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v3.22.4

Pensions (Tables) | 12 Months Ended
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Dec. 31, 2022
Pensions |
Schedule of major classes of plan assets as a percentage of total plan assets | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2022 | ​ | 2021
Major classes of plan assets as a percentage of |  | Quoted |  | Unquoted |  | Total |  | Quoted |  | Unquoted |  | Total
total plan assets of the Main section | ​ | % | ​ | % | ​ | % | ​ | % | ​ | % | ​ | %
Equities | ​ | 0.1 | ​ | 7.7 | ​ | 7.8 | ​ | 3.7 | ​ | 4.7 | ​ | 8.4
Index linked bonds |  | 37.7 | ​ | — | ​ | 37.7 | ​ | 46.7 | ​ | — | ​ | 46.7
Government bonds |  | 18.4 | ​ | — | ​ | 18.4 | ​ | 9.8 | ​ | — | ​ | 9.8
Corporate and other bonds |  | 15.3 | ​ | 6.7 | ​ | 22.0 | ​ | 10.7 | ​ | 4.4 | ​ | 15.1
Real estate |  | — |  | 6.0 | ​ | 6.0 | ​ | — | ​ | 4.4 | ​ | 4.4
Derivatives |  | — |  | 8.2 | ​ | 8.2 | ​ | — | ​ | 8.8 | ​ | 8.8
Cash and other assets | ​ | — | ​ | (0.1) | ​ | (0.1) | ​ | — | ​ | 6.8 | ​ | 6.8
​ |  | 71.5 | ​ | 28.5 | ​ | 100.0 | ​ | 70.9 | ​ | 29.1 | ​ | 100.0
​
Summary of derivative instruments | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2022 | ​ | 2021
​ | ​ | Notional | ​ | Fair value | ​ | Notional | ​ | Fair value
​ |  | amounts |  | Assets |  | Liabilities |  | amounts |  | Assets |  | Liabilities
​ | ​ | £bn | ​ | £m | ​ | £m | ​ | £bn | ​ | £m | ​ | £m
Inflation rate swaps |  | 21 |  | 1,873 |  | 990 |  | 20 |  | 1,408 |  | 796
Interest rate swaps |  | 103 |  | 14,317 |  | 12,546 |  | 172 |  | 8,385 |  | 4,421
Currency forwards |  | 12 |  | 310 |  | 113 |  | 12 |  | 61 |  | 98
Equity and bond call options |  | — |  | — |  | — |  | — |  | 1 |  | —
Equity and bond put options |  | — |  | 2 |  | 70 |  | — |  | 1 |  | 3
Other |  | 1 |  | 14 |  | 19 |  | 1 |  | 9 |  | 10
​
Schedule of 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 (1) | ​ | funding | ​ | (liability) (2) | ​ | plan assets | ​ | obligation (2) | ​ | funding | ​ | (liability) (2)
Changes in value of net pension assets/(liability) | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m
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 - operating expenses | ​ | 713 | ​ | (767) | ​ | (105) | ​ | (159) | ​ | 795 | ​ | (901) | ​ | (109) | ​ | (215)
Other comprehensive income | ​ | 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 1 January 2022 | ​ | 52,021 | ​ | (42,020) | ​ | (10,001) | ​ | — | ​ | 57,787 | ​ | (46,808) | ​ | (10,491) | ​ | 488
Currency translation and other adjustments | ​ | — | ​ | — | ​ | — | ​ | — | ​ | 78 | ​ | (65) | ​ | (11) | ​ | 2
Income statement - operating expenses | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net interest expense | ​ | 932 | ​ | (744) | ​ | (180) | ​ | 8 | ​ | 1,041 | ​ | (834) | ​ | (191) | ​ | 16
Current service cost | ​ | — | ​ | (143) | ​ | — | ​ | (143) | ​ | — | ​ | (194) | ​ | — | ​ | (194)
Past service cost | ​ | — | ​ | (5) | ​ | — | ​ | (5) | ​ | — | ​ | (6) | ​ | — | ​ | (6)
Loss on curtailments and settlements | ​ | — | ​ | — | ​ | — | ​ | — | ​ | — | ​ | (21) | ​ | — | ​ | (21)
​ | ​ | 932 | ​ | (892) | ​ | (180) | ​ | (140) | ​ | 1,041 | ​ | (1,055) | ​ | (191) | ​ | (205)
Other comprehensive income | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Return on plan assets excluding recognised interest income (3) | ​ | (18,180) | ​ | — | ​ | — | ​ | (18,180) | ​ | (20,326) | ​ | — | ​ | — | ​ | (20,326)
Experience gains and losses | ​ | — | ​ | (2,053) | ​ | — | ​ | (2,053) | ​ | — | ​ | (2,137) | ​ | — | ​ | (2,137)
Effect of changes in actuarial financial assumptions (3) | ​ | — | ​ | 18,744 | ​ | — | ​ | 18,744 | ​ | — | ​ | 20,714 | ​ | — | ​ | 20,714
Effect of changes in actuarial demographic assumptions | ​ | — | ​ | 23 | ​ | — | ​ | 23 | ​ | — | ​ | (7) | ​ | — | ​ | (7)
Asset ceiling adjustments | ​ | — | ​ | — | ​ | 898 | ​ | 898 | ​ | — | ​ | — | ​ | 916 | ​ | 916
​ | ​ | (18,180) | ​ | 16,714 | ​ | 898 | ​ | (568) | ​ | (20,326) | ​ | 18,570 | ​ | 916 | ​ | (840)
Contributions by employer | ​ | 708 | ​ | — | ​ | — | ​ | 708 | ​ | 775 | ​ | — | ​ | — | ​ | 775
Contributions by plan participants and other scheme members | ​ | 7 | ​ | (7) | ​ | — | ​ | — | ​ | 13 | ​ | (13) | ​ | — | ​ | —
Assets/liabilities extinguished upon settlement | ​ | — | ​ | — | ​ | — | ​ | — | ​ | (113) | ​ | 113 | ​ | — | ​ | —
Benefits paid | ​ | (1,472) | ​ | 1,472 | ​ | — | ​ | — | ​ | (1,657) | ​ | 1,657 | ​ | — | ​ | —
At 31 December 2022 | ​ | 34,016 | ​ | (24,733) | ​ | (9,283) | ​ | — | ​ | 37,598 | ​ | (27,601) | ​ | (9,777) | ​ | 220
​
(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) | Changes in market conditions during 2022 resulted in a particularly large increase in discount rate, which is the key driver of the effect of changes in actuarial financial assumptions. Given the level of hedging in place, there was a corresponding reduction in the value of plan assets over the period. The experience losses shown are mainly as a result of inflation over the year being higher than expected.
(4) | NatWest Group expects to make contributions to the Main section of £196 million in 2023. In 2022 NatWest Group made contributions of £708 m to the Main scheme, including a £500 m contribution paid in two instalments in January and March 2022 as required by 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.
​
​ | ​ | ​ | ​ | ​
​ | ​ | All schemes
​ |  | 2022 |  | 2021
Amounts recognised on the balance sheet | ​ | £m | ​ | £m
Fund asset at fair value |  | 37,598 |  | 57,787
Present value of fund liabilities |  | (27,601) |  | (46,808)
Funded status |  | 9,997 |  | 10,979
Assets ceiling/minimum funding |  | (9,777) |  | (10,491)
​ |  | 220 |  | 488
​
​ | ​ | ​ | ​ | ​
​ |  | 2022 |  | 2021
Net pension assets/(liability) comprises | ​ | £m | ​ | £m
Net assets of schemes in surplus (included in Other assets, Note 18) |  | 318 |  | 602
Net liabilities of schemes in deficit (included in Other liabilities, Note 21) |  | (98) |  | (114)
​ |  | 220 |  | 488
​
Schedule of principal actuarial assumptions | ​
​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Principal IAS 19 actuarial assumptions (1) | ​
​ |  | 2022 |  | 2021 |
​ | ​ | % | ​ | % | ​
Discount rate |  | 5.0 |  | 1.8 |
Inflation assumption (RPI) |  | 3.2 |  | 3.3 |
Rate of increase in salaries |  | 1.8 |  | 1.8 |
Rate of increase in deferred pensions |  | 3.2 |  | 3.7 |
Rate of increase in pensions in payment |  | 2.5 |  | 2.5 |
Lump sum conversion rate at retirement |  | 18 |  | 18 |
Longevity at age 60: |  | years |  | years |
Current pensioners | ​ | ​ | ​ | ​ | ​
Males |  | 27.3 |  | 27.3 |
Females |  | 29.1 |  | 29.0 |
Future pensioners, currently aged 40 |  | ​ |  | ​ |
Males |  | 28.3 |  | 28.2 |
Females |  | 30.1 |  | 30.1 |
​
(1) | The above financial assumptions are long term assumptions set with reference to the period over which the obligations are expected to be settled
Schedule of 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
2022 | ​ | £m | ​ | £m | ​ | £m
0.25% increase in interest rates/discount rate (2) | ​ | (1,389) | ​ | (907) | ​ | (482)
0.25% increase in inflation | ​ | 963 | ​ | 632 | ​ | 331
0.25% increase in credit spreads | ​ | (3) | ​ | (907) | ​ | 904
Longevity increase of one year | ​ | — | ​ | 767 | ​ | (767)
0.25% additional rate of increase in pensions in payment | ​ | — | ​ | 679 | ​ | (679)
Increase in equity values of 10% (1) | ​ | 267 | ​ | — | ​ | 267
2021 | ​ | ​ | ​ | ​ | ​ | ​
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
​
(1) | Includes both quoted and private equity.
(2) | A 0.5% increase in interest rates/discount rate would lead to a decrease of £2,689 m in the value of assets and a £1,766 m decrease in the value of liabilities at 31 December 2022.
The funded status is most sensitive to movements in credit spreads and longevity. Note the longevity sensitivities quoted above reflect the impact of a one year increase to single life annuities. 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
2022 |  |  |  | £bn |  | £bn |  | £bn |  | £bn |  | £bn
Change in credit spreads |  | +50 bps |  | 3.2 |  | 2.5 |  | 1.8 |  | 1.1 |  | 0.4
​ |  | No change |  | 1.6 |  | 0.8 |  | — |  | (0.8) |  | (1.5)
​ |  | -50 bps |  | (0.3) |  | (1.2) |  | (2.0) |  | (2.8) |  | (3.6)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
2021 | ​ | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
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)
​
Schedule of different classes of scheme members proportions | ​
​ | ​ | ​ | ​ | ​
​ |  | 2022 |  | 2021
Membership category | ​ | % | ​ | %
Active members |  | 8.4 |  | 10.7
Deferred members |  | 41.0 |  | 47.6
Pensioners and dependants |  | 50.6 |  | 41.7
​ |  | 100.0 |  | 100.0
​
Schedule of history of defined benefit schemes | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Main section | ​ | All schemes |
​ |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | 2018 |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | 2018 |
History of defined benefit schemes | ​ | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |
Fair value of plan assets | ​ | 34,016 |  | 52,021 |  | 51,323 |  | 46,555 |  | 43,806 |  | 37,598 |  | 57,787 |  | 57,249 |  | 51,925 |  | 48,752 |
Present value of plan obligations | ​ | (24,733) |  | (42,020) |  | (43,870) |  | (39,669) |  | (35,466) |  | (27,601) |  | (46,808) |  | (48,864) |  | (44,115) |  | (39,607) |
Net surplus | ​ | 9,283 |  | 10,001 |  | 7,453 |  | 6,886 |  | 8,340 |  | 9,997 |  | 10,979 |  | 8,385 |  | 7,810 |  | 9,145 |
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Experience (losses)/gains on plan liabilities | ​ | (2,053) |  | 241 |  | 427 |  | 275 |  | (122) |  | (2,137) |  | 237 |  | 455 |  | 279 |  | (81) |
Experience (losses)/gains on plan assets | ​ | (18,180) |  | 841 |  | 5,486 |  | 3,021 |  | (1,891) |  | (20,326) |  | 872 |  | 6,027 |  | 3,556 |  | (2,090) |
Actual return on plan assets | ​ | (17,248) |  | 1,554 |  | 6,422 |  | 4,266 |  | (768) |  | (19,285) |  | 1,667 |  | 7,064 |  | 4,930 |  | (848) |
Actual return on plan assets | ​ | (33.2) | % | 3.0 | % | 13.8 | % | 9.7 | % | (1.7) | % | (33.4) | % | 2.9 | % | 13.6 | % | 10.1 | % | (1.7) | %

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- Definition The disclosure of a sensitivity analysis for significant actuarial assumptions used to determine the present value of a defined benefit obligation. [Refer: Actuarial assumptions [member]; Defined benefit obligation, at present value] + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Name IAS -Number 19 -IssueDate 2022-03-24 -Paragraph 145 -URI https://taxonomy.ifrs.org/xifrs-link?type=IAS&num=19&code=ifrs-tx-2022-en-r&anchor=para_145&doctype=Standard -URIDate 2022-03-24 + Details
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