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The PPF 7800 index

Every month we publish the PPF 7800 index giving the latest estimated funding position for all eligible defined benefit schemes - on a section 179 basis. The index is an official statistic produced in accordance with the UK Statistics Authority Code.

December 2024 update

Changes to our methodology

On 5 December 2024, we published the latest edition of the Purple Book. As usual, this subsequent release of the PPF 7800 index has been updated to reflect the latest data. Alongside this update, we’ve introduced a number of refinements to the roll-forward calculation methodology used to estimate the asset and liability figures in the Purple Book and 7800.

While these have traditionally served as a simple index of market movements and trends, intended to be compared across a period of time, we understand that it would be useful to try to show the picture in absolute terms as well. For instance, we are now able to use more granular asset allocation data collected in annual scheme returns by the Pensions Regulator (TPR), applying a wider range of relevant market indices in our asset roll-forward calculations. In addition, where previously we did not take account of cashflows in and out of schemes – particularly benefit payments – our calculations now include estimates of these.
 
These refinements apply to our estimates of assets and liabilities calculated on a section 179 measure, as published in the Purple Book and the PPF 7800. As we stated recently in our consultation on next year's PPF levy, we do not propose to make any such changes to our separate levy roll-forward methodology as it serves a different purpose.
 
Our new approach is similar in principle to the new methodology used by TPR, which can be seen in its July 2024 publication of the analysis accompanying the revised DB Funding Code. Our new asset estimates are also more comparable with those published by the Office for National Statistics, but the differences in how each organisation’s figures are constructed and calculated will remain.

Highlights

Item

Last month

 This month

 Change

 Aggregate funding position

 £234.0bn surplus

£235.5bn surplus

+£1.5bn 

 Funding ratio 

 126.0%

125.7% 

 -0.3pp

 Total scheme assets

 £1,132.8bn

£1,150.5bn 

+1.6% 

 Total scheme liabilities

 £898.8bn

£915.0bn 

+1.8% 

 Deficit of schemes in deficit

 £22.3bn

£22.8bn 

+£0.5bn

 Number of schemes in universe

 4,969

4,969 

 No change

The PPF 7800 index has been updated to reflect the new dataset behind the Purple Book 2024. This covers 4,969 schemes in the PPF-eligible universe, down from the previous 5,050. We have updated historical figures of the index for this, starting at March 2024.

As mentioned above, the index now also reflects an updated asset and liability roll-forward methodology. The impact of this at 31 March 2024 is to reduce the aggregate funding ratio by around 18 percentage points. We have restated historical figures of the index for this, starting at March 2023.

For a more in-depth look at the monthly changes to our data please see the link to the supporting data below.

View the full update

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View the supporting data

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Previous updates

2024

2023

Older updates are available on request.

Shalin Bhagwan, PPF Chief Actuary said:  

“We’ve made some significant changes to how we calculate the scheme funding data for this year’s Purple Book, which consequently impacts the figures we report through the 7800 index. This is something that we were asked to look at by industry and by the Work and Pensions Committee, and has become possible, in part, because TPR now require more granular asset allocation data in their annual scheme returns. As a result of this, we have been able to enhance our roll-forward calculation methodology and improve the quality of the data that we report.  

Although this has led to a downward revision in the estimated aggregate funding position of the universe, the overall outlook for DB schemes is still very encouraging – ten years ago the estimated buy-out funding level was 62 per cent, now it sits at 94 per cent. On top of this, 2023 was a record year for risk transfer deals, with £60bn worth going through, and this positive trend has continued through 2024. So despite these revisions, the most important takeaway is that the DB universe is in good health.”  

James Emmott, Actuary said:  

“Every year, following the publication of the Purple Book, we align the dataset we use for the PPF 7800 index with the data in the Purple Book. Doing this means we have a more up-to-date picture of the schemes we protect and helps us to better understand the risks we face.  

In addition to the regular update, we have introduced a number of refinements to the roll-forward calculation methodology used to estimate the asset and liability figures in the Purple Book and 7800. For example, we can now use more granular asset allocation data collected in annual scheme returns by the Pensions Regulator (TPR), applying a wider range of relevant market indices in our asset roll-forward calculations. In addition, where previously we did not take account of cashflows in and out of schemes – particularly benefit payments – our calculations now include estimates of these.  

These refinements have led to some significant changes in the data we are able to produce and this can be seen in the estimated aggregate funding position of the universe. Using the previous dataset – from Purple Book 2023 – and the old methodology, the estimated aggregate funding position grew from a surplus of £359bn at 31 March 2023 to £456bn at 31 March 2024. With the new, enhanced dataset and methodology, the estimated surplus starts at a lower base and grew less, from £207bn to £219bn, over the same period.  

Using the latest data and our new roll-forward method, in the last month we have seen a small increase in the estimated aggregate surplus of schemes, by £1.5bn to £235.5bn, although the estimated funding ratio experienced a very slight drop of 0.3 percentage points to 125.7 per cent. The improvement in schemes’ funding position was caused by a 1.6 per cent increase in total scheme assets over the month to £1,150.5 billion, not completely offset by a 1.8 per cent increase in total scheme liabilities, to £915.0 billion. The liability and asset increases have come from bond yields going down and equity indices going up over November. Meanwhile, the deficit of schemes in deficit rose by £0.5bn to £22.8bn.”