Liability information to analyse DB universe

FOI reference - FOI-399
Date - 21 July 2025

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Request

We are seeking updated information from The Pensions Regulator to enhance our understanding of how the distribution of UK defined benefit pension schemes by size, funding level, and maturity within each covenant group has evolved over the past 12 months since our previous request.

This data will support our analysis of how the defined benefit scheme landscape is expected to shift over time as schemes progress toward various endgame strategies (e.g. insurance buyout, superfund, run-on). The insights may be used in both marketing and client advisory contexts.

Information request - liability and asset data

You previously provided us with data as at 31 March 2024 (reference FOI-306, attached for reference) on 27 September 2024. We are now requesting an updated version of this dataset as at 31 March 2025. We have made some minor changes to our data request namely to reflect that:

1. DB pension schemes are increasingly in surplus so we have asked for the data to be split to show schemes that are 100%-110% funded and 110%+ funded whereas last year we asked for the data split to show schemes that were 100%+ funded.
2. Insurers and superfunds are increasingly setting a triage threshold of schemes to quote on around c. 50m of liabilities so we have asked for the data to be split to show schemes that are 10m to 50m, and 50m to 100m whereas last year we asked for the data split to show schemes that were 10m to 100m in size.

For each of the 4 covenant groups (Strong, Tending to Strong, Tending to Weak and Weak), please could you provide the following:

1. Liability Data: Please provide the data as set out in the attached spreadsheet tab titled "Table 1- liabilities" for the year ending 31 March 2025. We request that the data is presented in separate tables for each of the four covenant groups: Strong, Tending to Strong, Tending to Weak and Weak.
2. Asset Data: Please provide the data as set out in the attached spreadsheet tab titled "Table 2 - assets" in respect of asset allocations with an effective date on or after 31 March 2024 (recognising that schemes don't always provide updated asset splits in their annual returns). We request that the data is presented in separate tables for each of the four covenant groups: Strong, Tending to Strong, Tending to Weak and Weak.

We envisaged that this information could be presented in the same format as previously provided but for completeness we have attached a spreadsheet of example tables.

We acknowledge that due to restrictions regarding the sharing of individual scheme data you may not be able to provide the full set of ranges requested. Where this is the case, we are happy for you to expand the ranges requested which is consistent with the approach you adopted last year.

Information request - Surplus refund notifications

Please confirm the number of schemes that have notified The Pensions Regulator of their intention to refund surplus during the year to 31 March 2025. If applicable, please distinguish between ongoing schemes and those in wind-up.

Response

For convenience, I have provided a link below to our published response to FOI-306 - Covenant liabilities and assets 2023 to 2024

I confirm that we hold some of the information you have requested. The information we have been able to supply is in this spreadsheet.

Due to restrictions regarding the sharing of individual scheme data that we hold, we have not provided the full set of ranges requested, since from these it may have been possible to identify individual schemes. We have therefore expanded the ranges requested, where needed, to ensure that individual schemes cannot be identified.

I do need to make you aware of the following caveats and limitations which apply to the information we have provided.

Data

To produce our summary of estimates as at 31 March 2025 we have used the scheme funding data on our systems as at 31 March 2025. This data is based on the information provided to us from the 2025 annual scheme return and recovery plan submissions received up to that date.

The raw data and model outputs have been subject to actuarial data checks which look to highlight key outliers and are adjusted as necessary, but these are not comprehensive data checks of each item.

We have also used external data sources, these include:

• Market indices data obtained from London Stock Exchange Group (LSEG) in order to estimate assets as at 31 March 2025; and
• Office for National Statistics (ONS) to provide estimates of benefit outgo and contributions in respect of future accrual.

It is important to note that:

• The underlying data is historical. Schemes have up to 15 months to complete a valuation and need to only undertake a valuation every three years. As such, the liability and asset values held are generally between one year and four years out of date.
• The data is a high-level summary of the results of the valuation i.e. we do not have individual member data or detailed benefit structure information that schemes have access to.
• The asset breakdown is based on the last audited accounts over the scheme return year. Schemes have up to seven months from the year end to complete their audited accounts.
• We only have data from the 2025 scheme return, therefore we would expect the asset breakdown to be generally around two years out of date. As such the annuity data provided in this report is likely to ignore any insurance transactions that have occurred over the last two years.

Modelling methodology

The figures provided in this report are based on our modelling of the DB universe which estimates the aggregate assets and liabilities as at 31 March 2025 by ‘rolling forward’ from schemes’ latest actuarial valuations, based on scheme data and relevant financial market information, as set out above.

The data for Technical Provisions, Buyout liabilities, Assets and Buyout funding levels have been estimated by the actuarial team at TPR by adjusting the position from a schemes latest triennial Part 3 valuation (some of which relate to scheme’s positions as far back as 2020) up to 31 March 2025.

These estimates allow for the following calculation methodology:

• In estimating the technical provisions, we assume that trustees do not make any changes to the funding methodology due to changing market conditions. We assume financial assumptions were set with reference to gilt markets and adjust for changes in gilt markets only.
• In estimating buyout liabilities, we make allowance for changes in gilt markets and some broad adjustments to allow for changes in insurance premia over time.
• In estimating assets 31 March 2025, we use relevant index returns based on the asset allocations submitted to TPR in the 31 March 2025 Scheme Return. (These asset allocations are as at the date of each Scheme’s latest audited accounts, rather than all being a consistent date.)

The key assumptions underlying our model include:

• Trustees do not take any management action in regards of buying/selling assets or changes to the investment allocation over time.
• Both assets and liabilities are adjusted in line for expected benefit payments paid combined with an adjustment for future accrual, where applicable, over the period since a schemes last valuation.
• Assets are further adjusted in line with movements in market indices plus deficit repair contributions, over the period since a schemes last valuation.
• Assets are rebalanced daily in order to retain the same investment allocation.

There are many more simplifications and approximations in the methods we use to estimate aggregate and individual funding positions, compared with the more robust calculations carried out

for formal valuation and recovery plan reporting by scheme actuaries for trustees. Additionally, the greater the magnitude of change in market conditions, the less reliable the simplified method and data will be in illustrating the impact of changing funding levels over time. It should be noted that this is not a TPR-specific issue, but a global actuarial issue when using the approximate ‘roll-forward’ methodology to estimating assets and liabilities at alternative dates.

Where asset data indicates that schemes have leveraged LDI (Liability Driven Investment), we have made broad adjustments to the asset values for any collateral calls that may have applied.

Given the high level and limited data that we hold, our calculations use broad assumptions and approximations combined with general actuarial methods and techniques. We cannot take account of all scheme-specific characteristics, and the actual position of individual schemes will vary, depending on a number of individual factors not covered in our data or methodology.

Furthermore, it should be noted that results are always approximate in nature and whilst we do not expect a pronounced systemic bias in the model, results may be materially inaccurate at an individual scheme level where experience differs to those of our key assumptions. This could be because of any of the following:

• Trustees taking positive management action to change investment strategies, which are not reflected in our current data set due to time lag issues; and/or
• Actual asset returns are materially different to index returns or scheme experience materially differs from that assumed.

Further information regarding the methodology of our modelling is available from the TPR Pensions Insights and Modelling team on request.

Caveats and limitations of advice

We are content that the data used in the model is appropriate to provide high-level estimates of the distribution of the DB scheme universe as at 31 March 2025.

As the model has been calculated at an aggregate level, the results should not be used to draw conclusions for individual schemes, nor provide any analysis for scheme funding levels.

Compliance

This work complies with Technical Actuarial Standard 100 (TAS 100) v2.0, as published by the Financial Reporting Council (FRC). TAS 100 v2.0 applies to technical actuarial work (as defined in Section 4 of TAS 100 v2.0) that is completed on or after 1 July 2023.

Surplus refund notifications

For the year up to 31 March 2025 the number of notifications for the ‘refund of surplus’ we received were:

• 14 notifications regarding the refund of surplus following the wind up of the scheme
• 1 notification regarding the refund of surplus for a scheme not in wind up

Please be aware that for schemes not in wind-up, there is no obligation to inform TPR of any intention, or decision, taken in advance of the distribution of funds.