The Purple
Book 2022
DB pensions universe
risk profile
Contents
Introduction 01
Overview 02
Chapter 1 Executive summary 03
Chapter 2 The data 05
Chapter 3 Scheme demographics 06
Chapter 4 Scheme funding 11
Chapter 5 Funding sensitivities 17
Chapter 6 Insolvency risk 20
Chapter 7 Asset allocation 21
Chapter 8 Risk reduction 27
Chapter 9 PPF levy 2021/22 31
Chapter 10 Claims and schemes in assessment 37
Chapter 11 PPF compensation 2021/22 40
Chapter 12 PPF risk developments 43
Appendix 45
Glossary 46
Charts and tables 48
The Purple Book 2022
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Introduction
The Purple Book, also known as The Pensions Universe Risk Profile, is now
in its 17th edition. We’ve published The Purple Book annually since 2006,
giving the most comprehensive data and analysis of the UK defined benefit
pension landscape. This publication tracks trends in DB scheme funding,
demographics, asset allocation and more. It also gives us, the PPF, an in-
depth understanding of the risks we face from the universe of schemes
we protect. Understanding this information helps us to model the level
of claims we may need to absorb in years to come, and helps inform
decisions on our funding strategy.
The Purple Book 2022
01
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Overview
Number of eligible schemes
7,751
2006
5,220
2021
5,131
2022
Number of members
2006
14.0m
2021
9.7m
2022
9.6m
Proportion of schemes closed to all
benefit accrual
2021
48%
2022
51%
Bonds trend
2006
28%
2021
72%
2022
72%
Equities trend
61%
2006
19%
2021
20%
2022
Scheme funding
2006
97. 1%
2021
102.8%
2022
113.1%
Surplus/deficit of schemes in surplus/deficit
2021
Deficit
£129bn
Surplus
£175bn
2022
Deficit
£61bn
Surplus
£245bn
Number and liabilities of schemes
in PPF assessment
2021
£9.4bn
87
schemes
2022
£6.4bn
63
schemes
The Purple Book 2022
02
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
01
Executive summary
Highlights and key trends
from this year’s Purple Book.
Data
There are estimated
1
to be 5,131 schemes in the Pension Protection Fund (PPF) eligible universe
as at 31 March 2022, a reduction from 5,220 as at 31 March 2021. The declining universe reflects
schemes winding up, scheme mergers, and schemes entering PPF assessment. This year,
The Purple Book dataset covers all 5,131 schemes that are eligible for PPF compensation.
Schemes with more than 5,000 members make up almost 75 per cent of each of total assets,
liabilities, and members, while only forming seven per cent of the total number of schemes in
The Purple Book 2022 dataset. Conversely, schemes with fewer than 1,000 members make up
80 per cent of the total number of schemes but only around 10 per cent of total assets, liabilities
and members.
Scheme demographics
The Purple Book 2022 dataset includes 9.6 million DB scheme members, down from 9.7 million
last year. Of these:
• 43 per cent are pensioner members;
• 47 per cent are deferred members; and
• 10 per cent are active members.
Whilst the proportions are the same as last year, the number of active members in The Purple Book
2022 dataset who are members of a scheme still open to new benefit accrual and who continue
to accrue benefits has reduced by five per cent over the year. This is significantly higher than the
percentage reduction in the universe of schemes (two per cent) and the reduction in total
membership (one per cent) over the year and will reflect the fact that some members will have
retired as well as the continuing trend of schemes that had previously closed to new members
now closing to new benefit accrual.
The proportion of schemes that are closed to new benefit accrual has increased from 48 per cent
in 2021 to 51 per cent in 2022. This now means that for the first time we have more schemes that
provide no form of accrual of benefits than those that do.
Schemes that remain open tend to be larger in terms of membership. 21 per cent of members were
in open schemes with a further 41 per cent in schemes that are closed to new members but open
to new benefit accrual.
Scheme funding
Universe scheme funding improved in the year to 31 March 2022. The net funding position on
a section 179 (s179) basis as shown in the PPF 7800 index improved to a surplus of £193.0 billion
compared to a surplus of £46.9 billion the year before, while the aggregate funding ratio increased
to 113.1 per cent from 102.8 per cent.
The increase in the aggregate funding ratio is mainly the result of market movements, primarily the
result of higher gilt yields driving down liability values by more than the corresponding decrease in
asset values, together with large increases in equity values.
There was a further increase in the aggregate funding ratio from the new s179 basis that came into
force on 1 May 2021 as well as up-to-date valuations and the latest eligible universe available by
updating to the new Purple Book 2022 dataset.
Over the year we have seen the total section 179 liabilities fall by almost 12 per cent, this being the
largest annual fall observed.
On an estimated full buy-out basis, the net funding position improved to a deficit of £438.4 billion
from a deficit of £615.3 billion the year before and the funding ratio improved from 73.7 per cent
to 79.2 per cent.
Asset allocation
The aggregate proportion of schemes’ assets invested in equities and bonds were broadly
unchanged from those recorded two years ago. The proportion in equities rose slightly from
19.0 per cent to 19.5 per cent while the proportion in bonds fell slightly from 72.0 per cent to
71.6 per cent.
Within bonds, the index-linked bonds proportion increased from 47.2 per cent to 47.8 per cent.
The corporate bonds proportion increased from 28.2 per cent to 30.2 per cent, while the
government fixed interest bonds proportion fell from 24.6 per cent to 22.0 per cent.
Within equities, the UK-quoted proportion fell from 11.6 per cent to 9.9 per cent, falling below
10 per cent for the first time. The overseas-quoted proportion increased slightly from 68.3 per cent
to 68.6 per cent, while the proportion of unquoted/private equities increased from 20.1 per cent to
21.5 per cent.
Risk reduction
DB pension schemes have continued to close to new benefit accrual. Although there has been little
change in the proportion of assets in bonds and equities over the last year, schemes continued to
invest a large proportion (over 70 per cent) of their assets in bonds and the proportion of assets
invested in equities is less than 20 per cent.
Based only on current recovery plans in place, total annual recovery plan payments are indicated to
decrease by around 88 per cent over the next 10 years, from around £12.3 billion in 2022 to around
£1.4 billion in 2032, as schemes increasingly become fully funded on a Technical Provisions basis.
However, this only shows the current position so changes may be made to existing recovery plans
and new recovery plans may be put in place in the future if experience is dierent from what has
currently been assumed by schemes.
Analysis of The Pensions Regulator’s latest Technical Provisions and recovery plan data shows that
in Tranche 15
2
, the average recovery plan length was 6.4 years, a year less than that of Tranche 12
(comparable given the three-year valuation cycle). Assets as a percentage of Technical Provisions
was 88.8 per cent in both Tranche 12 and Tranche 15.
For the first time we
have more schemes
that provide no form
of accrual of benefits
than those that do.
1 The number of schemes in the PPF eligible universe as at 31 March 2022 could be dierent from 5,131 if any of these schemes are discovered to
be ineligible for PPF protection or if any other schemes are discovered to be eligible for PPF protection as at 31 March 2022.
2 Tranche 15 covers schemes with valuation dates between 22 September 2019 and 21 September 2020. https://www.thepensionsregulator.gov.uk/
en/document-library/research-and-analysis/scheme-funding-analysis-2022/scheme-funding-analysis-2022-annex
The Purple Book 2022
03
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Executive summary continued
The total number of contingent assets submitted to the PPF for the 2022/23 levy year was 303,
compared with 317 in 2021/22.
There were £43 billion worth of risk transfer deals (buy-ins, buy-outs and longevity swaps) in 2021,
down from £56 billion the previous year. This is a relatively small amount in the context of the
whole universe of schemes.
PPF levy, claims, and compensation
• In 2021/22, the levy totalled £476 million, down from £630 million the previous year.
• The top 100 levy payers accounted for 58 per cent of the total levy, up from 55 per cent last year.
• 34 per cent of schemes had no risk-based levy while 3.3 per cent of schemes saw the cap of 0.25
per cent of smoothed liabilities apply to their risk-based levy.
• 84 per cent of the total levy came from schemes sponsored by employers categorised as
‘Non-Subsidiaries £30 million+ and Large Subsidiaries’, ‘Credit Rated’ or ’Group £50m+’ for
D&B scorecard purposes.
In the year to 31 March 2022, 14 new schemes entered PPF assessment. This is lower than last
year when there were 30 new schemes. The total value of the year’s claims was £12 million
(as measured on an s179 basis), which is lower than last year’s claims of around £200 million.
In the year to 31 March 2022, the PPF made compensation payments of £1,115 million compared
with £1,006 million in the previous year. As at 31 March 2022, there were 193,983 records in respect
of members receiving compensation
1
, up from 184,844 a year earlier. The average annual payment
per record to members receiving compensation was £4,825, which is comparable to the 31 March
2021 average of £4,829.
PPF risk developments
We published our funding strategy review in September 2022, which explains our approach to
financial risk management as we move into a new phase of our funding journey. We enter this
new stage in a strong financial position, and our strategic aim will shift from growing our reserves
to ‘Maintaining our Financial Resilience’, which is our revised funding objective.
We defined a set of funding priorities to monitor our financial resilience. The strategic decisions
on our future investment and levy strategies will be guided by how our reserves compare to these
priorities. We therefore need to understand how our own funding and that of the schemes we
protect may change over time. For that, we use the Long-Term Risk Model (LTRM), a stochastic
model that runs a million dierent scenarios to project what the future may look like, allowing for
future claims, levies, investment returns and changes in economic conditions.
Like any complex modelling exercise, LTRM projections are subject to significant uncertainty.
They depend crucially on modelling assumptions, which we continually refine to reflect how
experience and expectations develop over time. We carried out sensitivity testing to understand
the key financial risks to which we are exposed. Under each of these tests, we are comfortable
that our current strategic decisions would be unchanged. We also continue to monitor, and seek
to understand, the impacts of the key risks we face, including climate change risk, macro-economic
changes and the COVID-19 pandemic.
Over the last year, there has been a material improvement in our funding position and in that of the
schemes we protect. This has increased the likelihood of us ‘Maintaining our Financial Resilience’.
The general economic environment remains volatile, but our modelling indicates that we are well
placed to cope with the uncertainty.
Economy and market background
The following table sets out how some key market indicators in the assessment of universe scheme
assets and s179 liabilities have changed over the year:
Market indicator
Change over the year to
31 March 2022
10-year fixed interest gilt yield 0.72pp
15-year fixed interest gilt yield 0.58pp
20-year fixed interest gilt yield 0.47pp
5–15 year index-linked gilt yield -0.06pp
FTSE All-Share Index (TR) 13.03%
FTSE All-World Ex-UK Index (TR) 12.62%
pp = percentage point(s)
TR = Total Return
Our strategic aim will shift from
growing our reserves to ‘Maintaining
our Financial Resilience’, which is
our revised funding objective.
1 Some members have more than one record in the data.
The Purple Book 2022
04
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
02
The data
An overview of the dataset
used in this edition of
The Purple Book.
Summary
• This chapter contains information on the number and distribution of
schemes in The Purple Book 2022 dataset and the estimated universe
of PPF-eligible schemes.
• The main analysis in The Purple Book 2022 is based on the
most recent scheme returns submitted to TPR by 31 March 2022.
This covered a dataset of 5,131 DB schemes, covering 9.6 million
members
1
. This represents all PPF-eligible schemes and universe
liabilities. A full description of the data used is set out in the appendix.
• It is estimated that the eligible universe of schemes was 5,131 as
at 31 March 2022, a reduction from 5,220 as at 31 March 2021. The
declining universe reflects schemes winding up, scheme mergers,
and schemes entering PPF assessment.
• As in previous editions of The Purple Book, the bulk of the analysis
uses funding with pension scheme liability values measured on an
s179 basis. This is, broadly speaking, what would have to be paid
to an insurance company to take on the payment of PPF levels
of compensation.
Figure 2.1 | Distribution of schemes excluding those in assessment by size of
scheme membership
The reduction in the eligible universe from 5,220 schemes at 31 March 2021 to 5,131
schemes at 31 March 2022 is mainly due to schemes with fewer than 1,000 members
leaving the eligible universe.
Number of members 2–99 100–999
1,000–
4,999
5,000–
9,999 10,000+ Total
The Purple Book 2021 dataset
(number of schemes) 1,874 2,280 720 160 186 5,220
The Purple Book 2022 dataset
(number of schemes) 1,836 2,248 706 159 182 5,131
Dierence in number of schemes -2.0% -1.4% -1.9% -0.1% -2.2% -1.7%
Source: PPF
Figure 2.2 | Distribution of assets, s179 liabilities and members in The Purple Book 2022
dataset as at 31 March 2022
Large schemes with over 5,000 members make up seven per cent of schemes in The Purple
Book 2022 dataset but almost 75 per cent of each of total assets, liabilities and members.
Number of members 2–99 100–999
1,000–
4,999
5,000–
9,999 10,000+ Total
Assets (£bn) 17.4 145.6 265.9 208.8 1,029.3 1,666.9
s179 liabilities (£bn) 14.6 131.3 244.3 187. 3 896.4 1,473.9
Number of members (000’s) 81 786 1,604 1,110 6,067 9,648
Source: PPF
Note: the components may not sum to the total because of rounding.
Figure 2.3 | The Purple Book datasets
The universe has declined by two per cent over the year, similar to previous years. This
reflects schemes winding up, scheme mergers and schemes transferring into the PPF.
Estimated universe Purple Book dataset Number of members (m)
2006 7,751 5,772 14.0
2007 7,542 5,892 12.7
2008 7,400 6,898 12.4
2009 7,098 6,885 12.4
2010 6,850 6,596 12.0
2011 6,550 6,432 12.0
2012 6,460 6,316 11.7
2013 6,225 6,150 11.4
2014 6,070 6,057 11.1
2015 5,967 5,945 11.0
2016 5,886 5,794 10.9
2017 5,671 5,588 10.5
2018 5,524 5,450 10.4
2019 5,436 5,422 10.1
2020 5,327 5,318 9.9
2021 5,220 5,215 9.7
2022 5,131 5,131 9.6
Source: PPF
Note: the reason for the increase in The Purple Book dataset from 2006 to 2008 is mainly a result of improvements to
the design of the scheme return intended to permit better PPF validation procedures.
1 One individual can have multiple memberships (for example of dierent pension schemes). Hence the number of members exceeds the number of individuals.
The Purple Book 2022
05
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
03
Scheme demographics
This chapter looks at trends
in scheme status and member
status. Schemes can be open
to new members, closed to
new members but open to new
benefit accrual, closed to new
members and benefit accrual,
or winding up. Members may
be actively accruing benefits,
deferred, or retired.
Summary
This chapter describes the dataset used for this year’s edition of The Purple Book and includes
some comparisons with data from previous years. Figures for the total number of schemes and
total scheme membership are included, with breakdowns by scheme size, scheme status, and
member status.
How we categorise schemes has varied in earlier editions of The Purple Book as more informative
breakdowns became available although the method of categorisation has been unchanged since
2013. For more detailed information, see the appendix.
Some statistics from this chapter are summarised in the following table:
Date of The Purple Book
31 March 2022 31 March 2021
Number of schemes in The Purple Book dataset 5,131 5,215
Proportion of schemes that are:
open to new members 10% 11%
closed to new members (but open to new benefit accrual) 38% 39%
closed to new benefit accrual 51% 48%
winding up 2% 2%
Number of members covered by schemes in
The Purple Book dataset, of which: 9.6m 9.7m
pensioner members 43% 43%
deferred members 47% 47%
active members (still accruing benefits) 10% 10%
Note: the percentages may not sum to 100 per cent because of rounding.
• The number of active members has continued to fall and is now around 0.9 million. This is around a quarter of those
found in the first Purple Book dataset in 2006.
• The gradual trend of schemes closing to both new members and new benefit accrual has continued and now
accounts for more than half of all schemes for the first time (51 per cent). This compares with 12 per cent in
The Purple Book dataset in 2006.
• 73 per cent of schemes have assets of less than £100 million.
Scheme status
Figure 3.1 | Distribution of schemes by scheme status
Over 50 per cent of schemes don’t provide any new benefit accrual.
Winding up (90 schemes, 2%)
Open (488 schemes, 10%)
Closed to new members (1,949 schemes, 38%)
Closed to new benefit accrual (2,604 schemes, 51%)
Open Closed to new members Closed to new benefit accrual Winding up
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
Figure 3.2 | Distribution of schemes by scheme status and member group
Large schemes are more likely to be open to new members or new benefit accrual.
Open Closed to new members Closed to new benefit accrual Winding up
Percentage
Number of members
0
20
40
60
80
100
2–99
12%
36%
48%
100–999
6%
37%
56%
1,000–4,999
10%
41%
48%
5,000–9,999
18%
44%
38%
10,000
and over
17%
48%
35%
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
The Purple Book 2022
06
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Scheme demographics continued
Figure 3.3 | Distribution of schemes by scheme status and year
The gradual trend of schemes already closed to new members also closing to accrual has continued, with this status now covering more than 50 per cent of schemes for the first time
(51 per cent).
Open Closed to new members Closed to new benefit accrual Winding up
Percentage
Year
0
20
40
60
80
100
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
43%
44%
12%
36%
45%
16%
31%
50%
17%
27%
52%
19%
18%
58%
21%
16%
58%
24%
14%
57%
26%
14%
54%
30%
13%
53%
32%
13%
51%
34%
13%
50%
35%
12%
47%
39%
12%
46%
41%
11%
44%
44%
11%
41%
46%
11%
39%
48%
10%
38%
51%
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
Figure 3.4 | Distribution of schemes by scheme status and year (excluding hybrid schemes
1
)
The distribution of schemes by scheme status in The Purple Book 2022 dataset is similar whether or not hybrid schemes are excluded.
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
1 A hybrid scheme is one that provides defined benefit (DB) and defined contribution (DC) benefits. The treatment of
such schemes has varied in past editions of The Purple Book as better data has become available (see the appendix
for a detailed explanation). At present we define a scheme as closed if the DB section is closed, even if the DC section
remains open.
Scheme status and scheme members
Figure 3.5 | Distribution of members by scheme status
Around 62 per cent of members are in schemes that have some form of new benefit accrual.
Winding up (0%)
Closed to new benefit accrual (37%)
Closed to new members (41%)
Open (21%)
Open Closed to new members Closed to new benefit accrual Winding up
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
0
20
40
60
80
100
Percentage
Year
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
35%
49%
15%
33%
49%
17%
26%
52%
19%
22%
55%
20%
21%
54%
23%
18%
54%
26%
17%
53%
29%
16%
51%
31%
15%
50%
33%
14%
49%
35%
14%
47%
37%
13%
45%
40%
13%
44%
42%
12%
41%
46%
10%
40%
48%
10%
38%
50%
10%
37%
51%
Open Closed to new members Closed to new benefit accrual Winding up
The Purple Book 2022
07
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Scheme demographics continued
Figure 3.6 | Distribution of members by scheme status and year
The change in membership by scheme status has followed a similar trend over time to the number of schemes by scheme status. However, just under 40 per cent of members are in schemes
that don’t provide any new benefit accrual compared with over 50 per cent of schemes not providing any new benefit accrual.
0
20
40
60
80
100
Percentage
Year
2006 2007 2008
2009
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
66%
32%
50%
46%
44%
52%
4%
37%
59%
4%
34%
60%
5%
31%
62%
6%
28%
64%
8%
23%
65%
12%
22%
62%
15%
22%
62%
16%
19%
60%
20%
21%
55%
24%
21%
53%
25%
21%
52%
27%
24%
45%
30%
21%
41%
37%
23%
43%
33%
Open Closed to new members Closed to new benefit accrual Winding up
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
Figure 3.7 | Distribution of members by scheme status and year (excluding hybrid schemes)
Excluding hybrid schemes has a notable eect on the distribution of members by scheme status in The Purple Book 2022 dataset. This is partly due to one very large open scheme having a
hybrid status.
0
20
40
60
80
100
Percentage
Year
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
35%
49%
15%
55%
41%
3%
46%
49%
4%
38%
57%
5%
38%
56%
6%
34%
58%
8%
30%
61%
9%
27%
61%
11%
25%
60%
14%
24%
59%
16%
19%
56%
24%
19%
53%
27%
14%
54%
32%
13%
52%
34%
14%
49%
35%
14%
45%
39%
13%
44%
42%
Open Closed to new members Closed to new benefit accrual Winding up
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
Scheme membership
Figure 3.8 | Number and distribution of members by member type and scheme status
as at 31 March 2022
The total number of active members reduced by five per cent in the year to 31 March 2022
and is the main reason for the reduction in total membership. The total number of pensioners
reduced by one per cent while the total number of deferreds was almost unchanged.
Number (000’s) / % Open
Closed
to new
members
Closed to
new benefit
accrual Winding up All
Active members
628.5 302.2 – – 930.7
7% 3% 0% 0% 10%
Deferred members
743.5 1,784.4 2,026.6 20.7 4,575.3
8% 18% 21% 0% 47%
Pensioner members
657.7 1,908.4 1,555.2 20.3 4,141.6
7% 20% 16% 0% 43%
Total
2,029.8 3,995.0 3,581.8 41.0 9,647.6
21% 41% 37% 0% 100%
Note: the percentages may not sum to 100 per cent and the components may not sum to their totals because
of rounding.
Open
Closed to new members Closed to new benefit accrual Winding up
Type of member
Number of members (m)
0
1
2
3
4
5
Pensioner
7%
20%
16%
Deferred
8%
18%
21%
Active
7%
3%
Source: PPF
The Purple Book 2022
08
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Scheme demographics continued
Figure 3.9 | Active members in The Purple Book datasets
The number of active members has decreased to around 0.9 million and is around a
quarter of those found in the first Purple Book dataset in 2006.
Active members (m)
Year
0
1
2
3
4
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Source: PPF
Figure 3.10 | Distribution of member type, by scheme membership size
The proportion of active members increases as scheme membership size increases.
Active members
Percentage
Number of members
0
20
40
60
80
100
2 to 99
6%
51%
43%
42%
50%
9%
43%
46%
10%
43%
44%
13%
6%
45%
49%
100 to 999 1,000 to 4,999 5,000 to 9,999 10,000
and over
Deferred members Pensioner members
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
Figure 3.11 | Proportion of schemes by scheme membership size, by year
The distribution of schemes by scheme membership size has remained relatively stable over time, suggesting that there is little correlation between scheme size and removal from the
eligible universe.
0
20
40
60
80
100
Percentage
Year
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
36%
37%
36%
35%
36% 35% 36% 36% 36% 36%
35% 36% 35% 36% 36% 36% 36%
46%
45%
45%
46%
46% 45% 45% 45% 44%
44%
44% 44% 44% 44% 44% 44% 44%
12% 12%
13% 13% 13% 13% 13% 13% 13%
13%
14% 14% 14% 13% 14% 14% 14%
2–99 100–999 1,000–4,999 5,000–9,999 10,000 and over
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
Asset size
Figure 3.12 | Distribution of schemes by asset size
72 per cent of schemes have assets of less than £100 million.
Under £5m £5m to £10m £10m to £100m £100m to £1bn Over £1bn
Under £5m (846 schemes, 16%)
£5m to £10m (616 schemes, 12%)
£10m to £100m (2,261 schemes, 44%)
£100m to £1bn (1,111 schemes, 22%)
Over £1bn (297 schemes, 6%)
Source: PPF
The Purple Book 2022
09
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Scheme demographics continued
Pension indexation types
Figure 3.13 | Pension indexation types for scheme benefits accrued before 6 April 1997
More than three quarters of schemes provide indexation on scheme benefits accrued
before 6 April 1997.
None/fixed CPI-linked RPI-linked
Percentage
Pension indexation type
0
10
20
30
40
50
None Fixed Capped
inflation
Uncapped
inflation
Other
6%
5%
4%
26%
32%
22%
4%
1%
Source: PPF
Figure 3.14 | Pension indexation types for scheme benefits accrued after 5 April 1997
Around two thirds of schemes provide indexation of capped inflation on scheme benefits
accrued after 5 April 1997. For the vast majority of these schemes, the inflation cap is five
per cent a year.
None/fixed CPI-linked RPI-linked
Percentage
Pension indexation type
0
20
40
60
80
None Fixed Capped
inflation
Uncapped
inflation
Other
13%
4%
5%
15%
53%
4%
2%
4%
Source: PPF
Note: this is based on scheme return data provided by schemes, where the scheme return specifies that in cases
where there is more than one rate of indexation, the rate applying to the largest proportion of protected liabilities
should be submitted.
Note: most of the schemes with no pension indexation don’t have any scheme benefits that were accrued after
5 April 1997 or are cash balance schemes.
The Purple Book 2022
10
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
04
Scheme funding
This chapter looks at how well
funded schemes are, and trends
and scheme funding by scheme
size, status and maturity.
Summary
This chapter covers funding on an s179 basis as at 31 March 2022, which is based on version A10 of
the s179 assumptions. Funding information supplied in scheme returns submitted to The Pensions
Regulator (TPR) is processed so that the funding ratios can be estimated at a common date, allowing
consistent totals to be used. In The Purple Book Deficit-Reduction Contributions (DRCs), as submitted
for levy purposes, have been added to the asset values submitted in s179 valuations. More detail on
how assets and s179 liabilities have been calculated at 31 March 2022 can be found in the appendix.
A scheme that is 100 per cent funded on an s179 basis has broadly enough assets to pay an insurance
company to take on the scheme with PPF levels of compensation.
In addition, this chapter considers estimated full buy-out funding information. This has been
calculated using the same valuation assumptions and underlying data as for the s179 calculations.
An approximate allowance is then made for the dierence between the PPF level of compensation
and full scheme benefits. Some of the statistics summarising these calculations are shown below:
Item
The Purple Book
31 March 2022 31 March 2021
1
Net s179 funding position (£bn) 193.0 surplus 46.9 surplus
s179 liabilities (£bn) 1,473.9 1,673.8
Assets (£bn) 1,666.9 1,720.7
Funding ratio:
s179 basis 113.1% 102.8%
Estimated full buy-out basis 79.2% 73.7%
1 The 31 March 2021 figures are based on version A9 of the s179 assumptions, which was in force at the eective date of last
year’s Purple Book.
The following table sets out how some of the market indicators used to assess and roll forward
pension scheme assets and s179 liabilities have changed over the year:
Market indicator
Change over the year to
31 March 2022
10-year fixed interest gilt yield 0.72pp
15-year fixed interest gilt yield 0.58pp
20-year fixed interest gilt yield 0.47pp
5–15 year index-linked gilt yield -0.06pp
FTSE All-Share Index (TR) 13.03%
FTSE All-World Ex-UK Index (TR) 12.62%
pp = percentage point(s)
TR = Total Return
The change in the aggregate s179 funding ratio over the year is a result of market movements, new
assumptions and new data, as shown in the following chart.
s179 funding
ratio as at
31 March 2021
Market
movements
Move to version
A10 of s179
assumptions
Up-to-date valuations
and the latest
eligible universe
s179 funding
ratio as at
31 March 2022
Percentage
0
20
40
60
80
120
100
1.7% 113.1%
2.6%
102.8%
6.0%
• The 10.3 percentage point increase in the s179 funding ratio over the year to 31 March 2022 can
be broken down as follows:
– The impact of market movements has resulted in a 6.0 percentage point increase in the s179
funding ratio. This was due to large increases in equity values and gilt yields over the year,
which caused total assets to increase while total liabilities decreased.
– The impact of moving to the A10 version of the s179 assumptions was an increase of 2.6
percentage points in the s179 funding ratio. This was due to a reduction in scheme liabilities.
– Additionally, an increase of 1.7 percentage points in the s179 funding ratio was observed from
adopting the new Purple Book 2022 dataset, which includes more up-to-date scheme valuations.
• The s179 funding ratio at 31 March 2022 is 16 percentage points higher than that disclosed in the
first Purple Book as at 31 March 2006. However, total assets and liability values have more than
doubled over this period for the following reasons:
– The significant increase in assets has arisen from increases in equity values (returns of around
143 per cent and 350 per cent on UK and global equities respectively), increases in bond
values and DRCs, oset to some extent by schemes that have left the PPF universe.
– The significant increase in liabilities has arisen from lower gilt yields and longer life
expectancies driving up liability values, again oset to some extent by schemes that have
left the PPF universe.
• Funding ratios are higher among:
– More mature schemes (i.e. those with a higher proportion of liabilities that relate to
pensioners); and
– The smallest and largest schemes (compared to mid-size schemes).
• In the last 12 years, the proportion of liabilities that relates to pensioner members has remained
relatively stable at around 40 per cent, although there are recent signs this is increasing as the
proportion increased by 3 percentage points to 44 per cent over the last year. The proportion
relating to active members has reduced significantly over the same period and has reduced by
15 percentage points to 17 per cent.
Overall funding
Figure 4.1 | Key funding statistics as at 31 March 2022
The net s179 funding position of the schemes in The Purple Book 2022 dataset at 31 March
2022 was a surplus of £193.0 billion, corresponding to a funding ratio of 113.1 per cent.
Number of members s179
Estimated full
buy-out
Total number of schemes 5,131 5,131
Total assets (£bn) 1,666.9 1,666.9
Total liabilities (£bn) 1,473.9 2,105.3
Net funding position (£bn) 193.0 -438.4
Aggregate funding ratio 113.1% 79.2%
Number of schemes in deficit 1,752 4,515
Number of schemes in surplus 3,379 616
Net funding position for schemes in deficit (£bn) -61.1 -454.4
Net funding position for schemes in surplus (£bn) 254.1 16.0
Source: PPF
Note: the component figures may not sum to the total because of rounding.
The Purple Book 2022
11
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Scheme funding continued
Figure 4.2 | Current and historical funding figures on an s179 basis
The aggregate s179 funding ratio improved by 10.3 percentage points over the year to 31 March 2022 to a record high of 113.1 per cent. The deficit of schemes in deficit improved from
£128.5 billion to £61.1 billion over the year to 31 March 2022.
Year
Number
of schemes
Total
assets
(£bn)
s179 liabilities
Liabilities
(£bn)
Net funding
position
(£bn)
Aggregate
funding ratio
Deficit of
schemes
in deficit
(£bn)
Surplus
of schemes
in surplus
(£bn)
2006 7,751 769.5 792.2 -22.7 97.1% -76.3 53.5
2007 7,542 837.7 769.9 67.8 108.8% -38.5 106.2
2008 6,897 837. 2 842.3 -5.1 99.4% -67.7 62.6
2009 6,885 780.4 981.0 -200.6 79.6% -216.7 16.0
2010 6,596 926.2 8 87.9 38.3 104.3% -49.1 87.4
2011 6,432 968.5 969.7 -1.2 99.9% -78.3 7 7.1
2012 6,316 1,026.8 1,231.0 -204.2 83.4% -231.3 27.1
2013 6,150 1,118.5 1,329.2 -210.8 84.1% -245.8 35.0
2014 6,057 1,137. 5 1,176.8 -39.3 96.7% -119.0 79.7
Year
Number
of schemes
Total
assets
(£bn)
s179 liabilities
Liabilities
(£bn)
Net funding
position
(£bn)
Aggregate
funding ratio
Deficit of
schemes
in deficit
(£bn)
Surplus
of schemes
in surplus
(£bn)
2015 5,945 1,298.3 1,542.5 -244.2 84.2% -285.3 41.1
2016 5,794 1,341.4 1,563.1 -221.7 85.8% -273.5 51.8
2017 5,588 1,541.1 1,702.9 -161.8 90.5% -246.7 84.9
2018 5,450 1,573.3 1,643.8 -70.5 95.7% -187.6 117.1
2019 5,422 1,615.3 1,628.0 -12.7 99.2% -159.8 147.1
2020 5,318 1,700.6 1,791.3 -90.7 94.9% -229.1 138.4
2021 5,215 1,720.7 1,673.8 46.9 102.8% -128.5 175.3
2022 5,131 1,666.9 1,473.9 193.0 113.1% -61.1 254.1
Note: the component figures may not sum to the total because of rounding.
Total s179 liabilities fell by almost 12 per cent over the year to 31 March 2022, which is the largest fall recorded. This was primarily a result of rising gilt yields.
0 0
300 15
600
45
30
900
60
1,800
1,500
1,200
90
75
2,400
2,100
120
105
Amount (£bn)
Percentage
Year
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Total assets (LHS) Liabilities (LHS) Funding ratio (RHS)
Source: PPF
The Purple Book 2022
12
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Scheme funding continued
Figure 4.3 | Current and historical funding figures on an estimated full buy-out basis
The aggregate full buy-out funding ratio increased from 73.7 per cent to 79.2 per cent over the year to 31 March 2022, which is smaller than the increase in the aggregate s179 funding ratio.
This is because of an increase in inflation expectations over the year, which is more significant for buy-out liabilities than for s179 liabilities.
Year
Total
assets
(£bn)
Estimated full buy-out
Liabilities
(£bn)
Net funding
position
(£bn)
Aggregate
funding ratio
2006 769.5 1,376.7 -607. 2 55.9%
2007 837.7 1,393.7 -556.0 60.1%
2008 837. 2 1,465.8 -628.6 57.1%
2009 780.4 1,461.1 -680.7 53.4%
2010 926.2 1,469.3 -543.1 63.0%
2011 968.5 1,551.8 -583.3 62.4%
2012 1,026.8 1,840.5 -813.7 55.8%
2013 1,118.5 1,974.7 -856.2 56.6%
2014 1,137.5 1, 827. 2 -689.7 62.3%
Year
Total
assets
(£bn)
Estimated full buy-out
Liabilities
(£bn)
Net funding
position
(£bn)
Aggregate
funding ratio
2015 1,298.3 2,269.2 -970.9 57. 2%
2016 1,341.4 2,293.1 -951.7 58.5%
2017 1,541.1 2,461.7 -920.6 62.6%
2018 1,573.3 2,332.0 -758.7 67.5%
2019 1,615.3 2,260.3 -644.9 71.5%
2020 1,700.6 2,369.1 -668.5 71.8%
2021 1,720.7 2,335.9 -615.3 73.7%
2022 1,666.9 2,105.3 -438.4 79.2%
Note: the component figures may not sum to the total because of rounding.
Since 2006, there has been a significant increase in the aggregate full buy-out funding ratio, from 55.9 per cent to 79.2 per cent at 31 March 2022.
0 0
300 15
600
45
30
900
60
1,800
1,500
1,200
90
75
2,700
2,400
2,100
135
120
105
Total assets (LHS) Liabilities (LHS) Funding ratio (RHS)
Amount (£bn)
Percentage
Year
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Source: PPF
The s179 funding ratio has increased significantly over time due to improvements in the last two years, from 97.1 per cent at 31 March 2006 to 113.1 per cent at 31 March 2022. The estimated full buy-out funding ratio has also increased significantly over the same period mainly due to
improvements in the last seven years, from 55.9 per cent at 31 March 2006 to 79.2 per cent at 31 March 2022.
The Purple Book 2022
13
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Scheme funding continued
Analysis of funding by scheme membership size
Figure 4.4 | s179 funding ratios by size of scheme membership as at
31 March 2022
The best funded schemes were the smallest, with an aggregate s179 funding ratio
of 119.2 per cent for schemes with fewer than 100 members.
Scheme size
(members)
Number of
schemes
Total assets
(£bn)
Liabilities
(£bn)
Net funding
position
(£bn)
Aggregate
funding ratio
Simple
average
funding
ratio*
2 to 99 1,836 17.4 14.6 2.8 119.2% 114.8%
100 to 999 2,248 145.6 131.3 14.4 110.9% 108.5%
1,000 to 4,999 706 265.9 244.3 21.6 108.8% 107.7%
5,000 to 9,999 159 208.8 187. 3 21.4 111.4% 110.4%
10,000 and over 182 1,029.3 896.4 132.8 114.8% 115.4%
Total 5,131 1,666.9 1,473.9 193.0 113.1% 110.9%
Source: PPF
Note: the component figures may not sum to the total because of rounding.
* Whereas aggregate funding ratios are determined by comparing the total assets and liabilities for all schemes, the
simple average funding ratio is the average of all of the schemes’ individual funding ratios. Note that 12 schemes
with funding ratios over 200 per cent (on an estimated full buy-out measure) were excluded from the simple
averages to avoid distortions. All of these schemes were small, with total assets of £0.1 billion.
Figure 4.5 | Distribution of s179 funding ratios by size of scheme membership as at
31 March 2022
Schemes with at least 5,000 members are the most well funded on an s179 basis.
0% to 50%
Percentage
Number of members
0
20
40
60
80
100
2 to 99
9%
28%
62%
65%
28%
7%
74%
17%
9%
80%
16%
4%
7%
23%
68%
100 to 999 1,000 to 4,999 5,000 to 9,999 10,000
and over
50% to 75% 75% to 100% Over 100%
Source: PPF
Note: the percentages in each column may not sum to 100 per cent because of rounding.
Figure 4.6 | Estimated full buy-out levels by size of scheme membership as at
31 March 2022
The smallest schemes are the most well funded on a full buy-out measure.
Members
(number)
Number of
schemes
Total assets
(£bn)
Liabilities
(£bn)
Net funding
position
(£bn)
Aggregate
funding ratio
Simple
average
funding
ratio*
2 to 99 1,836 17.4 20.6 -3.2 84.6% 83.3%
100 to 999 2,248 145.6 186.2 -40.5 78.2% 77.7%
1,000 to 4,999 706 265.9 342.1 -76.2 7 7.7% 7 7.7%
5,000 to 9,999 159 208.8 264.7 -55.9 78.9% 79.5%
10,000 and over 182 1,029.3 1,291.8 -262.5 79.7% 79.8%
Total 5,131 1,666.9 2,105.3 -438.4 79.2% 79.8%
Source: PPF
* 12 schemes with funding ratios over 200 per cent (on an estimated full buy-out measure) were excluded from
the simple averages to avoid distortions. All of these schemes were small, with total assets of £0.1 billion.
Figure 4.7 | Distribution of estimated full buy-out funding ratios by size of scheme
membership as at 31 March 2022
95 per cent or more of all scheme sizes have an estimated full buy-out funding
ratio higher than 50 per cent.
Percentage of schemes in membership group
Number of members
0
20
40
60
80
100
2 to 99
5%
38%
47%
9%
49%
7%
41%
4%
53%
34%
9%
60%
7%
31%
4%
30%
48%
18%
100 to 999 1,000 to 4,999 5,000 to 9,999 10,000
and over
0% to 50% 50% to 75% 75% to 100% Over 100%
Source: PPF
Note: the percentages in each column may not sum to 100 per cent because of rounding.
Analysis of funding by scheme maturity
Maturity is measured here as the percentage of the scheme liabilities relating to pensioners.
Figure 4.8 | Analysis of s179 funding ratios by scheme maturity as at 31 March 2022
The most mature schemes have an aggregate s179 funding ratio that is around
40 percentage points higher than the least mature schemes.
Proportion of s179
liabilities relating
to pensioners
Number of
schemes
Total assets
(£bn)
Liabilities
(£bn)
Net funding
position
(£bn)
Aggregate
funding ratio
Simple
average
funding
ratio*
25% and less 879 141.8 145.3 -3.4 97.6% 100.2%
Between 25%
and 50% 2,468 908.3 838.8 69.5 108.3% 106.4%
Between 50%
and 75% 1,457 569.1 454.7 114.5 125.2% 120.0%
Between 75%
and 100% 327 47.7 35.2 12.5 135.7% 134.0%
Total 5,131 1,666.9 1,473.9 193.0 113.1% 110.9%
Source: PPF
* 12 schemes with funding ratios over 200 per cent (on an estimated full buy-out measure) were excluded from the
simple averages to avoid distortions. All of these schemes were small, with total assets of £0.1 billion.
Figure 4.9 | Distribution of funding ratios on an s179 basis by scheme maturity as at
31 March 2022
Funding ratios improve with scheme maturity, with 88 per cent of the most mature
schemes being overfunded on an s179 basis.
0% to 50% 50% to 75% 75% to 100% Over 100%
Percentage
Percentage of scheme liability that relates to current pensioners
0
20
40
60
80
100
25% and less
8%
30%
61%
80%
17%
88%
9%
17%
33%
48%
Between
25% and 50%
Between
50% and 75%
Between
75% and 100%
Source: PPF
Note: the percentages in each column may not sum to 100 per cent because of rounding.
The Purple Book 2022
14
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Scheme funding continued
Analysis of funding by scheme status
Figure 4.10 | Analysis of s179 funding ratios by scheme status as at
31 March 2022
Open schemes are around 20 percentage points worse funded than closed schemes,
as measured by the aggregate s179 funding ratio.
Status
Number
of schemes
Total assets
(£bn)
Liabilities
(£bn)
Net funding
position
(£bn)
Aggregate
funding ratio
Simple
average
funding
ratio*
Open 488 307.9 315.3 -7.4 97.6% 105.8%
Closed to
new members 1,949 818.9 690.8 128.1 118.5% 112.9%
Closed to new
benefit accrual 2,604 533.0 462.1 70.9 115.4% 110.1%
Winding up 90 7.1 5.7 1.4 125.4% 119.3%
Total 5,131 1,666.9 1,473.9 193.0 113.1% 110.9%
Source: PPF
Note: the components may not sum to the totals because of rounding.
* 12 schemes with funding ratios over 200 per cent (on an estimated full buy-out measure) were excluded from the
simple averages to avoid distortions. All of these schemes were small, with total assets of £0.1 billion.
Figure 4.11 | Distribution of schemes by s179 funding ratios within scheme status
groups as at 31 March 2022
Although on average open schemes are less well funded than schemes of other statuses,
almost 60 per cent of open schemes are more than 100 per cent funded on an s179 basis.
Scheme status
Percentage
0
20
40
60
80
100
Closed to new
benefit accrual
8%
27%
65%
Closed to new members
6%
1%2%
25%
26%
13%
59%
68%
Open
0% to 50% 50% to 75% 75% to 100% Over 100%
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
Figure 4.12 | Analysis of estimated full buy-out funding ratios by scheme status as at
31 March 2022
Open schemes are around 10 percentage points worse funded than closed schemes,
as measured by the aggregate buy-out funding ratio.
Status
Number of
schemes
Total assets
(£bn)
Liabilities
(£bn)
Net funding
position
(£bn)
Aggregate
funding ratio
Simple
average
funding
ratio*
Open 488 307.9 434.3 -126.5 70.9% 78.0%
Closed to
new members 1,949 818.9 1,010.2 -191.4 81.1% 80.8%
Closed to new
benefit accrual 2,604 533.0 652.7 -119.7 81.7% 79.1%
Winding up 90 7.1 8.0 -0.9 89.2% 88.7%
Total 5,131 1,666.9 2,105.3 -438.4 79.2% 79.8%
Source: PPF
Note: the components may not sum to the totals because of rounding.
* 12 schemes with funding ratios over 200 per cent (on a full buy-out measure) were excluded from the simple
averages to avoid distortions. All of these schemes were small, with total assets of £0.1 billion.
Figure 4.13 | Distribution of schemes by estimated full buy-out funding ratios within
scheme status groups as at 31 March 2022
The proportion of open schemes that are more than 100 per cent funded on an estimated
full buy-out basis is similar to schemes of other statuses.
Scheme status
Percentage
0
20
40
60
80
100
Closed to new
benefit accrual
5%
36%
49%
10%
Closed to new members
4%
35%
34%
9%
45%
12%
48%
13%
Open
0% to 50% 50% to 75% 75% to 100% Over 100%
Source: PPF
Note: the percentages may not sum to 100 per cent because of rounding.
The Purple Book 2022
15
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
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PPF levy
2021/22
Claims and
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assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Scheme funding continued
Figure 4.14 | s179 liabilities by member status in current and historical Purple Book datasets
The proportion of liabilities that relates to pensioners increased to 44 per cent, which is the highest proportion recorded.
0
20
40
60
80
100
Active Deferred Pensioner
Percentage
Year
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
32%
27%
41%
28%
31%
42%
30%
31%
39%
29%
32%
39%
26%
33%
41%
26%
35%
39%
24%
36%
40%
25%
38%
37%
23%
39%
38%
21%
40%
39%
21%
40%
40%
19%
41%
41%
17%
40%
44%
Source: PPF
Note: the percentages in each column may not sum to 100 per cent because of rounding.
The Purple Book 2022
16
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
05
Funding sensitivities
This chapter looks at factors
aecting scheme funding
levels, including changes
in equity prices, gilt yields
and life expectancy.
Summary
• This chapter shows how the funding of DB schemes and markets has changed since 2006, and
how the funding of DB schemes at 31 March 2022 would change as a result of plausible changes
in markets and longevity.
The following sections cover:
• The historical changes in s179 scheme funding since 2006. The series in this section take the
estimated funding position at 31 March in previous years’ editions of The Purple Book.
• Various funding sensitivities. All of these are on an s179 basis, taking the funding position as at
31 March 2022
1
as the base and using The Purple Book 2022 dataset.
Change in s179 funding position over time
• Both the historical net funding position and funding ratio had been broadly trending downwards
between March 2006 and August 2016. This trend has subsequently reversed and both
measures are now higher than the levels they were at on 31 March 2006, with the net funding
position reaching an all-time high of £193 billion at 31 March 2022.
• The proportion of schemes in deficit on an s179 basis reached an all-time low of 34 per cent in
March 2022. This is 15 percentage points lower than the previous historical low of 49 per cent
in March 2021.
Funding sensitivities as at 31 March 2022
• A 0.1 percentage point (10 basis point) rise in both nominal and real gilt yields increases the
31 March 2022 net funding position by £11.1 billion from £193.0 billion to £204.1 billion.
A 2.5 per cent rise in equity prices would improve the net funding position by £9.3 billion.
• A 0.1 percentage point (10 basis point) reduction in both nominal and real gilt yields raises
aggregate scheme liabilities by 1.7 per cent and raises aggregate scheme assets by 0.9 per cent.
A 2.5 per cent increase in equity markets increases scheme assets by 0.6 per cent.
• If individuals live two years longer than expected, s179 liabilities would increase by £110.9 billion,
or 7.5 per cent.
Historical changes in s179 scheme funding since 2006
The estimated funding position of the universe of schemes can change over time owing to a
number of factors including financial markets, actuarial assumptions, the decline in the number
of DB schemes, and sponsoring employers’ special contributions. The historical series in this
section take the estimated funding position at 31 March from previous editions of The Purple Book.
The monthly profiles between end-March of one year and end-February of the next are obtained
by rolling forward the assets and liabilities using movements in nominal and real gilt yields and
equity markets.
1 Using the valuation guidance as in Chapter 4. For more information, see the PPF website.
Figure 5.1 | Historical s179 aggregate funding ratio and net funding position of pension
schemes in The Purple Book datasets
The net funding position has reached a record high of £193 billion while the
aggregate s179 funding ratio is close to the highest historical level.
Net funding position (£bn) (LHS) Funding ratio (%) (RHS)
Net funding position (£bn)
Year
130%
200
120%
300
0
100%
100
110%
-100
90%
-200 80%
-300
70%
-500
50%
-400 60%
-600 40%
Aggregate s179 funding ratio (%)
Mar
2006
Mar
2007
Mar
2010
Mar
2009
Mar
2008
Mar
2012
Mar
2011
Mar
2013
Mar
2015
Mar
2014
Mar
2016
Mar
2017
Mar
2018
Mar
2020
Mar
2019
Mar
2021
Mar
2022
Source: PPF
The net funding position of
schemes reached an all time high
of £193 billion at 31 March 2022.
The Purple Book 2022
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The data
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Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
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Appendix
Overview
Executive
summary
Introduction
Funding sensitivities continued
Figure 5.2 | Historical movements in assets and s179 liabilities of schemes
in The Purple Book datasets
Liabilities have fallen significantly by £317 billion over the last two years, although prior to
this there had been a general upward trend since 2006.
Assets
Value (£bn)
Year
2,200
2,000
1,600
1,800
1,400
1,200
1,000
800
600
Mar
2006
Mar
2007
Mar
2010
Mar
2009
Mar
2008
Mar
2012
Mar
2011
Mar
2013
Mar
2015
Mar
2014
Mar
2016
Mar
2017
Mar
2018
Mar
2019
Mar
2020
Mar
2021
Mar
2022
Liabilities
Source: PPF
Figure 5.3 | Historical aggregate funding position for schemes in deficit and surplus
The deficit of schemes in deficit was at its largest in August 2016 at £451 billion.
At 31 March 2022 this deficit was £61 billion, down £67 billion from the £128 billion
experienced at 31 March 2021.
Schemes in surplus Schemes in deficit
Net funding position (£bn)
Year
200
300
0
100
-100
-200
-300
-500
-400
Mar
2006
Mar
2007
Mar
2008
Mar
2009
Mar
2010
Mar
2011
Mar
2012
Mar
2013
Mar
2014
Mar
2015
Mar
2016
Mar
2017
Mar
2018
Mar
2019
Mar
2020
Mar
2021
Mar
2022
Source: PPF
The funding position of schemes in surplus has been more stable over time than
the funding position of schemes in deficit.
Figure 5.4 | Historical percentage of schemes in deficit each month
in The Purple Book datasets
In March 2022, the percentage of schemes in deficit reached an all-time low of 34 per cent, which is 15 percentage points lower than the previous all-time low of 49 per cent last year.
Percentage of schemes
80
90
100
60
70
40
50
30
20
0
10
Mar 2006
Mar 2007 Mar 2008 Mar 2009 Mar 2010 Mar 2011 Mar 2012 Mar 2013 Mar 2014 Mar 2015 Mar 2016 Mar 2017 Mar 2018 Mar 2019 Mar 2020 Mar 2021 Mar 2022
Year
Source: PPF
The pink lines indicate months in which changes were made to the assumptions used to value schemes on an s179 measure. The changes to assumptions in March 2008 and October 2009
reduced the number of schemes in deficit by 412 and 566 respectively, while the changes to assumptions in April 2011 and May 2014 raised the number of schemes in deficit by 107 and 259
respectively. The changes to assumptions in November 2016, November 2018 and May 2021 reduced the number of schemes in deficit by 157, 437 and 210 respectively.
Figure 5.5 | Movements in gilt yields
Gilt yields have increased since their all-time lows in March 2020.
10-year gilt yield
Gilt yield (% pa)
Year
6
5
4
3
2
1
0
Mar
2006
Mar
2007
Mar
2008
Mar
2009
Mar
2010
Mar
2011
Mar
2012
Mar
2013
Mar
2014
Mar
2015
Mar
2016
Mar
2017
Mar
2018
Mar
2019
Mar
2020
Mar
2021
Mar
2022
15-year gilt yield 20-year gilt yield
Source: Bloomberg
Figure 5.6 | Movements in equity indices
The FTSE All-Share and All-World Ex-UK Total Return Indices have recovered from their
sharp declines in March 2020 and have reached historical highs over the last year.
FTSE All-Share Total Return Index (LHS)
Mar
2006
Mar
2007
Mar
2008
Mar
2009
Mar
2010
Mar
2011
Mar
2012
Mar
2013
Mar
2014
Mar
2015
Mar
2016
Mar
2017
Mar
2018
Mar
2019
Mar
2020
Mar
2021
Mar
2022
FTSE All-Share Total Return Index
Year
10,000 1,000
8,000 800
9,000 900
6,000 600
7,000 700
5,000 500
4,000 400
3,000 300
1,000 100
2,000 200
0 0
FTSE All-World Ex-UK Total Return Index
FTSE All-World Ex-UK Total Return Index (RHS)
Source: Bloomberg
The Purple Book 2022
18
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Funding sensitivities continued
Funding sensitivities: rules of thumb
Funding ratios are sensitive to movements in financial markets, with equity and gilt prices in
particular having a major impact upon scheme assets, and gilt yields aecting liability values.
This section shows the eect on scheme funding positions of changes in equity and gilt markets.
The impact of a change of a 7.5 per cent rise in equity prices and a 0.3 percentage point increase
in gilt yields have been accurately calculated and then the rest of the results have been calculated
by pro-rating these two impacts.
The sensitivities do not take into account the use of derivative instruments to hedge changes in
interest rates, inflation, equity levels or life expectancy.
Figure 5.7 | Impact of changes in gilt yields and equity prices on s179 funding positions
from a base net funding position of £193.0 billion as at 31 March 2022
Small changes in gilt yields have a slightly larger impact on s179 funding positions than
small changes in equity prices.
Assets less s179 liabilities (£bn)
Movement in
equity prices
Movement in gilt yields
-0.3pp -0.2pp -0.1pp 0.0pp 0.1pp 0.2pp 0.3pp
7.5% 188.3 199.0 209.7 220.7 231.8 243.0 254.4
5.0% 179.1 189.7 200.5 211.5 222.6 233.8 245.2
2.5% 169.9 180.5 191.3 202.3 213.4 224.6 236.0
0.0% 160.7 171.3 182.1 193.0 204.1 215.4 226.8
-2.5% 151.5 162.1 172.9 183.8 194.9 206.2 217.6
-5.0% 142.3 152.9 163.7 174.6 185.7 197.0 208.4
-7.5% 133.0 143.7 154.5 165.4 176.5 187.7 199.1
Source: PPF
A 0.1 percentage point rise in both nominal and real gilt yields would have improved the
end-March 2022 s179 net funding position by £11.1 billion from £193.0 billion (bold) to
£204.1 billion (shaded). That’s more than the £9.3 billion impact of a 2.5 per cent increase
in equity prices (shaded).
Figure 5.8 | Impact of changes in gilt yields and equity prices on assets from a base of
100 as at 31 March 2022
Small changes in gilt yields have a slightly larger impact on assets than small changes in
equity prices.
Assets relative to a base of 100
Movement in
equity prices
Movement in gilt yields
-0.3pp -0.2pp -0.1pp 0.0pp 0.1pp 0.2pp 0.3pp
7.5% 104.3 103.4 102.5 101.7 100.8 99.9 99.1
5.0% 103.8 102.9 102.0 101.1 100.2 99.4 98.5
2.5% 103.2 102.3 101.4 100.6 99.7 98.8 98.0
0.0% 102.7 101.8 100.9 100.0 99.1 98.3 97.4
-2.5% 102.1 101.2 100.3 99.4 98.6 97.7 96.9
-5.0% 101.6 100.7 99.8 98.9 98.0 97. 2 96.3
-7.5% 101.0 100.1 99.2 98.3 97.5 96.6 95.8
Source: PPF
A 2.5 per cent increase in equity prices would raise scheme assets by 0.6 per cent (shaded). A 0.3
percentage point decrease in gilt yields would increase scheme assets by 2.7 per cent (shaded).
Figure 5.9 | Impact of changes in gilt yields on s179 liabilities as at 31 March 2022
A 0.1 percentage point movement in gilt yields would impact s179 liabilities by 1.7 per cent.
Impact on s179 liabilities
Movement in both nominal and real gilt yields
-0.3pp -0.2pp -0.1pp 0.1pp 0.2pp 0.3pp
Percentage change 5.2% 3.5% 1.7% -1.7% -3.5% -5.2%
Source: PPF
Figure 5.10 | Impact of changes in nominal or real gilt yields on s179 liabilities as at
31 March 2022 (base = £1,473.9 billion)
As at 31 March 2022, the s179 liabilities were almost three times as sensitive to changes in
nominal yields as to changes in real yields.
Impact on s179 liabilities
Change in nominal yields Change in real yields
-0.1pp 0.1pp -0.1pp 0.1pp
£ billions 1,493.6 1,454.2 1,480.6 1 ,467. 2
Percentage change 1.3% -1.3% 0.5% -0.5%
Source: PPF
Note: s179 liabilities are assessed using a combination of various nominal and real gilt yields. Whereas figure 5.9
shows the impact of universal stresses across both nominal and real yields, figure 5.10 stresses the nominal and
real gilt yields separately.
Figure 5.11 | Impact of changes in life expectancy assumptions on s179 liabilities as at
31 March 2022 (base = £1,473.9 billion)
If individuals live two years longer than expected, s179 liabilities would increase by around
£111 billion, or 7.5 per cent. Conversely, if individuals live two years shorter than expected,
s179 liabilities would decrease by around £109 billion, or 7.4 per cent.
s179 liabilities
(£bn)
% change
from base
Age rating +2 years 1,364.8 -7.4%
Age rating -2 years 1,584.8 7.5%
Source: PPF
Note: the impact of increased length of life has been approximated by age rating down by two years – that is, replacing
the life expectancy assumptions for each individual by an individual currently two years younger.
The Purple Book 2022
19
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
06
Insolvency risk
This chapter looks at the rate
of insolvencies in DB scheme
sponsors, compared to the
overall company insolvency
rate in England and Wales, and
insolvencies by scheme size.
Summary
• This chapter shows the annual insolvency rate for employers in the PPF universe and companies
in England and Wales. It also shows the number of England and Wales company insolvencies
compared with the rate of UK real GDP growth. Finally, it shows a proxy for insolvency risk over
the next year, for dierent scheme sizes.
• The average insolvency rate in the PPF universe has decreased by 0.43 percentage points to
0.24 per cent at 31 March 2022.
• Conversely, the average annual insolvency rate of companies in England and Wales increased
by 0.23 percentage points to 0.67 per cent at 31 March 2022. This was caused by an increase of
49 per cent in the number of company insolvencies observed in England and Wales each year.
• UK real GDP growth was 8.7 per cent in Q1 2022, up from -5 per cent in Q1 2021.
• In aggregate, larger schemes tend to have a lower insolvency risk than those with fewer members.
Figure 6.1 | Annual insolvency rates*
The rate of insolvencies for the PPF universe fell to a historical low of 0.24 per cent.
However, the rate of insolvencies in England and Wales increased to 0.67 per cent,
which is similar to rates observed between 31 March 2015 and 31 March 2020.
PPF insolvency rate England and Wales company insolvency rate
Percentage
Year
1.2
1.0
0.8
0.6
0.4
0.2
0.0
Mar 2008
Mar 2009
Mar 2010
Mar 2011
Mar 2012
Mar 2013
Mar 2014
Mar 2015
Mar 2016
Mar 2017
Mar 2018
Mar 2019
Mar 2020
Mar 2021
Mar 2022
Source: PPF, Oce for National Statistics (ONS)
* The England and Wales company insolvency rate has been calculated based on the 2.5 million companies in
England and Wales that are VAT/PAYE registered with HMRC. Insolvencies in England and Wales account for
around 95 per cent of UK insolvencies. In comparison, there are around 13,500 companies in the PPF universe,
or around 12,000 if companies that participate in multiple schemes are only counted once.
Figure 6.2 | England and Wales underlying company insolvencies (seasonally adjusted)
The number of insolvencies in England and Wales increased by 49 per cent in the year
to 31 March 2022 compared with the year to 31 March 2021. UK real GDP has risen by
13.7 percentage points over the same period.
Real GDP growth quarterly 12-month rolling (LHS) Number of underlying insolvencies quarterly (RHS)
GDP growth (percentage)
Number of underlying insolvencies (inverted scale)
30
0
1,500
3,000
4,500
6,000
7,500
9,000
20
10
0
-10
-20
-30
2002 Q1
2000 Q1
2004 Q1
2006 Q1
2008 Q1
2010 Q1
2012 Q1
2014 Q1
2016 Q1
2018 Q1
2020 Q1
2022 Q1
Note: as the ONS and UK Insolvency Service revise their methodology and receive new data, the figures for
previous time periods may be updated.
Source: ONS and the UK Insolvency Service
Figure 6.3 | Average levy rates of sponsoring companies by scheme membership size*
Schemes with the fewest members tend to have sponsors with higher insolvency probabilities.
31 March 2022 31 March 2021
Average levy rate (percentage)
Number of members
1.2
1.0
0.8
0.6
0.4
0.2
0.0
2 to 99 10,000 and over100 to 999 5,000 to 9,9991,000 to 4,999
* Schemes’ risk-based levy rates, as used in calculating the PPF levy, have been used as a proxy for the
insolvency probabilities.
Source: PPF
The Purple Book 2022
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The data
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Glossary
PPF
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2021/22
Charts and tables
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Appendix
Overview
Executive
summary
Introduction
07
Asset allocation
This chapter looks at trends in
the types of assets DB schemes
invest in.
Summary
• This chapter contains information on how DB schemes have invested scheme assets since 2006
and how asset allocations in The Purple Book 2022 dataset vary according to dierent scheme
characteristics, such as scheme size.
• Around 99 per cent of schemes’ asset allocations in The Purple Book 2022 dataset were at a date
in 2020 or 2021.
• The aggregate proportion of schemes’ assets invested in equities rose slightly from 19.0 per cent
to 19.5 per cent while the proportion in bonds fell slightly from 72.0 per cent to 71.6 per cent.
• Within bonds, the proportions held were broadly unchanged from last year with index-linked
bonds making up the biggest proportion at 47.8 per cent. Corporate bonds accounted for
30.2 per cent of the bonds held and government fixed interest bonds contributed 22.0 per cent
of the total.
• Smaller schemes tend to have higher proportions in government and corporate fixed interest
bonds than larger schemes.
• Within equities, the UK-quoted proportion fell below 10 per cent for the first time and fell from
11.6 per cent to 9.9 per cent. The proportion of overseas-quoted equities increased slightly from
68.3 per cent to 68.6 per cent, while unquoted/private equities increased from 20.1 per cent to
21.5 per cent.
• Smaller schemes tend to hold higher proportions in UK equities with smaller proportions in both
overseas and unquoted/private equities.
• The majority of total assets are invested in equities and bonds and the proportion does not vary
greatly by funding ratio.
• As scheme maturity increases, the proportion of assets invested in equities falls.
Asset data
1
Figure 7.1 | Distribution of schemes by asset allocation date*
Around 99 per cent of schemes provided an asset allocation with an eective date in 2020
or 2021.
Asset allocation year
Number of
schemes
Percentage of
The Purple Book
2022 dataset
2017 or earlier 6 0.1%
2018 12 0.2%
2019 47 0.9%
2020 1,739 33.9%
2021 3,318 64.7%
2022 9 0.2%
Total 5,131 100%
Source: PPF
* There can be a significant gap between the date of the scheme return and the date at which the asset allocation
was taken. This means that the date at which asset allocation data is provided diers from scheme to scheme.
1 Asset allocations submitted by schemes are not adjusted for market movements. Most of this chapter uses weighted
average asset allocations. For example, the weighted average share of equities is the total amount of equities across all
schemes divided by the total amount of assets across all schemes. The simple average takes the arithmetic average of
each scheme’s proportion of its assets held in equities.
The Purple Book 2022
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assessment
Glossary
PPF
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2021/22
Charts and tables
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Appendix
Overview
Executive
summary
Introduction
Asset allocation continued
Figure 7.2 | Weighted average asset allocation in total assets
The proportions of assets invested in equities and bonds have been broadly stable since 31 March 2020.
Year/The Purple Book dataset
Asset class
Equities Bonds
Other
investments
Breakdown of other investments
Property
Cash and
deposits
Insurance
policies Hedge funds* Annuities* Miscellaneous
2006 61.1% 28.3% 10.6% 4.3% 2.3% 0.9% n/a n/a 3.1%
2007 59.5% 29.6% 10.9% 5.2% 2.3% 0.8% n/a n/a 2.5%
2008 53.6% 32.9% 13.5% 5.6% 3.0% 1.1% n/a n/a 3.8%
2009 46.4% 37.1% 16.5% 5.2% 3.9% 1.4% 1.5% n/a 4.5%
2010 42.0% 40.4% 17.6% 4.6% 3.9% 1.4% 2.2% n/a 5.4%
2011 41.1% 40.1% 18.8% 4.4% 4.1% 1.6% 2.4% n/a 6.3%
2012 38.5% 43.2% 18.3% 4.9% 5.1% 0.2% 4.5% n/a 3.6%
2013 35.1% 44.8% 20.1% 4.7% 6.7% 0.1% 5.2% n/a 3.5%
2014 35.0% 44.1% 20.9% 4.6% 6.1% 0.1% 5.8% n/a 4.3%
2015 33.0% 47.7% 19.3% 4.9% 3.5% 0.1% 6.1% n/a 4.7%
2016 30.3% 51.3% 18.4% 4.8% 3.0% 0.1% 6.6% 2.1% 1.7%
2017 29.0% 55.7% 15.3% 5.3% -0.9% 0.1%
6.7% 3.3% 0.8%
2018 27.0% 59.0% 14.0% 4.8% -2.5% 0.1% 7.0% 3.4% 1.2%
2019 24.0% 62.8% 13.2% 5.0% -4.4% 0.3% 7.4% 4.0% 1.0%
2020 20.4% 69.2% 10.4% 4.9% -7. 2% 0.1% 6.8% 5.0% 0.8%
2021 19.0% 72.0% 9.1% 4.7% -9.5% 0.1% 6.1% 6.6% 0.9%
2022 19.5% 71.6% 8.9% 4.6% -8.8% 0.1% 5.2% 6.8% 1.0%
The weighted average proportion of assets held in cash and deposits being negative represents a number of large schemes with significant negative cash holdings which are likely to be related to
investments such as swaps and repurchase agreements.
* n/a denotes not available, where schemes may have been invested in these asset classes but the percentages cannot be determined from the data held.
Note: figures may not sum to 100 per cent or the ‘Other investments’ total due to rounding.
Equities Bonds Other Investments
Percentage
Year
100
80
60
40
20
0
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
19%
72%
9%
19%
72%
9%
20%
69%
10%
24%
63%
13%
27%
59%
14%
29%
56%
15%
30%
51%
18%
33%
48%
19%
35%
44%
21%
35%
45%
20%
38%
43%
18%
41%
40%
19%
42%
40%
18%
46%
37%
17%
54%
33%
14%
60%
30%
11%
61%
28%
11%
Note: figures may not sum to 100 per cent or the ‘Other investments’ total due to rounding.
Source: PPF
The Purple Book 2022
22
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Asset allocation continued
Figure 7.3 | Asset allocation: simple averages
A comparison of simple and weighted averages in 2022 shows there is greater weighted allocations to bonds and a smaller allocation to other investments. This reflects the fact that the larger
schemes hold a greater proportion of bonds than smaller schemes.
Year/The Purple Book dataset
Asset class
Equities Bonds
Other
investments
Breakdown of other investments
Property
Cash and
deposits
Insurance
policies Hedge funds* Annuities* Miscellaneous
2006 52.6% 22.6% 24.8% 2.1% 3.9% 14.9% n/a n/a 3.6%
2007 53.5% 24.0% 22.5% 2.5% 3.7% 13.7% n/a n/a 2.6%
2008 50.2% 26.5% 23.3% 2.9% 4.4% 13.0% n/a n/a 2.9%
2009 46.6% 29.2% 24.2% 2.8% 5.6% 12.4% 0.7% n/a 2.6%
2010 43.1% 32.6% 24.3% 2.6% 5.7% 12.3% 0.9% n/a 2.8%
2011 43.7% 32.6% 23.7% 2.7% 4.9% 11.8% 1.0% n/a 3.3%
2012 43.7% 36.1% 20.2% 3.5% 5.5% 4.4% 3.7% n/a 3.2%
2013 40.6% 39.1% 20.3% 3.6% 6.2% 2.0% 5.0% n/a 3.5%
2014 39.4% 39.0% 21.6% 3.5% 6.4% 1.8% 6.2% n/a 3.9%
2015 38.8% 39.4% 21.8% 3.6% 5.7% 1.7% 7. 3% n/a 3.7%
2016 36.8% 41.1% 22.1% 3.7% 5.4% 1.2% 7.9% 2.4% 1.5%
2017 34.5% 41.4% 24.1% 3.7% 3.6% 0.7%
7.9% 6.8% 1.3%
2018 32.4% 43.1% 24.5% 3.3% 1.8% 0.6% 8.5% 8.9% 1.4%
2019 30.4% 47.0% 22.7% 3.4% -0.8% 0.5% 8.9% 9.4% 1.3%
2020 27.8% 52.3% 19.9% 3.4% -3.2% 0.6% 7.9% 9.7% 1.7%
2021 25.8% 58.0% 16.3% 3.2% -6.6% 0.6% 6.9% 10.6% 1.7%
2022 27.1% 58.5% 14.4% 3.0% -7.5% 0.6% 6.0% 10.7% 1.6%
The simple average proportion of assets held in cash and deposits being negative represents schemes with negative cash holdings which are likely to be related to investments such as swaps and
repurchase agreements.
* n/a denotes not available, where schemes may have been invested in these asset classes but the percentages cannot be determined from the data held.
Note: figures may not sum to 100 per cent or the ‘Other investments’ total due to rounding.
Equities Bonds Other Investments
Percentage
Year
100
80
60
40
20
0
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
27%
59%
14%
26%
58%
16%
28%
52%
20%
30%
47%
23%
32%
43%
25%
34%
41%
24%
37%
41%
22%
39%
39%
22%
39%
39%
22%
41%
39%
20%
44%
36%
20%
44%
33%
24%
43%
33%
24%
47%
29%
24%
50%
27%
23%
54%
24%
22%
53%
23%
25%
Note: figures may not sum to 100 per cent or the ‘Other investments’ total due to rounding.
Source: PPF
The Purple Book 2022
23
The data
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demographics
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funding
Funding
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Insolvency
risk
Asset
allocation
Risk
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PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Asset allocation continued
Figure 7.4 | Bond splits
The proportion of bonds in each class has remained broadly unchanged in recent years.
Year/The Purple Book dataset
Bonds
Weighted average Simple average
Government
fixed interest
Corporate fixed
interest Index-linked
Government
fixed interest
Corporate fixed
interest Index-linked
2008 33.2% 32.6% 33.9% 47.2% 33.0% 19.8%
2009 29.0% 38.3% 32.6% 45.6% 37. 3% 17.1%
2010 24.6% 42.2% 33.1% 37.3% 43.0% 19.8%
2011 19.6% 44.3% 36.1% 31.2% 47.1% 21.7%
2012 17.7% 44.8% 37.5% 28.2% 49.4% 22.4%
2013 18.5% 40.6% 40.9% 27.0% 49.6% 23.4%
2014 18.6% 40.3% 41.1% 23.8% 51.9% 24.4%
2015 20.3% 37.7% 42.0% 23.8% 51.2% 25.0%
2016 21.9% 33.7% 44.4% 24.4% 49.0% 26.6%
2017 24.1% 31.4% 44.5% 25.9% 46.8% 27. 3%
2018 24.1% 28.8% 47.1% 27. 2% 42.1% 30.8%
2019 25.4% 28.4% 46.2% 29.0% 38.9% 32.1%
2020 25.9% 28.0% 46.1% 29.4% 36.1% 34.6%
2021 24.6% 28.2% 47. 2% 30.4% 34.8% 34.8%
2022 22.0% 30.2% 47.8% 30.2% 35.7% 34.1%
Note: the rows may not sum to 100 per cent due to rounding.
Government fixed interest Corporate fixed interest Index-linked
Percentage
Year
100
80
60
40
20
0
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
22%
30%
48%
25%
28%
47%
26%
28%
46%
25%
28%
46%
24%
29%
47%
24%
31%
44%
22%
34%
44%
20%
38%
42%
19%
40%
41%
19%
41%
41%
18%
45%
38%
20%
44%
36%
25%
42%
33%
29%
38%
33%
33%
33%
34%
Weighted average
Source: PPF
The Purple Book 2022
24
The data
Scheme
demographics
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Funding
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Insolvency
risk
Asset
allocation
Risk
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PPF levy
2021/22
Claims and
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assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Asset allocation continued
Figure 7.5 | Equity splits
Within equities, the proportion invested in UK equities continued to fall and is below 10 per cent for the first time, while the proportion invested in private equities continued to rise.
Year/The Purple Book dataset
Equities
Weighted average Simple average
UK
quoted
Overseas
quoted
Unquoted/
Private
UK
quoted
Overseas
quoted
Unquoted/
Private
2008 48.2% 51.8% n/a 60.4% 39.6% n/a
2009 44.2% 53.8% 1.9% 57.6% 41.7% 0.7%
2010 40.1% 55.3% 4.4% 55.3% 43.7% 1.0%
2011 38.0% 57. 2% 4.8% 52.7% 46.1% 1.2%
2012 33.9% 60.0% 6.1% 49.9% 48.5% 1.7%
2013 31.0% 61.3% 7.7% 47. 5% 50.3% 2.2%
2014 28.9% 62.4% 8.7% 44.9% 52.7% 2.4%
2015 25.6% 65.4% 9.0% 42.2% 55.3% 2.5%
2016 22.4% 68.6% 9.0% 38.8% 58.6% 2.6%
2017 20.5% 69.0% 10.5% 36.3% 61.0% 2.7%
2018 18.6% 69.4% 12.0% 32.1% 65.0% 3.0%
2019 16.6% 69.7% 13.7% 29.6% 66.7% 3.7%
2020 13.3% 69.0% 17.7% 26.9% 68.4% 4.8%
2021 11.6% 68.3% 20.1% 24.9% 69.4% 5.8%
2022 9.9% 68.6% 21.5% 22.5% 70.9% 6.6%
Note: the rows may not sum to 100 per cent due to rounding.
UK quoted Overseas quoted Unquoted/Private
Percentage
Year
100
80
60
40
20
0
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
10%
69%
12%
68%
13%
69%
17%
70%
19%
69%
21%
69%
22%
69%
26%
65%
29%
62%
31%
61%
34%
60%
6%
5%
8%
9%
9% 9%
10%
12%
14%
18%
20%
21%
38%
57%
40%
55%
44%
54%
48%
52%
Weighted average
Note: figures may not sum to 100 per cent or the ‘Other Investments’ total due to rounding.
Source: PPF
Figure 7.6 | Weighted average asset allocation of schemes by asset size
The proportion of assets held in bonds tends to increase with scheme asset size, while
equities display the opposite relationship.
Cash and deposits
Hedge funds Annuities Misc
Equities Bonds Property
Insurance policies
Percentage
Asset size
120
100
80
60
40
20
-20
0
Under £5m £5m–£10m £10m–£100m £100m–£1bn Over £1bn
Source: PPF
The Purple Book 2022
25
The data
Scheme
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Funding
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Insolvency
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Asset
allocation
Risk
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PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Asset allocation continued
Figure 7.7 | Weighted averages of equity and bond holdings split by asset size
Larger schemes tend to hold a higher proportion of overseas and private/unquoted
equities within their equity portfolio, and a higher proportion of index-linked bonds in
their bond portfolio.
Bonds Equity
Government bonds
UK equities
Overseas equities Unquoted equities
Corporate bonds Index-linked securities
Percentage
Asset size
100
80
60
40
20
0
Under
£5m
Under
£5m
£5m–
£10m
£5m–
£10m
£10m–
£100m
£10m–
£100m
£100m–
£1bn
£100m–
£1bn
Over
£1bn
Over
£1bn
Source: PPF
Figure 7.8 | Weighted average asset allocation by s179 funding ratio
The majority of scheme assets are invested in equities and bonds for all funding
ratio groups.
Percentage
Funding ratio
140
100
120
80
60
40
-20
20
-40
0
Under 50% 50%–75% 75%–100% 100% and over
Cash and deposits
Hedge funds Annuities Misc
Equities Bonds Property
Insurance policies
Source: PPF
Figure 7.9 | Weighted average asset allocation of schemes by scheme maturity
As scheme maturity increases, the proportion of equities falls.
Percentage
Proportion of liabilities relating to current pensioners
100
120
80
60
40
-20
20
0
0%–25% 25%–50% 50%–75% 75%–100%
Cash and deposits
Equities Bonds Property
Hedge funds Annuities MiscI
nsurance policies
Source: PPF
Note: the heavy concentration in ‘Annuities’ for mature schemes is explained by one large scheme with a heavy
concentration in annuity policies.
The Purple Book 2022
26
The data
Scheme
demographics
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funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
08
Risk reduction
This chapter looks at the
measures that schemes have
taken to reduce their funding
risk, which will also act to reduce
the risk of schemes claiming on
the PPF. These actions may also
help schemes to reduce the
amount of PPF levy they pay.
Summary
• This chapter contains information on the risk reduction measures DB schemes have put in place
or undertaken, including contingent assets, longevity swaps, buy-ins and buy-outs. It also shows
information on how recovery plan lengths and funding measures relative to DB schemes’
Technical Provisions have changed over time.
• The total number of contingent assets submitted to the PPF for the 2022/23 levy year was 303
compared with 317 in 2021/22, continuing the downward trend.
• Based only on current recovery plans in place, total annual recovery plan payments are indicated
to decrease by around 88 per cent over the next 10 years as schemes increasingly become fully
funded on a Technical Provisions basis. The rate of decrease is planned to be similar between
dierent scheme sizes and, in aggregate, annual recovery plan payments are set to fall from
around £12.3 billion in 2022 to around £1.4 billion in 2032. Changes may be made to existing
recovery plans and new recovery plans may be put in place in the future if experience is dierent
from what is currently assumed by schemes.
• Analysis of TPR’s latest Technical Provisions and recovery plan data shows that in Tranche 15
1
,
the average recovery plan length was 6.4 years, a year less than that of Tranche 12 (comparable
given the three-year valuation cycle). The average funding ratio as measured by assets divided
by Technical Provisions was 88.8 per cent in Tranche 15, which is the same as for Tranche 12.
• Technical Provisions as a percentage of s179 liabilities increased to 99.5 per cent from 96.9 per
cent in Tranche 12. There was also a rise in Technical Provisions as a percentage of buy-out
liabilities, from 68.8 per cent to 76.5 per cent.
• Total risk transfer business covering buy-outs, buy-ins and longevity swaps amounted to
£351 billion between the end of 2007 and the second quarter of 2022. 36 per cent of these
deals were longevity swaps.
• The total value of risk transfer deals was £43 billion in 2021, which was lower than £56 billion
in 2020.
1 Tranche 15 covers schemes with valuation dates between 22 September 2019 and 21 September 2020.
Contingent assets
Figure 8.1 | Contingent assets by type
The number of recognised contingent assets has followed a general downward trend over the last 11 years and is at its lowest level since levy year 2007/08.
Type A Type B Type C
Number of contingent assets
Levy year
900
800
700
600
500
400
300
200
100
0%
2006/
2007
2007/
2008
2008/
2009
2009/
2010
2010/
2011
2011/
2012
2012/
2013
2013/
2014
2014/
2015
2015/
2016
2016/
2017
2017/
2018
2018/
2019
2019/
2020
2020/
2021
2021/
2022
2022/
2023
514
362
211
628
764
716
666
624
496
452
452
363
292
271
194
186
81
62
34
107
100
114
126
141
133
124
128
134
142
112
114
114
112
Source: PPF
Type A Contingent Assets are parent/group companies’ guarantees to fund the scheme, up to a pre-arranged amount.
Type B Contingent Assets comprise security over holdings of cash, real estate and/or securities.
Type C Contingent Assets consist of letters of credit and bank guarantees.
The Purple Book 2022
27
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Risk reduction continued
Recovery plan payments
Figure 8.2 | Planned recovery plan payments until 2032 by asset size
Total annual recovery plan payments are planned to reduce by around 88 per cent over the next 10 years, from around £12.3 billion in 2022 to around £1.4 billion in 2032.
Under £100m £100m to £1bn Over £1bn
Total recovery plan payments (£bn)
Year
14
12
10
8
6
4
2
0
2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032
1.4
1.3
1.1
1.0
0.8
0.6
0.9
0.9
3.8
3.0
2.6
2.2
1.9
1.4
1.2
0.8
1.0
1.0
7.1
6.9
5.1
4.1
3.6
2.9
2.7
1.9
Source: TPR
The scheme funding regime
Figure 8.3 | Technical Provisions and recovery plan lengths (unweighted averages)
In Tranche 15, the average recovery period was 6.4 years, a year shorter than Tranche 12 (comparable given the three-year valuation cycle).
Tranche Year of valuation
Number of
recovery plans
Average length
of recovery plan
(years)
Assets as a
percentage of
Technical Provisions
Technical Provisions
as a percentage of
s179 liabilities
Technical Provisions
as a percentage of
buy-out liabilities
3 2007–08 1,840 8.6 81.3% 110.7% 74.5%
6 2010–11 1,652 7.8 82.3% 109.7% 71.3%
9 2013–14 1,530 8.0 89.4% 102.5% 71.5%
12 2016–17 1,481 7.4 88.8% 96.9% 68.8%
13 2017–18 1,112 6.5 93.5% 100.0% 73.5%
14 2018–19 1,176 6.1 91.6% 102.9% 75.8%
15 2019–20 1,256 6.4 88.8% 99.5% 76.5%
Source: ‘Scheme funding analysis 2022 Annex’, TPR, July 2022
Notes:
(1) Valuation dates run from 22 September to 21 September.
(2) 75.9 per cent of schemes with Tranche 15 valuations reported valuations in respect of Tranches 12, 9, 6 and 3.
The Purple Book 2022
28
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Risk reduction continued
Buy-out, buy-in and longevity hedging
Buy-out and buy-in transactions provide schemes with the opportunity to remove risk relating to all or part of their liability. Under a buy-out deal, a scheme transfers its entire liability and scheme assets
to an insurer in exchange for a premium. Insurers tend to require assets significantly in excess of Technical Provisions to compensate for the risk transferred. Buy-in deals result in an insurance policy as a
scheme asset.
While both longevity swaps and buy-in/buy-out can mitigate the risk of greater than expected life expectancy, under the former there is no transfer of the underlying scheme assets to a counterparty.
Longevity swaps entail the pension scheme exchanging fixed payments for cash flows that vary in accordance with the longevity experience of a reference population (either the named scheme
members or a wider sample).
Figure 8.4 | Value of risk transfer deals since 2007
£42.9 billion of risk transfer deals were completed in 2021, which was £12.6 billion lower than in 2020.
Buy-ins and buy-outs Longevity swaps
£bn
Year
60
55
45
50
40
30
35
25
15
20
10
5
0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 H1
2022
8.0
4.1
3.0
5.2
5.3
4.5
7.5
12.4
10.2
12.2
24.2
43.6
31.4 27.7
6.5
12.0
15.2
24.1
6.4
4.7
10.8
13.2
8.8
5.9
25.4
7.1
3.7
2.9
Source: Hymans Robertson, ‘Buy-outs, buy-ins and longevity hedging’
The Purple Book 2022
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The data
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demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Risk reduction continued
Figure 8.5 | Number of risk transfer deals since 2010
There were slightly more buy-ins and buy-outs in 2021 than in 2020. The number of
longevity swaps remains low.
Year
Number of buy-
ins/buy-outs
Number of
longevity swaps
2010 174 2
2011 171 4
2012 167 2
2013 219 10
2014 177 5
2015 176 4
2016 104 5
2017 132 5
2018 171 4
2019 157 3
2020 141 8
2021 154 4
H1 2022 78 2
Source: Hymans Robertson, ‘Buy-outs, buy-ins and longevity hedging’
Figure 8.6 | Value of risk transfer deals since H2 2013
The two-half moving average of risk transfer deals has fallen since H1 2020, although it has increased slightly over the last half year.
Buy-out Buy-in Longevity swap Two-half moving average
£bn
Year
40
35
30
25
20
10
15
5
0
H2
2013
H1
2014
H2
2014
H1
2015
H2
2015
H1
2016
H2
2016
H1
2017
H2
2017
H1
2018
H2
2018
H1
2019
H2
2019
H1
2020
H2
2020
H1
2021
H2
2021
H1
2022
3.8
1.8
5.2
3.4
1.7
4.3
2.5
2.0
7.9
6.2
11.3
2.8
4.5
4.9
3.0
6.2
2.9
2.7
3.7
5.5
3.8
5.6
6.0
8.5
10.8
9.8
5.1
8.9
21.0
4.4
5.9
2.6 2.0
2.7
11.4
14.7
12.4
14.3
11.7
12.7
16.0
6.5
2.5
5.0
Source: Hymans Robertson, ‘Buy-outs, buy-ins and longevity hedging’
The Purple Book 2022
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The data
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Asset
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Risk
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PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
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Introduction
09
PPF levy 2021/22
This chapter contains
information on how much
PPF levy was invoiced and
how this was distributed
between schemes and
by employers.
9.1 Summary
Since 2006/07, the PPF has collected a total of £9.1 billion through levies, determined mainly by the
risk schemes pose to the PPF. This and other key statistics from this chapter are summarised in the
following table:
Asset allocation year 2021/22
1
2020/21
Total levy since 2006/07 £9.1bn £8.6bn
Total levy in year £476m £630m
Proportion of total scheme assets 0.03% 0.04%
Number of schemes which contributed to this 5,220 5,331
Amount and proportion of total levy contributed by the top 100
levy payers (by size of levy)
£277m
58%
£347m
55%
Proportion of schemes which paid no risk-based levy 34% 28%
Number of schemes with a capped risk-based levy 173 160
Proportion of total number of schemes 3.3% 3.0%
PPF levy band whose schemes made the largest contribution
in the year 3 5
Levy contribution made by these schemes £95m £96m
Proportion of total levy contribution 20% 15%
Proportion of total liabilities accounted for by schemes in
this category 17% 11%
Proportion of levy being paid by the three top scorecards
(as measured by levy paid) 84% 82%
1 Year from 1 April 2021 to 31 March 2022.
Note: the percentages may not match those calculated using financial amounts in the table because of rounding.
Assets and liabilities, and therefore funding ratios, in this chapter are on a smoothed, stressed basis
unless otherwise stated and exclude Deficit-Reduction Contributions (DRCs). For more information
on these and other terms and definitions used in this chapter, see the 2021/22 Levy Determination,
and its associated appendices, available on our website.
9.2 Total levy by year
In this section we compare total levy by levy year, from levy year 2012/13 to 2021/22. We look at
the distribution across schemes broken down by levy band, considering the risk-based levy and
scheme-based levy separately.
Figure 9.1 | Total levy
The levy has gradually fallen as a percentage of assets since 2012/13 and has varied
between around £475 million and around £650 million each year.
Levy year Total levy (£m)
a
Levy as a
percentage
of assets
b
Number of
capped schemes
c
2012/13 648 0.08% 427
2013/14 577 0.06% 302
2014/15 579 0.06% 274
2015/16 560 0.05% 211
2016/17 563 0.05% 187
2017/18 541 0.04% 147
2018/19 564 0.04% 184
2019/20 564 0.04% 161
2020/21 630 0.04% 160
2021/22 476 0.03% 173
Source: PPF
Notes:
a) The figures quoted in this chapter are based on the total levy for the dataset of 5,220 schemes in 2021/22, or from
prior years’ Purple Books.
b) Total levy as a percentage of levy-paying schemes’ total assets.
c) Refers to schemes to which the risk-based levy cap applied.
The Purple Book 2022
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The data
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Insolvency
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Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
PPF levy 2021/22 continued
Figure 9.2 | Distribution of levy by largest levy payers in 2021/22
In 2021/22, the top 100 levy payers accounted for £277 million, or 58 per cent of the total levy.
Levy (LHS)
Levy paid (£m)
Levy payment group (number of schemes)
300
200
80
250
100
120
100
40
150
60
50
20
0 0
Top 100 101–200 201–300 301–400 401–500 501–600 601–700 701–800 801–900 901–1,000 1,001+
Percentage of total levy
277
56
32
22
34
16
12
10
6
5
8
Cumulative percentage of total levy payers (RHS)
Source: PPF
Note: the 1,001+ category accounts for a relatively large percentage of the total levy as it contains just over 4,220 schemes.
Note: the components do not sum to the total levy because of rounding.
Figure 9.3 | Schemes with no risk-based levy by levy year
34 per cent of schemes are paying no risk-based levy, which is the highest
proportion since the introduction of the New Levy Framework in 2012/13.
Levy year
Number
of schemes
Percentage of
total schemes
s179 liabilities
(£bn)
1
s179 liabilities
as percentage
of total
2012/13 1,191 19% 199 19%
2013/14 1,056 17% 171 15%
2014/15 1,113 18% 206 17%
2015/16 985 17% 195 14%
2016/17 961 17% 239 16%
2017/18 1,011 18% 405 25%
2018/19 1,457 26% 560 35%
2019/20 1,509 28% 562 33%
2020/21 1,503 28% 624 34%
2021/22 1,766 34% 737 40%
Source: PPF
1 Liabilities are stressed and smoothed.
Figure 9.4 | Number of schemes with capped risk-based levies by levy band
The proportion of schemes with a capped risk-based levy increased from 3 per cent in 2020/21
to 3.3 per cent in 2021/22 following the reduction in the risk-based levy cap for 2021/22.
Levy band Levy rate
Total number
of schemes
Number of
capped schemes
Percentage of
schemes in levy
band which
are capped
1 0.28% 1,412 0 0.0%
2 0.31% 337 0 0.0%
3 0.35% 525 0 0.0%
4 0.40% 478 0 0.0%
5 0.53% 584 1 0.2%
6 0.81% 676 3 0.4%
7 1.26% 531 17 3.2%
8 1.76% 260 28 10.8%
9 2.39% 217 49 22.6%
10 3.83% 200 75 37. 5%
Total 5,220 173 3.3%
Source: PPF
Note:
A scheme’s risk-based levy is calculated by mapping the sponsoring employer’s insolvency probability to one of the
10 levy rates above. Schemes with multiple employers have had their insolvency probability calculated as an average
of the corresponding employers, mapped back to the nearest levy band. This is then multiplied by the amount of
underfunding in the scheme and the levy scaling factor in order to give the risk-based levy. Further details of how
the PPF levy is calculated can be found on the PPF website
1
.
1 For more information see: https://www.ppf.co.uk/how-levy-calculated
Figure 9.5 | Number of schemes with capped risk-based levies by funding ratio (on a
stressed and smoothed basis)
Schemes with lower funding levels are more likely to pay a capped risk-based levy.
Funding ratio
Number of
capped schemes
Percentage of schemes
in funding band which
are capped
Total number of
schemes
Less than 50% 71 19.2% 369
50%–75% 100 6.4% 1,557
75%–100% 2 0.1% 1,743
Over 100% 0 0.0% 1,551
Total 173 3.3% 5,220
Source: PPF
The Purple Book 2022
32
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
PPF levy 2021/22 continued
Figure 9.6 | Levy distribution by levy band
Schemes in levy bands 1 and 3 made the largest contribution to the total levy in 2021/22, paying between 18 and 20 per cent each.
2021/2022 levy 2020/2021 levy
Percentage of total levy
Levy band
25
15
20
5
10
0
1 2 3 4 5 6 7 8 9
10
Source: PPF
Figure 9.7 | s179 aggregate stressed smoothed liabilities by levy band
Schemes in levy band 1 account for 35 per cent of the total liabilities in 2021/22.
Stressed smoothed liabilities 2021/2022 Stressed smoothed liabilities 2020/2021
Percentage of aggregate stressed
smoothed liabilities
Levy band
25
30
35
40
15
20
5
10
0
1 2 3 4 5 6 7 8 9 10
Source: PPF
The Purple Book 2022
33
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
PPF levy 2021/22 continued
Figure 9.8 | Levy as a proportion of assets by levy band
Schemes in levy bands 8 and 10 paid a noticeably higher levy, expressed as a percentage of assets, than schemes in other bands.
Levy as a % of assets (LHS) Number of schemes (RHS)
Levy payments as a percentage
of total assets
Levy band
0.05
0.10
1,200
0.15
0.20 1,600
800
400
0
0
1 2 3 4 5 6 7 8 9 10
Number of schemes
0.02%
0.04% 0.04% 0.04%
0.05%
0.05%
0.12%
0.14%
0.03%
Source: PPF
Figure 9.9 | Percentage of total levy that is scheme-based
1
by levy band
In general, the proportion of total levy that is scheme-based falls as the levy band increases.
Percentage of levy
8
10
12
14
4
6
2
0
1 2 3 4 5 6 7 8 9 10
5.8%
5.7%
7.0%
4.9%
4.0%
3.7%
1.8%
1.4%
12.9%
12.7%
Levy band
Source: PPF
1 For the definition of scheme-based levy, please see the 2021/22 Levy Determination.
Figure 9.10 | Percentage of total levy that is scheme-based by funding ratio (on a stressed
and smoothed basis, excluding bespoke asset stress submissions)
For schemes that were over 100 per cent funded the scheme-based levy constituted on
average around 87 per cent of their total levy, which is much lower than last year’s figure
of 99 per cent due to a higher amount of levy paid by overfunded schemes that become
underfunded once the bespoke asset stress submission is taken into account.
Funding ratio Less than 50% 50%–75% 75%–100% Over 100%
Percentage of levy that
is scheme-based 1.7% 3.4% 9.1% 86.6%
Source: PPF
The Purple Book 2022
34
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
PPF levy 2021/22 continued
9.3 D&B scorecards
For the 2021/22 levy year, we used the PPF and Dun & Bradstreet’s (D&B’s) bespoke model for assessing insolvency risk of schemes in the universe.
The charts in this section show how many sponsoring employers in the PPF universe are assigned to each scorecard, and how much of the total 2021/22 PPF levy was collected in respect of schemes
sponsored by the employers in these categories.
1
Figure 9.11 | Number of sponsoring employers in each D&B scorecard
Not For Profit organisations make up the greatest number of sponsoring employers in the PPF universe.
Number of employers
2,500
3,000
3,500
4,000
Non-Subsidiaries
£30m+ and Large
Subsidiaries
Group
< £10m
Group
£50m+
Independent
Small
AverageNon-
Subsidiaries
<£30m
Group
Small
Credit
Rated
Group
£10m to £50m
Not For
Profit
Dead
Company
1,500
1,000
2,000
500
0
1,486
1,971
1,400
1,047
388
596
3,760
464
450
1,674
464
Source: PPF
Figure 9.12 | Levy invoiced in respect of schemes with sponsoring employers in each D&B scorecard
Schemes on three of the 12 D&B scorecards paid 84 per cent of the total levy.
Levy (£m)
200
250
Non-Subsidiaries
£30m+ and Large
Subsidiaries
Group
< £10m
Group
£50m+
Independent
Small
AverageNon-
Subsidiaries
<£30m
Group
Small
Credit
Rated
Group
£10m to £50m
Not For
Profit
Dead
Company
100
150
50
0
233
92
24
10
1 1
24
76
2
8
4
Note: the components do not sum to the total levy because of rounding.
Source: PPF
1 For multi-employer schemes (with employers on dierent scorecards), the levy was split proportionately by
membership numbers.
The Purple Book 2022
35
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
PPF levy 2021/22 continued
Figure 9.13 | Number of schemes with sponsoring employers in each D&B scorecard
43 per cent of schemes had sponsoring employers categorised as ‘Non-Subsidiaries £30 million+ and Large Subsidiaries’ or ‘Group £50 million+’.
Number of schemes
1,200
1,400
Non-Subsidiaries
£30m+ and Large
Subsidiaries
Group
< £10m
Group
£50m+
Independent
Small
AverageNon-
Subsidiaries
<£30m
Group
Small
Credit
Rated
Group
£10m to £50m
Not For
Profit
Dead
Company
1,000
800
600
400
200
0
771
434
172
167
653
285
179
54
963
262
1,280
Source: PPF
Figure 9.14 | Aggregate funding ratio (unstressed and unsmoothed) of schemes with sponsoring employers in each D&B scorecard
Funding ratios vary by around 15 percentage points (excluding dead employers) across the scorecards used to assess the insolvency risk of employers of schemes.
Funding ratio
110
115
120
100
105
95
90
85
113%
112%
107%
117% 117%
104%
114%
105%
116%
102%
98%
Non-Subsidiaries
£30m+ and Large
Group
< £10m
Group
£50m+
Independent
Small
AverageNon-
Subsidiaries
Group
Small
Credit
Rated
Group
£10m to £50m
Not For
Profit
Dead
Company
Subsidiaries <£30m
Source: PPF
The Purple Book 2022
36
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
10
Claims and schemes
in assessment
This chapter looks at
characteristics of schemes
that were in a PPF assessment
period as at 31 March 2022.
Once they have made a claim,
all schemes go through an
assessment period to determine
their ability to pay PPF levels
of compensation before they
are able to enter the PPF.
Summary
• The changes over the year since 31 March 2021 reflect new schemes entering and remaining
in assessment, schemes transferring into the PPF and schemes being rescued, rejected
or withdrawn.
• The following table sets out some of the statistics about schemes in PPF assessment
1
as at
31 March 2022, including comparisons with both the previous year and schemes in the universe.
31 March 2022 31 March 2021
Schemes in
assessment
2
Number of schemes 63 87
Number of records in respect of all members
3
75,000 98,000
Total assets £5.9bn £8.6bn
Total PPF liabilities £6.4bn £9.4bn
Funding ratio 93% 91%
Schemes in universe Funding ratio 113% 103%
1 For the purpose of this chapter we treat separate sections and segregated parts of the same scheme as one single
scheme. We also include overfunded schemes. This is dierent from the approach in the PPF’s Annual Report and
Accounts which treats all segregated parts of schemes as separate schemes, and generally excludes overfunded schemes.
2 These figures dier from those in the Annual Report and Accounts because of the exclusion of expected reapplications in
The Purple Book and the use of a dierent set of actuarial assumptions.
3 Some members have more than one record in the data.
Schemes entering assessment
Figure 10.1 | Total s179 claims for schemes entering an assessment period
The total s179 deficit of the 14 schemes that entered assessment in the year to 31 March 2022 was £12 million, the lowest annual total by far since the PPF’s inception.
Total claims (£m)
1,400
1,600
1,800
Q2
2005
Q2
2006
Q2
2007
Q2
2008
Q2
2009
Q2
2011
Q2
2010
Q2
2012
Q2
2013
Q2
2014
Q2
2015
Q2
2016
Q2
2017
Q2
2018
Q2
2019
Q2
2020
Q2
2021
Q1
2022
1,000
1,200
800
600
400
200
0
Time of entrance into assessment
Total claims Quarterly 12-month rolling average
Source: PPF
The Purple Book 2022
37
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Claims and schemes in assessment continued
Figure 10.2 | Number of schemes in assessment each year as at 31 March
63 schemes were in PPF assessment at 31 March 2022, down from 87 last year.
Number of schemes
250
300
2008 2009 20112010 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
200
150
50
100
0
Year
Number of schemes in assessment as at 31 March
Entered an assessment period Transferred to PPF Rescued, rejected or withdrawn
Note: the figures in the chart exclude those schemes that came into assessment and were subsequently rescued, rejected or withdrawn in the same year.
Source: PPF
Figure 10.3 | Funding statistics for schemes in assessment each year, as at 31 March
The funding ratio of schemes in assessment at 31 March 2022 increased to its highest
ever level of 93 per cent, up from the previous record set last year of 91 per cent.
Year
Assets
(£bn)
Liabilities
(£bn)
Surplus
(£bn)
Funding
ratio
Universe
funding ratio
2007 4.0 4.7 -0.7 85% 109%
2008 4.2 5.4 -1.2 78% 99%
2009 6.7 9.4 -2.8 71% 80%
2010 8.9 10.0 -1.1 89% 104%
2011 9.5 10.9 -1.4 87% 100%
2012 6.2 8.4 -2.2 74% 83%
2013 5.8 7.6 -1.8 77% 84%
2014 5.8 7.6 -1.7 77% 97%
2015 5.3 7.5 -2.3 70% 84%
2016 5.0 7.4 -2.4 68% 86%
2017 5.6 6.6 -1.0 85% 91%
2018 6.9 9.3 -2.4 74% 96%
2019 7.7 11.2 -3.5 69% 99%
2020 10.3 13.6 -3.3 76% 95%
2021 8.6 9.4 -0.8 91% 103%
2022 5.9 6.4 -0.4 93% 113%
Note: the components may not sum to the total because of rounding. Also the ratios of the components may not equal
the aggregate ratios because of rounding.
Source: PPF
Scheme demographics
Figure 10.4 | Percentage of schemes and percentage of s179 liabilities grouped by size of liabilities for schemes in assessment as at 31 March 2022
Schemes in PPF assessment that have liabilities of over £250 million represent six per cent of schemes and 63 per cent of liabilities.
Percentage
50
60
70
30
40
20
10
0
Less than £5m £5m to £10m £20m to £50m £100m to £250m£10m to £20m £50m to £100m Over £250m
Liability group
Percentage of schemes in assessment
Percentage of liabilities in assessment
Source: PPF
The Purple Book 2022
38
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Claims and schemes in assessment continued
Figure 10.5 | Proportion of schemes in assessment by membership size
Around 80 per cent of schemes in assessment have fewer than 1,000 members.
2021 2022
Percentage
25
30
35
40
50
45
2 to 99 1,000 to 4,999100 to 999 5,000 to 9,999 10,000 and over
20
15
5
10
0
Number of members
Source: PPF
Figure 10.6 | Maturity of schemes in assessment by membership size
With the exception of the largest schemes, the proportion of members that are deferreds
increases with scheme size for schemes in assessment.
Percentage of total members
in membership group
80
90
100
60
70
50
40
30
20
10
0
Deferred members
Pensioners
2 to 99 1,000 to 4,999100 to 999 5,000 to 9,999 10,000 and over
Number of members
45%
55%
45%
55%
50%
50%
60%
40%
52%
48%
Source: PPF
Figure 10.7 | Total s179 deficit of schemes in assessment by liability size
62 per cent of the deficit from schemes in assessment relates to schemes with liabilities of more than £100 million, up from 56 per cent last year.
2021 2022
Total deficit (£m)
200
250
300
Less than £5m £5m to £10m £20m to £50m £100m to £250m£10m to £20m £50m to £100m Over £250m
100
150
50
0
Liability group
Source: PPF
The Purple Book 2022
39
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
11
PPF compensation 2021/22
This chapter looks at the
compensation that we paid
to PPF members in 2021/22,
including the distribution
of compensation amounts,
and the gender split of
PPF members.
Summary
When a scheme transfers into the PPF, we generally pay compensation of 90 per cent of the
scheme pension (subject to a compensation cap
1
) to members who have not reached their Normal
Pension Age (NPA) at the date the scheme entered assessment. We will generally pay a starting
level of compensation equivalent to 100 per cent of the scheme pension to those members who
are over their NPA at the start of the assessment period.
Here are some of the key statistics features in this chapter:
31 March 2022 31 March 2021
PPF compensation paid in the year £1,115m £1,006m
Number of records in respect of members receiving compensation 193,983 184,844
Average annual amount paid to members and dependants £4,825 £4,829
Number of records in respect of deferred members* 111,995 113,902
Average annual compensation accrued by deferred members
(ignoring any impact of the compensation cap) £3,309 £3,325
* Members with compensation not yet in payment.
Total compensation and other member statistics
Figure 11.1 | Total compensation and number of members’ records
Total compensation paid in the year to 31 March 2022 was £1,114.9 million, 11 per cent above
the amount paid in the year to 31 March 2021.
Year ended 31 March
Total
compensation
paid
Number of members’ records
*
Members
receiving
compensation
Deferred
members Total
2007 1.4 1,457 5,621 7,078
2008 17. 3 3,596 8,577 12,173
2009 37.6 12,723 18,009 30,732
2010 81.6 20,775 26,058 46,833
2011 119.5 33,069 42,063 75,132
2012 203.3 57,506 70,608 128,114
2013 331.8 80,665 91,353 172,018
2014 445.1 95,599 100,070 195,669
2015 564.0 114,028 110,681 224,709
2016 616.0 121,059 109,143 230,202
2017 661.3 129,661 110,478 240,139
2018 724.5 135,377 107,759 243,136
2019 775.1 148,005 109,567 257,572
2020 859.7 169,861 116,461 286,322
2021 1,006.4 184,844 113,902 298,746
2022 1,114.9 193,983 111,995 305,978
Source: PPF
* Some members have more than one record in the data.
Figure 11.2 | Gender of members in the PPF
The majority of our members are male.
Members receiving compensation
Female 38%
Male 62%
Male Female
Deferred members
Female 35%
Male 65%
Male Female
Overall
Female 37%
Male 63%
Male Female
Source: PPF
1 In June 2020 the Administrative Court ruled in the case of Hughes v Board of the Pension Protection Fund 2020 EWHC
1598 that this cap is unlawful. The Court of Appeal upheld this ruling in August 2021. We are currently in the process of
uplifting compensation for members who were previously capped, but the compensation in payment shown in the table
above has not yet been adjusted to disapply the compensation cap for most members.
The Purple Book 2022
40
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
PPF compensation 2021/22 continued
Figure 11.3 | Distribution of members receiving compensation by annualised compensation level
Around 90 per cent of members receiving compensation are paid less than £10,000 a year. However, this compensation makes up around 55 per cent of the total paid out.
Percentage
30
40
50
Less than
£2,000
£2,000 to
£3,999
£6,000 to
£7,999
£10,000 to
£11,999
£14,000 to
£15,999
£12,000 to
£13,999
£16,000 to
£17,999
£18,000 to
£19,999
£4,000 to
£5,999
£8,000 to
£9,999
More than
£20,000
10
20
0
Annualised compensation
Percentage of members receiving compensation
Percentage of total compensation
Source: PPF
Figure 11.4 | Distribution of deferred members by annualised compensation level
Around 95 per cent of deferred members have annualised compensation of less than £10,000. This compensation makes up around 75 per cent of the total annual deferred compensation.
Percentage
30
40
60
50
Less than
£2,000
£2,000 to
£3,999
£6,000 to
£7,999
£10,000 to
£11,999
£14,000 to
£15,999
£12,000 to
£13,999
£16,000 to
£17,999
£18,000 to
£19,999
£4,000 to
£5,999
£8,000 to
£9,999
More than
£20,000
10
20
0
Annualised compensation
Percentage of deferred members
Percentage of total deferred compensation
Source: PPF
Figure 11.5 | Status of members receiving compensation
Number of records in respect
of members receiving
compensation
Percentage of
total population
Annualised
compensation
(£m)
Percentage of
total annualised
compensation
Members 161,465 83% 830 89%
Dependants 32,518 17% 106 11%
Total 193,983 100% 936 100%
Source: PPF
Note: annualised compensation is less than compensation paid in the year to 31 March 2022 as the latter includes cash
sums taken upon retirement, and takes account of member movements (e.g. deaths or retirements) over the year.
Figure 11.6 | Distribution of members receiving compensation (excluding dependants) and
deferred member compensation by Normal Pension Age (NPA)
For members receiving compensation, the majority of compensation was payable from an NPA
of 60, whereas for deferred members the majority is payable from age 65.
Percentage
30
40
50
60
70
60 65 Other
10
20
0
Normal Pension Age
Percentage of compensation being received by members (excluding dependants)
61%
36%
25%
14%
9%
55%
Percentage of deferred member compensation
Source: PPF
Note: the component figures may not sum to 100 per cent because of rounding.
The Purple Book 2022
41
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
PPF compensation 2021/22 continued
Figure 11.7 | Annualised compensation by UK region
The largest share of compensation goes to members in the North East and South East.
Percentage of compensation
8
6
2
16
12
10
14
North
East
West
Midlands
North
West
East
Anglia
South
West
Scotland London WalesEast
Midlands
South
East
Unknown /
Other
Northern
Ireland
4
0
Region
Percentage of compensation being received by members
Percentage of deferred compensation
Source: PPF
Figure 11.8 | Annualised compensation for members receiving compensation and deferred
members before 6 April 1997 and after 5 April 1997
Around 70 per cent of compensation being received by members was accrued before
6 April 1997.
Members receiving compensation Deferred members
Annualised
compensation
(£m) Percentage
Annualised
compensation
(£m) Percentage
Before 6 April 1997 637 68% 147 40%
After 5 April 1997 299 32% 224 60%
Total 936
1
100% 371 100%
Source: PPF
1 This represents the annualised compensation payable to members receiving compensation at 31 March 2022 and
excludes lump sums, whereas the total compensation paid over the year to 31 March 2022 including lump sums is
£1,114.9 million.
The Purple Book 2022
42
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
12
PPF risk developments
This chapter looks at the risks to
our funding position and to our
ability to deliver on our mission.
Summary
This chapter contains information on our approach to funding and how we manage the risks that
could have a material impact on our future funding levels.
In September 2022 we published the outcome of our funding strategy review, which confirmed
our approach to financial risk management as we enter a new phase of our funding journey. We
are in a strong financial position and our strategic aim will shift from growing our reserves to
maintaining our financial resilience. To meet this objective we have defined a set of funding
priorities, and the strategic decisions we take will be guided by how our reserves compare to
these priorities.
To help us understand how our future funding may evolve, we use a stochastic model which
considers how our own funding and that in the universe we protect may change over time.
This modelling is then used to help inform our future investment and levy strategy.
Over the last year, there has been a material improvement in our funding position and in that of
the schemes we protect. This has increased the likelihood of us meeting our new funding objective
of ‘Maintaining our Financial Resilience’. However, the general economic environment remains
volatile. Our modelling indicates that we are well placed to cope with the uncertainty, and our new
funding framework will help guide our strategic decisions as our funding and that of the schemes
we protect evolve.
Our approach to risk management
Like other financial institutions, we assess our risks using a comprehensive enterprise risk
management framework, so we focus on the risks that could have the most material impact.
We seek to understand our financial risks by using modelling, including sensitivity testing, to
help us understand the potential impact from changes to those risks in the future.
We consider our risk under three broad headings – External Environment, Strategic and Funding,
and Operational. In The Purple Book we focus our attention on the components of those risk types
with material financial implications for us. Therefore, we do not cover here Operational Risk or
non-financial External Environment risks to which we are exposed.
Strategic and Funding: risk from our existing assets and liabilities
These risks are similar to those that other financial institutions face, including pension funds and
insurance companies. They include the risks of managing our own investment portfolio and
demographic risks.
We will accept risk where it adds value to do so or where the costs of hedging are disproportionate.
We hedge our liabilities closely for changes in inflation and interest rates. We also use a bespoke
investment strategy which seeks to avoid concentration in the UK economy to which we are
exposed via the companies sponsoring the schemes we protect. This strategy takes a conservative
level of investment risk to enable us to grow our reserves further over the long term. We accept
short-term volatility of our funding level and our response to such volatility is consistent with our
long-term funding strategy.
We are willing to accept longevity and other demographic risks. However, we are prepared to
transfer these risks to a third party if they are significant and hedging costs are reasonable.
Reflecting the importance of longevity in our future cashflows, we use granular estimates of
longevity based on socio-economic and geographical factors.
Both investment and demographic risks are potentially impacted in the long term by climate
change. We have a comprehensive Responsible Investment strategy which helps mitigate this risk,
and we are developing approaches to understand the potential impact of climate change on our
risk exposure.
External Environment: risk from the schemes we protect
This is the risk that we exist to protect – a scheme being underfunded when its sponsor fails,
possibly resulting in a claim. We cannot control these risks so we must accept them. Therefore,
we monitor these risks to understand any implications they may have for us both financially
and operationally.
TPR monitors funding and sets guidance for DB pension schemes to reduce the risk of scheme
underfunding. We liaise with TPR regularly to gain a shared understanding of developments that may
change the risk of claims on us. In addition, we monitor key information about employers who
sponsor the schemes we protect, including public credit ratings where available. When monitoring
claims risk, we consider both the potential size of a claim and the likelihood of it occurring.
The data in The Purple Book shows that risk in the universe has reduced over time and that claims
on us have been decreasing. That said, some schemes remain very underfunded and therefore the
risk of further claims on us remains.
Our funding strategy
Recognising our own financial strength and the changing profile in our universe, we are entering
what we have called the maturing phase of our funding journey. During this phase our central
expectation is that we will see fewer claims, and that those that do occur will have less impact on
our funding.
We confirmed in September 2022 that during this new phase our funding objective will be
‘Maintaining our Financial Resilience’. We define Financial Resilience as having a high level of
confidence of being able to pay compensation to both our current and future members in full, with
no support required from investment returns and levy. The strategic decisions the Board will take will
depend on how our reserves compare with the level required to meet the Financial Resilience test.
To help us achieve this objective we have set three main funding priorities, as illustrated in the
diagram below. The investment and levy decisions we take will be guided by how our reserves
compare to these priorities.
Target reserves during the PPF maturing phase
Priority 1
Annuity Book Reserves
Cost of compensation
above those expected
in a high number of
modelled longevity
scenarios
+
Priority 2
Claims Reserves
Cost of claims covered
in a high number of
modelled scenarios
Funded through
investment
return and levy
+
Priority 3
Additional Reserves
Provides additional
security
Funded
primarily through
investment return
The Annuity Book Reserves and Claims Reserves are designed to cover all but the worst
longevity and claim scenarios. These reserves will be funded through both investment return
and levy. Any Additional Reserves built up will be funded primarily through investment return.
The Purple Book 2022
43
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
PPF risk developments continued
We consider ourselves Financially Resilient when we have sucient reserves to cover both Priority
1 and Priority 2 reserves, i.e. longevity reserves for our current members and reserves for future
claims. However, our aim is to achieve Priority 3 reserves, i.e. additional reserves above those
needed to meet the Financial Resilience test, to provide better protection for both our current and
future members. As the universe we protect matures and declines, it will be dicult to raise a
material levy. By building additional reserves – through our investment returns – our aim is to
reduce the risk of having to go back to ask levy payers to contribute more in the future.
Summary of modelling
To understand the level of protection aorded by our reserves and how likely we are to meet our
Financial Resilience test in the future we use the Long-Term Risk Model (LTRM), a Monte Carlo
simulation model. This model runs a million dierent scenarios to project what the future may
look like, allowing for future claims, levies, investment returns and changes in economic conditions.
Like any complex modelling exercise, the projections are subject to significant uncertainty and our
success ultimately depends on some factors outside of our control.
No model can perfectly predict the future, and the LTRM is no exception. The base case projections
are based on a series of assumptions, which we continually refine to reflect how experience and
expectations develop over time. We assume that our broad approach to levy will not change. Our
investment strategy is assumed to remain unchanged in the medium term, and then to gradually
de-risk as we move from our maturing phase to our final run-o phase. Schemes are assumed to
transition gradually to a low-risk investment strategy, and to keep receiving deficit-reduction
contributions (DRCs) if they are underfunded.
The fan chart in figure 12.1 below shows the recent history of our funding level up to 2022,
followed by LTRM projections of how it might develop in the future. Projections are shown for the
period up to 2035, which is the earliest we expect to move from our current maturing phase to our
run-o phase. The chart shows that, based on our current strategy, in most scenarios our funding
level is expected to rise as investment returns plus income from levy exceed claims. Also, even in
more extreme scenarios, the funding level remains above 110 per cent, which is the amount
currently estimated as needed to cover our Priority 1 reserves.
Figure 12.1 | Projections of our funding level
60th/40th percentile
95th/5th percentile Mean Median
75th/25th percentile 90th/10th percentile
PPF funding level percentage
360
310
260
210
160
110
60
Year
2018
2019
2020
2021
2022
2023
2024
2025
2026
2027
2028
2029
2030
2031
2032
2033
2034
2035
Figure 12.2 below shows the history of claims as well as the distribution of modelled claims on
the fund beyond 2022. This is the risk our Priority 2 reserves are designed to protect against. As at
31 March 2022 we were close to having sucient reserves to meet out Financial Resilience test and
have a high likelihood of achieving it by the time of our next planned detailed review in 2025. The
chart also shows that in many of our modelled scenarios we can expect modest growth in our
cumulative claims, which is a defining feature of the maturing phase. We do still have some
scenarios where significant claims occur.
Figure 12.2 | Projections of cumulative claims
Cumulative claims (£bn)
17
15
13
11
9
7
Year
2018
2019
2020
2021
2022
2023
2024
2025
2026
2027
2028
2029
2030
2031
2032
2033
2034
2035
60th/40th percentile
95th/5th percentile Mean Median
75th/25th percentile 90th/10th percentile
Risks not allowed for in our modelling and possible future
changes in the risk landscape
Like all financial services institutions, we are exposed to possible changes in the external
environment, which could have an impact on our finances but over which we have no or
limited influence. At this stage it would not be appropriate to incorporate all such factors into
our modelling and our funding targets. The following paragraphs discuss some of the most
material risks which we are currently monitoring.
Climate risk: We consider climate change as a systemic risk, which can aect the value of our
investments across the short, medium and long term. We have engaged with the Paris Aligned
Investment Initiative (PAII) and other initiatives to improve our management of these risks. As a
supporter of the Task Force on Climate-related Financial Disclosures (TCFD), we commit to
reporting on our climate-related governance, strategy, risk management, and metrics and targets.
Our dedicated TCFD Climate Change Report
1
shares this information in-depth. Climate change
could, over the medium to long term, have a significant impact on the level of claims we receive.
This is due to impacts on the value of scheme asset portfolios and on sponsor insolvency risk.
Increased requirements on pension schemes for disclosure are likely to drive changes in approach
to investment. Also, longevity risk is potentially aected by climate change, which could impact
the reserves we need to meet our Financial Resilience Test. We continue to review and develop
approaches to help us understand the potential impact of climate change in our risk exposure.
COVID-19 pandemic: Although, so far, we have not experienced an increase in claims attributable
to COVID-19, due to government support for businesses, it is possible that longer-term consequences
will feed through to higher future claims. Also, the long-term impacts on life expectancies are still
unclear at this stage. Our modelling makes no allowance for longer-term expected impacts and
assumes no further improvements in life expectancy over the shorter term.
Macro-economic changes to the economy: The current macro-economic environment remains
volatile. There are a number of contributing factors which have led to both short-term and structural
changes. The ultimate extent of the structural changes is still somewhat uncertain at this stage.
Changes to working preferences are aecting the demand for certain types of goods and services.
Supply issues are aecting the availability of component parts and labour in certain sectors. The
current high inflation environment has been created by supply-demand imbalances, particularly in
the energy and food sectors; the medium-term outlook for inflation is still uncertain. These issues
may adversely impact the viability of sponsoring employers, which aects our biggest risk. The value
of our financial assets may also be aected. The impact of this may however be muted to some
extent as a high interest environment will act to improve funding for many schemes. This means
that even if insolvency rates do rise, we expect a low proportion to transfer to us.
Buy-out pricing: A material deterioration in buy-out pricing either through supply issues or
changes to underlying regulation could see the deficit in the universe we protect increase, hence
increasing claims risk. Conversely, increased competition or regulatory change could see pricing
become cheaper. This could in theory lead to a faster decline in the DB universe.
Commercial consolidators: Interest in consolidator vehicles continues to advance. However,
the shape and size of the market are relatively unclear, so at this stage we have made no specific
adjustments in our financial modelling. TPR has set out guidance for consolidators which indicates
that the risk these new models pose to our ability to meet our funding objectives will be limited.
At the time of writing one consolidator has been approved by TPR, but we have yet to see any
successful transfers.
TPR’s consultation on a new DB funding framework: TPR expects the draft code of practice
on funding to be published in late 2022. The new framework is expected to be operational from
September 2023. Its aim will be to increase the security of the benefits that have been promised
to members of DB schemes, which also has the impact of reducing the likelihood and scale of
claims on us.
Sensitivities
The LTRM output has been tested for sensitivity to a range of modelling assumptions. The sensitivity
tests aim to provide an insight into how the model outputs might be aected if future experience is
not as expected relative to the base case, best-estimate assumptions.
A selection of the more significant sensitivity scenarios tested this year are summarised in the table
below. Under each of these scenarios, we are comfortable that our current strategic decisions would
be unchanged.
The scenario having the most impact was a deterioration in funding by 10 per cent. In this scenario,
our Financial Resilience Test may take two funding cycles rather than one to be met. That said, the
coverage of future claims in this scenario remains very high.
Worsened funding levels for
the schemes we protect
Scheme s179 funding levels reduce by 10 percentage points as a
result of a decrease in asset values
Increased insolvency risk Transition probabilities for all credit rating downgrades are increased
by 10 per cent at all future times
Higher inflation and
nominal interest rates
Inflation and nominal interest rates increased by one percentage
point a year at all future times and all durations
Lower returns on
growth assets
Growth asset returns are 0.2 percentage points a year lower at all
future times
1 https://www.ppf.co.uk/sites/default/files/2021-09/PPF_ClimateChangeReport2021.pdf
The Purple Book 2022
44
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Appendix
Note on historical datasets.
Sources of data
The information used in Chapters 3 to 7 and Chapter 12 of this publication comes from three
primary sources, as described below.
1. Scheme returns provided to TPR
Most of the analysis in this year’s publication is based on new scheme returns issued in
December 2021 and January 2022 and returned by 31 March 2022.
2. Voluntary form reporting
Electronic forms are available on TPR’s website so pension schemes can provide data regarding
contingent assets (Cas), valuation results on an s179 basis, DRCs and the s179 valuation results
following block transfers. More information on DRCs and Cas is given in Chapter 8 (Risk
reduction).
3. Sponsor failure scores
From the Levy Year 2021/22, D&B took over from Experian to provide us with scores for
calculating the PPF levy using the PPF-specific model. This is a statistical model, developed using
observed insolvencies among employers and guarantors of DB pension schemes. More detail on
the model can be found on our website
1
.
The starting point in establishing the insolvency risk element of the risk-based levy is normally
the annual average of a scheme’s D&B monthly scores. The average monthly score is then
matched to one of 10 levy bands and the corresponding levy rate is used.
The data used in Chapters 9 (PPF levy 2021/22), 10 (Claims and schemes in assessment) and 11 (PPF
compensation 2021/22) are derived from the PPF’s business operations. The data from Chapter 8 is
mostly taken from a variety of public sources, as noted underneath each figure.
The PPF-eligible DB universe and The Purple Book 2022 dataset
The PPF covers certain DB occupational schemes and DB elements of hybrid schemes. Some DB
schemes will be exempt from the PPF, including
2
:
• unfunded public sector schemes;
• some funded public sector schemes, for example, those providing pensions to local government
employees;
• schemes to which a Minister of the Crown has given a guarantee;
• schemes with fewer than two members; and
• schemes which began to wind-up, or were completely wound-up, before 6 April 2005.
Scheme funding
As in previous Purple Books, the bulk of our analysis uses funding estimates on an s179 basis.
This is, broadly speaking, what would have to be paid to an insurance company to take on PPF
levels of compensation, and estimates of this are what we use in the calculation of scheme-based
levies. The analysis in Chapter 4 (Scheme funding) uses s179 data submitted by schemes on TPR’s
Exchange system by 31 March 2022 and we roll these asset and s179 liability values forward to
31 March 2022 in the following way:
• The asset values are rolled forward using the asset split information submitted on Exchange
by schemes and the change in benchmark asset indices over the period. This roll forward
methodology will only allow for unfunded LDI arrangements such as interest rate swaps to the
extent that the exposure is reflected in the asset split information submitted. DRCs that have
been submitted by schemes for levy purposes
3
have been added to the asset values submitted
in s179 valuations. These DRCs represent the contributions made by the sponsoring employer
between the s179 valuation date and 31 March 2022 after allowing for deductions for items such
as additional benefit accrual and benefit augmentations. No allowance is made for membership
movements over the period, for benefits paid out or the cost of new benefit accrual.
• The s179 liability values are rolled forward to 31 March 2022 using the s179 data submitted by
schemes and converted to version A10 of the s179 assumptions that came into eect on 1 May
2021. No allowance is made for membership movements over the period, for benefits paid out
or the cost of new benefit accrual.
As in previous years, PPF actuaries have also produced full buy-out estimates (i.e. based on original
scheme levels of compensation) of the funding position for The Purple Book 2022 dataset. These
estimates are calculated in the same way as described above except an approximate allowance is
made for the dierence between the compensation we would pay members and the benefit levels
paid by schemes based on the scheme benefits data submitted on Exchange.
Historical datasets
A dataset is collated for each edition of The Purple Book, including all appropriate schemes where
scheme return information has been processed and cleaned. In subsequent months, more scheme
returns are processed and cleaned and in 2006 and 2007 these were incorporated into the existing
dataset to produce an ‘extended’ dataset. For 2006 and 2007, the increased coverage produced
significantly dierent results to the original datasets. However, since then, datasets have been much
larger and the increased coverage made only a small dierence. Accordingly, comparisons are
made with previous publications as follows:
• Purple Books 2006 and 2007 – extended dataset
• Purple Books 2008 to 2021 – original dataset
Scheme status
Scheme status in this Purple Book is split between:
• open schemes, where new members can join the DB section of the scheme and accrue benefits;
• schemes closed to new members, in which existing members continue to accrue benefits;
• schemes closed to future benefit accrual, where existing members can no longer accrue new
years of service; and
• schemes that are winding up.
Because many larger employers have adopted the strategy of migrating their pension provision
towards Defined Contribution (DC) by opening a DC section in an existing Defined Benefit (DB)
scheme, many hybrid schemes may accept new members but no longer allow new (or existing)
members to accrue defined benefits.
This has been handled dierently across dierent editions of The Purple Book. In The Purple Book
2006, 40 per cent of members were in the open category and 25 per cent were categorised as ‘part
open’. The ‘part open’ category included a significant number of hybrids for which the DB element
was closed. In The Purple Book 2007, the ‘part open’ category was removed and the percentage of
schemes classified as open increased compared to The Purple Book 2006. Many hybrid schemes
which had previously identified themselves as ‘part open’ now identified themselves as ‘open’. In
The Purple Books 2008 and 2009, we analysed the largest 100 schemes (by membership) in the
hybrid category separately, so we could adjust the information provided in the scheme returns and
remove potential misinterpretation caused by hybrid schemes with closed DB sections declaring
themselves as open.
Improved levels of information on hybrid schemes are now available from the scheme returns and
since The Purple Book 2010 we have been able to adjust hybrid statuses to ‘closed’ where DB provision
is not available to new members. Since 2013, those hybrids which no longer admit new DB accruing
members are categorised as ‘closed to new members’. In addition, where those schemes have no
active DB membership it is assumed that the scheme is closed to future accrual. The changes to the
information available and consequent developing approach across the various editions of The Purple
Book should be taken into account when comparing figures from dierent editions.
1 For more information see: https://www.ppf.co.uk/current-levy-rules
2 For a more comprehensive list see ‘eligible schemes’ on our website.
3 For more information see the 2021/22 DRC appendix and guidance on our website.
2021/22 levy year | Pension Protection Fund (ppf.co.uk)
The Purple Book 2022
45
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Glossary
Active member
In relation to an occupational pension scheme, a person who is in pensionable service under
the scheme.
Annuity
Contract through which payments of a portion of a scheme’s liabilities are met by a third-party
insurance company.
Assessment period
The time when a scheme is being assessed to see if the Pension Protection Fund can assume
responsibility for it.
Buy-out basis
The level of coverage the current assets will provide if all benefits were to be bought out in the
name of the individual member with an insurance company. See also: full buy-out.
Claims
When an employer of a DB pension scheme becomes insolvent and the pension does not have
sucient assets to buy out the liabilities. The DB Scheme members then become members of
the PPF.
Closed (to new members)
The scheme does not admit new members. Existing members can continue to accrue pensionable
service/benefits.
Closed (to new benefit accrual)
The scheme does not admit new members. Existing members no longer accrue pensionable
service/benefits.
Commercial consolidators and superfunds
These are pension vehicles established to consolidate the DB assets and liabilities of unconnected
employers, with no link to the original employer. In some commercial cases the intention is to
provide returns to investors.
COVID-19 pandemic
The spread of COVID-19 viral infections across the globe. When discussing this we are referring
to the wide-ranging impacts, particularly including the impact of restrictions imposed due to
the pandemic on financial markets as well as employers, operations and financial strength.
Dead company
A company that is dissolved.
Deferred member
In relation to an occupational pension scheme, a person (other than an active or pensioner
member) who has accrued rights under the scheme but is not currently accruing or being
paid benefits under the scheme.
Deficit
A shortfall between what is assessed as needed to pay a scheme’s benefits as they fall due
(this is the scheme’s ‘liabilities’) and the actual level of assets held by the scheme.
Deficit-Reduction Contribution (DRC)
A one-o (or irregular) contribution made by a scheme sponsor to a pension scheme to reduce
the level of deficit.
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.
Defined Contribution (DC)
Benefits are based on the amount of contributions paid, the investment returns earned and the
amount of pension this money will buy when a member retires. These schemes are also referred
to as money purchase pension schemes.
Demographic risks
This is a financial risk to the PPF that members on average have dierent population-based factors
than expected, for example the proportion married or age dierence between members and
their spouse.
Dun and Bradstreet (D&B)
A provider of insolvency scores used by us for PPF levy calculations.
Enterprise risk management framework
The process of identifying and documenting particular events or circumstances relevant to the
organisation’s objectives (threats and opportunities), assessing them in terms of likelihood and
magnitude of impact, determining a response strategy, and monitoring process.
Experian
A provider of insolvency scores used by us for PPF levy calculations.
Financial Resilience
Defined by us to mean having a high level of confidence of being able to pay compensation to
both our current and future members in full, with no support required from investment returns
and levy.
Full buy-out
The cost of insuring a pension scheme in the private market. The discount rate applied to liabilities
would generally be more prudent than the discount rate applied to section 179 valuations. The
benefit assumed in private insurance is usually non-capped and thus could be greater than
PPF coverage.
Gilt yield
The yield, if held to maturity, of a government (non-indexed) bond.
Growth assets
Assets that are expected to give a return in excess of the gilt yields, but have more risk of
underperformance, for example equities or property.
Hedging
An investment that is made with the intention of reducing the risk of deterioration in a scheme’s
funding level.
Hybrid scheme or partial DB scheme
A scheme that can provide defined benefits and DC benefits. An example of a hybrid scheme
would be a scheme providing benefits on a DC basis but that is or was contracted out of the
state scheme on either a Guaranteed Minimum Pension or Reference Scheme test basis.
The Purple Book 2022
46
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Glossary continued
Insolvency risk
The risk that a borrower will have to close business due to its inability to service either the principal
or interest of its debt.
Insurance company
Insurance companies provide a range of services to pension schemes, including:
• asset investment;
• asset management;
• buy-in and buy-out;
• investment advice and expertise;
• custodian facilities; and
• scheme administration services.
Insurance policy
Investment class: a pooled fund provided by or a deposit administration contract purchased from
an insurance company.
Investment portfolio
The group of financial assets that the PPF owns.
Investment strategy
The set of rules, behaviours and procedures, designed to guide the PPF’s selection of an investment
portfolio after considering our goals, risk tolerance, and future needs for capital.
Longevity risk
This is a financial risk to the PPF that members on average live for longer than the PPF expects,
and therefore more funds are required to pay pensions for longer.
LTR M
Long Term Risk Model
Maturing phase
This is the second stage in the PPF’s journey (after the growth phase). Once we have reached a
certain size, the impact of new claims reduces and our liabilities stabilise.
Net funding position
Sum of assets less sum of liabilities, or sum of scheme funding positions. In a pool of schemes
where schemes in deficit outweigh schemes in surplus, there is an aggregate deficit.
ONS
Oce for National Statistics
Open scheme
The scheme continues to accept new members, and benefits continue to accrue.
Pensioner member
A person who is currently receiving a pension from the scheme or from an annuity bought in
the trustee’s name.
Pension Protection Fund (PPF)
A statutory corporation run by the Board of the Pension Protection Fund, established under
the Pensions Act 2004.
The Pensions Regulator (TPR)
The UK regulator of work-based pension schemes; an executive non-departmental public body
established under the Pensions Act 2004.
Pp
Percentage points
PPF 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. It is similar to an insurance premium.
Repurchase agreement (repo)
The sale of a security combined with an agreement to repurchase the same security at a higher
price at a future date.
Responsible investment
An investment strategy that incorporates environmental, social and governance factors in
investment decisions and asset ownership.
Risk-based levy
See PPF levy. Calculated on the basis of a pension scheme’s deficit and insolvency risk of the
sponsoring employer.
Run-o phase
This will be the final stage of the PPF’s journey. This will be the phase in which our liabilities fall
as our membership matures.
Scheme-based levy
See PPF levy. Calculated on the basis of section 179 liabilities and the number of members in the
pension scheme.
Scheme funding position
The dierence between the assets and liabilities of a pension scheme (scheme deficit if negative,
scheme surplus if positive).
Scheme member
In relation to an occupational pension scheme, a scheme member is any person who:
• is an active member;
• is a deferred member;
• is a pensioner member;
• has rights due to transfer credits under the scheme; or
• has pension credit rights under the scheme.
This includes scheme members whose only entitlements are equivalent pension benefits (EPBs),
as those rights were earned through pensionable employment. Members (for occupational and
personal schemes) do not include dependants of members. Those whose only entitlements are
lump sum benefits payable upon death are also not included.
Section 179 (s179) valuation
To calculate the risk-based pension protection levy the Board of the Pension Protection Fund
must take account of scheme underfunding. To achieve consistency in determining underfunding,
schemes can complete a PPF valuation (section 179). This valuation will be based on the level of
the scheme’s assets and liabilities. 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 Pension Protection
Fund as set out in Schedule 7 of the Pensions Act.
Stress scenario
Changes simultaneously applied to a number of assumptions in the LTRM on asset returns, bond
yields and insolvency experience.
Stochastic Model
Distributions of potential outcomes are derived from a large number of simulations (stochastic
projections) which reflect the random variation in the inputs.
Swap
Investment: a contract calling for the exchange of payments over time. Often one payment is fixed
in advance and the other is floating, based on the realisation of a price or interest rate.
Technical Provisions (TPs)
The TPs are a calculation made by the actuary of the assets needed 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.
Trustee
A person or company, acting separately from a scheme’s employer, who holds assets in trust for
the beneficiaries of the scheme. Trustees are responsible for making sure that the pension scheme
is run properly and that members' benefits are secure.
Winding up / wound-up
After the wind-up is complete (the scheme is wound-up), there will be no assets or liabilities left in
the scheme, and the scheme will cease to exist as a legal entity. Winding-up describes the process
of reaching wind-up from the normal ongoing status. To make sure that members will still receive
benefits, there are several options:
• transferring pension values to another pension arrangement;
• buying immediate or deferred annuities; or
• transferring the assets and liabilities of the scheme to another pension scheme.
The scheme must be wound-up in accordance with the scheme rules and any relevant legislation.
The Purple Book 2022
47
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Charts and tables
Chapter 2:
Figure 2.1 | Distribution of schemes excluding those in assessment by size of scheme membership
Figure 2.2 | Distribution of assets, s179 liabilities and members in The Purple Book 2022 dataset as
at 31 March 2022
Figure 2.3 | The Purple Book datasets
Chapter 3:
Figure 3.1 | Distribution of schemes by scheme status
Figure 3.2 | Distribution of schemes by scheme status and member group
Figure 3.3 | Distribution of schemes by scheme status and year
Figure 3.4 | Distribution of schemes by scheme status and year (excluding hybrid schemes)
Figure 3.5 | Distribution of members by scheme status
Figure 3.6 | Distribution of members by scheme status and year
Figure 3.7 | Distribution of members by scheme status and year (excluding hybrid schemes)
Figure 3.8 | Number and distribution of members by member type and scheme status,
as at 31 March 2022
Figure 3.9 | Active members in The Purple Book datasets
Figure 3.10 | Distribution of member type, by scheme membership size
Figure 3.11 | Proportion of schemes by scheme membership size, by year
Figure 3.12 | Distribution of schemes by asset size
Figure 3.13 | Pension indexation types for scheme benefits accrued before 6 April 1997
Figure 3.14 | Pension indexation types for scheme benefits accrued after 5 April 1997
Chapter 4:
Figure 4.1 | Key funding statistics as at 31 March 2022
Figure 4.2 | Current and historical funding figures on an s179 basis
Figure 4.3 | Current and historical funding figures on an estimated full buy-out basis
Figure 4.4 | s179 funding ratios by size of scheme membership as at 31 March 2022
Figure 4.5 | Distribution of s179 funding ratios by size of scheme membership as at 31 March 2022
Figure 4.6 | Estimated full buy-out levels by size of scheme membership as at 31 March 2022
Figure 4.7 | Distribution of estimated full buy-out funding ratios by size of scheme membership as
at 31 March 2022
Figure 4.8 | Analysis of s179 funding ratios by scheme maturity as at 31 March 2022
Figure 4.9 | Distribution of funding ratios on an s179 basis by scheme maturity as at 31 March 2022
Figure 4.10 | Analysis of s179 funding ratios by scheme status as at 31 March 2022
Figure 4.11 | Distribution of schemes by s179 funding ratios within scheme status groups as at
31 March 2022
Figure 4.12 | Analysis of estimated full buy-out funding ratios by scheme status as at 31 March 2022
Figure 4.13 | Distribution of schemes by estimated full buy-out funding ratios within scheme status
groups as at 31 March 2022
Figure 4.14 | s179 liabilities by member status in current and historical Purple Book datasets
Chapter 5:
Figure 5.1 | Historical s179 aggregate funding ratio and net funding position of pension schemes in
The Purple Book datasets
Figure 5.2 | Historical movements in assets and s179 liabilities of schemes in The Purple Book datasets
Figure 5.3 | Historical aggregate funding position for schemes in deficit and surplus
Figure 5.4 | Historical percentage of schemes in deficit each month in The Purple Book datasets
Figure 5.5 | Movements in gilt yields
Figure 5.6 | Movements in equity indices
Figure 5.7 | Impact of changes in gilt yields and equity prices on s179 funding positions from a
base net funding position of £193.0 billion as at 31 March 2022
Figure 5.8 | Impact of changes in gilt yields and equity prices on assets from a base of 100 as at
31 March 2022
Figure 5.9 | Impact of changes in gilt yields on s179 liabilities as at 31 March 2022
Figure 5.10 | Impact of changes in nominal or real gilt yields on s179 liabilities as at 31 March 2022
(base = £1,473.9 billion)
Figure 5.11 | Impact of changes in life expectancy assumptions on s179 liabilities as at 31 March
2022 (base = £1,473.9 billion)
Chapter 6:
Figure 6.1 | Annual insolvency rates
Figure 6.2 | England and Wales underlying company insolvencies (seasonally adjusted)
Figure 6.3 | Average levy rates of sponsoring companies by scheme membership size
Chapter 7:
Figure 7.1 | Distribution of schemes by asset allocation date
Figure 7.2 | Weighted average asset allocation in total assets
Figure 7.3 | Asset allocation: simple averages
Figure 7.4 | Bond splits
Figure 7.5 | Equity splits
Figure 7.6 | Weighted average asset allocation of schemes by asset size
Figure 7.7 | Weighted averages of equity and bond holdings split by asset size
Figure 7.8 | Weighted average asset allocation by s179 funding ratio
Figure 7.9 | Weighted average asset allocation of schemes by scheme maturity
Chapter 8:
Figure 8.1 | Contingent assets by type
Figure 8.2 | Planned recovery plan payments until 2032 by asset size
Figure 8.3 | Technical Provisions and recovery plan lengths (unweighted averages)
Figure 8.4 | Value of risk transfer deals since 2007
Figure 8.5 | Number of risk transfer deals since 2010
Figure 8.6 | Value of risk transfer deals since H2 2013
The Purple Book 2022
48
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
Charts and tables continued
Chapter 9:
Figure 9.1 | Total levy
Figure 9.2 | Distribution of levy by largest levy payers in 2021/22
Figure 9.3 | Schemes with no risk-based levy by levy year
Figure 9.4 | Number of schemes with capped risk-based levies by levy band
Figure 9.5 | Number of schemes with capped risk-based levies by funding ratio (on a stressed
and smoothed basis)
Figure 9.6 | Levy distribution by levy band
Figure 9.7 | s179 aggregate stressed smoothed liabilities by levy band
Figure 9.8 | Levy as a proportion of assets by levy band
Figure 9.9 | Percentage of total levy that is scheme-based by levy band
Figure 9.10 | Percentage of total levy that is scheme-based by funding ratio (on a stressed and
smoothed basis, excluding bespoke asset stress submissions)
Figure 9.11 | Number of sponsoring employers in each D&B scorecard
Figure 9.12 | Levy invoiced in respect of schemes with sponsoring employers in each
D&B scorecard
Figure 9.13 | Number of schemes with sponsoring employers in each D&B scorecard
Figure 9.14 | Aggregate funding ratio (unstressed and unsmoothed) of schemes with sponsoring
employers in each D&B scorecard
Chapter 10:
Figure 10.1 | Total s179 claims for schemes entering an assessment period
Figure 10.2 | Number of schemes in assessment each year, as at 31 March
Figure 10.3 | Funding statistics for schemes in assessment each year, as at 31 March
Figure 10.4 | Percentage of schemes and percentage of s179 liabilities grouped by size of liabilities
for schemes in assessment, as at 31 March 2022
Figure 10.5 | Proportion of schemes in assessment by membership size
Figure 10.6 | Maturity of schemes in assessment by membership size
Figure 10.7 | Total s179 deficit of schemes in assessment by liability size
Chapter 11:
Figure 11.1 | Total compensation and number of members’ records
Figure 11.2 | Gender of members in the PPF
Figure 11.3 | Distribution of members receiving compensation by annualised compensation level
Figure 11.4 | Distribution of deferred members by annualised compensation level
Figure 11.5 | Status of members receiving compensation
Figure 11.6 | Distribution of members receiving compensation (excluding dependants) and deferred
member compensation by Normal Pension Age (NPA)
Figure 11.7 | Annualised compensation by UK region
Figure 11.8 | Annualised compensation for members receiving compensation and deferred
members before 6 April 1997 and after 5 April 1997
Chapter 12:
Figure 12.1 | Projections of our funding level
Figure 12.2 | Projections of cumulative claims
The Purple Book 2022
49
The data
Scheme
demographics
Scheme
funding
Funding
sensitivities
Insolvency
risk
Asset
allocation
Risk
reduction
PPF levy
2021/22
Claims and
schemes in
assessment
Glossary
PPF
compensation
2021/22
Charts and tables
PPF risk
developments
Appendix
Overview
Executive
summary
Introduction
