5.8	5.2
TPs not reported for active members	8.4	8.6	9.4	10.1	9.1	8.4	9.1	8.9	8.0	7.7	8.1	7.6	6.7	6.3	6.6	5.9

Covenant (schemes in deficit only)

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)							6.4	6.9	6.3	5.6	5.9	5.6	5.0	4.4	4.9	4.6
Covenant group 2 (tending to strong)							8.1	7.9	7.4	6.8	7.2	6.6	5.5	5.4	5.5	4.7
Covenant group 3 (tending to weak)							9.4	9.0	9.0	8.4	8.6	8.0	7.3	7.2	7.0	6.6
Covenant group 4 (weak)							10.9	10.1	9.5	9.8	10.2	10.2	9.1	9.9	9.5	7.7

RP length (schemes in deficit only)

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	3.2	3.1	3.3	3.2	3.1	3.0	3.1	3.0	2.9	3.1	2.9	3.1	2.9	2.9	2.9	2.9
5 to fewer than 7.5 years	6.2	6.3	6.3	6.5	6.3	6.3	6.3	6.3	6.2	6.3	6.2	6.2	6.2	6.2	6.1	6.0
7.5 to fewer than 10 years	9.3	9.2	9.2	9.2	9.1	8.9	9.0	9.0	8.8	8.8	8.9	8.8	8.8	8.7	8.7	8.7
10 years or more	13.2	14.4	14.9	14.8	14.3	14.0	14.5	14.4	14.7	14.1	14.1	14.5	14.1	14.3	15.2	14.3

Return seeking assets

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	7.1	7.5	7.9	7.6	6.9	7.3	6.2	5.7	7.1	5.7	6.2	5.7	5.6	4.7	5.9	4.5
20% to less than 40%	6.8	7.9	8.0	9.2	7.3	6.9	7.0	7.5	6.5	6.4	7.0	6.7	5.9	5.9	6.1	5.5
40% to less than 60%	8.1	7.6	8.3	9.5	7.8	7.6	8.5	8.5	7.9	7.7	8.3	7.6	6.8	6.4	6.5	6.3
60% to less than 80%	8.3	7.9	8.8	10.1	9.0	8.2	9.0	9.2	8.5	7.9	8.4	8.2	6.9	6.9	6.7	6.3
80% or greater	8.3	7.5	9.2	9.9	9.3	8.1	11.1	8.8	8.9	8.4	8.5	8.3	6.3	7.4	6.4	5.2

Presence of contingent assets

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				9.6	8.3	7.6	8.5	8.4	8.0	7.5	7.7	7.3	6.3	6.0	6.3	5.5
At least one contingent asset				10.5	9.0	8.6	8.7	9.0	8.3	7.6	8.3	7.6	6.9	6.6	6.3	6.3

Funding level (TPs)

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	9.5	9.6	11.4	11.1	10.7	11.7	12.3	11.9	13.3	12.3	12.4	12.2	10.7	10.7	10.5	10.2
70% to less than 80%	8.5	8.6	9.5	9.3	9.4	9.2	9.1	9.3	10.0	9.4	9.3	8.5	9.1	8.2	7.3	7.6
80% to less than 90%	7.9	7.8	8.1	8.2	7.4	7.1	6.7	7.4	7.8	7.0	7.3	7.1	5.8	5.6	5.4	5.1
90% to less than 100%	6.3	5.8	6.1	6.1	6.0	5.5	4.8	4.9	5.2	4.7	4.6	4.5	4.0	3.6	3.9	3.7

PPF Standard stressed/Unstressed asset ratio

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							9.2	8.8	8.9	7.7	8.2	8.5	5.8	6.6	7.2	5.6
90% to less than 95%							9.1	9.1	8.1	8.2	8.4	7.8	6.7	6.5	6.2	6.2
95% to less than 100%							8.1	8.6	8.0	7.3	7.8	7.6	7.0	6.4	6.4	6.0
100% to less than 105%							7.1	6.9	6.5	6.3	7.4	7.1	6.5	6.0	6.7	5.9
105% or greater							6.3	5.5	6.6	6.9	6.4	6.2	5.7	5.8	6.0	5.3

PPF combined stressed/unstressed asset ratio

	RP length (years) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							9.2	8.8	8.9	7.7	8.2	8.5	5.9	6.6	7.1	5.6
90% to less than 95%							9.1	9.1	8.1	8.2	8.5	7.8	6.6	6.5	6.2	6.2
95% to less than 100%							8.1	8.5	8.1	7.5	7.9	7.7	6.5	6.5	6.5	5.9
100% to less than 105%							7.1	7.5	6.9	6.6	7.3	7.0	6.9	6.2	6.8	5.9
105% or greater							6.8	6.2	6.2	6.5	6.9	6.6	6.1	5.7	5.9	5.4

Table 3.4: average annual contributions as a percentage of TPs liabilities by scheme characteristics (schemes in deficit only)

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
All schemes	3.1	2.8	2.7	2.7	2.2	2.2	2.2	2.3	2.1	2.2	2.2	1.9	2.1

Size by number of members

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	3.6	3.5	3.2	3.3	2.8	3.0	2.8	2.9	2.6	2.8	2.7	2.3	2.5
100 to fewer than 500 members	3.0	2.7	2.6	2.7	2.2	2.1	2.1	2.2	2.0	2.3	2.1	1.9	2.0
500 to fewer than 1,000 members	3.0	2.7	2.3	2.6	1.9	2.0	2.0	2.0	2.0	1.9	1.9	1.8	2.0
1,000 to fewer than 5,000 members	2.8	2.3	2.2	2.3	1.7	1.7	1.7	1.8	1.6	1.8	1.6	1.4	1.5
5,000 members or more	2.3	2.0	1.8	1.8	1.4	1.4	1.6	1.5	1.3	1.3	1.5	1.3	1.3

Size by TPs

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	3.8	3.5	3.6	3.6	3.1	3.4	3.3	3.4	3.2	3.6	3.3	2.8	3.3
£5m to less than £20m	3.0	2.9	2.6	2.7	2.4	2.3	2.2	2.3	2.0	2.1	2.3	1.9	1.9
£20m to less than £100m	3.0	2.5	2.4	2.7	2.0	2.0	2.0	2.1	2.0	2.2	2.0	2.0	1.9
£100m to less than £300m	2.7	2.4	2.2	2.4	1.7	1.8	2.0	2.0	1.7	1.6	1.9	1.5	1.8
£300m or greater	2.4	2.1	2.0	2.0	1.5	1.6	1.5	1.7	1.5	1.5	1.6	1.4	1.4

Maturity (ratio of pensioner TPs to total TPs)

Ratio Percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	3.7	3.5	3.3	3.4	2.7	2.9	2.8	3.3	3.0	3.3	3.2	2.6	3.1
25% to less than 50%	2.8	2.6	2.5	2.6	2.1	2.1	2.1	2.2	1.9	1.8	2.0	1.9	1.9
50% to less than 75%	2.6	2.3	2.2	2.3	1.9	2.0	1.9	1.9	1.8	2.1	1.9	1.7	1.7
75% or greater	2.4	2.3	2.4	2.2	2.4	2.1	1.8	1.7	1.9	2.4	1.7	2.0	1.9

Presence of active members

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	3.0	2.7	2.5	2.7	2.0	1.9	2.0	2.2	1.9	2.2	1.8	1.6	1.8
TPs not reported for active members	3.3	3.0	2.9	2.8	2.5	2.6	2.3	2.4	2.3	2.2	2.4	2.1	2.2

Covenant (schemes in deficit only)

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)				2.9	2.4	2.1	2.0	2.3	2.4	2.0	2.1	1.9	2.4
Covenant group 2 (tending to strong)				2.6	2.3	2.2	2.3	2.4	2.1	2.4	2.1	1.9	1.9
Covenant group 3 (tending to weak)				2.5	2.1	2.1	2.1	2.2	1.8	2.0	2.3	1.8	2.0
Covenant group 4 (weak)				2.5	2.2	2.6	2.3	2.4	2.2	2.4	1.9	1.9	2.2

RP length (schemes in deficit only)

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	4.2	3.7	3.0	3.4	2.4	2.4	2.5	2.6	2.3	2.4	2.3	1.9	2.0
5 to fewer than 7.5 years	3.8	3.0	3.1	3.0	2.6	2.4	2.3	2.5	2.4	2.3	2.3	2.0	2.3
7.5 to fewer than 10 years	3.1	2.5	2.5	2.6	2.2	2.4	2.2	2.2	2.1	2.1	2.1	2.0	2.1
10 years or more	2.2	2.1	2.0	2.1	1.9	1.8	1.8	1.8	1.6	1.7	1.9	1.6	1.7

Return seeking assets

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	3.6	4.2	2.4	3.3	2.9	2.7	2.6	2.3	2.9	3.3	2.5	1.8	2.0
20% to less than 40%	2.7	2.5	2.7	2.5	2.0	2.1	2.0	2.2	2.0	2.0	2.1	1.9	1.9
40% to less than 60%	3.0	2.8	2.7	2.7	2.1	2.2	2.2	2.3	2.0	2.1	2.2	2.0	2.2
60% to less than 80%	3.3	2.8	2.6	2.8	2.2	2.3	2.4	2.3	2.1	2.1	2.2	2.0	2.2
80% or greater	3.2	2.7	2.8	2.6	2.5	2.2	2.0	2.5	2.1	2.4	2.6	1.9	1.3

Presence of contingent assets

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset	3.1	2.9	2.7	2.8	2.3	2.3	2.3	2.3	2.2	2.3	2.3	1.9	2.1
At least one contingent asset	2.9	2.7	2.5	2.5	2.1	2.0	2.0	2.2	1.9	1.9	2.0	1.9	1.8

Funding level (TPs)

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	3.9	4.3	4.4	3.7	3.4	4.4	3.9	3.9	3.7	4.9	3.7	3.3	4.0
70% to less than 80%	3.0	3.3	3.3	3.1	2.5	2.8	2.7	2.8	2.8	2.8	2.9	2.6	3.0
80% to less than 90%	2.1	2.4	2.7	2.4	1.9	2.2	2.2	2.3	2.0	2.3	2.3	1.8	2.2
90% to less than 100%	1.0	1.1	1.3	1.3	0.9	1.1	1.1	1.1	1.0	1.0	1.1	0.9	1.0

PPF standard stressed/unstressed asset ratio

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%				2.9	2.3	2.3	2.5	2.4	2.1	2.1	2.4	1.7	1.6
90% to less than 95%				2.6	2.2	2.4	2.2	2.4	2.1	2.1	2.3	2.1	2.2
95% to less than 100%				2.7	2.1	2.0	2.2	2.2	2.0	2.3	2.3	2.1	2.1
100% to less than 105%				2.6	2.3	2.2	1.9	2.3	1.9	2.7	2.2	1.9	2.0
105% or greater				2.8	2.3	1.9	1.8	2.3	2.6	1.9	2.0	1.8	2.1

PPF combined stressed/unstressed asset ratio

Ratio percent (%) — tranche
	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%				2.9	2.3	2.3	2.5	2.4	2.1	2.1	2.5	1.7	1.6
90% to less than 95%				2.7	2.3	2.4	2.3	2.4	2.1	2.1	2.3	2.1	2.2
95% to less than 100%				2.7	2.1	2.0	2.2	2.3	2.0	2.4	2.3	2.1	2.2
100% to less than 105%				2.6	2.2	2.1	1.9	2.3	1.9	2.7	2.3	1.9	2.0
105% or greater				2.7	2.1	1.9	1.8	2.0	2.4	1.9	2.0	1.8	2.0

Discount rates

Table 4.1: average nominal discount rate and outperformance by tranche (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

	Rate percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Pre and post-retirement rates (a)	5.018	5.355	5.633	5.273	5.248	5.108	4.186	3.966	4.337	3.389	3.237	2.74	2.596	2.444	1.951	1.896
Pre-retirement rate (b)	6.133	6.303	6.441	6.106	6.111	6.049	5.074	4.917	5.269	4.295	4.148	3.59	3.545	3.319	2.776	2.78
Post-retirement rate (b)	4.631	4.927	5.056	4.725	4.763	4.7	3.652	3.496	3.931	2.871	2.766	2.269	2.201	2.097	1.669	1.706
SEDR (c)	5.526	5.758	5.898	5.516	5.531	5.454	4.356	4.149	4.576	3.462	3.324	2.787	2.692	2.511	2.035	2.032
SEDR (all schemes) (d)	5.506	5.635	5.83	5.448	5.454	5.369	4.305	4.091	4.498	3.431	3.281	2.747	2.616	2.427	1.905	1.862
SEDR outperformance over 20-year UK gilt (e)	1.367	1.185	1.243	1.067	0.888	0.964	1.05	0.996	0.924	0.971	0.904	0.9	0.765	0.726	0.885	0.668
SEDR outperformance over greater than 15 year AA UK corporate bonds (f)	0.578	0.286	-0.643	-1.33	-0.054	-0.077	-0.301	0.014	0.206	0.117	-0.088	0.22	0.002	-0.086	-0.112	0.035

• (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 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

	Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Pre and post-retirement rates (a)	2.03	2.145	2.092	2.084	1.649	1.549	0.968	0.681	0.863	0.194	0.115	-0.649	-0.724	-0.966	-1.029	-1.429
Pre-retirement rate (b)	3.115	3.042	2.851	2.94	2.495	2.479	1.885	1.67	1.813	1.102	1.022	0.227	0.188	-0.106	-0.195	-0.619
Post-retirement rate (b)	1.656	1.708	1.512	1.6	1.192	1.176	0.507	0.29	0.518	-0.28	-0.321	-1.051	-1.11	-1.287	-1.27	-1.657
SEDR (c)	2.327	2.3	2.096	2.152	1.7	1.675	1.005	0.749	0.95	0.131	0.079	-0.643	-0.725	-0.981	-0.974	-1.403
SEDR (all schemes) (d)	2.253	2.253	2.095	2.134	1.687	1.645	0.99	0.732	0.927	0.151	0.085	-0.678	-0.773	-1.046	-1.119	-1.556
Real SEDR outperformance against 20 year index linked gilts (e)	1.061	0.979	1.134	1.05	0.833	0.907	1.013	0.981	0.9	0.985	0.994	1.065	0.874	0.91	1.113	0.836

• 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 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
All schemes	5.506	5.635	5.830	5.448	5.454	5.369	4.305	4.091	4.498	3.431	3.281	2.747	2.617	2.427	1.905	1.862

Size by number of members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	5.184	5.432	5.550	5.251	5.195	5.071	4.067	3.843	4.237	3.333	3.201	2.696	2.642	2.458	1.971	1.990
100 to fewer than 500 members	5.834	5.720	5.941	5.458	5.506	5.444	4.378	4.189	4.572	3.538	3.369	2.845	2.703	2.482	1.920	1.851
500 to fewer than 1,000 members	5.440	5.833	5.991	5.533	5.711	5.559	4.488	4.277	4.658	3.466	3.290	2.766	2.550	2.354	1.821	1.719
1,000 to fewer than 5,000 members	5.435	5.725	5.976	5.619	5.586	5.606	4.487	4.204	4.725	3.422	3.294	2.668	2.538	2.365	1.824	1.734
5,000 members or more	5.406	5.648	5.941	5.645	5.678	5.656	4.427	4.307	4.768	3.352	3.213	2.617	2.402	2.204	1.795	1.851

Size by TPs

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	5.148	5.419	5.533	5.216	5.151	5.020	3.997	3.755	4.159	3.284	3.130	2.640	2.624	2.404	2.015	2.053
£5m to less than £20m	5.487	5.708	5.878	5.461	5.470	5.320	4.291	4.101	4.475	3.491	3.380	2.871	2.746	2.565	2.047	1.954
£20m to less than £100m	5.441	5.771	5.956	5.528	5.615	5.531	4.425	4.243	4.624	3.537	3.359	2.810	2.670	2.447	1.854	1.865
£100m to less than £300m	6.985	5.677	5.970	5.582	5.534	5.613	4.387	4.200	4.679	3.409	3.227	2.644	2.564	2.368	1.797	1.762
£300m or greater	5.358	5.695	5.959	5.619	5.670	5.536	4.445	4.253	4.668	3.321	3.183	2.599	2.363	2.223	1.777	1.673

Maturity (ratio of pensioner TPs to total TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	5.278	5.493	5.645	5.297	5.312	5.133	4.205	3.992	4.265	3.388	3.185	2.698	2.664	2.435	2.033	2.115
25% to less than 50%	5.473	5.786	6.000	5.571	5.561	5.506	4.431	4.219	4.654	3.522	3.363	2.836	2.693	2.525	1.937	1.919
50% to less than 75%	6.413	5.735	5.865	5.506	5.516	5.416	4.270	4.048	4.510	3.381	3.314	2.679	2.531	2.332	1.816	1.730
75% or greater	4.750	5.292	5.391	5.050	4.965	5.033	3.776	3.444	4.067	2.992	2.798	2.557	2.311	2.159	1.984	1.672

Presence of active members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	5.584	5.684	5.905	5.529	5.533	5.491	4.416	4.196	4.629	3.511	3.374	2.874	2.700	2.549	2.090	2.004
TPs not reported for active members	5.229	5.508	5.661	5.268	5.321	5.195	4.166	3.978	4.357	3.361	3.212	2.650	2.566	2.359	1.777	1.798

Covenant (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)							4.410	4.128	4.708	3.371	3.223	2.729	2.668	2.558	1.879	1.830
Covenant group 2 (tending to strong)							4.372	4.194	4.547	3.446	3.271	2.796	2.681	2.449	1.838	1.890
Covenant group 3 (tending to weak)							4.327	4.146	4.537	3.470	3.344	2.776	2.602	2.412	1.688	1.646
Covenant group 4 (weak)							4.201	3.957	4.348	3.406	3.270	2.688	2.491	2.404	1.821	1.859

RP length (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	5.822	5.581	5.747	5.352	5.361	5.335	4.200	3.982	4.399	3.368	3.169	2.657	2.585	2.424	1.781	1.828
5 to fewer than 7.5 years	5.319	5.640	5.874	5.363	5.422	5.340	4.308	4.128	4.492	3.489	3.337	2.755	2.677	2.486	1.958	1.732
7.5 to fewer than 10 years	5.436	5.644	5.846	5.497	5.547	5.340	4.429	4.215	4.559	3.523	3.365	2.839	2.597	2.417	1.952	1.964
10 years or more	5.405	5.731	5.874	5.494	5.481	5.465	4.328	4.161	4.664	3.445	3.361	2.883	2.719	2.448	1.819	1.824

Return seeking assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	4.793	5.106	5.214	4.747	4.805	4.657	3.550	3.268	3.722	2.803	2.691	2.169	2.121	1.959	1.540	1.582
20% to less than 40%	4.972	5.320	5.531	5.200	5.151	5.060	4.035	3.701	4.119	3.149	3.103	2.564	2.480	2.359	1.722	1.844
40% to less than 60%	5.348	5.638	5.803	5.421	5.452	5.344	4.300	4.122	4.468	3.446	3.371	2.793	2.751	2.590	1.976	1.939
60% to less than 80%	5.656	5.671	5.881	5.535	5.585	5.508	4.510	4.256	4.718	3.651	3.565	3.160	2.999	2.717	2.473	2.142
80% or greater	5.514	5.711	5.894	5.478	5.512	5.495	4.292	4.381	4.625	3.831	3.716	3.107	3.060	3.072	2.962	2.225

Presence of contingent assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				5.416	5.413	5.337	4.275	4.070	4.481	3.421	3.289	2.753	2.614	2.430	1.901	1.861
At least one contingent asset				5.606	5.593	5.483	4.404	4.177	4.577	3.474	3.252	2.719	2.626	2.411	1.923	1.867

Funding level (TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	5.075	5.318	5.490	5.369	5.225	5.036	4.134	3.853	4.212	3.220	3.146	2.640	2.558	2.452	1.772	1.776
70% to less than 80%	5.372	5.620	5.844	5.542	5.519	5.312	4.336	4.200	4.471	3.434	3.380	2.778	2.644	2.450	1.858	1.859
80% to less than 90%	5.865	5.695	5.934	5.500	5.539	5.406	4.412	4.216	4.577	3.467	3.380	2.801	2.630	2.461	1.773	1.874
90% to less than 100%	5.549	5.745	5.928	5.450	5.495	5.530	4.323	4.168	4.598	3.500	3.212	2.783	2.640	2.418	1.961	1.779
100% or greater								3.885	4.431	3.409	3.235	2.691	2.599	2.396	2.048	1.934

PPF standard stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							4.398	4.261	4.622	3.744	3.600	3.125	2.958	3.015	2.763	2.167
90% to less than 95%							4.443	4.225	4.672	3.550	3.433	2.980	2.964	2.690	2.450	2.113
95% to less than 100%							4.233	4.044	4.366	3.399	3.328	2.897	2.781	2.579	1.939	2.063
100% to less than 105%							4.041	3.709	4.208	3.170	3.050	2.617	2.555	2.451	1.790	1.895
105% or greater							3.629	3.300	4.008	2.995	2.714	2.279	2.250	2.133	1.648	1.656

PPF combined stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							4.393	4.258	4.629	3.748	3.594	3.148	2.962	3.005	2.792	2.167
90% to less than 95%							4.439	4.228	4.674	3.546	3.428	2.991	2.966	2.686	2.448	2.107
95% to less than 100%							4.240	4.024	4.382	3.401	3.349	2.903	2.793	2.591	1.969	2.083
100% to less than 105%							4.051	3.822	4.292	3.215	3.122	2.644	2.566	2.449	1.772	1.944
105% or greater							3.810	3.456	3.995	3.084	2.824	2.352	2.316	2.166	1.657	1.662

Table 4.4: average outperformance of the nominal SEDR over nominal 20 year UK gilts by scheme characteristics (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

Covenant (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
All schemes	1.367	1.185	1.243	1.068	0.888	0.964	1.050	0.996	0.924	0.971	0.904	0.900	0.765	0.726	0.885	0.668

Size by number of members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	1.040	0.988	0.965	0.852	0.649	0.679	0.828	0.734	0.667	0.854	0.819	0.839	0.782	0.734	0.933	0.769
100 to fewer than 500 members	1.692	1.273	1.344	1.057	0.943	1.029	1.127	1.089	1.001	1.074	0.999	1.003	0.852	0.798	0.915	0.674
500 to fewer than 1,000 members	1.304	1.356	1.406	1.188	1.139	1.159	1.235	1.184	1.090	1.017	0.920	0.930	0.706	0.654	0.783	0.531
1,000 to fewer than 5,000 members	1.304	1.276	1.407	1.254	1.003	1.198	1.218	1.135	1.140	0.987	0.909	0.821	0.686	0.671	0.819	0.568
5,000 members or more	1.285	1.194	1.358	1.332	1.048	1.232	1.121	1.242	1.172	0.919	0.831	0.777	0.573	0.513	0.779	0.635

Size by TPs

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	0.995	0.974	0.935	0.795	0.616	0.631	0.749	0.638	0.592	0.798	0.735	0.776	0.761	0.678	0.957	0.810
£5m to less than £20m	1.341	1.264	1.291	1.071	0.899	0.913	1.043	1.007	0.913	1.023	1.017	1.017	0.892	0.863	1.039	0.740
£20m to less than £100m	1.311	1.307	1.373	1.155	1.052	1.119	1.169	1.148	1.047	1.077	0.974	0.976	0.818	0.744	0.842	0.685
£100m to less than £300m	2.868	1.236	1.401	1.249	0.946	1.196	1.141	1.118	1.080	0.968	0.876	0.800	0.716	0.696	0.767	0.595
£300m or greater	1.237	1.232	1.383	1.299	1.045	1.129	1.149	1.184	1.087	0.888	0.800	0.753	0.523	0.531	0.761	0.497

Maturity (ratio of pensioner TPs to total TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	1.131	1.044	1.061	0.900	0.753	0.751	0.959	0.898	0.695	0.913	0.781	0.843	0.804	0.723	0.977	0.891
25% to less than 50%	1.338	1.340	1.408	1.189	0.997	1.098	1.182	1.124	1.085	1.065	0.990	0.998	0.842	0.826	0.929	0.743
50% to less than 75%	2.290	1.267	1.284	1.155	0.934	0.990	0.991	0.958	0.930	0.927	0.949	0.830	0.682	0.637	0.791	0.532
75% or greater	0.625	0.871	0.823	0.750	0.376	0.584	0.546	0.297	0.462	0.539	0.448	0.670	0.466	0.449	0.977	0.459

Presence of active members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	1.450	1.237	1.323	1.158	0.962	1.097	1.155	1.105	1.050	1.052	0.982	1.025	0.847	0.836	1.050	0.808
TPs not reported for active members	1.070	1.050	1.065	0.868	0.762	0.773	0.918	0.879	0.789	0.900	0.846	0.805	0.715	0.664	0.769	0.606

Covenant (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)							1.156	1.008	1.109	0.932	0.847	0.885	0.827	0.838	0.929	0.676
Covenant group 2 (tending to strong)							1.121	1.112	0.983	0.993	0.907	0.958	0.834	0.759	0.864	0.701
Covenant group 3 (tending to weak)							1.066	1.059	0.981	1.016	0.980	0.933	0.757	0.717	0.722	0.476
Covenant group 4 (weak)							0.956	0.866	0.769	0.930	0.862	0.834	0.641	0.705	0.845	0.680

RP length (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	1.683	1.129	1.183	0.971	0.785	0.920	0.958	0.898	0.815	0.899	0.777	0.807	0.733	0.696	0.777	0.635
5 to fewer than 7.5 years	1.181	1.176	1.289	1.009	0.838	0.924	1.039	1.040	0.929	1.019	0.942	0.905	0.830	0.808	0.985	0.594
7.5 to fewer than 10 years	1.301	1.199	1.255	1.109	0.985	0.940	1.166	1.107	0.999	1.082	1.024	1.013	0.740	0.739	0.995	0.790
10 years or more	1.262	1.291	1.269	1.110	0.935	1.072	1.072	1.074	1.093	1.015	1.010	1.059	0.880	0.794	0.876	0.665

Return seeking assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	0.644	0.686	0.640	0.378	0.236	0.272	0.288	0.184	0.111	0.325	0.296	0.303	0.277	0.260	0.501	0.361
20% to less than 40%	0.818	0.850	0.954	0.852	0.559	0.649	0.782	0.617	0.537	0.702	0.736	0.719	0.632	0.654	0.725	0.663
40% to less than 60%	1.219	1.158	1.215	1.055	0.873	0.927	1.045	1.021	0.897	1.000	1.004	0.951	0.896	0.897	0.978	0.756
60% to less than 80%	1.516	1.226	1.287	1.145	1.021	1.105	1.253	1.160	1.144	1.175	1.182	1.307	1.141	1.010	1.380	0.940
80% or greater	1.376	1.283	1.310	1.068	0.960	1.086	1.033	1.283	1.072	1.325	1.278	1.294	1.192	1.323	1.885	1.062

Presence of contingent assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				1.032	0.852	0.938	1.021	0.969	0.909	0.959	0.913	0.904	0.763	0.726	0.881	0.660
At least one contingent asset				1.242	1.009	1.055	1.141	1.104	0.995	1.019	0.868	0.882	0.771	0.724	0.897	0.710

Funding level (TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	0.948	0.887	0.888	0.994	0.703	0.670	0.897	0.786	0.645	0.787	0.794	0.829	0.709	0.748	0.869	0.649
70% to less than 80%	1.233	1.180	1.248	1.152	0.954	0.914	1.087	1.111	0.913	0.981	1.028	0.950	0.798	0.783	0.931	0.695
80% to less than 90%	1.728	1.244	1.350	1.122	0.950	0.996	1.141	1.118	1.012	1.019	0.999	0.962	0.782	0.768	0.809	0.686
90% to less than 100%	1.395	1.278	1.359	1.072	0.910	1.108	1.055	1.052	1.011	1.024	0.828	0.921	0.788	0.700	0.898	0.600
100% or greater								0.762	0.849	0.933	0.831	0.820	0.742	0.692	0.911	0.705

PPF standard stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							1.145	1.166	1.072	1.246	1.203	1.301	1.102	1.285	1.716	1.007
90% to less than 95%							1.190	1.116	1.092	1.088	1.064	1.134	1.106	0.976	1.366	0.925
95% to less than 100%							0.968	0.962	0.791	0.947	0.946	1.042	0.925	0.887	0.928	0.855
100% to less than 105%							0.797	0.613	0.617	0.730	0.678	0.778	0.708	0.743	0.757	0.731
105% or greater							0.355	0.229	0.409	0.556	0.346	0.423	0.401	0.439	0.654	0.446

PPF combined stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							1.141	1.161	1.080	1.249	1.198	1.323	1.105	1.277	1.751	1.007
90% to less than 95%							1.188	1.117	1.093	1.089	1.066	1.146	1.110	0.973	1.358	0.915
95% to less than 100%							0.974	0.946	0.808	0.950	0.975	1.044	0.939	0.904	0.955	0.868
100% to less than 105%							0.793	0.733	0.708	0.773	0.742	0.797	0.719	0.745	0.746	0.753
105% or greater							0.560	0.378	0.392	0.632	0.442	0.508	0.465	0.467	0.660	0.471

Table 4.5: average outperformance of the nominal SEDR over greater than 15 year AA rated corporate bonds by scheme characteristics (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
All schemes	0.578	0.286	-0.643	-1.330	-0.055	-0.077	-0.301	0.014	0.207	0.117	-0.088	0.220	0.002	-0.086	-0.112	0.035

Size by number of members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	0.251	0.085	-0.874	-1.500	-0.312	-0.367	-0.521	-0.245	-0.048	-0.001	-0.169	0.161	0.023	-0.084	-0.026	0.139
100 to fewer than 500 members	0.904	0.373	-0.552	-1.327	0.003	-0.008	-0.228	0.110	0.282	0.220	0.011	0.324	0.085	-0.011	-0.102	0.038
500 to fewer than 1,000 members	0.515	0.456	-0.525	-1.257	0.208	0.121	-0.120	0.205	0.372	0.162	-0.077	0.247	-0.058	-0.157	-0.173	-0.100
1,000 to fewer than 5,000 members	0.515	0.382	-0.496	-1.185	0.066	0.154	-0.134	0.142	0.421	0.135	-0.096	0.139	-0.070	-0.133	-0.228	-0.070
5,000 members or more	0.497	0.305	-0.578	-1.126	0.151	0.198	-0.215	0.252	0.451	0.070	-0.176	0.095	-0.196	-0.283	-0.249	0.004

Size by TPs

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	0.205	0.073	-0.926	-1.539	-0.347	-0.417	-0.587	-0.337	-0.123	-0.058	-0.252	0.099	0.005	-0.140	0.029	0.177
£5m to less than £20m	0.552	0.362	-0.581	-1.324	-0.043	-0.124	-0.308	0.029	0.194	0.173	0.028	0.340	0.121	0.048	0.044	0.108
£20m to less than £100m	0.523	0.408	-0.530	-1.266	0.110	0.081	-0.187	0.165	0.329	0.222	-0.017	0.294	0.055	-0.069	-0.175	0.053
£100m to less than £300m	2.079	0.348	-0.497	-1.178	0.015	0.151	-0.218	0.131	0.364	0.112	-0.122	0.118	-0.043	-0.106	-0.217	-0.042
£300m or greater	0.450	0.341	-0.580	-1.169	0.144	0.089	-0.200	0.192	0.365	0.036	-0.209	0.071	-0.236	-0.268	-0.272	-0.137

Maturity (ratio of pensioner TPs to total TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	0.343	0.146	-0.800	-1.480	-0.201	-0.295	-0.399	-0.080	-0.021	0.060	-0.213	0.166	0.048	-0.092	0.016	0.255
25% to less than 50%	0.549	0.439	-0.492	-1.206	0.054	0.059	-0.168	0.143	0.365	0.211	0.000	0.317	0.079	0.013	-0.066	0.105
50% to less than 75%	1.503	0.369	-0.623	-1.277	0.013	-0.048	-0.345	-0.029	0.212	0.073	-0.044	0.150	-0.082	-0.170	-0.214	-0.097
75% or greater	-0.168	-0.020	-1.090	-1.701	-0.537	-0.456	-0.853	-0.679	-0.249	-0.321	-0.554	-0.015	-0.303	-0.360	-0.047	-0.162

Presence of active members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	0.662	0.340	-0.566	-1.248	0.018	0.056	-0.207	0.122	0.332	0.200	-0.011	0.344	0.090	0.022	0.076	0.171
TPs not reported for active members	0.280	0.146	-0.814	-1.510	-0.176	-0.268	-0.419	-0.102	0.070	0.044	-0.146	0.126	-0.050	-0.145	-0.242	-0.026

Covenant (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)							-0.216	0.029	0.394	0.082	-0.148	0.202	0.044	0.020	-0.133	0.030
Covenant group 2 (tending to strong)							-0.231	0.133	0.262	0.144	-0.082	0.277	0.065	-0.052	-0.196	0.066
Covenant group 3 (tending to weak)							-0.281	0.073	0.259	0.161	-0.008	0.251	-0.014	-0.091	-0.352	-0.156
Covenant group 4 (weak)							-0.423	-0.117	0.052	0.070	-0.149	0.151	-0.128	-0.112	-0.175	0.048

RP length (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	0.894	0.229	-0.615	-1.401	-0.146	-0.124	-0.407	-0.088	0.099	0.044	-0.214	0.127	-0.031	-0.120	-0.246	-0.001
5 to fewer than 7.5 years	0.391	0.275	-0.631	-1.393	-0.092	-0.112	-0.300	0.053	0.209	0.166	-0.056	0.225	0.061	-0.007	-0.039	-0.046
7.5 to fewer than 10 years	0.512	0.300	-0.635	-1.303	0.032	-0.100	-0.184	0.127	0.277	0.231	0.034	0.330	-0.022	-0.064	-0.096	0.154
10 years or more	0.474	0.394	-0.695	-1.287	-0.013	0.031	-0.276	0.095	0.373	0.168	0.015	0.377	0.097	-0.012	-0.202	0.032

Return seeking assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	-0.145	-0.206	-1.183	-2.016	-0.686	-0.769	-1.103	-0.795	-0.597	-0.535	-0.692	-0.375	-0.480	-0.552	-0.499	-0.272
20% to less than 40%	0.027	-0.046	-0.972	-1.583	-0.361	-0.398	-0.595	-0.371	-0.181	-0.154	-0.254	0.039	-0.135	-0.155	-0.284	0.028
40% to less than 60%	0.430	0.261	-0.677	-1.354	-0.049	-0.112	-0.302	0.040	0.179	0.145	0.009	0.271	0.133	0.086	-0.061	0.125
60% to less than 80%	0.728	0.325	-0.602	-1.243	0.075	0.061	-0.096	0.178	0.426	0.324	0.190	0.627	0.379	0.196	0.504	0.307
80% or greater	0.587	0.386	-0.586	-1.271	-0.005	0.053	-0.271	0.309	0.350	0.473	0.283	0.615	0.446	0.511	0.999	0.414

Presence of contingent assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				-1.360	-0.093	-0.103	-0.325	-0.011	0.191	0.105	-0.078	0.225	0.000	-0.085	-0.108	0.027
At least one contingent asset				-1.182	0.077	0.017	-0.223	0.115	0.278	0.164	-0.130	0.198	0.011	-0.086	-0.125	0.073

Funding level (TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	0.160	-0.020	-1.074	-1.402	-0.272	-0.372	-0.457	-0.206	-0.074	-0.068	-0.205	0.149	-0.063	-0.065	-0.260	0.008
70% to less than 80%	0.445	0.283	-0.681	-1.246	0.007	-0.124	-0.266	0.133	0.191	0.128	0.039	0.268	0.024	-0.030	-0.189	0.057
80% to less than 90%	0.939	0.351	-0.503	-1.288	0.022	-0.044	-0.205	0.139	0.292	0.172	0.006	0.281	0.011	-0.047	-0.261	0.048
90% to less than 100%	0.605	0.374	-0.468	-1.314	-0.009	0.065	-0.295	0.071	0.296	0.168	-0.164	0.241	0.025	-0.111	-0.031	-0.035
100% or greater								-0.214	0.135	0.074	-0.159	0.143	-0.010	-0.116	0.046	0.078

PPF standard stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							-0.182	0.189	0.351	0.393	0.208	0.620	0.330	0.471	0.825	0.369
90% to less than 95%							-0.158	0.136	0.375	0.233	0.076	0.455	0.346	0.163	0.477	0.291
95% to less than 100%							-0.398	-0.026	0.072	0.096	-0.049	0.362	0.161	0.074	-0.067	0.224
100% to less than 105%							-0.568	-0.369	-0.099	-0.123	-0.314	0.097	-0.058	-0.073	-0.223	0.096
105% or greater							-1.025	-0.755	-0.303	-0.300	-0.643	-0.256	-0.355	-0.366	-0.402	-0.187

PPF combined stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							-0.185	0.185	0.358	0.396	0.203	0.642	0.334	0.463	0.855	0.369
90% to less than 95%							-0.161	0.137	0.377	0.234	0.079	0.467	0.349	0.160	0.465	0.282
95% to less than 100%							-0.391	-0.044	0.089	0.099	-0.018	0.365	0.169	0.091	-0.037	0.238
100% to less than 105%							-0.570	-0.250	-0.010	-0.083	-0.254	0.118	-0.045	-0.072	-0.254	0.126
105% or greater							-0.821	-0.607	-0.319	-0.223	-0.552	-0.173	-0.290	-0.340	-0.382	-0.166

Table 4.6: average real SEDR by scheme characteristics (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
All schemes	2.253	2.253	2.095	2.134	1.687	1.645	0.990	0.732	0.927	0.151	0.085	-0.678	-0.773	-1.046	-1.119	-1.556

Size by number of members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	2.054	2.054	1.885	2.005	1.521	1.434	0.893	0.622	0.729	0.141	0.067	-0.690	-0.720	-0.975	-1.055	-1.441
100 to fewer than 500 members	2.385	2.327	2.191	2.158	1.747	1.704	1.071	0.832	0.980	0.215	0.178	-0.597	-0.700	-1.007	-1.105	-1.552
500 to fewer than 1,000 members	2.268	2.438	2.232	2.204	1.894	1.785	1.079	0.797	1.057	0.176	0.039	-0.676	-0.824	-1.192	-1.259	-1.684
1,000 to fewer than 5,000 members	2.296	2.359	2.202	2.226	1.759	1.802	1.049	0.729	1.086	0.126	0.030	-0.796	-0.887	-1.121	-1.164	-1.713
5,000 members or more	2.266	2.293	2.078	2.206	1.659	1.814	0.919	0.661	1.140	-0.053	-0.149	-0.819	-1.002	-1.267	-1.198	-1.545

Size by TPs

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	2.036	2.050	1.863	1.995	1.502	1.424	0.866	0.589	0.727	0.117	0.025	-0.706	-0.718	-1.002	-0.937	-1.389
£5m to less than £20m	2.357	2.319	2.165	2.154	1.733	1.610	1.040	0.773	0.903	0.219	0.218	-0.553	-0.642	-0.909	-0.987	-1.517
£20m to less than £100m	2.284	2.382	2.191	2.202	1.806	1.780	1.064	0.835	1.004	0.223	0.149	-0.631	-0.738	-1.044	-1.190	-1.522
£100m to less than £300m	2.469	2.287	2.202	2.214	1.711	1.806	0.946	0.710	1.048	0.104	-0.030	-0.832	-0.830	-1.124	-1.264	-1.611
£300m or greater	2.222	2.316	2.058	2.142	1.673	1.646	0.946	0.670	1.033	-0.038	-0.149	-0.845	-1.044	-1.270	-1.210	-1.752

Maturity (ratio of pensioner TPs to total TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	2.214	2.191	2.019	2.071	1.647	1.522	0.981	0.728	0.801	0.185	0.030	-0.666	-0.677	-0.979	-0.895	-1.281
25% to less than 50%	2.300	2.362	2.208	2.200	1.772	1.757	1.097	0.828	1.059	0.221	0.141	-0.605	-0.715	-0.952	-1.085	-1.470
50% to less than 75%	2.310	2.181	2.010	2.133	1.624	1.594	0.863	0.660	0.879	0.037	0.105	-0.781	-0.873	-1.177	-1.241	-1.704
75% or greater	1.641	1.968	1.688	1.941	1.130	1.376	0.647	-0.191	0.515	-0.088	-0.317	-0.794	-1.017	-1.274	-1.048	-1.860

Presence of active members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	2.293	2.302	2.160	2.198	1.732	1.747	1.067	0.818	1.062	0.236	0.154	-0.539	-0.691	-0.936	-0.909	-1.412
TPs not reported for active members	2.111	2.124	1.950	1.993	1.612	1.499	0.894	0.638	0.782	0.079	0.032	-0.785	-0.823	-1.106	-1.265	-1.620

Covenant (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)							1.053	0.729	1.138	0.042	-0.033	-0.766	-0.722	-0.949	-1.138	-1.614
Covenant group 2 (tending to strong)							1.053	0.787	0.969	0.153	0.079	-0.623	-0.719	-1.052	-1.188	-1.535
Covenant group 3 (tending to weak)							0.977	0.781	0.947	0.182	0.139	-0.665	-0.807	-1.066	-1.311	-1.762
Covenant group 4 (weak)							0.938	0.651	0.758	0.092	0.028	-0.733	-0.889	-1.020	-1.168	-1.524

RP length(schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	2.205	2.216	2.051	2.039	1.599	1.599	0.900	0.623	0.796	0.051	-0.014	-0.780	-0.795	-1.062	-1.226	-1.582
5 to fewer than 7.5 years	2.211	2.267	2.102	2.021	1.652	1.601	0.955	0.774	0.923	0.205	0.101	-0.683	-0.748	-1.003	-1.082	-1.713
7.5 to fewer than 10 years	2.291	2.257	2.111	2.193	1.764	1.641	1.093	0.795	0.990	0.247	0.122	-0.616	-0.840	-1.061	-1.048	-1.466
10 years or more	2.275	2.333	2.120	2.182	1.728	1.744	1.035	0.800	1.100	0.153	0.185	-0.524	-0.674	-1.011	-1.147	-1.528

Return seeking assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	1.698	1.818	1.577	1.522	1.129	1.024	0.220	-0.004	0.314	-0.434	-0.431	-1.205	-1.201	-1.461	-1.447	-1.835
20% to less than 40%	1.870	1.893	1.825	1.946	1.352	1.356	0.745	0.275	0.499	-0.127	-0.113	-0.851	-0.898	-1.107	-1.306	-1.572
40% to less than 60%	2.179	2.225	2.012	2.095	1.661	1.574	0.953	0.748	0.887	0.155	0.149	-0.661	-0.659	-0.910	-1.062	-1.491
60% to less than 80%	2.289	2.283	2.144	2.217	1.811	1.789	1.206	0.910	1.152	0.384	0.372	-0.263	-0.419	-0.767	-0.553	-1.279
80% or greater	2.402	2.369	2.224	2.184	1.785	1.836	1.044	1.038	1.061	0.554	0.534	-0.283	-0.375	-0.413	-0.114	-1.058

Presence of contingent assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				2.128	1.675	1.635	0.995	0.732	0.921	0.148	0.114	-0.664	-0.769	-1.037	-1.129	-1.566
At least one contingent asset				2.167	1.731	1.679	0.976	0.729	0.960	0.161	-0.034	-0.743	-0.791	-1.087	-1.078	-1.509

Funding level (TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	1.983	1.977	1.795	2.055	1.522	1.415	0.883	0.573	0.699	-0.016	-0.004	-0.753	-0.813	-0.988	-1.170	-1.574
70% to less than 80%	2.240	2.238	2.093	2.219	1.723	1.588	1.009	0.821	0.926	0.166	0.203	-0.648	-0.764	-1.020	-1.154	-1.559
80% to less than 90%	2.350	2.319	2.185	2.205	1.756	1.642	1.051	0.825	0.986	0.133	0.160	-0.633	-0.772	-1.009	-1.238	-1.561
90% to less than 100%	2.381	2.334	2.199	2.144	1.724	1.801	1.011	0.718	0.988	0.190	-0.023	-0.675	-0.764	-1.094	-1.069	-1.638
100% or greater								0.638	0.888	0.198	0.068	-0.707	-0.773	-1.057	-1.025	-1.491

PPF standard stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							1.138	0.934	1.077	0.487	0.431	-0.284	-0.426	-0.443	-0.275	-1.185
90% to less than 95%							1.127	0.869	1.096	0.267	0.231	-0.455	-0.455	-0.775	-0.568	-1.290
95% to less than 100%							0.870	0.673	0.744	0.094	0.108	-0.530	-0.625	-0.908	-1.099	-1.371
100% to less than 105%							0.731	0.275	0.654	-0.100	-0.149	-0.827	-0.834	-1.024	-1.287	-1.512
105% or greater							0.269	-0.115	0.480	-0.273	-0.470	-1.123	-1.107	-1.334	-1.336	-1.768

PPF combined stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							1.134	0.929	1.085	0.492	0.426	-0.261	-0.423	-0.455	-0.242	-1.185
90% to less than 95%							1.127	0.873	1.096	0.264	0.229	-0.445	-0.446	-0.778	-0.567	-1.300
95% to less than 100%							0.878	0.677	0.816	0.114	0.133	-0.520	-0.609	-0.892	-1.066	-1.342
100% to less than 105%							0.734	0.362	0.717	-0.074	-0.072	-0.793	-0.827	-1.032	-1.295	-1.486
105% or greater							0.437	0.046	0.332	-0.211	-0.379	-1.065	-1.051	-1.302	-1.342	-1.753

Table 4.7: Average outperformance of the real SEDR over the 20 year spot rate on UK gilts by scheme characteristics (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
All schemes	1.061	0.979	1.134	1.050	0.833	0.907	1.013	0.981	0.900	0.985	0.994	1.065	0.874	0.910	1.113	0.835

Size by number of members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	0.859	0.784	0.922	0.916	0.665	0.706	0.915	0.829	0.704	0.968	0.974	1.042	0.921	0.959	1.171	0.940
100 to fewer than 500 members	1.188	1.055	1.225	1.074	0.890	0.961	1.094	1.083	0.954	1.048	1.091	1.152	0.945	0.967	1.133	0.849
500 to fewer than 1,000 members	1.078	1.145	1.279	1.125	1.036	1.049	1.115	1.082	1.033	1.016	0.953	1.077	0.831	0.766	0.969	0.704
1,000 to fewer than 5,000 members	1.111	1.085	1.247	1.136	0.909	1.065	1.075	1.009	1.050	0.972	0.938	0.953	0.764	0.839	1.069	0.693
5,000 members or more	1.085	1.014	1.120	1.139	0.823	1.059	0.931	0.987	1.099	0.786	0.760	0.926	0.663	0.701	1.028	0.828

Size by TPs

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	0.837	0.778	0.907	0.904	0.644	0.697	0.876	0.787	0.705	0.943	0.921	1.023	0.922	0.932	1.285	0.982
£5m to less than £20m	1.157	1.050	1.190	1.067	0.875	0.869	1.063	1.019	0.883	1.051	1.137	1.183	0.998	1.047	1.250	0.866
£20m to less than £100m	1.097	1.099	1.239	1.119	0.951	1.040	1.089	1.087	0.974	1.057	1.052	1.124	0.909	0.911	1.043	0.877
£100m to less than £300m	1.295	1.018	1.241	1.136	0.854	1.068	0.982	0.987	1.004	0.948	0.900	0.912	0.824	0.852	0.962	0.790
£300m or greater	1.038	1.032	1.113	1.076	0.835	0.903	0.965	0.994	1.002	0.803	0.761	0.901	0.616	0.695	1.020	0.645

Maturity (ratio of pensioner TPs to total TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	1.014	0.916	1.056	0.986	0.789	0.799	1.003	0.982	0.775	1.018	0.919	1.063	0.966	0.966	1.326	1.094
25% to less than 50%	1.111	1.090	1.247	1.118	0.916	1.020	1.120	1.073	1.036	1.055	1.052	1.143	0.932	1.005	1.158	0.931
50% to less than 75%	1.128	0.898	1.057	1.048	0.782	0.840	0.882	0.913	0.847	0.872	1.027	0.967	0.776	0.785	0.981	0.685
75% or greater	0.467	0.716	0.702	0.859	0.264	0.613	0.703	0.076	0.463	0.742	0.615	0.931	0.633	0.671	1.180	0.523

Presence of active members

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	1.104	1.030	1.200	1.115	0.878	1.018	1.089	1.062	1.031	1.068	1.052	1.200	0.958	1.004	1.317	0.976
TPs not reported for active members	0.904	0.844	0.986	0.906	0.756	0.748	0.916	0.894	0.758	0.914	0.951	0.961	0.824	0.858	0.970	0.773

Covenant (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (strong)							1.072	0.970	1.093	0.876	0.883	0.983	0.925	0.985	1.128	0.800
Covenant group 2 (tending to strong)							1.076	1.050	0.949	0.996	0.995	1.127	0.931	0.914	1.059	0.860
Covenant group 3 (tending to weak)							1.004	1.028	0.929	1.021	1.054	1.075	0.844	0.897	0.938	0.644
Covenant group 4 (weak)							0.967	0.911	0.729	0.914	0.922	1.012	0.757	0.933	1.084	0.874

RP length (schemes in deficit only)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	1.013	0.940	1.081	0.966	0.743	0.861	0.930	0.876	0.762	0.883	0.886	0.962	0.852	0.868	1.010	0.812
5 to fewer than 7.5 years	1.021	0.984	1.149	0.943	0.795	0.847	0.973	1.000	0.900	1.031	0.997	1.061	0.903	0.976	1.183	0.702
7.5 to fewer than 10 years	1.100	0.985	1.150	1.105	0.911	0.904	1.111	1.039	0.973	1.089	1.056	1.137	0.801	0.921	1.197	0.938
10 years or more	1.080	1.064	1.171	1.092	0.875	1.017	1.056	1.073	1.075	1.008	1.113	1.227	0.976	0.985	1.111	0.883

Return seeking assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	0.493	0.565	0.623	0.425	0.279	0.313	0.254	0.243	0.259	0.377	0.470	0.526	0.455	0.496	0.768	0.537
20% to less than 40%	0.671	0.610	0.860	0.864	0.493	0.611	0.780	0.566	0.465	0.710	0.800	0.892	0.751	0.845	0.944	0.821
40% to less than 60%	0.995	0.931	1.060	1.009	0.807	0.830	0.977	0.996	0.861	1.000	1.065	1.088	0.986	1.057	1.174	0.910
60% to less than 80%	1.094	1.011	1.181	1.134	0.956	1.057	1.222	1.142	1.124	1.214	1.281	1.475	1.222	1.173	1.651	1.117
80% or greater	1.210	1.108	1.255	1.111	0.927	1.089	1.063	1.298	1.045	1.355	1.401	1.466	1.260	1.502	2.102	1.362

Presence of contingent assets

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				1.043	0.818	0.901	1.016	0.977	0.894	0.983	1.026	1.075	0.879	0.915	1.105	0.821
At least one contingent asset				1.085	0.883	0.929	1.000	0.995	0.926	0.993	0.870	1.017	0.856	0.883	1.141	0.903

Funding levels (TPs)

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	0.795	0.717	0.837	0.963	0.671	0.693	0.909	0.809	0.674	0.847	0.924	1.002	0.833	0.964	1.108	0.853
70% to less than 80%	1.046	0.970	1.136	1.135	0.866	0.845	1.037	1.075	0.908	1.003	1.130	1.105	0.883	0.970	1.102	0.849
80% to less than 90%	1.161	1.042	1.224	1.131	0.899	0.900	1.066	1.094	0.966	0.973	1.070	1.115	0.875	0.952	1.013	0.834
90% to less than 100%	1.180	1.050	1.234	1.082	0.871	1.065	1.032	0.961	0.952	1.013	0.882	1.060	0.883	0.847	1.156	0.761
100% or greater								0.866	0.854	1.021	0.956	1.025	0.874	0.896	1.160	0.881

PPF standard stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							1.149	1.174	1.066	1.305	1.330	1.466	1.212	1.481	1.968	1.233
90% to less than 95%							1.149	1.095	1.064	1.098	1.148	1.282	1.187	1.163	1.645	1.114
95% to less than 100%							0.895	0.946	0.715	0.933	1.012	1.210	1.018	1.059	1.140	1.017
100% to less than 105%							0.771	0.567	0.614	0.746	0.761	0.928	0.816	0.920	0.950	0.894
105% or greater							0.296	0.162	0.437	0.570	0.447	0.615	0.547	0.634	0.892	0.611

PPF combined stressed/unstressed asset ratio

Mean percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							1.146	1.169	1.075	1.311	1.325	1.491	1.214	1.472	2.001	1.233
90% to less than 95%							1.151	1.099	1.063	1.099	1.150	1.292	1.196	1.160	1.640	1.102
95% to less than 100%							0.901	0.935	0.788	0.954	1.042	1.217	1.034	1.080	1.172	1.042
100% to less than 105%							0.765	0.673	0.681	0.769	0.831	0.953	0.823	0.917	0.930	0.909
105% or greater							0.474	0.318	0.287	0.622	0.528	0.683	0.601	0.659	0.896	0.634

Table 4.8: distribution of the nominal SEDR (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

	Rate percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	6.3	6.56	6.7	6.5	6.36	6.3	5.32	5.16	5.48	4.523	4.395	4.081	3.74	3.5	3.42	2.92
Upper quartile	5.79	6.04	6.22	5.91	5.87	5.78	4.77	4.55	4.91	3.828	3.7	3.18	3.0	2.8	2.31	2.22
Median	5.36	5.62	5.87	5.5	5.5	5.42	4.37	4.13	4.505	3.415	3.29	2.7	2.615	2.425	1.82	1.83
Lower quartile	5.0	5.3	5.5	5.01	5.11	5.0	3.94	3.69	4.1	3.03	2.87	2.25	2.2	2.05	1.45	1.508
5th percentile	4.375	4.614	4.8	4.25	4.32	4.26	3.047	2.816	3.419	2.3	2.15	1.7	1.66	1.48	1.05	1.1

Table 4.9a: distribution of the outperformance of the nominal SEDR over nominal 20 year UK gilts (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

	Rate percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	2.154	2.1	2.135	2.07	1.78	1.884	2.032	2.03	1.9	1.99	1.93	2.2	1.872	1.818	2.26	1.77
Upper quartile	1.66	1.59	1.62	1.51	1.28	1.36	1.49	1.44	1.33	1.34	1.29	1.33	1.15	1.1	1.272	0.99
Median	1.24	1.18	1.3	1.15	0.935	0.99	1.115	1.06	0.95	0.99	0.92	0.865	0.77	0.73	0.82	0.67
Lower quartile	0.84	0.83	0.91	0.65	0.57	0.6	0.67	0.61	0.52	0.613	0.51	0.42	0.35	0.36	0.45	0.37
5th percentile	0.206	0.186	0.205	-0.101	-0.23	-0.13	-0.17	-0.24	-0.14	-0.1	-0.19	-0.16	-0.16	-0.168	-0.03	-0.15

Table 4.9b: distribution of the outperformance of the nominal SEDR over greater than 15 year AA rated corporate bonds (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

	Rate percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	1.37	1.2	0.48	-0.176	0.81	0.834	0.692	1.05	1.19	1.123	0.965	1.53	1.08	1.01	1.441	1.061
Upper quartile	0.87	0.69	-0.15	-0.86	0.34	0.33	0.15	0.45	0.61	0.49	0.29	0.657	0.38	0.29	0.372	0.35
Median	0.45	0.28	-0.63	-1.31	0	-0.03	-0.23	0.08	0.23	0.15	-0.08	0.18	0.01	-0.07	-0.175	0.03
Lower quartile	0.05	-0.05	-1.105	-1.77	-0.41	-0.44	-0.66	-0.38	-0.19	-0.25	-0.49	-0.26	-0.422	-0.44	-0.62	-0.26
5th percentile	-0.59	-0.71	-1.84	-2.53	-1.17	-1.184	-1.58	-1.23	-0.85	-0.98	-1.16	-0.841	-0.97	-0.98	-1.12	-0.76

Table 4.10: distribution of the real SEDR (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

	Rate percentage (%) — tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	3.108	3.067	2.927	3.194	2.55	2.557	1.966	1.791	1.984	1.177	1.162	0.764	0.29	0.027	0.484	-0.485
Upper quartile	2.606	2.614	2.444	2.541	2.052	1.987	1.403	1.173	1.263	0.541	0.484	-0.295	-0.388	-0.659	-0.752	-1.186
Median	2.238	2.254	2.136	2.171	1.739	1.688	1.035	0.774	0.916	0.189	0.101	-0.75	-0.77	-1.016	-1.167	-1.522
Lower quartile	1.942	1.967	1.789	1.756	1.389	1.313	0.648	0.366	0.58	-0.206	-0.291	-1.125	-1.159	-1.357	-1.505	-1.819
5th percentile	1.257	1.302	1.064	0.899	0.679	0.674	-0.097	-0.435	-0.041	-0.879	-0.954	-1.684	-1.646	-1.944	-1.985	-2.284

Table 4.11: distribution of the outperformance of the real SEDR over the 20 year spot rate on UK gilts (tranches 1 to 7: schemes in deficit only, tranches 8 to 16: all schemes)

	Rate Percentage (%) - Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	1.893	1.784	1.979	2.078	1.678	1.848	1.97	1.952	1.991	1.955	2.023	2.426	1.942	1.948	2.642	1.973
Upper quartile	1.405	1.338	1.491	1.462	1.189	1.253	1.432	1.383	1.23	1.363	1.37	1.453	1.24	1.269	1.512	1.212
Median	1.052	0.991	1.167	1.099	0.895	0.938	1.05	1.032	0.893	1.029	1.034	1.02	0.886	0.949	1.049	0.882
Lower quartile	0.747	0.709	0.839	0.688	0.527	0.568	0.674	0.65	0.543	0.656	0.629	0.608	0.501	0.607	0.744	0.59
5th percentile	0.047	0.017	0.113	-0.137	-0.182	-0.071	-0.081	-0.119	-0.056	-0.039	-0.012	0.069	-0.004	0.037	0.217	0.027

Mortality assumptions

Table 5.1: base mortality tables (schemes in deficit only)

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
92 series	97	74	37	13	6	2	1	0	0	0	0	0	0	0	0	0
00 series	2	24	55	37	32	19	13	9	8	5	2	2	2	0	0	0
SAPS series	0	1	6	45	60	76	81	87	89	92	94	96	93	85	88	86
Other series	1	1	2	6	2	3	5	4	3	3	4	2	5	15	12	14

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

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No loading	75	65	53	49	50	49	46	50	49	44	46	47	44	43	46	44
Rating by age	18	22	23	19	13	12	13	9	9	9	6	7	5	5	3	4
Percentage adjustment to q(x)	7	13	22	25	27	28	29	30	30	37	36	36	42	43	40	42
SAPS series light / heavy	0	0	1	4	5	5	6	6	5	5	5	4	3	4	5	3
Combination of two or more of the above	0	0	1	4	5	6	5	6	6	7	7	6	6	5	7	7

Table 5.3: q(x) adjustments to base mortality tables (tranche 16 schemes in deficit only)

	Base table (percentage of schemes)
	SAPS Series	Other Series	Total
No qX loading	48	77	52
Less than 80%	0	0	0
80% to 100%	24	23	24
100% to 120%	24	0	21
Over 120%	3	0	2
Total	86	14	100

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

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
None / not stated	22	13	10	3	3	3	3	3	4	4	3	2	2	2	2	2
92 base adjustment	19	7	3	1	0	0	0	0	0	0	0	0	0	0	0	0
Short cohort projection	5	2	1	0	0	0	0	0	0	0	0	0	0	0	0	0
Medium cohort projection	46	61	51	56	35	16	9	4	2	0	0	0	0	0	0	0
Long cohort projection	1	13	33	35	28	13	6	2	1	1	0	0	0	0	0	1
CMI projection	0	0	0	2	31	67	80	90	92	93	95	95	96	96	94	95
Other projection	9	4	3	2	2	2	2	2	2	2	1	2	2	2	3	2
Use of a long-term rate of improvement *	2	22	60	86	92	93	93	96	95	94	94	95	95	96	92	96

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

	Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
None / not stated	98	78	40	14	8	7	7	4	5	6	6	5	5	4	8	4
1% or less	2	17	44	59	49	27	15	8	8	3	2	3	3	4	5	7
Greater than 1% to less than 1.5%	0	2	5	10	18	17	17	14	8	8	8	9	10	9	7	7
1.50%	0	4	10	16	22	42	54	64	64	69	70	66	69	69	62	65
Greater than 1.5% to less than 2.0%	0	0	0	0	1	2	2	3	6	7	8	10	9	9	12	11
2.00% or greater	0	0	0	1	1	5	5	7	8	6	6	7	5	5	5	6

Life expectancy

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

	Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	89	90.7	91.6	91.5	91.9	92.4	92.4	92.4	92.3	92.2	91.9	91.5	90.7	90.5	90.5	90.4
Upper quartile	88	88.7	89.9	90.2	90.4	90.8	90.9	90.7	90.8	90.7	90.5	90	89.7	89.4	89.4	89.4
Median	87	88	89	89.2	89.5	89.7	89.8	89.9	89.9	89.8	89.7	89.3	88.9	88.7	88.7	88.7
Lower quartile	85.8	87.1	88	88.1	88.4	88.9	89.1	89.3	89.3	89.4	89.4	88.8	88.5	88.2	88.2	88.2
5th percentile	84.4	84.9	86.3	86.8	87.1	87.6	87.9	88.1	88.1	88.3	88	87.7	87.3	87	87.2	87

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

	Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	87.7	88.6	89	89	89.2	89.4	89.8	89.5	89.5	89.6	89.4	89.1	88.8	88.8	88.8	88.7
Upper quartile	86.8	87	87.9	88	88.1	88.5	88.5	88.5	88.6	88.5	88.3	88.2	87.9	87.7	87.7	87.7
Median	86	86.9	87	87.2	87.3	87.6	87.7	87.8	87.7	87.7	87.7	87.4	87.2	87.1	87.1	87.1
Lower quartile	84.8	86	86.1	86.2	86.6	86.9	87.2	87.4	87.3	87.4	87.3	87.1	86.9	86.6	86.7	86.7
5th percentile	83.5	84	84.8	85.1	85.3	85.8	86	86.1	86.2	86.4	86.2	86	85.8	85.4	85.6	85.4

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

	Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	91.8	93	93.4	93.4	93.7	94.2	94.3	94.4	94.3	94.1	94	93.3	92.7	92.3	92.5	92.4
Upper quartile	90.8	91.3	92.4	92.4	92.5	92.7	92.8	92.9	92.8	92.9	92.7	92	91.6	91.5	91.5	91.6
Median	89.8	90.8	91.3	91.5	91.6	91.9	92.1	92.3	92.1	92	91.9	91.2	91	90.9	91.1	91.2
Lower quartile	88.8	89.8	90.2	90.6	90.8	91	91.4	91.6	91.3	91.5	91.5	90.8	90.7	90.4	90.5	90.7
5th percentile	87.3	87.8	88.6	89.1	89.3	89.9	90.1	90.5	90.4	90.5	90.3	89.8	89.7	89.4	89.6	89.8

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

	Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
95th percentile	90.6	91.5	91.7	91.3	91.4	91.5	91.6	91.6	91.5	91.4	91.4	91.1	90.6	90.5	90.7	90.6
Upper quartile	89.7	89.9	90.5	90.4	90.5	90.5	90.6	90.6	90.5	90.5	90.3	90	89.7	89.7	89.7	89.8
Median	88.8	89.7	89.6	89.6	89.6	89.8	89.9	90	89.8	89.8	89.6	89.4	89.2	89.2	89.3	89.4
Lower quartile	87.7	88.6	88.7	88.7	88.9	89.1	89.4	89.6	89.3	89.4	89.4	89	88.9	88.7	88.8	89
5th percentile	86.5	86.9	87.2	87.6	87.6	88.2	88.3	88.4	88.3	88.5	88.3	88.1	87.9	87.7	87.9	87.9

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

Current male pensioners aged 65

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
All schemes	85.7	86.5	87.0	87.1	87.3	87.7	87.8	87.9	87.9	87.9	87.8	87.6	87.4	87.2	87.2	87.2

Size by number of members

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	85.9	86.7	87.4	87.4	87.6	87.8	87.9	88.0	87.9	87.9	87.7	87.6	87.4	87.1	87.2	87.1
100 to fewer than 500 members	85.8	86.6	87.0	87.1	87.2	87.6	87.8	87.7	87.8	87.9	87.7	87.5	87.4	87.2	87.2	87.2
500 to fewer than 1,000 members	85.7	86.4	86.8	86.7	87.2	87.6	87.8	87.9	87.9	87.9	87.9	87.7	87.5	87.5	87.3	87.3
1,000 to fewer than 5,000 members	85.5	86.3	86.6	86.8	87.3	87.4	87.8	87.9	87.8	87.9	87.8	87.5	87.5	87.3	87.2	87.3
5,000 members or more	85.2	86.1	86.5	86.7	87.2	87.6	87.7	88.1	87.9	87.8	88.0	87.7	87.2	87.5	87.3	87.0

Size by TPs

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	85.9	86.6	87.4	87.2	87.4	87.6	87.6	87.8	87.7	87.6	87.6	87.4	87.2	86.8	86.9	87.0
£5m to less than £20m	85.7	86.6	86.9	87.2	87.2	87.6	87.8	87.7	87.8	87.9	87.5	87.4	87.3	87.0	87.0	87.0
£20m to less than £100m	85.6	86.6	86.9	87.0	87.4	87.7	87.9	87.9	88.0	88.0	87.8	87.6	87.5	87.3	87.3	87.2
£100m to less than £300m	85.7	86.3	86.6	87.1	87.2	87.5	87.9	88.1	88.0	88.0	88.1	87.8	87.6	87.6	87.4	87.5
£300m or greater	85.4	86.2	86.7	86.8	87.4	87.9	87.9	88.2	88.0	88.0	88.1	87.8	87.5	87.5	87.4	87.3

Maturity (ratio of pensioner TPs to total TPs)

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	85.9	86.7	87.2	87.3	87.5	87.8	87.9	87.9	87.9	87.8	87.8	87.5	87.4	87.0	87.1	87.0
25% to less than 50%	85.6	86.4	86.8	86.9	87.2	87.6	87.8	87.9	87.8	87.9	87.7	87.5	87.4	87.2	87.2	87.2
50% to less than 75%	85.5	86.4	86.7	87.1	87.3	87.6	87.7	87.9	87.9	87.9	87.8	87.5	87.4	87.2	87.2	87.2
75% or greater	85.7	87.3	87.0	87.6	87.7	88.2	88.5	88.1	88.4	88.4	88.1	88.0	87.6	87.7	87.5	87.6

Presence of active members

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	85.7	86.5	86.9	87.1	87.4	87.6	87.8	87.9	87.8	87.9	87.8	87.6	87.3	87.3	87.3	87.2
TPs not reported for active members	85.9	86.6	87.2	87.1	87.3	87.7	87.7	87.8	87.9	87.9	87.7	87.5	87.4	87.2	87.2	87.2

Covenant (schemes in deficit only)

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (Strong)							88.1	88.0	88.0	88.2	88.0	87.7	87.8	87.3	87.4	87.2
Covenant group 2 (Tending to Strong)							87.8	87.9	87.9	87.9	87.8	87.5	87.3	87.1	87.2	87.2
Covenant group 3 (Tending to Weak)							87.7	87.9	87.8	87.9	87.7	87.6	87.2	87.1	87.0	87.1
Covenant group 4 (Weak)							87.7	87.8	87.9	87.7	87.5	87.4	87.2	86.9	87.0	87.1

RP length (schemes in deficit only)

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	85.9	86.7	87.2	87.3	87.4	87.8	88.0	88.0	88.1	88.1	87.8	87.6	87.5	87.2	87.2	87.3
5 to fewer than 7.5 years	85.9	86.6	87.1	87.3	87.4	87.7	87.9	87.9	87.9	87.9	87.8	87.6	87.3	87.1	87.2	87.0
7.5 to fewer than 10 years	85.8	86.6	87.0	87.2	87.3	87.7	87.9	87.9	87.8	87.7	87.8	87.5	87.1	87.2	87.1	87.0
10 years or more	85.6	86.6	86.8	86.9	87.2	87.4	87.6	87.7	87.7	87.7	87.6	87.4	87.2	86.8	86.8	86.9

Return seeking assets

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	85.7	86.9	87.3	86.7	87.4	87.8	87.7	87.8	87.6	87.7	87.9	87.8	87.8	87.5	87.4	87.3
20% to less than 40%	85.8	86.6	87.0	87.1	87.6	87.9	87.7	88.0	88.1	88.1	87.9	87.6	87.4	87.2	87.3	87.2
40% to less than 60%	85.6	86.6	87.0	87.1	87.5	87.8	87.9	88.0	87.9	87.9	87.7	87.5	87.3	87.1	87.1	87.1
60% to less than 80%	85.8	86.6	87.0	87.1	87.3	87.5	87.7	87.8	87.8	87.8	87.6	87.4	87.2	87.0	86.9	87.0
80% or greater	85.6	86.3	86.6	87.1	87.2	87.3	88.0	87.7	87.6	87.8	87.7	87.4	87.6	86.6	86.8	87.0

Presence of contingent assets

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				87.1	87.4	87.6	87.8	87.9	87.8	87.9	87.7	87.5	87.4	87.2	87.2	87.2
At least one contingent asset				87.0	87.1	87.7	87.8	87.8	88.0	87.9	87.8	87.7	87.4	87.3	87.2	87.2

Funding level (TPs)

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	86.1	86.9	87.4	87.1	87.4	87.9	87.7	87.7	87.8	87.9	87.7	87.5	87.4	86.9	86.9	87.0
70% to less than 80%	85.7	86.7	86.9	87.2	87.3	87.6	87.9	87.9	87.9	87.7	87.7	87.5	87.2	86.9	87.1	87.2
80% to less than 90%	85.7	86.5	86.9	87.2	87.3	87.7	88.0	87.9	87.9	88.0	87.7	87.6	87.3	87.1	87.2	87.1
90% to less than 100%	85.6	86.4	87.0	86.7	87.4	87.6	87.7	88.0	88.0	87.9	87.8	87.6	87.4	87.3	87.2	87.2
100% or greater	85.3	86.4	86.7	86.9	87.6	87.5	87.4	87.9	87.8	87.8	87.9	87.5	87.6	87.4	87.3	87.3

PPF Standard stressed/Unstressed asset ratio

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							87.7	87.6	87.7	87.7	87.5	87.3	87.3	86.7	86.7	87.2
90% to less than 95%							87.9	88.0	87.9	88.0	87.7	87.5	87.3	87.0	86.9	87.0
95% to less than 100%							87.8	88.0	87.9	87.9	87.8	87.5	87.3	87.1	87.1	87.1
100% to less than 105%							87.9	87.8	88.1	88.0	87.9	87.7	87.4	87.1	87.2	87.2
105% or greater							87.7	88.1	87.8	87.9	88.0	87.7	87.5	87.4	87.4	87.3

PPF Combined stressed/Unstressed asset ratio

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							87.7	87.6	87.7	87.7	87.5	87.3	87.3	86.7	86.7	87.2
90% to less than 95%							87.9	88.0	87.9	88.0	87.7	87.5	87.3	87.0	86.9	87.0
95% to less than 100%							87.8	88.0	87.9	87.9	87.8	87.5	87.3	87.1	87.1	87.1
100% to less than 105%							87.8	87.9	88.0	87.9	87.8	87.6	87.4	87.1	87.2	87.1
105% or greater							87.8	88.1	87.9	87.9	88.0	87.7	87.5	87.4	87.4	87.3

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

Current male pensioners aged 65

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
All schemes	86.7	87.9	88.9	88.9	89.3	89.7	89.9	90.0	90.0	90.0	89.9	89.4	89.1	88.9	88.9	88.8

Size by number of members

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 100 members	86.9	87.9	89.2	89.1	89.2	89.9	90.0	90.2	90.1	90.0	89.9	89.5	89.1	88.8	88.9	88.8
100 to fewer than 500 members	86.7	87.9	88.8	88.9	89.2	89.6	89.9	89.8	90.0	90.0	89.8	89.3	89.2	88.8	88.8	88.8
500 to fewer than 1,000 members	86.7	87.9	88.7	88.8	89.2	89.7	89.8	90.0	90.1	90.1	90.1	89.5	89.2	89.1	88.9	88.9
1,000 to fewer than 5,000 members	86.6	87.8	88.5	88.5	89.3	89.5	89.8	90.0	89.9	90.0	89.8	89.3	89.2	88.9	88.8	88.9
5,000 members or more	86.5	87.7	88.6	88.9	89.4	89.6	89.8	90.1	90.1	90.0	90.1	89.6	88.9	89.0	89.0	88.6

Size by TPs

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than £5m	86.8	87.8	89.2	88.7	89.1	89.6	89.6	90.0	89.8	89.7	89.8	89.3	89.0	88.5	88.6	88.7
£5m to less than £20m	86.7	87.8	88.8	89.1	89.1	89.8	89.9	89.8	89.9	90.0	89.6	89.2	89.0	88.7	88.7	88.7
£20m to less than £100m	86.7	88.1	88.8	88.9	89.4	89.8	89.9	90.0	90.2	90.1	89.9	89.4	89.2	88.9	89.0	88.9
£100m to less than £300m	86.8	87.8	88.5	88.7	89.3	89.6	90.0	90.2	90.2	90.2	90.2	89.6	89.3	89.3	89.0	89.1
£300m or greater	86.6	87.9	88.8	89.0	89.6	89.9	90.1	90.3	90.2	90.1	90.2	89.6	89.3	89.1	89.1	88.9

Maturity (ratio of pensioner TPs to total TPs)

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 25%	86.8	87.9	89.1	88.9	89.4	89.9	90.0	90.0	90.1	89.9	89.9	89.4	89.1	88.7	88.8	88.7
25% to less than 50%	86.7	87.8	88.6	88.8	89.2	89.7	89.9	90.0	89.9	90.0	89.8	89.4	89.1	88.8	88.9	88.8
50% to less than 75%	86.6	87.8	88.7	88.9	89.4	89.7	89.8	90.0	90.0	90.0	89.9	89.4	89.1	88.9	88.9	88.9
75% or greater	86.7	89.1	88.9	89.7	86.6	89.0	90.7	90.2	90.6	90.5	90.5	89.9	89.4	89.4	89.1	89.2

Presence of active members

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
TPs reported for active members	86.7	87.9	88.8	89.0	89.4	89.7	89.9	90.0	90.0	90.0	89.9	89.4	89.1	88.9	88.9	88.8
TPs not reported for active members	86.8	87.9	89.1	88.7	89.0	89.8	89.8	90.0	90.1	90.0	89.9	89.4	89.2	88.8	88.8	88.8

Covenant (schemes in deficit only)

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Covenant group 1 (Strong)							90.2	90.1	90.2	90.3	90.2	89.6	89.6	89.0	89.0	88.9
Covenant group 2 (Tending to Strong)							89.9	90.0	90.1	90.0	89.9	89.3	89.0	88.8	88.9	88.8
Covenant group 3 (Tending to Weak)							89.7	90.0	89.9	90.0	89.8	89.5	88.9	88.7	88.7	88.7
Covenant group 4 (Weak)							89.8	90.0	90.1	89.8	89.7	89.3	88.9	88.6	88.6	88.7

RP length (schemes in deficit only)

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Fewer than 5 years	86.9	88.1	89.0	89.2	88.8	89.8	90.1	90.1	90.3	90.2	89.9	89.5	89.2	88.9	88.9	88.9
5 to fewer than 7.5 years	86.9	88.0	89.1	88.9	89.5	89.8	90.0	90.0	90.1	90.1	89.9	89.5	89.0	88.7	88.8	88.6
7.5 to fewer than 10 years	86.8	87.9	88.8	89.2	89.2	89.8	90.0	90.0	90.0	89.8	90.0	89.4	88.8	88.9	88.7	88.7
10 years or more	86.7	87.9	88.6	88.4	89.2	89.5	89.7	89.9	89.8	89.9	89.6	89.2	88.9	88.4	88.5	88.5

Return seeking assets

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 20%	86.6	88.2	89.2	87.9	88.3	89.0	89.8	89.8	89.6	89.6	90.1	89.7	89.5	89.2	89.1	89.0
20% to less than 40%	86.8	88.0	88.9	89.3	89.6	90.0	89.8	90.2	90.2	90.2	90.1	89.5	89.1	88.9	88.9	88.9
40% to less than 60%	86.6	88.0	88.9	89.0	89.4	89.9	90.0	90.2	90.1	90.0	89.8	89.4	89.0	88.7	88.8	88.8
60% to less than 80%	86.8	87.9	89.0	88.8	89.3	89.6	89.8	89.9	90.0	90.0	89.7	89.2	89.0	88.7	88.5	88.6
80% or greater	86.7	87.6	88.5	88.6	88.8	89.4	90.1	89.8	89.8	89.9	89.7	89.4	89.2	88.3	88.6	88.6

Presence of contingent assets

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
No contingent asset				88.9	89.3	89.7	89.9	90.0	90.0	90.0	89.9	89.4	89.1	88.9	88.9	88.8
At least one contingent asset				88.7	89.2	89.6	89.9	89.9	90.2	90.0	90.0	89.5	89.1	88.9	88.9	88.8

Funding level (TPs)

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 70%	87.1	88.2	89.3	88.8	89.5	90.1	89.8	89.9	90.0	90.0	89.8	89.3	89.0	88.6	88.5	88.6
70% to less than 80%	86.7	88.0	88.7	89.3	89.4	89.7	90.0	90.0	90.0	89.8	89.8	89.3	88.9	88.6	88.7	88.9
80% to less than 90%	86.8	87.8	88.8	89.2	88.9	89.8	90.1	90.0	90.0	90.1	89.8	89.5	89.1	88.8	88.9	88.7
90% to less than 100%	86.6	87.7	88.9	88.0	89.2	89.6	89.7	90.1	90.2	90.0	90.0	89.4	89.2	89.0	88.9	88.8
100% or greater	86.3	87.8	88.7	88.9	89.6	89.6	89.5	89.9	89.9	89.9	90.0	89.4	89.3	89.0	89.0	88.9

PPF Standard stressed/Unstressed asset ratio

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							89.8	89.7	89.8	89.8	89.6	89.1	89.1	88.4	88.4	88.8
90% to less than 95%							89.9	90.2	90.1	90.1	89.8	89.4	89.1	88.7	88.5	88.7
95% to less than 100%							89.9	90.1	90.2	90.0	89.9	89.3	89.0	88.8	88.8	88.7
100% to less than 105%							90.0	89.9	90.2	90.1	90.0	89.5	89.2	88.8	88.9	88.8
105% or greater							89.8	90.1	89.9	89.9	90.2	89.6	89.3	89.1	89.0	89.0

PPF Combined stressed/Unstressed asset ratio

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
Less than 90%							89.8	89.7	89.8	89.8	89.6	89.1	89.1	88.4	88.4	88.8
90% to less than 95%							89.9	90.2	90.1	90.2	89.8	89.4	89.1	88.7	88.5	88.7
95% to less than 100%							89.8	90.1	90.1	90.0	89.9	89.3	89.0	88.7	88.8	88.8
100% to less than 105%							89.9	90.0	90.2	90.1	90.0	89.5	89.2	88.8	88.9	88.8
105% or greater							90.0	90.1	89.9	90.0	90.2	89.6	89.2	89.1	89.0	88.9

Table 6.3: average change in life expectancies for current male pensioners aged 65 by scheme characteristics, tranche 13 versus tranche 16 (schemes in surplus and deficit)

Current male pensioners aged 65

	Change in assumed age at death (years)	Percentage of schemes (%)
All Schemes	-0.23	100

Size by number of members

	Change in assumed age at death (years)	Percentage of schemes (%)
Fewer than 100 members	-0.25	35
100 to fewer than 500 members	-0.21	32
500 to fewer than 1,000 members	-0.21	12
1,000 to fewer than 5,000 members	-0.20	14
5,000 members or more	-0.28	7

Size by TPs

	Change in assumed age at death (years)	Percentage of schemes (%)
Less than £5m	-0.34	18
£5m to less than £20m	-0.23	22
£20m to less than £100m	-0.18	29
£100m to less than £300m	-0.15	16
£300m or greater	-0.27	16

Maturity (ratio of pensioner TPs to total TPs)

	Change in assumed age at death (years)	Percentage of schemes (%)
Less than 25%	-0.26	16
25% to less than 50%	-0.22	41
50% to less than 75%	-0.15	37
75% or greater	-0.19	7

Presence of active members

	Change in assumed age at death (years)	Percentage of schemes (%)
TPs reported for active members	-0.22	29
TPs not reported for active members	-0.23	71

Covenant (schemes in deficit only)

	Change in assumed age at death (years)	Percentage of schemes (%)
Covenant group 1 (Strong)	-0.17	19
Covenant group 2 (Tending to Strong)	-0.19	41
Covenant group 3 (Tending to Weak)	-0.10	22
Covenant group 4 (Weak)	-0.16	18

RP length (schemes in deficit only)

	Change in assumed age at death (years)	Percentage of schemes (%)
Fewer than 5 years	-0.16	55
5 to fewer than 7.5 years	-0.18	22
7.5 to fewer than 10 years	-0.10	11
10 years or more	-0.14	11

Return seeking assets

	Change in assumed age at death (years)	Percentage of schemes (%)
Less than 20%	-0.35	29
20% to less than 40%	-0.16	29
40% to less than 60%	-0.18	26
60% to less than 80%	-0.19	13
80% or greater	-0.30	2

Presence of contingent assets

	Change in assumed age at death (years)	Percentage of schemes (%)
No contingent asset	-0.24	85
At least one contingent asset	-0.17	15

Funding level (TPs)

	Change in assumed age at death (years)	Percentage of schemes (%)
Less than 70%	-0.16	8
70% to less than 80%	-0.12	10
80% to less than 90%	-0.15	17
90% to less than 100%	-0.18	26
100% or greater	-0.34	39

PPF Standard stressed/Unstressed asset ratio

	Change in assumed age at death (years)	Percentage of schemes (%)
Less than 90%	-0.15	5
90% to less than 95%	-0.19	10
95% to less than 100%	-0.15	17
100% to less than 105%	-0.32	23
105% or greater	-0.22	46

PPF Combined stressed/Unstressed asset ratio

	Change in assumed age at death (years)	Percentage of schemes (%)
Less than 90%	-0.15	5
90% to less than 95%	-0.20	10
95% to less than 100%	-0.13	15
100% to less than 105%	-0.32	20
105% or greater	-0.23	50

Glossary

00 series base mortality table (00 series)

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

92 series base mortality table (92 series)

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

08 series base mortality table (08 series)

Based on 2007 to 2010 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 (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 us, 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. CMI_2021, was published in March 2022.

Deficit reduction 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 recovery plan.

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.

Self-Administered Pension Schemes (SAPS) base mortality tables (includes ‘S1’, ‘S2’ and ‘S3’ 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 2004.

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 assumed 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 assumed 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.

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.

The Pensions Regulator (TPR)

The UK regulator of work-based pension schemes, a non-departmental public body established under the Pensions Act 2004.

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, 10, 13 and 16.

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.

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