Note on 7800 methodology
This update has been produced using our standard methodology, which is summarised in Note 5 on page 8 of this document. In particular, while the approach will capture the liability impacts of government bond yield movements, the impact on assets will often be less accurate. This is because we do not hold sufficient data to capture the impact of any structural changes to asset allocations nor to accurately capture changes in any leveraged LDI portfolios.
Highlights
• The aggregate surplus of the 5,131 schemes in the PPF 7800 Index is estimated to have decreased over the month to £371.5 billion at the end of November 2022, from a surplus of £379.1 billion at the end of October 2022.
• The funding ratio decreased from 136.0 per cent at the end of October 2022 to 133.7 per cent.
• Total assets were £1,472.8 billion and total liabilities were £1,101.3 billion.
• There were 746 schemes in deficit and 4,385 schemes in surplus.
• The deficit of the schemes in deficit at the end of November 2022 was £5.8 billion, up from £4.8 billion at the end of October 2022.
Lisa McCrory, PPF Chief Finance Officer and Chief Actuary said: “"The increase in scheme liabilities and assets in November was mostly driven by a fall in bond yields. The main drivers were the UK Government's Autumn Statement and a tweak to the outlook for monetary policy with central banks now expected to slow the pace of rate hikes in the coming months. While bond yields fell during November, they remain well above the levels that the started the year. This is reflected in the fact that the bounce-back in assets and liabilities in November is small relative to the falls over previous months."
View the December update and see the supporting data on the 7800 Index for 30 October 2022 here.
Note on 30 November 2022 update.
We are moving to the new Purple Book 2022 dataset, re-stating the funding position from March 2022 to October 2022 to reflect the new data. The impact as at 31 October 2022 is an increase in the funding ratio of 2.4 percentage points (see note 1 on page 7 for more information). All the charts and tables presented in the attached publication have been revised to reflect the changes described above.
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