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Discovery of the LDI crisis

FOI reference - FOI-374
Date - 12 April 2025

Request

I am making this email my Freedom of Information Act (FOIA) request and would be grateful if you would kindly email me all comments and statements that The Pensions Regulator made between the discovery of the LDI crisis in the Autumn of 2022 up until December 2024 please?

Response

I can confirm that we hold this information. However, it is exempt from disclosure under Section 21 of the FoIA. This is because the information is accessible to you, as it is already in the public domain.

The Press Releases section of our website, where formal updates and statements from TPR are published on an ongoing basis. This section contains relevant material that may assist with your research. You can also use the website’s search function to locate all related content. This will provide further useful context and insight.

Duty to provide advice and assistance

Section 16 of FoIA requires a public authority to provide advice and assistance, so far as it would be reasonable to expect the authority to do so, to persons who propose to make, or have made, requests for information to it.

You may find the following information useful, which reflects key points communicated by TPR during the period in question.

  • In April 2023, TPR issued operational guidance which was in response to guidance issued by the Bank of England in March 2023. Links to both can be found below.
  • TPR provided a report to the Work and Pensions committee in February 2024 which considered the impact of the LDI episode on DB scheme funding. The revisions to the actuarial modelling to allow for net benefit payments do not affect the conclusions of this report. This is because the changes made to the modelling impact liabilities and assets to a similar degree. Although DB universe assets reduced over 2022, so did DB liabilities. It is important to look at both assets and liabilities together and not at one aspect in isolation to understand the impact on DB scheme funding. Our analysis sets out that over the year 2022 we estimate that the overall aggregate funding level improved from 103% to 118%, leading to an increase in the aggregate surplus from £57 billion to £204 billion.
  • From discussions with external stakeholders and in line with other publications, the increase in gilt yields over 2022 has led to an improvement in the overall aggregate funding level as the reduction in liabilities is greater than the reduction in assets. This is set out in the above report. The actual impact at a scheme level will depend on the individual investment and funding strategy.
  • The first schemes to have undertaken valuations since September 2022 (i.e. those with valuation dates of between 31 December 2022 and 31 March 2023) have now been submitted to TPR. However, triennial valuations vary from scheme to scheme and TPR will not receive valuations post the LDI episode for the entire universe until the end of 2026.
  • From a regulatory perspective, we will continue to engage with those schemes, on a scheme-by-scheme basis, for whom the valuation poses the greatest risk to savers. We will continue to reflect the updated data we receive from schemes throughout this time, be it through scheme returns, valuation submissions or through third party sources.
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