The aggregate surplus of defined benefit (DB) pension schemes fell by £5.5bn in October to £441.4bn, the latest Pension Protection Fund (PPF) 7800 Index has revealed.

The tracker showed that total assets had fallen from £1,387.5bn to £1,371bn as at the end of October 2023, although this was partially offset as total liabilities had also fallen from £940.6bn to £929.6bn.

The number of schemes in deficit increased over the past month, as the PPF found that there were 473 schemes in deficit, up from 461 in September, and 4,658 schemes in surplus, down from 4,670.

The deficit of the schemes in deficit at the end of October 2023 had also grown, rising from £2.2bn at the end of September to £2.3bn at the end of October.

Despite the changes, the PPF found that the funding ratio remained unchanged at 147.5 per cent at the end of October 2023.

However, PPF chief actuary, Shalin Bhagwan, argued that the unchanged funding ratio “masks a somewhat challenging month for asset markets with global bond markets grappling with continued heavy government issuance as well as the uncertain long-term outlook for interest rates; the latter potentially driven by divergent views amongst central bank policy makers in response to incoming economic data”.

This, according to Bhagwan, led to market volatility, both in gilts and return assets, and the overall result was that the estimated value of both assets and liabilities fell slightly.

“In light of the marginal changes seen in the aggregate surplus of schemes and an increase in the number of schemes in deficit, it is important to bear in mind the approximate nature of the PPF 7800 in projecting assets and liabilities," he continued.

“However, as our chief investment officer, Barry Kenneth, said while giving evidence at the Work and Pensions Select Committee last week, it plays a vital role in helping us to understand the underfunding risk in the PPF eligible universe, where it also provides context for the wider PPF levy and investment strategies."

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