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The main analysis in The Purple Book 2024 is based on the most recent scheme returns submitted to TPR by 31 March 2024 - with the data being on average between 2 - 4 years old. As a result of TPR requiring enhanced data on asset allocation in schemes' annual returns, we now have more granular detail on allocations, meaning we are able to apply a wider range of relevant market indices in our asset roll-forward calculations. The more granular bond data we now have access suggests that schemes entered the LDI crisis much better hedged than previously thought and, as a result, scheme funding levels did not improve as significantly as anticipated in response to the sudden and unexpected spike in gilt yields.
 
And, while the PPF has historically focused on funding levels, the exercise in aligning with ONS and TPR, as set out in our joint statement, means we now take into account cashflows to refine our estimate of absolute asset and liability values.
 
Further to this, the size of the universe has reduced over the course of the last year, including as the result of risk transfer deals. However, fundamentally this is about the whole industry learning. We therefore welcome the fact that the data available to us is now more granular, presenting a better picture of the LDI investments held by UK DB schemes. 

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