14 December 2011
The Pension Protection Fund produces a monthly index update (the December release has data taken as at 30 November) of the estimated funding position of the defined benefit schemes potentially eligible for entry into the Fund.
Total scheme deficits showed an increase from £158.6bn as at end October to £222.1bn as at end November. This retraced the improvement over last month and established a new extreme for 2011 : aggregate deficit levels are now only just better than the peak level seen in 2009.
The reasons for the change were entirely different to the October figures : asset values were broadly unchanged despite some intra-month volatility. the deficit change was entirely down to a steep increase in the assessed value of liabilities due to changes in bond yields. By way of illustration, the yield on the 20 year gilt fell by almost 25bp over the month.
A full report is provided by the PPF at this external page