The aggregate deficit of the 6,432 schemes in the PPF 7800 index is estimated to have increased over the month to £283.0bn at the end of July 2012, from a deficit of £267.0bn at the end of June, the Pension Protection Fund (PPF) says.

Movements in the PPF 7800 index illustrate how the PPF's exposure to the scheme deficits in its universe of eligible schemes is changing in response to financial market movements.

The position has worsened on the previous year, when a deficit of £78.0bn was recorded at the end of July 2011 but up from earlier this year in May when the deficit had increased to a new record for UK DB pension schemes.

The funding ratio of schemes fell this month from 79.6% to 78.9% at the end of July 2012. The funding ratio is lower than the 92.7% recorded in July 2011.

Within the index, total scheme assets amounted to £1057.5bn at the end of July 2012. Over the month, scheme assets rose by 1.6% and over the year there was an increase of 6.9%. Total scheme liabilities were £1340.5bn at the end of July 2012, an increase of 2.5% over the month and an increase of 25.6% over the year.

Scheme liabilities are sensitive to the yields available on a range of conventional and index-linked gilts. Liabilities are also time-sensitive in that, even if gilt yields were unchanged, scheme liabilities would increase as the point of payment approaches. Over the past month liabilities decreased by 2.5%, mainly reflecting a rise in gilt yields.

The aggregate deficit of all schemes in deficit at the end of July 2012 is estimated to have increased to £306.5bn from £291.3bn at the end of June 2012. At the end of July 2011 the equivalent figure was £129.6bn.

At the end of July 2012, the total surpluses of schemes in surplus decreased to £23.5bn from £24.2bn at the end of June 2012. At the end of July 2011, the total surplus of all schemes in surplus stood at £51.6bn.

The number of schemes in deficit at the end of July 2012 increased to 5,418 representing 84.2% of the total 6,432 DB schemes, this figure is also up from last month as well as the same period last year.

Though the monthly figures are generally quite volatile due to the high weighing of equities, they give an indication of how the long-term costs of pension schemes have risen.

First published 13.08.2012

azeevalkink@wilmington.co.uk