The aggregate surplus of UK defined benefit (DB) pension schemes in the Pension Protection Fund’s (PPF) 7800 Index fell by £9.9bn during March 2026, resting at a £263.8bn surplus.

The latest update to the index, which reflected the scheme valuation data submitted to The Pensions Regulator as part of 4,838 schemes’ annual returns, showed a slight decline from February’s £273.7bn surplus.

Commenting on this latest update, PPF chief actuary, Shalin Bhagwan, said: “Global markets were highly volatile through March as the escalation of the US/ Israel/ Iran conflict triggered a global energy supply shock.

"Although equities stabilised towards the end of the month following indications of possible ceasefire talks, markets still ended March lower overall. At the same time, higher oil and gas prices pushed up inflation expectations, driving gilt yields higher and flipping market pricing for the UK from expecting rate cuts in 2026 to rate hikes.

“Against this backdrop, the PPF-eligible universe saw a £9.9bn fall in the aggregate funding position, reflecting weaker equity markets. However, the funding ratio improved by 0.6 percentage points to 131.4 per cent, as liabilities fell, highlighting the resilience of DB funding and the extent to which higher discount rates can offset market stress."

Despite the fall over the past month, figures remain significantly higher (£+49.9bn) than a year ago, when the aggregate funding position was £213.9bn.

Broadstone senior actuarial director, Jaime Norman, commented: “Pension scheme funding dropped back in March as equity market volatility and widening credit spreads caused a slight deterioration. The funding position for most schemes nonetheless remains far healthier than a year ago, with the aggregate funding position up by around £50bn, highlighting the continued optionality available to many trustees.

“It now looks likely that a new wave of inflationary pressure is likely to hit the market, with interest rate expectations rising as a result, which could impact those schemes that do not have a matched strategy in place. Trustees and scheme managers should continue to monitor their investment strategy to protect their long-term objectives and support their members.”

Standard Life MD for pensions risk transfer and individual retirement, Claire Altman, added that many schemes have put in place beneficial strategies since 2022.

“Whilst there have been reports that a small number of schemes have experienced cash calls on their LDI positions as gilt markets have moved, this is not unexpected given how hedging programmes operate in periods of volatility.

"It’s important to remember that we are now operating in a world of more persistent inflation, higher interest rates and greater geopolitical risk, which inevitably puts pressure on investment strategies. While higher long-term interest rates can support funding by reducing the value of liabilities relative to assets, the benefit depends on the extent to which schemes are hedged.

"For schemes where funding levels remain strong, moving to buy-out can be an attractive option, removing exposure to market and operational risk altogether and giving trustees and sponsors long-term certainty that members’ benefits are fully secured.”

This article was first published on our sister website, Pensions Age.

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