UNITED TECHNOLOGIES CORPORATION (UK) PENSION SCHEME YEAR ENDED 31 DECEMBER 2024
NOTES TO THE FINANCIAL STATEMENTS
Forward foreign currency contracts
Currency bought
Currency sold
Number of contracts
Expires within
Nominal value
Fair value Assets
Fair value Liability
GBP GBP USD Euro
USD Euro GBP GBP
8 4
2 months 2 months 2 months 2 months
118,977 10,718 39,085
-
(6,038)
107 391
- -
10
1
3,346
-
(34)
498
(6,072)
The nominal value represents the sterling value of the foreign currency amount of the contract translated at the year end spot rate.
Swaps
Type of swap
Expires within
Notional principal
Fair value Assets
Fair value Liability
UK interest rate swap
1 32 years 1 38 years
80,518 93,057
-
(8,128)
Overseas interest rate swap
14,972
-
14,972
(8,128)
The notional principle of the swap is the amount used to determine the swapped receipts or payments. Collateral of £1,057k (2023: £2,984k) is held for the unrealised gain on swaps, comprising cash. This is held in accounts with eight (2023: seven) different banking institutions and is not included within the Scheme assets.
13 Asset Backed Funding
In June 2016, United Technologies Corporation, now known as RTX Corporation (RTC), the ultimate parent undertaking of the principal employer of the Scheme, established two Asset Backed Funding arrangements
other funded by Goodrich Controls Holdings Limited. The total contributed funding to the Scheme amounted
unsecured, interest-bearing loan notes at a total cost of £320m. The Scheme is the sole investor in the SPVs. The loan notes pay interest at a coupon rate of 4.1% pa (approximately £13.1m pa). Interest is paid half yearly in May and November and is subject to a deduction for expenses of up to £50k pa. The loan notes are redeemable at the total cost of £320m in June 2036. direct cash flows to the Scheme in certain circumstances. The Trigger-off mechanism is activated when the funding level of the Scheme is equal to or exceeds 95% on an actuarial buy-out basis. The coupon/interest on the loan notes are then suspended until the sooner of the funding level on the relevant basis falling below 95% or the end of the arrangements in June 2036. In terms of the latter, the Scheme has the right to the principal amount of the loan notes (£320m) and any suspended income payments not paid to the Scheme, subject to the total amount being capped by the value (at that time) of the buy-out deficit in the Scheme. - The valuation of the ABF/SPV arrangements recognises the expected economic benefit the Scheme derives from the related cash flows. The cash flows largely reflect the profile of payments associated with the loan notes, namely the annual coupon/interest under the loan notes and the bullet (re)payment of £320m at the end of the arrangements in 2036. The valuation of the ABF/SPV arrangements is dependent upon the probability of the Trigger-off mechanism being activated/deactivated over the period to June 2036.
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