FORM 6-K
SECURITIES AND EXCHANGE COMMISSION
Washington D.C. 20549
Report of Foreign Private Issuer
Pursuant to Rule 13a-16 or 15d-16
of the Securities Exchange Act of 1934
For
July 26, 2024
Commission
File Number: 001-10306
NatWest
Group plc
Gogarburn,
PO Box 1000
Edinburgh
EH12 1HQ
(Address
of principal executive offices)
Indicate
by check mark whether the registrant files or will file annual
reports under cover of Form 20-F or Form 40-F.
Form
20-F X Form 40-F
___
Indicate
by check mark whether the registrant by furnishing the information
contained in this Form is also thereby furnishing the information
to the Commission pursuant to Rule 12g3-2(b) under the Securities
Exchange Act of 1934.
Yes ___
No X
If
"Yes" is marked, indicate below the file number assigned to the
registrant in connection with Rule 12g3-2(b): 82-
________
The following information was issued as Company announcements
in London, England and is furnished pursuant to General Instruction
B to the General Instructions to Form
6-K:
Inside this report
|
Business performance summary
|
|
2
|
H1 2024 performance summary
|
|
4
|
Performance key metrics and ratios
|
|
6
|
Chief Financial Officer review
|
|
8
|
Retail Banking
|
|
9
|
Private Banking
|
|
10
|
Commercial
& Institutional
|
|
11
|
Central
items & other
|
|
12
|
Segment
performance
|
|
|
|
|
Risk and capital management
|
|
17
|
Credit
risk
|
|
17
|
Economic loss drivers
|
|
21
|
Governance and post model adjustments
|
|
23
|
Measurement uncertainty and ECL sensitivity
analysis
|
|
25
|
Measurement uncertainty and ECL adequacy
|
|
26
|
Credit risk - Banking activities
|
|
26
|
Financial instruments within the scope of the IFRS 9
ECL framework
|
|
27
|
Segment analysis - portfolio summary
|
|
30
|
Segment loans and impairment metrics
|
|
31
|
Sector analysis - portfolio summary
|
|
37
|
Wholesale forbearance
|
|
39
|
Personal portfolio
|
|
42
|
Commercial real estate
|
|
43
|
Flow statements
|
|
Risk and capital management continued
|
|
51
|
Stage 2 decomposition by a significant increase in
credit risk trigger
|
|
53
|
Asset quality
|
|
57
|
Credit risk - Trading activities
|
|
60
|
Capital, liquidity and funding risk
|
|
71
|
Non-traded market risk
|
|
76
|
Traded market risk
|
|
76
|
Pension risk
|
|
76
|
Compliance and conduct risk
|
|
|
|
|
Financial statements and notes
|
|
77
|
Condensed consolidated income statement
|
|
78
|
Condensed consolidated statement of comprehensive
income
|
|
79
|
Condensed consolidated balance sheet
|
|
80
|
Condensed consolidated statement of changes in
equity
|
|
82
|
Condensed consolidated cash flow statement
|
|
83
|
Presentation of condensed consolidated financial
statements
|
|
83
|
Net interest income
|
|
84
|
Non-interest income
|
|
85
|
Operating expenses
|
|
86
|
Segmental analysis
|
|
89
|
Tax
|
|
90
|
Financial instruments - classification
|
|
92
|
Financial instruments - valuation
|
|
Financial statements and notes continued
|
|
97
|
Trading assets and liabilities
|
|
98
|
Loan impairment provisions
|
|
99
|
Provisions for liabilities and charges
|
|
99
|
Dividends
|
|
99
|
Contingent liabilities and commitments
|
|
100
|
Litigation and regulatory matters
|
|
106
|
Related party transactions
|
|
106
|
Acquisitions
|
|
106
|
Post balance sheet events
|
|
106
|
Date of approval
|
|
107
|
Independent review report to NatWest Group
plc
|
|
|
|
Additional information
|
|
108
|
NatWest Group plc summary risk factors
|
|
110
|
Statement of directors' responsibilities
|
|
111
|
Presentation of information
|
|
111
|
Statutory accounts
|
|
111
|
Forward-looking statements
|
|
112
|
Share information and contacts
|
|
|
|
Appendix
|
|
113
|
Non-IFRS financial measures
|
|
118
|
Performance measures not defined under
IFRS
|
H1 2024 performance summary
Chief Executive, Paul Thwaite, commented:
"As the UK's leading business bank, and one of the largest retail
banks, NatWest Group's strong performance is grounded in the vital
role we play in the UK economy and in the lives of our 19 million
customers. In the first half of the year, we have delivered an
operating profit of £3 billion, a return on tangible equity of
16.4% and a 6 pence interim dividend, up 9% on last year's
dividend. We are also pleased with the continued reduction of the
Government's stake, which has almost halved this year.
We have made good progress against our strategic priorities, taking
decisive action to grow and simplify our business and to manage our
capital and costs more efficiently. There has been growth across
all three of our businesses, we have attracted over 200,000 new
customers and our acquisition from Sainsbury's Bank is expected to
add around one million customer accounts on completion. We
have also agreed to acquire £2.5 billion of UK prime
residential mortgages from Metro Bank plc, adding further scale to
our Retail Banking business.
The positive momentum and progress in the first half reflect the
ambition across the bank to deliver its full potential. Our
customers are beginning to feel more confident, with activity
increasing and asset quality remaining strong, and we are well
positioned to help unlock growth across the UK through our
unrivalled regional network. Fundamentally, if we succeed with our
customers, we will succeed for our shareholders and the wider
economy."
Strong H1 2024 and Q2 performance
-
H1
2024 attributable profit of £2,099 million and a return on
tangible equity (RoTE) of 16.4%.
-
Q2
2024 total income excluding notable items(1) of £3,590
million was £176 million, or 5.2%, higher than Q1 2024
primarily reflecting increased deposit income whilst H1 2024 was
£379 million lower than H1 2023 due to lower average deposit
balances and mix changes and lending margin pressure.
-
Net
interest margin (NIM) of 2.10% was 5 basis points higher than Q1
2024 primarily due to improved deposit margins.
-
Q2
2024 other operating expenses were £100 million lower than Q1
2024, or £21 million lower excluding costs in relation to bank
levies of £87 million and the potential retail share offering.
H1 2024 other operating expenses were £149 million higher than
H1 2023, or £42 million, 1.1%, higher excluding costs in
relation to the potential retail share offering of £24 million
and additional bank levies of £83 million.
-
Net
impairment charge of £48 million in H1 2024, or 3 basis points
of gross customer loans. Levels of default remain stable and at low
levels across the portfolio.
Robust balance sheet with strong capital and liquidity
levels
-
Net
loans to customers excluding central items decreased by £1.7
billion in the quarter and decreased £0.3 billion in the first
half as growth in Commercial & Institutional was offset by UK
Government scheme repayments and lower mortgage balances as
customer redemptions offset new lending.
-
Up
to 30 June 2024 we have provided £78.3 billion against our
target to provide £100 billion climate and sustainable funding
and financing between 1 July 2021 and the end of 2025.
-
Customer
deposits excluding central items were up by £6.1 billion in
the first half of the year and increased £5.2 billion in Q2
2024. Term balances remained consistent in the quarter at 17% of
our book and up from 16% at the end of 2023.
-
The
loan:deposit ratio (LDR) (excl. repos and reverse repos) was 83% at
Q2 2024, with customer deposits exceeding net loans to customers by
around £72 billion.
-
The
liquidity coverage ratio (LCR) of 151%, representing £54.5
billion headroom above 100% minimum requirement was unchanged
compared with Q1 2024.
-
TNAV
per share increased by 12 pence in H1 2024 to 304 pence primarily
reflecting the profit for the period, partially offset by the 2023
final ordinary dividend of 11.5 pence.
(1) Refer to the Non-IFRS financial
measures appendix for details of notable items.
H1 2024 performance summary continued
Shareholder return supported by strong capital
generation
-
We
are pleased to announce an interim dividend of 6 pence per share
which, including the £1.2 billion directed buyback completed
in May, brings total distributions announced to £1.7 billion
for H1 2024.
-
Common
Equity Tier 1 (CET1) ratio of 13.6% was 10 basis points higher than
Q1 2024 reflecting the attributable profit and reduction in RWAs,
partially offset by capital distributions.
-
During
Q2 2024 we agreed to acquire the outstanding credit card, unsecured
personal loans and savings balances of Sainsbury's Bank, subject to
court and regulatory approvals. On completion we expect this
acquisition to add around one million customer accounts to our
Retail Banking business.
-
RWAs
of £180.8 billion reduced by £5.5 billion in Q2 2024
largely reflecting RWA management of £3.9
billion.
Outlook(1)
We continue to assess the economic outlook and will monitor and
react to market conditions and refine our internal forecasts as the
economic position evolves. The following statements are based on
our current expectations for interest rates and economic
activity.
In 2024 we now expect:
-
to
achieve a return on tangible equity above 14%.
-
income
excluding notable items to be around £14.0
billion.
-
Group
operating costs, excluding litigation and conduct costs, to be
broadly stable compared with 2023 excluding around £0.1
billion increase in bank levies and £24 million of costs in
relation to the potential retail share offering by HM
Treasury.
-
our
loan impairment rate for 2024 to be below 15 basis
points.
In 2026 we continue to expect:
-
to
achieve a return on tangible equity for the Group of greater than
13%.
Capital - we continue to:
-
target
a CET1 ratio in the range of 13-14%.
-
expect
RWAs to be around £200 billion at the end of 2025, including
the impact of Basel 3.1, however this remains subject to final
rules and approval.
-
expect
to pay ordinary dividends of around 40% of attributable profit and
maintain capacity to participate in directed buybacks from the UK
Government, recognising that any exercise of this authority would
be dependent upon HMT's intentions. We will also consider further
on-market buybacks as appropriate.
(1) The guidance, targets,
expectations, and trends discussed in this section represent
NatWest Group plc management's current expectations and are subject
to change, including as a result of the factors described in the
NatWest Group plc Risk Factors section in the 2023 Annual Report
and Accounts and Form 20-F and the Summary Risk Factors in this
announcement. These statements constitute forward-looking
statements. Refer to Forward-looking statements in this
announcement.
Business
performance summary
|
|
Half year ended
|
|
Quarter ended
|
|
|
30 June
|
30 June
|
|
|
30 June
|
31 March
|
|
30 June
|
|
|
|
2024
|
2023
|
Variance
|
|
2024
|
2024
|
Variance
|
2023
|
Variance
|
|
Summary consolidated income statement
|
£m
|
£m
|
%
|
|
£m
|
£m
|
%
|
£m
|
%
|
|
Net interest income
|
5,408
|
5,726
|
(5.6%)
|
|
2,757
|
2,651
|
4.0%
|
2,824
|
(2.4%)
|
|
Non-interest income
|
1,726
|
2,001
|
(13.7%)
|
|
902
|
824
|
9.5%
|
1,027
|
(12.2%)
|
|
Total income
|
7,134
|
7,727
|
(7.7%)
|
|
3,659
|
3,475
|
5.3%
|
3,851
|
(5.0%)
|
|
Litigation and conduct costs
|
(101)
|
(108)
|
(6.5%)
|
|
(77)
|
(24)
|
nm
|
(52)
|
48.1%
|
|
Other operating expenses
|
(3,956)
|
(3,807)
|
3.9%
|
|
(1,928)
|
(2,028)
|
(4.9%)
|
(1,875)
|
2.8%
|
|
Operating expenses
|
(4,057)
|
(3,915)
|
3.6%
|
|
(2,005)
|
(2,052)
|
(2.3%)
|
(1,927)
|
4.0%
|
|
Profit before impairment losses/releases
|
3,077
|
3,812
|
(19.3%)
|
|
1,654
|
1,423
|
16.2%
|
1,924
|
(14.0%)
|
|
Impairment (losses)/releases
|
(48)
|
(223)
|
(78.5%)
|
|
45
|
(93)
|
(148.4%)
|
(153)
|
(129.4%)
|
|
Operating profit before tax
|
3,029
|
3,589
|
(15.6%)
|
|
1,699
|
1,330
|
27.7%
|
1,771
|
(4.1%)
|
|
Tax charge
|
(801)
|
(1,061)
|
(24.5%)
|
|
(462)
|
(339)
|
36.3%
|
(549)
|
(15.8%)
|
|
Profit from continuing operations
|
2,228
|
2,528
|
(11.9%)
|
|
1,237
|
991
|
24.8%
|
1,222
|
1.2%
|
|
Profit/(loss) from discontinued operations, net of tax
|
11
|
(108)
|
(110.2%)
|
|
15
|
(4)
|
nm
|
(143)
|
(110.5%)
|
|
Profit for the period
|
2,239
|
2,420
|
(7.5%)
|
|
1,252
|
987
|
26.8%
|
1,079
|
16.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
Performance key metrics and ratios
|
|
|
|
|
|
|
|
|
|
|
Notable items within total income (1)
|
£130m
|
£344m
|
nm
|
|
£69m
|
£61m
|
nm
|
£288m
|
nm
|
|
Total income excluding notable items (1)
|
£7,004m
|
£7,383m
|
(5.1%)
|
|
£3,590m
|
£3,414m
|
5.2%
|
£3,563m
|
0.8%
|
|
Net interest margin (1)
|
2.07%
|
2.23%
|
(16bps)
|
|
2.10%
|
2.05%
|
5bps
|
2.20%
|
(10bps)
|
|
Average interest earning assets (1)
|
£524bn
|
£518bn
|
1.2%
|
|
£528bn
|
£521bn
|
1.3%
|
£514bn
|
2.7%
|
|
Cost:income ratio (excl. litigation and
conduct) (1)
|
55.5%
|
49.3%
|
6.2%
|
|
52.7%
|
58.4%
|
(5.7%)
|
48.7%
|
4.0%
|
|
Loan impairment rate (1)
|
3bps
|
12bps
|
(9bps)
|
|
(5bps)
|
10bps
|
(15bps)
|
16bps
|
(21bps)
|
|
Profit attributable to ordinary shareholders
|
£2,099m
|
£2,299m
|
(8.7%)
|
|
£1,181m
|
£918m
|
28.6%
|
£1,020m
|
15.8%
|
|
Total earnings per share attributable to ordinary shareholders -
basic
|
24.2p
|
24.3p
|
(0.1p)
|
|
13.7p
|
10.5p
|
3.2p
|
11.0p
|
2.7p
|
|
Return on tangible equity (RoTE) (1)
|
16.4%
|
18.2%
|
(1.8%)
|
|
18.5%
|
14.2%
|
4.3%
|
16.4%
|
2.1%
|
|
Climate and sustainable funding and financing (2)
|
£16.3bn
|
£16.0bn
|
1.9%
|
|
£9.7bn
|
£6.6bn
|
47.0%
|
£8.4bn
|
15.5%
|
nm = not meaningful.
For the footnotes to this table refer to the following
page.
Business
performance summary continued
|
|
|
|
|
|
As at
|
|
|
|
|
|
|
30 June
|
31 March
|
|
31 December
|
|
|
|
|
|
|
|
2024
|
2024
|
Variance
|
2023
|
Variance
|
|
Balance sheet
|
|
|
|
|
£bn
|
£bn
|
%
|
£bn
|
%
|
|
Total assets
|
|
|
|
|
690.3
|
697.5
|
(1.0%)
|
692.7
|
(0.3%)
|
|
Loans to customers - amortised cost
|
|
|
|
|
379.3
|
378.0
|
0.3%
|
381.4
|
(0.6%)
|
|
Loans to customers excluding central items (1,3)
|
|
|
|
|
355.3
|
357.0
|
(0.5%)
|
355.6
|
(0.1%)
|
|
Loans to customers and banks - amortised cost and
FVOCI
|
|
|
|
|
388.9
|
387.7
|
0.3%
|
392.0
|
(0.8%)
|
|
Total impairment provisions (4)
|
|
|
|
|
3.3
|
3.6
|
(8.3%)
|
3.6
|
(8.3%)
|
|
Expected credit loss (ECL) coverage ratio
|
|
|
|
|
0.86%
|
0.94%
|
(8bps)
|
0.93%
|
(7bps)
|
|
Assets under management and administration
(AUMA) (1)
|
|
|
|
|
45.1
|
43.1
|
4.6%
|
40.8
|
10.5%
|
|
Customer deposits
|
|
|
|
|
433.0
|
432.8
|
0.0%
|
431.4
|
0.4%
|
|
Customer deposits excluding central items (1,3)
|
|
|
|
|
425.2
|
420.0
|
1.2%
|
419.1
|
1.5%
|
|
Liquidity and funding
|
|
|
|
|
|
|
|
|
|
|
Liquidity coverage ratio (LCR)
|
|
|
|
|
151%
|
151%
|
0.0%
|
144%
|
7.0%
|
|
Liquidity portfolio
|
|
|
|
|
227
|
229
|
(1.0%)
|
223
|
1.8%
|
|
Net stable funding ratio (NSFR)
|
|
|
|
|
139%
|
136%
|
3.0%
|
133%
|
6.0%
|
|
Loan:deposit ratio (excl. repos and reverse
repos) (1)
|
|
|
|
|
83%
|
84%
|
(1%)
|
84%
|
(1%)
|
|
Total wholesale funding
|
|
|
|
|
83
|
87
|
(4.6%)
|
80
|
3.8%
|
|
Short-term wholesale funding
|
|
|
|
|
27
|
31
|
(12.9%)
|
28
|
(3.6%)
|
|
Capital and leverage
|
|
|
|
|
|
|
|
|
|
|
Common Equity Tier 1 (CET1) ratio (5)
|
|
|
|
|
13.6%
|
13.5%
|
10bps
|
13.4%
|
20bps
|
|
Total capital ratio (5)
|
|
|
|
|
19.5%
|
18.8%
|
70bps
|
18.4%
|
110bps
|
|
Pro forma CET1 ratio (excl. foreseeable
items) (6)
|
|
|
|
|
14.1%
|
14.3%
|
(20bps)
|
14.2%
|
(10bps)
|
|
Risk-weighted assets (RWAs)
|
|
|
|
|
180.8
|
186.3
|
(3.0%)
|
183.0
|
(1.2%)
|
|
UK leverage ratio
|
|
|
|
|
5.2%
|
5.1%
|
0.1%
|
5.0%
|
0.2%
|
|
Tangible net asset value (TNAV) per ordinary
share (1,7)
|
|
|
|
|
304p
|
302p
|
2p
|
292p
|
12p
|
|
Number of ordinary shares in issue (millions) (7)
|
|
|
|
|
8,307
|
8,727
|
(4.8%)
|
8,792
|
(5.5%)
|
(1)
Refer
to the Non-IFRS financial measures appendix for details of the
basis of preparation and reconciliation of non-IFRS financial
measures and performance metrics.
(2)
NatWest
Group uses its climate and sustainable funding and financing
inclusion (CSFFI) criteria to determine the assets, activities and
companies that are eligible to be included within its climate and
sustainable funding and financing target. This includes both
provision of committed (on and off-balance sheet) funding and
financing, including provision of services for underwriting
issuances and private placements.
(3)
Central
items includes Treasury repo activity and Ulster Bank Republic of
Ireland.
(4)
Includes
£0.1 billion relating to off-balance sheet exposures (31 March
2024 - £0.1 billion; 31 December 2023 - £0.1
billion).
(5)
Refer
to the Capital, liquidity and funding risk section for details of
the basis of preparation.
(6)
The
pro forma CET1 ratio at 30 June 2024 excludes foreseeable items of
£889 million: £839 million for ordinary dividends and
£50 million foreseeable charges (31 March 2024 excludes
foreseeable items of £1,633 million: £1,380 million for
ordinary dividends and £253 million foreseeable charges; 31
December 2023 excludes foreseeable items of £1,538 million:
£1,013 million for ordinary dividends and £525 million
foreseeable charges).
(7)
The
number of ordinary shares in issue excludes own shares
held.
Chief Financial Officer review
We delivered an operating profit of £3,029 million in the
first half of the year with a RoTE of 16.4%. Total income excluding
notable items of £7.0 billion in H1 2024 was down by 5.1% on
the prior year but Q2 2024 was up 5.2% on Q1 2024. We continue to
see low levels of default across our portfolio, with a net
impairment charge of 3 basis points of gross customer loans for the
first half of the year.
In the first half of the year net lending excluding central items
decreased by £0.3 billion. Excluding repayment of UK
Government schemes of £1.0 billion net lending increased by
£0.8 billion, driven by Commercial & Institutional
customers which offset lower mortgage balances. Customer deposit
balances excluding central items increased by £6.1 billion in
the first half. Our robust balance sheet means that we remain in a
strong liquidity position, with an LCR of 151% representing
£54.5 billion headroom above 100% minimum requirement, and an
LDR (excl. repos and reverse repos) of 83%.
Our CET1 ratio remains within our targeted range at 13.6%, with
total distributions announced of £1.7 billion in H1 2024. An
interim dividend of 6 pence per share compares with 5.5 pence in
the prior year.
Strong H1 and Q2 2024 performance
-
Total
income increased by 5.3% in Q2 2024 to £3,659 million compared
with Q1 2024 and decreased 7.7% in H1 2024 compared with H1 2023,
impacted by FX recycling gains in the prior year. Total income
excluding notable items was £176 million higher than Q1 2024
primarily reflecting increased deposit income and decreased
£379 million, or 5.1%, in the first half compared with H1 2023
due to lower average deposit balances and mix changes throughout
2023, as customers moved towards interest bearing and term
accounts, and lending margin pressure, which has eased in Q2
2024.
-
Q2
2024 NIM of 2.10% was 5 basis points higher than Q1 2024 primarily
due to improved deposit margins. H1 2024 NIM was 16 basis points
lower than H1 2023 principally reflecting mortgage margin pressure
and deposit mix changes, as customers move from non-interest
bearing to interest bearing accounts.
-
Total
operating expenses for Q2 2024 were £47 million lower than Q1
2024 and £142 million higher in the first half of the year
compared with H1 2023. Q2 2024 other operating expenses were
£100 million lower than Q1 2024, or £21 million lower
excluding costs in relation to bank levies of £87 million and
the potential retail share offering. H1 2024 other operating
expenses were £149 million higher than H1 2023, or £42
million, 1.1%, higher excluding costs in relation to the potential
retail share offering of £24 million and additional bank
levies of £83 million, reflecting increased staff costs due to
inflation and severance costs, partially offset by ongoing
simplification of our business and lower costs in relation to our
withdrawal from the Republic of Ireland.
We
remain committed to deliver on our full year cost guidance,
excluding the impact of increased bank levies and costs in relation
to the potential retail share offering.
-
A
net impairment charge of £48 million in H1 2024 principally
reflected broadly stable Stage 3 inflows partly offset by good book
releases, including post model adjustments. Levels of default
remain stable and at low levels across the portfolio despite
inflationary pressures and the higher interest rate environment.
Compared with Q1 2024, our ECL provision decreased by £0.3
billion to £3.3 billion and our ECL coverage ratio has
decreased from 0.94% to 0.86%. We retain post model adjustments of
£0.3 billion related to economic uncertainty, or 9.0% of total
impairment provisions. Whilst we are comfortable with the strong
credit performance of our book, we will continue to assess this
position regularly and are closely monitoring the impacts of
inflationary pressures, which have eased in the first half, on the
UK economy and our customers.
-
As
a result, we are pleased to report an attributable profit for H1
2024 of £2,099 million, with earnings per share of 24.2 pence
and a RoTE of 16.4%. Q2 2024 RoTE was 18.5%.
Robust balance sheet with strong capital and liquidity
levels
-
Net
loans to customers excluding central items decreased by £1.7
billion in the quarter and decreased by £0.3 billion in the
first half to £355.3 billion. Growth in Commercial Mid-market
and Corporate & Institutions, net of UK Government scheme
repayments of £1.0 billion in the first half, largely offset
lower mortgage balances.
-
Up
to 30 June 2024 we have provided £78.3 billion against our
target to provide £100 billion climate and sustainable funding
and financing between 1 July 2021 and the end of 2025. As part of
this we aim to provide at least £10 billion in lending for EPC
A and B rated residential properties between 1 January 2023 and the
end of 2025. During H1 2024 we provided £16.3 billion climate
and sustainable funding and financing, which included £1.4
billion in lending for EPC A and B rated residential
properties.
-
Customer
deposits excluding central items increased £5.2 billion in Q2
2024 and £6.1 billion in the first half of the year reflecting
£3.5 billion growth in Retail Banking and £1.8 billion in
Private Banking, largely in savings and other interest-bearing
balances, and a £0.8 billion increase in Commercial &
Institutional primarily within Commercial Mid-market. Term balances
remained consistent in the quarter at 17% of our book and up from
16% at the end of 2023.
Chief Financial Officer review continued
-
The
LCR was unchanged compared with Q1 2024 at 151%, representing
£54.5 billion headroom above 100% minimum requirements
primarily due to increased customer deposits offset by reduced
wholesale funding and capital distributions (share buyback and
dividends). Our primary liquidity at H1 2024 was £160.4
billion and £111.8 billion, or 70%, of this was cash and
balances at central banks. Total wholesale funding decreased by
£3.6 billion in the quarter to £83.0
billion.
-
TNAV
per share increased by 12 pence in H1 2024 to 304 pence primarily
reflecting the profit for the period partially offset by the 2023
final ordinary dividend of 11.5 pence.
Shareholder return supported strong capital generation
-
The
CET1 ratio of 13.6% was 10 basis points higher than Q1 2024
principally reflecting the attributable profit for the quarter,
c.60 basis points and a decrease in RWAs c.40 basis points,
partially offset by distributions deducted from capital of c.90
basis points. CET1 was 20 basis points higher than 31 December 2023
largely reflecting the attributable profit and a £2.2 billion
decrease in RWAs, partially offset by distributions. NatWest
Group's minimum requirement for own funds and eligible liabilities
(MREL) was 31.7%.
-
RWAs
reduced by £5.5 billion in the second quarter of the year to
£180.8 billion largely reflecting RWA management of £3.9
billion and decreased by £2.2 billion in the first half
primarily due to RWA management of £4.3 billion, partially
offset by the annual update to operational risk.
Business
performance summary
Retail Banking
|
|
Half year ended
|
|
Quarter ended
|
|
|
30
June
|
30
June
|
|
30
June
|
31
March
|
30
June
|
|
|
2024
|
2023
|
|
2024
|
2024
|
2023
|
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
Total income
|
2,690
|
3,120
|
|
1,365
|
1,325
|
1,516
|
|
Operating expenses
|
(1,470)
|
(1,367)
|
|
(697)
|
(773)
|
(671)
|
|
of which: Other operating expenses
|
(1,457)
|
(1,343)
|
|
(690)
|
(767)
|
(650)
|
|
Impairment losses
|
(122)
|
(193)
|
|
(59)
|
(63)
|
(79)
|
|
Operating profit
|
1,098
|
1,560
|
|
609
|
489
|
766
|
|
|
|
|
|
|
|
|
|
Return on equity (1)
|
18.4%
|
29.1%
|
|
20.3%
|
16.5%
|
28.2%
|
|
Net interest margin (1)
|
2.26%
|
2.65%
|
|
2.31%
|
2.22%
|
2.56%
|
|
Cost:income ratio
|
|
|
|
|
|
|
|
(excl. litigation and
conduct) (1)
|
54.2%
|
43.0%
|
|
50.5%
|
57.9%
|
42.9%
|
|
Loan impairment rate (1)
|
12bps
|
19bps
|
|
12bps
|
12bps
|
15bps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As
at
|
|
|
|
|
|
30
June
|
31
March
|
31
December
|
|
|
|
|
|
2024
|
2024
|
2023
|
|
|
|
|
|
£bn
|
£bn
|
£bn
|
|
Net loans to customers (amortised cost)
|
|
|
|
203.3
|
203.5
|
205.2
|
|
Customer deposits
|
|
|
|
191.5
|
190.0
|
188.0
|
|
RWAs
|
|
|
|
62.3
|
62.5
|
61.6
|
(1) Refer to the Non-IFRS financial
measures appendix for details of the basis of preparation and
reconciliation of non-IFRS financial measures and performance
metrics.
During H1 2024, Retail Banking delivered an operating profit of
£1.1 billion and a return on equity of 18.4%. Q2 2024 showed
positive income momentum with increased net interest margin from
deposit margin expansion supporting improved
profitability.
Retail Banking provided £1.3 billion of climate and
sustainable funding and financing in H1 2024 from lending on
properties with an EPC rating of A or B.
H1 2024 performance
-
Total
income was £430 million, or 13.8%, lower than H1 2023 due to
mortgage margin compression and the impact of the deposit balance
mix shift from non-interest bearing to interest bearing balances,
partly offset by lending growth and the impact of one more day in
H1 2024.
-
Net
interest margin was 39 basis points lower than H1 2023, largely
reflecting mortgage margin compression and the impact of deposit
balance mix shift.
-
Other
operating expenses were £114 million, or 8.5%, higher than H1
2023 reflecting the Bank of England Levy, increased severance
costs, and branch and property exit costs partly offset by savings
from an 8.0% reduction in headcount.
-
An
impairment charge of £122 million in H1 2024 was £71
million lower than H1 2023. The H1 2024 charge reflects a broadly
stable Stage 3 charge, with the good book benefitting from post
model adjustment releases.
-
Net
loans to customers decreased £1.9 billion, or 0.9%, in H1
2024. Mortgage balances decreased by £2.5 billion as customer
redemptions more than offset gross new lending. Personal advances
decreased by £0.3 billion whilst cards balances increased by
£0.7 billion in H1 2024 benefitting from new card issuance, as
well as higher customer spend.
-
Customer
deposits increased by £3.5 billion, or 1.9%, in H1 2024
reflecting growth in savings partly offset by lower current account
balances.
-
RWAs
increased by £0.7 billion, or 1.1%, in H1 2024 primarily due
to the annual update for operational risk calculation, book
movements and movement in risk parameters.
Q2 2024 performance
-
Total
income was £40 million, or 3.0%, higher than Q1 2024
reflecting deposit margin expansion partly offset by the impact of
the deposit balance mix shift from non-interest bearing to interest
bearing balances and asset margin compression.
-
Net
interest margin was 9 basis points higher than Q1 2024, largely
reflecting improved deposit hedge income, partly offset by the
impact of the deposit balance mix shift and asset margin
compression.
-
Other
operating expenses were £77 million, or 10.0%, lower than Q1
2024 reflecting the Bank of England Levy in Q1 2024 and lower
strategic costs as well as savings from a 3.8% reduction in
headcount.
-
An
impairment charge of £59 million in Q2 2024, reflecting a
Stage 3 charge broadly in line with Q1 2024, with the good book
benefitting from post model adjustment releases.
-
Net
loans to customers decreased by £0.2 billion, or 0.1%, lower
than Q1 2024, driven by £0.7 billion lower mortgage balances,
as redemptions more than offset stronger gross new lending, and
personal advances decreased by £0.1 billion in Q2 2024; whilst
cards balances increased by £0.4 billion in Q2
2024.
-
Customer
deposits increased by £1.5 billion, or 0.8%, in Q2 2024
reflecting growth in savings partly offset by lower current account
balances.
-
RWAs
decreased by £0.2 billion, or 0.3%, in Q2 2024 primarily due
to book movements.
Business
performance summary continued
Private Banking
|
|
Half year ended
|
|
Quarter ended
|
|
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
|
2024
|
2023
|
|
2024
|
2024
|
2023
|
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
Total income
|
444
|
567
|
|
236
|
208
|
271
|
|
Operating expenses
|
(356)
|
(322)
|
|
(175)
|
(181)
|
(167)
|
|
of which: Other operating expenses
|
(355)
|
(311)
|
|
(175)
|
(180)
|
(159)
|
|
Impairment releases/(losses)
|
11
|
(11)
|
|
5
|
6
|
(3)
|
|
Operating profit
|
99
|
234
|
|
66
|
33
|
101
|
|
|
|
|
|
|
|
|
|
Return on equity (1)
|
10.5%
|
24.7%
|
|
14.4%
|
6.7%
|
20.8%
|
|
Net interest margin (1)
|
2.18%
|
3.13%
|
|
2.30%
|
2.06%
|
2.94%
|
|
Cost:income ratio
|
|
|
|
|
|
|
|
(excl. litigation and
conduct) (1)
|
80.0%
|
54.9%
|
|
74.2%
|
86.5%
|
58.7%
|
|
Loan impairment rate (1)
|
(12)bps
|
11bps
|
|
(11)bps
|
(13)bps
|
6bps
|
|
AUM net flows (£bn) (1)
|
1.0
|
1.0
|
|
0.6
|
0.4
|
0.4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As at
|
|
|
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
|
|
2024
|
2024
|
2023
|
|
|
|
|
|
£bn
|
£bn
|
£bn
|
|
Net loans to customers (amortised cost)
|
|
|
|
18.1
|
18.2
|
18.5
|
|
Customer deposits
|
|
|
|
39.5
|
37.8
|
37.7
|
|
RWAs
|
|
|
|
11.0
|
11.3
|
11.2
|
|
Assets under management (AUMs) (1)
|
|
|
|
34.7
|
33.6
|
31.7
|
|
Assets under administration (AUAs) (1)
|
|
|
|
10.4
|
9.5
|
9.1
|
|
Total assets under management and administration
(AUMA) (1)
|
|
45.1
|
43.1
|
40.8
|
(1) Refer to the Non-IFRS financial
measures appendix for details of basis of preparation and
reconciliation of non-IFRS financial measures and performance
metrics.
During H1 2024, Private Banking delivered a return on equity of
10.5% and an operating profit of £99 million. Q2 2024
continued to see a positive performance in deposits and AUMA growth
supporting improved profitability.
Private Banking provided £0.2 billion of climate and
sustainable funding and financing in H1 2024, principally in
relation to mortgages on residential properties with an EPC rating
of A or B.
H1 2024 performance
-
Total
income was £123 million, or 21.7% lower than H1 2023
reflecting the change in deposit mix, primarily during the second
half of 2023, as customers migrated to savings products offering
higher returns combined with a reduction in lending volumes. This
was partly offset by an increase in investment income due to higher
AUMA balances reflecting net inflows and favourable market
movements.
-
Net
interest margin was 95 basis points lower than H1 2023, largely
reflecting a change in deposit mix.
-
Other
operating expenses were £44 million, or 14.1%, higher than H1
2023 primarily reflecting increased technology and severance costs
along with the Bank of England Levy. Staff costs have increased
also due to inflationary pressure.
-
A
net impairment release of £11 million, compared with an
£11 million charge in H1 2023, largely reflects good book
releases including benefits from post model adjustments with the
Stage 3 charge broadly flat and remaining at low
levels.
-
Net
loans to customers decreased by £0.4 billion, or 2.2%, in H1
2024 driven by lower mortgage balances.
-
Customer
deposits increased by £1.8 billion, or 4.8%, in H1 2024
reflecting strong above-market savings growth and short-term
transitory inflows in Q2 2024 offsetting tax outflows in Q1
2024.
-
AUMA
increased by £4.3 billion in H1 2024 to £45.1 billion,
primarily driven by £2.9 billion positive market movements,
and £1.0 billion AUM and £0.3 billion AUA net
inflows.
-
Total
income was £28 million, or 13.5%, higher than Q1 2024
primarily due to higher average deposit and AUMA balances, driving
an increase in investment fee income and improved deposit income,
partly offset by lower average lending balances.
-
Net
interest margin was 24 basis points higher than Q1 2024 reflecting
higher average deposit balances and improvement in deposit
margin.
-
Other
operating expenses were £5 million, or 2.8%, lower than Q1
2024 primarily due to the non-repeat of higher technology costs and
the Bank of England Levy incurred in Q1 2024.
-
Net
loans to customers decreased by £0.1 billion, or 0.5%, in Q2
2024 primarily due to lower mortgage balances.
-
Customer
deposits increased by £1.7 billion, or 4.5%, compared with Q1
2024 driven by a strong performance on instant access savings,
including short-term transitory inflows, partly offset by a small
reduction on current accounts.
-
AUMA
increased by £2.0 billion in Q2 2024, reflecting positive
market movements of £0.9 billion supported by AUM net inflows
of £0.6 billion and AUA inflows of £0.4
billion.
Business performance summary
continued
Commercial & Institutional
|
|
Half year ended
|
|
Quarter ended
|
|
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
|
2024
|
2023
|
|
2024
|
2024
|
2023
|
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
Net interest income
|
2,543
|
2,504
|
|
1,297
|
1,246
|
1,243
|
|
Non-interest income
|
1,257
|
1,244
|
|
644
|
613
|
552
|
|
Total income
|
3,800
|
3,748
|
|
1,941
|
1,859
|
1,795
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
(2,150)
|
(1,987)
|
|
(1,099)
|
(1,051)
|
(984)
|
|
of which: Other operating expenses
|
(2,073)
|
(1,893)
|
|
(1,053)
|
(1,020)
|
(934)
|
|
Impairment releases/(losses)
|
57
|
(20)
|
|
96
|
(39)
|
(64)
|
|
Operating profit
|
1,707
|
1,741
|
|
938
|
769
|
747
|
|
|
|
|
|
|
|
|
|
Return on equity (1)
|
16.2%
|
16.9%
|
|
17.8%
|
14.6%
|
14.3%
|
|
Net interest margin (1)
|
2.10%
|
2.06%
|
|
2.12%
|
2.07%
|
2.05%
|
|
Cost:income ratio
|
|
|
|
|
|
|
|
(excl. litigation and
conduct) (1)
|
54.6%
|
50.5%
|
|
54.3%
|
54.9%
|
52.0%
|
|
Loan impairment rate (1)
|
(8)bps
|
3bps
|
|
(28)bps
|
11bps
|
20bps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As at
|
|
|
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
|
|
2024
|
2024
|
2023
|
|
|
|
|
|
£bn
|
£bn
|
£bn
|
|
Net loans to customers (amortised cost)
|
|
|
|
133.9
|
135.3
|
131.9
|
|
Customer deposits
|
|
|
|
194.2
|
192.2
|
193.4
|
|
Funded assets (1)
|
|
|
|
315.5
|
321.7
|
306.9
|
|
RWAs
|
|
|
|
104.9
|
109.9
|
107.4
|
(1) Refer to the Non-IFRS financial
measures appendix for details of the basis of preparation and
reconciliation of non-IFRS financial measures and performance
metrics.
In H1 2024, Commercial & Institutional continued to support
customers with an increase in lending of 1.5% and delivered a
strong performance in income and operating profit supporting a
return on equity of 16.2%. Q2 2024 continued to see good client
demand for lending, an increase in customer deposits supported by
an improving UK deposit market and disciplined capital management
delivering strong income and net interest margin growth supporting
overall improved profitability.
Commercial & Institutional provided £14.9 billion of
climate and sustainable funding and financing in H1 2024 to support
customers investing in the transition to net zero.
H1 2024 performance
-
Total
income was £52 million, or 1.4%, higher than H1 2023 due to
strong client-driven capital markets activity, lending growth in
Corporate & Institutions and Commercial Mid-market, partially
offset by lower deposit returns reflecting the impact of the lower
average volumes and balance mix shift.
-
Net
interest margin was 4 basis points higher than H1 2023, largely
reflecting one-off items partly offset by lower deposit
returns.
-
Other
operating expenses were £180 million, or 9.5%, higher than H1
2023 reflecting increased severance costs, the Bank of England
Levy, and increased headcount as we continue to invest in the
business.
-
An
impairment release of £57 million in H1 2024 reflecting good
book releases with benefits from the revised economic outlook, post
model adjustment releases, and benefits from capital management
activity. Stage 3 charge remains at a low level.
-
Net
loans to customers increased by £2.0 billion, or 1.5%, in H1
2024 largely reflecting a strong performance within Commercial
Mid-market and Corporate & Institutions, partly offset by
continued UK Government scheme repayments of £1.0
billion.
-
Customer
deposits increased by £0.8 billion, or 0.4%, in H1 2024
reflecting an increase in Commercial Mid-market.
-
RWAs
decreased by £2.5 billion, or 2.3%, in H1 2024 primarily due
to RWA management of £3.7 billion, decreases in market risk
and counterparty credit risk, partially offset by lending book
growth and the annual update for operational risk.
Q2 2024 performance
-
Total
income was £82 million, or 4.4%, higher than Q1 2024 primarily
reflecting higher deposit income, average lending growth, and
higher lending and payment fees.
-
Net
interest margin was 5 basis points higher than Q1 2024 reflecting
higher deposit returns.
-
Other
operating expenses were £33 million, or 3.2%, higher than Q1
2024 reflecting increased severance costs, partially offset by the
Bank of England Levy in Q1 2024.
-
An
impairment release of £96 million compared with a £39
million charge in Q1 2024, largely reflecting good book releases
driven by benefits from the revised economic outlook, post model
adjustment releases, and benefits from capital management
activity.
-
Net
loans to customers decreased by £1.4 billion, or 1.0%, in Q2
2024 as continued growth in Commercial Mid-Market was offset by
lower balances in large Corporate & Institutions, with some
customers taking advantage of stronger capital markets as well as
continued UK Government scheme repayments of £0.5
billion.
-
Customer
deposits increased by £2.0 billion, or 1.0%, in Q2 2024
reflecting an increase in Commercial Mid-market and Business
Banking.
-
RWAs
decreased by £5.0 billion, or 4.5%, compared with Q1 2024
primarily due to strong RWA management of £3.5 billion,
decreases in market risk and counterparty credit risk, partially
offset by lending book growth.
Business
performance summary continued
Central items & other
|
|
Half year ended
|
|
Quarter ended
|
|
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
|
2024
|
2023
|
|
2024
|
2024
|
2023
|
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
Continuing operations
|
|
|
|
|
|
|
|
Total income
|
200
|
292
|
|
117
|
83
|
269
|
|
Operating expenses
|
(81)
|
(239)
|
|
(34)
|
(47)
|
(105)
|
|
of which: Other operating expenses
|
(71)
|
(260)
|
|
(10)
|
(61)
|
(132)
|
|
of which: Ulster Bank RoI direct
expenses
|
(55)
|
(163)
|
|
(30)
|
(25)
|
(63)
|
|
Impairment releases/(losses)
|
6
|
1
|
|
3
|
3
|
(7)
|
|
Operating profit
|
125
|
54
|
|
86
|
39
|
157
|
|
|
|
|
|
|
As at
|
|
|
|
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
|
|
2024
|
2024
|
2023
|
|
|
|
|
|
£bn
|
£bn
|
£bn
|
|
Net loans to customers (amortised cost)
|
|
|
24.0
|
21.0
|
25.8
|
|
Customer deposits
|
|
|
|
7.8
|
12.8
|
12.3
|
|
RWAs
|
|
|
|
2.6
|
2.6
|
2.8
|
H1 2024 performance
-
Total
income was £92 million lower than H1 2023 primarily reflecting
£198 million lower notable items which included foreign
exchange recycling gains in H1 2023 not repeated in H1 2024 and
higher gains on interest and foreign exchange risk management
derivatives not in accounting hedge relationships, partially offset
with income in relation to our Ulster RoI business.
-
Other
operating expenses were £189 million, or 72.7%, lower than H1
2023 primarily reflecting lower costs in relation to withdrawal
from the Republic of Ireland.
-
Customer
deposits decreased by £4.5 billion, or 36.6%, compared with Q4
2023 primarily reflecting repo activity in Treasury.
-
Net
loans to customers decreased £1.8 billion to £24.0
billion in H1 2024 mainly due to reverse repo activity in
Treasury.
-
Total
income was £34 million higher than Q1 2024 primarily
reflecting treasury income, a gain on surrender of a property, and
income in relation to our Ulster RoI business.
-
Customer
deposits decreased by £5.0 billion, or 39.1%, in Q2 2024
primarily reflecting repo activity in Treasury.
-
Net
loans to customers increased by £3.0 billion in Q2 2024 mainly
due to reverse repo activity in Treasury.
Segment performance
|
|
Half year ended 30 June 2024
|
|
|
Retail
|
Private
|
Commercial &
|
Central items
|
Total NatWest
|
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Group
|
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Continuing operations
|
|
|
|
|
|
|
Income statement
|
|
|
|
|
|
|
Net interest income
|
2,475
|
285
|
2,543
|
105
|
5,408
|
|
Own credit adjustments
|
-
|
-
|
(7)
|
-
|
(7)
|
|
Other non-interest income
|
215
|
159
|
1,264
|
95
|
1,733
|
|
Total income
|
2,690
|
444
|
3,800
|
200
|
7,134
|
|
Direct expenses
|
(381)
|
(126)
|
(764)
|
(2,685)
|
(3,956)
|
|
Indirect expenses
|
(1,076)
|
(229)
|
(1,309)
|
2,614
|
-
|
|
Other operating expenses
|
(1,457)
|
(355)
|
(2,073)
|
(71)
|
(3,956)
|
|
Litigation and conduct costs
|
(13)
|
(1)
|
(77)
|
(10)
|
(101)
|
|
Operating expenses
|
(1,470)
|
(356)
|
(2,150)
|
(81)
|
(4,057)
|
|
Operating profit before impairment
losses/releases
|
1,220
|
88
|
1,650
|
119
|
3,077
|
|
Impairment (losses)/releases
|
(122)
|
11
|
57
|
6
|
(48)
|
|
Operating profit
|
1,098
|
99
|
1,707
|
125
|
3,029
|
|
|
|
|
|
|
|
|
Income excluding notable items (1)
|
2,690
|
444
|
3,807
|
63
|
7,004
|
|
|
|
|
|
|
|
|
Additional information
|
|
|
|
|
|
|
Return on tangible equity (1)
|
na
|
na
|
na
|
na
|
16.4%
|
|
Return on equity (1)
|
18.4%
|
10.5%
|
16.2%
|
nm
|
na
|
|
Cost:income ratio (excl. litigation and
conduct) (1)
|
54.2%
|
80.0%
|
54.6%
|
nm
|
55.5%
|
|
Total assets (£bn)
|
226.5
|
27.2
|
381.9
|
54.7
|
690.3
|
|
Funded assets (£bn) (1)
|
226.5
|
27.2
|
315.5
|
53.6
|
622.8
|
|
Net loans to customers - amortised cost (£bn)
|
203.3
|
18.1
|
133.9
|
24.0
|
379.3
|
|
Loan impairment rate (1)
|
12bps
|
(12)bps
|
(8)bps
|
nm
|
3bps
|
|
Impairment provisions (£bn)
|
(1.7)
|
(0.1)
|
(1.5)
|
-
|
(3.3)
|
|
Impairment provisions - Stage 3 (£bn)
|
(1.0)
|
-
|
(0.9)
|
(0.1)
|
(2.0)
|
|
Customer deposits (£bn)
|
191.5
|
39.5
|
194.2
|
7.8
|
433.0
|
|
Risk-weighted assets (RWAs) (£bn)
|
62.3
|
11.0
|
104.9
|
2.6
|
180.8
|
|
RWA equivalent (RWAe) (£bn)
|
63.1
|
11.0
|
106.7
|
3.1
|
183.9
|
|
Employee numbers (FTEs - thousands)
|
12.6
|
2.2
|
12.8
|
33.0
|
60.6
|
|
Third party customer asset rate (1)
|
3.88%
|
4.99%
|
6.77%
|
nm
|
nm
|
|
Third party customer funding rate (1)
|
(2.08%)
|
(3.14%)
|
(1.93%)
|
nm
|
nm
|
|
Average interest earning assets (£bn) (1)
|
220.1
|
26.3
|
244.0
|
na
|
524.4
|
|
Net interest margin (1)
|
2.26%
|
2.18%
|
2.10%
|
na
|
2.07%
|
nm = not meaningful, na = not applicable.
(1) Refer to the Non-IFRS financial
measures appendix for details of the basis of preparation and
reconciliation of non-IFRS financial measures and performance
metrics.
Segment performance continued
|
|
Half year ended 30 June 2023
|
|
|
Retail
|
Private
|
Commercial &
|
Central items
|
Total NatWest
|
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Group
|
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Continuing operations
|
|
|
|
|
|
|
Income statement
|
|
|
|
|
|
|
Net interest income
|
2,908
|
428
|
2,504
|
(114)
|
5,726
|
|
Own credit adjustments
|
-
|
-
|
9
|
-
|
9
|
|
Other non-interest income
|
212
|
139
|
1,235
|
406
|
1,992
|
|
Total income
|
3,120
|
567
|
3,748
|
292
|
7,727
|
|
Direct expenses
|
(398)
|
(118)
|
(741)
|
(2,550)
|
(3,807)
|
|
Indirect expenses
|
(945)
|
(193)
|
(1,152)
|
2,290
|
-
|
|
Other operating expenses
|
(1,343)
|
(311)
|
(1,893)
|
(260)
|
(3,807)
|
|
Litigation and conduct costs
|
(24)
|
(11)
|
(94)
|
21
|
(108)
|
|
Operating expenses
|
(1,367)
|
(322)
|
(1,987)
|
(239)
|
(3,915)
|
|
Operating profit before impairment
losses/releases
|
1,753
|
245
|
1,761
|
53
|
3,812
|
|
Impairment (losses)/releases
|
(193)
|
(11)
|
(20)
|
1
|
(223)
|
|
Operating profit
|
1,560
|
234
|
1,741
|
54
|
3,589
|
|
|
|
|
|
|
|
|
Income excluding notable items (1)
|
3,120
|
567
|
3,739
|
(43)
|
7,383
|
|
|
|
|
|
|
|
|
Additional information
|
|
|
|
|
|
|
Return on tangible equity (1)
|
na
|
na
|
na
|
na
|
18.2%
|
|
Return on equity (1)
|
29.1%
|
24.7%
|
16.9%
|
nm
|
na
|
|
Cost:income ratio (excl. litigation and
conduct) (1)
|
43.0%
|
54.9%
|
50.5%
|
nm
|
49.3%
|
|
Total assets (£bn)
|
229.1
|
27.3
|
401.5
|
44.7
|
702.6
|
|
Funded assets (£bn) (1)
|
229.1
|
27.3
|
320.6
|
43.7
|
620.7
|
|
Net loans to customers - amortised cost (£bn)
|
204.4
|
19.1
|
129.2
|
21.2
|
373.9
|
|
Loan impairment rate (1)
|
19bps
|
11bps
|
3bps
|
nm
|
12bps
|
|
Impairment provisions (£bn)
|
(1.7)
|
(0.1)
|
(1.5)
|
(0.1)
|
(3.4)
|
|
Impairment provisions - Stage 3 (£bn)
|
(1.0)
|
-
|
(0.8)
|
(0.1)
|
(1.9)
|
|
Customer deposits (£bn)
|
183.1
|
36.5
|
201.5
|
11.4
|
432.5
|
|
Risk-weighted assets (RWAs) (£bn)
|
57.3
|
11.5
|
103.6
|
5.1
|
177.5
|
|
RWA equivalent (RWAe) (£bn)
|
57.3
|
11.5
|
104.9
|
5.8
|
179.5
|
|
Employee numbers (FTEs - thousands)
|
13.7
|
2.3
|
12.6
|
32.9
|
61.5
|
|
Third party customer asset rate (1)
|
3.03%
|
4.24%
|
5.61%
|
nm
|
nm
|
|
Third party customer funding rate (1)
|
(1.02%)
|
(1.43%)
|
(1.03%)
|
nm
|
nm
|
|
Average interest earning assets (£bn) (1)
|
220.9
|
27.6
|
244.6
|
na
|
518.4
|
|
Net interest margin (1)
|
2.65%
|
3.13%
|
2.06%
|
na
|
2.23%
|
nm = not meaningful, na = not applicable.
(1) Refer to the Non-IFRS financial
measures appendix for details of the basis of preparation and
reconciliation of non-IFRS financial measures and performance
metrics.
Segment performance continued
|
|
Quarter ended 30 June 2024
|
|
|
Retail
|
Private
|
Commercial &
|
Central items
|
Total NatWest
|
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Group
|
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Continuing operations
|
|
|
|
|
|
|
Income statement
|
|
|
|
|
|
|
Net interest income
|
1,259
|
151
|
1,297
|
50
|
2,757
|
|
Own credit adjustments
|
-
|
-
|
(2)
|
-
|
(2)
|
|
Other non-interest income
|
106
|
85
|
646
|
67
|
904
|
|
Total income
|
1,365
|
236
|
1,941
|
117
|
3,659
|
|
Direct expenses
|
(192)
|
(65)
|
(380)
|
(1,291)
|
(1,928)
|
|
Indirect expenses
|
(498)
|
(110)
|
(673)
|
1,281
|
-
|
|
Other operating expenses
|
(690)
|
(175)
|
(1,053)
|
(10)
|
(1,928)
|
|
Litigation and conduct costs
|
(7)
|
-
|
(46)
|
(24)
|
(77)
|
|
Operating expenses
|
(697)
|
(175)
|
(1,099)
|
(34)
|
(2,005)
|
|
Operating profit before impairment
losses/releases
|
668
|
61
|
842
|
83
|
1,654
|
|
Impairment (losses)/releases
|
(59)
|
5
|
96
|
3
|
45
|
|
Operating profit
|
609
|
66
|
938
|
86
|
1,699
|
|
|
|
|
|
|
|
|
Income excluding notable items (1)
|
1,365
|
236
|
1,943
|
46
|
3,590
|
|
|
|
|
|
|
|
|
Additional information
|
|
|
|
|
|
|
Return on tangible equity (1)
|
na
|
na
|
na
|
na
|
18.5%
|
|
Return on equity (1)
|
20.3%
|
14.4%
|
17.8%
|
nm
|
na
|
|
Cost:income ratio (excl. litigation and
conduct) (1)
|
50.5%
|
74.2%
|
54.3%
|
nm
|
52.7%
|
|
Total assets (£bn)
|
226.5
|
27.2
|
381.9
|
54.7
|
690.3
|
|
Funded assets (£bn) (1)
|
226.5
|
27.2
|
315.5
|
53.6
|
622.8
|
|
Net loans to customers - amortised cost (£bn)
|
203.3
|
18.1
|
133.9
|
24.0
|
379.3
|
|
Loan impairment rate (1)
|
12bps
|
(11)bps
|
(28)bps
|
nm
|
(5)bps
|
|
Impairment provisions (£bn)
|
(1.7)
|
(0.1)
|
(1.5)
|
-
|
(3.3)
|
|
Impairment provisions - Stage 3 (£bn)
|
(1.0)
|
-
|
(0.9)
|
(0.1)
|
(2.0)
|
|
Customer deposits (£bn)
|
191.5
|
39.5
|
194.2
|
7.8
|
433.0
|
|
Risk-weighted assets (RWAs) (£bn)
|
62.3
|
11.0
|
104.9
|
2.6
|
180.8
|
|
RWA equivalent (RWAe) (£bn)
|
63.1
|
11.0
|
106.7
|
3.1
|
183.9
|
|
Employee numbers (FTEs - thousands)
|
12.6
|
2.2
|
12.8
|
33.0
|
60.6
|
|
Third party customer asset rate (1)
|
3.97%
|
5.01%
|
6.73%
|
nm
|
nm
|
|
Third party customer funding rate (1)
|
(2.10%)
|
(3.15%)
|
(1.93%)
|
nm
|
nm
|
|
Average interest earning assets (£bn) (1)
|
219.6
|
26.5
|
246.0
|
na
|
527.6
|
|
Net interest margin (1)
|
2.31%
|
2.30%
|
2.12%
|
na
|
2.10%
|
nm = not meaningful, na = not applicable.
(1) Refer to the
Non-IFRS financial measures appendix for details of the basis of
preparation and reconciliation of non-IFRS financial measures and
performance metrics.
Segment performance continued
|
|
Quarter ended 31 March 2024
|
|
|
Retail
|
Private
|
Commercial &
|
Central items
|
Total NatWest
|
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Group
|
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Continuing operations
|
|
|
|
|
|
|
Income statement
|
|
|
|
|
|
|
Net interest income
|
1,216
|
134
|
1,246
|
55
|
2,651
|
|
Own credit adjustments
|
-
|
-
|
(5)
|
-
|
(5)
|
|
Other non-interest income
|
109
|
74
|
618
|
28
|
829
|
|
Total income
|
1,325
|
208
|
1,859
|
83
|
3,475
|
|
Direct expenses
|
(189)
|
(61)
|
(384)
|
(1,394)
|
(2,028)
|
|
Indirect expenses
|
(578)
|
(119)
|
(636)
|
1,333
|
-
|
|
Other operating expenses
|
(767)
|
(180)
|
(1,020)
|
(61)
|
(2,028)
|
|
Litigation and conduct costs
|
(6)
|
(1)
|
(31)
|
14
|
(24)
|
|
Operating expenses
|
(773)
|
(181)
|
(1,051)
|
(47)
|
(2,052)
|
|
Operating profit before impairment
losses/releases
|
552
|
27
|
808
|
36
|
1,423
|
|
Impairment (losses)/releases
|
(63)
|
6
|
(39)
|
3
|
(93)
|
|
Operating profit
|
489
|
33
|
769
|
39
|
1,330
|
|
|
|
|
|
|
|
|
Income excluding notable items (1)
|
1,325
|
208
|
1,864
|
17
|
3,414
|
|
|
|
|
|
|
|
|
Additional information
|
|
|
|
|
|
|
Return on tangible equity (1)
|
na
|
na
|
na
|
na
|
14.2%
|
|
Return on equity (1)
|
16.5%
|
6.7%
|
14.6%
|
nm
|
na
|
|
Cost:income ratio (excl. litigation and
conduct) (1)
|
57.9%
|
86.5%
|
54.9%
|
nm
|
58.4%
|
|
Total assets (£bn)
|
226.4
|
26.5
|
388.8
|
55.8
|
697.5
|
|
Funded assets (£bn) (1)
|
226.4
|
26.5
|
321.7
|
54.7
|
629.3
|
|
Net loans to customers - amortised cost (£bn)
|
203.5
|
18.2
|
135.3
|
21.0
|
378.0
|
|
Loan impairment rate (1)
|
12bps
|
(13)bps
|
11bps
|
nm
|
10bps
|
|
Impairment provisions (£bn)
|
(1.9)
|
(0.1)
|
(1.5)
|
(0.1)
|
(3.6)
|
|
Impairment provisions - Stage 3 (£bn)
|
(1.2)
|
-
|
(0.8)
|
-
|
(2.0)
|
|
Customer deposits (£bn)
|
190.0
|
37.8
|
192.2
|
12.8
|
432.8
|
|
Risk-weighted assets (RWAs) (£bn)
|
62.5
|
11.3
|
109.9
|
2.6
|
186.3
|
|
RWA equivalent (RWAe) (£bn)
|
62.6
|
11.3
|
111.1
|
3.1
|
188.1
|
|
Employee numbers (FTEs - thousands)
|
13.1
|
2.2
|
12.7
|
33.3
|
61.3
|
|
Third party customer asset rate (1)
|
3.79%
|
4.97%
|
6.81%
|
nm
|
nm
|
|
Third party customer funding rate (1)
|
(2.05%)
|
(3.14%)
|
(1.93%)
|
nm
|
nm
|
|
Average interest earning assets (£bn) (1)
|
220.6
|
26.2
|
241.9
|
na
|
521.1
|
|
Net interest margin (1)
|
2.22%
|
2.06%
|
2.07%
|
na
|
2.05%
|
nm = not meaningful, na = not applicable.
(1) Refer to the Non-IFRS financial
measures appendix for details of the basis of preparation and
reconciliation of non-IFRS financial measures and performance
metrics.
Segment performance continued
|
|
Quarter ended 30 June 2023
|
|
|
Retail
|
Private
|
Commercial &
|
Central items
|
Total NatWest
|
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Group
|
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Continuing operations
|
|
|
|
|
|
|
Income statement
|
|
|
|
|
|
|
Net interest income
|
1,416
|
199
|
1,243
|
(34)
|
2,824
|
|
Own credit adjustments
|
-
|
-
|
3
|
-
|
3
|
|
Other non-interest income
|
100
|
72
|
549
|
303
|
1,024
|
|
Total income
|
1,516
|
271
|
1,795
|
269
|
3,851
|
|
Direct expenses
|
(187)
|
(58)
|
(381)
|
(1,249)
|
(1,875)
|
|
Indirect expenses
|
(463)
|
(101)
|
(553)
|
1,117
|
-
|
|
Other operating expenses
|
(650)
|
(159)
|
(934)
|
(132)
|
(1,875)
|
|
Litigation and conduct costs
|
(21)
|
(8)
|
(50)
|
27
|
(52)
|
|
Operating expenses
|
(671)
|
(167)
|
(984)
|
(105)
|
(1,927)
|
|
Operating profit before impairment losses
|
845
|
104
|
811
|
164
|
1,924
|
|
Impairment losses
|
(79)
|
(3)
|
(64)
|
(7)
|
(153)
|
|
Operating profit
|
766
|
101
|
747
|
157
|
1,771
|
|
|
|
|
|
|
|
|
Income excluding notable items (1)
|
1,516
|
271
|
1,792
|
(16)
|
3,563
|
|
|
|
|
|
|
|
|
Additional information
|
|
|
|
|
|
|
Return on tangible equity (1)
|
na
|
na
|
na
|
na
|
16.4%
|
|
Return on equity (1)
|
28.2%
|
20.8%
|
14.3%
|
nm
|
na
|
|
Cost:income ratio (excl. litigation and
conduct) (1)
|
42.9%
|
58.7%
|
52.0%
|
nm
|
48.7%
|
|
Total assets (£bn)
|
229.1
|
27.3
|
401.5
|
44.7
|
702.6
|
|
Funded assets (£bn) (1)
|
229.1
|
27.3
|
320.6
|
43.7
|
620.7
|
|
Net loans to customers - amortised cost (£bn)
|
204.4
|
19.1
|
129.2
|
21.2
|
373.9
|
|
Loan impairment rate (1)
|
15bps
|
6bps
|
20bps
|
nm
|
16bps
|
|
Impairment provisions (£bn)
|
(1.7)
|
(0.1)
|
(1.5)
|
(0.1)
|
(3.4)
|
|
Impairment provisions - Stage 3 (£bn)
|
(1.0)
|
-
|
(0.8)
|
(0.1)
|
(1.9)
|
|
Customer deposits (£bn)
|
183.1
|
36.5
|
201.5
|
11.4
|
432.5
|
|
Risk-weighted assets (RWAs) (£bn)
|
57.3
|
11.5
|
103.6
|
5.1
|
177.5
|
|
RWA equivalent (RWAe) (£bn)
|
57.3
|
11.5
|
104.9
|
5.8
|
179.5
|
|
Employee numbers (FTEs - thousands)
|
13.7
|
2.3
|
12.6
|
32.9
|
61.5
|
|
Third party customer asset rate (1)
|
3.11%
|
4.41%
|
5.84%
|
nm
|
nm
|
|
Third party customer funding rate (1)
|
(1.20%)
|
(1.71%)
|
(1.18%)
|
nm
|
nm
|
|
Average interest earning assets (£bn) (1)
|
221.5
|
27.1
|
243.2
|
na
|
514.5
|
|
Net interest margin (1)
|
2.56%
|
2.94%
|
2.05%
|
na
|
2.20%
|
nm - not meaningful, na - not applicable
(1) Refer to the Non-IFRS
financial measures appendix for details of the basis of preparation
and reconciliation of non-IFRS financial measures and performance
metrics.
Risk and capital management
Certain disclosures in the Risk and capital management section are
within the scope of EY's review report and are marked as 'reviewed'
in the section header.
Credit risk
Economic loss drivers (reviewed)
Introduction
The portfolio segmentation and selection of economic loss drivers
for IFRS 9 follows the approach used in stress testing. To enable
robust modelling, the forecasting models for each portfolio segment
(defined by product or asset class and where relevant, industry
sector and region) are based on a selected, small number of
economic variables (typically three to four) that best explain the
movements in portfolio loss rates. The process to select economic
loss drivers involves empirical analysis and expert
judgement.
The most significant economic loss drivers for the most material
portfolios are shown in the table below:
|
|
|
|
UK Personal mortgages
|
Unemployment rate, sterling swap rate, house price index, real
wage
|
|
UK Personal unsecured
|
Unemployment rate, sterling swap rate, real wage
|
|
UK corporates
|
Stock price index, gross domestic product (GDP)
|
|
UK commercial real estate
|
Stock price index, commercial property price index,
GDP
|
Economic scenarios
At 30 June 2024, the range of anticipated future economic
conditions was defined by a set of four internally developed
scenarios and their respective probabilities. In addition to the
base case, they comprised upside, downside and extreme downside
scenarios. The scenarios primarily reflected the current risks
faced by the economy, particularly in relation to the path of
inflation and interest rates.
For 30 June 2024, the four scenarios were deemed appropriate in
capturing the uncertainty in economic forecasts and the
non-linearity in outcomes under different scenarios. These four
scenarios were developed to provide sufficient coverage across
potential rises in unemployment, inflation, asset price declines
and the degree of permanent damage to the economy, around which
there remains pronounced levels of uncertainty.
Upside - This scenario assumes robust growth as inflation
falls sharply and rates are lowered quicker than expected. Consumer
spending is supported by quicker recovery in household income, and
further helped by higher consumer confidence, fiscal support and
strong business investment. The labour market remains resilient
with the unemployment rate falling. The housing market shows robust
growth.
Compared to 31 December 2023, the upside scenario remains similarly
configured, exploring a more benign set of economic outcomes,
including a stronger performing stock market, real estate prices,
and supported by a stronger global growth backdrop, relative to the
base case view.
Base case - Continued declining inflation allows an easing
cycle to start in the second half of 2024. The unemployment rate
rises modestly over 2024 but there are no wide-spread job losses.
Inflation remains very close to the current level of 2% through the
forecast period. Economic output also experiences modest but stable
growth in contrast to the stagnation of recent years. The housing
market experiences modest nominal price increase. Housing market
activity gradually strengthens as interest rates fall and real
incomes recover.
Since 31 December 2023, the economic outlook has improved as
household income continued to recover, and the labour market
remained resilient. The declining inflation trend has continued,
albeit the progress was slower than expected. As a result, rates
are expected to remain higher-for-longer than previously expected.
The unemployment rate still rises but the peak is marginally lower
and is underpinned by a resilient labour market. House prices were
assumed to decline previously in 2024, but there has been a
better-than-expected recovery in early 2024 and prices are now
expected to show a modest increase.
Downside - Core inflation remains persistently high leading to
resurgent inflation. The economy experiences a recession as
consumer confidence weakens due to a fall in real incomes. Interest
rates are raised higher than the base case and remain
higher-for-longer. High rates are assumed to have a more
significant impact on the labour market. Unemployment is higher
than the base case scenario while house prices lose approximately
ten percent of their value.
Compared to 31 December 2023, the downside scenario is similarly
configured and explores risks associated with high inflation and
significantly higher interest rates across the period.
Extreme downside - This scenario assumes a significant
economic downturn with a loss of consumer confidence leading to a
deep economic recession. This results in widespread job losses with
the unemployment rate rising above the levels seen during the 2008
financial crisis, further compounding consumer weakness. Rates are
cut sharply in response to the demand shock, leading to some
support to the recovery. House prices lose approximately a third of
their value.
Compared to 31 December 2023, the extreme downside is similarly
configured with an extreme set of economic outcomes, low interest
rates, very sharp falls in asset prices and a marked deterioration
in the labour market.
Risk and capital management continued
Credit risk continued
Economic loss drivers (reviewed)
The main macroeconomic variables for each of the four scenarios
used for expected credit loss (ECL) modelling are set out in the
main macroeconomic variables table below.
|
Main macroeconomic variables
|
30 June 2024
|
|
31 December 2023
|
|
|
|
|
|
Extreme
|
Weighted
|
|
|
|
|
Extreme
|
Weighted
|
|
|
Upside
|
Base case
|
Downside
|
downside
|
average
|
|
Upside
|
Base case
|
Downside
|
downside
|
average
|
|
Five-year summary
|
%
|
%
|
%
|
%
|
%
|
|
%
|
%
|
%
|
%
|
%
|
|
GDP
|
1.9
|
1.2
|
0.6
|
(0.2)
|
1.1
|
|
1.8
|
1.0
|
0.5
|
(0.3)
|
0.9
|
|
Unemployment rate
|
3.5
|
4.3
|
5.4
|
7.1
|
4.7
|
|
3.5
|
4.6
|
5.2
|
6.8
|
4.8
|
|
House price index
|
5.3
|
3.3
|
1.0
|
(4.2)
|
2.5
|
|
3.9
|
0.3
|
(0.4)
|
(5.7)
|
0.3
|
|
Commercial real estate price
|
4.4
|
1.2
|
(0.7)
|
(5.1)
|
0.8
|
|
3.1
|
(0.2)
|
(2.0)
|
(6.8)
|
(0.6)
|
|
Consumer price index
|
1.1
|
2.1
|
4.8
|
1.3
|
2.3
|
|
1.7
|
2.6
|
5.2
|
1.8
|
2.8
|
|
Bank of England base rate
|
3.3
|
3.7
|
5.7
|
2.6
|
3.8
|
|
3.8
|
3.7
|
5.6
|
2.9
|
4.0
|
|
Stock price index
|
4.7
|
3.3
|
1.3
|
0.2
|
2.8
|
|
4.8
|
3.3
|
1.2
|
(0.4)
|
2.8
|
|
World GDP
|
3.7
|
3.1
|
2.7
|
1.8
|
3.0
|
|
3.7
|
3.2
|
2.7
|
1.8
|
3.0
|
|
Probability weight
|
22.0
|
45.0
|
19.4
|
13.6
|
|
|
21.2
|
45.0
|
20.4
|
13.4
|
|
(1) The five-year summary runs
from 2024-2028 for 30 June 2024 and from 2023-27 for 31 December
2023.
(2) The table shows compound
annual growth rate (CAGR) for GDP, average levels for the
unemployment rate and Bank of England base rate and Q4 to Q4 CAGR
for other parameters.
Risk and capital management continued
Credit risk continued
Economic loss drivers (reviewed)
Climate transition
In 2023, NatWest Group for the first time explicitly included
assumptions about the changes in transition policy, in the base
case macroeconomic scenario. Last year, an economy-wide implicit
carbon price, consistent with the CCC Balanced Net Zero Scenario,
was applied to all sectors. During the first half of 2024, NatWest
Group continued to add climate policy and technology related
transition assumptions into its base case macroeconomic scenario
used for financial planning. As in 2023, this process included an
assessment of ECL in this IFRS 9 reporting period. This resulted in
climate transition policy contributing £5.4 million to total
ECL, compared with an increase in ECL of less than £1 million
at the end of 2023.
In 2024, NatWest Group refined the approach. In this reporting
period, NatWest Group calculated expected implicit carbon prices
associated with specific climate transition policies. NatWest Group
has individually assessed 46 active and potential transition
policies that will have a significant impact on the cost of
emissions and converted them into equivalent sectoral carbon
prices, calculated as the cost per tonne of the emissions abated,
as a result of each policy. This approach enables NatWest Group to
estimate an aggregate macroeconomic impact of the transition
policies, and as a result, ECL.
NatWest Group and its customers have a dependency on timely and
appropriate government policies to provide the necessary impetus
for technology development and customer behaviour changes, to
enable the UK's successful transition to net zero. Policy delays
and the risks outlined in the UK CCC 2022 and 2023 Progress
Reports, if not adequately addressed in a timely manner, put at
risk the UK's net zero transition and in turn, that of NatWest
Group and its customers.
Probability weightings of scenarios
NatWest Group's quantitative approach to IFRS 9 multiple economic
scenarios (MES) involves selecting a suitable set of discrete
scenarios to characterise the distribution of risks in the economic
outlook and assigning appropriate probability weights. This
quantitative approach is used for 30 June 2024.
The approach involves comparing GDP paths for NatWest Group's
scenarios against a set of 1,000 model runs, following which, a
percentile in the distribution is established that most closely
corresponded to the scenario. Probability weight for base case is
set first based on judgement, while probability weights for the
alternate scenarios are assigned based on these percentiles
scores.
The assigned probability weights were judged to be aligned with the
subjective assessment of balance of the risks in the economy. The
weights were broadly comparable to those used at 31 December 2023
but with slightly less downside skew. This is reasonable as the
inflation outturn since then has been encouraging, with inflation
continuing to decline and a reduced risk of stagflation. However,
the risks of persistent inflation remain elevated and there is
considerable uncertainty in the economic outlook, particularly with
respect to persistence and the range of outcomes on inflation.
Given that backdrop, NatWest Group judges it appropriate that
downside-biased scenarios have higher combined probability weights
than the upside-biased scenario. It presents good coverage to the
range of outcomes assumed in the scenarios, including the potential
for a robust recovery on the upside and exceptionally challenging
outcomes on the downside. A 22% weighting was applied to the upside
scenario, a 45% weighting applied to the base case scenario, a
19.4% weighting applied to the downside scenario and a 13.6%
weighting applied to the extreme downside scenario.
Risk and capital management continued
Credit risk continued
Economic loss drivers (reviewed)
Annual figures
|
|
|
|
|
Extreme
|
Weighted
|
|
|
Upside
|
Base case
|
Downside
|
downside
|
average
|
|
GDP - annual growth
|
%
|
%
|
%
|
%
|
%
|
|
2024
|
1.7
|
0.7
|
0.1
|
-
|
0.7
|
|
2025
|
3.9
|
1.2
|
(0.9)
|
(4.0)
|
0.7
|
|
2026
|
1.4
|
1.4
|
1.1
|
0.9
|
1.3
|
|
2027
|
1.2
|
1.4
|
1.3
|
1.2
|
1.3
|
|
2028
|
1.2
|
1.4
|
1.3
|
1.2
|
1.3
|
|
2029
|
1.3
|
1.4
|
1.3
|
1.3
|
1.3
|
|
|
|
|
|
|
|
|
Unemployment rate
|
|
|
|
|
|
|
- annual average
|
|
|
|
|
|
|
2024
|
4.2
|
4.4
|
4.6
|
4.8
|
4.4
|
|
2025
|
3.4
|
4.4
|
5.7
|
7.8
|
4.9
|
|
2026
|
3.2
|
4.3
|
5.7
|
8.3
|
4.9
|
|
2027
|
3.3
|
4.3
|
5.5
|
7.7
|
4.7
|
|
2028
|
3.3
|
4.2
|
5.4
|
7.1
|
4.6
|
|
2029
|
3.3
|
4.2
|
5.3
|
6.8
|
4.6
|
|
|
|
|
|
|
|
|
House price index
|
|
|
|
|
|
|
- four quarter change
|
|
|
|
|
|
|
2024
|
6.8
|
3.1
|
(1.2)
|
(3.3)
|
2.2
|
|
2025
|
8.9
|
3.1
|
(6.0)
|
(13.2)
|
0.6
|
|
2026
|
4.5
|
3.4
|
1.0
|
(14.5)
|
1.3
|
|
2027
|
3.1
|
3.4
|
6.6
|
5.4
|
4.1
|
|
2028
|
3.5
|
3.4
|
5.2
|
6.8
|
4.1
|
|
2029
|
3.4
|
3.4
|
3.4
|
3.4
|
3.4
|
|
|
|
|
|
|
|
|
Commercial real estate price
|
|
|
|
|
|
|
- four quarter change
|
|
|
|
|
|
|
2024
|
6.2
|
(1.3)
|
(4.2)
|
(7.7)
|
(1.1)
|
|
2025
|
5.5
|
1.7
|
(8.0)
|
(30.8)
|
(3.4)
|
|
2026
|
4.6
|
2.0
|
3.1
|
3.3
|
3.0
|
|
2027
|
3.8
|
2.2
|
3.4
|
7.8
|
3.3
|
|
2028
|
1.8
|
1.5
|
3.0
|
8.5
|
2.5
|
|
2029
|
1.4
|
1.4
|
1.4
|
1.4
|
1.4
|
|
|
|
|
|
Extreme
|
Weighted
|
|
Consumer price index
|
Upside
|
Base case
|
Downside
|
downside
|
average
|
|
- four quarter change
|
%
|
%
|
%
|
%
|
%
|
|
2024
|
1.4
|
2.1
|
5.7
|
0.1
|
2.4
|
|
2025
|
0.5
|
2.1
|
6.7
|
0.5
|
2.5
|
|
2026
|
1.3
|
2.0
|
4.4
|
2.0
|
2.4
|
|
2027
|
1.2
|
2.0
|
3.8
|
2.0
|
2.2
|
|
2028
|
1.1
|
2.0
|
3.7
|
2.0
|
2.2
|
|
2029
|
2.0
|
2.0
|
2.0
|
2.0
|
2.0
|
|
|
|
|
|
|
|
|
Bank of England base rate
|
|
|
|
|
|
|
- annual average
|
|
|
|
|
|
|
2024
|
4.83
|
5.10
|
5.50
|
4.69
|
5.06
|
|
2025
|
3.46
|
4.06
|
6.35
|
2.38
|
4.14
|
|
2026
|
2.85
|
3.08
|
5.83
|
2.00
|
3.42
|
|
2027
|
2.75
|
3.00
|
5.50
|
2.00
|
3.29
|
|
2028
|
2.75
|
3.00
|
5.19
|
2.06
|
3.24
|
|
2029
|
2.75
|
3.00
|
5.00
|
2.25
|
3.23
|
|
|
|
|
|
|
|
|
Stock price index
|
|
|
|
|
|
|
- four quarter change
|
|
|
|
|
|
|
2024
|
6.8
|
3.3
|
(11.0)
|
(27.7)
|
(2.9)
|
|
2025
|
5.7
|
3.3
|
(1.5)
|
(7.4)
|
1.9
|
|
2026
|
4.1
|
3.3
|
8.6
|
21.2
|
6.0
|
|
2027
|
3.6
|
3.3
|
6.5
|
12.9
|
4.9
|
|
2028
|
3.2
|
3.3
|
5.3
|
10.2
|
4.4
|
|
2029
|
3.3
|
3.3
|
3.3
|
3.3
|
3.3
|
Risk and capital management continued
Credit risk continued
Economic loss drivers (reviewed)
Worst points
|
|
|
|
Extreme
|
|
Weighted
|
|
|
Downside
|
|
downside
|
|
average
|
|
30 June 2024
|
%
|
Quarter
|
%
|
Quarter
|
%
|
|
GDP
|
(0.9)
|
Q1 2025
|
(4.2)
|
Q2 2025
|
0.6
|
|
Unemployment rate - peak
|
5.8
|
Q3 2025
|
8.5
|
Q4 2025
|
5.0
|
|
House price index
|
(8.0)
|
Q2 2026
|
(28.2)
|
Q4 2026
|
1.1
|
|
Commercial real estate price
|
(11.9)
|
Q3 2025
|
(36.5)
|
Q1 2026
|
(4.4)
|
|
Consumer price index
|
|
|
|
|
|
|
- highest four quarter change
|
8.5
|
Q2 2025
|
3.5
|
Q1 2024
|
3.5
|
|
Bank of England base rate
|
|
|
|
|
|
|
- extreme level
|
6.5
|
Q2 2025
|
5.3
|
Q1 2024
|
5.3
|
|
Stock price index
|
(16.0)
|
Q2 2025
|
(40.5)
|
Q2 2025
|
(4.2)
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
GDP
|
(1.2)
|
Q3 2024
|
(4.5)
|
Q4 2024
|
0.3
|
|
Unemployment rate - peak
|
5.8
|
Q1 2025
|
8.5
|
Q2 2025
|
5.2
|
|
House price index
|
(12.5)
|
Q4 2025
|
(31.7)
|
Q2 2026
|
(6.5)
|
|
Commercial real estate price
|
(16.6)
|
Q1 2025
|
(39.9)
|
Q3 2025
|
(10.2)
|
|
Consumer price index
|
|
|
|
|
|
|
- highest four quarter change
|
10.3
|
Q1 2023
|
10.3
|
Q1 2023
|
10.3
|
|
Bank of England base rate
|
|
|
|
|
|
|
- extreme level
|
6.5
|
Q4 2024
|
5.3
|
Q4 2023
|
5.3
|
|
Stock price index
|
(14.3)
|
Q4 2024
|
(39.3)
|
Q4 2024
|
(2.4)
|
(1) Unless specified otherwise, the figures
show falls relative to the starting period. The calculations are
performed over five years, with a starting point of Q4 2023 for 30
June 2024 scenarios and Q4 2022 for 31 December 2023
scenarios.
Use of the scenarios in Personal lending
Personal lending follows a discrete scenario approach. The
probability of default (PD), exposure at default (EAD), loss given
default (LGD) and resultant ECL for each discrete scenario is
calculated using product specific economic response models.
Probability weighted averages across the suite of economic
scenarios are then calculated for each of the model outputs, with
the weighted PD being used for staging purposes.
Business Banking utilises the Personal lending methodology rather
than the Wholesale lending methodology.
Use of the scenarios in Wholesale lending
Wholesale lending follows a continuous scenario approach to
calculate ECL. PD and LGD values arising from multiple economic
forecasts (based on the concept of credit cycle indices) are
simulated around the central projection. The central projection is
a weighted average of economic scenarios with the scenarios
translated into credit cycle indices using the Wholesale economic
response models.
UK economic uncertainty
The high inflation environment alongside high interest rates are
presenting significant headwinds for some businesses and consumers,
in many cases compounding. These cost pressures remain a feature of
the economic environment, though they are expected to moderate over
2024 and 2025 in the base case scenario. NatWest Group has
considered where these are most likely to affect the customer base,
with the cost of borrowing during 2023 and 2024 for both businesses
and consumers presenting an additional affordability
challenge.
The effects of these risks are not expected to be fully captured by
forward-looking credit modelling, particularly given the high
inflation environment, low unemployment base case outlook. Any
incremental ECL effects for these risks will be captured via post
model adjustments and are detailed further in the Governance and
post model adjustments section.
Governance and post model adjustments (reviewed)
The IFRS 9 PD, EAD and LGD models are subject to NatWest Group's
model risk policy that stipulates periodic model monitoring,
periodic re-validation and defines approval procedures and
authorities according to model materiality. Various post model
adjustments were applied where management judged they were
necessary to ensure an adequate level of overall ECL provision. All
post model adjustments were subject to review, challenge and
approval through model or provisioning committees.
Post model adjustments will remain a key focus area of NatWest
Group's ongoing ECL adequacy assessment process. A holistic
framework has been established including reviewing a range of
economic data, external benchmark information and portfolio
performance trends with a particular focus on segments of the
portfolio (both commercial and consumer) that are likely to be more
susceptible to high inflation, high interest rates and supply chain
disruption.
Risk and capital management continued
Credit risk continued
Economic loss drivers (reviewed)
ECL post model adjustments
The table below shows ECL post model adjustments.
|
|
Retail Banking
|
|
Private
|
Commercial &
|
Central items
|
|
|
|
Mortgages
|
Other
|
|
Banking
|
Institutional
|
& other
|
Total
|
|
30 June 2024
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
Deferred model calibrations
|
-
|
-
|
|
1
|
16
|
-
|
17
|
|
Economic uncertainty
|
79
|
43
|
|
8
|
168
|
4
|
302
|
|
Other adjustments
|
-
|
-
|
|
-
|
3
|
-
|
3
|
|
Total
|
79
|
43
|
|
9
|
187
|
4
|
322
|
|
|
|
|
|
|
|
|
|
|
Of which:
|
|
|
|
|
|
|
|
|
- Stage 1
|
36
|
18
|
|
5
|
78
|
4
|
141
|
|
- Stage 2
|
33
|
25
|
|
4
|
107
|
-
|
169
|
|
- Stage 3
|
10
|
-
|
|
-
|
2
|
-
|
12
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
Deferred model calibrations
|
-
|
-
|
|
1
|
23
|
-
|
24
|
|
Economic uncertainty
|
118
|
39
|
|
13
|
256
|
3
|
429
|
|
Other adjustments
|
1
|
-
|
|
-
|
8
|
23
|
32
|
|
Total
|
119
|
39
|
|
14
|
287
|
26
|
485
|
|
Of which:
|
|
|
|
|
|
|
|
|
- Stage 1
|
75
|
14
|
|
6
|
115
|
10
|
220
|
|
- Stage 2
|
31
|
25
|
|
8
|
167
|
9
|
240
|
|
- Stage 3
|
13
|
-
|
|
-
|
5
|
7
|
25
|
Risk and capital management continued
Credit risk continued
ECL post model adjustments
Post model adjustments decreased significantly since 31 December
2023, reflecting reduced economic uncertainty from inflation,
higher-for-longer interest rates and liquidity.
-
Retail
Banking - The post model adjustment for economic
uncertainty decreased to £122 million (31 December 2023 -
£157 million). This reduction primarily reflected a revision
to the cost of living post model adjustment to £111 million
(31 December 2023 - £144 million), supported by back-testing
of default outcomes for higher risk segments. The cost of living
post model adjustment captures the risk on segments in the Retail
Banking portfolio that are more susceptible to the effects of cost
of living rises. It focuses on key affordability lenses, including
customers with lower income in fuel poverty, over-indebted
borrowers and customers vulnerable to a potential mortgage rate
shock.
-
Commercial
& Institutional - The post model adjustment for economic
uncertainty decreased to £168 million (31 December 2023 -
£256 million). The inflation, supply chain and liquidity post
model adjustment of £136 million (31 December 2023 - £206
million) was maintained for lending prior to 1 January 2024, with a
sector-level downgrade being applied to the sectors that were
considered most at risk from the ongoing pressures from inflation
and ongoing concerns around reducing cash reserves across many
sectors. The £70 million reduction reflected the reduced risk
along with portfolio improvements and exposure
reduction.
-
A
£32 million (31 December 2023 - £50 million) post model
adjustment to cover the residual risks from COVID-19 remains for
the risks surrounding associated debt to customers that have
utilised government support schemes. This adjustment is reducing as
customers default or repay.
-
The
£16 million (31 December 2023 - £23 million) judgemental
overlay for deferred model calibrations relates to refinance risk,
with the existing mechanistic modelling approach not fully
capturing the risk on deteriorated exposures.
-
Central
items & other - A £23 million post model adjustment
in other adjustments was removed in the period, reflecting the
withdrawal from the Republic of Ireland.
Measurement uncertainty and ECL sensitivity
analysis (reviewed)
The recognition and measurement of ECL is complex and involves the
use of significant judgment and estimation, particularly in times
of economic volatility and uncertainty. This includes the
formulation and incorporation of multiple forward-looking economic
conditions into ECL to meet the measurement objective of IFRS 9.
The ECL provision is sensitive to the model inputs and economic
assumptions underlying the estimate.
The impact arising from the base case, upside, downside and extreme
downside scenarios was simulated. These scenarios are used in the
methodology for Personal multiple economic scenarios as described
in the Economic loss drivers section. In the simulations, NatWest
Group has assumed that the economic macro variables associated with
these scenarios replace the existing base case economic
assumptions, giving them a 100% probability weighting and therefore
serving as a single economic scenario.
These scenarios were applied to all modelled portfolios in the
analysis below, with the simulation impacting both PDs and LGDs.
Post model adjustments included in the ECL estimates that were
modelled were sensitised in line with the modelled ECL movements,
but those that were judgmental in nature, primarily those for
deferred model calibrations and economic uncertainty, were not
(refer to the Governance and post model adjustments section) on the
basis these would be re-evaluated by management through ECL
governance for any new economic scenario outlook and not be subject
to an automated calculation. As expected, the scenarios create
differing impacts on ECL by portfolio and the impacts are deemed
reasonable. In this simulation, it is assumed that existing
modelled relationships between key economic variables and loss
drivers hold, but in practice other factors would also have an
impact, for example, potential customer behaviour changes and
policy changes by lenders that might impact on the wider
availability of credit.
The focus of the simulations is on ECL provisioning requirements on
performing exposures in Stage 1 and Stage 2. The simulations are
run on a stand-alone basis and are independent of each other; the
potential ECL impacts reflect the simulated impact at 30 June 2024.
Scenario impacts on SICR should be considered when evaluating the
ECL movements of Stage 1 and Stage 2. In all scenarios the total
exposure was the same but exposure by stage varied in each
scenario.
Stage 3 provisions are not subject to the same level of measurement
uncertainty - default is an observed event as at the balance sheet
date. Stage 3 provisions therefore were not considered in this
analysis.
NatWest Group's core criterion to identify a SICR is founded on PD
deterioration. Under the simulations, PDs change and result in
exposures moving between Stage 1 and Stage 2 contributing to the
ECL impact.
Risk and capital management continued
Credit risk continued
Measurement uncertainty and ECL sensitivity
analysis (reviewed)
|
|
|
|
Moderate
|
Moderate
|
Extreme
|
|
|
|
Base
|
upside
|
downside
|
downside
|
|
30 June 2024
|
Actual
|
scenario
|
scenario
|
scenario
|
scenario
|
|
Stage 1 modelled loans (£m)
|
|
|
|
|
|
|
Retail Banking - mortgages
|
166,944
|
167,405
|
167,829
|
164,061
|
157,458
|
|
Retail Banking - unsecured
|
9,941
|
10,025
|
10,142
|
9,696
|
9,019
|
|
Wholesale - property
|
27,589
|
27,635
|
27,769
|
27,277
|
23,732
|
|
Wholesale - non-property
|
130,655
|
131,355
|
131,829
|
128,798
|
109,550
|
|
|
335,129
|
336,420
|
337,569
|
329,832
|
299,759
|
|
Stage 1 modelled ECL (£m)
|
|
|
|
|
|
|
Retail Banking - mortgages
|
47
|
45
|
44
|
46
|
44
|
|
Retail Banking - unsecured
|
228
|
219
|
202
|
250
|
243
|
|
Wholesale - property
|
73
|
54
|
41
|
99
|
148
|
|
Wholesale - non-property
|
219
|
189
|
158
|
268
|
337
|
|
|
567
|
507
|
445
|
663
|
772
|
|
Stage 1 coverage
|
|
|
|
|
|
|
Retail Banking - mortgages
|
0.03%
|
0.03%
|
0.03%
|
0.03%
|
0.03%
|
|
Retail Banking - unsecured
|
2.29%
|
2.18%
|
1.99%
|
2.58%
|
2.69%
|
|
Wholesale - property
|
0.26%
|
0.20%
|
0.15%
|
0.36%
|
0.62%
|
|
Wholesale - non-property
|
0.17%
|
0.14%
|
0.12%
|
0.21%
|
0.31%
|
|
|
0.17%
|
0.15%
|
0.13%
|
0.20%
|
0.26%
|
|
Stage 2 modelled loans (£m)
|
|
|
|
|
|
|
Retail Banking - mortgages
|
20,315
|
19,854
|
19,430
|
23,198
|
29,801
|
|
Retail Banking - unsecured
|
3,097
|
3,013
|
2,896
|
3,342
|
4,019
|
|
Wholesale - property
|
3,052
|
3,006
|
2,872
|
3,364
|
6,909
|
|
Wholesale - non-property
|
10,983
|
10,283
|
9,809
|
12,840
|
32,088
|
|
|
37,447
|
36,156
|
35,007
|
42,744
|
72,817
|
|
Stage 2 modelled ECL (£m)
|
|
|
|
|
|
|
Retail Banking - mortgages
|
68
|
61
|
55
|
82
|
123
|
|
Retail Banking - unsecured
|
390
|
361
|
315
|
455
|
596
|
|
Wholesale - property
|
64
|
56
|
49
|
80
|
186
|
|
Wholesale - non-property
|
269
|
233
|
202
|
343
|
641
|
|
|
791
|
711
|
621
|
960
|
1,546
|
|
Stage 2 coverage
|
|
|
|
|
|
|
Retail Banking - mortgages
|
0.33%
|
0.31%
|
0.28%
|
0.35%
|
0.41%
|
|
Retail Banking - unsecured
|
12.59%
|
11.98%
|
10.88%
|
13.61%
|
14.83%
|
|
Wholesale - property
|
2.10%
|
1.86%
|
1.71%
|
2.38%
|
2.69%
|
|
Wholesale - non-property
|
2.45%
|
2.27%
|
2.06%
|
2.67%
|
2.00%
|
|
|
2.11%
|
1.97%
|
1.77%
|
2.25%
|
2.12%
|
|
Stage 1 and Stage 2 modelled loans (£m)
|
|
|
|
|
|
|
Retail Banking - mortgages
|
187,259
|
187,259
|
187,259
|
187,259
|
187,259
|
|
Retail Banking - unsecured
|
13,038
|
13,038
|
13,038
|
13,038
|
13,038
|
|
Wholesale - property
|
30,641
|
30,641
|
30,641
|
30,641
|
30,641
|
|
Wholesale - non-property
|
141,638
|
141,638
|
141,638
|
141,638
|
141,638
|
|
|
372,576
|
372,576
|
372,576
|
372,576
|
372,576
|
|
|
|
|
Moderate
|
Moderate
|
Extreme
|
|
|
|
Base
|
upside
|
downside
|
downside
|
|
30 June 2024
|
Actual
|
scenario
|
scenario
|
scenario
|
scenario
|
|
Stage 1 and Stage 2 modelled ECL (£m)
|
|
|
|
|
|
|
Retail Banking - mortgages
|
115
|
106
|
99
|
128
|
167
|
|
Retail Banking - unsecured
|
618
|
580
|
517
|
705
|
839
|
|
Wholesale - property
|
137
|
110
|
90
|
179
|
334
|
|
Wholesale - non-property
|
488
|
422
|
360
|
611
|
978
|
|
|
1,358
|
1,218
|
1,066
|
1,623
|
2,318
|
|
Stage 1 and Stage 2 coverage
|
|
|
|
|
|
|
Retail Banking - mortgages
|
0.06%
|
0.06%
|
0.05%
|
0.07%
|
0.09%
|
|
Retail Banking - unsecured
|
4.74%
|
4.45%
|
3.97%
|
5.41%
|
6.44%
|
|
Wholesale - property
|
0.45%
|
0.36%
|
0.29%
|
0.58%
|
1.09%
|
|
Wholesale - non-property
|
0.34%
|
0.30%
|
0.25%
|
0.43%
|
0.69%
|
|
|
0.36%
|
0.33%
|
0.29%
|
0.44%
|
0.62%
|
|
Reconciliation to Stage 1 and
|
|
|
|
|
|
|
Stage 2 ECL (£m)
|
|
|
|
|
|
|
ECL on modelled exposures
|
1,358
|
1,218
|
1,066
|
1,623
|
2,318
|
|
ECL on UBIDAC modelled exposures
|
-
|
-
|
-
|
-
|
-
|
|
ECL on non-modelled exposures
|
29
|
29
|
29
|
29
|
29
|
|
|
|
|
|
|
|
|
Total Stage 1 and Stage 2 ECL (£m)
|
1,387
|
1,247
|
1,095
|
1,652
|
2,347
|
|
Variance to actual total Stage 1 and
|
|
|
|
|
|
|
Stage 2 ECL (£m)
|
|
(140)
|
(292)
|
265
|
960
|
|
|
|
|
|
|
|
|
Reconciliation to Stage 1 and
|
|
|
|
|
|
|
Stage 2 flow exposure (£m)
|
|
|
|
|
|
|
Modelled loans
|
372,576
|
372,576
|
372,576
|
372,576
|
372,576
|
|
UBIDAC loans
|
69
|
69
|
69
|
69
|
69
|
|
Non-modelled loans
|
18,881
|
18,881
|
18,881
|
18,881
|
18,881
|
|
Other asset classes
|
145,136
|
145,136
|
145,136
|
145,136
|
145,136
|
(1)
Variations
in future undrawn exposure values across the scenarios are
modelled, however, the exposure position reported is that used to
calculate modelled ECL as at 30 June 2024 and therefore does not
include variation in future undrawn exposure values.
(2)
Reflects
ECL for all modelled exposure in scope for IFRS 9. The analysis
excludes non-modelled portfolios and exposure relating to bonds and
cash.
(3)
Exposures
related to Ulster Bank RoI continuing operations were not included
in the simulations, the current Ulster Bank RoI ECL was included
across all scenarios to enable reconciliation to other
disclosures.
(4)
All
simulations were run on a stand-alone basis and are independent of
each other, with the potential ECL impact reflecting the simulated
impact as at 30 June 2024. The simulations change the
composition of Stage 1 and Stage 2 exposure but total exposure is
unchanged under each scenario as the loan population is
static.
(5)
Refer
to the Economic loss drivers section for details of economic
scenarios.
(6)
Refer
to the NatWest Group plc 2023 Annual Report and Accounts for 31
December 2023 comparatives.
Risk and capital management continued
Credit risk continued
Measurement uncertainty and ECL
adequacy (reviewed)
●
If
the economics were as negative as observed in the extreme downside
(i.e. 100% probability weighting), total Stage 1 and Stage 2 ECL
was simulated to increase by around £1.0 billion
(approximately 69%). In this scenario, Stage 2 exposure nearly
doubled and was the key driver of the simulated ECL rise. The
movement in Stage 2 balances in the other simulations was far less
significant and the impact to ECL less material.
●
In
the Wholesale portfolio, there was a significant increase in ECL
under the extreme downside scenario. The Wholesale property ECL
increase was mainly due to commercial real estate prices which
showed negative growth particularly in 2025 and significant
deterioration in the stock index in 2024 and 2025. The non-property
increase was mainly due to GDP contraction in 2025 and significant
deterioration in the stock index.
●
Given
that continued uncertainty remained due to persistent inflation,
high interest rates and liquidity concerns at H1 2024, NatWest
Group utilised a framework of quantitative and qualitative measures
to support the levels of ECL coverage. This included economic data,
credit performance insights, supply chain contagion analysis and
problem debt trends. This was particularly important for
consideration of post model adjustments.
●
As
the effects of these economic risks evolve during 2024, there is a
risk of further credit deterioration. However, the income statement
effect of this should have been mitigated by the forward-looking
provisions retained on the balance sheet at 30 June
2024.
●
There
are a number of key factors that could drive further downside to
impairments, through deteriorating economic and credit metrics and
increased stage migration as credit risk increases for more
customers. Such factors which could impact the IFRS 9 models,
include an adverse deterioration in unemployment and GDP in the
economies in which NatWest Group operates.
Movement in ECL provision
The table below shows the main ECL provision movements during H1
2024.
|
|
ECL provision
|
|
|
£m
|
|
At 1 January 2024
|
3,645
|
|
Transfers to disposal groups and reclassifications
|
(18)
|
|
Changes in economic forecasts
|
(17)
|
|
Changes in risk metrics and exposure: Stage 1 and Stage
2
|
(147)
|
|
Changes in risk metrics and exposure: Stage 3
|
370
|
|
Judgemental changes: changes in post model adjustments for Stage
1,
|
|
|
Stage 2 and Stage 3
|
(140)
|
|
Write-offs and other
|
(350)
|
|
At 30 June 2024
|
3,343
|
-
During
the first half of the year, overall ECL decreased with increases
from Stage 3 inflows more than offset by write-offs, including debt
sale activity on Personal unsecured assets (£0.2 billion),
reductions in economic uncertainty post-model adjustments, as well
as reflecting balance reductions and positive portfolio performance
across NatWest Group.
-
In
the Personal portfolios, Stage 3 default rates reduced during H1
2024 relative to H2 2023 with trends on PDs and Stage 2 either
stable or improving.
-
For
the Wholesale portfolio, Stage 3 defaults increased but are still
below historic trends.
-
Judgemental
ECL post model adjustments, decreased from 31 December 2023 and now
representing 10% of total ECL (31 December 2023 - 13%). Refer to
the Governance and post model adjustments section for further
details.
Risk and capital management continued
Credit risk - Banking activities
Introduction
This section details the credit risk profile of NatWest
Group's banking activities.
Financial instruments within the scope of the IFRS 9 ECL
framework (reviewed)
Refer to Note 8 to the consolidated financial statements for
balance sheet analysis of financial assets that are classified as
amortised cost or fair value through other comprehensive income
(FVOCI), the starting point for IFRS 9 ECL framework
assessment.
|
|
30 June 2024
|
|
31 December 2023
|
|
|
Gross
|
ECL
|
Net
|
|
Gross
|
ECL
|
Net
|
|
|
£bn
|
£bn
|
£bn
|
|
£bn
|
£bn
|
£bn
|
|
Balance sheet total gross amortised cost and FVOCI
|
562.6
|
|
|
|
553.8
|
|
|
|
In scope of IFRS 9 ECL framework
|
555.1
|
|
|
|
545.3
|
|
|
|
% in scope
|
99%
|
|
|
|
98%
|
|
|
|
Loans to customers - in scope - amortised cost
|
383.1
|
3.2
|
379.9
|
|
385.3
|
3.6
|
381.7
|
|
Loans to customers - in scope - FVOCI
|
0.1
|
-
|
0.1
|
|
0.1
|
-
|
0.1
|
|
Loans to banks - in scope - amortised cost
|
5.7
|
-
|
5.7
|
|
6.7
|
-
|
6.7
|
|
Total loans - in scope
|
388.9
|
3.2
|
385.7
|
|
392.1
|
3.6
|
388.5
|
|
Stage 1
|
345.8
|
0.5
|
345.3
|
|
348.6
|
0.7
|
347.9
|
|
Stage 2
|
37.3
|
0.8
|
36.5
|
|
37.9
|
0.9
|
37.0
|
|
Stage 3
|
5.8
|
1.9
|
3.9
|
|
5.6
|
2.0
|
3.6
|
|
Other financial assets - in scope - amortised cost
|
138.5
|
-
|
138.5
|
|
124.9
|
-
|
124.9
|
|
Other financial assets - in scope - FVOCI
|
27.7
|
-
|
27.7
|
|
28.3
|
-
|
28.3
|
|
Total other financial assets - in scope
|
166.2
|
-
|
166.2
|
|
153.2
|
-
|
153.2
|
|
Stage 1
|
165.6
|
-
|
165.6
|
|
152.0
|
-
|
152.0
|
|
Stage 2
|
0.6
|
-
|
0.6
|
|
1.2
|
-
|
1.2
|
|
Out of scope of IFRS 9 ECL framework
|
7.5
|
na
|
7.5
|
|
8.5
|
na
|
8.5
|
|
Loans to customers - out of scope - amortised cost
|
(0.6)
|
na
|
(0.6)
|
|
(0.4)
|
na
|
(0.4)
|
|
Loans to banks - out of scope - amortised cost
|
0.3
|
na
|
0.3
|
|
0.3
|
na
|
0.3
|
|
Other financial assets - out of scope - amortised cost
|
7.5
|
na
|
7.5
|
|
8.3
|
na
|
8.3
|
|
Other financial assets - out of scope - FVOCI
|
0.3
|
na
|
0.3
|
|
0.3
|
na
|
0.3
|
na = not applicable
The assets outside the scope of the IFRS 9 ECL framework were as
follows:
-
Settlement
balances, items in the course of collection, cash balances and
other non-credit risk assets of £7.4 billion (31 December 2023
- £8.6 billion). These were assessed as having no ECL unless
there was evidence that they were defaulted.
-
Equity
shares of £0.3 billion (31 December 2023 - £0.3 billion)
as not within the IFRS 9 ECL framework by
definition.
-
Fair
value adjustments on loans hedged by interest rate swaps, where the
underlying loan was within the IFRS 9 ECL scope of £(0.4)
billion (31 December 2023 - £(0.3) billion).
Contingent liabilities and commitments
In addition to contingent liabilities and commitments disclosed in
Note 13 to the consolidated financial statements,
reputationally-committed limits were also included in the scope of
the IFRS 9 ECL framework. These were offset by £0.4 billion
(31 December 2023 - £0.1 billion) out of scope balances
primarily related to facilities that, if drawn, would not be
classified as amortised cost or FVOCI, or undrawn limits relating
to financial assets exclusions. Total contingent liabilities
(including financial guarantees) and commitments within IFRS 9 ECL
scope of £136.2 billion (31 December 2023 - £132.0
billion) comprised Stage 1 £126.3 billion (31 December 2023 -
£120.6 billion); Stage 2 £9.2 billion (31 December 2023 -
£10.7 billion); and Stage 3 £0.7 billion (31 December
2023 - £0.7 billion).
The ECL relating to off-balance sheet exposures was £0.1
billion (31 December 2023 - £0.1 billion). The total ECL in
the remainder of the Credit risk section of £3.3 billion (31
December 2023 - £3.6 billion) included ECL for both on and
off-balance sheet exposures for non-disposal groups.
Risk and capital management continued
Credit risk - Banking activities continued
Segment analysis - portfolio summary (reviewed)
The table below shows gross loans and ECL, by segment and stage,
within the scope of the IFRS 9 ECL framework.
|
|
Retail
|
Private
|
Commercial &
|
Central items
|
|
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Total
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Loans - amortised cost and FVOCI (1,2)
|
|
|
|
|
|
|
Stage 1
|
178,508
|
17,209
|
123,433
|
26,697
|
345,847
|
|
Stage 2
|
23,091
|
744
|
13,453
|
-
|
37,288
|
|
Stage 3
|
3,205
|
294
|
2,313
|
-
|
5,812
|
|
Of which: individual
|
-
|
252
|
964
|
-
|
1,216
|
|
Of which: collective
|
3,205
|
42
|
1,349
|
-
|
4,596
|
|
Subtotal excluding disposal group loans
|
204,804
|
18,247
|
139,199
|
26,697
|
388,947
|
|
Disposal group loans
|
|
|
|
-
|
-
|
|
Total
|
|
|
|
26,697
|
388,947
|
|
ECL provisions (3)
|
|
|
|
|
|
|
Stage 1
|
275
|
16
|
275
|
19
|
585
|
|
Stage 2
|
456
|
11
|
334
|
1
|
802
|
|
Stage 3
|
1,026
|
38
|
892
|
-
|
1,956
|
|
Of which: individual
|
-
|
38
|
328
|
-
|
366
|
|
Of which: collective
|
1,026
|
-
|
564
|
-
|
1,590
|
|
Subtotal excluding ECL provisions on disposal group
loans
|
1,757
|
65
|
1,501
|
20
|
3,343
|
|
ECL provisions on disposal group loans
|
|
|
|
-
|
-
|
|
Total
|
|
|
|
20
|
3,343
|
|
ECL provisions coverage (4)
|
|
|
|
|
|
|
Stage 1 (%)
|
0.15
|
0.09
|
0.22
|
0.07
|
0.17
|
|
Stage 2 (%)
|
1.97
|
1.48
|
2.48
|
nm
|
2.15
|
|
Stage 3 (%)
|
32.01
|
12.93
|
38.56
|
-
|
33.65
|
|
ECL provisions coverage excluding disposal group loans
|
0.86
|
0.36
|
1.08
|
0.07
|
0.86
|
|
ECL provisions coverage on disposal group loans
|
-
|
-
|
-
|
-
|
-
|
|
Total
|
-
|
-
|
-
|
0.07
|
0.86
|
|
Impairment (releases)/losses
|
|
|
|
|
|
|
ECL charge/(release) (5)
|
122
|
(11)
|
(57)
|
(6)
|
48
|
|
Stage 1
|
(166)
|
(9)
|
(182)
|
(7)
|
(364)
|
|
Stage 2
|
178
|
(3)
|
14
|
1
|
190
|
|
Stage 3
|
110
|
1
|
111
|
-
|
222
|
|
Of which: individual
|
-
|
1
|
79
|
-
|
80
|
|
Of which: collective
|
110
|
-
|
32
|
-
|
142
|
|
Continuing operations
|
122
|
(11)
|
(57)
|
(6)
|
48
|
|
Discontinued operations
|
|
|
|
-
|
-
|
|
Total
|
|
|
|
(6)
|
48
|
|
Amounts written-off
|
270
|
-
|
99
|
-
|
369
|
|
Of which: individual
|
-
|
-
|
64
|
-
|
64
|
|
Of which: collective
|
270
|
-
|
35
|
-
|
305
|
For the notes to this table refer to the following
page.
Risk and capital management continued
Credit risk - Banking activities continued
Segment analysis - portfolio summary (reviewed)
|
|
Retail
|
Private
|
Commercial &
|
Central items
|
|
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Total
|
|
31 December 2023
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Loans - amortised cost and FVOCI (1,2)
|
|
|
|
|
|
|
Stage 1
|
182,297
|
17,565
|
119,047
|
29,677
|
348,586
|
|
Stage 2
|
21,208
|
906
|
15,771
|
6
|
37,891
|
|
Stage 3
|
3,133
|
258
|
2,162
|
10
|
5,563
|
|
Of which: individual
|
-
|
186
|
845
|
-
|
1,031
|
|
Of which: collective
|
3,133
|
72
|
1,317
|
10
|
4,532
|
|
Subtotal excluding disposal group loans
|
206,638
|
18,729
|
136,980
|
29,693
|
392,040
|
|
Disposal group loans
|
|
|
|
67
|
67
|
|
Total
|
|
|
|
29,760
|
392,107
|
|
ECL provisions (3)
|
|
|
|
|
|
|
Stage 1
|
306
|
20
|
356
|
27
|
709
|
|
Stage 2
|
502
|
20
|
447
|
7
|
976
|
|
Stage 3
|
1,097
|
34
|
819
|
10
|
1,960
|
|
Of which: individual
|
-
|
34
|
298
|
-
|
332
|
|
Of which: collective
|
1,097
|
-
|
521
|
10
|
1,628
|
|
Subtotal excluding ECL provisions on disposal group
loans
|
1,905
|
74
|
1,622
|
44
|
3,645
|
|
ECL provisions on disposal group loans
|
|
|
|
36
|
36
|
|
Total
|
|
|
|
80
|
3,681
|
|
ECL provisions coverage (4)
|
|
|
|
|
|
|
Stage 1 (%)
|
0.17
|
0.11
|
0.30
|
0.09
|
0.20
|
|
Stage 2 (%)
|
2.37
|
2.21
|
2.83
|
nm
|
2.58
|
|
Stage 3 (%)
|
35.01
|
13.18
|
37.88
|
100.00
|
35.23
|
|
ECL provisions coverage excluding disposal group loans
|
0.92
|
0.40
|
1.18
|
0.15
|
0.93
|
|
ECL provisions coverage on disposal group loans
|
|
|
|
53.73
|
53.73
|
|
Total
|
|
|
|
0.27
|
0.94
|
|
Half year ended 30 June 2023
|
|
|
|
|
|
|
Impairment (releases)/losses
|
|
|
|
|
|
|
ECL (release)/charge (5)
|
193
|
11
|
20
|
(1)
|
223
|
|
Stage 1
|
(88)
|
(1)
|
(124)
|
4
|
(209)
|
|
Stage 2
|
188
|
8
|
98
|
2
|
296
|
|
Stage 3
|
93
|
4
|
46
|
(7)
|
136
|
|
Of which: individual
|
-
|
4
|
13
|
(4)
|
13
|
|
Of which: collective
|
93
|
-
|
33
|
(3)
|
123
|
|
Continuing operations
|
193
|
11
|
20
|
(1)
|
223
|
|
Discontinued operations
|
|
|
|
(1)
|
(1)
|
|
Total
|
|
|
|
(2)
|
222
|
|
Amounts written-off
|
63
|
1
|
50
|
8
|
122
|
|
Of which: individual
|
-
|
1
|
19
|
2
|
22
|
|
Of which: collective
|
63
|
-
|
31
|
6
|
100
|
nm = not meaningful
(1) The table shows gross
loans only and excludes amounts that were outside the scope of the
ECL framework. Other financial assets within the scope of the IFRS
9 ECL framework were cash and balances at central banks totalling
£114.8 billion (31 December 2023 - £103.1 billion) and
debt securities of £51.4 billion (31 December 2023 -
£50.1 billion).
(2) Fair value through
other comprehensive income (FVOCI). Includes loans to customers and
banks.
(3) Includes £4
million (31 December 2023 - £9 million) related to assets
classified as FVOCI and £0.1 billion (31 December 2023 -
£0.1 billion) related to off-balance sheet
exposures.
(4) ECL provisions
coverage is calculated as ECL provisions divided by loans -
amortised cost and FVOCI. It is calculated on loans and total ECL
provisions, including ECL for other (non-loan) assets and
unutilised exposure. Some segments with a high proportion of debt
securities or unutilised exposure may result in a not meaningful
(nm) coverage ratio.
(5) Includes a £6
million release (30 June 2023 - £5 million release) related to
other financial assets, of which £5 million release (30 June
2023 - £1 million charge) related to assets classified as
FVOCI and includes a £4 million charge (30 June 2023 - £3
million release) related to contingent liabilities.
Risk and capital management continued
Credit risk - Banking activities continued
Segment loans and impairment metrics (reviewed)
The table below shows gross loans and ECL provisions, by days past
due, by segment and stage, within the scope of the ECL
framework.
|
|
Gross loans
|
|
ECL provisions (2)
|
|
|
|
Stage 2 (1)
|
|
|
|
|
Stage 2 (1)
|
|
|
|
|
|
Not past
|
1-30
|
>30
|
|
|
|
|
|
Not past
|
1-30
|
>30
|
|
|
|
|
|
Stage 1
|
due
|
DPD
|
DPD
|
Total
|
Stage 3
|
Total
|
|
Stage 1
|
due
|
DPD
|
DPD
|
Total
|
Stage 3
|
Total
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Retail Banking
|
178,508
|
21,836
|
816
|
439
|
23,091
|
3,205
|
204,804
|
|
275
|
398
|
15
|
43
|
456
|
1,026
|
1,757
|
|
Private Banking
|
17,209
|
653
|
45
|
46
|
744
|
294
|
18,247
|
|
16
|
11
|
-
|
-
|
11
|
38
|
65
|
|
Personal
|
13,865
|
160
|
45
|
30
|
235
|
210
|
14,310
|
|
3
|
1
|
-
|
-
|
1
|
23
|
27
|
|
Wholesale
|
3,344
|
493
|
-
|
16
|
509
|
84
|
3,937
|
|
13
|
10
|
-
|
-
|
10
|
15
|
38
|
|
Commercial & Institutional
|
123,433
|
12,475
|
649
|
329
|
13,453
|
2,313
|
139,199
|
|
275
|
302
|
21
|
11
|
334
|
892
|
1,501
|
|
Personal
|
2,238
|
12
|
24
|
10
|
46
|
46
|
2,330
|
|
2
|
-
|
-
|
-
|
-
|
14
|
16
|
|
Wholesale
|
121,195
|
12,463
|
625
|
319
|
13,407
|
2,267
|
136,869
|
|
273
|
302
|
21
|
11
|
334
|
878
|
1,485
|
|
Central items & other
|
26,697
|
-
|
-
|
-
|
-
|
-
|
26,697
|
|
19
|
1
|
-
|
-
|
1
|
-
|
20
|
|
Personal
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
|
Wholesale
|
26,697
|
-
|
-
|
-
|
-
|
-
|
26,697
|
|
19
|
1
|
-
|
-
|
1
|
-
|
20
|
|
Total loans
|
345,847
|
34,964
|
1,510
|
814
|
37,288
|
5,812
|
388,947
|
|
585
|
712
|
36
|
54
|
802
|
1,956
|
3,343
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
194,611
|
22,008
|
885
|
479
|
23,372
|
3,461
|
221,444
|
|
280
|
399
|
15
|
43
|
457
|
1,063
|
1,800
|
|
Wholesale
|
151,236
|
12,956
|
625
|
335
|
13,916
|
2,351
|
167,503
|
|
305
|
313
|
21
|
11
|
345
|
893
|
1,543
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail Banking
|
182,297
|
20,128
|
738
|
342
|
21,208
|
3,133
|
206,638
|
|
306
|
453
|
15
|
34
|
502
|
1,097
|
1,905
|
|
Private Banking
|
17,565
|
772
|
77
|
57
|
906
|
258
|
18,729
|
|
20
|
18
|
1
|
1
|
20
|
34
|
74
|
|
Personal
|
14,296
|
158
|
73
|
24
|
255
|
209
|
14,760
|
|
3
|
2
|
-
|
-
|
2
|
20
|
25
|
|
Wholesale
|
3,269
|
614
|
4
|
33
|
651
|
49
|
3,969
|
|
17
|
16
|
1
|
1
|
18
|
14
|
49
|
|
Commercial & Institutional
|
119,047
|
14,689
|
657
|
425
|
15,771
|
2,162
|
136,980
|
|
356
|
415
|
21
|
11
|
447
|
819
|
1,622
|
|
Personal
|
2,268
|
15
|
21
|
7
|
43
|
52
|
2,363
|
|
2
|
-
|
-
|
-
|
-
|
16
|
18
|
|
Wholesale
|
116,779
|
14,674
|
636
|
418
|
15,728
|
2,110
|
134,617
|
|
354
|
415
|
21
|
11
|
447
|
803
|
1,604
|
|
Central items & other
|
29,677
|
5
|
-
|
1
|
6
|
10
|
29,693
|
|
27
|
6
|
-
|
1
|
7
|
10
|
44
|
|
Personal
|
4
|
2
|
-
|
1
|
3
|
6
|
13
|
|
5
|
1
|
-
|
1
|
2
|
9
|
16
|
|
Wholesale
|
29,673
|
3
|
-
|
-
|
3
|
4
|
29,680
|
|
22
|
5
|
-
|
-
|
5
|
1
|
28
|
|
Total loans
|
348,586
|
35,594
|
1,472
|
825
|
37,891
|
5,563
|
392,040
|
|
709
|
892
|
37
|
47
|
976
|
1,960
|
3,645
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
198,865
|
20,303
|
832
|
374
|
21,509
|
3,400
|
223,774
|
|
316
|
456
|
15
|
35
|
506
|
1,142
|
1,964
|
|
Wholesale
|
149,721
|
15,291
|
640
|
451
|
16,382
|
2,163
|
168,266
|
|
393
|
436
|
22
|
12
|
470
|
818
|
1,681
|
For the notes to this table refer to the following
page.
Risk and capital management continued
Credit risk - Banking activities continued
Segment loans and impairment metrics (reviewed)
The table below shows ECL and ECL provisions coverage, by days past
due, by segment and stage, within the scope of the ECL
framework.
|
|
ECL provisions coverage
|
Half year ended 30 June 2024
|
|
|
|
Stage 2 (1,2)
|
|
|
ECL
|
|
|
|
Not past
|
|
|
|
|
|
Total
|
Amounts
|
|
|
Stage 1
|
due
|
1-30 DPD
|
>30 DPD
|
Total
|
Stage 3
|
Total
|
(release)/charge
|
written-off
|
|
30 June 2024
|
%
|
%
|
%
|
%
|
%
|
%
|
%
|
£m
|
£m
|
|
Retail Banking
|
0.15
|
1.82
|
1.84
|
9.79
|
1.97
|
32.01
|
0.86
|
122
|
270
|
|
Private Banking
|
0.09
|
1.68
|
-
|
-
|
1.48
|
12.93
|
0.36
|
(11)
|
-
|
|
Personal
|
0.02
|
0.63
|
-
|
-
|
0.43
|
10.95
|
0.19
|
1
|
-
|
|
Wholesale
|
0.39
|
2.03
|
-
|
-
|
1.96
|
17.86
|
0.97
|
(12)
|
-
|
|
Commercial &
|
|
|
|
|
|
|
|
|
|
|
Institutional
|
0.22
|
2.42
|
3.24
|
3.34
|
2.48
|
38.56
|
1.08
|
(57)
|
99
|
|
Personal
|
0.09
|
-
|
-
|
-
|
-
|
30.43
|
0.69
|
-
|
1
|
|
Wholesale
|
0.23
|
2.42
|
3.36
|
3.45
|
2.49
|
38.73
|
1.08
|
(57)
|
98
|
|
Central items
|
|
|
|
|
|
|
|
|
|
|
& other
|
0.07
|
nm
|
-
|
-
|
nm
|
-
|
0.07
|
(6)
|
-
|
|
Personal
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
|
Wholesale
|
0.07
|
nm
|
-
|
-
|
nm
|
-
|
0.07
|
(6)
|
-
|
|
Total loans
|
0.17
|
2.04
|
2.38
|
6.63
|
2.15
|
33.65
|
0.86
|
48
|
369
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
Personal
|
0.14
|
1.81
|
1.69
|
8.98
|
1.96
|
30.71
|
0.81
|
123
|
271
|
|
Wholesale
|
0.20
|
2.42
|
3.36
|
3.28
|
2.48
|
37.98
|
0.92
|
(75)
|
98
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
Half year ended 30 June 2023
|
|
Retail Banking
|
0.17
|
2.25
|
2.03
|
9.94
|
2.37
|
35.01
|
0.92
|
193
|
63
|
|
Private Banking
|
0.11
|
2.33
|
1.30
|
1.75
|
2.21
|
13.18
|
0.40
|
11
|
1
|
|
Personal
|
0.02
|
1.27
|
-
|
-
|
0.78
|
9.57
|
0.17
|
4
|
1
|
|
Wholesale
|
0.52
|
2.61
|
25.00
|
3.03
|
2.76
|
28.57
|
1.23
|
7
|
-
|
|
Commercial &
|
|
|
|
|
|
|
|
|
|
|
Institutional
|
0.30
|
2.83
|
3.20
|
2.59
|
2.83
|
37.88
|
1.18
|
20
|
50
|
|
Personal
|
0.09
|
-
|
-
|
-
|
-
|
30.77
|
0.76
|
1
|
1
|
|
Wholesale
|
0.30
|
2.83
|
3.30
|
2.63
|
2.84
|
38.06
|
1.19
|
19
|
49
|
|
Central items
|
|
|
|
|
|
|
|
|
|
|
& other
|
0.09
|
nm
|
-
|
nm
|
nm
|
nm
|
0.15
|
(1)
|
8
|
|
Personal
|
nm
|
nm
|
-
|
nm
|
nm
|
nm
|
nm
|
5
|
1
|
|
Wholesale
|
0.07
|
nm
|
-
|
-
|
nm
|
25.00
|
0.09
|
(6)
|
7
|
|
Total loans
|
0.20
|
2.51
|
2.51
|
5.70
|
2.58
|
35.23
|
0.93
|
223
|
122
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
Personal
|
0.16
|
2.25
|
1.80
|
9.36
|
2.35
|
33.59
|
0.88
|
203
|
66
|
|
Wholesale
|
0.26
|
2.85
|
3.44
|
2.66
|
2.87
|
37.82
|
1.00
|
20
|
56
|
-
Retail Banking
- Loans to customers were lower
than Q4 2023, mainly due to a reduction in mortgage balances where
higher redemptions were only partly offset by new mortgage lending.
Unsecured lending grew overall, driven by growth in credit cards.
New lending and portfolio credit quality was maintained with
limited increases in arrears in line with expectations. Total ECL
coverage decreased during H1 2024 reflective of Q2 2024 debt sale
activity on unsecured portfolios (£0.2 billion of assets),
reductions in economic uncertainty post model adjustments, and
stable underlying portfolio performance. The reduction in good book
coverage in the first half of the year was also a result of
unsecured probability of default modelling updates alongside an
improved view on forward looking economics, underpinning a
reduction in Stage 2 balances. Post model adjustments to capture
increased affordability pressures on customers due to high
inflation and interest rates decreased since Q4 2023, reflecting a
revision of portfolio subsegments deemed most at risk, supported by
back-testing of default outcomes. Flow rates into Stage 3 reduced
during H1 2024.
-
Commercial &
Institutional - Growth in exposure in Commercial
& Institutional was driven by increased exposure to financial
institutions and property, and partially offset by an overall
reduction to corporate sectors. Sector appetite continues to be
reviewed regularly, with particular focus on sector clusters deemed
to represent a heightened risk. Total ECL reduced in H1 2024
due to releases in post model adjustments, positive portfolio
performance and improved economic scenarios. This was partially
offset by an increase in Stage 3 ECL, from flows into default on
individually assessed customers. The ECL decrease resulted in a
reduction in coverage levels, but coverage on Stage 1 and Stage 2
was still significantly above pre-COVID-19 levels, reflecting that
a degree of economic uncertainty remains.
nm = not meaningful
(1)
30
DPD - 30 days past due, the mandatory 30 days past due backstop as
prescribed by IFRS 9 for a SICR.
(2)
Some
segments with a high proportion of debt securities or unutilised
exposure may result in a not meaningful (nm) coverage
ratio.
Risk and capital management continued
Credit risk - Banking activities continued
Sector analysis - portfolio summary (reviewed)
The table below shows financial assets and off-balance sheet
exposures gross of ECL and related ECL provisions, impairment and
past due by sector, asset quality and geographical
region.
|
|
Personal
|
|
Wholesale
|
|
Total
|
|
|
|
Credit
|
Other
|
|
|
|
|
Financial
|
|
|
|
|
|
|
Mortgages (1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
institution
|
Sovereign
|
Total
|
|
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
|
Loans by geography
|
205,486
|
6,381
|
9,577
|
221,444
|
|
32,618
|
76,588
|
56,725
|
1,572
|
167,503
|
|
388,947
|
|
- UK
|
205,486
|
6,381
|
9,577
|
221,444
|
|
32,200
|
63,611
|
38,600
|
552
|
134,963
|
|
356,407
|
|
- RoI
|
-
|
-
|
-
|
-
|
|
10
|
983
|
529
|
-
|
1,522
|
|
1,522
|
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
289
|
5,100
|
8,669
|
701
|
14,759
|
|
14,759
|
|
- RoW
|
-
|
-
|
-
|
-
|
|
119
|
6,894
|
8,927
|
319
|
16,259
|
|
16,259
|
|
Loans by stage
|
205,486
|
6,381
|
9,577
|
221,444
|
|
32,618
|
76,588
|
56,725
|
1,572
|
167,503
|
|
388,947
|
|
- Stage 1
|
182,672
|
4,431
|
7,508
|
194,611
|
|
28,872
|
64,974
|
56,103
|
1,287
|
151,236
|
|
345,847
|
|
- Stage 2
|
20,368
|
1,792
|
1,212
|
23,372
|
|
3,018
|
10,087
|
548
|
263
|
13,916
|
|
37,288
|
|
- Stage 3
|
2,446
|
158
|
857
|
3,461
|
|
728
|
1,527
|
74
|
22
|
2,351
|
|
5,812
|
|
- Of which: individual
|
150
|
-
|
22
|
172
|
|
290
|
666
|
66
|
22
|
1,044
|
|
1,216
|
|
- Of which: collective
|
2,296
|
158
|
835
|
3,289
|
|
438
|
861
|
8
|
-
|
1,307
|
|
4,596
|
|
Loans - past due analysis (2)
|
205,486
|
6,381
|
9,577
|
221,444
|
|
32,618
|
76,588
|
56,725
|
1,572
|
167,503
|
|
388,947
|
|
- Not past due
|
202,398
|
6,198
|
8,677
|
217,273
|
|
31,937
|
74,187
|
56,442
|
1,550
|
164,116
|
|
381,389
|
|
- Past due 1-30 days
|
1,199
|
44
|
68
|
1,311
|
|
296
|
1,494
|
275
|
-
|
2,065
|
|
3,376
|
|
- Past due 31-90 days
|
735
|
44
|
119
|
898
|
|
86
|
287
|
3
|
-
|
376
|
|
1,274
|
|
- Past due 90-180 days
|
388
|
38
|
101
|
527
|
|
37
|
33
|
-
|
22
|
92
|
|
619
|
|
- Past due >180 days
|
766
|
57
|
612
|
1,435
|
|
262
|
587
|
5
|
-
|
854
|
|
2,289
|
|
Loans - Stage 2
|
20,368
|
1,792
|
1,212
|
23,372
|
|
3,018
|
10,087
|
548
|
263
|
13,916
|
|
37,288
|
|
- Not past due
|
19,171
|
1,737
|
1,100
|
22,008
|
|
2,820
|
9,331
|
542
|
263
|
12,956
|
|
34,964
|
|
- Past due 1-30 days
|
822
|
27
|
36
|
885
|
|
116
|
506
|
3
|
-
|
625
|
|
1,510
|
|
- Past due 31-90 days
|
375
|
28
|
76
|
479
|
|
82
|
250
|
3
|
-
|
335
|
|
814
|
|
Weighted average life
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- ECL measurement (years)
|
9
|
4
|
6
|
5
|
|
6
|
6
|
2
|
2
|
6
|
|
6
|
|
Weighted average 12 months PDs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- IFRS 9 (%)
|
0.51
|
2.99
|
4.63
|
0.74
|
|
1.14
|
1.36
|
0.17
|
4.38
|
0.94
|
|
0.83
|
|
- Basel (%)
|
0.67
|
3.51
|
3.32
|
0.85
|
|
0.90
|
1.22
|
0.16
|
4.38
|
0.82
|
|
0.84
|
|
ECL provisions by geography
|
420
|
376
|
1,004
|
1,800
|
|
371
|
1,063
|
90
|
19
|
1,543
|
|
3,343
|
|
- UK
|
420
|
376
|
1,004
|
1,800
|
|
361
|
926
|
34
|
13
|
1,334
|
|
3,134
|
|
- RoI
|
-
|
-
|
-
|
-
|
|
-
|
3
|
1
|
-
|
4
|
|
4
|
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
3
|
87
|
8
|
-
|
98
|
|
98
|
|
- RoW
|
-
|
-
|
-
|
-
|
|
7
|
47
|
47
|
6
|
107
|
|
107
|
|
ECL provisions by stage
|
420
|
376
|
1,004
|
1,800
|
|
371
|
1,063
|
90
|
19
|
1,543
|
|
3,343
|
|
- Stage 1
|
49
|
82
|
149
|
280
|
|
73
|
180
|
39
|
13
|
305
|
|
585
|
|
- Stage 2
|
69
|
189
|
199
|
457
|
|
66
|
270
|
7
|
2
|
345
|
|
802
|
|
- Stage 3
|
302
|
105
|
656
|
1,063
|
|
232
|
613
|
44
|
4
|
893
|
|
1,956
|
|
- Of which: individual
|
13
|
-
|
14
|
27
|
|
85
|
211
|
39
|
4
|
339
|
|
366
|
|
- Of which: collective
|
289
|
105
|
642
|
1,036
|
|
147
|
402
|
5
|
-
|
554
|
|
1,590
|
For the notes to this table refer to page 34.
Risk and capital management continued
Credit risk - Banking activities continued
Sector analysis - portfolio summary (reviewed)
|
|
Personal
|
|
Wholesale
|
|
Total
|
|
|
|
Credit
|
Other
|
|
|
|
|
Financial
|
|
|
|
|
|
|
Mortgages (1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
institution
|
Sovereign
|
Total
|
|
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
|
ECL provisions coverage (%)
|
0.20
|
5.89
|
10.48
|
0.81
|
|
1.14
|
1.39
|
0.16
|
1.21
|
0.92
|
|
0.86
|
|
- Stage 1 (%)
|
0.03
|
1.85
|
1.98
|
0.14
|
|
0.25
|
0.28
|
0.07
|
1.01
|
0.20
|
|
0.17
|
|
- Stage 2 (%)
|
0.34
|
10.55
|
16.42
|
1.96
|
|
2.19
|
2.68
|
1.28
|
0.76
|
2.48
|
|
2.15
|
|
- Stage 3 (%)
|
12.35
|
66.46
|
76.55
|
30.71
|
|
31.87
|
40.14
|
59.46
|
18.18
|
37.98
|
|
33.65
|
|
ECL (release)/charge
|
(19)
|
51
|
91
|
123
|
|
(12)
|
(83)
|
19
|
1
|
(75)
|
|
48
|
|
- UK
|
(19)
|
51
|
91
|
123
|
|
(12)
|
(70)
|
(4)
|
-
|
(86)
|
|
37
|
|
- RoI
|
-
|
-
|
-
|
-
|
|
1
|
-
|
-
|
-
|
1
|
|
1
|
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
(1)
|
(7)
|
(6)
|
-
|
(14)
|
|
(14)
|
|
- RoW
|
-
|
-
|
-
|
-
|
|
-
|
(6)
|
29
|
1
|
24
|
|
24
|
|
Amounts written-off
|
9
|
38
|
224
|
271
|
|
10
|
88
|
-
|
-
|
98
|
|
369
|
|
Loans by residual maturity
|
205,486
|
6,381
|
9,577
|
221,444
|
|
32,618
|
76,588
|
56,725
|
1,572
|
167,503
|
|
388,947
|
|
- <1 year
|
3,366
|
3,618
|
3,080
|
10,064
|
|
6,665
|
25,856
|
43,220
|
780
|
76,521
|
|
86,585
|
|
- 1-5 year
|
9,469
|
2,763
|
5,482
|
17,714
|
|
17,687
|
30,632
|
11,242
|
483
|
60,044
|
|
77,758
|
|
- >5<15 year
|
45,488
|
-
|
1,009
|
46,497
|
|
5,782
|
14,925
|
2,229
|
309
|
23,245
|
|
69,742
|
|
- >15 year
|
147,163
|
-
|
6
|
147,169
|
|
2,484
|
5,175
|
34
|
-
|
7,693
|
|
154,862
|
|
Other financial assets by asset quality (3)
|
-
|
-
|
-
|
-
|
|
1
|
2,583
|
27,058
|
136,516
|
166,158
|
|
166,158
|
|
- AQ1-AQ4
|
-
|
-
|
-
|
-
|
|
1
|
2,581
|
26,507
|
136,516
|
165,605
|
|
165,605
|
|
- AQ5-AQ8
|
-
|
-
|
-
|
-
|
|
-
|
2
|
551
|
-
|
553
|
|
553
|
|
Off-balance sheet
|
12,478
|
18,494
|
8,207
|
39,179
|
|
14,159
|
61,113
|
21,516
|
254
|
97,042
|
|
136,221
|
|
- Loan commitments
|
12,478
|
18,494
|
8,165
|
39,137
|
|
13,843
|
58,410
|
19,909
|
254
|
92,416
|
|
131,553
|
|
- Financial guarantees
|
-
|
-
|
42
|
42
|
|
316
|
2,703
|
1,607
|
-
|
4,626
|
|
4,668
|
|
Off-balance sheet by asset quality (3)
|
12,478
|
18,494
|
8,207
|
39,179
|
|
14,159
|
61,113
|
21,516
|
254
|
97,042
|
|
136,221
|
|
- AQ1-AQ4
|
11,659
|
486
|
6,869
|
19,014
|
|
10,970
|
37,302
|
19,902
|
164
|
68,338
|
|
87,352
|
|
- AQ5-AQ8
|
797
|
17,681
|
1,301
|
19,779
|
|
3,170
|
23,497
|
1,575
|
27
|
28,269
|
|
48,048
|
|
- AQ9
|
7
|
9
|
9
|
25
|
|
2
|
25
|
1
|
63
|
91
|
|
116
|
|
- AQ10
|
15
|
318
|
28
|
361
|
|
17
|
289
|
38
|
-
|
344
|
|
705
|
For the notes to this table refer to page 34.
Risk and capital management continued
Credit risk - Banking activities continued
Sector analysis - portfolio summary (reviewed)
|
|
Personal
|
|
Wholesale
|
|
Total
|
|
|
|
Credit
|
Other
|
|
|
|
|
Financial
|
|
|
|
|
|
|
Mortgages (1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
institution
|
Sovereign
|
Total
|
|
|
|
31 December 2023
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
|
Loans by geography
|
208,275
|
5,904
|
9,595
|
223,774
|
|
31,207
|
77,339
|
57,087
|
2,633
|
168,266
|
|
392,040
|
|
- UK
|
208,275
|
5,893
|
9,592
|
223,760
|
|
30,703
|
65,033
|
39,906
|
2,016
|
137,658
|
|
361,418
|
|
- RoI
|
-
|
11
|
3
|
14
|
|
9
|
888
|
279
|
-
|
1,176
|
|
1,190
|
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
375
|
5,096
|
7,865
|
399
|
13,735
|
|
13,735
|
|
- RoW
|
-
|
-
|
-
|
-
|
|
120
|
6,322
|
9,037
|
218
|
15,697
|
|
15,697
|
|
Loans by stage
|
208,275
|
5,904
|
9,595
|
223,774
|
|
31,207
|
77,339
|
57,087
|
2,633
|
168,266
|
|
392,040
|
|
- Stage 1
|
188,140
|
3,742
|
6,983
|
198,865
|
|
27,316
|
63,690
|
56,105
|
2,610
|
149,721
|
|
348,586
|
|
- Stage 2
|
17,854
|
2,022
|
1,633
|
21,509
|
|
3,270
|
12,145
|
966
|
1
|
16,382
|
|
37,891
|
|
- Stage 3
|
2,281
|
140
|
979
|
3,400
|
|
621
|
1,504
|
16
|
22
|
2,163
|
|
5,563
|
|
- Of which: individual
|
122
|
-
|
20
|
142
|
|
240
|
625
|
2
|
22
|
889
|
|
1,031
|
|
- Of which: collective
|
2,159
|
140
|
959
|
3,258
|
|
381
|
879
|
14
|
-
|
1,274
|
|
4,532
|
|
Loans - past due analysis (2)
|
208,275
|
5,904
|
9,595
|
223,774
|
|
31,207
|
77,339
|
57,087
|
2,633
|
168,266
|
|
392,040
|
|
- Not past due
|
205,405
|
5,743
|
8,578
|
219,726
|
|
30,264
|
74,052
|
56,735
|
2,633
|
163,684
|
|
383,410
|
|
- Past due 1-30 days
|
1,178
|
41
|
71
|
1,290
|
|
491
|
2,222
|
332
|
-
|
3,045
|
|
4,335
|
|
- Past due 31-90 days
|
518
|
38
|
112
|
668
|
|
179
|
437
|
12
|
-
|
628
|
|
1,296
|
|
- Past due 90-180 days
|
445
|
32
|
103
|
580
|
|
42
|
71
|
2
|
-
|
115
|
|
695
|
|
- Past due >180 days
|
729
|
50
|
731
|
1,510
|
|
231
|
557
|
6
|
-
|
794
|
|
2,304
|
|
Loans - Stage 2
|
17,854
|
2,022
|
1,633
|
21,509
|
|
3,270
|
12,145
|
966
|
1
|
16,382
|
|
37,891
|
|
- Not past due
|
16,803
|
1,971
|
1,529
|
20,303
|
|
3,071
|
11,287
|
932
|
1
|
15,291
|
|
35,594
|
|
- Past due 1-30 days
|
765
|
27
|
40
|
832
|
|
100
|
516
|
24
|
-
|
640
|
|
1,472
|
|
- Past due 31-90 days
|
286
|
24
|
64
|
374
|
|
99
|
342
|
10
|
-
|
451
|
|
825
|
|
Weighted average life
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- ECL measurement (years)
|
9
|
3
|
6
|
6
|
|
6
|
6
|
2
|
-
|
6
|
|
6
|
|
Weighted average 12 months PDs
|
|
|
|
|
|
|
|
|
|
|
|
|
- IFRS 9 (%)
|
0.50
|
3.45
|
5.29
|
0.75
|
|
1.45
|
1.59
|
0.19
|
0.37
|
1.07
|
|
0.89
|
|
- Basel (%)
|
0.67
|
3.37
|
3.15
|
0.84
|
|
0.94
|
1.25
|
0.17
|
0.37
|
0.81
|
|
0.83
|
|
ECL provisions by geography
|
420
|
376
|
1,168
|
1,964
|
|
398
|
1,201
|
66
|
16
|
1,681
|
|
3,645
|
|
- UK
|
420
|
365
|
1,163
|
1,948
|
|
384
|
999
|
38
|
13
|
1,434
|
|
3,382
|
|
- RoI
|
-
|
11
|
5
|
16
|
|
-
|
6
|
1
|
-
|
7
|
|
23
|
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
7
|
146
|
12
|
-
|
165
|
|
165
|
|
- RoW
|
-
|
-
|
-
|
-
|
|
7
|
50
|
15
|
3
|
75
|
|
75
|
|
ECL provisions by stage
|
420
|
376
|
1,168
|
1,964
|
|
398
|
1,201
|
66
|
16
|
1,681
|
|
3,645
|
|
- Stage 1
|
88
|
76
|
152
|
316
|
|
102
|
234
|
44
|
13
|
393
|
|
709
|
|
- Stage 2
|
61
|
207
|
238
|
506
|
|
98
|
356
|
15
|
1
|
470
|
|
976
|
|
- Stage 3
|
271
|
93
|
778
|
1,142
|
|
198
|
611
|
7
|
2
|
818
|
|
1,960
|
|
- Of which: individual
|
12
|
-
|
14
|
26
|
|
60
|
242
|
2
|
2
|
306
|
|
332
|
|
- Of which: collective
|
259
|
93
|
764
|
1,116
|
|
138
|
369
|
5
|
-
|
512
|
|
1,628
|
For the notes to this table refer to the following
page.
Risk and capital management continued
Credit risk - Banking activities continued
Sector analysis - portfolio summary (reviewed)
|
|
Personal
|
|
Wholesale
|
|
Total
|
|
|
|
Credit
|
Other
|
|
|
|
|
Financial
|
|
|
|
|
|
|
Mortgages (1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
institution
|
Sovereign
|
Total
|
|
|
|
31 December 2023
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
|
ECL provisions coverage (%)
|
0.20
|
6.37
|
12.17
|
0.88
|
|
1.28
|
1.55
|
0.12
|
0.61
|
1.00
|
|
0.93
|
|
- Stage 1 (%)
|
0.05
|
2.03
|
2.18
|
0.16
|
|
0.37
|
0.37
|
0.08
|
0.50
|
0.26
|
|
0.20
|
|
- Stage 2 (%)
|
0.34
|
10.24
|
14.57
|
2.35
|
|
3.00
|
2.93
|
1.55
|
100.00
|
2.87
|
|
2.58
|
|
- Stage 3 (%)
|
11.88
|
66.43
|
79.47
|
33.59
|
|
31.88
|
40.63
|
43.75
|
9.09
|
37.82
|
|
35.23
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Half year ended 30 June 2023
|
|
|
|
|
|
|
|
|
|
|
|
|
ECL (release)/charge (4)
|
23
|
70
|
110
|
203
|
|
21
|
7
|
(6)
|
(2)
|
20
|
|
223
|
|
- UK
|
23
|
68
|
107
|
198
|
|
21
|
37
|
(11)
|
(2)
|
45
|
|
243
|
|
- RoI
|
-
|
2
|
3
|
5
|
|
5
|
(5)
|
-
|
-
|
-
|
|
5
|
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
(5)
|
16
|
1
|
-
|
12
|
|
12
|
|
- RoW
|
-
|
-
|
-
|
-
|
|
-
|
(41)
|
4
|
-
|
(37)
|
|
(37)
|
|
Amounts written-off (4)
|
8
|
34
|
24
|
66
|
|
19
|
37
|
-
|
-
|
56
|
|
122
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans by residual maturity
|
208,275
|
5,904
|
9,595
|
223,774
|
|
31,207
|
77,339
|
57,087
|
2,633
|
168,266
|
|
392,040
|
|
- <1 year
|
3,375
|
3,398
|
3,169
|
9,942
|
|
5,696
|
25,312
|
43,497
|
489
|
74,994
|
|
84,936
|
|
- 1-5 year
|
9,508
|
2,506
|
5,431
|
17,445
|
|
17,216
|
32,573
|
11616
|
1,872
|
63,277
|
|
80,722
|
|
- >5<15 year
|
46,453
|
-
|
993
|
47,446
|
|
5,701
|
14,167
|
1,939
|
199
|
22,006
|
|
69,452
|
|
- >15 year
|
148,939
|
-
|
2
|
148,941
|
|
2,594
|
5,287
|
35
|
73
|
7,989
|
|
156,930
|
|
Other financial assets by asset quality (3)
|
-
|
-
|
-
|
-
|
|
1
|
2,689
|
26,816
|
123,683
|
153,189
|
|
153,189
|
|
- AQ1-AQ4
|
-
|
-
|
-
|
-
|
|
1.0
|
2,689
|
26,084
|
123,683
|
152,457
|
|
152,457
|
|
- AQ5-AQ8
|
-
|
-
|
-
|
-
|
|
-
|
-
|
732
|
-
|
732
|
|
732
|
|
Off-balance sheet
|
9,843
|
17,284
|
8,462
|
35,589
|
|
14,205
|
59,716
|
22,221
|
227
|
96,369
|
|
131,958
|
|
- Loan commitments
|
9,843
|
17,284
|
8,417
|
35,544
|
|
13,861
|
57,081
|
20,765
|
227
|
91,934
|
|
127,478
|
|
- Financial guarantees
|
-
|
-
|
45
|
45
|
|
344
|
2,635
|
1,456
|
-
|
4,435
|
|
4,480
|
|
Off-balance sheet by asset quality (3)
|
9,843
|
17,284
|
8,462
|
35,589
|
|
14,205
|
59,716
|
22,221
|
227
|
96,369
|
|
131,958
|
|
- AQ1-AQ4
|
9,099
|
448
|
7,271
|
16,818
|
|
10,916
|
36,380
|
20,644
|
165
|
68,105
|
|
84,923
|
|
- AQ5-AQ8
|
721
|
16,518
|
1,162
|
18,401
|
|
3,266
|
23,030
|
1,574
|
45
|
27,915
|
|
46,316
|
|
- AQ9
|
7
|
6
|
4
|
17
|
|
3
|
12
|
-
|
-
|
15
|
|
32
|
|
- AQ10
|
16
|
312
|
25
|
353
|
|
20
|
294
|
3
|
17
|
334
|
|
687
|
(1) Includes a portion of
Private Banking lending secured against residential real estate, in
line with ECL calculation methodology. Private Banking and RBS
International mortgages are reported in the UK, reflecting the
country of lending origination and includes crown
dependencies.
(2) 30 DPD - 30 days past
due, the mandatory 30 days past due backstop as prescribed by the
IFRS 9 guidance for a SICR (significant increase in credit
risk).
(3) AQ bandings are based on
Basel PDs and mapping is as follows:
|
Internal asset quality band
|
Probability of default range
|
Indicative S&P rating
|
|
Internal asset quality band
|
Probability of default range
|
Indicative S&P rating
|
|
AQ1
|
0% - 0.034%
|
AAA to AA
|
|
AQ6
|
1.076% - 2.153%
|
BB- to B+
|
|
AQ2
|
0.034% - 0.048%
|
AA to AA-
|
|
AQ7
|
2.153% - 6.089%
|
B+ to B
|
|
AQ3
|
0.048% - 0.095%
|
A+ to A
|
|
AQ8
|
6.089% - 17.222%
|
B- to CCC+
|
|
AQ4
|
0.095% - 0.381%
|
BBB+ to BBB-
|
|
AQ9
|
17.222% - 100%
|
CCC to C
|
|
AQ5
|
0.381% - 1.076%
|
BB+ to BB
|
|
AQ10
|
100%
|
D
|
£0.3 billion (31 December 2023 - £0.3 billion) of AQ10
Personal balances primarily relate to loan commitments, the
drawdown of which is effectively prohibited.
(4) Previously published
sectors for the Wholesale portfolio have been re-presented to
reflect updated internal sector reporting.
Risk and capital management continued
Credit risk - Banking activities continued
Sector analysis - portfolio summary (reviewed)
The table below shows ECL by stage, for the Personal portfolio and
selected sectors of the Wholesale portfolio including those that
contain an element of exposure classified as heightened
climate-related risk.
|
|
Loans - amortised cost and FVOCI
|
|
Off-balance sheet
|
|
ECL provisions
|
|
|
|
|
Loan
|
Contingent
|
|
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
commitments
|
liabilities
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
Personal
|
194,611
|
23,372
|
3,461
|
221,444
|
|
39,137
|
42
|
|
280
|
457
|
1,063
|
1,800
|
|
Mortgages (1)
|
182,672
|
20,368
|
2,446
|
205,486
|
|
12,478
|
-
|
|
49
|
69
|
302
|
420
|
|
Credit
cards
|
4,431
|
1,792
|
158
|
6,381
|
|
18,494
|
-
|
|
82
|
189
|
105
|
376
|
|
Other
personal
|
7,508
|
1,212
|
857
|
9,577
|
|
8,165
|
42
|
|
149
|
199
|
656
|
1,004
|
|
Wholesale
|
151,236
|
13,916
|
2,351
|
167,503
|
|
92,416
|
4,626
|
|
305
|
345
|
893
|
1,543
|
|
Property
|
28,872
|
3,018
|
728
|
32,618
|
|
13,843
|
316
|
|
73
|
66
|
232
|
371
|
|
Financial
institutions (2)
|
56,103
|
548
|
74
|
56,725
|
|
19,909
|
1,607
|
|
39
|
7
|
44
|
90
|
|
Sovereigns
|
1,287
|
263
|
22
|
1,572
|
|
254
|
-
|
|
13
|
2
|
4
|
19
|
|
Corporate
|
64,974
|
10,087
|
1,527
|
76,588
|
|
58,410
|
2,703
|
|
180
|
270
|
613
|
1,063
|
|
Of
which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture
|
3,933
|
873
|
122
|
4,928
|
|
947
|
21
|
|
13
|
29
|
37
|
79
|
|
Airlines
and aerospace
|
2,103
|
286
|
4
|
2,393
|
|
2,087
|
232
|
|
3
|
3
|
3
|
9
|
|
Automotive
|
7,041
|
653
|
55
|
7,749
|
|
4,090
|
136
|
|
14
|
12
|
18
|
44
|
|
Building
materials
|
1,447
|
257
|
18
|
1,722
|
|
1,441
|
64
|
|
4
|
7
|
7
|
18
|
|
Chemicals
|
362
|
76
|
1
|
439
|
|
722
|
14
|
|
1
|
1
|
1
|
3
|
|
Industrials
|
2,066
|
405
|
74
|
2,545
|
|
2,725
|
140
|
|
7
|
12
|
29
|
48
|
|
Land
transport and logistics
|
4,485
|
300
|
85
|
4,870
|
|
3,033
|
253
|
|
8
|
11
|
22
|
41
|
|
Leisure
|
4,576
|
1,866
|
284
|
6,726
|
|
2,140
|
116
|
|
24
|
60
|
98
|
182
|
|
Mining
and metals
|
296
|
23
|
4
|
323
|
|
315
|
6
|
|
-
|
-
|
4
|
4
|
|
Oil
and gas
|
626
|
26
|
70
|
722
|
|
1,932
|
189
|
|
2
|
1
|
49
|
52
|
|
Power
utilities
|
5,811
|
301
|
79
|
6,191
|
|
7,757
|
585
|
|
12
|
7
|
32
|
51
|
|
Retail
|
6,083
|
1,119
|
164
|
7,366
|
|
4,522
|
385
|
|
14
|
25
|
72
|
111
|
|
Shipping
|
205
|
10
|
25
|
240
|
|
76
|
27
|
|
-
|
1
|
9
|
10
|
|
Water
and waste
|
3,513
|
362
|
20
|
3,895
|
|
1,813
|
121
|
|
3
|
3
|
6
|
12
|
|
Total
|
345,847
|
37,288
|
5,812
|
388,947
|
|
131,553
|
4,668
|
|
585
|
802
|
1,956
|
3,343
|
For the notes to this table refer to the following
page.
Risk and capital management continued
Credit risk - Banking activities continued
Sector analysis - portfolio summary (reviewed)
|
|
Loans - amortised cost and FVOCI
|
|
Off-balance sheet
|
|
ECL provisions
|
|
|
|
|
Loan
|
Contingent
|
|
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
commitments
|
liabilities
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
31 December 2023
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
Personal
|
198,865
|
21,509
|
3,400
|
223,774
|
|
35,544
|
45
|
|
316
|
506
|
1,142
|
1,964
|
|
Mortgages (1)
|
188,140
|
17,854
|
2,281
|
208,275
|
|
9,843
|
-
|
|
88
|
61
|
271
|
420
|
|
Credit
cards
|
3,742
|
2,022
|
140
|
5,904
|
|
17,284
|
-
|
|
76
|
207
|
93
|
376
|
|
Other
personal
|
6,983
|
1,633
|
979
|
9,595
|
|
8,417
|
45
|
|
152
|
238
|
778
|
1,168
|
|
Wholesale
|
149,721
|
16,382
|
2,163
|
168,266
|
|
91,934
|
4,435
|
|
393
|
470
|
818
|
1,681
|
|
Property
|
27,316
|
3,270
|
621
|
31,207
|
|
13,861
|
344
|
|
102
|
98
|
198
|
398
|
|
Financial
institutions (2)
|
56,105
|
966
|
16
|
57,087
|
|
20,765
|
1,456
|
|
44
|
15
|
7
|
66
|
|
Sovereigns
|
2,610
|
1
|
22
|
2,633
|
|
227
|
-
|
|
13
|
1
|
2
|
16
|
|
Corporate
|
63,690
|
12,145
|
1,504
|
77,339
|
|
57,081
|
2,635
|
|
234
|
356
|
611
|
1,201
|
|
Of
which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture
|
3,851
|
1,011
|
90
|
4,952
|
|
950
|
21
|
|
19
|
35
|
34
|
88
|
|
Airlines
and aerospace
|
1,525
|
454
|
3
|
1,982
|
|
1,788
|
178
|
|
4
|
7
|
2
|
13
|
|
Automotive
|
7,223
|
1,008
|
76
|
8,307
|
|
3,844
|
103
|
|
18
|
18
|
26
|
62
|
|
Building
materials
|
1,204
|
282
|
72
|
1,558
|
|
1,475
|
72
|
|
6
|
9
|
8
|
23
|
|
Chemicals
|
354
|
62
|
4
|
420
|
|
785
|
13
|
|
1
|
9
|
1
|
11
|
|
Industrials
|
2,269
|
543
|
70
|
2,882
|
|
2,896
|
148
|
|
10
|
18
|
23
|
51
|
|
Land
transport and logistics
|
4,231
|
578
|
61
|
4,870
|
|
3,025
|
184
|
|
11
|
14
|
18
|
43
|
|
Leisure
|
4,394
|
2,245
|
288
|
6,927
|
|
1,887
|
145
|
|
31
|
74
|
91
|
196
|
|
Mining
and metals
|
241
|
32
|
4
|
277
|
|
545
|
7
|
|
-
|
-
|
4
|
4
|
|
Oil
and gas
|
915
|
125
|
27
|
1,067
|
|
1,959
|
237
|
|
3
|
2
|
29
|
34
|
|
Power
utilities
|
5,604
|
418
|
40
|
6,062
|
|
8,257
|
554
|
|
13
|
13
|
24
|
50
|
|
Retail
|
5,846
|
1,318
|
224
|
7,388
|
|
4,717
|
429
|
|
23
|
35
|
118
|
176
|
|
Shipping
|
207
|
35
|
3
|
245
|
|
71
|
31
|
|
-
|
1
|
2
|
3
|
|
Water
and waste
|
3,536
|
173
|
13
|
3,722
|
|
1,904
|
84
|
|
4
|
5
|
4
|
13
|
|
Total
|
348,586
|
37,891
|
5,563
|
392,040
|
|
127,478
|
4,480
|
|
709
|
976
|
1,960
|
3,645
|
(1) As at 30 June 2024, £136.5
billion, 66.4%, of the total residential mortgages portfolio had
Energy Performance Certificate (EPC) data available (31 December
2023 - £140.8 billion, 67.6%). Of which, 45.2% were rated as
EPC A to C (31 December 2023 - 44.1%).
(2) Includes transactions, such as
securitisations, where the underlying risk may be in other
sectors.
Risk and capital management continued
Credit risk - Banking activities continued
Wholesale forbearance (reviewed)
The table below shows Wholesale forbearance, Heightened Monitoring
and Risk of Credit Loss by sector. This table shows current
exposure but reflects risk transfers where there is a guarantee by
another customer.
|
|
|
Financial
|
|
Other
|
|
|
|
Property
|
institution
|
Sovereign
|
corporate
|
Total
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Forbearance (flow)
|
495
|
101
|
-
|
1,876
|
2,472
|
|
Forbearance (stock)
|
1,081
|
122
|
20
|
3,751
|
4,974
|
|
Heightened Monitoring and Risk of Credit Loss
|
1,231
|
183
|
-
|
4,299
|
5,713
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
Forbearance (flow)
|
916
|
56
|
22
|
2,568
|
3,562
|
|
Forbearance (stock)
|
1,071
|
70
|
22
|
3,752
|
4,915
|
|
Heightened Monitoring and Risk of Credit Loss
|
1,089
|
276
|
-
|
4,119
|
5,484
|
Risk and capital management continued
Credit risk - Banking activities continued
-
Loans
by geography and sector - In line with NatWest Group's
strategic focus, exposures continued to be mainly in the
UK.
-
Loans
by stage - The reduction in Stage 1 mirrored the
reduction in balances since Q4 2023, primarily driven by personal
mortgages. The reduction in Stage 2 was reflective of portfolio
performance and PD modelling updates in Personal unsecured
portfolios. The modest increase in Stage 3 balance was mitigated by
debt sale activity on Personal unsecured assets.
-
Loans
- Past due analysis - In Personal, there were limited
increases in the value of arrears during H1 2024. The increases
were in line with expectations, mainly in mortgages given the
higher interest rate environment, following portfolio growth in
recent years and adjustments to lending criteria following
COVID-19. The reduction in arrears in unsecured portfolios was due
to Q2 2024 debt sale activity. In Wholesale, past due profile was
stable.
-
Weighted
average 12 months PDs - Both IFRS 9 and Basel PDs remained
broadly stable in the first half of the year overall. In Personal
portfolios, there was a notable reduction in unsecured portfolios
due to PD modelling updates. In Wholesale, some reductions were
observed in PDs in the corporate and property portfolios due to
economic and portfolio improvements. PDs in sovereigns increased
significantly due to lending backed by government
guarantees.
-
ECL
provisions by stage and ECL provisions coverage - Overall
provisions coverage reduced since 31 December 2023. On the
performing book, this was mainly a result of positive portfolio
performance, reduced economic uncertainty post model adjustments
and PD reductions across a number of portfolios. Furthermore, Stage
3 and total book coverage reduced supported by the reduction of
balances from debt sale activity on Personal unsecured
portfolios.
-
The
ECL charge - The year-to-date impairment charge for 2024
of £48 million primarily reflected impairment releases on
Wholesale portfolios driven by the reduction in economic
uncertainty post model adjustments alongside positive portfolio
performance and reduced PD levels.
-
Loans
by residual maturity - The maturity profile of the portfolios
remained consistent with prior periods. In mortgages, as expected,
the vast majority of exposures were greater than five years. In
unsecured lending, cards and other, exposures were concentrated in
less than five years. In Wholesale, more than 80% of the exposures
mature in less than five years.
-
Other
financial assets by asset quality - Consisting almost entirely
of cash and balances at central banks and debt securities held in
the course of treasury related management activities, these assets
were mainly within the AQ1-AQ4 bands.
-
Off-balance
sheet exposures by asset quality - In Personal, undrawn
exposures were reflective of available credit lines in credit cards
and current accounts. Additionally, the mortgage portfolio had
undrawn exposures, where a formal offer had been made to a customer
but had not yet drawn down; the value increased in line with the
pipeline of offers. There was also a legacy portfolio of flexible
mortgages where a customer had the right and ability to draw down
further funds. The asset quality was aligned to the wider
portfolio. In Wholesale, off-balance sheet exposures increased
in sovereigns, and in the asset quality band AQ9. In general, asset
quality was stable, and in line with the overall
portfolio.
-
Wholesale
problem debt - Exposures classified as Heightened Monitoring
and Risk of Credit Loss within the Wholesale Problem Debt
Management framework (formerly known as the Aligned Risk of Credit
Loss and Viability framework) increased in H1 2024, driven by a
small volume of customers. NatWest Group continued to closely
monitor this portfolio and no sector themes or concerns were
observed during H1 2024. Retail SME customers do not form part of
this framework, customers in financial difficulty within this group
are managed by specialist problem debt management teams. For these
customers inflows slowed in H1 2024, collections were stable and
recoveries balances continued to be driven by BBLs.
-
Wholesale
forbearance - Decreased levels of new forbearance were
observed in H1 2024 compared to H1 2023, by both value and volume.
The CRE sector cluster was the largest beneficiary by value in H1
2024, closely followed by the consumer industries sector cluster.
Payment holidays and covenant waivers were the most common forms of
forbearance granted.
Risk and capital management continued
Credit risk - Banking activities continued
Personal portfolio (reviewed)
Disclosures in the Personal portfolio section include drawn
exposure (gross of provisions).
|
|
30 June 2024
|
|
31 December 2023
|
|
|
|
|
|
Central
|
|
|
|
|
|
Central
|
|
|
|
Retail
|
Private
|
Commercial &
|
items
|
|
|
Retail
|
Private
|
Commercial &
|
items
|
|
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Total
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Total
|
|
Personal lending
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Mortgages
|
190,510
|
12,873
|
2,169
|
-
|
205,552
|
|
192,915
|
13,222
|
2,200
|
-
|
208,337
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Owner occupied
|
172,220
|
11,370
|
1,458
|
-
|
185,048
|
|
174,167
|
11,629
|
1,464
|
-
|
187,260
|
|
Buy-to-let
|
18,290
|
1,503
|
711
|
-
|
20,504
|
|
18,748
|
1,593
|
736
|
-
|
21,077
|
|
Interest only
|
22,487
|
11,276
|
439
|
-
|
34,202
|
|
25,805
|
11,631
|
461
|
-
|
37,897
|
|
Mixed (1)
|
10,191
|
33
|
8
|
-
|
10,232
|
|
10,068
|
25
|
10
|
-
|
10,103
|
|
ECL provisions (2)
|
398
|
14
|
8
|
-
|
420
|
|
397
|
12
|
6
|
-
|
415
|
|
Other personal lending (3)
|
14,334
|
1,293
|
253
|
-
|
15,880
|
|
13,758
|
1,395
|
222
|
13
|
15,388
|
|
ECL provisions (2)
|
1,360
|
14
|
3
|
-
|
1,377
|
|
1,508
|
12
|
2
|
16
|
1,538
|
|
Total personal lending
|
204,844
|
14,166
|
2,422
|
-
|
221,432
|
|
206,673
|
14,617
|
2,422
|
13
|
223,725
|
|
Mortgage LTV ratios
|
|
|
|
|
|
|
|
|
|
|
|
|
Owner occupied
|
57%
|
59%
|
55%
|
-
|
57%
|
|
55%
|
59%
|
56%
|
-
|
55%
|
|
- Stage 1
|
57%
|
59%
|
55%
|
-
|
57%
|
|
55%
|
59%
|
54%
|
-
|
55%
|
|
- Stage 2
|
57%
|
61%
|
56%
|
-
|
57%
|
|
54%
|
63%
|
54%
|
-
|
54%
|
|
- Stage 3
|
50%
|
64%
|
76%
|
-
|
51%
|
|
48%
|
61%
|
72%
|
-
|
49%
|
|
Buy-to-let
|
55%
|
59%
|
52%
|
-
|
55%
|
|
52%
|
59%
|
52%
|
-
|
53%
|
|
- Stage 1
|
55%
|
60%
|
51%
|
-
|
55%
|
|
52%
|
60%
|
52%
|
-
|
53%
|
|
- Stage 2
|
53%
|
59%
|
53%
|
-
|
53%
|
|
50%
|
57%
|
49%
|
-
|
50%
|
|
- Stage 3
|
52%
|
53%
|
60%
|
-
|
53%
|
|
50%
|
53%
|
58%
|
-
|
51%
|
|
Gross new mortgage lending
|
11,026
|
675
|
114
|
-
|
11,815
|
|
29,664
|
1,400
|
180
|
-
|
31,244
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Owner occupied
|
10,655
|
607
|
86
|
-
|
11,348
|
|
27,718
|
1,267
|
136
|
-
|
29,121
|
|
- LTV > 90%
|
364
|
-
|
-
|
-
|
364
|
|
1,173
|
-
|
-
|
-
|
1,173
|
|
Weighted average LTV (4)
|
69%
|
63%
|
71%
|
-
|
69%
|
|
70%
|
63%
|
69%
|
-
|
70%
|
|
Buy-to-let
|
371
|
68
|
28
|
-
|
467
|
|
1,946
|
133
|
44
|
-
|
2,123
|
|
Weighted average LTV (4)
|
59%
|
60%
|
55%
|
-
|
59%
|
|
58%
|
65%
|
52%
|
-
|
58%
|
|
Interest only
|
633
|
613
|
15
|
-
|
1,261
|
|
2,680
|
1,224
|
23
|
-
|
3,927
|
|
Mixed (1)
|
574
|
-
|
-
|
-
|
574
|
|
1,568
|
2
|
-
|
-
|
1,570
|
For the notes to this table refer to the following
page.
Risk and capital management continued
Credit risk - Banking activities continued
Personal portfolio (reviewed) continued
|
|
30 June 2024
|
|
31 December 2023
|
|
|
|
|
|
Central
|
|
|
|
|
|
Central
|
|
|
|
Retail
|
Private
|
Commercial &
|
items
|
|
|
Retail
|
Private
|
Commercial &
|
items
|
|
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Total
|
|
Banking
|
Banking
|
Institutional
|
& other
|
Total
|
|
Mortgage forbearance
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Forbearance flow (5)
|
280
|
21
|
3
|
-
|
304
|
|
569
|
22
|
9
|
-
|
600
|
|
Forbearance stock
|
1,584
|
34
|
14
|
-
|
1,632
|
|
1,416
|
28
|
15
|
-
|
1,459
|
|
Current
|
1,066
|
22
|
5
|
-
|
1,093
|
|
950
|
10
|
6
|
-
|
966
|
|
1-3 months in arrears
|
175
|
3
|
-
|
-
|
178
|
|
116
|
2
|
2
|
-
|
120
|
|
> 3 months in arrears
|
343
|
9
|
9
|
-
|
361
|
|
350
|
16
|
7
|
-
|
373
|
(1)
Includes
accounts which have an interest only sub-account and a capital and
interest sub-account to provide a more comprehensive view of
interest only exposures.
(2)
Retail
Banking excludes a non-material amount of lending and provisions
held on relatively small legacy portfolios.
(3)
Comprises
unsecured lending except for Private Banking, which includes both
secured and unsecured lending. It excludes loans that are
commercial in nature.
(4)
New
mortgage lending LTV reflects the LTV at the time of
lending.
(5)
Forbearance
flows only include an account once per year, although some accounts
may be subject to multiple forbearance deals. Forbearance deals
post default are excluded from these flows.
-
Mortgage
balances reduced during H1 2024 where higher redemptions were only
partly offset by new mortgage lending. Unsecured lending grew
overall, driven by growth in credit cards.
-
Mortgage
portfolio LTV increased in H1 2024, as a result of easing of house
prices reflected in the Office for National Statistics house price
indices.
-
The
proportion of overall interest only mortgage balances decreased in
H1 2024. Higher levels of interest only at year end 2023 were
driven by the implementation of the Mortgage Charter, however,
applications for Mortgage Charter support decreased during H1 2024
and customers have rolled-off from interest only
periods.
-
Portfolios
and new business were closely monitored against agreed operating
limits. These included loan-to-value ratios, buy-to-let
concentrations, new-build concentrations and credit quality.
Lending criteria, affordability calculations and assumptions for
new lending were adjusted during the year, to maintain credit
quality in line with appetite and to ensure customers are assessed
fairly as economic conditions change.
-
The
flow of mortgage forbearance was stable in H1 2024 compared to H2
2023. The reported forbearance values included customers who used
Mortgage Charter support if indicators of financial stress were
already present before Mortgage Charter support was
taken.
-
Other
personal lending balances increased in H1 2024 with continued
growth in credit card new business. Lending criteria were carefully
managed and the credit quality (based on new business PD) of the
new business written remained stable.
-
As
noted previously, ECL provisions decreased. For further details on
the movements in ECL provisions at product level, refer to the Flow
statements section.
Risk and capital management continued
Credit risk - Banking activities continued
Personal portfolio (reviewed)
Mortgage LTV distribution by stage
The table below shows gross mortgage lending and related ECL by LTV
band for the Retail Banking portfolio.
|
|
Mortgages
|
|
ECL provisions
|
|
ECL provisions coverage
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
|
≤50%
|
60,006
|
7,459
|
1,112
|
68,577
|
|
12
|
17
|
136
|
165
|
|
0.0
|
0.2
|
12.2
|
0.2
|
|
>50% and ≤70%
|
60,845
|
7,727
|
856
|
69,428
|
|
18
|
26
|
99
|
143
|
|
0.0
|
0.3
|
11.6
|
0.2
|
|
>70% and ≤80%
|
25,290
|
2,341
|
173
|
27,804
|
|
8
|
10
|
21
|
39
|
|
0.0
|
0.4
|
12.1
|
0.1
|
|
>80% and ≤90%
|
14,951
|
1,613
|
86
|
16,650
|
|
6
|
9
|
12
|
27
|
|
0.0
|
0.6
|
14.0
|
0.2
|
|
>90% and ≤100%
|
6,661
|
968
|
29
|
7,658
|
|
3
|
6
|
5
|
14
|
|
0.0
|
0.6
|
17.2
|
0.2
|
|
>100%
|
69
|
27
|
14
|
110
|
|
-
|
-
|
6
|
6
|
|
-
|
-
|
42.9
|
5.5
|
|
Total with LTVs
|
167,822
|
20,135
|
2,270
|
190,227
|
|
47
|
68
|
279
|
394
|
|
0.0
|
0.3
|
12.3
|
0.2
|
|
Other
|
279
|
1
|
3
|
283
|
|
1
|
-
|
1
|
2
|
|
0.4
|
-
|
33.3
|
0.7
|
|
Total
|
168,101
|
20,136
|
2,273
|
190,510
|
|
48
|
68
|
280
|
396
|
|
0.0
|
0.3
|
12.3
|
0.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
≤50%
|
68,092
|
7,447
|
1,145
|
76,684
|
|
27
|
18
|
134
|
179
|
|
0.0
|
0.2
|
11.7
|
0.2
|
|
>50% and ≤70%
|
65,777
|
7,011
|
767
|
73,555
|
|
35
|
26
|
85
|
146
|
|
0.1
|
0.4
|
11.1
|
0.2
|
|
>70% and ≤80%
|
22,537
|
1,633
|
113
|
24,283
|
|
13
|
7
|
15
|
35
|
|
0.1
|
0.4
|
13.3
|
0.1
|
|
>80% and ≤90%
|
13,583
|
1,143
|
47
|
14,773
|
|
9
|
6
|
7
|
22
|
|
0.1
|
0.5
|
14.9
|
0.1
|
|
>90% and ≤100%
|
3,008
|
370
|
14
|
3,392
|
|
2
|
3.0
|
3
|
8
|
|
0.1
|
0.8
|
21.4
|
0.2
|
|
>100%
|
22
|
6
|
11
|
39
|
|
-
|
-
|
5
|
5
|
|
-
|
-
|
45.5
|
12.8
|
|
Total with LTVs
|
173,019
|
17,610
|
2,097
|
192,726
|
|
86
|
60
|
249
|
395
|
|
0.1
|
0.3
|
11.9
|
0.2
|
|
Other
|
186
|
1
|
2
|
189
|
|
1
|
-
|
1
|
2
|
|
0.5
|
-
|
50.0
|
1.1
|
|
Total
|
173,205
|
17,611
|
2,099
|
192,915
|
|
87
|
60
|
250
|
397
|
|
0.1
|
0.3
|
11.9
|
0.2
|
Retail Banking fixed rate mortgages by roll-off date
The table below shows gross fixed rate mortgage lending for Retail
Banking, by roll-off date.
|
|
30 June 2024
|
|
31 December 2023
|
|
Retail Banking mortgages - gross exposure
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
Fixed rate roll-off
|
|
|
|
|
|
|
|
|
|
|
<=1 year
|
30,357
|
3,882
|
306
|
34,545
|
|
30,867
|
3,670
|
295
|
34,832
|
|
>1<=2 years
|
43,204
|
4,766
|
359
|
48,329
|
|
39,013
|
3,513
|
290
|
42,816
|
|
>2 years
|
81,501
|
8,640
|
688
|
90,829
|
|
87,402
|
7,461
|
590
|
95,453
|
|
Total
|
155,062
|
17,288
|
1,353
|
173,703
|
|
157,282
|
14,644
|
1,175
|
173,101
|
|
|
|
|
|
|
|
|
|
|
|
Risk and capital management continued
Credit risk - Banking activities continued
Commercial real estate (CRE) (reviewed)
CRE LTV distribution by stage
The table below shows CRE current exposure and related ECL by LTV
band.
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
30 June 2024
|
£m
|
£m
|
£m
|
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
|
≤50%
|
7,899
|
275
|
45
|
|
8,219
|
|
25
|
7
|
8
|
40
|
|
0.3
|
2.5
|
17.8
|
0.5
|
|
>50% and ≤70%
|
3,692
|
496
|
120
|
|
4,308
|
|
18
|
15
|
24
|
57
|
|
0.5
|
3.0
|
20.0
|
1.3
|
|
>70% and ≤100%
|
319
|
45
|
87
|
|
451
|
|
2
|
2
|
26
|
30
|
|
0.6
|
4.4
|
29.9
|
6.7
|
|
>100%
|
205
|
3
|
65
|
|
273
|
|
1
|
-
|
38
|
39
|
|
0.5
|
-
|
58.5
|
14.3
|
|
Total with LTVs
|
12,115
|
819
|
317
|
|
13,251
|
|
46
|
24
|
96
|
166
|
|
0.4
|
2.9
|
30.3
|
1.3
|
|
Total portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
average LTV
|
46%
|
52%
|
98%
|
|
48%
|
|
|
|
|
|
|
|
|
|
|
|
Other (1)
|
2,205
|
295
|
39
|
|
2,539
|
|
5
|
6
|
16
|
27
|
|
0.2
|
2.0
|
41.0
|
1.1
|
|
Investment
|
14,320
|
1,114
|
356
|
|
15,790
|
|
51
|
30
|
112
|
193
|
|
0.4
|
2.7
|
31.5
|
1.2
|
|
Development (2)
|
1,825
|
201
|
50
|
|
2,076
|
|
8
|
2
|
25
|
35
|
|
0.4
|
1.0
|
50.0
|
1.7
|
|
Total
|
16,145
|
1,315
|
406
|
|
17,866
|
|
59
|
32
|
137
|
228
|
|
0.4
|
2.4
|
33.7
|
1.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
≤50%
|
7,173
|
664
|
61
|
|
7,898
|
|
38
|
15
|
9
|
62
|
|
0.5
|
2.3
|
14.8
|
0.8
|
|
>50% and ≤70%
|
3,165
|
619
|
94
|
|
3,878
|
|
22
|
21
|
18
|
61
|
|
0.7
|
3.4
|
19.1
|
1.6
|
|
>70% and ≤100%
|
319
|
112
|
84
|
|
515
|
|
3
|
6
|
21
|
30
|
|
0.9
|
5.4
|
25.0
|
5.8
|
|
>100%
|
241
|
6
|
26
|
|
273
|
|
1
|
1
|
16
|
18
|
|
0.4
|
16.7
|
61.5
|
6.6
|
|
Total with LTVs
|
10,898
|
1,401
|
265
|
|
12,564
|
|
64
|
43
|
64
|
171
|
|
0.6
|
3.1
|
24.2
|
1.4
|
|
Total portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
average LTV
|
47%
|
51%
|
72%
|
|
48%
|
|
|
|
|
|
|
|
|
|
|
|
Other (1)
|
2,189
|
390
|
45
|
|
2,624
|
|
10
|
7
|
19
|
36
|
|
0.5
|
1.8
|
42.2
|
1.4
|
|
Investment
|
13,087
|
1,791
|
310
|
|
15,188
|
|
74
|
50
|
83
|
207
|
|
0.6
|
2.8
|
26.8
|
1.4
|
|
Development (2)
|
1,717
|
147
|
49
|
|
1,913
|
|
12
|
5
|
25
|
42
|
|
0.7
|
3.4
|
51.0
|
2.2
|
|
Total
|
14,804
|
1,938
|
359
|
|
17,101
|
|
86
|
55
|
108
|
249
|
|
0.6
|
2.8
|
30.1
|
1.5
|
-
Overall -
The majority of the CRE portfolio was located and managed in the
UK. Business appetite and strategy was aligned across NatWest
Group.
-
2024
trends - In H1 2024, conditions enabled growth, particularly
in Q1 2024, as investors/customers gained more confidence in the
economic outlook. Key growth was in the favoured sectors of
residential and industrial. The office sector remains challenging.
NatWest Group remains comfortable with exposures held in this
sub-sector but continues to subject them to detailed
scrutiny.
-
Credit
quality - Credit quality remained stable with very limited
instances of specific cases deteriorating.
-
Risk
appetite - Lending appetite is subject to regular
review.
|
(1)
|
Relates mainly to business banking and unsecured corporate
lending.
|
|
(2)
|
Relates to the development of commercial and residential
properties. LTV is not a meaningful measure for this type of
lending activity.
|
Risk and capital management continued
Credit risk - Banking activities continued
Flow statements (reviewed)
The flow statements that follow show the main ECL and related
income statement movements. They also show the changes in ECL as
well as the changes in related financial assets used in determining
ECL. Due to differences in scope, exposures may differ from those
reported in other tables, principally in relation to exposures in
Stage 1 and Stage 2. These differences do not have a material ECL
effect. Other points to note:
-
Financial
assets include treasury liquidity portfolios, comprising balances
at central banks and debt securities, as well as loans. Both
modelled and non-modelled portfolios are included.
-
Stage
transfers (for example, exposures moving from Stage 1 into Stage 2)
are a key feature of the ECL movements, with the net re-measurement
cost of transitioning to a worse stage being a primary driver of
income statement charges. Similarly, there is an ECL benefit for
accounts improving stage.
-
Changes
in risk parameters shows the reassessment of the ECL within a given
stage, including any ECL overlays and residual income statement
gains or losses at the point of write-off or accounting
write-down.
-
Other
(P&L only items) includes any subsequent changes in the value
of written-down assets (for example, fortuitous recoveries) along
with other direct write-off items such as direct recovery costs.
Other (P&L only items) affects the income statement but does
not affect balance sheet ECL movements.
-
Amounts
written-off represent the gross asset written-down against accounts
with ECL, including the net asset write-down for any debt sale
activity.
-
There
were some flows from Stage 1 into Stage 3 including transfers due
to unexpected default events with a post model adjustment in place
for Commercial & Institutional to account for this
risk.
-
The
effect of any change in post model adjustments during the year is
typically reported under changes in risk parameters, as are any
effects arising from changes to the underlying models. Refer to the
section on Governance and post model adjustments for further
details.
-
All
movements are captured monthly and aggregated. Interest suspended
post default is included within Stage 3 ECL, with the movement in
the value of suspended interest during the year reported under
currency translation and other adjustments.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
NatWest Group total
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2024
|
504,345
|
709
|
|
40,294
|
976
|
|
5,621
|
1,960
|
|
550,260
|
3,645
|
|
Currency translation and other adjustments
|
(907)
|
-
|
|
(29)
|
-
|
|
73
|
93
|
|
(863)
|
93
|
|
Transfers from Stage 1 to Stage 2
|
(20,089)
|
(104)
|
|
20,089
|
104
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
15,305
|
341
|
|
(15,305)
|
(341)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(126)
|
(2)
|
|
(1,643)
|
(145)
|
|
1,769
|
147
|
|
-
|
-
|
|
Transfers from Stage 3
|
175
|
9
|
|
277
|
18
|
|
(452)
|
(27)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(242)
|
|
|
328
|
|
|
157
|
|
|
243
|
|
Changes in risk parameters
|
|
(195)
|
|
|
(46)
|
|
|
165
|
|
|
(76)
|
|
Other changes in net exposure
|
(396)
|
74
|
|
(5,024)
|
(89)
|
|
(918)
|
(85)
|
|
(6,338)
|
(100)
|
|
Other (P&L only items)
|
|
(1)
|
|
|
(3)
|
|
|
(15)
|
|
|
(19)
|
|
Income statement (releases)/charges
|
|
(364)
|
|
|
190
|
|
|
222
|
|
|
48
|
|
Transfers to disposal groups and fair value
|
(296)
|
(5)
|
|
(8)
|
(3)
|
|
(13)
|
(10)
|
|
(317)
|
(18)
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(369)
|
(369)
|
|
(369)
|
(369)
|
|
Unwinding of discount
|
-
|
-
|
|
|
-
|
|
|
(75)
|
|
|
(75)
|
|
At 30 June 2024
|
498,011
|
585
|
|
38,651
|
802
|
|
5,711
|
1,956
|
|
542,373
|
3,343
|
|
Net carrying amount
|
497,426
|
|
|
37,849
|
|
|
3,755
|
|
|
539,030
|
|
|
At 1 January 2023
|
507,539
|
632
|
|
48,482
|
1,043
|
|
5,231
|
1,759
|
|
561,252
|
3,434
|
|
2023 movements
|
(26,623)
|
29
|
|
(3,867)
|
(52)
|
|
314
|
146
|
|
(30,176)
|
123
|
|
At 30 June 2023
|
480,916
|
661
|
|
44,615
|
991
|
|
5,545
|
1,905
|
|
531,076
|
3,557
|
|
Net carrying amount
|
480,255
|
|
|
43,624
|
|
|
3,640
|
|
|
527,519
|
|
Risk and capital management continued
Credit risk - Banking activities continued
Flow statements (reviewed)
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
Retail Banking - mortgages
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2024
|
174,038
|
87
|
|
17,827
|
60
|
|
2,068
|
250
|
|
193,933
|
397
|
|
Currency translation and other adjustments
|
-
|
1
|
|
-
|
(1)
|
|
53
|
53
|
|
53
|
53
|
|
Transfers from Stage 1 to Stage 2
|
(9,955)
|
(12)
|
|
9,955
|
12
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
5,702
|
12
|
|
(5,702)
|
(12)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(33)
|
-
|
|
(531)
|
(4)
|
|
564
|
4
|
|
-
|
-
|
|
Transfers from Stage 3
|
16
|
-
|
|
155
|
4
|
|
(171)
|
(4)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(7)
|
|
|
14
|
|
|
3
|
|
|
10
|
|
Changes in risk parameters
|
|
(28)
|
|
|
(1)
|
|
|
48
|
|
|
19
|
|
Other changes in net exposure
|
(2,775)
|
(4)
|
|
(1,387)
|
(4)
|
|
(265)
|
(35)
|
|
(4,427)
|
(43)
|
|
Other (P&L only items)
|
|
(1)
|
|
|
-
|
|
|
(2)
|
|
|
(3)
|
|
Income statement (releases)/charges
|
|
(40)
|
|
|
9
|
|
|
14
|
|
|
(17)
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(8)
|
(8)
|
|
(8)
|
(8)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(31)
|
|
|
(31)
|
|
At 30 June 2024
|
166,993
|
49
|
|
20,317
|
68
|
|
2,241
|
280
|
|
189,551
|
397
|
|
Net carrying amount
|
166,944
|
|
|
20,249
|
|
|
1,961
|
|
|
189,154
|
|
|
At 1 January 2023
|
165,264
|
79
|
|
18,831
|
61
|
|
1,762
|
215
|
|
185,857
|
355
|
|
2023 movements
|
4,527
|
12
|
|
834
|
3
|
|
85
|
19
|
|
5,446
|
34
|
|
At 30 June 2023
|
169,791
|
91
|
|
19,665
|
64
|
|
1,847
|
234
|
|
191,303
|
389
|
|
Net carrying amount
|
169,700
|
|
|
19,601
|
|
|
1,613
|
|
|
190,914
|
|
-
|
ECL levels for mortgages remained stable overall during H1 2024,
with growth in Stage 3 ECL offset by a reduction in good book ECL,
primarily driven by the reduction in economic uncertainty post
model adjustment levels.
|
-
|
As well as a net reduction in book size, aligned to trends in the
UK mortgage market, the decrease in Stage 1 ECL was also driven by
the cost of living post model adjustment reduction, which
proportionately allocated more ECL to Stage 1 given the
forward-looking nature of the affordability threat. Refer to the
Governance and post model adjustments section for further
details.
|
-
|
The Stage 3 inflows remained broadly stable, with signs of
improvement in default rates in recent months. Default rates had
been increasing during 2023 reflecting slightly poorer arrears
performance on mortgages recently rolled-off onto higher product
rates. The increase in Stage 3 ECL primarily reflected increases in
ECL for post-default interest alongside lower levels of
write-offs.
|
-
|
There were net flows into Stage 2 from Stage 1 with an upward trend
in early arrears coupled with the collective migration into Stage 2
of higher risk customers utilising new Mortgage Charter treatments
(approximately £0.9 billion exposure).
|
-
|
The relatively small ECL cost for net re-measurement on stage
transfer included the effect of risk targeted ECL adjustments, when
previously in the good book. Refer to the Governance and post model
adjustments section for further details.
|
-
Risk and capital management continued
Credit risk - Banking activities continued
Flow statements (reviewed)
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
Retail Banking - credit cards
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2024
|
3,475
|
70
|
|
2,046
|
204
|
|
146
|
89
|
|
5,667
|
363
|
|
Currency translation and other adjustments
|
-
|
-
|
|
-
|
-
|
|
2
|
2
|
|
2
|
2
|
|
Transfers from Stage 1 to Stage 2
|
(814)
|
(16)
|
|
814
|
16
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
746
|
52
|
|
(746)
|
(52)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(11)
|
-
|
|
(77)
|
(29)
|
|
88
|
29
|
|
-
|
-
|
|
Transfers from Stage 3
|
1
|
-
|
|
4
|
2
|
|
(5)
|
(2)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(31)
|
|
|
74
|
|
|
21
|
|
|
64
|
|
Changes in risk parameters
|
|
1
|
|
|
3
|
|
|
9
|
|
|
13
|
|
Other changes in net exposure
|
726
|
5
|
|
(219)
|
(30)
|
|
(24)
|
(1)
|
|
483
|
(26)
|
|
Other (P&L only items)
|
|
-
|
|
|
1
|
|
|
-
|
|
|
1
|
|
Income statement (releases)/charges
|
|
(25)
|
|
|
48
|
|
|
29
|
|
|
52
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(38)
|
(38)
|
|
(38)
|
(38)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(4)
|
|
|
(4)
|
|
At 30 June 2024
|
4,123
|
81
|
|
1,822
|
188
|
|
169
|
105
|
|
6,114
|
374
|
|
Net carrying amount
|
4,042
|
|
|
1,634
|
|
|
64
|
|
|
5,740
|
|
|
At 1 January 2023
|
3,062
|
61
|
|
1,098
|
120
|
|
113
|
71
|
|
4,273
|
252
|
|
2023 movements
|
118
|
(2)
|
|
422
|
25
|
|
13
|
12
|
|
553
|
35
|
|
At 30 June 2023
|
3,180
|
59
|
|
1,520
|
145
|
|
126
|
83
|
|
4,826
|
287
|
|
Net carrying amount
|
3,121
|
|
|
1,375
|
|
|
43
|
|
|
4,539
|
|
-
Overall
ECL for cards remained broadly in-line with the 2023 year-end, with
portfolio growth mitigated by stable portfolio performance and PD
trends.
-
While
portfolio performance remained stable, a net flow into Stage 2 from
Stage 1 was observed in Q1 2024 with the typical maturation of
lending after a period of strong growth in recent years albeit
Stage 2 reduced during the second quarter as PDs reduced after PD
modelling updates.
-
Credit
card balances continued to grow during 2024, reflecting continued
customer demand whilst remaining within risk appetite.
-
Flow
rates into Stage 3 reduced in H1 2024, in line with broader
portfolio performance.
Risk and capital management continued
Credit risk - Banking activities continued
Flow statements (reviewed)
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
Retail Banking - other personal unsecured
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2024
|
5,240
|
149
|
|
1,657
|
238
|
|
963
|
758
|
|
7,860
|
1,145
|
|
Currency translation and other adjustments
|
-
|
-
|
|
-
|
1
|
|
8
|
8
|
|
8
|
9
|
|
Transfers from Stage 1 to Stage 2
|
(854)
|
(40)
|
|
854
|
40
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
953
|
137
|
|
(953)
|
(137)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(37)
|
(1)
|
|
(157)
|
(68)
|
|
194
|
69
|
|
-
|
-
|
|
Transfers from Stage 3
|
4
|
1
|
|
12
|
5
|
|
(16)
|
(6)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(99)
|
|
|
133
|
|
|
13
|
|
|
47
|
|
Changes in risk parameters
|
|
(42)
|
|
|
7
|
|
|
63
|
|
|
28
|
|
Other changes in net exposure
|
411
|
40
|
|
(188)
|
(19)
|
|
(80)
|
(22)
|
|
143
|
(1)
|
|
Other (P&L only items)
|
|
-
|
|
|
(1)
|
|
|
14
|
|
|
13
|
|
Income statement (releases)/charges
|
|
(101)
|
|
|
120
|
|
|
68
|
|
|
87
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(224)
|
(224)
|
|
(224)
|
(224)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(18)
|
|
|
(18)
|
|
At 30 June 2024
|
5,717
|
145
|
|
1,225
|
200
|
|
845
|
641
|
|
7,787
|
986
|
|
Net carrying amount
|
5,572
|
|
|
1,025
|
|
|
204
|
|
|
6,801
|
|
|
At 1 January 2023
|
4,784
|
111
|
|
2,028
|
269
|
|
779
|
631
|
|
7,591
|
1,011
|
|
2023 movements
|
292
|
21
|
|
(147)
|
(39)
|
|
111
|
90
|
|
256
|
72
|
|
At 30 June 2023
|
5,076
|
132
|
|
1,881
|
230
|
|
890
|
721
|
|
7,847
|
1,083
|
|
Net carrying amount
|
4,944
|
|
|
1,651
|
|
|
169
|
|
|
6,764
|
|
-
Total
ECL decreased, mainly in Stage 3 due to the reduction of balances
from debt sale activity on Personal unsecured portfolios of
£0.2 billion.
-
Stable
portfolio performance and updates to PD modelling resulted in a net
migration from Stage 2 into Stage 1 with performing book ECL and
coverage levels showing a modest reduction since the 2023 year-end,
supported by an improved economic outlook.
-
Flow
rates into Stage 3 reduced in H1 2024, in line with broader
portfolio performance.
-
Unsecured
retail performing balances grew steadily during H1 2024, largely in
line with industry trends.
Risk and capital management continued
Credit risk - Banking activities continued
Flow statements (reviewed)
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
Commercial & Institutional total
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2024
|
176,302
|
356
|
|
17,029
|
447
|
|
2,161
|
819
|
|
195,492
|
1,622
|
|
Currency translation and other adjustments
|
(436)
|
(1)
|
|
(29)
|
1
|
|
12
|
27
|
|
(453)
|
27
|
|
Inter-group transfers
|
-
|
-
|
|
-
|
-
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 1 to Stage 2
|
(7,758)
|
(35)
|
|
7,758
|
35
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
6,940
|
130
|
|
(6,940)
|
(130)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(34)
|
-
|
|
(761)
|
(44)
|
|
795
|
44
|
|
-
|
-
|
|
Transfers from Stage 3
|
125
|
7
|
|
93
|
8
|
|
(218)
|
(15)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(98)
|
|
|
102
|
|
|
121
|
|
|
125
|
|
Changes in risk parameters
|
|
(114)
|
|
|
(49)
|
|
|
42
|
|
|
(121)
|
|
Other changes in net exposure
|
4,452
|
30
|
|
(3,109)
|
(36)
|
|
(493)
|
(28)
|
|
850
|
(34)
|
|
Other (P&L only items)
|
|
-
|
|
|
(3)
|
|
|
(24)
|
|
|
(27)
|
|
Income statement (releases)/charges
|
|
(182)
|
|
|
14
|
|
|
111
|
|
|
(57)
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(99)
|
(99)
|
|
(99)
|
(99)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(19)
|
|
|
(19)
|
|
At 30 June 2024
|
179,591
|
275
|
|
14,041
|
334
|
|
2,158
|
892
|
|
195,790
|
1,501
|
|
Net carrying amount
|
179,316
|
|
|
13,707
|
|
|
1,266
|
|
|
194,289
|
|
|
At 1 January 2023
|
160,352
|
342
|
|
24,711
|
534
|
|
2,198
|
747
|
|
187,261
|
1,623
|
|
2023 movements
|
1,819
|
(9)
|
|
(4,368)
|
(27)
|
|
75
|
18
|
|
(2,474)
|
(18)
|
|
At 30 June 2023
|
162,171
|
333
|
|
20,343
|
507
|
|
2,273
|
765
|
|
184,787
|
1,605
|
|
Net carrying amount
|
161,838
|
|
|
19,836
|
|
|
1,508
|
|
|
183,182
|
|
-
ECL
levels decreased during H1 2024 with significant reductions in
Stage 1 and Stage 2 partially offset by increases in Stage 3.
Improved economic variables and risk metrics reduced Stage 1 and
Stage 2 ECL, with lower PDs contributing to reductions in modelled
ECL and post model adjustments.
-
A
reduction in post model adjustments led to a £97 million
reduction across Stage 1 and Stage 2.
-
Stage
3 ECL and exposure increased, mainly due to transfers into Stage 3
and the re-measurement of ECL at the point of transfer. This was
partially offset by write-offs.
-
Exposure
levels in Stage 1 and 2 remained broadly consistent with new
exposures captured in Stage 1 offset by repayments in Stage
2.
Risk and capital management continued
Credit risk - Banking activities continued
Flow statements (reviewed)
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
Commercial & Institutional - corporate
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2024
|
61,402
|
226
|
|
12,275
|
344
|
|
1,454
|
602
|
|
75,131
|
1,172
|
|
Currency translation and other adjustments
|
(88)
|
(1)
|
|
(21)
|
1
|
|
11
|
22
|
|
(98)
|
22
|
|
Inter-group transfers
|
86
|
-
|
|
35
|
2
|
|
2
|
1
|
|
123
|
3
|
|
Transfers from Stage 1 to Stage 2
|
(5,045)
|
(26)
|
|
5,045
|
26
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
4,772
|
98
|
|
(4,772)
|
(98)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(30)
|
-
|
|
(530)
|
(30)
|
|
560
|
30
|
|
-
|
-
|
|
Transfers from Stage 3
|
100
|
5
|
|
66
|
6
|
|
(166)
|
(11)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(75)
|
|
|
76
|
|
|
60
|
|
|
61
|
|
Changes in risk parameters
|
|
(67)
|
|
|
(39)
|
|
|
28
|
|
|
(78)
|
|
Other changes in net exposure
|
2,119
|
14
|
|
(2,003)
|
(25)
|
|
(313)
|
(20)
|
|
(197)
|
(31)
|
|
Other (P&L only items)
|
|
-
|
|
|
(4)
|
|
|
(21)
|
|
|
(25)
|
|
Income statement (releases)/charges
|
|
(128)
|
|
|
8
|
|
|
47
|
|
|
(73)
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(88)
|
(88)
|
|
(88)
|
(88)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(13)
|
|
|
(13)
|
|
At 30 June 2024
|
63,316
|
174
|
|
10,095
|
263
|
|
1,460
|
611
|
|
74,871
|
1,048
|
|
Net carrying amount
|
63,142
|
|
|
9,832
|
|
|
849
|
|
|
73,823
|
|
-
ECL
levels decreased during H1 2024 with significant reductions in
Stage 1 and Stage 2. Improved economic variables and risk metrics
reduced Stage 1 and Stage 2 ECL, with lower PDs contributing to
reductions in modelled ECL and post model adjustments.
-
Stage
3 exposure increased due to transfers into Stage 3, partially
offset by repayments and write-offs. Stage 3 ECL marginally
increased with the impact from transfers and the re-measurement of
ECL at the point of transfer, largely offset by
write-offs.
-
Exposure
levels in the performing portfolio, Stage 1 and Stage 2, remained
broadly consistent with new exposures captured in Stage 1 offset by
repayments in Stage 2.
Risk and capital management continued
Credit risk - Banking activities continued
Flow statements (reviewed)
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
Commercial & Institutional - property
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2024
|
26,040
|
94
|
|
3,155
|
89
|
|
606
|
195
|
|
29,801
|
378
|
|
Currency translation and other adjustments
|
(5)
|
-
|
|
(2)
|
(1)
|
|
-
|
7
|
|
(7)
|
6
|
|
Inter-group transfers
|
(30)
|
-
|
|
(23)
|
(2)
|
|
(2)
|
-
|
|
(55)
|
(2)
|
|
Transfers from Stage 1 to Stage 2
|
(1,869)
|
(7)
|
|
1,869
|
7
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
1,622
|
27
|
|
(1,622)
|
(27)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(4)
|
-
|
|
(160)
|
(9)
|
|
164
|
9
|
|
-
|
-
|
|
Transfers from Stage 3
|
21
|
2
|
|
24
|
2
|
|
(45)
|
(4)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(19)
|
|
|
22
|
|
|
30
|
|
|
33
|
|
Changes in risk parameters
|
|
(38)
|
|
|
(12)
|
|
|
11
|
|
|
(39)
|
|
Other changes in net exposure
|
751
|
9
|
|
(266)
|
(7)
|
|
(150)
|
(6)
|
|
335
|
(4)
|
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
|
Income statement (releases)/charges
|
|
(48)
|
|
|
3
|
|
|
35
|
|
|
(10)
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(10)
|
(10)
|
|
(10)
|
(10)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(5)
|
|
|
(5)
|
|
At 30 June 2024
|
26,526
|
68
|
|
2,975
|
62
|
|
563
|
227
|
|
30,064
|
357
|
|
Net carrying amount
|
26,458
|
|
|
2,913
|
|
|
336
|
|
|
29,707
|
|
-
There
was a small reduction in ECL during H1 2024 with decreases in Stage
1 and Stage 2 partially offset by increases in Stage
3.
-
Improved
economic variables and risk metrics reduced Stage 1 and Stage 2
ECL, with lower PDs contributing to reductions in modelled ECL and
post model adjustments.
-
Stage
3 exposure reduced with the primary driver being repayments on the
collective portfolio. The increase in Stage 3 ECL was largely
attributable to one commercial real estate customer.
-
Exposure
levels in the performing portfolio, Stage 1 and Stage 2, increased
with new exposures captured in Stage 1 more than offsetting
repayments in Stage 2.
Risk and capital management continued
Credit risk - Banking activities continued
Flow statements (reviewed)
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
Commercial & Institutional - other
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2024
|
88,860
|
36
|
|
1,599
|
14
|
|
101
|
22
|
|
90,560
|
72
|
|
Currency translation and other adjustments
|
(344)
|
-
|
|
(5)
|
1
|
|
1
|
(1)
|
|
(348)
|
-
|
|
Inter-group transfers
|
(56)
|
-
|
|
(12)
|
-
|
|
-
|
-
|
|
(68)
|
-
|
|
Transfers from Stage 1 to Stage 2
|
(844)
|
(2)
|
|
844
|
2
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
547
|
5
|
|
(547)
|
(5)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
-
|
-
|
|
(71)
|
(6)
|
|
71
|
6
|
|
-
|
-
|
|
Transfers from Stage 3
|
4
|
-
|
|
3
|
-
|
|
(7)
|
-
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(3)
|
|
|
4
|
|
|
30
|
|
|
31
|
|
Changes in risk parameters
|
|
(8)
|
|
|
2
|
|
|
2
|
|
|
(4)
|
|
Other changes in net exposure
|
1,582
|
5
|
|
(840)
|
(3)
|
|
(30)
|
(1)
|
|
712
|
1
|
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(2)
|
|
|
(2)
|
|
Income statement (releases)/charges
|
|
(6)
|
|
|
3
|
|
|
29
|
|
|
26
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(1)
|
(1)
|
|
(1)
|
(1)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(1)
|
|
|
(1)
|
|
At 30 June 2024
|
89,749
|
33
|
|
971
|
9
|
|
135
|
54
|
|
90,855
|
96
|
|
Net carrying amount
|
89,716
|
|
|
962
|
|
|
81
|
|
|
90,759
|
|
-
ECL
levels increased during H1 2024 with a rise in Stage 3 only
partially offset by reductions in Stage 1 and Stage 2.
-
Stage
3 exposure and ECL increased mainly related to an increase in ECL
on newly defaulted individually assessed customers. These defaults
also contributed to a reduction in Stage 2 as the ECL was
transferred to Stage 3 at the point of default.
Risk and capital management continued
Credit risk - Banking activities continued
Stage 2 decomposition by a significant increase in credit risk
trigger
The tables that follow show decomposition for the Personal and
Wholesale portfolios.
|
|
UK mortgages
|
|
Credit cards
|
|
Other
|
|
Total
|
|
30 June 2024
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
Personal trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
13,825
|
67.8
|
|
1,303
|
72.6
|
|
623
|
51.3
|
|
15,751
|
67.5
|
|
PD persistence
|
3,964
|
19.5
|
|
406
|
22.7
|
|
230
|
19.0
|
|
4,600
|
19.7
|
|
Adverse credit bureau recorded with credit reference
agency
|
969
|
4.8
|
|
64
|
3.6
|
|
121
|
10.0
|
|
1,154
|
4.9
|
|
Forbearance support provided
|
162
|
0.8
|
|
1
|
0.1
|
|
11
|
0.9
|
|
174
|
0.7
|
|
Customers in collections
|
173
|
0.8
|
|
2
|
0.1
|
|
14
|
1.2
|
|
189
|
0.8
|
|
Collective SICR and other reasons (2)
|
1,141
|
5.6
|
|
16
|
0.9
|
|
200
|
16.5
|
|
1,357
|
5.8
|
|
Days past due >30
|
134
|
0.7
|
|
-
|
-
|
|
13
|
1.1
|
|
147
|
0.6
|
|
|
20,368
|
100.0
|
|
1,792
|
100.0
|
|
1,212
|
100.0
|
|
23,372
|
100.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
12,969
|
72.5
|
|
1,469
|
72.7
|
|
866
|
52.9
|
|
15,304
|
71.1
|
|
PD persistence
|
2,317
|
13.0
|
|
481
|
23.8
|
|
374
|
22.9
|
|
3,172
|
14.7
|
|
Adverse credit bureau recorded with credit reference
agency
|
1,047
|
5.9
|
|
49
|
2.4
|
|
99
|
6.1
|
|
1,195
|
5.6
|
|
Forbearance support provided
|
137
|
0.8
|
|
1
|
-
|
|
11
|
0.7
|
|
149
|
0.7
|
|
Customers in collections
|
178
|
1.0
|
|
2
|
0.1
|
|
8
|
0.5
|
|
188
|
0.9
|
|
Collective SICR and other reasons (2)
|
1,087
|
6.1
|
|
20
|
1.0
|
|
266
|
16.3
|
|
1,373
|
6.4
|
|
Days past due >30
|
119
|
0.7
|
|
-
|
-
|
|
9
|
0.6
|
|
128
|
0.6
|
|
|
17,854
|
100.0
|
|
2,022
|
100.0
|
|
1,633
|
100.0
|
|
21,509
|
100.0
|
For the notes to the table refer to the following
page.
-
The
level of PD driven deterioration increased in the first half of
2024, mainly in the mortgage portfolio, reflecting some increases
in the early arrears level and PD modelling updates. The modelling
updates on unsecured portfolios at Q1 2024 resulted in a reduction
in lifetime PDs. This drove a segment of lower risk cases out of PD
deterioration at Q1 2024, with many now exited from Stage 2 after
the PD persistence period of three months.
-
Higher
risk mortgage customers who utilised the new Mortgage Charter
measures continue to be collectively migrated into Stage 2,
approximately £0.9 billion of exposures, and were captured in
the collective SICR and other reasons category.
-
Accounts
that were less than 30 days past due continued to represent the
vast majority of the Stage 2 population.
Risk and capital management continued
Credit risk - Banking activities continued
Stage 2 decomposition by a significant increase in credit risk
trigger
|
|
Property
|
|
Corporate
|
|
Financial institutions
|
|
Sovereign
|
|
Total
|
|
30 June 2024
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
Wholesale trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
1,742
|
57.6
|
|
6,664
|
66.1
|
|
422
|
77.0
|
|
-
|
-
|
|
8,828
|
63.5
|
|
PD persistence
|
68
|
2.3
|
|
248
|
2.5
|
|
3
|
0.5
|
|
-
|
-
|
|
319
|
2.3
|
|
Heightened Monitoring and Risk of Credit Loss
|
1,008
|
33.4
|
|
2,116
|
21.0
|
|
109
|
19.9
|
|
262
|
99.6
|
|
3,495
|
25.1
|
|
Forbearance support provided
|
45
|
1.5
|
|
386
|
3.8
|
|
6
|
1.1
|
|
-
|
-
|
|
437
|
3.1
|
|
Customers in collections
|
8
|
0.3
|
|
25
|
0.2
|
|
-
|
-
|
|
-
|
-
|
|
33
|
0.2
|
|
Collective SICR and other reasons (2)
|
112
|
3.7
|
|
522
|
5.2
|
|
7
|
1.3
|
|
1
|
0.4
|
|
642
|
4.6
|
|
Days past due >30
|
35
|
1.2
|
|
126
|
1.2
|
|
1
|
0.2
|
|
-
|
-
|
|
162
|
1.2
|
|
|
3,018
|
100.0
|
|
10,087
|
100.0
|
|
548
|
100.0
|
|
263
|
100.0
|
|
13,916
|
100.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
2,211
|
67.6
|
|
7,611
|
62.5
|
|
760
|
78.7
|
|
-
|
-
|
|
10,582
|
64.6
|
|
PD persistence
|
223
|
6.8
|
|
847
|
7.0
|
|
13
|
1.3
|
|
-
|
-
|
|
1,083
|
6.6
|
|
Heightened Monitoring and Risk of Credit Loss
|
563
|
17.2
|
|
2,630
|
21.7
|
|
120
|
12.4
|
|
-
|
-
|
|
3,313
|
20.2
|
|
Forbearance support provided
|
49
|
1.6
|
|
373
|
3.1
|
|
-
|
-
|
|
-
|
-
|
|
422
|
2.6
|
|
Customers in collections
|
7
|
0.2
|
|
23
|
0.2
|
|
-
|
-
|
|
-
|
-
|
|
30
|
0.2
|
|
Collective SICR and other reasons (2)
|
70
|
2.1
|
|
457
|
3.8
|
|
72
|
7.5
|
|
1
|
100.0
|
|
600
|
3.7
|
|
Days past due >30
|
147
|
4.5
|
|
204
|
1.7
|
|
1
|
0.1
|
|
-
|
-
|
|
352
|
2.1
|
|
|
3,270
|
100.0
|
|
12,145
|
100.0
|
|
966
|
100.0
|
|
1
|
100.0
|
|
16,382
|
100.0
|
(1)
The
table is prepared on a hierarchical basis from top to bottom, for
example, accounts with PD deterioration may also trigger
backstop(s) but are only reported under PD
deterioration.
(2)
Includes
cases where a PD assessment cannot be made and accounts where the
PD has deteriorated beyond a prescribed backstop threshold aligned
to risk management practices.
-
PD
deterioration continued to be the primary trigger of migration of
exposures from Stage 1 into Stage 2. As the economic outlook
improved, there was a reduction in cases triggering Stage
2.
-
Moving
exposures to Heightened Monitoring or Risk of Credit Loss remains
an important backstop indicator of a significant increase in credit
risk. The exposures classified under this Stage 2 trigger increased
over the year, mainly in property, where improved PDs meant less
exposures were captured under the PD deterioration Stage 2
trigger.
Risk and capital management continued
Credit risk - Banking activities continued
Asset quality (reviewed)
The table below shows asset quality bands of gross loans and ECL,
by stage, for the Personal portfolio.
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
|
UK mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
100,746
|
8,061
|
-
|
108,807
|
|
20
|
20
|
-
|
40
|
|
0.0
|
0.3
|
-
|
0.0
|
|
AQ5-AQ8
|
81,760
|
11,399
|
-
|
93,159
|
|
29
|
43
|
-
|
72
|
|
0.0
|
0.4
|
-
|
0.1
|
|
AQ9
|
166
|
908
|
-
|
1,074
|
|
-
|
6
|
-
|
6
|
|
-
|
0.7
|
-
|
0.6
|
|
AQ10
|
-
|
-
|
2,446
|
2,446
|
|
-
|
-
|
302
|
302
|
|
-
|
-
|
12.4
|
12.4
|
|
|
182,672
|
20,368
|
2,446
|
205,486
|
|
49
|
69
|
302
|
420
|
|
0.0
|
0.3
|
12.4
|
0.2
|
|
Credit cards
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
126
|
-
|
-
|
126
|
|
1
|
-
|
-
|
1
|
|
0.8
|
-
|
-
|
0.8
|
|
AQ5-AQ8
|
4,292
|
1,718
|
-
|
6,010
|
|
80
|
173
|
-
|
253
|
|
1.9
|
10.1
|
-
|
4.2
|
|
AQ9
|
13
|
74
|
-
|
87
|
|
1
|
16
|
-
|
17
|
|
7.7
|
21.6
|
-
|
19.5
|
|
AQ10
|
-
|
-
|
158
|
158
|
|
-
|
-
|
105
|
105
|
|
-
|
-
|
66.5
|
66.5
|
|
|
4,431
|
1,792
|
158
|
6,381
|
|
82
|
189
|
105
|
376
|
|
1.9
|
10.6
|
66.5
|
5.9
|
|
Other personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
708
|
107
|
-
|
815
|
|
8
|
14
|
-
|
22
|
|
1.1
|
13.1
|
-
|
2.7
|
|
AQ5-AQ8
|
6,729
|
972
|
-
|
7,701
|
|
135
|
140
|
-
|
275
|
|
2.0
|
14.4
|
-
|
3.6
|
|
AQ9
|
71
|
133
|
-
|
204
|
|
6
|
45
|
-
|
51
|
|
8.5
|
33.8
|
-
|
25.0
|
|
AQ10
|
-
|
-
|
857
|
857
|
|
-
|
-
|
656
|
656
|
|
-
|
-
|
76.6
|
76.6
|
|
|
7,508
|
1,212
|
857
|
9,577
|
|
149
|
199
|
656
|
1,004
|
|
2.0
|
16.4
|
76.6
|
10.5
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
101,580
|
8,168
|
-
|
109,748
|
|
29
|
34
|
-
|
63
|
|
0.0
|
0.4
|
-
|
0.1
|
|
AQ5-AQ8
|
92,781
|
14,089
|
-
|
106,870
|
|
244
|
356
|
-
|
600
|
|
0.3
|
2.5
|
-
|
0.6
|
|
AQ9
|
250
|
1,115
|
-
|
1,365
|
|
7
|
67
|
-
|
74
|
|
2.8
|
6.0
|
-
|
5.4
|
|
AQ10
|
-
|
-
|
3,461
|
3,461
|
|
-
|
-
|
1,063
|
1,063
|
|
-
|
-
|
30.7
|
30.7
|
|
|
194,611
|
23,372
|
3,461
|
221,444
|
|
280
|
457
|
1,063
|
1,800
|
|
0.1
|
2.0
|
30.7
|
0.8
|
Risk and capital management continued
Credit risk - Banking activities continued
Asset quality (reviewed)
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|
|
Stage
1
|
Stage
2
|
Stage
3
|
Total
|
|
Stage
1
|
Stage
2
|
Stage
3
|
Total
|
|
Stage
1
|
Stage
2
|
Stage
3
|
Total
|
|
31 December 2023
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
|
UK mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
110,694
|
7,572
|
-
|
118,266
|
|
51
|
20
|
-
|
71
|
|
0.1
|
0.3
|
-
|
0.1
|
|
AQ5-AQ8
|
77,290
|
9,578
|
-
|
86,868
|
|
37
|
37
|
-
|
74
|
|
0.1
|
0.4
|
-
|
0.1
|
|
AQ9
|
156
|
704
|
-
|
860
|
|
-
|
4
|
-
|
4
|
|
-
|
0.6
|
-
|
0.5
|
|
AQ10
|
-
|
-
|
2,281
|
2,281
|
|
-
|
-
|
271
|
271
|
|
-
|
-
|
11.9
|
11.9
|
|
|
188,140
|
17,854
|
2,281
|
208,275
|
|
88
|
61
|
271
|
420
|
|
0.1
|
0.3
|
11.9
|
0.2
|
|
Credit cards
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
124
|
-
|
-
|
124
|
|
1
|
-
|
-
|
1
|
|
0.8
|
-
|
-
|
0.8
|
|
AQ5-AQ8
|
3,612
|
1,965
|
-
|
5,577
|
|
75
|
193
|
-
|
268
|
|
2.1
|
9.8
|
-
|
4.8
|
|
AQ9
|
6
|
57
|
-
|
63
|
|
-
|
14
|
-
|
14
|
|
-
|
24.6
|
-
|
22.2
|
|
AQ10
|
-
|
-
|
140
|
140
|
|
-
|
-
|
93
|
93
|
|
-
|
-
|
66.4
|
66.4
|
|
|
3,742
|
2,022
|
140
|
5,904
|
|
76
|
207
|
93
|
376
|
|
2.0
|
10.2
|
66.4
|
6.4
|
|
Other personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
764
|
150
|
-
|
914
|
|
11
|
23
|
-
|
34
|
|
1.4
|
15.3
|
-
|
3.7
|
|
AQ5-AQ8
|
6,178
|
1,374
|
-
|
7,552
|
|
138
|
180
|
-
|
318
|
|
2.2
|
13.1
|
-
|
4.2
|
|
AQ9
|
41
|
109
|
-
|
150
|
|
3
|
35
|
-
|
38
|
|
7.3
|
32.1
|
-
|
25.3
|
|
AQ10
|
-
|
-
|
979
|
979
|
|
-
|
-
|
778
|
778
|
|
-
|
-
|
79.5
|
79.5
|
|
|
6,983
|
1,633
|
979
|
9,595
|
|
152
|
238
|
778
|
1,168
|
|
2.2
|
14.6
|
79.5
|
12.2
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
111,582
|
7,722
|
-
|
119,304
|
|
63
|
43
|
-
|
106
|
|
0.1
|
0.6
|
-
|
0.1
|
|
AQ5-AQ8
|
87,080
|
12,917
|
-
|
99,997
|
|
250
|
410
|
-
|
660
|
|
0.3
|
3.2
|
-
|
0.7
|
|
AQ9
|
203
|
870
|
-
|
1,073
|
|
3
|
53
|
-
|
56
|
|
1.5
|
6.1
|
-
|
5.2
|
|
AQ10
|
-
|
-
|
3,400
|
3,400
|
|
-
|
-
|
1,142
|
1,142
|
|
-
|
-
|
33.6
|
33.6
|
|
|
198,865
|
21,509
|
3,400
|
223,774
|
|
316
|
506
|
1,142
|
1,964
|
|
0.2
|
2.4
|
33.6
|
0.9
|
-
In
the Personal portfolio, the majority of exposures were in the AQ4
and AQ5 bands and were within mortgages.
-
In
other personal, the relatively high level of exposures in AQ10
reflected that impaired assets can be held on the balance sheet,
with commensurate ECL provision, for up to six years.
Risk and capital management continued
Credit risk - Banking activities continued
Asset quality (reviewed)
The table below shows asset quality bands of gross loans and ECL,
by stage, for the Wholesale portfolio.
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
|
Property
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
15,257
|
1,000
|
-
|
16,257
|
|
13
|
8
|
-
|
21
|
|
0.1
|
0.8
|
-
|
0.1
|
|
AQ5-AQ8
|
13,607
|
1,955
|
-
|
15,562
|
|
60
|
54
|
-
|
114
|
|
0.4
|
2.8
|
-
|
0.7
|
|
AQ9
|
8
|
63
|
-
|
71
|
|
-
|
4
|
-
|
4
|
|
-
|
6.4
|
-
|
5.6
|
|
AQ10
|
-
|
-
|
728
|
728
|
|
-
|
-
|
232
|
232
|
|
-
|
-
|
31.9
|
31.9
|
|
|
28,872
|
3,018
|
728
|
32,618
|
|
73
|
66
|
232
|
371
|
|
0.3
|
2.2
|
31.9
|
1.1
|
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
25,616
|
1,040
|
-
|
26,656
|
|
18
|
12
|
-
|
30
|
|
0.1
|
1.2
|
-
|
0.1
|
|
AQ5-AQ8
|
39,331
|
8,797
|
-
|
48,128
|
|
162
|
239
|
-
|
401
|
|
0.4
|
2.7
|
-
|
0.8
|
|
AQ9
|
27
|
250
|
-
|
277
|
|
-
|
19
|
-
|
19
|
|
-
|
7.6
|
-
|
6.9
|
|
AQ10
|
-
|
-
|
1,527
|
1,527
|
|
-
|
-
|
613
|
613
|
|
-
|
-
|
40.1
|
40.1
|
|
|
64,974
|
10,087
|
1,527
|
76,588
|
|
180
|
270
|
613
|
1,063
|
|
0.3
|
2.7
|
40.1
|
1.4
|
|
Financial institutions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
52,008
|
413
|
-
|
52,421
|
|
24
|
1
|
-
|
25
|
|
0.1
|
0.2
|
-
|
0.1
|
|
AQ5-AQ8
|
4,093
|
123
|
-
|
4,216
|
|
15
|
5
|
-
|
20
|
|
0.4
|
4.1
|
-
|
0.5
|
|
AQ9
|
2
|
12
|
-
|
14
|
|
-
|
1
|
-
|
1
|
|
-
|
8.3
|
-
|
7.1
|
|
AQ10
|
-
|
-
|
74
|
74
|
|
-
|
-
|
44
|
44
|
|
-
|
-
|
59.5
|
59.5
|
|
|
56,103
|
548
|
74
|
56,725
|
|
39
|
7
|
44
|
90
|
|
0.1
|
1.3
|
59.5
|
0.2
|
|
Sovereign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
1,287
|
1
|
-
|
1,288
|
|
13
|
1
|
-
|
14
|
|
1.0
|
100.0
|
-
|
1.1
|
|
AQ5-AQ8
|
-
|
130
|
-
|
130
|
|
-
|
1
|
-
|
1
|
|
-
|
0.8
|
-
|
0.8
|
|
AQ 9
|
-
|
132
|
-
|
132
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
AQ10
|
-
|
-
|
22
|
22
|
|
-
|
-
|
4
|
4
|
|
-
|
-
|
18.2
|
18.2
|
|
|
1,287
|
263
|
22
|
1,572
|
|
13
|
2
|
4
|
19
|
|
1.0
|
0.8
|
18.2
|
1.2
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
94,168
|
2,454
|
-
|
96,622
|
|
68
|
22
|
-
|
90
|
|
0.1
|
0.9
|
-
|
0.1
|
|
AQ5-AQ8
|
57,031
|
11,005
|
-
|
68,036
|
|
237
|
299
|
-
|
536
|
|
0.4
|
2.7
|
-
|
0.8
|
|
AQ9
|
37
|
457
|
-
|
494
|
|
-
|
24
|
-
|
24
|
|
-
|
5.3
|
-
|
4.9
|
|
AQ10
|
-
|
-
|
2,351
|
2,351
|
|
-
|
-
|
893
|
893
|
|
-
|
-
|
38.0
|
38.0
|
|
|
151,236
|
13,916
|
2,351
|
167,503
|
|
305
|
345
|
893
|
1,543
|
|
0.2
|
2.5
|
38.0
|
0.9
|
-
Asset
quality was stable in property, other wholesale and financial
institutions. There was a deterioration in
sovereigns.
-
Customer
credit grades are reassessed as and when a request for financing is
made, a scheduled customer credit review performed or a material
credit event specific to that customer occurred. Credit grades are
reassessed for all customers at least annually.
Risk and capital management continued
Credit risk - Banking activities continued
Asset quality (reviewed)
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
31 December 2023
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
|
Property
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
14,961
|
405
|
-
|
15,366
|
|
16
|
5
|
-
|
21
|
|
0.1
|
1.2
|
-
|
0.1
|
|
AQ5-AQ8
|
12,346
|
2,799
|
-
|
15,145
|
|
86
|
88
|
-
|
174
|
|
0.7
|
3.1
|
-
|
1.2
|
|
AQ9
|
9
|
66
|
-
|
75
|
|
-
|
5
|
-
|
5
|
|
-
|
7.6
|
-
|
6.7
|
|
AQ10
|
-
|
-
|
621
|
621
|
|
-
|
-
|
198
|
198
|
|
-
|
-
|
31.9
|
31.9
|
|
|
27,316
|
3,270
|
621
|
31,207
|
|
102
|
98
|
198
|
398
|
|
0.4
|
3.0
|
31.9
|
1.3
|
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
25,914
|
937
|
-
|
26,851
|
|
27
|
13
|
-
|
40
|
|
0.1
|
1.4
|
-
|
0.2
|
|
AQ5-AQ8
|
37,738
|
10,935
|
-
|
48,673
|
|
207
|
323
|
-
|
530
|
|
0.6
|
3.0
|
-
|
1.1
|
|
AQ9
|
38
|
273
|
-
|
311
|
|
-
|
20
|
-
|
20
|
|
-
|
7.3
|
-
|
6.4
|
|
AQ10
|
-
|
-
|
1,504
|
1,504
|
|
-
|
-
|
611
|
611
|
|
-
|
-
|
40.6
|
40.6
|
|
|
63,690
|
12,145
|
1,504
|
77,339
|
|
234
|
356
|
611
|
1,201
|
|
0.4
|
2.9
|
40.6
|
1.6
|
|
Financial institutions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
52,702
|
665
|
-
|
53,367
|
|
28
|
6
|
-
|
34
|
|
0.1
|
0.9
|
-
|
0.1
|
|
AQ5-AQ8
|
3,402
|
284
|
-
|
3,686
|
|
16
|
9
|
-
|
25
|
|
0.5
|
3.2
|
-
|
0.7
|
|
AQ9
|
1
|
17
|
-
|
18
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
AQ10
|
-
|
-
|
16
|
16
|
|
-
|
-
|
7
|
7
|
|
-
|
-
|
43.8
|
43.8
|
|
|
56,105
|
966
|
16
|
57,087
|
|
44
|
15
|
7
|
66
|
|
0.1
|
1.6
|
43.8
|
0.1
|
|
Sovereign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
2,487
|
1
|
-
|
2,488
|
|
13
|
1
|
-
|
14
|
|
0.5
|
nm
|
-
|
0.6
|
|
AQ5-AQ8
|
123
|
-
|
-
|
123
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
AQ9
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
AQ10
|
-
|
-
|
22
|
22
|
|
-
|
-
|
2
|
2
|
|
-
|
-
|
9.1
|
9.1
|
|
|
2,610
|
1
|
22
|
2,633
|
|
13
|
1
|
2
|
16
|
|
0.5
|
nm
|
9.1
|
0.6
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
96,064
|
2,008
|
-
|
98,072
|
|
84
|
25
|
-
|
109
|
|
0.1
|
1.3
|
-
|
0.1
|
|
AQ5-AQ8
|
53,609
|
14,018
|
-
|
67,627
|
|
309
|
420
|
-
|
729
|
|
0.6
|
3.0
|
-
|
1.1
|
|
AQ9
|
48
|
356
|
-
|
404
|
|
-
|
25
|
-
|
25
|
|
-
|
7.0
|
-
|
6.2
|
|
AQ10
|
-
|
-
|
2,163
|
2,163
|
|
-
|
-
|
818
|
818
|
|
-
|
-
|
37.8
|
37.8
|
|
|
149,721
|
16,382
|
2,163
|
168,266
|
|
393
|
470
|
818
|
1,681
|
|
0.3
|
2.9
|
37.8
|
1.0
|
Risk and capital management continued
Credit risk - Trading activities
This section details the credit risk profile of NatWest
Group's trading activities.
Securities financing transactions and
collateral (reviewed)
The table below shows securities financing transactions in
Commercial & Institutional and Central items & other.
Balance sheet captions include balances held at all classifications
under IFRS.
|
|
Reverse repos
|
|
Repos
|
|
|
|
Of which:
|
Outside netting
|
|
|
Of which:
|
Outside netting
|
|
|
Total
|
can be offset
|
arrangements
|
|
Total
|
can be offset
|
arrangements
|
|
30 June 2024
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
Gross
|
77,085
|
77,000
|
85
|
|
74,623
|
73,535
|
1,088
|
|
IFRS offset
|
(32,309)
|
(32,309)
|
-
|
|
(32,309)
|
(32,309)
|
-
|
|
Carrying value
|
44,776
|
44,691
|
85
|
|
42,314
|
41,226
|
1,088
|
|
|
|
|
|
|
|
|
|
|
Master netting arrangements
|
(1,454)
|
(1,454)
|
-
|
|
(1,454)
|
(1,454)
|
-
|
|
Securities collateral
|
(42,965)
|
(42,965)
|
-
|
|
(39,772)
|
(39,772)
|
-
|
|
Potential for offset not recognised under IFRS
|
(44,419)
|
(44,419)
|
-
|
|
(41,226)
|
(41,226)
|
-
|
|
Net
|
357
|
272
|
85
|
|
1,088
|
-
|
1,088
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
Gross
|
77,508
|
77,050
|
458
|
|
66,767
|
66,047
|
720
|
|
IFRS offset
|
(25,903)
|
(25,903)
|
-
|
|
(25,903)
|
(25,903)
|
-
|
|
Carrying value
|
51,605
|
51,147
|
458
|
|
40,864
|
40,144
|
720
|
|
Master netting arrangements
|
(669)
|
(669)
|
-
|
|
(669)
|
(669)
|
-
|
|
Securities collateral
|
(50,287)
|
(50,287)
|
-
|
|
(39,475)
|
(39,475)
|
-
|
|
Potential for offset not recognised under IFRS
|
(50,956)
|
(50,956)
|
-
|
|
(40,144)
|
(40,144)
|
-
|
|
Net
|
649
|
191
|
458
|
|
720
|
-
|
720
|
Risk and capital management continued
Credit risk - Trading activities continued
Derivatives (reviewed)
The table below shows derivatives by type of contract. The master
netting agreements and collateral shown do not result in a net
presentation on the balance sheet under IFRS. A significant
proportion of the derivatives relate to trading activities in
Commercial & Institutional. The table also includes hedging
derivatives in Central items & other.
|
|
30 June 2024
|
|
31 December 2023
|
|
|
Notional
|
|
|
|
|
|
|
|
|
|
GBP
|
USD
|
EUR
|
Other
|
Total
|
Assets
|
Liabilities
|
|
Notional
|
Assets
|
Liabilities
|
|
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£m
|
£m
|
|
£bn
|
£m
|
£m
|
|
Gross exposure
|
|
|
|
|
|
86,136
|
82,013
|
|
|
99,501
|
96,264
|
|
IFRS offset
|
|
|
|
|
|
(18,622)
|
(21,164)
|
|
|
(20,597)
|
(23,869)
|
|
Carrying value
|
3,378
|
3,188
|
5,651
|
1,191
|
13,408
|
67,514
|
60,849
|
|
13,403
|
78,904
|
72,395
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate (1)
|
3,046
|
1,705
|
5,004
|
268
|
10,023
|
40,925
|
35,137
|
|
10,268
|
44,563
|
38,483
|
|
Exchange rate
|
331
|
1,478
|
637
|
923
|
3,369
|
26,446
|
25,442
|
|
3,120
|
34,161
|
33,586
|
|
Credit
|
1
|
5
|
10
|
-
|
16
|
143
|
270
|
|
15
|
180
|
326
|
|
Carrying value
|
|
|
|
|
13,408
|
67,514
|
60,849
|
|
13,403
|
78,904
|
72,395
|
|
Counterparty mark-to-market netting
|
|
|
|
|
|
(50,530)
|
(50,530)
|
|
|
(60,355)
|
(60,355)
|
|
Cash collateral
|
|
|
|
|
|
(11,296)
|
(5,650)
|
|
|
(12,284)
|
(6,788)
|
|
Securities collateral
|
|
|
|
|
|
(3,503)
|
(1,142)
|
|
|
(3,408)
|
(1,664)
|
|
Net exposure
|
|
|
|
|
|
2,185
|
3,527
|
|
|
2,857
|
3,588
|
|
Banks (2)
|
|
|
|
|
|
217
|
441
|
|
|
335
|
555
|
|
Other financial institutions (3)
|
|
|
|
|
|
1,117
|
1,260
|
|
|
1,422
|
1,304
|
|
Corporate (4)
|
|
|
|
|
|
815
|
1,808
|
|
|
1,063
|
1,690
|
|
Government (5)
|
|
|
|
|
|
36
|
18
|
|
|
37
|
39
|
|
Net exposure
|
|
|
|
|
|
2,185
|
3,527
|
|
|
2,857
|
3,588
|
|
UK
|
|
|
|
|
|
1,148
|
1,871
|
|
|
1,283
|
1,912
|
|
Europe
|
|
|
|
|
|
551
|
1,085
|
|
|
800
|
1,209
|
|
US
|
|
|
|
|
|
404
|
383
|
|
|
607
|
381
|
|
RoW
|
|
|
|
|
|
82
|
188
|
|
|
167
|
86
|
|
Net exposure
|
|
|
|
|
|
2,185
|
3,527
|
|
|
2,857
|
3,588
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset quality of uncollateralised derivative assets
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
|
|
|
|
1,871
|
|
|
|
2,382
|
|
|
AQ5-AQ8
|
|
|
|
|
|
312
|
|
|
|
471
|
|
|
AQ9-AQ10
|
|
|
|
|
|
2
|
|
|
|
4
|
|
|
Net exposure
|
|
|
|
|
|
2,185
|
|
|
|
2,857
|
|
(1)
The
notional amount of interest rate derivatives included £6,950
billion (31 December 2023 - £7,280 billion) in respect of
contracts cleared through central clearing
counterparties.
(2)
Transactions
with certain counterparties with whom NatWest Group has netting
arrangements but collateral is not posted on a daily basis; certain
transactions with specific terms that may not fall within netting
and collateral arrangements; derivative positions in certain
jurisdictions where the collateral agreements are not deemed to be
legally enforceable.
(3)
Includes
transactions with securitisation vehicles and funds where
collateral posting is contingent on NatWest Group's external
rating.
(4)
Mainly
large corporates with whom NatWest Group may have netting
arrangements in place, but operational capability does not support
collateral posting.
(5)
Sovereigns
and supranational entities with no collateral arrangements,
collateral arrangements that are not considered enforceable, or
one-way collateral agreements in their favour.
Risk and capital management continued
Credit risk - Trading activities continued
Debt securities (reviewed)
The table below shows debt securities held at mandatory fair value
through profit or loss by issuer as well as ratings based on the
lowest of Standard & Poor's, Moody's and Fitch. Refer to Note 9
Trading assets and liabilities for details on short
positions.
|
|
Central and local government
|
Financial
|
|
|
|
|
UK
|
US
|
Other
|
institutions
|
Corporate
|
Total
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
AAA
|
-
|
-
|
1,302
|
1,406
|
-
|
2,708
|
|
AA to AA+
|
-
|
5,507
|
45
|
672
|
12
|
6,236
|
|
A to AA-
|
5,170
|
-
|
2,049
|
504
|
378
|
8,101
|
|
BBB- to A-
|
-
|
-
|
1,250
|
465
|
645
|
2,360
|
|
Non-investment grade
|
-
|
-
|
-
|
153
|
178
|
331
|
|
Total
|
5,170
|
5,507
|
4,646
|
3,200
|
1,213
|
19,736
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
AAA
|
-
|
-
|
1,333
|
1,132
|
-
|
2,465
|
|
AA to AA+
|
-
|
2,600
|
19
|
762
|
4
|
3,385
|
|
A to AA-
|
2,729
|
-
|
1,017
|
251
|
283
|
4,280
|
|
BBB- to A-
|
-
|
-
|
693
|
295
|
489
|
1,477
|
|
Non-investment grade
|
-
|
-
|
-
|
198
|
149
|
347
|
|
Total
|
2,729
|
2,600
|
3,062
|
2,638
|
925
|
11,954
|
Risk and capital management continued
Capital, liquidity and funding risk
Introduction
NatWest Group takes a comprehensive approach to the management of
capital, liquidity and funding, underpinned by frameworks, risk
appetite and policies, to manage and mitigate capital, liquidity
and funding risks. The framework ensures the tools and capability
are in place to facilitate the management and mitigation of risk
ensuring that NatWest Group operates within its regulatory
requirements and risk appetite.
Key developments since 31 December 2023
|
CET1 ratio
13.6%
(as at 31 December 2023 - 13.4%)
|
|
MREL
£57.3bn
(as at 31 December 2023 - £55.8bn)
|
|
RWAs
£180.8bn
(as at 31 December 2023 - £183.0bn)
|
|
The CET1 ratio increased by 20 basis points to 13.6%. The increase
in the CET1 ratio was due to a £2.2 billion decrease in RWAs
and a £0.2 billion increase in CET1 capital.
The CET1 capital increase was mainly driven by an attributable
profit to ordinary shareholders of £2.1 billion and other
movements on reserves and regulatory adjustments of £0.1
billion partially offset by a directed buyback of £1.2 billion
and a foreseeable ordinary dividend accrual of £0.8
billion.
|
|
Minimum Requirements of own funds and Eligible Liabilities
increased by £1.5 billion to £57.3 billion driven by a
£1.0 billion increase in Tier 1 capital and a £0.6
billion increase in MREL eligible Tier 2 capital. The increase in
capital was driven by issuance of $1.0 billion Additional Tier 1
capital and $1.0 billion Tier 2 capital in the period. There
was an immaterial decrease in senior unsecured debt following
redemption of a €0.8 billion debt instrument and a $2 billion
debt instrument offset by the issuance of USD debt instruments
totalling $2.8 billion.
|
|
Total RWAs decreased by £2.2 billion to £180.8 billion
during H1 2024 reflecting:
- a decrease in credit risk RWAs
of £2.7 billion, primarily due to active RWA management
partially offset by drawdowns and new facilities within Commercial
& Institutional.
- a decrease of £0.7
billion in counterparty credit risk driven by reduced
over-the-counter exposures and securities financing
transactions.
- a decrease in market risk RWAs
of £0.4 billion, predominantly driven by risk reduction
activity.
- an increase of £1.6
billion in operational risk RWAs following the annual recalculation
as a result of higher income compared to 2020.
|
|
UK leverage ratio
5.2%
(as at 31 December 2023 - 5.0%)
|
|
Liquidity portfolio
£227.0bn
(as at 31 December 2023 - £222.8bn)
|
|
LCR
151%
(as at 31 December 2023 - 144%)
|
|
NSFR
139%
(as at 31 December 2023 - 133%)
|
|
The leverage ratio increased by 20 basis points to 5.2%, driven by
a £1.0 billion increase in Tier 1 capital partially offset by
a £2.9 billion increase in leverage exposure. The key drivers
in the leverage exposure were an increase in other off- balance
sheet items partially offset by a decrease in other financial
assets.
|
|
The liquidity portfolio increased by £4.2 billion to
£227.0 billion. Primary liquidity increased by £12.3
billion to £160.4 billion, driven by an increase in customer
deposits and wholesale funding partly offset by capital
distributions (share buyback and dividends). Secondary liquidity
decreased £8.1 billion due to a decrease in pre-positioned
collateral at the Bank of England.
|
|
The Liquidity Coverage Ratio (LCR) increased by 7 percentage points
to 151%, during H1 2024, driven by an increase in customer deposits
partly offset by capital distributions (share buyback and
dividends).
|
|
The Net Stable Funding Ratio (NSFR) increased 6% to 139% driven by
increased customer deposits and increased wholesale
funding.
|
Risk and capital management continued
Capital, liquidity and funding risk continued
Maximum Distributable Amount (MDA) and Minimum Capital
Requirements
NatWest Group is subject to minimum capital requirements relative
to RWAs. The table below summarises the minimum capital
requirements (the sum of Pillar 1 and Pillar 2A), and the
additional capital buffers which are held in excess of the
regulatory minimum requirements and are usable in
stress.
Where the CET1 ratio falls below the sum of the minimum capital and
the combined buffer requirement, there is a subsequent automatic
restriction on the amount available to service discretionary
payments (including AT1 coupons), known as the MDA. Note that
different capital requirements apply to individual legal entities
or sub-groups and that the table shown does not reflect any
incremental PRA buffer requirements, which are not
disclosable.
The current capital position provides significant headroom above
both NatWest Group's minimum requirements and its MDA threshold
requirements.
|
Type
|
CET1
|
Total Tier 1
|
Total capital
|
|
Pillar 1 requirements
|
4.5%
|
6.0%
|
8.0%
|
|
Pillar 2A requirements
|
1.8%
|
2.4%
|
3.2%
|
|
Minimum Capital Requirements
|
6.3%
|
8.4%
|
11.2%
|
|
Capital conservation buffer
|
2.5%
|
2.5%
|
2.5%
|
|
Countercyclical capital buffer (1)
|
1.7%
|
1.7%
|
1.7%
|
|
MDA threshold (2)
|
10.5%
|
|
n/a
|
|
n/a
|
|
Overall capital requirement
|
10.5%
|
12.6%
|
15.4%
|
|
Capital ratios at 30 June 2024
|
13.6%
|
16.2%
|
19.5%
|
|
Headroom (3,4)
|
3.1%
|
3.6%
|
4.1%
|
|
|
|
|
|
|
|
(1)
The
UK countercyclical buffer (CCyB) rate is currently being maintained
at 2%. This may vary in either direction in the future subject to
how risks develop. Foreign exposures may be subject to different
CCyB rates depending on the rate set in those
jurisdictions.
(2)
Pillar
2A requirements for NatWest Group are set as a variable amount with
the exception of some fixed add-ons.
(3)
The
headroom does not reflect excess distributable capital and may vary
over time.
(4)
Headroom
as at 31 December 2023 was CET1 2.9%, Total Tier 1 2.9% and Total
Capital 3.0%.
Leverage ratios
The table below summarises the minimum ratios of capital to
leverage exposure under the binding PRA UK leverage framework
applicable for NatWest Group.
|
Type
|
CET1
|
Total Tier 1
|
|
Minimum ratio
|
2.44%
|
3.25%
|
|
Countercyclical leverage ratio buffer (1)
|
0.6%
|
0.6%
|
|
Total
|
3.04%
|
3.85%
|
(1) The countercyclical
leverage ratio buffer is set at 35% of NatWest Group's
CCyB.
Risk and capital management continued
Capital, liquidity and funding risk continued
Capital and leverage ratios
The table below sets out the key capital and leverage ratios.
NatWest Group is subject to the requirements set out in the UK CRR
therefore the capital and leverage ratios are presented under these
frameworks on a transitional basis.
|
|
30 June
|
31 December
|
|
|
2024
|
2023
|
|
Capital adequacy ratios (1)
|
%
|
%
|
|
CET1
|
13.6
|
13.4
|
|
Tier 1
|
16.2
|
15.5
|
|
Total
|
19.5
|
18.4
|
|
|
|
|
|
Capital
|
£m
|
£m
|
|
Tangible equity
|
25,241
|
25,653
|
|
|
|
|
|
Expected loss less impairment
|
(34)
|
-
|
|
Prudential valuation adjustment
|
(233)
|
(279)
|
|
Deferred tax assets
|
(822)
|
(979)
|
|
Own credit adjustments
|
19
|
(10)
|
|
Pension fund assets
|
(161)
|
(143)
|
|
Cash flow hedging reserve
|
1,812
|
1,899
|
|
Foreseeable ordinary dividends
|
(839)
|
(1,013)
|
|
Adjustment for trust assets (2)
|
(365)
|
(365)
|
|
Foreseeable charges
|
(50)
|
(525)
|
|
Adjustments under IFRS 9 transitional arrangements
|
39
|
202
|
|
Total regulatory adjustments
|
(634)
|
(1,213)
|
|
|
|
|
|
CET1 capital
|
24,607
|
24,440
|
|
|
|
|
|
Additional AT1 capital
|
4,670
|
3,875
|
|
Tier 1 capital
|
29,277
|
28,315
|
|
|
|
|
|
End-point Tier 2 capital
|
5,924
|
5,317
|
|
Tier 2 capital
|
5,924
|
5,317
|
|
Total regulatory capital
|
35,201
|
33,632
|
|
|
|
|
|
Risk-weighted assets
|
|
|
|
Credit risk
|
144,852
|
147,598
|
|
Counterparty credit risk
|
7,139
|
7,830
|
|
Market risk
|
6,956
|
7,363
|
|
Operational risk
|
21,821
|
20,198
|
|
Total RWAs
|
180,768
|
182,989
|
(1)
Based
on current PRA rules, includes the transitional arrangements for
the capital impact of IFRS 9 expected credit loss (ECL) accounting.
The impact of the IFRS 9 transitional adjustments at 30 June 2024
was £39 million for CET1 capital, £39 million for total
capital and £1 million RWAs (31 December 2023 - £0.2
billion CET1 capital, £54 million total capital and £17
million RWAs). Excluding this adjustment, the CET1 ratio would be
13.6% (31 December 2023 - 13.2%). Tier 1 capital ratio would be
16.2% (31 December 2023 - 15.4%) and the Total capital ratio would
be 19.5% (31 December 2023 - 18.4%).
(2)
Prudent
deduction in respect of agreement with the pension
fund.
Risk and capital management continued
Capital, liquidity and funding risk continued
Capital and leverage ratios continued
|
|
30 June
|
31 December
|
|
|
2024
|
2023
|
|
Leverage
|
£m
|
£m
|
|
Cash and balances at central banks
|
115,833
|
104,262
|
|
Trading assets
|
45,974
|
45,551
|
|
Derivatives
|
67,514
|
78,904
|
|
Financial assets
|
437,909
|
439,449
|
|
Other assets
|
22,116
|
23,605
|
|
Assets of disposal groups
|
992
|
902
|
|
Total assets
|
690,338
|
692,673
|
|
Derivatives
|
|
|
|
- netting and variation margin
|
(66,846)
|
(79,299)
|
|
- potential future exposures
|
16,829
|
17,212
|
|
Securities financing transactions gross up
|
1,645
|
1,868
|
|
Other off balance sheet items
|
55,003
|
50,961
|
|
Regulatory deductions and other adjustments
|
(15,782)
|
(16,043)
|
|
Claims on central banks
|
(112,377)
|
(100,735)
|
|
Exclusion of bounce back loans
|
(3,084)
|
(3,794)
|
|
UK leverage exposure
|
565,726
|
562,843
|
|
UK leverage ratio (%) (1)
|
5.2
|
5.0
|
(1) The UK leverage exposure
and transitional Tier 1 capital are calculated in accordance with
current PRA rules. Excluding the IFRS 9 transitional adjustment,
the UK leverage ratio would be 5.2% (31 December 2023 -
5.0%).
Risk and capital management continued
Capital, liquidity and funding risk continued
Capital flow statement
The table below analyses the movement in CET1, AT1 and Tier 2
capital for the half year ended 30 June 2024. It is presented on a
transitional basis based on current PRA rules.
|
|
CET1
|
AT1
|
Tier 2
|
Total
|
|
|
£m
|
£m
|
£m
|
£m
|
|
At 31 December 2023
|
24,440
|
3,875
|
5,317
|
33,632
|
|
Attributable profit for the period
|
2,099
|
-
|
-
|
2,099
|
|
Directed buyback
|
(1,241)
|
-
|
-
|
(1,241)
|
|
Foreseeable ordinary dividends
|
(839)
|
-
|
-
|
(839)
|
|
Foreign exchange reserve
|
(53)
|
-
|
-
|
(53)
|
|
FVOCI reserve
|
6
|
-
|
-
|
6
|
|
Own credit
|
29
|
-
|
-
|
29
|
|
Share capital and reserve movements in respect of employee share
schemes
|
143
|
-
|
-
|
143
|
|
Goodwill and intangibles deduction
|
24
|
-
|
-
|
24
|
|
Deferred tax assets
|
157
|
-
|
-
|
157
|
|
Prudential valuation adjustments
|
46
|
-
|
-
|
46
|
|
New issues of capital instruments
|
-
|
795
|
788
|
1,583
|
|
Redemption of capital instruments
|
-
|
-
|
(34)
|
(34)
|
|
Foreign exchange movements
|
-
|
-
|
(19)
|
(19)
|
|
Adjustment under IFRS 9 transitional arrangements
|
(163)
|
|
|
(163)
|
|
Expected loss less impairment
|
(34)
|
|
|
(34)
|
|
Other movements
|
(7)
|
-
|
(128)
|
(135)
|
|
At 30 June 2024
|
24,607
|
4,670
|
5,924
|
35,201
|
-
For
CET1 movements refer to the key points on page 60.
-
AT1
movements reflects the £0.8 billion in relation to $1.0
billion 8.125% Reset Perpetual Subordinated Contingent Convertible
Notes issued in May 2024.
-
Tier
2 instrument movements include £0.8 billion in relation to
$1.0 billion 6.475% Fixed to Fixed Reset Tier 2 Notes 2034 issued
in March 2024, partially offset by the £0.1 billion redemption
of 5.125% Subordinated Tier 2 Notes 2024 in May 2024 and foreign
exchange movements.
-
Within
Tier 2, there was also a decrease in the Tier 2 surplus
provisions.
Risk and capital management continued
Capital, liquidity and funding risk
Capital resources (reviewed)
NatWest Group's regulatory capital is assessed against minimum
requirements that are set out under the UK CRR to determine the
strength of its capital base. This note shows a reconciliation of
shareholders' equity to regulatory capital.
|
|
30 June
|
31 December
|
|
|
2024
|
2023
|
|
|
£m
|
£m
|
|
Shareholders' equity (excluding non-controlling
interests)
|
|
|
|
Shareholders' equity
|
37,521
|
37,157
|
|
Other equity instruments
|
(4,690)
|
(3,890)
|
|
|
32,831
|
33,267
|
|
Regulatory adjustments and deductions
|
|
|
|
Own credit
|
19
|
(10)
|
|
Defined benefit pension fund adjustment
|
(161)
|
(143)
|
|
Cash flow hedging reserve
|
1,812
|
1,899
|
|
Deferred tax assets
|
(822)
|
(979)
|
|
Prudential valuation adjustments
|
(233)
|
(279)
|
|
Goodwill and other intangible assets
|
(7,590)
|
(7,614)
|
|
Foreseeable ordinary dividends
|
(839)
|
(1,013)
|
|
Adjustment for trust assets (1)
|
(365)
|
(365)
|
|
Foreseeable charges
|
(50)
|
(525)
|
|
Adjustment under IFRS 9 transitional
arrangements
|
39
|
202
|
|
Expected loss less impairment
|
(34)
|
-
|
|
|
(8,224)
|
(8,827)
|
|
CET1 capital
|
24,607
|
24,440
|
|
Additional Tier 1 (AT1) capital
|
|
|
|
Qualifying instruments and related share premium
|
4,670
|
3,875
|
|
AT1 capital
|
4,670
|
3,875
|
|
Tier 1 capital
|
29,277
|
28,315
|
|
Qualifying Tier 2 capital
|
|
|
|
Qualifying instruments and related share premium
|
5,924
|
5,189
|
|
Other regulatory adjustments
|
-
|
128
|
|
Tier 2 capital
|
5,924
|
5,317
|
|
Total regulatory capital
|
35,201
|
33,632
|
(1) Prudent deduction in
respect of agreement with the pension fund to establish legal
structure to remove dividend linked contribution.
Risk and capital management continued
Capital, liquidity and funding risk continued
Minimum requirements of own funds and eligible liabilities
(MREL)
The following table illustrates the components of estimated MREL in
NatWest Group and operating subsidiaries and includes external
issuances only.
|
|
30 June 2024
|
|
31 December 2023
|
|
|
|
Balance
|
Regulatory
|
MREL
|
|
|
Balance
|
Regulatory
|
MREL
|
|
|
Par value (1)
|
sheet value
|
value
|
value (2)
|
|
Par value
|
sheet value
|
value
|
value
|
|
|
£bn
|
£bn
|
£bn
|
£bn
|
|
£bn
|
£bn
|
£bn
|
£bn
|
|
CET1 capital (3)
|
24.6
|
24.6
|
24.6
|
24.6
|
|
24.4
|
24.4
|
24.4
|
24.4
|
|
Tier 1 capital: end-point CRR compliant AT1
|
|
|
|
|
|
|
|
|
|
|
of which: NatWest Group plc (holdco)
|
4.7
|
4.7
|
4.7
|
4.7
|
|
3.9
|
3.9
|
3.9
|
3.9
|
|
of which: NatWest Group plc
operating subsidiaries (opcos)
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
|
4.7
|
4.7
|
4.7
|
4.7
|
|
3.9
|
3.9
|
3.9
|
3.9
|
|
Tier 1 capital: end-point CRR non-compliant
|
|
|
|
|
|
|
|
|
|
|
of which: holdco
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
of which: opcos
|
0.1
|
0.1
|
-
|
-
|
|
0.1
|
0.1
|
-
|
-
|
|
|
0.1
|
0.1
|
-
|
-
|
|
0.1
|
0.1
|
-
|
-
|
|
Tier 2 capital: end-point CRR compliant
|
|
|
|
|
|
|
|
|
|
|
of which: holdco
|
5.9
|
5.6
|
5.9
|
5.9
|
|
5.6
|
5.3
|
5.2
|
5.2
|
|
of which: opcos
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
|
5.9
|
5.6
|
5.9
|
5.9
|
|
5.6
|
5.3
|
5.2
|
5.2
|
|
Tier 2 capital: end-point CRR non-compliant
|
|
|
|
|
|
|
|
|
|
|
of which: holdco
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
of which: opcos
|
0.2
|
0.3
|
-
|
-
|
|
0.2
|
0.3
|
-
|
-
|
|
|
0.2
|
0.3
|
-
|
-
|
|
0.2
|
0.3
|
-
|
-
|
|
Senior unsecured debt securities
|
|
|
|
|
|
|
|
|
|
|
of which: holdco
|
22.1
|
21.4
|
-
|
22.1
|
|
22.2
|
21.7
|
-
|
22.2
|
|
of which: opcos (4)
|
34.0
|
33.5
|
-
|
-
|
|
33.4
|
29.9
|
-
|
-
|
|
|
56.1
|
54.9
|
-
|
22.1
|
|
55.6
|
51.6
|
-
|
22.2
|
|
Tier 2 capital
|
|
|
|
|
|
|
|
|
|
|
Other regulatory adjustments
|
-
|
-
|
-
|
-
|
|
-
|
-
|
0.1
|
0.1
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
91.6
|
90.2
|
35.2
|
57.3
|
|
89.8
|
85.6
|
33.6
|
55.8
|
|
RWAs
|
|
|
|
180.8
|
|
|
|
|
183.0
|
|
UK leverage exposure
|
|
|
|
565.7
|
|
|
|
|
562.8
|
|
MREL as a ratio of RWAs
|
|
|
|
31.7%
|
|
|
|
|
30.5%
|
|
MREL as a ratio of UK leverage exposure
|
|
|
|
10.1%
|
|
|
|
|
9.9%
|
|
(1)
|
Par value reflects the nominal value of securities
issued.
|
|
(2)
|
MREL value reflects NatWest Group's interpretation of the Bank of
England's approach to setting a MREL, published in December 2021
(Updating June 2018). Liabilities excluded from MREL include
instruments with less than one year remaining to maturity,
structured debt, operating company senior debt, and other
instruments that do not meet the MREL criteria. The MREL
calculation includes Tier 1 and Tier 2 securities before the
application of any regulatory caps or adjustments.
|
|
(3)
|
Shareholders' equity was £37.5 billion (2023 - £37.2
billion).
|
|
(4)
|
As per 2023, Intra group issuances were reported in "Par value" but
on further clarification from Bank of England, it has been excluded
from reporting in 2024.
|
Risk and capital management continued
Capital, liquidity and funding risk continued
Minimum requirements of own funds and eligible liabilities
(MREL)
The following table illustrates the components of the stock of
outstanding issuance in NatWest Group plc and its operating
subsidiaries including external and internal
issuances.
|
|
|
|
NatWest
|
|
|
|
NatWest
|
NWM
|
RBS
|
|
|
|
NatWest
|
Holdings
|
NWB
|
RBS
|
NWM
|
Markets
|
Securities
|
International
|
|
|
|
Group plc
|
Limited
|
Plc
|
plc
|
Plc
|
N.V.
|
Inc.
|
Limited
|
|
|
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
|
Additional Tier 1
|
Externally issued
|
4.7
|
-
|
0.1
|
-
|
-
|
-
|
-
|
-
|
|
Additional Tier 1
|
Internally issued
|
-
|
3.9
|
3.3
|
0.5
|
0.9
|
0.2
|
-
|
0.3
|
|
|
|
4.7
|
3.9
|
3.4
|
0.5
|
0.9
|
0.2
|
-
|
0.3
|
|
Tier 2
|
Externally issued
|
5.6
|
-
|
-
|
-
|
0.0
|
0.2
|
-
|
-
|
|
Tier 2
|
Internally issued
|
0.0
|
5.2
|
3.6
|
0.9
|
1.1
|
0.1
|
0.3
|
-
|
|
|
|
5.6
|
5.2
|
3.6
|
0.9
|
1.1
|
0.3
|
0.3
|
-
|
|
Senior unsecured
|
Externally issued
|
21.4
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
|
Senior unsecured
|
Internally issued
|
-
|
11.0
|
6.5
|
1.1
|
3.5
|
-
|
-
|
0.3
|
|
|
|
21.4
|
11.0
|
6.5
|
1.1
|
3.5
|
-
|
-
|
0.3
|
|
Total outstanding issuance
|
31.7
|
20.1
|
13.5
|
2.5
|
5.5
|
0.5
|
0.3
|
0.6
|
(1)
For
AT1 and Tier 2, the balances are the IFRS balance sheet carrying
amounts, which may differ from the amount which the instrument
contributes to regulatory capital. Regulatory balances exclude, for
example, issuance costs and fair value movements, while dated
capital is required to be amortised on a straight-line basis over
the final five years of maturity.
(2)
Balance
sheet amounts reported for AT1 and Tier 2 instruments are before
grandfathering restrictions imposed by CRR.
(3)
Internal
issuance for NWB Plc and RBS plc represents AT1, Tier 2 or Senior
unsecured issuance to NWH Ltd and for NWM N.V. and NWM SI to NWM
Plc.
(4)
The
balances are the IFRS balance sheet carrying amounts for Senior
unsecured debt category and it does not include CP, CD and short
term/medium notes issued from NatWest Group operating
subsidiaries.
(5)
The
above table does not include CET 1 numbers.
(6)
NWM
Securities Inc is regulated under US broker dealer
rules.
(7)
RBSI
Ltd - MREL resolution rules are under development in
Jersey.
Risk and capital management continued
Capital, liquidity and funding risk continued
Risk-weighted assets
The table below analyses the movement in RWAs during the half year,
by key drivers.
|
|
|
Counterparty
|
|
Operational
|
|
|
|
Credit risk
|
credit risk
|
Market risk
|
risk
|
Total
|
|
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
|
At 31 December 2023
|
147.6
|
7.8
|
7.4
|
20.2
|
183.0
|
|
Foreign exchange movement
|
(0.2)
|
-
|
-
|
-
|
(0.2)
|
|
Business movement
|
(2.2)
|
(0.6)
|
(0.4)
|
1.6
|
(1.6)
|
|
Risk parameter changes
|
(0.1)
|
(0.1)
|
-
|
-
|
(0.2)
|
|
Model updates
|
(0.2)
|
-
|
-
|
-
|
(0.2)
|
|
Other changes
|
-
|
-
|
-
|
-
|
-
|
|
At 30 June 2024
|
144.9
|
7.1
|
7.0
|
21.8
|
180.8
|
The table below analyses segmental RWAs.
|
|
|
|
|
|
Total
|
|
|
Retail
|
Private
|
Commercial &
|
Central items
|
NatWest
|
|
|
Banking
|
Banking
|
Institutional
|
& other (1)
|
Group
|
|
Total RWAs
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
|
At 31 December 2023
|
61.6
|
11.2
|
107.4
|
2.8
|
183.0
|
|
Foreign exchange movement
|
-
|
-
|
(0.2)
|
-
|
(0.2)
|
|
Business movement
|
0.7
|
(0.2)
|
(1.9)
|
(0.2)
|
(1.6)
|
|
Risk parameter changes
|
0.2
|
-
|
(0.4)
|
-
|
(0.2)
|
|
Model updates
|
(0.2)
|
-
|
-
|
-
|
(0.2)
|
|
At 30 June 2024
|
62.3
|
11.0
|
104.9
|
2.6
|
180.8
|
|
|
-
|
-
|
-
|
-
|
-
|
|
Credit risk
|
53.9
|
9.5
|
79.4
|
2.1
|
144.9
|
|
Counterparty credit risk
|
0.2
|
-
|
6.9
|
-
|
7.1
|
|
Market risk
|
0.1
|
-
|
6.9
|
-
|
7.0
|
|
Operational risk
|
8.1
|
1.5
|
11.7
|
0.5
|
21.8
|
|
Total RWAs
|
62.3
|
11.0
|
104.9
|
2.6
|
180.8
|
|
|
|
|
|
|
|
(1) £0.9 billion of Central items
& other relates to Ulster Bank RoI.
Total RWAs decreased by £2.2 billion to £180.8 billion
during the period mainly reflecting:
●
A
decrease in Business movements totalling £1.6 billion,
primarily driven by active RWA management of £4.3 billion
partially offset by increased RWAs following annual recalculation
of operational risk as a result of higher income when compared to
2020 and an increase in drawdowns and new facilities within
Commercial & Institutional.
●
A
decrease in Risk parameters of £0.2 billion, primarily driven
by customers moving into default within Commercial &
Institutional.
●
A
decrease in model updates of £0.2 billion, driven by IRB
Temporary Model Adjustment related to mortgages within Retail
Banking.
Risk and capital management continued
Capital, liquidity and funding risk continued
Funding sources (reviewed)
The table below shows the carrying values of the principal funding
sources based on contractual maturity. Balance sheet captions
include balances held at all classifications under IFRS
9.
|
|
30 June 2024
|
|
31 December 2023
|
|
|
Short-term
|
Long-term
|
|
|
Short-term
|
Long-term
|
|
|
|
less than
|
more than
|
|
|
less than
|
more than
|
|
|
|
1 year
|
1 year
|
Total
|
|
1 year
|
1 year
|
Total
|
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
Bank deposits
|
|
|
|
|
|
|
|
|
Repos
|
5,897
|
-
|
5,897
|
|
3,118
|
-
|
3,118
|
|
Other bank deposits (1)
|
5,965
|
13,764
|
19,729
|
|
5,836
|
13,236
|
19,072
|
|
|
11,862
|
13,764
|
25,626
|
|
8,954
|
13,236
|
22,190
|
|
Customer deposits
|
|
|
|
|
|
|
|
|
Repos
|
6,846
|
-
|
6,846
|
|
10,844
|
-
|
10,844
|
|
Non-bank financial institutions
|
48,784
|
34
|
48,818
|
|
46,875
|
13
|
46,888
|
|
Personal
|
221,498
|
6,255
|
227,753
|
|
216,456
|
6,436
|
222,892
|
|
Corporate
|
149,448
|
110
|
149,558
|
|
150,718
|
35
|
150,753
|
|
|
426,576
|
6,399
|
432,975
|
|
424,893
|
6,484
|
431,377
|
|
Trading liabilities (2)
|
|
|
|
|
|
|
|
|
Repos (3)
|
29,021
|
300
|
29,321
|
|
26,634
|
268
|
26,902
|
|
Derivative collateral
|
14,030
|
-
|
14,030
|
|
15,075
|
-
|
15,075
|
|
Other bank customer deposits
|
478
|
322
|
800
|
|
768
|
382
|
1,150
|
|
Debt securities in issue - Medium term
notes
|
80
|
227
|
307
|
|
418
|
288
|
706
|
|
|
43,609
|
849
|
44,458
|
|
42,895
|
938
|
43,833
|
|
Other financial liabilities
|
|
|
|
|
|
|
|
|
Customer deposits
|
461
|
1,188
|
1,649
|
|
194
|
1,086
|
1,280
|
|
Debt securities in issue:
|
-
|
-
|
-
|
|
|
|
|
|
Commercial paper and
certificates of deposit
|
12,023
|
362
|
12,385
|
|
11,116
|
205
|
11,321
|
|
Medium term notes
|
6,811
|
35,459
|
42,270
|
|
6,878
|
32,625
|
39,503
|
|
Covered bonds
|
-
|
749
|
749
|
|
2,122
|
-
|
2,122
|
|
Securitisation (5)
|
-
|
1,222
|
1,222
|
|
-
|
863
|
863
|
|
|
19,295
|
38,980
|
58,275
|
|
20,310
|
34,779
|
55,089
|
|
Subordinated liabilities
|
1,593
|
4,439
|
6,032
|
|
1,047
|
4,667
|
5,714
|
|
Total funding
|
502,935
|
64,431
|
567,366
|
|
498,099
|
60,104
|
558,203
|
|
Of which: available in
resolution (4)
|
|
|
27,061
|
|
|
|
26,561
|
(1)
Includes
£12.0 billion (31 December 2023 - £12.0 billion) relating
to Term Funding Scheme with additional incentives for Small and
Medium-sized Enterprises participation.
(2)
Excludes
short positions of £9.7 billion (31 December 2023 - £9.8
billion).
(3)
Comprises
central & other bank repos of £6.4 billion (31 December
2023 - £4.0 billion), other financial institution repos of
£20.0 billion (31 December 2023 - £20.4 billion) and
other corporate repos of £2.9 billion (31 December 2023 -
£2.5 billion).
(4)
Eligible
liabilities (as defined in the Banking Act 2009 as amended from
time to time) that meet the eligibility criteria set out in the
regulations, rules, policies, guidelines, or statements of the Bank
of England including the Statement of Policy published by the Bank
of England in December 2021 (updating June 2018). The balance
consists of £21.4 billion (31 December 2023 - £21.7
billion) under debt securities in issue (senior MREL) and £5.6
billion (31 December 2023 - £4.9 billion) under subordinated
liabilities.
(5)
NatWest
Group transfers credit risk on originated loans and mortgages
without the transfer of assets to a structured entity, whereby it
enters credit derivative and financial guarantee contracts with
consolidated structured entities and they in turn issue debt
securities to investors. This funding is legally ringfenced in the
structured entity and is restricted to specifically cover investor
credit protection claim payments in respect of the associated loans
and mortgages.
Risk and capital management continued
Capital, liquidity and funding risk continued
Liquidity portfolio (reviewed)
The table below shows the composition of the liquidity portfolio
with primary liquidity aligned to high-quality liquid assets on a
regulatory LCR basis. Secondary liquidity comprises of assets which
are eligible as collateral for local central bank liquidity
facilities and do not form part of the LCR eligible high-quality
liquid assets.
|
|
Liquidity value
|
|
|
30 June 2024
|
|
31 December 2023
|
|
|
NatWest
|
NWH
|
UK DoL
|
|
NatWest
|
NWH
|
UK DoL
|
|
|
Group (1)
|
Group (2)
|
Sub
|
|
Group (1)
|
Group (2)
|
Sub
|
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
Cash and balances at central banks
|
111,763
|
73,408
|
72,895
|
|
99,855
|
68,495
|
67,954
|
|
High quality government/MDB/PSE and GSE bonds (4)
|
35,616
|
26,253
|
26,253
|
|
36,250
|
26,510
|
26,510
|
|
Extremely high quality covered bonds
|
3,892
|
3,892
|
3,892
|
|
4,164
|
4,164
|
4,164
|
|
LCR level 1 assets
|
151,271
|
103,553
|
103,040
|
|
140,269
|
99,169
|
98,628
|
|
LCR level 2 Eligible Assets (5)
|
9,124
|
7,897
|
7,897
|
|
7,796
|
7,320
|
7,320
|
|
Primary liquidity (HQLA) (6)
|
160,395
|
111,450
|
110,937
|
|
148,065
|
106,489
|
105,948
|
|
Secondary liquidity
|
66,589
|
66,559
|
66,559
|
|
74,722
|
74,683
|
74,683
|
|
Total liquidity value
|
226,984
|
178,009
|
177,496
|
|
222,787
|
181,172
|
180,631
|
(1)
NatWest
Group includes the UK Domestic Liquidity Sub-Group (UK DoLSub),
NatWest Markets Plc and other significant operating subsidiaries
that hold liquidity portfolios. These include The RBSI Ltd and NWM
N.V. who hold managed portfolios that comply with local regulations
that may differ from PRA rules.
(2)
NWH
Group comprises UK DoLSub and NatWest Bank Europe GmbH who hold
managed portfolios that comply with local regulations that may
differ from PRA rules.
(3)
NatWest
Markets Plc liquidity portfolio is reported in the NatWest Markets
Plc 2023 Annual Report and Accounts.
(4)
Multilateral
development bank abbreviated to MDB, public sector entities
abbreviated to PSE and government sponsored entities abbreviated to
GSE.
(5)
Includes
Level 2A and Level 2B.
(6)
High-quality
liquid assets abbreviated to HQLA.
Risk and capital management continued
Non-traded market risk
Non-traded market risk is the risk to the value of assets or
liabilities outside the trading book, or the risk to income, that
arises from changes in market prices such as interest rates,
foreign exchange rates and equity prices, or from changes in
managed rates.
Key developments
-
In
the UK, the base rate remained unchanged at 5.25% between 31
December 2023 and 30 June 2024.
-
At
30 June 2024, longer-term interest rates continued to anticipate
future reductions in the UK base rate, but by less than expected at
31 December 2023. As a result, the five-year sterling swap rate
increased to 3.99% at the end of June 2024 from 3.38% at the end of
December 2023. The ten-year sterling swap rate also increased, to
3.88% from 3.29%.
-
The
structural hedge notional decreased by £10 billion to
£197 billion from £207 billion, partly reflecting recent
changes in the deposit mix with higher volumes of term deposits and
lower volumes of sight deposits.
-
The
one-year positive sensitivity of net interest earnings to an upward
25-basis-point parallel shift in all yield curves reduced slightly,
to £135 million at 30 June 2024 from £164 million at 31
December 2023, partly reflecting changes to customer pass-through
assumptions. The adverse sensitivity to a downward
25-basis-point parallel shift was broadly stable at £167
million at 30 June 2024 compared to £169 million at 31
December 2023.
-
Sterling
was broadly stable against both the US dollar and the euro over the
period. Against the dollar, sterling was 1.26 at 30 June 2024
compared to 1.27 at 31 December 2023. Against the euro, it was 1.18
at 30 June 2024 compared to 1.15 at 31 December 2023. Structural
foreign currency exposures (excluding additional tier 1 economic
hedges) were stable, in sterling-equivalent nominal terms, at
£3,375 million at 30 June 2024 compared to £3,381 million
at 31 December 2023.
Non-traded internal VaR (1-day 99%) (reviewed)
The following table shows one-day internal banking book
Value-at-Risk (VaR) at a 99% confidence level, split by risk
type.
|
|
Half year ended
|
|
|
30 June 2024
|
|
30 June 2023
|
|
31 December 2023
|
|
|
|
|
|
Period
|
|
|
|
|
Period
|
|
|
|
|
Period
|
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
Interest rate
|
24.1
|
28.2
|
17.6
|
17.6
|
|
40.5
|
63.2
|
30.1
|
63.2
|
|
38.0
|
63.2
|
24.6
|
24.6
|
|
Credit spread
|
55.6
|
60.2
|
50.7
|
50.7
|
|
23.6
|
29.7
|
20.9
|
29.7
|
|
33.1
|
54.2
|
20.9
|
54.2
|
|
Structural foreign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange rate
|
9.2
|
12.3
|
7.1
|
12.3
|
|
11.3
|
13.6
|
8.4
|
12.3
|
|
11.2
|
13.6
|
8.4
|
12.1
|
|
Equity
|
9.3
|
10.3
|
8.2
|
8.2
|
|
16.7
|
19.0
|
13.0
|
13.0
|
|
14.2
|
19.0
|
10.4
|
10.4
|
|
Pipeline risk (1)
|
5.9
|
12.7
|
3.4
|
12.7
|
|
3.1
|
4.4
|
1.4
|
3.4
|
|
3.3
|
7.1
|
1.4
|
7.1
|
|
Diversification (2)
|
(41.1)
|
|
|
(39.7)
|
|
(35.3)
|
|
|
(38.1)
|
|
(34.4)
|
|
|
(29.9)
|
|
Total
|
63.0
|
73.8
|
52.9
|
61.8
|
|
59.9
|
83.5
|
52.1
|
83.5
|
|
65.4
|
83.4
|
52.1
|
78.5
|
(1)
Pipeline
risk is the risk of loss arising from Personal customers owning an
option to draw down a loan - typically a mortgage - at a committed
rate, where interest rate changes may result in greater or fewer
customers than anticipated taking up the committed
offer.
(2)
NatWest
Group benefits from diversification across various financial
instrument types, currencies and markets. The extent of the
diversification benefit depends on the correlation between the
assets and risk factors in the portfolio at a particular time. The
diversification factor is the sum of the VaR on individual risk
types less the total portfolio VaR.
●
On
an average basis, total non-traded VaR for H1 2024 was broadly
similar to H1 2023 and H2 2023.
●
Interest
rate VaR fell at the end of H1 2024, reflecting action taken to
manage down interest rate repricing mismatches across customer
products.
●
After
increasing significantly during H2 2023, credit spread VaR reduced
towards the end of H1 2024. This was mainly driven by earlier loss
events falling out of the VaR calculation window.
●
Pipeline
VaR increased, partly reflecting hedging modifications related to
recent changes in customer behaviour through the fixed-rate
mortgage application process.
Risk and capital management continued
Non-traded market risk continued
Structural hedging
NatWest Group has a significant pool of stable, non and low
interest-bearing liabilities, principally comprising current
accounts and instant access savings, as well as its equity and
reserves. A proportion of these balances are hedged, either by
investing directly in longer-term fixed-rate assets (such as
fixed-rate mortgages) or by using interest rate swaps, which are
generally booked as cash flow hedges of floating-rate assets, in
order to provide a consistent and predictable revenue
stream.
After hedging the net interest rate exposure, NatWest Group
allocates income to equity or products in structural hedges by
reference to the relevant interest rate swap curve. Over time, this
approach has provided a basis for stable income attribution for
management purposes, to products and interest rate returns. The
programme aims to track a time series of medium-term swap rates,
but the yield will be affected by changes in NatWest Group's equity
capital.
The table below shows hedge income, total yield, incremental income
and the period-end and average notional balances allocated to
equity and products in respect of the structural hedges managed by
NatWest Group. Hedge income represents the fixed leg of the hedge.
Incremental income represents the difference between hedge income
and short-term cash rates. For example, the sterling overnight
index average (SONIA) is used to estimate incremental income from
sterling structural hedges.
|
|
Half year ended
|
|
|
30 June 2024
|
|
30 June 2023
|
|
31 December 2023
|
|
|
|
|
Period
|
|
|
|
|
|
Period
|
|
|
|
|
|
Period
|
|
|
|
|
Incremental
|
Hedge
|
-end
|
Average
|
Total
|
|
Incremental
|
Hedge
|
-end
|
Average
|
Total
|
|
Incremental
|
Hedge
|
-end
|
Average
|
Total
|
|
|
income
|
income
|
notional
|
notional
|
yield
|
|
income
|
income
|
notional
|
notional
|
yield
|
|
income
|
income
|
notional
|
notional
|
yield
|
|
|
£m
|
£m
|
£bn
|
£bn
|
%
|
|
£m
|
£m
|
£bn
|
£bn
|
%
|
|
£m
|
£m
|
£bn
|
£bn
|
%
|
|
Equity
|
(364)
|
218
|
22
|
22
|
1.95
|
|
(246)
|
204
|
23
|
22
|
1.83
|
|
(365)
|
214
|
22
|
23
|
1.91
|
|
Product
|
(3,184)
|
1,392
|
175
|
176
|
1.58
|
|
(2,773)
|
1,362
|
202
|
205
|
1.33
|
|
(3,548)
|
1,460
|
185
|
193
|
1.51
|
|
Total
|
(3,548)
|
1,610
|
197
|
198
|
1.62
|
|
(3,019)
|
1,566
|
225
|
227
|
1.38
|
|
(3,913)
|
1,674
|
207
|
216
|
1.56
|
For commentary, refer to the following page.
Equity structural hedges refer to income allocated primarily to
equity and reserves. At 30 June 2024, the equity structural hedge
notional was allocated between NWH Group and NWM Group in a ratio
of approximately 78/22 respectively.
Product structural hedges refer to income allocated to customer
products, mainly current accounts and customer deposits in
Commercial & Institutional, Retail Banking and Private
Banking.
At 30 June 2024, approximately 94% by notional of total structural
hedges were sterling-denominated.
Risk and capital management continued
Non-traded market risk continued
The following table presents the incremental income associated with
product structural hedges at segment level.
|
|
Half year ended
|
|
|
30 June
|
30 June
|
31 December
|
|
|
2024
|
2023
|
2023
|
|
|
£m
|
£m
|
£m
|
|
Retail Banking
|
(1,354)
|
(1,156)
|
(1,488)
|
|
Commercial & Institutional
|
(1,617)
|
(1,415)
|
(1,798)
|
|
Private Banking & Other
|
(212)
|
(202)
|
(262)
|
|
Total
|
(3,184)
|
(2,773)
|
(3,548)
|
-
The
structural hedge notional fell, mainly reflecting recent changes in
the deposit mix, including migration to term deposits.
-
The
five-year sterling swap rate rose to 3.99% at 30 June 2024 from
3.38% at 31 December 2023. The ten-year sterling swap rate also
rose, to 3.88% from 3.29%. The structural hedge yield also rose to
1.62% in H1 2024 from 1.56% in H2 2023 and from 1.38% in H1
2023.
-
Incremental
income remained negative in H1 2024. Compared to the total yield of
1.62% in H1 2024, the sterling overnight cash rate (i.e. SONIA) in
H1 2024 was 5.19% on average.
Sensitivity of net interest earnings
Net interest earnings are sensitive to changes in the level of
interest rates, mainly because maturing structural hedges are
replaced at higher or lower rates and changes to coupons on managed
rate customer products do not always match changes in market rates
of interest or central bank policy rates.
Earnings sensitivity is derived from a market-implied forward rate
curve, which will incorporate expected changes in central bank
policy rates such as the Bank of England base rate. A simple
scenario is shown that projects forward earnings based on the 30
June 2024 balance sheet, which is assumed to remain constant. An
earnings projection is derived from the market-implied curve, which
is then subject to interest rate shocks. The difference between the
market-implied projection and the shock gives an indication of
underlying sensitivity to interest rate movements.
Reported sensitivities should not be considered a forecast of
future performance in these rate scenarios. Actions that could
reduce interest earnings sensitivity include changes in pricing
strategies on customer loans and deposits as well as hedging.
Management action may also be taken to stabilise total income also
taking into account non-interest income.
Risk and capital management continued
Non-traded market risk continued
The table below shows the sensitivity of net interest earnings -
for both structural hedges and managed rate accounts - on a one,
two and three-year forward-looking basis to an upward or downward
interest rate shift of 25 basis points.
|
|
+25 basis points upward shift
|
|
-25 basis points downward shift
|
|
|
Year 1
|
Year 2
|
Year 3
|
|
Year 1
|
Year 2
|
Year 3
|
|
30 June 2024
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
Structural hedges
|
42
|
129
|
216
|
|
(42)
|
(129)
|
(216)
|
|
Managed margin
|
93
|
97
|
110
|
|
(125)
|
(107)
|
(110)
|
|
Total
|
135
|
226
|
326
|
|
(167)
|
(236)
|
(326)
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
Structural hedges
|
44
|
138
|
227
|
|
(44)
|
(138)
|
(227)
|
|
Managed margin
|
120
|
117
|
114
|
|
(125)
|
(121)
|
(105)
|
|
Total
|
164
|
255
|
341
|
|
(169)
|
(259)
|
(332)
|
|
(1)
|
Earnings sensitivity considers only the main drivers, namely
structural hedging and margin management.
|
The following table presents the one-year sensitivity to upward and
downward 25-basis-point and 100-basis-point shifts in the yield
curve, analysed by currency.
|
|
Shifts in yield curve
|
|
|
30 June 2024
|
|
31 December 2023
|
|
|
+25 basis
|
-25 basis
|
+100 basis
|
-100 basis
|
|
+25 basis
|
-25 basis
|
+100 basis
|
-100 basis
|
|
|
points
|
points
|
points
|
points
|
|
points
|
points
|
points
|
points
|
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
Euro
|
1
|
(5)
|
5
|
(16)
|
|
7
|
(11)
|
38
|
(45)
|
|
Sterling
|
121
|
(149)
|
487
|
(614)
|
|
138
|
(139)
|
504
|
(577)
|
|
US dollar
|
10
|
(9)
|
46
|
(47)
|
|
14
|
(14)
|
54
|
(56)
|
|
Other
|
3
|
(4)
|
13
|
(15)
|
|
5
|
(5)
|
21
|
(22)
|
|
Total
|
135
|
(167)
|
551
|
(692)
|
|
164
|
(169)
|
617
|
(700)
|
●
Changes
in pass-through assumptions for managed-rate savings products
contributed to the reduced sensitivity.
Risk and capital management continued
Non-traded market risk continued
Foreign exchange risk (reviewed)
The table below shows structural foreign currency
exposures.
|
|
|
|
Structural foreign
|
|
Residual
|
|
|
Net investments in
|
Net investment
|
currency exposures
|
Economic
|
structural foreign
|
|
|
foreign operations
|
in hedges
|
pre-economic hedges
|
hedges (1)
|
currency exposures
|
|
30 June 2024
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
US dollar
|
1,201
|
-
|
1,201
|
(1,201)
|
-
|
|
Euro
|
4,345
|
(2,649)
|
1,696
|
-
|
1,696
|
|
Other non-sterling
|
864
|
(386)
|
478
|
-
|
478
|
|
Total
|
6,410
|
(3,035)
|
3,375
|
(1,201)
|
2,174
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
US dollar
|
1,185
|
(228)
|
957
|
(957)
|
-
|
|
Euro
|
4,475
|
(2,585)
|
1,890
|
-
|
1,890
|
|
Other non-sterling
|
963
|
(429)
|
534
|
-
|
534
|
|
Total
|
6,623
|
(3,242)
|
3,381
|
(957)
|
2,424
|
(1)
Economic hedges
of US dollar net investments in foreign operations represent US
dollar equity securities that do not qualify as net investment
hedges for accounting purposes. They provide an offset to
structural foreign exchange exposures to the extent that there are
net assets in overseas operations available.
●
Changes
in foreign currency exchange rates affect equity in proportion to
structural foreign currency exposure. For example, a 5%
strengthening or weakening in foreign currencies against sterling
would result in a gain or loss of £159 million in equity,
respectively.
Risk and capital management continued
Traded market risk
Traded market risk is the risk arising from changes in fair value
on positions, assets, liabilities or commitments in trading
portfolios as a result of fluctuations in market
prices.
Traded VaR (1-day 99%) (reviewed)
The table below shows one-day internal value-at-risk (VaR) for
NatWest Group's trading portfolios, split by exposure
type.
|
|
Half year ended
|
|
|
30 June 2024
|
|
30 June 2023
|
|
31 December 2023
|
|
|
|
|
|
Period
|
|
|
|
|
Period
|
|
|
|
|
Period
|
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
Interest rate
|
6.7
|
12.0
|
3.6
|
6.6
|
|
9.0
|
19.3
|
4.3
|
16.5
|
|
10.5
|
17.3
|
4.4
|
7.4
|
|
Credit spread
|
8.1
|
10.1
|
6.7
|
7.6
|
|
5.9
|
6.9
|
4.9
|
6.1
|
|
6.4
|
7.1
|
5.3
|
6.8
|
|
Currency
|
2.1
|
6.7
|
0.8
|
1.9
|
|
2.1
|
4.9
|
1.0
|
1.5
|
|
2.4
|
7.0
|
0.9
|
1.8
|
|
Equity
|
0.1
|
0.1
|
0.1
|
0.1
|
|
-
|
0.1
|
-
|
-
|
|
-
|
0.1
|
-
|
0.1
|
|
Diversification (1)
|
(6.8)
|
|
|
(5.5)
|
|
(6.8)
|
|
|
(6.3)
|
|
(6.9)
|
|
|
(7.2)
|
|
Total
|
10.2
|
16.2
|
7.0
|
10.7
|
|
10.2
|
17.8
|
6.6
|
17.8
|
|
12.4
|
20.0
|
8.4
|
8.9
|
(1)
NatWest
Group benefits from diversification across various financial
instrument types, currencies and markets. The extent of the
diversification benefit depends on the correlation between the
assets and risk factors in the portfolio at a particular time. The
diversification factor is the sum of the VaR on individual risk
types less the total portfolio VaR.
-
The
decrease in average interest rate VaR and total VaR, compared to
2023, reflected a decrease in yield curve risk in sterling and euro
flow trading.
-
The
increase in average credit spread VaR mainly reflected a net longer
credit profile over the period.
Pension risk
On 31 May 2024, the Trustee of the Group Pension Fund entered into
a buy-in transaction with a third-party insurer for some of the
liabilities of the Main section. This is an insurance policy that
gives the Fund protection against demographic and investment risks,
so improves the security of member benefits. The transaction has
not affected the 2024 statement of comprehensive income because the
net pension asset is limited to zero due to the impact of the asset
ceiling.
Compliance and conduct risk
A ring-fencing attestation was completed and submitted to the PRA
on 29 March 2024. The annual Board Consumer Duty assessment
concluded that NatWest Group is meeting its obligations. Following
the second phase of Consumer Duty rules coming into force on 31
July 2024, planning is centred around embedding and enhancing
ongoing work, including reporting on good customer outcomes, and
Group-wide communications.
NatWest Markets has a programme in place to review, remediate and
enhance certain areas of its business. The results of this will be
shared with the Department of Justice Monitor and other regulators,
with the ongoing work plan continuing to be assessed for potential
impact.
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END
Date: 26
July 2024
|
|
NATWEST
GROUP plc (Registrant)
|
|
|
|
|
|
By: /s/
Jan Cargill
|
|
|
|
|
|
Name:
Jan Cargill
|
|
|
Title:
Chief Governance Officer and Company Secretary
|
NatWest (PK) (USOTC:RBSPF)
Gráfica de Acción Histórica
De Jun 2024 a Jul 2024
NatWest (PK) (USOTC:RBSPF)
Gráfica de Acción Histórica
De Jul 2023 a Jul 2024
