Scheme funding analysis 2022 annex

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

Published: 28 July 2022

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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 15 valuations and associated recovery plans received up to 21 June 2022. It also includes data on schemes in surplus for all tranches.

Tranche 15 is the third tranche of the fifth cycle of the scheme funding regime. The majority of cycle four plans (tranches 10, 11 and 12) and cycle three plans (tranches 7, 8 and 9) are fourth and third valuations respectively under the scheme funding regime. However, tranches 3, 6, 9, 12 and 15 (1, 4, 7, 10 and 13, etc.) do not constitute a perfect cohort. There are a few reasons why this may be the case, including the following.

• Some schemes have had their most recent valuation less than three years since their previous valuation.
• Where a scheme’s assets were less than its technical provisions (TPs) in the previous cycle (ie tranche 12) but exceeded its TPs for its valuation under the current cycle (ie tranche 15).
• 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 first time that the statistics have been produced from a newly established enterprise data lake.

This data-analysis pipeline means we have been able to remove a variety of manual and semi-manual steps in the production of the analysis, thereby greatly reducing the scope for error, and allowing us to take an effective date of underlying data much more proximate to the publication date than has been possible in the past, allowing for a much more complete dataset relative to the most recent tranche of valuations. The effective date of the underlying data supporting this iteration of the publication is 21 June 2022, whereas in previous publications – published at around the same time each year – have had effective dates of January or February in the corresponding year.

As part of the migration of data-analysis components of the publication to this data-lake supported pipeline, we have also taken the opportunity to review a number of routines which produce the eventual dataset for analysis. In particular, the mortality assumptions found in the funding strategies section draw on routines which parse and convert free-text fields into structured data items for analysis. In some earlier tranches, this conversion was conducted manually. Supported by the new technologies and pipeline, a detailed review of these routines have been performed, and some significant improvements have been made and extended to all tranches, resulting in restated positions for certain of the statistics reported in this section, for earlier tranches.

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 (tranches 1 to 7: schemes in deficit only, tranches 8 to15: all schemes), and as such historical positions will differ to earlier publications.

Average annual deficit repair contributions (DRCs) summarised in Table 3.4 are calculated as the average of DRCs over the first four years of the 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 using the standard approach, 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	1,176	544
5	15	22 September 2019 to 21 September 2020	1,256	457

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 21 June 2022, we had received 1,256 recovery plans and 457 valuations in respect of schemes reporting a surplus.

75.9% of schemes with tranche 15 valuations, reported valuations in respect of tranche 12, tranche 9, tranche 6 and tranche 3.

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

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	33.2	34	34.1	32	34.6	36.5	34.4	35	35.1	34.5	36.1	36	34.7	37.3	35
100 to fewer than 500 members	34	36.1	34.1	33	34.7	34.7	32.8	34.7	34.8	31.7	33.8	35.3	31.2	34.2	36.1
500 to fewer than 1,000 members	11.1	10.3	12	11.9	10.9	9.9	11.1	10.5	10.1	11.7	10.3	9.5	12.4	9.1	10
1,000 to fewer than 5,000 members	14.5	12.6	13.7	15	12.8	13.2	14	12.7	13.8	14.1	12.9	13.4	14.2	12.5	13.5
5,000 members or more	7.1	6.9	6.2	8.2	7	5.6	7.8	7.1	6	8	6.9	5.8	7.5	6.8	5.5

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
Less than £5m	31.1	31.8	28.4	27.4	27.8	26	23.5	23.6	21.3	21.7	21.4	18.8	20.3	19.4	16.6
£5m to less than £20m	28.7	31.1	29.8	28.2	29.8	29.2	24.8	26.9	29	23.1	26	26	21.3	25.1	25.2
£20m to less than £100m	24.9	23	26.4	25.6	25.2	26.5	28.6	27.9	28.5	28.2	28.1	29.9	29.4	29.1	31.2
£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	14.7
£300m or greater	7.7	7	6.7	8.9	8.6	7.3	10.7	11.3	9.1	12.6	12.7	11.7	14.1	13.8	12.3

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	47.2	46.4	40.5	38.2	36.5	30.5	30.2	29	25.1	26.9	24.2	21.9	21.7	19.7	16.2
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	41.7	41.6
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	28	30.3	32.6	36.3
75% or greater	1.8	2.2	2.1	2.7	2.7	3.2	3.6	3	3.9	4	4.7	5	5.4	6.1	5.9

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
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	38.6
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	61.4

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							21.8	18	16.7	11.4	11.4	11.5	14.3	12.1	18.8
Covenant group 2 (tending to strong)							37.4	33.1	38.2	46.8	47.8	45.7	43.2	46	40.4
Covenant group 3 (tending to weak)							22.2	25	21.8	28.1	27.3	28.7	27.8	26.4	23.3
Covenant group 4 (weak)							18.7	23.9	23.3	13.6	13.4	14.2	14.7	15.5	17.5

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	25.5	29.2	25.1	18.3	26	32.7	28.3	29.1	34.4	38.9	34.1	39.6	47.3	49.7	50
5 to fewer than 7.5 years	14.4	17.6	15.1	14.9	19	19.6	21.1	18.1	19.4	20.5	19.4	19.7	21.4	23.1	22.2
7.5 to fewer than 10 years	41.5	39.3	38	32.1	28.9	23	20.4	23	19	15.1	21.3	19.7	15.4	12.6	15.3
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	15.9	14.6	12.5

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
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	20.8	23.8
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	28.7	30
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	33.6	31.4
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	14.3	12.8
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	2

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
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
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

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
Less than 70%	18.3	12.5	14.1	42.8	19.8	11.7	22.4	20.7	9.8	11.1	13	12.3	8.5	10.7	12.9
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	14.9	11.8	11.7	15.3
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	20.1	21.1
90% to less than 100%	18.4	23	21.2	8.4	16.7	23.8	14.9	18.1	27.5	25	23.9	25.9	25.3	25.9	24.1
100% or greater	15.6	19.3	18.5	6.8	11.5	21.2	11.1	13.5	24	23.5	19.7	23.7	37.2	31.7	26.5

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							22.3	26.4	23.8	19.5	17.3	8.2	6.8	5.1	4.5
90% to less than 95%							36.6	35.3	36.9	29.1	27.6	20.5	15.1	14	12.3
95% to less than 100%							24.1	22.1	23	26.3	25.7	29.3	26.1	22.2	19.9
100% to less than 105%							11.2	9.8	8.6	13.4	16.2	21.9	23.2	23.2	21.8
105% or greater							5.9	6.4	7.7	11.6	13.2	20.1	28.7	35.6	41.5

Tranche (percentage of schemes)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							22.1	26	23.6	19	17.3	8.2	6.7	5	4.6
90% to less than 95%							35.7	33.8	34.8	27.6	26	19.2	14.5	13.6	12
95% to less than 100%							23.3	21.1	22.4	24	22	26.3	22.2	20	18.4
100% to less than 105%							11.7	11.2	10.6	14.7	15.9	21	22.1	21.1	19.7
105% or greater							7.2	7.9	8.6	14.7	18.9	25.2	34.4	40.2	45.2

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

Covenant groups (schemes in deficit only)	Tranches 13, 14 and 15
	Members (%)	Assets for part 3 (TPs) valuation (%)	Technical provisions (%)	Buyout liabilities (%)	s179 liabilities (%)
Covenant group 1 (strong)	19.6	19.8	19.9	20.8	20.5
Covenant group 2 (tending to strong)	49.3	55	54.4	52	54.3
Covenant group 3 (tending to weak)	20.4	19.1	19.4	20.7	18.9
Covenant group 4 (weak)	10.6	6.1	6.4	6.5	6.3

Coverage = approximately 97.9 % of schemes in deficit for tranches 13, 14 and 15 combined.

Table 1.2c: distribution of schemes and memberships across TPs funding levels (schemes in surplus and deficit, tranches 13, 14 and 15)

Funding level (TPs)	Schemes (%)	Members (%)
Less than 50%	1.7	0.2
50% to less than 60%	2.4	0.6
60% to less than 70%	6.6	2
70% to less than 80%	12.9	5.5
80% to less than 90%	19.4	24
90% to less than 100%	25.1	38
100% to less than 110%	21.9	24.6
110% to less than 120%	6	4.3
120% or greater	3.9	0.8

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

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
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	0.7
100 to fewer than 500 members	3.5	4.6	4.4	3	4.6	4.4	3.7	4.7	4.1	3.7	4.7	4	3.3	5.3	4
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	4.1	3.2	3.8	4.1	3.3
1,000 to fewer than 5,000 members	14	15	16.9	12.3	16	16.2	13.9	16.6	15.6	14.8	17	14.3	13.9	18.2	14
5,000 members or more	78.3	75.8	73.4	80.8	74.4	74.9	78	73.7	76	76.7	73.3	77.7	78.5	71.4	78

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
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	0.5	0.4
£5m to less than £20m	3.4	4.4	3.4	2.5	3	2.3	1.9	2.6	2	1.4	1.8	1.5	1	1.6	1.2
£20m to less than £100m	11	11.6	10.3	7.3	9.2	7.9	6.7	7.6	6.7	6	6.3	4.9	4.8	6.2	4.6
£100m to less than £300m	10.8	10.2	15.4	10.1	11	12.8	9.6	9.2	10.4	9.3	9.7	8.3	7.5	8.9	7.6
£300m or greater	73.7	70.7	69.5	79.2	76	76.3	81.4	79.9	80.4	82.9	81.7	85	86.2	82.8	86.3

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
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	15.5	8	4.8
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	52.6	53.6
50% to less than 75%	37.8	31.6	27.5	37.8	39.5	32.9	43.8	40	32.3	31.9	37	27.8	31.6	35.3	40
75% or greater	1.3	2.1	2.7	1.3	1.8	2.1	3	1.9	1.9	0.7	2.7	1.7	1.4	4.1	1.6

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
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	53.3	68.5
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	46.7	31.5

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							36.9	23.9	36.8	14.9	19.9	18.7	9.5	18.9	33.2
Covenant group 2 (tending to strong)							33	41.4	40.9	42.3	45.1	51.9	59.1	43.3	41.9
Covenant group 3 (tending to weak)							18.9	20	15.8	24.1	29.6	24.1	16.7	29.6	17.6
Covenant group 4 (weak)							11.2	14.7	6.4	18.7	5.4	5.3	14.8	8.2	7.3

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	17	32.8	25.7	7.1	15.2	16.6	13.6	23.3	17.5	19.7	18.4	19.7	32	46.8	40.6
5 to fewer than 7.5 years	13.9	18.6	18.1	9	17.1	21.4	30.9	12.9	17.6	22.2	22.8	20.3	17.1	29.4	17.6
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	15	14.2
10 years or more	25.5	10.5	24.4	55.4	27.8	32.3	31.7	29.6	40	27.3	33.1	27.7	10.6	8.9	27.6

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
Less than 20%	0.6	1.4	3.1	2.1	3	3.1	9.2	6.1	3.6	8.5	13.1	14.8	21.8	27.2	31.7
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	35	38.3	38.1	25.6
40% to less than 60%	22.7	24.6	24.2	39.3	40.6	39.5	40.3	35.5	41	41.1	32.7	31.6	23.5	24.7	37.5
60% to less than 80%	58.8	45.6	50.5	30.9	35	38.4	21.9	28.8	40	21	14.7	18.4	15.8	9.4	3.6
80% or greater	12.3	16.6	15	6.4	5.6	4.3	3.3	3.3	1.3	5	0.6	0.3	0.6	0.6	1.6

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				63.5	56.2	50.7	64.2	61.7	65.1	68.5	64.1	61.6	79.1	66.2	58.8
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	33.8	41.2

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
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	2.4
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	4.9	4.6
80% to less than 90%	34.4	23.5	23	14.9	39	29.1	28	37.3	44.3	21.2	36.1	52.6	12.3	14.7	44.1
90% to less than 100%	31.3	42.4	26.9	15.9	21.8	39	32.3	27.3	22.8	40.6	32.9	18.1	46.2	39.4	27.8
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	32.6	37	21.2

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							12.4	13.8	15.1	9.3	3.7	1.4	1.4	0.7	1.8
90% to less than 95%							26.2	26.3	31.5	19.5	19.1	20.3	15.2	5.1	3.5
95% to less than 100%							40	38.1	33.5	36.6	28.5	32.9	21	13.6	25.1
100% to less than 105%							12.4	12.3	10.2	10.2	30.3	20.8	30.5	27.2	31.7
105% or greater							9	9.6	9.8	24.4	18.3	24.7	31.8	53.3	37.9

Tranche (percentage of memberships)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							8.2	8.4	15.8	5.7	5.5	3	1.3	0.7	2.4
90% to less than 95%							20.5	22.8	28.1	14.9	14.9	17.4	14.8	4.5	2.6
95% to less than 100%							31.7	21.2	23.7	30.1	17.1	14.3	12.6	5.1	21.6
100% to less than 105%							17	28.6	18.3	15.5	18.4	17.9	23.3	19.8	9.2
105% or greater							22.5	19	14.1	33.8	44	47.5	48	69.9	64.2

Funding and other security arrangements

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

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Ratio of assets to:
Technical provisions	79.8	82.3	81.3	71.3	79	82.3	78.4	82.2	89.4	88.6	87	88.8	93.5	91.6	88.8
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	97.3	97.4	91.7
Buyout liabilities	53.4	58	60.4	51.4	57.7	58.7	55.5	58.3	63.8	61	60.3	61.2	68.7	69.8	68.2
Ratio of TPs to:
s.179 liabilities	105	113.5	110.7	101.5	112.3	109.7	99.9	98.6	102.5	96.9	95.8	96.9	100	102.9	99.5
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	76.5

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

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Ratio of assets to:
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	95.9	93.5
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	105.2	99.3
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	75.2	75.5
Ratio of TPs to:
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	110.9	108.1
Buyout liabilities	70.8	75	79.9	74.1	74.4	72.2	72.1	71.2	71.8	70.3	70	71.1	74.1	78.1	80.5

Weighted by TPs.

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

Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Ratio of assets to TPs:
95th percentile	97.3	98	97.5	93.2	96.3	98.1	97.7	107	113.9	112.7	111.1	113.3	118.8	115.5	112.7
Upper quartile	89	91.1	90.4	80.2	88	91.3	87.6	92.5	99	98.4	97.1	99.2	103.7	101.6	100
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	90.1
Lower quartile	71.8	75.5	74.2	62.2	71.4	75.5	70.1	72.2	80.1	79	77.7	78.6	82.9	81.8	78.2
5th percentile	57.5	61.4	60.3	50.6	57.6	61.1	55.2	56	62.5	62.7	60.1	60.3	65.1	63	59.1

Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Ratio of assets to s.179 liabilities:
95th percentile	121.5	132.9	127	115	130.2	131.9	119.7	126.4	141.5	133.6	130.3	137.5	143.9	143.3	139.4
Upper quartile	94.5	106	101.4	88.1	104.6	105.4	92.4	97.6	110	102.9	100.6	104.8	113.2	113.2	107.8
Median	81.3	90.8	88.4	72.1	90.9	91.6	77.3	81	93.6	86.3	84.1	87.3	95.1	95	89.8
Lower quartile	70.3	78.7	75.4	60.7	77.8	79.2	64.5	67.3	78	71.9	69.8	71.1	78.5	79.2	72.5
5th percentile	55.4	63.4	60.6	48.5	63	63.7	51.7	53.8	58.6	56.8	54.8	54.6	58.7	59.1	52.7

Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Ratio of assets to buyout liabilities:
95th percentile	74.1	78	84	75.7	79.6	78.4	79.2	88.1	91.6	88.9	89.4	93.1	99.7	101.4	100.5
Upper quartile	60.6	66	68.8	59.3	65.5	66.2	63.3	66.3	73.2	70	69.2	71.6	80.7	81.2	80
Median	52.3	57.3	59	49.8	57.1	58.7	54	56	62.4	59.4	58.1	59.4	67.1	68.2	67.3
Lower quartile	45.2	50	50.8	42.4	48.4	50.7	45.8	48	52.5	49.8	48.4	48.6	55.7	56.5	54.3
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	41.2	41.5	39.2

Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Ratio of TPs to s.179 liabilities:
95th percentile	154.3	160	154.1	146.9	154.9	152.6	151.2	151.3	146.8	138.2	139.3	140.4	140.8	143.7	139.6
Upper quartile	115.9	126	123.1	113.9	126.9	123.1	112.3	111	116.9	108.9	108.5	111.4	113.5	115.9	112.9
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	99.6
Lower quartile	89	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	85.4
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	65.8	63.2

Tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Ratio of TPs to buyout liabilities:
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	96.3	98.1
Upper quartile	73.5	77.6	83.3	79.5	80.2	78.2	78	78.2	78.7	75.6	76.7	77.3	81.1	83.5	84.8
Median	66.1	69.9	73.5	71.8	71.9	71.1	70	69.7	71.8	68.1	68.2	68.7	73.3	75.4	77.1
Lower quartile	59.1	62.6	65	63.3	65	63.6	62.5	62.9	64	61.4	60.8	60	65.3	67.5	68.5
5th percentile	49.2	52.5	54.1	51.6	54.8	52.8	52.2	53.4	52	50.3	50.4	46.8	53.7	56.1	53.9

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

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
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	90
100 to fewer than 500 members	82.3	86.5	85.9	72	81.6	87.2	79.5	81.6	89	87.2	85.2	88	91.5	89.9	86.7
500 to fewer than 1,000 members	81.6	88.5	85.7	70.4	82.2	87.8	80	81.9	88.1	89	85.9	87.1	92.6	90.4	87.1
1,000 to fewer than 5,000 members	84.9	88	86.8	73.6	83	88.6	81	82.4	89.6	88.9	86.8	89.1	94.1	91.9	90.2
5,000 members or more	89	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	95.3

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
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	94.9	95.4	92.2
£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	87.5	94.1	89.6	86.2
£20m to less than £100m	82.4	87.7	86	71.4	82.1	88.2	79.3	81.1	89.8	88.4	84.6	88.4	91.8	90.2	87.3
£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	90.7	89.9
£300m or greater	89.1	91.2	88.4	75.5	82.8	88.1	81.8	84.5	90.5	89	87.9	90.4	94.8	94.9	92.6

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
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	91.5	89
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	91.7	90.6	87.3
50% to less than 75%	88.2	90.7	89.4	75.6	83.8	88	81.5	82.5	89.8	89.2	87.2	90	94.6	91.6	89.7
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	95.4

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
TPs reported for active members	85	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	91.8
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	92.3	90.2	87

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							81.1	81.6	88.4	87.7	85.1	87	94	91.7	84.6
Covenant group 2 (tending to strong)						78.6	79.3	84.7	83.6	83.1	86.3	90.2	89.7	83.8
Covenant group 3 (tending to weak)							76.1	78.5	82.5	81.9	80.3	82.9	87.4	85.8	80
Covenant group 4 (weak)							74.5	75.1	78.6	78.1	76.8	77.1	84	82.6	77.6

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
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	90.2	88.5
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	82.5	81.3
7.5 to fewer than 10 years	78.4	80	79.6	71	78	80.2	76	77.8	80.5	80.1	79.6	79.2	78.7	78.6	75.6
10 years or more	76	76.7	74.6	66.5	73.2	76	69.7	70.4	76.6	74.3	72.4	72.6	72.8	69.6	67

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
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	99.7	99.3	97
20% to less than 40%	86.9	86	89.5	79.6	86.2	90.4	86	87.7	92.9	92.3	88.6	89.5	94.6	91.2	87.8
40% to less than 60%	84.9	86.8	86	73.5	82.9	87.1	80.1	82.5	88.9	86.8	84.4	86.9	90.9	89.1	85.1
60% to less than 80%	83.6	87.5	85	71.6	81.4	87.5	78.8	79.2	88.4	86.6	85.2	87.7	91.2	88.3	84.7
80% or greater	83.8	88	88.7	70.5	80.4	87.8	73.1	79.5	87.2	89.4	89.2	88.4	91.4	91.4	93.4

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				74.6	83.1	89.1	81.8	83.1	90.3	89.7	88.2	89.9	94.9	93	90
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	84.9	84.2

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
Less than 70%	61	61	61.5	59.9	61.5	61	60.7	59.7	59.2	61.1	59.4	59.6	59.5	60.7	59.3
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
80% to less than 90%	84.9	85.1	85.1	84.4	85	85.2	84.8	85.1	85.2	85.4	85.1	85.4	85.3	85.6	85.4
90% to less than 100%	94.6	94.4	94.5	94.3	94.3	94.5	94	94.4	94.7	94.6	94.7	94.8	95.1	95	95
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	109.5	108.4

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							76.4	79.1	88	87.9	86.9	87.3	95.3	91.3	87.9
90% to less than 95%							79.9	80.6	88	86.2	85.1	87.5	91.5	89.4	86.9
95% to less than 100%							81.2	83.3	89.8	87.2	85.1	87.2	90.6	89.6	85.6
100% to less than 105%							85.4	87.9	92.7	91.5	90.2	90	92.2	90	86.4
105% or greater							93.8	94.4	97.1	97.4	91.9	92.1	97.9	95.1	92.1

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							76.4	79.1	88.1	88	86.9	87.5	95.3	91.2	88.1
90% to less than 95%							79.8	80.6	88.3	86.4	85.3	87.4	91.5	89.4	86.7
95% to less than 100%							81	82.9	89.6	86.5	84.6	87.3	91.4	89.9	85.5
100% to less than 105%							85.1	86.9	90.7	90.9	89.6	89.7	91.3	89.3	86.3
105% or greater							92.5	93.2	96.7	96.2	90.9	91.3	96.8	94.7	91.7

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

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	83.8	85	85.4	75.1	81.5	81.2	87.7	81	89.9	92.4	87.2	87.1	93.1	91.9	89.7
100 to fewer than 500 members	82.7	86.4	85.8	71.7	82.4	87	79	82.3	89.4	87.7	85.6	88.4	92.9	91.5	88.8
500 to fewer than 1,000 members	81	88.2	86.2	70.7	81.1	87.5	79.3	81.8	88.1	89.1	85.9	87	92.3	91.4	88.9
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	88.5	87.7	90.3	94.5	93.6	91
5,000 members or more	92.2	94.8	91.6	77.5	85	88.8	85.8	85.6	89	91.7	89.8	90.7	97.1	97.6	92.7

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
Less than £5m	84.5	85.8	85.5	75.6	81.9	87.5	82	82	89.9	89.1	90	89	93.8	92.7	89.9
£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	88.7	86.1
£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	87.5
£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	90.1
£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	97.1	92.6

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	82	87.6	89.6	72.8	82.9	90	82.6	85.5	87.9	95.9	88.4	93.2	96.6	91	93.8
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
50% to less than 75%	95.4	94.1	88.4	79.8	84.2	89.4	84.8	85.7	90	91.2	90.4	92.1	99.2	96.3	93.5
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	99.2

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
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	96.5	97.8	92.6
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	90.6

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							89.1	86.7	86.1	89.6	89.3	90.4	95.8	96.9	87.9
Covenant group 2 (tending to strong)							81.6	83	87.3	88.6	86.4	88.9	96.9	94.9	86.6
Covenant group 3 (tending to weak)							77.2	82.1	88.2	84.1	84.6	85.7	90	94.4	87.7
Covenant group 4 (weak)							78.2	79.9	81.7	78.8	83.4	82.3	90	88.3	86.5

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	89	93.6	90.4	79.5	88.7	90.8	90.1	91.4	93.1	92.5	92.9	92.3	94.2	95	91.6
5 to fewer than 7.5 years	83.2	88.7	83.6	78.9	84	86.3	86.3	86	86.8	90.2	88.6	87.3	86.8	88.7	88.7
7.5 to fewer than 10 years	86.3	85.2	84.8	75.3	82.2	89	84.8	81.7	82.2	87.2	84.9	82.6	90.1	86	83.8
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

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
Less than 20%	84.9	97	92	85	93.8	90	92.3	94.1	97.9	101.4	95.1	99.6	101.3	101.3	97.7
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	95.6	90.7
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
60% to less than 80%	87.9	94.5	85	73.9	83	88.7	78.6	81.9	89	87.1	85.6	89.9	93.9	90.3	90.4
80% or greater	97.3	91.1	98.9	91.8	77.6	94.2	87.5	72.1	89.8	111.8	86	88.3	91.3	85.3	115

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				78	85.6	89.3	85.4	85.1	90.7	91.2	89.1	92.2	97.5	97.8	93.8
At least one contingent asset				74.3	82.4	87	83.5	84.3	85.6	90.5	88.7	87.2	92.7	92.5	89.3

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
Less than 70%	64.1	65.9	65	64.5	64.9	62.4	63.6	63.2	63.8	60.7	61.2	62.8	62.6	62.5	62.4
70% to less than 80%	76.3	76.1	76.3	75.6	76	77.3	75.5	75.7	75.4	75.2	75.9	75.7	75.6	76.3	75.8
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	85.5
90% to less than 100%	93.7	94.9	94	93.3	94.5	93	94.3	93.5	93.9	94.6	94.3	95.1	95.5	95.5	93.9
100% or greater	109	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

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							81.7	79.3	85.4	94.3	83.3	99.8	96	88.5	112.9
90% to less than 95%							81.7	83.3	89.8	84.5	85.9	89.2	93.8	90.6	93.2
95% to less than 100%							84.7	84.6	87.4	91	87.7	87.2	93.3	91.2	85.9
100% to less than 105%							85.9	88.5	93	91.5	88.8	88.4	97.4	95.8	90.4
105% or greater							92.4	90.4	91.7	94.5	93.3	95.1	99.4	97.6	95.9

Weighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							82.8	77.2	89.1	89.5	87.7	104.2	96	88.4	110.7
90% to less than 95%							79.6	83.1	88.8	85.4	87.1	88.1	93.8	89	92.4
95% to less than 100%							82.6	82.9	88.3	90.3	86.1	92.7	93	89.5	85.9
100% to less than 105%							85.7	84.9	89.4	89.9	87.8	84.6	97.9	94.5	90.7
105% or greater							91.7	92	90.4	95.2	91.1	92.3	97.7	97.2	93.9

Weighted by TPs.

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

Unweighted average (%) - Tranche

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	69.8	72.8	75.7	75	75.7	75.7	73.3	74.8	74.3	70.5	71.6	71.6	74.2	76.4	76.8
100 to fewer than 500 members	66	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	76
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	74.4	76	74.5
1,000 to fewer than 5,000 members	66.3	71.2	76.3	72	72.7	70.1	70.9	70.5	69.7	69.5	68.7	68.5	74	76.3	78.5
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	78.4	79.1

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
Less than £5m	68.9	71.6	74.2	73.9	75.3	75.5	72.6	75	73.6	69.4	71.7	71.1	72.1	76.5	76.4
£5m to less than £20m	66.2	70	73.2	71.7	72.7	71.9	70.6	69.9	71.7	68.9	68	68.8	73.9	74.1	74.9
£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	67.9	72.7	75.6	76.5
£100m to less than £300m	66.6	72.4	76.4	73.1	73	70.6	71.7	71.1	70.9	70.7	70	68.4	74.8	77	77.3
£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

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
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	72.2	72.8
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	66.7	71.3	73.6	74.1
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	78.7	79.6
75% or greater	84.4	87.7	91.1	87.7	86.2	86.2	89	87.9	85.3	85.5	86.6	82.2	87.5	88.5	86.2

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
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	74
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	77.2	78.2

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							70.1	71	70.3	70.5	69	69.2	74.3	75	74.7
Covenant group 2 (tending to strong)							70.1	69.5	70.8	68.5	69.4	67.4	73	75.4	74.7
Covenant group 3 (tending to weak)							69.4	69.8	70.8	67.2	67.6	67.4	71.4	74.5	75.3
Covenant group 4 (Weak)							69.6	71.5	72.3	67.7	68.9	68.7	74.1	74.1	75.2

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	69.1	71.6	75.3	73.3	75	72.6	72.6	73.3	73.3	70.3	70.6	70.4	73	74.9	77.1
5 to fewer than 7.5 years	68.6	70.8	75	74.2	74.2	72.2	70.8	70.4	72.3	68.4	67.3	67.9	71.3	73.8	73.2
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	73.1	72.6
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	70.8	73.9

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
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	84.8	85.7
20% to less than 40%	76.9	78	81.9	78.5	81	78.9	76.2	75.7	77.7	74.3	72.5	71.7	75.3	76.6	78
40% to less than 60%	69.8	72.9	77	72.7	74.7	72.9	71.5	71.3	72.1	68.6	67.5	67.3	70.7	72.4	72.8
60% to less than 80%	66.5	70	73.2	70.6	71.2	69	66.9	68.2	68.1	65.4	65.3	63	68.1	71	67.6
80% or greater	64.3	67.8	70.1	68.9	69.4	69.1	67.6	67.1	69.8	65	65.8	64	67.6	69.6	65.1

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
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
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	76

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
Less than 70%	70.3	74.9	78.8	72.3	75.1	73.4	71.6	72.7	75	69.7	71.3	68.5	72.2	73.6	74.1
70% to less than 80%	66.6	70.3	74	71.7	71.9	71.7	70.2	68.9	71.2	67.6	65.9	67	69.7	72.5	71.8
80% to less than 90%	66.5	69.4	74	71.8	72.4	71.7	70.2	69.6	70	68	68	66.8	71.5	72.7	75.4
90% to less than 100%	66.5	70.3	73.3	74.1	74.3	70.2	71.4	71	71.1	68.9	70.5	68.6	72.6	75.5	76.7
100% or greater	69.6	72.3	74.3	80.4	78.3	75.9	75.2	76.7	73.3	72	72.5	73.8	77.1	80.4	81.5

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							67.2	68.1	69.4	65	65.7	64.4	70.1	70	67.1
90% to less than 95%							68.6	69.4	68.7	66.8	66.8	65.2	68.1	71.7	68.1
95% to less than 100%							73.3	71.8	74.1	69.3	68.4	66.7	71	72.4	73.8
100% to less than 105%							75.6	76.5	76.7	73.9	72.8	70.3	74.8	74.6	77.3
105% or greater							86	85.6	80.9	77.1	78.8	77.4	79.3	81.2	81.1

Unweighted average (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							67.2	68.2	69.2	64.9	65.8	64.2	70.1	70.1	67.1
90% to less than 95%							68.7	69.5	68.7	66.9	66.9	65.1	68.3	72	68.3
95% to less than 100%							73.1	71.8	73.8	69.6	68.3	66.5	71.1	72.5	74.1
100% to less than 105%							75.5	74.9	75.8	73.3	72.1	70.1	74.5	74.1	77.3
105% or greater							83.2	83.3	80.2	74.9	76	75.8	78	80.4	80.5

Table 2.5: use of contingent assets (schemes in surplus and deficit, tranche 15 only)

	Number of schemes (holding at least one)	Percentage of schemes (holding at least one)
All contingent assets
PPF-recognised contingent asset	100	5.8
Contingent asset reported in support of funding (non-PPF-recognised)	227	13.3
All contingent assets	320	18.7
PPF recognised
Type A	79	4.6
Type B and C	24	1.4
Non-PPF recognised (schemes in deficit only)
Parental guarantee	156	9.1
Escrow, cash or charge over other asset (including property), or other (eg letter of credit)	110	6.4

18.7 % of tranche 15 schemes hold at least one contingent asset.

PPF-recognised contingent assets fall into three categories.

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

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

Table 2.6: use of contingent assets by scheme characteristics (schemes in surplus and deficit, tranche 15 only)

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Size by number of members
Fewer than 100 members	2.5	5.2	7.7
100 to fewer than 500 members	6.3	10.6	16.6
500 to fewer than 1,000 members	6.5	24.1	29.4
1,000 to fewer than 5,000 members	10.4	26.1	36.1
5,000 members or more	11.7	30.9	40.4

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Size by TPs
Less than £5m	3.2	2.8	6
£5m to less than £20m	2.1	6.3	8.4
£20m to less than £100m	6.6	13.3	19.7
£100m to less than £300m	9.1	25	32.9
£300m or greater	11.4	27.6	37.6

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	3.6	7.9	10.8
25% to less than 50%	6.5	13.9	20.1
50% to less than 75%	6.5	16.2	22.1
75% or greater	4	5	8.9

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Presence of active members
TPs reported for active members	5.7	13.6	19.1
TPs not reported for active members	5.9	13	18.4

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Covenant (schemes in deficit only)
Covenant group 1 (strong)	3.8	9	12.8
Covenant group 2 (tending to strong)	5	18.3	22.9
Covenant group 3 (tending to weak)	9.7	20	28.3
Covenant group 4 (weak)	6.9	23.5	30

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
RP length (schemes in deficit only)
Fewer than 5 years	6.2	16	21.8
5 to fewer than 7.5 years	7.9	16.8	24.3
7.5 to fewer than 10 years	5.7	23.7	28.4
10 years or more	5.1	20.9	24.7

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Return seeking assets
Less than 20%	2.2	9.1	11.3
20% to less than 40%	7.4	16.4	23.6
40% to less than 60%	6.5	15.7	21.5
60% to less than 80%	8.3	10.1	17.4
80% or greater	0	0	0

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Presence of contingent assets
No contingent asset	0	0	0
At least one contingent asset	31.2	70.9	100

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
Funding level (TPs)
Less than 70%	5	15.4	19
70% to less than 80%	6.1	19.1	25.2
80% to less than 90%	7.5	20.8	28.1
90% to less than 100%	6.1	16.3	21.6
100% or greater	4.6	0.2	4.9

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
PPF standard stressed/unstressed asset ratio
Less than 90%	2.6	1.3	3.9
90% to less than 95%	7.2	8.6	14.8
95% to less than 100%	9.1	13.6	22.1
100% to less than 105%	7.3	16.4	22.8
105% or greater	3.5	14.3	17.8

Percentage of schemes (%)
	PPF-recognised	Non-PPF-recognised	All contingent assets
PPF combined stressed/unstressed asset ratio
Less than 90%	3.8	1.3	5.1
90% to less than 95%	7.3	8.3	14.6
95% to less than 100%	8.6	13.1	21
100% to less than 105%	7.7	15.5	22.3
105% or greater	3.8	15.1	18.8

Table 2.7: schemes’ use of contingent assets (schemes in surplus and deficit, tranches 4 to 15)

Tranche (Percentage of schemes)
	4	5	6	7	8	9	10	11	12	13	14	15
All contingent assets
Schemes with at least one PPF-recognised contingent asset	8	14.1	11.9	11.9	12.6	10.5	10.1	9.4	8	8.8	5.9	5.8
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	13.3
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
PPF recognised
Type A	6.6	12.7	10.6	10.2	10.9	9.1	8.3	7.9	6.5	6.8	4.5	4.6
Type B and C	1.5	1.7	1.4	1.8	2	1.5	2	1.8	1.7	2.1	1.5	1.4
Non-PPF recognised (schemes in deficit only)
Parental guarantee	4.2	4.2	3.6	5.1	4.2	4.4	5.3	6.2	5.8	5.9	6.8	9.1
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	6.4

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
95th percentile	15	15	17	19.8	17.4	15.9	18	17.6	18.7	16.9	16.5	16	14.8	14.8	14.8
Upper quartile	10	10	10	12	10	10	11	11	10.3	10.3	10.3	9.8	8.8	8.1	8.2
Median	8.8	8	8.8	9.4	8.3	7.2	7.9	8.1	7.1	6.6	7.3	6.6	5.5	5.2	5.4
Lower quartile	5	5	5.1	6.8	5	4.4	5	5	4.2	4	4.3	4	3.3	3	3.2
5th percentile	1.6	1.2	2	2.5	1.7	1.1	1.7	1.2	1	1.2	1.3	1	0.9	0.9	1

Table 3.2: distribution of recovery plan lengths (for schemes in deficit submitting valuations in respect of both tranches 12 and 15)

RP length (years) - tranche
	12	15
95th percentile	16.1	14.9
Upper quartile	10	8.4
Median	7.2	5.5
Lower quartile	5	3.4
5th percentile	1.8	1

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
All schemes	8.1	7.7	8.6	9.7	8.5	7.8	8.5	8.5	8	7.5	7.9	7.4	6.5	6.1	6.4

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	8	8	8.2	8.9	8.1	7.5	8.3	8.3	7.7	6.9	7.2	7.3	5.8	5.6	6.4
100 to fewer than 500 members	8.2	7.9	9	10.1	8.6	7.9	8.8	8.4	8.4	7.9	7.9	7.7	6.8	6.6	6.7
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	6.5
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	7.9	8.7	7	6.3	6.2	5.7
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

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
Less than £5m	8	7.9	8.6	8.9	8.1	7.6	8.4	8.3	8	6.8	6.5	7.7	5.8	5.2	6.1
£5m to less than £20m	8.3	8.1	8.9	10	8.6	8.1	8.9	8.6	8.5	7.8	8.1	7.9	6.8	6.2	7.2
£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	6.7	6.1
£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	6.7	6.2	6.2
£300m or greater	7.9	7.3	8.4	10.6	9	8.1	9	8.9	8	8.5	8.3	6.8	6.7	5.7	5.7

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	8	7.5	8.3	8.8	7.7	7.4	8	8.1	7.3	6.8	6.8	7.2	5.8	5	5.9
25% to less than 50%	8.2	7.9	8.8	10.5	8.8	7.8	9	8.7	8.3	7.9	8.1	7.7	7	6.4	6.7
50% to less than 75%	8.4	8.2	8.8	9.9	9	8.3	8.6	8.9	8.3	7.5	8.2	7.1	6.1	6.4	6.2
75% or greater	6.9	7.1	7.7	9.3	8.1	7.9	7	7.1	7	6.9	7.5	6.5	6.6	5.3	6.1

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

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							6.4	6.9	6.3	5.6	5.9	5.6	5	4.3	5
Covenant group 2 (tending to strong)							8.1	7.9	7.4	6.8	7.2	6.6	5.5	5.4	5.3
Covenant group 3 (tending to weak)							9.4	9	9	8.4	8.6	8	7.3	6.8	7.2
Covenant group 4 (weak)							10.9	10.1	9.5	9.8	10.2	10.2	9.1	8.2	9.1

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	3.2	3.1	3.3	3.2	3.1	3	3.1	3	2.9	3.1	2.9	3.1	2.9	2.8	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
7.5 to fewer than 10 years	9.3	9.2	9.2	9.2	9.1	8.9	9	9	8.8	8.8	8.9	8.8	8.8	8.7	8.7
10 years or more	13.2	14.4	14.9	14.8	14.3	14	14.5	14.4	14.7	14.1	14.1	14.5	14.1	14.1	15.2

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
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
20% to less than 40%	6.8	7.9	8	9.2	7.3	6.9	7	7.5	6.5	6.4	7	6.7	5.9	5.8	6.2
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	6.6
60% to less than 80%	8.3	7.9	8.8	10.1	9	8.2	9	9.2	8.5	7.9	8.4	8.2	6.9	6.9	6.8
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

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				9.6	8.3	7.6	8.5	8.4	8	7.5	7.7	7.3	6.3	6	6.4
At least one contingent asset				10.5	9	8.6	8.7	9	8.3	7.6	8.3	7.6	6.9	6.6	6.3

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
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	10.6
70% to less than 80%	8.5	8.6	9.5	9.3	9.4	9.2	9.1	9.3	10	9.4	9.3	8.5	9.1	8	7.4
80% to less than 90%	7.9	7.8	8.1	8.2	7.4	7.1	6.7	7.4	7.8	7	7.3	7.1	5.8	5.7	5.4
90% to less than 100%	6.3	5.8	6.1	6.1	6	5.5	4.8	4.9	5.2	4.7	4.6	4.5	4	3.5	3.9

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							9.2	8.8	8.9	7.7	8.2	8.5	5.8	6.6	7.3
90% to less than 95%							9.1	9.1	8.1	8.2	8.4	7.8	6.7	6.6	6.4
95% to less than 100%							8.1	8.6	8	7.3	7.8	7.6	7	6.4	6.5
100% to less than 105%							7.1	6.9	6.5	6.3	7.4	7.1	6.5	6	6.8
105% or greater							6.3	5.5	6.6	6.9	6.4	6.2	5.7	5.7	6

RP length (years) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							9.2	8.8	8.9	7.7	8.2	8.5	5.9	6.6	7.3
90% to less than 95%							9.1	9.1	8.1	8.2	8.5	7.8	6.6	6.5	6.4
95% to less than 100%							8.1	8.5	8.1	7.5	7.9	7.7	6.5	6.5	6.6
100% to less than 105%							7.1	7.5	6.9	6.6	7.3	7	6.9	6.2	6.8
105% or greater							6.8	6.2	6.2	6.5	6.9	6.6	6.1	5.6	5.9

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
All schemes	3.1	2.8	2.7	2.7	2.2	2.2	2.2	2.3	2.1	2.2	2.3	1.9

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	3.6	3.5	3.2	3.3	2.8	3	2.8	2.9	2.6	2.8	2.9	2.3
100 to fewer than 500 members	3	2.7	2.6	2.7	2.2	2.1	2.1	2.2	2	2.3	2.1	1.9
500 to fewer than 1,000 members	3	2.7	2.3	2.6	1.9	2	2	2	2	1.9	1.9	1.8
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	1.5
5,000 members or more	2.3	2	1.8	1.8	1.4	1.4	1.6	1.5	1.3	1.3	1.5	1.3

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
Less than £5m	3.8	3.5	3.6	3.6	3.1	3.4	3.3	3.4	3.2	3.6	3.6	2.8
£5m to less than £20m	3	2.9	2.6	2.7	2.4	2.3	2.2	2.3	2	2.1	2.3	1.9
£20m to less than £100m	3	2.5	2.4	2.7	2	2	2	2.1	2	2.2	2	2
£100m to less than £300m	2.7	2.4	2.2	2.4	1.7	1.8	2	2	1.7	1.6	1.9	1.5
£300m or greater	2.4	2.1	2	2	1.5	1.6	1.5	1.7	1.5	1.5	1.6	1.4

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	3.7	3.5	3.3	3.4	2.7	2.9	2.8	3.3	3	3.3	3.5	2.7
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	1.9
50% to less than 75%	2.6	2.3	2.2	2.3	1.9	2	1.9	1.9	1.8	2.1	1.9	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

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
TPs reported for active members	3	2.7	2.5	2.7	2	1.9	2	2.2	1.9	2.2	2	1.6
TPs not reported for active members	3.3	3	2.9	2.8	2.5	2.6	2.3	2.4	2.3	2.2	2.4	2.1

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)				2.9	2.4	2.1	2	2.3	2.4	2	2.1	2
Covenant group 2 (tending to strong)				2.6	2.3	2.2	2.3	2.4	2.1	2.4	2.2	1.9
Covenant group 3 (tending to weak)				2.5	2.1	2.1	2.1	2.2	1.8	2	2.1	1.9
Covenant group 4 (weak)				2.5	2.2	2.6	2.3	2.4	2.2	2.4	2.4	2

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	4.2	3.7	3	3.4	2.4	2.4	2.5	2.6	2.3	2.4	2.4	1.9
5 to fewer than 7.5 years	3.8	3	3.1	3	2.6	2.4	2.3	2.5	2.4	2.3	2.3	2.1
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
10 years or more	2.2	2.1	2	2.1	1.9	1.8	1.8	1.8	1.6	1.7	1.9	1.6

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
Less than 20%	3.6	4.2	2.4	3.3	2.9	2.7	2.6	2.3	2.9	3.3	2.9	1.8
20% to less than 40%	2.7	2.5	2.7	2.5	2	2.1	2	2.2	2	2	2.1	1.9
40% to less than 60%	3	2.8	2.7	2.7	2.1	2.2	2.2	2.3	2	2.1	2.2	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	2.2
80% or greater	3.2	2.7	2.8	2.6	2.5	2.2	2	2.5	2.1	2.4	2.6	1.9

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset	3.1	2.9	2.7	2.8	2.3	2.3	2.3	2.3	2.2	2.3	2.4	2
At least one contingent asset	2.9	2.7	2.5	2.5	2.1	2	2	2.2	1.9	1.9	2	1.9

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
Less than 70%	3.9	4.3	4.4	3.7	3.4	4.4	3.9	3.9	3.7	4.9	3.8	3.3
70% to less than 80%	3	3.3	3.3	3.1	2.5	2.8	2.7	2.8	2.8	2.8	3	2.6
80% to less than 90%	2.1	2.4	2.7	2.4	1.9	2.2	2.2	2.3	2	2.3	2.3	1.9
90% to less than 100%	1	1.1	1.3	1.3	0.9	1.1	1.1	1.1	1	1	1.1	0.9

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%				2.9	2.3	2.3	2.5	2.4	2.1	2.1	2.4	1.8
90% to less than 95%				2.6	2.2	2.4	2.2	2.4	2.1	2.1	2.3	2.1
95% to less than 100%				2.7	2.1	2	2.2	2.2	2	2.3	2.3	2.1
100% to less than 105%				2.6	2.3	2.2	1.9	2.3	1.9	2.7	2.5	1.9
105% or greater				2.8	2.3	1.9	1.8	2.3	2.6	1.9	2	1.8

Ratio Percent (%) - tranche
	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%				2.9	2.3	2.3	2.5	2.4	2.1	2.1	2.5	1.7
90% to less than 95%				2.7	2.3	2.4	2.3	2.4	2.1	2.1	2.4	2.1
95% to less than 100%				2.7	2.1	2	2.2	2.3	2	2.4	2.3	2.1
100% to less than 105%				2.6	2.2	2.1	1.9	2.3	1.9	2.7	2.6	1.9
105% or greater				2.7	2.1	1.9	1.8	2	2.4	1.9	2	1.8

Discount rates

Table 4.1: average nominal discount rate and outperformance by tranche (tranches 1 to 7: schemes in deficit only, tranches 8 to 15: all schemes)

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
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	2.446	1.955
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	2.771
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	1.653
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	2.512	2.026
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	2.428	1.902
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	0.722	0.882
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	-0.088	-0.118

1. Single rates provided
2. Different rates provided
3. Composite of pre- and post-retirement rates where different rates are provided
4. 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 15: all schemes)

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
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	-0.963	-1.021
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	-0.199
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	-1.284
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	-0.98	-0.982
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	-1.044	-1.12
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	1.11

1. Single rates provided
2. Different rates provided
3. Composite of pre- and post-retirement rates where different rates are provided
4. 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 15: all schemes) 

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
All schemes	5.506	5.635	5.83	5.448	5.454	5.369	4.305	4.091	4.498	3.431	3.281	2.747	2.617	2.428	1.902

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	5.184	5.432	5.55	5.251	5.195	5.071	4.067	3.843	4.237	3.333	3.201	2.696	2.642	2.455	1.981
100 to fewer than 500 members	5.834	5.72	5.941	5.458	5.506	5.444	4.378	4.189	4.572	3.538	3.369	2.845	2.703	2.487	1.916
500 to fewer than 1,000 members	5.44	5.833	5.991	5.533	5.711	5.559	4.488	4.277	4.658	3.466	3.29	2.766	2.55	2.353	1.827
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	2.368	1.802
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	2.206	1.772

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
Less than £5m	5.148	5.419	5.533	5.216	5.151	5.02	3.997	3.755	4.159	3.284	3.13	2.64	2.624	2.395	2.014
£5m to less than £20m	5.487	5.708	5.878	5.461	5.47	5.32	4.291	4.101	4.475	3.491	3.38	2.871	2.746	2.57	2.05
£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	2.81	2.67	2.452	1.855
£100m to less than £300m	6.985	5.677	5.97	5.582	5.534	5.613	4.387	4.2	4.679	3.409	3.227	2.644	2.564	2.371	1.798
£300m or greater	5.358	5.695	5.959	5.619	5.67	5.536	4.445	4.253	4.668	3.321	3.183	2.599	2.363	2.225	1.755

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
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	2.031
25% to less than 50%	5.473	5.786	6	5.571	5.561	5.506	4.431	4.219	4.654	3.522	3.363	2.836	2.693	2.529	1.932
50% to less than 75%	6.413	5.735	5.865	5.506	5.516	5.416	4.27	4.048	4.51	3.381	3.314	2.679	2.531	2.332	1.814
75% or greater	4.75	5.292	5.391	5.05	4.965	5.033	3.776	3.444	4.067	2.992	2.798	2.557	2.311	2.159	1.985

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
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	2.7	2.553	2.076
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	2.65	2.566	2.359	1.782

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							4.41	4.128	4.708	3.371	3.223	2.741	2.628	2.469	1.849
Covenant group 2 (tending to strong)							4.372	4.194	4.547	3.446	3.27	2.824	2.654	2.45	1.869
Covenant group 3 (tending to weak)							4.327	4.146	4.537	3.47	3.344	2.769	2.62	2.389	1.793
Covenant group 4 (weak)							4.201	3.957	4.348	3.406	3.264	2.678	2.515	2.429	1.892

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	5.822	5.581	5.747	5.352	5.361	5.335	4.2	3.982	4.399	3.368	3.169	2.657	2.585	2.425	1.778
5 to fewer than 7.5 years	5.319	5.64	5.874	5.363	5.422	5.34	4.308	4.128	4.492	3.489	3.337	2.755	2.677	2.48	1.969
7.5 to fewer than 10 years	5.436	5.644	5.846	5.497	5.547	5.34	4.429	4.215	4.559	3.523	3.365	2.839	2.597	2.423	1.954
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	2.452	1.81

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
Less than 20%	4.793	5.106	5.214	4.747	4.805	4.657	3.55	3.268	3.722	2.803	2.691	2.169	2.121	1.96	1.542
20% to less than 40%	4.972	5.32	5.531	5.2	5.151	5.06	4.035	3.701	4.119	3.149	3.103	2.564	2.48	2.361	1.738
40% to less than 60%	5.348	5.638	5.803	5.421	5.452	5.344	4.3	4.122	4.468	3.446	3.371	2.793	2.751	2.591	1.977
60% to less than 80%	5.656	5.671	5.881	5.535	5.585	5.508	4.51	4.256	4.718	3.651	3.565	3.16	2.999	2.718	2.449
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	3.06	3.101	2.967

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				5.416	5.413	5.337	4.275	4.07	4.481	3.421	3.289	2.753	2.614	2.431	1.9
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	2.415	1.913

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
Less than 70%	5.075	5.318	5.49	5.369	5.225	5.036	4.134	3.853	4.212	3.22	3.146	2.64	2.558	2.452	1.786
70% to less than 80%	5.372	5.62	5.844	5.542	5.519	5.312	4.336	4.2	4.471	3.434	3.38	2.778	2.644	2.438	1.869
80% to less than 90%	5.865	5.695	5.934	5.5	5.539	5.406	4.412	4.216	4.577	3.467	3.38	2.801	2.63	2.465	1.773
90% to less than 100%	5.549	5.745	5.928	5.45	5.495	5.53	4.323	4.168	4.598	3.5	3.212	2.783	2.64	2.419	1.949
100% or greater								3.885	4.431	3.409	3.235	2.691	2.599	2.399	2.041

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							4.398	4.261	4.622	3.744	3.6	3.125	2.958	3.03	2.766
90% to less than 95%							4.443	4.225	4.672	3.55	3.433	2.98	2.964	2.689	2.443
95% to less than 100%							4.233	4.044	4.366	3.399	3.328	2.897	2.781	2.581	1.935
100% to less than 105%							4.041	3.709	4.208	3.17	3.05	2.617	2.555	2.455	1.792
105% or greater							3.629	3.3	4.008	2.995	2.714	2.279	2.25	2.13	1.662

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							4.393	4.258	4.629	3.748	3.594	3.148	2.962	3.019	2.76
90% to less than 95%							4.439	4.228	4.674	3.546	3.428	2.991	2.966	2.68	2.437
95% to less than 100%							4.24	4.024	4.382	3.401	3.349	2.903	2.793	2.604	1.937
100% to less than 105%							4.051	3.822	4.292	3.215	3.122	2.644	2.566	2.474	1.831
105% or greater							3.81	3.456	3.995	3.084	2.824	2.352	2.316	2.161	1.665

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 15: all schemes)

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
All schemes	1.367	1.185	1.243	1.068	0.888	0.964	1.05	0.996	0.924	0.971	0.904	0.9	0.765	0.722	0.882

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	1.04	0.988	0.965	0.852	0.649	0.679	0.828	0.734	0.667	0.854	0.819	0.839	0.782	0.729	0.934
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	0.796	0.914
500 to fewer than 1,000 members	1.304	1.356	1.406	1.188	1.139	1.159	1.235	1.184	1.09	1.017	0.92	0.93	0.706	0.651	0.789
1,000 to fewer than 5,000 members	1.304	1.276	1.407	1.254	1.003	1.198	1.218	1.135	1.14	0.987	0.909	0.821	0.686	0.667	0.806
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	0.515	0.761

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
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	0.668	0.95
£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	0.858	1.042
£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	0.746	0.845
£100m to less than £300m	2.868	1.236	1.401	1.249	0.946	1.196	1.141	1.118	1.08	0.968	0.876	0.8	0.716	0.692	0.769
£300m or greater	1.237	1.232	1.383	1.299	1.045	1.129	1.149	1.184	1.087	0.888	0.8	0.753	0.523	0.531	0.741

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	1.131	1.044	1.061	0.9	0.753	0.751	0.959	0.898	0.695	0.913	0.781	0.843	0.804	0.716	0.976
25% to less than 50%	1.338	1.34	1.408	1.189	0.997	1.098	1.182	1.124	1.085	1.065	0.99	0.998	0.842	0.825	0.926
50% to less than 75%	2.29	1.267	1.284	1.155	0.934	0.99	0.991	0.958	0.93	0.927	0.949	0.83	0.682	0.634	0.789
75% or greater	0.625	0.871	0.823	0.75	0.376	0.584	0.546	0.297	0.462	0.539	0.448	0.67	0.466	0.451	0.972

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
TPs reported for active members	1.45	1.237	1.323	1.158	0.962	1.097	1.155	1.105	1.05	1.052	0.982	1.025	0.847	0.834	1.039
TPs not reported for active members	1.07	1.05	1.065	0.868	0.762	0.773	0.918	0.879	0.789	0.9	0.846	0.805	0.715	0.66	0.773

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							1.156	1.008	1.109	0.932	0.847	0.893	0.782	0.768	0.889
Covenant group 2 (tending to strong)							1.121	1.112	0.983	0.993	0.906	0.981	0.807	0.748	0.89
Covenant group 3 (tending to weak)							1.066	1.059	0.981	1.016	0.98	0.925	0.774	0.687	0.827
Covenant group 4 (weak)							0.956	0.866	0.769	0.93	0.86	0.823	0.665	0.707	0.886

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	1.683	1.129	1.183	0.971	0.785	0.92	0.958	0.898	0.815	0.899	0.777	0.807	0.733	0.693	0.775
5 to fewer than 7.5 years	1.181	1.176	1.289	1.009	0.838	0.924	1.039	1.04	0.929	1.019	0.942	0.905	0.83	0.794	1.002
7.5 to fewer than 10 years	1.301	1.199	1.255	1.109	0.985	0.94	1.166	1.107	0.999	1.082	1.024	1.013	0.74	0.741	0.998
10 years or more	1.262	1.291	1.269	1.11	0.935	1.072	1.072	1.074	1.093	1.015	1.01	1.059	0.88	0.785	0.867

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
Less than 20%	0.644	0.686	0.64	0.378	0.236	0.272	0.288	0.184	0.111	0.325	0.296	0.303	0.277	0.255	0.502
20% to less than 40%	0.818	0.85	0.954	0.852	0.559	0.649	0.782	0.617	0.537	0.702	0.736	0.719	0.632	0.653	0.741
40% to less than 60%	1.219	1.158	1.215	1.055	0.873	0.927	1.045	1.021	0.897	1	1.004	0.951	0.896	0.896	0.977
60% to less than 80%	1.516	1.226	1.287	1.145	1.021	1.105	1.253	1.16	1.144	1.175	1.182	1.307	1.141	1	1.361
80% or greater	1.376	1.283	1.31	1.068	0.96	1.086	1.033	1.283	1.072	1.325	1.278	1.294	1.192	1.333	1.89

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				1.032	0.852	0.938	1.021	0.969	0.909	0.959	0.913	0.904	0.763	0.723	0.88
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	0.717	0.89

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
Less than 70%	0.948	0.887	0.888	0.994	0.703	0.67	0.897	0.786	0.645	0.787	0.794	0.829	0.709	0.737	0.881
70% to less than 80%	1.233	1.18	1.248	1.152	0.954	0.914	1.087	1.111	0.913	0.981	1.028	0.95	0.798	0.762	0.943
80% to less than 90%	1.728	1.244	1.35	1.122	0.95	0.996	1.141	1.118	1.012	1.019	0.999	0.962	0.782	0.769	0.81
90% to less than 100%	1.395	1.278	1.359	1.072	0.91	1.108	1.055	1.052	1.011	1.024	0.828	0.921	0.788	0.695	0.89
100% or greater								0.762	0.849	0.933	0.831	0.82	0.742	0.694	0.896

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							1.145	1.166	1.072	1.246	1.203	1.301	1.102	1.282	1.716
90% to less than 95%							1.19	1.116	1.092	1.088	1.064	1.134	1.106	0.963	1.364
95% to less than 100%							0.968	0.962	0.791	0.947	0.946	1.042	0.925	0.89	0.92
100% to less than 105%							0.797	0.613	0.617	0.73	0.678	0.778	0.708	0.745	0.762
105% or greater							0.355	0.229	0.409	0.556	0.346	0.423	0.401	0.432	0.666

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							1.141	1.161	1.08	1.249	1.198	1.323	1.105	1.274	1.72
90% to less than 95%							1.188	1.117	1.093	1.089	1.066	1.146	1.11	0.953	1.354
95% to less than 100%							0.974	0.946	0.808	0.95	0.975	1.044	0.939	0.914	0.919
100% to less than 105%							0.793	0.733	0.708	0.773	0.742	0.797	0.719	0.765	0.799
105% or greater							0.56	0.378	0.392	0.632	0.442	0.508	0.465	0.461	0.67

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 15: all schemes)

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
All schemes	0.578	0.286	-0.643	-1.33	-0.055	-0.077	-0.301	0.014	0.207	0.117	-0.088	0.22	0.002	-0.088	-0.118

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	0.251	0.085	-0.874	-1.5	-0.312	-0.367	-0.521	-0.245	-0.048	-0.001	-0.169	0.161	0.023	-0.087	-0.026
100 to fewer than 500 members	0.904	0.373	-0.552	-1.327	0.003	-0.008	-0.228	0.11	0.282	0.22	0.011	0.324	0.085	-0.013	-0.103
500 to fewer than 1,000 members	0.515	0.456	-0.525	-1.257	0.208	0.121	-0.12	0.205	0.372	0.162	-0.077	0.247	-0.058	-0.158	-0.171
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	-0.07	-0.135	-0.256
5,000 members or more	0.497	0.305	-0.578	-1.126	0.151	0.198	-0.215	0.252	0.451	0.07	-0.176	0.095	-0.196	-0.281	-0.281

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
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	-0.149	0.021
£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	0.34	0.121	0.045	0.045
£20m to less than £100m	0.523	0.408	-0.53	-1.266	0.11	0.081	-0.187	0.165	0.329	0.222	-0.017	0.294	0.055	-0.066	-0.175
£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	-0.108	-0.219
£300m or greater	0.45	0.341	-0.58	-1.169	0.144	0.089	-0.2	0.192	0.365	0.036	-0.209	0.071	-0.236	-0.268	-0.305

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	0.343	0.146	-0.8	-1.48	-0.201	-0.295	-0.399	-0.08	-0.021	0.06	-0.213	0.166	0.048	-0.098	0.019
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	0.317	0.079	0.013	-0.073
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	0.15	-0.082	-0.173	-0.223
75% or greater	-0.168	-0.02	-1.09	-1.701	-0.537	-0.456	-0.853	-0.679	-0.249	-0.321	-0.554	-0.015	-0.303	-0.359	-0.058

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
TPs reported for active members	0.662	0.34	-0.566	-1.248	0.018	0.056	-0.207	0.122	0.332	0.2	-0.011	0.344	0.09	0.022	0.06
TPs not reported for active members	0.28	0.146	-0.814	-1.51	-0.176	-0.268	-0.419	-0.102	0.07	0.044	-0.146	0.126	-0.05	-0.149	-0.242

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							-0.216	0.029	0.394	0.082	-0.148	0.211	0.008	-0.038	-0.178
Covenant group 2 (tending to strong)							-0.231	0.133	0.262	0.144	-0.083	0.3	0.038	-0.063	-0.143
Covenant group 3 (tending to weak)							-0.281	0.073	0.259	0.161	-0.008	0.243	0.006	-0.123	-0.254
Covenant group 4 (weak)							-0.423	-0.117	0.052	0.07	-0.15	0.141	-0.105	-0.105	-0.126

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
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	-0.123	-0.248
5 to fewer than 7.5 years	0.391	0.275	-0.631	-1.393	-0.092	-0.112	-0.3	0.053	0.209	0.166	-0.056	0.225	0.061	-0.018	-0.033
7.5 to fewer than 10 years	0.512	0.3	-0.635	-1.303	0.032	-0.1	-0.184	0.127	0.277	0.231	0.034	0.33	-0.022	-0.059	-0.096
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	-0.018	-0.217

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
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	-0.48	-0.555	-0.499
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	-0.158	-0.268
40% to less than 60%	0.43	0.261	-0.677	-1.354	-0.049	-0.112	-0.302	0.04	0.179	0.145	0.009	0.271	0.133	0.088	-0.064
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	0.19	0.627	0.379	0.187	0.473
80% or greater	0.587	0.386	-0.586	-1.271	-0.005	0.053	-0.271	0.309	0.35	0.473	0.283	0.615	0.446	0.518	1.004

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				-1.36	-0.093	-0.103	-0.325	-0.011	0.191	0.105	-0.078	0.225	0	-0.087	-0.112
At least one contingent asset				-1.182	0.077	0.017	-0.223	0.115	0.278	0.164	-0.13	0.198	0.011	-0.091	-0.142

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
Less than 70%	0.16	-0.02	-1.074	-1.402	-0.272	-0.372	-0.457	-0.206	-0.074	-0.068	-0.205	0.149	-0.063	-0.074	-0.249
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	-0.048	-0.183
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	-0.044	-0.263
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	-0.115	-0.044
100% or greater								-0.214	0.135	0.074	-0.159	0.143	-0.01	-0.114	0.033

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							-0.182	0.189	0.351	0.393	0.208	0.62	0.33	0.468	0.816
90% to less than 95%							-0.158	0.136	0.375	0.233	0.076	0.455	0.346	0.15	0.462
95% to less than 100%							-0.398	-0.026	0.072	0.096	-0.049	0.362	0.161	0.08	-0.072
100% to less than 105%							-0.568	-0.369	-0.099	-0.123	-0.314	0.097	-0.058	-0.07	-0.224
105% or greater							-1.025	-0.755	-0.303	-0.3	-0.643	-0.256	-0.355	-0.374	-0.39

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							-0.185	0.185	0.358	0.396	0.203	0.642	0.334	0.46	0.813
90% to less than 95%							-0.161	0.137	0.377	0.234	0.079	0.467	0.349	0.14	0.449
95% to less than 100%							-0.391	-0.044	0.089	0.099	-0.018	0.365	0.169	0.104	-0.069
100% to less than 105%							-0.57	-0.25	-0.01	-0.083	-0.254	0.118	-0.045	-0.052	-0.194
105% or greater							-0.821	-0.607	-0.319	-0.223	-0.552	-0.173	-0.29	-0.344	-0.377

Table 4.6: average real SEDR by scheme characteristics (tranches 1 to 7: schemes in deficit only, tranches 8 to 15: all schemes)

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
All schemes	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	-1.044	-1.12

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
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	-0.69	-0.72	-0.978	-1.044
100 to fewer than 500 members	2.385	2.327	2.191	2.158	1.747	1.704	1.071	0.832	0.98	0.215	0.178	-0.597	-0.7	-1.002	-1.11
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	-1.19	-1.241
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	0.03	-0.796	-0.887	-1.117	-1.183
5,000 members or more	2.266	2.293	2.078	2.206	1.659	1.814	0.919	0.661	1.14	-0.053	-0.149	-0.819	-1.002	-1.265	-1.217

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
Less than £5m	2.036	2.05	1.863	1.995	1.502	1.424	0.866	0.589	0.727	0.117	0.025	-0.706	-0.718	-1.012	-0.935
£5m to less than £20m	2.357	2.319	2.165	2.154	1.733	1.61	1.04	0.773	0.903	0.219	0.218	-0.553	-0.642	-0.905	-0.981
£20m to less than £100m	2.284	2.382	2.191	2.202	1.806	1.78	1.064	0.835	1.004	0.223	0.149	-0.631	-0.738	-1.038	-1.191
£100m to less than £300m	2.469	2.287	2.202	2.214	1.711	1.806	0.946	0.71	1.048	0.104	-0.03	-0.832	-0.83	-1.12	-1.261
£300m or greater	2.222	2.316	2.058	2.142	1.673	1.646	0.946	0.67	1.033	-0.038	-0.149	-0.845	-1.044	-1.269	-1.228

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	2.214	2.191	2.019	2.071	1.647	1.522	0.981	0.728	0.801	0.185	0.03	-0.666	-0.677	-0.98	-0.892
25% to less than 50%	2.3	2.362	2.208	2.2	1.772	1.757	1.097	0.828	1.059	0.221	0.141	-0.605	-0.715	-0.948	-1.089
50% to less than 75%	2.31	2.181	2.01	2.133	1.624	1.594	0.863	0.66	0.879	0.037	0.105	-0.781	-0.873	-1.176	-1.241
75% or greater	1.641	1.968	1.688	1.941	1.13	1.376	0.647	-0.191	0.515	-0.088	-0.317	-0.794	-1.017	-1.274	-1.043

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
TPs reported for active members	2.293	2.302	2.16	2.198	1.732	1.747	1.067	0.818	1.062	0.236	0.154	-0.539	-0.691	-0.933	-0.922
TPs not reported for active members	2.111	2.124	1.95	1.993	1.612	1.499	0.894	0.638	0.782	0.079	0.032	-0.785	-0.823	-1.106	-1.257

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							1.053	0.729	1.138	0.042	-0.033	-0.742	-0.761	-0.98	-1.147
Covenant group 2 (tending to strong)							1.053	0.787	0.969	0.153	0.078	-0.588	-0.739	-1.041	-1.154
Covenant group 3 (tending to weak)							0.977	0.781	0.947	0.182	0.139	-0.67	-0.779	-1.092	-1.194
Covenant group 4 (weak)							0.938	0.651	0.758	0.092	0.026	-0.742	-0.87	-1.015	-1.117

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	2.205	2.216	2.051	2.039	1.599	1.599	0.9	0.623	0.796	0.051	-0.014	-0.78	-0.795	-1.062	-1.23
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	-1.007	-1.067
7.5 to fewer than 10 years	2.291	2.257	2.111	2.193	1.764	1.641	1.093	0.795	0.99	0.247	0.122	-0.616	-0.84	-1.057	-1.045
10 years or more	2.275	2.333	2.12	2.182	1.728	1.744	1.035	0.8	1.1	0.153	0.185	-0.524	-0.674	-1.006	-1.158

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
Less than 20%	1.698	1.818	1.577	1.522	1.129	1.024	0.22	-0.004	0.314	-0.434	-0.431	-1.205	-1.201	-1.458	-1.442
20% to less than 40%	1.87	1.893	1.825	1.946	1.352	1.356	0.745	0.275	0.499	-0.127	-0.113	-0.851	-0.898	-1.106	-1.289
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	-0.909	-1.059
60% to less than 80%	2.289	2.283	2.144	2.217	1.811	1.789	1.206	0.91	1.152	0.384	0.372	-0.263	-0.419	-0.766	-0.579
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	-0.386	-0.11

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				2.128	1.675	1.635	0.995	0.732	0.921	0.148	0.114	-0.664	-0.769	-1.036	-1.127
At least one contingent asset				2.167	1.731	1.679	0.976	0.729	0.96	0.161	-0.034	-0.743	-0.791	-1.083	-1.09

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
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	-1.158
70% to less than 80%	2.24	2.238	2.093	2.219	1.723	1.588	1.009	0.821	0.926	0.166	0.203	-0.648	-0.764	-1.032	-1.139
80% to less than 90%	2.35	2.319	2.185	2.205	1.756	1.642	1.051	0.825	0.986	0.133	0.16	-0.633	-0.772	-1.004	-1.238
90% to less than 100%	2.381	2.334	2.199	2.144	1.724	1.801	1.011	0.718	0.988	0.19	-0.023	-0.675	-0.764	-1.094	-1.082
100% or greater								0.638	0.888	0.198	0.068	-0.707	-0.773	-1.053	-1.028

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							1.138	0.934	1.077	0.487	0.431	-0.284	-0.426	-0.43	-0.273
90% to less than 95%							1.127	0.869	1.096	0.267	0.231	-0.455	-0.455	-0.776	-0.574
95% to less than 100%							0.87	0.673	0.744	0.094	0.108	-0.53	-0.625	-0.905	-1.105
100% to less than 105%							0.731	0.275	0.654	-0.1	-0.149	-0.827	-0.834	-1.021	-1.283
105% or greater							0.269	-0.115	0.48	-0.273	-0.47	-1.123	-1.107	-1.336	-1.321

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							1.134	0.929	1.085	0.492	0.426	-0.261	-0.423	-0.442	-0.272
90% to less than 95%							1.127	0.873	1.096	0.264	0.229	-0.445	-0.446	-0.784	-0.572
95% to less than 100%							0.878	0.677	0.816	0.114	0.133	-0.52	-0.609	-0.879	-1.108
100% to less than 105%							0.734	0.362	0.717	-0.074	-0.072	-0.793	-0.827	-1.006	-1.235
105% or greater							0.437	0.046	0.332	-0.211	-0.379	-1.065	-1.051	-1.307	-1.33

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 15: all schemes)

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
All schemes	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	1.11

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
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	0.956	1.175
100 to fewer than 500 members	1.188	1.055	1.225	1.074	0.89	0.961	1.094	1.083	0.954	1.048	1.091	1.152	0.945	0.97	1.13
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	0.768	0.985
1,000 to fewer than 5,000 members	1.111	1.085	1.247	1.136	0.909	1.065	1.075	1.009	1.05	0.972	0.938	0.953	0.764	0.838	1.051
5,000 members or more	1.085	1.014	1.12	1.139	0.823	1.059	0.931	0.987	1.099	0.786	0.76	0.926	0.663	0.702	1.009

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
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	0.924	1.282
£5m to less than £20m	1.157	1.05	1.19	1.067	0.875	0.869	1.063	1.019	0.883	1.051	1.137	1.183	0.998	1.046	1.256
£20m to less than £100m	1.097	1.099	1.239	1.119	0.951	1.04	1.089	1.087	0.974	1.057	1.052	1.124	0.909	0.918	1.044
£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	0.9	0.912	0.824	0.852	0.965
£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	0.998

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
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	0.961	1.33
25% to less than 50%	1.111	1.09	1.247	1.118	0.916	1.02	1.12	1.073	1.036	1.055	1.052	1.143	0.932	1.008	1.154
50% to less than 75%	1.128	0.898	1.057	1.048	0.782	0.84	0.882	0.913	0.847	0.872	1.027	0.967	0.776	0.786	0.978
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	0.675	1.183

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
TPs reported for active members	1.104	1.03	1.2	1.115	0.878	1.018	1.089	1.062	1.031	1.068	1.052	1.2	0.958	1.005	1.304
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	0.976

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							1.072	0.97	1.093	0.876	0.883	1.003	0.885	0.978	1.107
Covenant group 2 (tending to strong)							1.076	1.05	0.949	0.996	0.994	1.157	0.91	0.914	1.101
Covenant group 3 (tending to weak)							1.004	1.028	0.929	1.021	1.054	1.07	0.872	0.869	1.051
Covenant group 4 (weak)							0.967	0.911	0.729	0.914	0.923	1.003	0.776	0.926	1.111

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	1.013	0.94	1.081	0.966	0.743	0.861	0.93	0.876	0.762	0.883	0.886	0.962	0.852	0.867	1.007
5 to fewer than 7.5 years	1.021	0.984	1.149	0.943	0.795	0.847	0.973	1	0.9	1.031	0.997	1.061	0.903	0.968	1.198
7.5 to fewer than 10 years	1.1	0.985	1.15	1.105	0.911	0.904	1.111	1.039	0.973	1.089	1.056	1.137	0.801	0.924	1.201
10 years or more	1.08	1.064	1.171	1.092	0.875	1.017	1.056	1.073	1.075	1.008	1.113	1.227	0.976	0.982	1.097

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
Less than 20%	0.493	0.565	0.623	0.425	0.279	0.313	0.254	0.243	0.259	0.377	0.47	0.526	0.455	0.495	0.772
20% to less than 40%	0.671	0.61	0.86	0.864	0.493	0.611	0.78	0.566	0.465	0.71	0.8	0.892	0.751	0.846	0.96
40% to less than 60%	0.995	0.931	1.06	1.009	0.807	0.83	0.977	0.996	0.861	1	1.065	1.088	0.986	1.06	1.175
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	1.168	1.624
80% or greater	1.21	1.108	1.255	1.111	0.927	1.089	1.063	1.298	1.045	1.355	1.401	1.466	1.26	1.519	2.106

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				1.043	0.818	0.901	1.016	0.977	0.894	0.983	1.026	1.075	0.879	0.916	1.106
At least one contingent asset				1.085	0.883	0.929	1	0.995	0.926	0.993	0.87	1.017	0.856	0.881	1.128

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
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	0.956	1.118
70% to less than 80%	1.046	0.97	1.136	1.135	0.866	0.845	1.037	1.075	0.908	1.003	1.13	1.105	0.883	0.953	1.116
80% to less than 90%	1.161	1.042	1.224	1.131	0.899	0.9	1.066	1.094	0.966	0.973	1.07	1.115	0.875	0.955	1.013
90% to less than 100%	1.18	1.05	1.234	1.082	0.871	1.065	1.032	0.961	0.952	1.013	0.882	1.06	0.883	0.845	1.146
100% or greater								0.866	0.854	1.021	0.956	1.025	0.874	0.902	1.15

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							1.149	1.174	1.066	1.305	1.33	1.466	1.212	1.485	1.962
90% to less than 95%							1.149	1.095	1.064	1.098	1.148	1.282	1.187	1.154	1.64
95% to less than 100%							0.895	0.946	0.715	0.933	1.012	1.21	1.018	1.065	1.131
100% to less than 105%							0.771	0.567	0.614	0.746	0.761	0.928	0.816	0.924	0.955
105% or greater							0.296	0.162	0.437	0.57	0.447	0.615	0.547	0.629	0.906

Mean percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							1.146	1.169	1.075	1.311	1.325	1.491	1.214	1.476	1.966
90% to less than 95%							1.151	1.099	1.063	1.099	1.15	1.292	1.196	1.144	1.637
95% to less than 100%							0.901	0.935	0.788	0.954	1.042	1.217	1.034	1.093	1.126
100% to less than 105%							0.765	0.673	0.681	0.769	0.831	0.953	0.823	0.941	0.989
105% or greater							0.474	0.318	0.287	0.622	0.528	0.683	0.601	0.656	0.907

Table 4.8: distribution of the nominal SEDR (tranches 1 to 7: schemes in deficit only, tranches 8 to 15: all schemes)

Rate Percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
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	3.418
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	2.8	2.3
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	2.44	1.82
Lower quartile	5	5.3	5.5	5.01	5.11	5	3.94	3.69	4.1	3.03	2.87	2.25	2.2	2.05	1.45
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

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 15: all schemes)

Rate Percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
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	1.81	2.2
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	1.095	1.27
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
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	0.452
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	-0.16	-0.05

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 15: all schemes)

Rate Percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
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	1.001	1.44
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	0.36
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	-0.18
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
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	-0.971	-1.12

Table 4.10: distribution of the real SEDR (tranches 1 to 7: schemes in deficit only, tranches 8 to 15: all schemes)

Rate Percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
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	0.024	0.484
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	-0.657	-0.754
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	-1.015	-1.167
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	-1.355	-1.503
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	-1.943	-1.986

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 15: all schemes)

Rate Percentage (%) - tranche
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
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	1.947	2.642
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	1.267	1.511
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	0.95	1.048
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	0.613	0.748
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	0.039	0.193

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
92 series	97	74	37	13	6	2	1	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
SAPS series	0	1	6	45	60	76	81	87	89	92	94	96	93	85	88
Other series	1	1	2	6	2	3	5	4	3	3	4	2	5	15	12

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
No loading	75	65	53	49	50	49	46	50	49	44	46	47	44	43	45
Rating by age	18	22	23	19	13	12	13	9	9	9	6	7	5	5	3
Percentage adjustment to q(x)	7	13	22	25	27	28	29	30	30	37	36	36	42	43	40
SAPS series light/heavy	0	0	1	4	5	5	6	6	5	5	5	4	3	4	5
Combination of two or more of the above	0	0	1	4	5	6	5	6	6	7	7	6	6	5	7

Table 5.3: q(x) adjustments to base mortality tables (tranche 15 schemes in deficit only)

Base table (percentage of schemes)
	00 Series	SAPS Series	Other Series	Total
No qX loading	100	50	77	53
Less than 80%	0	0	0	0
80% to 100%	0	24	23	24
100% to 120%	0	23	0	20
Over 120%	0	3	0	3
Total	0	88	12	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
None/not stated	22	13	10	3	3	3	3	3	4	4	3	2	2	2	1
92 base adjustment	19	7	3	1	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
Medium cohort projection	46	61	51	56	35	16	9	4	2	0	0	0	0	0	0
Long cohort projection	1	13	33	35	28	13	6	2	1	1	0	0	0	0	0
CMI projection	0	0	0	2	31	67	80	90	92	93	95	95	96	96	95
Other projection	9	4	3	2	2	2	2	2	2	2	1	2	2	2	3
Use of a long-term rate of improvement*	2	22	60	86	92	93	93	96	95	94	94	95	95	97	93

*Normally in combination with other items.

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
None/not stated	98	78	40	14	8	7	7	4	5	6	6	5	5	3	7
1% or less	2	17	44	59	49	27	15	8	8	3	2	3	3	4	5
Greater than 1% to less than 1.5%	0	2	5	10	18	17	17	14	8	8	8	9	10	9	7
1.50%	0	4	10	16	22	42	54	64	64	69	70	66	69	69	63
Greater than 1.5% to less than 2.0%	0	0	0	0	1	2	2	3	6	7	8	10	9	9	12
2.00% or greater	0	0	0	1	1	5	5	7	8	6	6	7	5	5	5

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
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
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
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
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
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

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
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
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
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
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
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

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
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
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
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
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
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

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
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
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
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
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
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

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

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Current male pensioners aged 65
All schemes	85.7	86.5	87	87.1	87.3	87.7	87.8	87.9	87.9	87.9	87.8	87.6	87.4	87.2	87

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	85.9	86.7	87.4	87.4	87.6	87.8	87.9	88	87.9	87.9	87.7	87.6	87.4	87	87
100 to fewer than 500 members	85.8	86.6	87	87.1	87.2	87.6	87.8	87.7	87.8	87.9	87.7	87.5	87.4	87.2	86.9
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	87.2
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	87.2	87
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	87.7	87.2	87.5	87.3

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
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	86.7	85.9
£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	87
£20m to less than £100m	85.6	86.6	86.9	87	87.4	87.7	87.9	87.9	88	88	87.8	87.6	87.5	87.3	87.3
£100m to less than £300m	85.7	86.3	86.6	87.1	87.2	87.5	87.9	88.1	88	88	88.1	87.8	87.6	87.6	87.4
£300m or greater	85.4	86.2	86.7	86.8	87.4	87.9	87.9	88.2	88	88	88.1	87.8	87.5	87.5	87.5

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
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	86.1
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
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
75% or greater	85.7	87.3	87	87.6	87.7	88.2	88.5	88.1	88.4	88.4	88.1	88	87.6	87.7	87.5

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
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	87.2	86.9
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	87.1	87.1

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							88.1	88	88	88.2	88	87.8	87.9	87.6	87.3
Covenant group 2 (tending to strong)							87.8	87.9	87.9	87.9	87.8	87.5	87.3	87.2	87.2
Covenant group 3 (tending to weak)							87.7	87.9	87.8	87.9	87.7	87.6	87.3	87	87
Covenant group 4 (weak)							87.7	87.8	87.9	87.7	87.5	87.4	87.3	87	87

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	85.9	86.7	87.2	87.3	87.4	87.8	88	88	88.1	88.1	87.8	87.6	87.5	87.2	86.8
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	87.1
7.5 to fewer than 10 years	85.8	86.6	87	87.2	87.3	87.7	87.9	87.9	87.8	87.7	87.8	87.5	87.1	87.2	87.1
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	86.9

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
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	87.1
20% to less than 40%	85.8	86.6	87	87.1	87.6	87.9	87.7	88	88.1	88.1	87.9	87.6	87.4	87.2	87.1
40% to less than 60%	85.6	86.6	87	87.1	87.5	87.8	87.9	88	87.9	87.9	87.7	87.5	87.3	87.1	87
60% to less than 80%	85.8	86.6	87	87.1	87.3	87.5	87.7	87.8	87.8	87.8	87.6	87.4	87.2	87	86.9
80% or greater	85.6	86.3	86.6	87.1	87.2	87.3	88	87.7	87.6	87.8	87.7	87.4	87.6	86.2	86.8

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
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
At least one contingent asset				87	87.1	87.7	87.8	87.8	88	87.9	87.8	87.7	87.4	87.3	87.1

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
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
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
80% to less than 90%	85.7	86.5	86.9	87.2	87.3	87.7	88	87.9	87.9	88	87.7	87.6	87.3	87.1	87.2
90% to less than 100%	85.6	86.4	87	86.7	87.4	87.6	87.7	88	88	87.9	87.8	87.6	87.4	87.3	87.3
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	87.3	86.7

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							87.7	87.6	87.7	87.7	87.5	87.3	87.3	86.5	86.7
90% to less than 95%							87.9	88	87.9	88	87.7	87.5	87.3	87	86.8
95% to less than 100%							87.8	88	87.9	87.9	87.8	87.5	87.3	87.1	86.8
100% to less than 105%							87.9	87.8	88.1	88	87.9	87.7	87.4	87.1	87.1
105% or greater							87.7	88.1	87.8	87.9	88	87.7	87.5	87.4	87.2

Tranche (years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							87.7	87.6	87.7	87.7	87.5	87.3	87.3	86.6	86.7
90% to less than 95%							87.9	88	87.9	88	87.7	87.5	87.3	87	86.8
95% to less than 100%							87.8	88	87.9	87.9	87.8	87.5	87.3	87	86.8
100% to less than 105%							87.8	87.9	88	87.9	87.8	87.6	87.4	87.2	87.1
105% or greater							87.8	88.1	87.9	87.9	88	87.7	87.5	87.4	87.2

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

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Current male pensioners aged 65
All schemes	86.7	87.9	88.9	88.9	89.3	89.7	89.9	90	90	90	89.9	89.4	89.1	88.8	88.7

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by number of members
Fewer than 100 members	86.9	87.9	89.2	89.1	89.2	89.9	90	90.2	90.1	90	89.9	89.5	89.1	88.7	88.7
100 to fewer than 500 members	86.7	87.9	88.8	88.9	89.2	89.6	89.9	89.8	90	90	89.8	89.3	89.2	88.8	88.6
500 to fewer than 1,000 members	86.7	87.9	88.7	88.8	89.2	89.7	89.8	90	90.1	90.1	90.1	89.5	89.2	89.1	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	89.9	90	89.8	89.3	89.2	88.8	88.6
5,000 members or more	86.5	87.7	88.6	88.9	89.4	89.6	89.8	90.1	90.1	90	90.1	89.6	88.9	89	89

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Size by TPs
Less than £5m	86.8	87.8	89.2	88.7	89.1	89.6	89.6	90	89.8	89.7	89.8	89.3	89	88.4	87.5
£5m to less than £20m	86.7	87.8	88.8	89.1	89.1	89.8	89.9	89.8	89.9	90	89.6	89.2	89	88.7	88.7
£20m to less than £100m	86.7	88.1	88.8	88.9	89.4	89.8	89.9	90	90.2	90.1	89.9	89.4	89.2	88.9	89
£100m to less than £300m	86.8	87.8	88.5	88.7	89.3	89.6	90	90.2	90.2	90.2	90.2	89.6	89.3	89.3	89.1
£300m or greater	86.6	87.9	88.8	89	89.6	89.9	90.1	90.3	90.2	90.1	90.2	89.6	89.3	89.1	89.1

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	86.8	87.9	89.1	88.9	89.4	89.9	90	90	90.1	89.9	89.9	89.4	89.1	88.6	87.7
25% to less than 50%	86.7	87.8	88.6	88.8	89.2	89.7	89.9	90	89.9	90	89.8	89.4	89.1	88.8	88.9
50% to less than 75%	86.6	87.8	88.7	88.9	89.4	89.7	89.8	90	90	90	89.9	89.4	89.1	88.9	88.9
75% or greater	86.7	89.1	88.9	89.7	86.6	89	90.7	90.2	90.6	90.5	90.5	89.9	89.4	89.4	89.1

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of active members
TPs reported for active members	86.7	87.9	88.8	89	89.4	89.7	89.9	90	90	90	89.9	89.4	89.1	88.9	88.5
TPs not reported for active members	86.8	87.9	89.1	88.7	89	89.8	89.8	90	90.1	90	89.9	89.4	89.2	88.8	88.8

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Covenant (schemes in deficit only)
Covenant group 1 (strong)							90.2	90.1	90.2	90.3	90.2	89.6	89.6	89.2	88.9
Covenant group 2 (tending to strong)							89.9	90	90.1	90	89.9	89.3	89.1	88.9	88.9
Covenant group 3 (tending to weak)							89.7	90	89.9	90	89.8	89.5	89	88.7	88.7
Covenant group 4 (weak)							89.8	90	90.1	89.8	89.7	89.3	88.9	88.7	88.7

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
RP length (schemes in deficit only)
Fewer than 5 years	86.9	88.1	89	89.2	88.8	89.8	90.1	90.1	90.3	90.2	89.9	89.5	89.2	88.8	88.4
5 to fewer than 7.5 years	86.9	88	89.1	88.9	89.5	89.8	90	90	90.1	90.1	89.9	89.5	89	88.7	88.8
7.5 to fewer than 10 years	86.8	87.9	88.8	89.2	89.2	89.8	90	90	90	89.8	90	89.4	88.8	88.8	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

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Return seeking assets
Less than 20%	86.6	88.2	89.2	87.9	88.3	89	89.8	89.8	89.6	89.6	90.1	89.7	89.5	89.2	88.8
20% to less than 40%	86.8	88	88.9	89.3	89.6	90	89.8	90.2	90.2	90.2	90.1	89.5	89.1	88.9	88.8
40% to less than 60%	86.6	88	88.9	89	89.4	89.9	90	90.2	90.1	90	89.8	89.4	89	88.7	88.6
60% to less than 80%	86.8	87.9	89	88.8	89.3	89.6	89.8	89.9	90	90	89.7	89.2	89	88.7	88.5
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	87.8	88.6

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Presence of contingent assets
No contingent asset				88.9	89.3	89.7	89.9	90	90	90	89.9	89.4	89.1	88.8	88.6
At least one contingent asset				88.7	89.2	89.6	89.9	89.9	90.2	90	90	89.5	89.1	88.9	88.7

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Funding level (TPs)
Less than 70%	87.1	88.2	89.3	88.8	89.5	90.1	89.8	89.9	90	90	89.8	89.3	89	88.6	88.5
70% to less than 80%	86.7	88	88.7	89.3	89.4	89.7	90	90	90	89.8	89.8	89.3	88.9	88.6	88.7
80% to less than 90%	86.8	87.8	88.8	89.2	88.9	89.8	90.1	90	90	90.1	89.8	89.5	89.1	88.8	88.9
90% to less than 100%	86.6	87.7	88.9	88	89.2	89.6	89.7	90.1	90.2	90	90	89.4	89.2	89	88.9
100% or greater	86.3	87.8	88.7	88.9	89.6	89.6	89.5	89.9	89.9	89.9	90	89.4	89.3	89	88.4

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF standard stressed/unstressed asset ratio
Less than 90%							89.8	89.7	89.8	89.8	89.6	89.1	89.1	88.2	88.4
90% to less than 95%							89.9	90.2	90.1	90.1	89.8	89.4	89.1	88.7	88.4
95% to less than 100%							89.9	90.1	90.2	90	89.9	89.3	89	88.8	88.5
100% to less than 105%							90	89.9	90.2	90.1	90	89.5	89.2	88.8	88.7
105% or greater							89.8	90.1	89.9	89.9	90.2	89.6	89.3	89.1	88.8

Tranche (Years)
	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
PPF combined stressed/unstressed asset ratio
Less than 90%							89.8	89.7	89.8	89.8	89.6	89.1	89.1	88.2	88.4
90% to less than 95%							89.9	90.2	90.1	90.2	89.8	89.4	89.1	88.7	88.4
95% to less than 100%							89.8	90.1	90.1	90	89.9	89.3	89	88.7	88.5
100% to less than 105%							89.9	90	90.2	90.1	90	89.5	89.2	88.8	88.7
105% or greater							90	90.1	89.9	90	90.2	89.6	89.2	89	88.8

Table 6.3: average change in life expectancies for current male pensioners aged 65 by scheme characteristics, tranche 12 versus tranche 15 (schemes in surplus and deficit)

	Change in assumed age at death (years)	Percentage of schemes (%)
Current male pensioners aged 65
All schemes	-0.37	100

	Change in assumed age at death (years)	Percentage of schemes (%)
Size by number of members
Fewer than 100 members	-0.36	35
100 to fewer than 500 members	-0.37	36
500 to fewer than 1,000 members	-0.41	10
1,000 to fewer than 5,000 members	-0.41	13
5,000 members or more	-0.37	5

	Change in assumed age at death (years)	Percentage of schemes (%)
Size by TPs
Less than £5m	-0.65	16
£5m to less than £20m	-0.34	25
£20m to less than £100m	-0.3	32
£100m to less than £300m	-0.33	14
£300m or greater	-0.29	12

	Change in assumed age at death (years)	Percentage of schemes (%)
Maturity (ratio of pensioner TPs to total TPs)
Less than 25%	-0.67	15
25% to less than 50%	-0.35	42
50% to less than 75%	-0.29	37
75% or greater	-0.26	6

	Change in assumed age at death (years)	Percentage of schemes (%)
Presence of active members
TPs reported for active members	-0.39	38
TPs not reported for active members	-0.37	62

	Change in assumed age at death (years)	Percentage of schemes (%)
Covenant (schemes in deficit only)
Covenant group 1 (strong)	-0.29	19
Covenant group 2 (tending to strong)	-0.33	40
Covenant group 3 (tending to weak)	-0.39	23
Covenant group 4 (weak)	-0.38	18

	Change in assumed age at death (years)	Percentage of schemes (%)
RP length (schemes in deficit only)
Fewer than 5 years	-0.43	50
5 to fewer than 7.5 years	-0.34	23
7.5 to fewer than 10 years	-0.36	15
10 years or more	-0.34	12

	Change in assumed age at death (years)	Percentage of schemes (%)
Return seeking assets
Less than 20%	-0.44	23
20% to less than 40%	-0.31	30
40% to less than 60%	-0.37	31
60% to less than 80%	-0.41	13
80% or greater	-0.62	2

	Change in assumed age at death (years)	Percentage of schemes (%)
Presence of contingent assets
No contingent asset	-0.37	81
At least one contingent asset	-0.39	19

	Change in assumed age at death (years)	Percentage of schemes (%)
Funding level (TPs)
Less than 70%	-0.4	13
70% to less than 80%	-0.27	15
80% to less than 90%	-0.33	21
90% to less than 100%	-0.38	24
100% or greater	-0.44	26

	Change in assumed age at death (years)	Percentage of schemes (%)
PPF standard stressed/unstressed asset ratio
Less than 90%	-0.54	5
90% to less than 95%	-0.41	13
95% to less than 100%	-0.4	20
100% to less than 105%	-0.39	21
105% or greater	-0.33	42

	Change in assumed age at death (years)	Percentage of schemes (%)
PPF combined stressed/unstressed asset ratio
Less than 90%	-0.51	5
90% to less than 95%	-0.41	12
95% to less than 100%	-0.39	18
100% to less than 105%	-0.39	19
105% or greater	-0.34	45

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 (see s75 debt) if a scheme winds up (or if an employer becomes insolvent or ceases to participate in a multi-employer scheme). Throughout this publication the term ‘buyout’ is used. In a small number of cases, an alternative measure of solvency is submitted to 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. The latest version of the model, CMI_2021, was published in March 2022.

Deficit repair contributions (DRCs)

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

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)

A corporate body established under the Pensions Act 2004. 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, and 13.

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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