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Pensions (Tables) | 12 Months Ended
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Dec. 31, 2021
Pensions |
Major classes of plan assets as a percentage of total plan assets | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Major classes of plan assets as a percentage of | ​ | 2021 | ​ | 2020
total plan assets of the Main section |  | Quoted |  | Unquoted |  | Total |  | Quoted |  | Unquoted |  | Total
​ | ​ | % | ​ | % | ​ | % | ​ | % | ​ | % | ​ | %
Equities | ​ | 3.7 | ​ | 4.7 | ​ | 8.4 | ​ | 3.9 | ​ | 4.6 | ​ | 8.5
Index linked bonds |  | 46.7 | ​ | — | ​ | 46.7 | ​ | 49.4 | ​ | — | ​ | 49.4
Government bonds |  | 9.8 | ​ | — | ​ | 9.8 | ​ | 6.2 | ​ | — | ​ | 6.2
Corporate and other bonds |  | 10.7 | ​ | 4.4 | ​ | 15.1 | ​ | 11.8 | ​ | 5.0 | ​ | 16.8
Real estate |  | — |  | 4.4 | ​ | 4.4 | ​ | — | ​ | 4.2 | ​ | 4.2
Derivatives |  | — |  | 8.8 | ​ | 8.8 | ​ | — | ​ | 10.0 | ​ | 10.0
Cash and other assets |  | — |  | 6.8 | ​ | 6.8 | ​ | — | ​ | 4.9 | ​ | 4.9
​ |  | 70.9 | ​ | 29.1 | ​ | 100.0 | ​ | 71.3 | ​ | 28.7 | ​ | 100.0
Summary of derivative instruments | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2021 | ​ | 2020
​ | ​ | Notional | ​ | Fair value | ​ | Notional | ​ | Fair value
​ |  | amounts |  | Assets |  | Liabilities |  | amounts |  | Assets |  | Liabilities
​ | ​ | £bn | ​ | £m | ​ | £m | ​ | £bn | ​ | £m | ​ | £m
Inflation rate swaps |  | 20 |  | 1,408 |  | 796 |  | 18 |  | 1,390 |  | 1,716
Interest rate swaps |  | 172 |  | 8,385 |  | 4,421 |  | 68 |  | 11,197 |  | 6,215
Currency forwards |  | 12 |  | 61 |  | 98 |  | 11 |  | 334 |  | 38
Equity and bond call options |  | — |  | 1 |  | — |  | 1 |  | 169 |  | 1
Equity and bond put options |  | — |  | 1 |  | 3 |  | 3 |  | 1 |  | 19
Other |  | 1 |  | 9 |  | 10 |  | 2 |  | 63 |  | 17
​
Changes in value of net pension liability | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Main section | ​ | All schemes
​ |  |  |  | Present value |  | Asset |  | Net |  |  |  | Present value |  | Asset |  | Net
​ | ​ | Fair | ​ | of defined | ​ | ceiling/ | ​ | pension | ​ | Fair | ​ | of defined | ​ | ceiling/ | ​ | pension
​ | ​ | value of | ​ | benefit | ​ | minimum | ​ | (assets)/ | ​ | value of | ​ | benefit | ​ | minimum | ​ | (assets)/
​ | ​ | plan assets | ​ | obligation | ​ | funding | ​ | liability | ​ | plan assets | ​ | obligation | ​ | funding | ​ | liability
Changes in value of net pension (assets)/liability | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m
At 1 January 2020 |  | 46,555 |  | 39,669 |  | 6,886 |  | — |  | 51,925 |  | 44,115 |  | 7,315 |  | (495)
Currency translation and other adjustments | ​ | — | ​ | 4 | ​ | — | ​ | 4 | ​ | 92 | ​ | 71 | ​ | — | ​ | (21)
Income statement | ​ | 936 | ​ | 954 | ​ | 141 | ​ | 159 | ​ | 1,037 | ​ | 1,103 | ​ | 149 | ​ | 215
Statement of comprehensive income | ​ | 5,486 | ​ | 5,130 | ​ | 426 | ​ | 70 | ​ | 6,027 | ​ | 5,704 | ​ | 319 | ​ | (4)
Contributions by employer | ​ | 233 | ​ | — | ​ | — | ​ | (233) | ​ | 296 | ​ | — | ​ | — | ​ | (296)
Contributions by plan participants and other scheme members | ​ | 9 | ​ | 9 | ​ | — | ​ | — | ​ | 14 | ​ | 14 | ​ | — | ​ | —
Assets/liabilities extinguished upon settlement | ​ | — | ​ | — | ​ | — | ​ | — | ​ | (2) | ​ | (3) | ​ | — | ​ | (1)
Benefits paid | ​ | (1,896) | ​ | (1,896) | ​ | — | ​ | — | ​ | (2,140) | ​ | (2,140) | ​ | — | ​ | —
At 1 January 2021 | ​ | 51,323 | ​ | 43,870 | ​ | 7,453 | ​ | — | ​ | 57,249 | ​ | 48,864 | ​ | 7,783 | ​ | (602)
Currency translation and other adjustments | ​ | — | ​ | — | ​ | — | ​ | — | ​ | (129) | ​ | (116) | ​ | (3) | ​ | 10
Income statement | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net interest expense | ​ | 713 | ​ | 603 | ​ | 105 | ​ | (5) | ​ | 795 | ​ | 676 | ​ | 109 | ​ | (10)
Current service cost | ​ | — | ​ | 158 | ​ | — | ​ | 158 | ​ | — | ​ | 213 | ​ | — | ​ | 213
Past service cost | ​ | — | ​ | 6 | ​ | — | ​ | 6 | ​ | — | ​ | 12 | ​ | — | ​ | 12
​ | ​ | 713 | ​ | 767 | ​ | 105 | ​ | 159 | ​ | 795 | ​ | 901 | ​ | 109 | ​ | 215
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Statement of comprehensive income | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Return on plan assets excluding recognised interest income | ​ | 841 | ​ | — | ​ | — | ​ | (841) | ​ | 872 | ​ | — | ​ | — | ​ | (872)
Experience gains and losses | ​ | — | ​ | (241) | ​ | — | ​ | (241) | ​ | — | ​ | (236) | ​ | — | ​ | (236)
Effect of changes in actuarial financial assumptions | ​ | — | ​ | (1,165) | ​ | — | ​ | (1,165) | ​ | — | ​ | (1,204) | ​ | — | ​ | (1,204)
Effect of changes in actuarial demographic assumptions | ​ | — | ​ | 350 | ​ | — | ​ | 350 | ​ | — | ​ | 379 | ​ | — | ​ | 379
Asset ceiling adjustments | ​ | — | ​ | — | ​ | 2,443 | ​ | 2,443 | ​ | — | ​ | — | ​ | 2,602 | ​ | 2,602
​ | ​ | 841 | ​ | (1,056) | ​ | 2,443 | ​ | 546 | ​ | 872 | ​ | (1,061) | ​ | 2,602 | ​ | 669
Contributions by employer | ​ | 705 | ​ | — | ​ | — | ​ | (705) | ​ | 780 | ​ | — | ​ | — | ​ | (780)
Contributions by plan participants and other scheme members | ​ | 8 | ​ | 8 | ​ | — | ​ | — | ​ | 13 | ​ | 13 | ​ | — | ​ | —
Assets/liabilities extinguished upon settlement | ​ | — | ​ | — | ​ | — | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
Benefits paid | ​ | (1,569) | ​ | (1,569) | ​ | — | ​ | — | ​ | (1,793) | ​ | (1,793) | ​ | — | ​ | —
At 31 December 2021 | ​ | 52,021 | ​ | 42,020 | ​ | 10,001 | ​ | — | ​ | 57,787 | ​ | 46,808 | ​ | 10,491 | ​ | (488)
​
(1) | Defined benefit obligations are subject to annual valuation by independent actuaries.
(2) | NatWest Group recognises the net pension scheme surplus or deficit as a net asset or liability. In doing so, the funded status is adjusted to reflect any schemes with a surplus that NatWest Group may not be able to access, as well as any minimum funding requirement to pay in additional contributions. This is most relevant to the Main section, where the surplus is not recognised as the trustees may have control over the use of the surplus. Other NatWest Group schemes that this applies to include the Ulster Bank Pension Scheme (NI) and the NatWest Markets section.
(3) | NatWest Group expects to make contributions to the Main section of £714 million in 2022. Following the £500 million contribution in March 2021, additional contributions of up to £500 million will be paid to the Main section in 2022, should NatWest Group make further distributions in 2022. This leaves one remaining payment of up to £500 million to be paid to the Main Section after 2022, in line with the ring-fencing agreement with the Trustee. Such contributions do not constitute a minimum funding requirement as the obligation to pay only arises on the payment of a distribution to shareholders.
​ 5 Pensions continued
​ | ​ | ​ | ​ | ​
​ | ​ | All schemes
​ |  | 2021 |  | 2020
Amounts recognised on the balance sheet | ​ | £m | ​ | £m
Fund asset at fair value |  | 57,787 |  | 57,249
Present value of fund liabilities |  | 46,808 |  | 48,864
Funded status |  | 10,979 |  | 8,385
Assets ceiling/minimun funding |  | 10,491 |  | 7,783
​ |  | 488 |  | 602
​
​ | ​ | ​ | ​ | ​
​ |  | 2021 |  | 2020
Net pension assets/(liability) comprises | ​ | £m | ​ | £m
Net assets of schemes in surplus (included in Other assets, Note 18) |  | 602 |  | 723
Net liabilities of schemes in deflicit (included in Other liabilities, Note 21) |  | (114) |  | (121)
​ |  | 488 |  | 602
​
Schedule of income statement charge | ​
​ | ​ | ​ | ​ | ​
​ |  | 2021 |  | 2020
​ | ​ | £m | ​ | £m
Continuing operations | ​ | 196 | ​ | 195
Discontinued operations |  | 19 |  | 20
​
(1) | Comparative results have been re-presented from those previously published to reclassify certain operations as discontinued operations as described in Note 8.
​
Principal actuarial assumptions | ​
​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Principal IAS 19 actuarial assumptions | ​
​ |  | 2021 |  | 2020 |
​ | ​ | % | ​ | % | ​
Discount rate |  | 1.8 |  | 1.4 |
Inflation assumption (RPI) |  | 3.3 |  | 2.9 |
Rate of increase in salaries |  | 1.8 |  | 1.8 |
Rate of increase in deferred pensions |  | 3.7 |  | 3.0 |
Rate of increase in pensions in payment |  | 2.5 |  | 2.7 |
Lump sum conversion rate at retirement |  | 18 |  | 20 |
Longevity at age 60: |  | years |  | years |
Current pensioners | ​ | ​ | ​ | ​ | ​
Males |  | 27.3 |  | 27.1 |
Females |  | 29.0 |  | 29.0 |
Future pensioners, currently aged 40 |  | ​ |  | ​ |
Males |  | 28.2 |  | 28.3 |
Females |  | 30.1 |  | 30.4 |
​
Sensitivities of the present value of defined benefit obligations | ​
​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | (Decrease)/ | ​ | (Decrease)/ | ​ | Increase in
​ | ​ | increase in | ​ | increase in | ​ | net pension
​ | ​ | value of | ​ | value of | ​ | (obligations)/
​ |  | assets |  | liabilities |  | assets
2021 | ​ | £m | ​ | £m | ​ | £m
0.25% increase in interest rates/discount rate | ​ | (2,917) | ​ | (1,926) | ​ | (991)
0.25% increase in inflation | ​ | 1,883 | ​ | 1,329 | ​ | 554
0.25% increase in credit spreads | ​ | (3) | ​ | (1,926) | ​ | 1,923
Longevity increase of one year | ​ | — | ​ | 1,790 | ​ | (1,790)
0.25% additional rate of increase in pensions in payment | ​ | — | ​ | 1,485 | ​ | (1,485)
Increase in equity values of 10% (1) | ​ | 442 | ​ | — | ​ | 442
2020 | ​ | ​ | ​ | ​ | ​ | ​
0.25% increase in interest rates/discount rate |  | (2,585) | ​ | (2,384) |  | (201)
0.25% increase in inflation |  | 2,204 | ​ | 1,603 |  | 601
0.25% increase in credit spreads |  | (6) | ​ | (2,384) |  | 2,378
Longevity increase of one year | ​ | — | ​ | 1,930 | ​ | (1,930)
0.25% additional rate of increase in pensions in payment | ​ | — | ​ | 1,608 | ​ | (1,608)
Increase in equity values of 10% (1) |  | 454 | ​ | — |  | 454
​
(1) | Includes both quoted and private equity.
The funded status is most sensitive to movements in credit spreads and longevity. The table below shows the combined change in the funded status of the Main section as a result of larger movements in these assumptions, assuming no changes in other assumptions. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ |  | Change in life expectancies
​ | ​ | ​ |  | -2 years |  | -1 years |  | No change |  | + 1 year |  | + 2 years
2021 |  |  |  | £bn |  | £bn |  | £bn |  | £bn |  | £bn
Change in credit spreads |  | +50 bps |  | 6.9 |  | 5.3 |  | 3.8 |  | 2.3 |  | 0.8
​ |  | No change |  | 3.6 |  | 1.8 |  | — |  | (1.8) |  | (3.6)
​ |  | -50 bps |  | (0.3) |  | (2.4) |  | (4.5) |  | (6.6) |  | (8.7)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
2020 | ​ | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
Change in credit spreads |  | +50 bps |  | 7.8 |  | 6.1 |  | 4.5 |  | 2.9 |  | 1.3
​ |  | No change |  | 3.9 |  | 1.9 |  | — |  | (1.9) |  | (3.9)
​ |  | -50 bps |  | (0.6) |  | (2.8) |  | (5.1) |  | (7.4) |  | (9.7)
Different classes of scheme members proportions | ​
​ | ​ | ​ | ​ | ​
​ |  | 2021 |  | 2020
Membership category | ​ | % | ​ | %
Active members |  | 10.7 |  | 14.2
Deferred members |  | 47.6 |  | 50.9
Pensioners and dependants |  | 41.7 |  | 34.9
​ |  | 100.0 |  | 100.0
History of defined benefit schemes | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Main section | ​ | All schemes |
​ |  | 2021 |  | 2020 |  | 2019 |  | 2018 |  | 2017 |  | 2021 |  | 2020 |  | 2019 |  | 2018 |  | 2017 |
History of defined benefit schemes | ​ | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |
Fair value of plan assets | ​ | 52,021 |  | 51,323 |  | 46,555 |  | 43,806 |  | 44,652 |  | 57,787 |  | 57,249 |  | 51,925 |  | 48,752 |  | 49,746 | ​
Present value of plan obligations | ​ | 42,020 |  | 43,870 |  | 39,669 |  | 35,466 |  | 37,937 |  | 46,808 |  | 48,864 |  | 44,115 |  | 39,607 |  | 42,378 | ​
Net surplus/(deficit) | ​ | 10,001 |  | 7,453 |  | 6,886 |  | 8,340 |  | 6,715 |  | 10,979 |  | 8,385 |  | 7,810 |  | 9,145 |  | 7,368 | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Experience gains/(losses) on plan liabilities | ​ | 241 |  | 427 |  | 275 |  | (122) |  | (107) |  | 237 |  | 455 |  | 279 |  | (81) |  | (93) | ​
Experience gains/(losses) on plan assets | ​ | 841 |  | 5,486 |  | 3,021 |  | (1,891) |  | 1,580 |  | 872 |  | 6,027 |  | 3,556 |  | (2,090) |  | 1,728 | ​
Actual return on plan assets | ​ | 1,554 |  | 6,422 |  | 4,266 |  | (768) |  | 2,735 |  | 1,667 |  | 7,064 |  | 4,930 |  | (848) |  | 3,013 | ​
Actual return on plan assets % | ​ | 3.0% | ​ | 13.8 | % | 9.7 | % | (1.7) | % | 6.2 | % | 2.9 | % | 13.6 | % | 10.1 | % | (1.7) | % | 6.1 | %

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