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Distribution by scheme size of schemes in the 4 covenant groups

FOI reference - FOI-5247
Date - 29/10/2020

Request

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

  1. Distribution by scheme size: Broken down by no. of members, assets, TPs, Buyout, Maturity (Ratio of pensioner TPs to Total TPs)
  2. Distribution by scheme size: Broken down by Funding Level (TP and Buyout)

We envisaged that this information could be presented in the examples tables set out below which are effectively aggregating information presented in the Purple and Orange books but with a separate table for each covenant group.

Response

I can confirm that we hold information falling within scope of your request / the information you have requested. 

Information we are able to supply

Please find the information we are able to supply in the attached document titled ‘Data Tables’.

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

  • The scheme population was derived from TPR’s Register of Pension Schemes as at 31 March 2019 (aligned with the population reported against in the 2019 DB Landscape publication: https://www.thepensionsregulator.gov.uk/-/media/thepensionsregulator/files/import/pdf/db-pensions-landscape-2019.ashx), and includes all private sector occupational Defined Benefit and Hybrid schemes.
  • The data for memberships is the latest position from TPR’s Register of Pension Schemes as at 31 March 2019.
  • The data for Buyout (or s.75) liabilities, is the latest position for each scheme as reported in the regulator’s annual Scheme Funding Statistics publication, covering all valuations received up to and including those conducted in Tranche 13. These are effective at a variety of scheme specific valuation dates.
  • The data for Scheme Assets and Technical Provisions liabilities is derived from an approximate “roll-forward” of positions from schemes latest triennial Part 3 valuations as at 31 March 2019 (some of which relate to scheme’s positions as far back as 2015). These estimates are effective as at 31 July 2019 and align with those reported in the 2019 DB Landscape publication.
    • In rolling forward assets to 31 March 2019, we use relevant index returns and information (sometimes dated) about schemes’ broad asset allocations and extent of hedging.
    • It should be understood that the analysis is high level only and the actual position of these schemes may be substantially different to what we have modelled.
    • We rely on the accuracy of the third party information that is provided to us. In some instances the information is incomplete and we take steps to estimate information via other means.
    • This work has been completed in accordance with the Financial Reporting Council’s Technical Actuarial Standard, TAS 100.
  • The data covering Covenant Grades (CG) is drawn from a number of sources, the principal source being the dataset underpinning the regulator’s annual Scheme Funding Statistics Publication. In certain instances we have supplemented this with more recent CG assessments, or assessments estimated using in house models. For certain schemes in the population presented here, no CG is available from any of these sources, and generally fall into one of the following categories:
    • Are Defined Benefit SSAS (small self-administered schemes), which are exempt from Part 3 of the Pensions Act 2004, are not subject to the Triennial valuation regime, and thus no Covenant Assessment is conducted (nor valuation information available).
    • Are schemes which are in the process of winding-up, and also exempt from Part 3 and therefore no Covenant Grade (or valuation information).
    • Are schemes in surplus – covenant assessments are not routinely undertaken for schemes in surplus.
  • The percentile values for maturity were calculated after removing missing values or those reported as 0%

 

Table 1

Covenant Group 1 (Strong)

  Maturity (Ratio of pensioner TPs to total TPs)
Scheme size (assets) No. of Schemes No. of Members (thousands) Total Assets (£billion) Total TPs (£billion) Total Buyout Liabilities (£billion) % Open (% open to new members (no. of schemes)) % CTNM (% open to accrual (no. of schemes)) 25th percentile 50th percentile 75th percentile
< £10m 225  11 0.803 0.843 1.370 24% 35% 15% 38%  62%
£10m to £100m 369  120 14.333 15.262 20.148 9% 46% 28% 41% 54%
£100m to £500m 182  292 40.879 43.142 51.429 12% 50% 30% 42%  53%
£500m to £1bn  43 194 30.573 32.388 38.244 12% 56% 34% 42% 55%
£1bn to £5bn 46 456 104.667 110.316 123.566 11% 50% 38% 49%  59%
> £5bn  17 1,109 220.641 238.809 291.240 29% 65% 42% 51% 57%

 

Covenant group 2 (Tending to Strong)

  Maturity (Ratio of pensioner TPs to total TPs)
Scheme size (assets) No. of Schemes No. of Members (thousands) Total Assets (£billion) Total TPs (£billion) Total Buyout Liabilities (£billion) % Open (% open to new members (no. of schemes)) % CTNM (% open to accrual (no. of schemes)) 25th percentile 50th percentile 75th percentile
< £10m 645 34 2.868 3.215 4.362 16% 36% 24% 41% 59%
£10m to £100m 990 279 36.241 40.524 50.772 8% 43% 32% 44% 55%
£100m to £500m 369 563 82.794 92.492 111.179 11% 50% 33% 42% 53%
£500m to £1bn  87 405 62.619 70.220 80.951 15% 44% 31% 43% 56%
£1bn to £5bn 123 1,430 255.853 277.896 318.499 16% 63% 37% 47% 57%
> £5bn  28 2,317 408.361 436.727 520.564 11% 64% 37% 49% 62%

 

Covenant group 3 (Tending to Weak)

  Maturity (Ratio of pensioner TPs to total TPs)
Scheme size (assets) No. of Schemes No. of Members (thousands) Total Assets (£billion) Total TPs (£billion) Total Buyout Liabilities (£billion) % Open (% open to new members (no. of schemes)) % CTNM (% open to accrual (no. of schemes)) 25th percentile 50th percentile 75th percentile
< £10m 378 19 1.652 1.953 2.428 12% 39% 24% 41% 56%
£10m to £100m 582 178 22.046 26.105 32.306 8% 41% 33% 45% 55%
£100m to £500m 287 424 63.419 71.833 87.388 8% 49% 34% 44% 54%
£500m to £1bn  55 260 37.660 42.548 48.571 13% 45% 41% 44% 53%
£1bn to £5bn 61 743 136.157 148.439 175.736 13% 59% 39% 48% 57%
> £5bn  <10 334 55.645 61.239 69.801 50% 17% 36% 46% 52%

 

Covenant group 4 (Weak)

  Maturity (Ratio of pensioner TPs to total TPs)
Scheme size (assets) No. of Schemes No. of Members (thousands) Total Assets (£billion) Total TPs (£billion) Total Buyout Liabilities (£billion) % Open (% open to new members (no. of schemes)) % CTNM (% open to accrual (no. of schemes)) 25th percentile 50th percentile 75th percentile
< £10m 367 17 1.457 1.775 2.049 13% 38% 24% 42% 59%
£10m to £100m 336 90 10.875 13.622 15.557 7% 39% 33% 43% 55%
£100m to £500m 119 167 24.653 29.232 31.157 6% 40% 31% 46% 55%
£500m to £1bn  28 468 19.744 24.121 22.722 4% 64% 37% 45% 50%
£1bn to £5bn 21 296 42.299 46.678 50.611 14% 48% 38% 49% 57%
> £5bn  <10 45 23.845 30.033 25.610 0% 100% 44% 52% 60%

 

Schemes without CG ratings or Asset figures  No. of Schemes  No. of Members (thousands) 
439 501 

 

Table 2

Covenant Group 1 (Strong)

 
Scheme size (assets)
Proportion of schemes with Funding level (TPs) of:
< 70% 70% to 80% 80% to 90% 90% to 100% > 100%
< £10m 1.5% 1.8% 3.6% 8.5% 10.1%
£10m to £100m 1.7% 3.0% 8.4% 15.5% 13.3%
£100m to £500m 0.1%  1.4% 4.3% 7.7% 7.1%
£500m to £1bn  0.2% 0.1% 0.6% 2.8% 1.1%
£1bn to £5bn 0.0% 0.0% 1.3% 2.5% 1.5%
> £5bn  0.0% 0.0% 0.6% 0.7% 0.7%
 
Scheme size (assets)
Proportion of schemes with Funding level (buyout) of:
< 70% 70% to 80% 80% to 90% 90% to 100% > 100%
< £10m  11.9%  3.5%  4.4%  2.1%  3.0% 
£10m to £100m  23.9%  6.0%  5.0%  3.7%  3.4% 
£100m to £500m 9.3%  4.6%  3.1%  2.4%  1.4% 
£500m to £1bn   2.2%  0.8%  1.3%  0.6%  0.1% 
£1bn to £5bn  2.1%  1.3%  1.0%  0.8%  0.1% 
> £5bn   1.0%  0.2%  0.5%  0.1%  0.1% 

 

Covenant group 2 (Tending to Strong)

 
Scheme size (assets)
Proportion of schemes with Funding level (TPs) of:
< 70% 70% to 80% 80% to 90% 90% to 100% > 100%
< £10m 2.6% 4.1% 7.0% 8.1% 7.0%
£10m to £100m 2.1% 5.9% 11.8% 15.5% 8.9%
£100m to £500m 0.6%  2.3% 4.6% 6.4% 2.6%
£500m to £1bn  0.1% 0.6% 1.2% 1.4% 0.6%
£1bn to £5bn 0.0% 0.5% 1.4% 2.4% 1.1%
> £5bn  0.0% 0.0% 0.3% 0.5% 0.4%
 
Scheme size (assets)
Proportion of schemes with Funding level (buyout) of:
< 70% 70% to 80% 80% to 90% 90% to 100% > 100%
< £10m  18.9%  3.7% 2.9% 1.2% 1.6% 
£10m to £100m  30.0%  6.6% 4.3% 2.1%  1.5%
£100m to £500m 10.8%  2.3% 2.1%  0.8% 0.5%
£500m to £1bn   2.0% 0.8%  0.6% 0.4%  0.1% 
£1bn to £5bn  2.4%  1.4%  1.3% 0.3%  0.2% 
> £5bn   0.4%  0.5%  0.2%  0.1%  0.1% 

 

Covenant group 3 (Tending to Weak)

 
Scheme size (assets)
Proportion of schemes with Funding level (TPs) of:
< 70% 70% to 80% 80% to 90% 90% to 100% > 100%
< £10m 3.7% 4.8% 7.2% 7.4% 4.5%
£10m to £100m 4.3% 9.0% 11.4% 11.9% 5.9%
£100m to £500m 0.8% 3.1% 6.5% 7.9% 2.6%
£500m to £1bn  0.2% 0.3% 1.7% 1.4% 0.5%
£1bn to £5bn 0.2% 0.3% 1.2% 2.1% 0.7%
> £5bn  0.0% 0.0% 0.2% 0.3% 0.0%
 
Scheme size (assets)
Proportion of schemes with Funding level (buyout) of:
< 70% 70% to 80% 80% to 90% 90% to 100% > 100%
< £10m  20.3%  2.4% 2.3% 1.1% 1.3%
£10m to £100m  32.4%  5.1% 2.5%  1.5% 1.2%
£100m to £500m 14.0%  3.4% 2.4% 0.9% 0.2%
£500m to £1bn   2.6% 0.7%  0.5% 0.2%  0.0% 
£1bn to £5bn  2.8%  1.0%  0.5% 0.2%  0.1% 
> £5bn   0.3% 0.1%  0.1%  0.0%  0.0% 

 

Covenant group 4 (Weak)

 
Scheme size (assets)
Proportion of schemes with Funding level (TPs) of:
< 70% 70% to 80% 80% to 90% 90% to 100% > 100%
< £10m 7.5% 6.5% 7.5% 9.3% 11.2%
£10m to £100m 8.1% 7.6% 7.5% 8.7% 6.7%
£100m to £500m 1.7% 3.3% 3.1% 3.8% 1.7%
£500m to £1bn  0.7% 0.5% 0.9% 0.9% 0.2%
£1bn to £5bn 0.2% 0.1% 0.5% 1.0% 0.6%
> £5bn  0.0% 0.1% 0.0% 0.1% 0.0%
 
Scheme size (assets)
Proportion of schemes with Funding level (buyout) of:
< 70% 70% to 80% 80% to 90% 90% to 100% > 100%
< £10m  27.1%  5.4% 3.6% 2.5% 2.9%
£10m to £100m  29.1%  4.3% 2.5% 1.9% 1.2%
£100m to £500m 9.9% 1.5% 1.2% 0.6% 0.5%
£500m to £1bn   1.7%  0.5%  0.5% 0.2% 0.0% 
£1bn to £5bn  1.3%  0.4% 0.4% 0.4%  0.1% 
> £5bn   0.0%  0.2%  0.0%  0.0%  0.0%