![F2A4E6A5-86EA-4413-90D6-619423C4A8DF|3|Oracle.SmartView.EPRCS|{87c81b5f-44b2-406a-9ac9-1447e9eeafca}](https://dw6uz0omxro53.cloudfront.net/3121787/31045865-666b-4b10-9dfe-38c3e56afe54.gif)
NatWest Markets
Group
Interim Results 2024
NatWest Markets Plc
ci.natwest.com
NatWest Markets Group (NWM
Group)
Results for the half year ended 30
June 2024
As part of the NatWest Group
Commercial & Institutional segment, we continued to support
customers in navigating their financing and risk solutions
requirements in a period of continued high interest rates and
uncertain geopolitical outlook. We will maintain our focus on
leveraging growth opportunities through the delivery of markets
products and collaboration across the segment to meet our
customers' needs.
Financial review
NWM Group maintained its robust
capital and liquidity position in H1 2024 and reported a profit of
£83 million, compared with a loss of £148 million in H1 2023. Total
income of £650 million increased by £220 million compared with H1
2023, largely due to a stronger performance across the product
suite, particularly in Capital Markets and Fixed Income, in
addition to the impact of the profit share arrangement with fellow
NatWest Group subsidiaries. Operating expenses increased by £58
million to £592 million, due to higher litigation and conduct costs
and other operating expenses, partly offset by a credit recognised
in the current period in relation to property charges.
Financial performance
|
|
-
Total income of £650 million increased by £220
million compared with £430 million in H1 2023 largely due to a
stronger performance across the product suite, particularly in
Capital Markets and Fixed Income, in addition to the profit share
arrangement with fellow NatWest Group subsidiaries, which was
introduced in Q4 2023 and under which NWM Group recognised £81
million in H1 2024.
|
|
-
Operating expenses of £592 million in H1 2024
were £58 million higher than £534 million in H1 2023. Litigation
and conduct costs of £38 million reflected ongoing progress in
closing legacy matters and were £46 million higher than £8 million
credit in H1 2023. Other operating expenses increased by £12
million to £554 million in H1 2024, largely driven by increases in
severance costs, staff costs, bank levies and other smaller
movements, partly offset by a credit recognised in the current
period in relation to property charges.
|
|
-
NWM Group's total assets and liabilities
decreased by £3.6 billion and £3.5 billion to £174.3 billion and
£168.0 billion respectively at 30 June 2024, compared with 31
December 2023. The decreases were mainly driven by lower derivative
fair values, largely reflecting market volatility across major
currencies including the strengthening of USD and increases in
interest rates, following contrasting trends in Q4 2023. This was
partially offset by higher funded assets including cash and
balances at central banks.
|
Capital and leverage
|
|
-
Total NWM Plc RWAs were £20.5 billion at 30 June
2024, compared with £22.1 billion at 31 December 2023. The decrease
in the period was primarily driven by lower market risk due to
active risk management, lower counterparty credit risk, and a
decrease from the annual update to operational risk
RWAs.
|
|
-
NWM Plc's Common Equity Tier 1 (CET1) ratio was
18.7% at 30 June 2024, compared with 17.1% at 31 December 2023. The
increase in the period was largely driven by the decrease in RWAs
and reserve movements.
|
|
-
Total MREL for NWM Plc at 30 June 2024 was £8.7
billion, or 42.2% of RWAs, up from £7.6 billion or 34.5% of RWAs at
31 December 2023. The increase in total MREL in the current period
was largely due to the issuance of two new MREL instruments with
NatWest Group plc amounting to $1.15 billion and two new internal
Tier 2 instruments amounting to $1.16 billion, partially offset by
the redemption of an internal €0.95 billion Tier 2 instrument, and
other reserve movements.
|
|
-
NWM Plc's leverage ratio at 30 June 2024 was
5.2%, up from 5.0% at 31 December 2023.
|
Liquidity and funding
|
|
-
NWM Plc's liquidity portfolio at 30 June 2024 was
£18.5 billion with a liquidity coverage ratio (LCR) of 173% (31
December 2023 - £14.7 billion with LCR 183%).
|
|
-
NWM Plc issued public benchmark transactions
amounting to £4.3 billion in the six months ended 30 June 2024.
Transactions comprised issuances under our EMTN programme of €2.5
billion and our US MTN programme of $2.75 billion of notes
respectively. NWM Plc also raised funding in other formats
throughout the period including, but not limited to, structured
note issuance.
|
ESG highlights
Climate and sustainable funding
and financing have continued to perform well, and up to 30 June
2024 we had delivered £41.3 billion towards the NatWest Group
climate and sustainable funding and financing target(1)
of £100 billion between 1 July 2021 and the end of 2025.
(1)
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 counted towards
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.
Outlook(1)
We retain the Outlook guidance
provided in the NatWest Markets Plc 2023 Annual Report and
Accounts.
(1)
The guidance, targets, expectations and trends
discussed in this section represent management's current
expectations and are subject to change, including as a result of
the factors described in the 'Risk Factors' section in the NatWest
Markets Plc 2023 Annual Report and Accounts, and the 'Summary Risk
Factors' in this announcement. These statements constitute
forward-looking statements. Refer to 'Forward-looking statements'
in this announcement.
Financial review
The table below presents an
analysis of key lines of NWM Group's income statement for the half
year and quarter ended 30 June 2024. Commentary refers to the
tables below as well as the condensed consolidated income statement
shown on page 22.
|
Half year
ended
|
|
Quarter
ended
|
|
30 June
|
30
June
|
|
30 June
|
31
March
|
30
June
|
|
2024
|
2023
|
|
2024
|
2024
|
2023
|
Income statement
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Net interest income
|
237
|
78
|
|
116
|
121
|
43
|
Non-interest income
|
413
|
352
|
|
207
|
206
|
122
|
Total income
|
650
|
430
|
|
323
|
327
|
165
|
Litigation and conduct
costs
|
(38)
|
8
|
|
(39)
|
1
|
16
|
Other operating
expenses
|
(554)
|
(542)
|
|
(298)
|
(256)
|
(265)
|
Operating expenses
|
(592)
|
(534)
|
|
(337)
|
(255)
|
(249)
|
Operating profit/(loss) before impairment
releases/losses
|
58
|
(104)
|
|
(14)
|
72
|
(84)
|
Impairment
releases/(losses)
|
7
|
5
|
|
(1)
|
8
|
3
|
Operating profit/(loss) before tax
|
65
|
(99)
|
|
(15)
|
80
|
(81)
|
Tax credit/(charge)
|
18
|
(49)
|
|
16
|
2
|
(57)
|
Profit/(loss) for the period
|
83
|
(148)
|
|
1
|
82
|
(138)
|
|
|
|
|
|
|
|
Income (1)
|
|
|
|
|
|
|
Fixed Income
|
129
|
105
|
|
66
|
63
|
35
|
Currencies
|
240
|
227
|
|
128
|
112
|
109
|
Capital Markets
|
331
|
218
|
|
166
|
165
|
107
|
Capital Management Unit &
other (2)
|
(11)
|
(29)
|
|
(11)
|
-
|
(37)
|
Income including shared revenue before OCA
|
689
|
521
|
|
349
|
340
|
214
|
Transfer pricing arrangements with
fellow NatWest Group subsidiaries (3)
|
(32)
|
(100)
|
|
(24)
|
(8)
|
(52)
|
Income excluding OCA
|
657
|
421
|
|
325
|
332
|
162
|
Own credit adjustments
(OCA)
|
(7)
|
9
|
|
(2)
|
(5)
|
3
|
Total income
|
650
|
430
|
|
323
|
327
|
165
|
(1)
|
Product performance includes gross
income earned on a NatWest Group-wide basis, including amounts
contributed to other NatWest Group subsidiaries. Income including
shared revenue before OCA includes revenue share from other NatWest
Group subsidiaries but before revenue share is paid to or
contributed to those subsidiaries.
|
(2)
|
Capital Management Unit was set up
in Q3 2020 to manage capital usage and optimisation across all
parts of NatWest Markets, with the income materially relating to
legacy positions.
|
(3)
|
Transfer pricing arrangements with
fellow NatWest Group subsidiaries includes shared revenue paid to
or contributed to those subsidiaries and a profit share arrangement
with fellow NatWest Group subsidiaries. The profit share
arrangement was introduced during Q4 2023 to reward NWM Group on an
arm's length basis for its contribution to the performance of the
NatWest Group Commercial & Institutional business segment, 2023
being the first full year with the Commercial & Institutional
segment in place. The profit share is not allocated to individual
NatWest Markets product areas.
|
|
|
Half year ended 30 June 2024 performance
- Net interest
income largely represents interest
income from lending activity and capital hedges, offset by interest
expense from the funding costs of the business. The increase of
£159 million compared with H1 2023 largely reflects growth in
lending activity and the impact of one-off items.
- Non-interest
income increased by £61 million
compared with H1 2023, mainly due to the profit share arrangement
with fellow NatWest Group subsidiaries which was introduced in Q4
2023 and under which NWM Group recognised
£81 million in H1 2024, in addition to stronger
performances in Fixed Income and Currencies offset by lower own
credit adjustments and the impact of one-off
items.
- Operating
expenses in H1 2024 increased by
£58 million compared with H1 2023. Litigation and conduct costs in
H1 2024 reflected ongoing progress on closing legacy matters and
were up by £46 million compared with H1 2023. Other operating
expenses increased by £12 million compared with H1 2023, largely
driven by increases in severance costs, staff costs, bank levies
and other smaller movements, partly offset by a credit recognised
in the current period in relation to property charges.
Quarter ended 30 June 2024 performance
- Net interest
income decreased by £5 million
compared to Q1 2024 and increased by £73 million compared to Q2
2023, primarily reflecting growth in lending activity.
- Non-interest
income increased by £1 million
compared to Q1 2024, reflecting an improved performance in
Currencies partially offset by lower income from the profit share
arrangement with fellow NatWest Group subsidiaries. Non-interest
income increased by £85 million compared with Q2 2023, mainly due
to the profit share arrangement with fellow NatWest Group
subsidiaries under which NWM Group recognised £36 million in Q2
2024, in addition to an improved performance across the product
suite.
- Operating
expenses increased by £82 million
compared with Q1 2024 and by £88 million compared to Q2 2023.
Litigation and conduct costs in Q2 2024 reflected ongoing progress
on closing legacy matters and were up by £40 million compared with
Q1 2024 and by £55 million compared with Q2 2023. Other operating
expenses in Q2 2024 increased by £42 million compared with Q1 2024,
largely due to a credit recognised in the prior period in relation
to property charges, in addition to an increase in severance costs.
Other operating expenses increased by £33 million compared with Q2
2023, largely reflecting an increase in severance costs, staff
costs and other smaller items.
Financial review
Balance sheet profile as at 30 June 2024
NWM Group's balance sheet profile
is summarised below. Commentary refers to the table below as well
as the condensed consolidated balance sheet on page 23.
Assets
|
|
Liabilities
|
|
30 June
|
31
December
|
|
30 June
|
31
December
|
|
|
|
2024
|
2023
|
|
2024
|
2023
|
|
|
|
£bn
|
£bn
|
|
£bn
|
£bn
|
|
|
Cash and balances at central
banks
|
21.1
|
13.8
|
|
|
|
|
|
Securities
|
19.7
|
12.0
|
|
9.7
|
9.8
|
|
Short positions
|
Reverse repos (1)
|
18.2
|
23.7
|
|
29.3
|
26.9
|
|
Repos (2)
|
Derivative cash collateral
given (3)
|
7.5
|
8.9
|
|
13.8
|
15.1
|
|
Derivative cash collateral
received (4)
|
Other trading assets
|
0.5
|
0.7
|
|
1.2
|
1.8
|
|
Other trading
liabilities
|
Total trading assets
|
45.9
|
45.3
|
|
54.0
|
53.6
|
|
Total trading
liabilities
|
Loans - amortised cost
|
15.2
|
14.2
|
|
10.7
|
9.3
|
|
Deposits - amortised
cost
|
Settlement
balances
|
6.2
|
7.2
|
|
6.9
|
6.6
|
|
Settlement
balances
|
Amounts due from
holding
|
|
|
|
|
|
|
Amounts due to holding
company
|
company and fellow
subsidiaries
|
1.0
|
1.7
|
|
6.3
|
5.8
|
|
and fellow
subsidiaries
|
Other financial
assets
|
16.7
|
15.7
|
|
29.0
|
23.6
|
|
Other financial
liabilities
|
Other assets
|
0.6
|
0.7
|
|
0.4
|
0.6
|
|
Other
liabilities
|
Funded assets
|
106.7
|
98.6
|
|
107.3
|
99.5
|
|
Liabilities excluding
derivatives
|
Derivative
assets
|
67.6
|
79.3
|
|
60.7
|
72.0
|
|
Derivative
liabilities
|
Total assets
|
174.3
|
177.9
|
|
168.0
|
171.5
|
|
Total
liabilities
|
|
|
|
|
|
|
|
of which:
|
|
|
|
|
30.7
|
25.1
|
|
Wholesale
funding (5)
|
|
|
|
|
13.1
|
9.9
|
|
Short-term wholesale
funding (5)
|
Net derivative
assets (6)
|
2.2
|
2.9
|
|
3.5
|
3.6
|
|
Net derivative
liabilities (6)
|
(1)
|
Comprises bank reverse repos of
£6.1 billion (31 December 2023 - £6.3 billion) and customer reverse
repos of £12.1 billion (31 December 2023 - £17.4
billion).
|
(2)
|
Comprises bank repos of £6.4
billion (31 December 2023- £4.0 billion) and customer repos of
£22.9 billion (31 December 2023 - £22.9 billion).
|
(3)
|
Comprises derivative cash
collateral given relating to banks of £3.3 billion (31 December
2023 - £4.3 billion) and customers of £4.2 billion (31 December
2023 - £4.6 billion).
|
(4)
|
Comprises derivative cash
collateral received relating to banks of £5.7 billion (31 December
2023 - £6.8 billion) and customers of £8.1 billion (31 December
2023 - £8.3 billion).
|
(5)
|
Predominantly comprises bank
deposits (excluding repos), debt securities in issue and third
party subordinated liabilities, of which short-term wholesale
funding is the amount with contractual maturity of one year or
less.
|
(6)
|
Refer to page 12 for further
details.
|
-
Total assets and
liabilities decreased by £3.6
billion and £3.5 billion respectively at 30 June 2024. The
decreases were mainly driven by lower derivative fair values,
largely reflecting market volatility across major currencies and
increases in interest rates. Funded assets, which exclude
derivatives, increased by £8.1 billion.
-
Cash and
balances at central banks increased
by £7.3 billion mainly driven by funding raised to support banking
book growth and liquidity requirements.
-
Trading
assets were up by £0.6 billion,
largely reflecting an increase in securities partially offset by
decreases in reverse repos and derivatives cash collateral
given. Trading liabilities increased
by £0.4 billion, driven by an increase in repos, partially offset
by decreases in derivative cash collateral received and other
trading liabilities.
-
Loans -
amortised cost increased by £1.0
billion, driven by higher loans to customers reflecting growth in
private financing.
-
Deposits -
amortised cost were up by £1.4
billion, largely driven by an increase in customer deposits to
match planned banking book activity.
-
Derivative
assets and derivative liabilities were down by £11.7 billion and £11.3 billion respectively,
largely reflecting market volatility across major currencies
including the strengthening of USD and increases in interest rates,
following contrasting trends in Q4 2023.
-
Other financial
liabilities increased by £5.4
billion, largely driven by new issuance in the period, partially
offset by maturities. The balance at 30 June 2024 includes £20.6
billion of medium-term notes issued.
Non-IFRS measures
This document contains a number of
non-IFRS measures. For details of the basis of preparation and
reconciliations, where
applicable, refer to the non-IFRS
measures section on page 47.
Risk and capital
management
|
Page
|
Market risk
|
|
One-day 99% traded internal
VaR
|
5
|
Capital, liquidity and funding risk
|
|
Capital, RWAs and
leverage
|
6
|
Capital
resources
|
7
|
Leverage
exposure
|
8
|
Liquidity
portfolio
|
8
|
Funding
sources
|
9
|
Senior notes and
subordinated liabilities
|
10
|
Credit risk
|
|
Credit risk - Trading
activities
|
11
|
Credit risk -
Economics
|
13
|
Credit risk - Banking
activities
|
19
|
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.
Market risk (reviewed)
One-day 99% traded internal
VaR
The table below shows one-day 99%
internal VaR for the trading portfolios of NWM Group, 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) NWM
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.
-
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.
Risk and capital
management
Capital, liquidity and funding risk
Introduction
NWM 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 NWM Group operates
within its regulatory requirements and risk appetite.
Capital, RWAs and
leverage
The capital resources, RWAs and
leverage for NWM Plc are presented on a transitional basis for the
remaining IFRS 9 relief in respect to ECL. Regulatory capital is
monitored and reported at legal entity level for NWM
Plc.
|
30 June
|
31
December
|
|
2024
|
2023
|
Capital adequacy
ratios (1,2)
|
%
|
%
|
CET1
|
18.7
|
17.1
|
Tier 1
|
22.0
|
20.2
|
Total
|
25.3
|
23.0
|
Total MREL
|
42.2
|
34.5
|
|
|
|
Capital (1,2)
|
£m
|
£m
|
CET1
|
3,840
|
3,776
|
Tier 1
|
4,519
|
4,455
|
Total
|
5,198
|
5,072
|
Total MREL (3)
|
8,672
|
7,627
|
|
|
|
Risk-weighted assets
|
|
|
Credit risk
|
8,085
|
7,895
|
Counterparty credit
risk
|
5,881
|
6,516
|
Market risk
|
5,574
|
6,366
|
Operational risk
|
1,002
|
1,322
|
Total RWAs
|
20,542
|
22,099
|
(1)
|
NWM Plc's total capital ratio
requirement is 11.5%, comprising the minimum capital requirement of
8%, supplemented with the capital conservation buffer of 2.5% and
the institution specific countercyclical buffer (CCyB) of 1%. The
minimum CET1 ratio is 8%, including the minimum capital requirement
of 4.5%. The CCyB is based on the weighted average of NWM Plc's
geographical exposures.
|
(2)
|
In addition, NWM Plc is subject to
Pillar 2A requirements for CET1, AT1 and T2. Refer to the NatWest
Markets Plc Pillar 3 report for further details on these additional
capital requirements.
|
(3)
|
Includes senior internal debt
instruments issued to NatWest Group plc with a nominal value of
£3.5 billion (31 December 2023 - £2.6 billion).
|
Leverage
The leverage ratio has been
calculated in accordance with the Leverage Ratio (CRR) part of the
PRA rulebook.
|
30 June
|
31
December
|
|
2024
|
2023
|
Tier 1 capital (£m)
|
4,519
|
4,455
|
Leverage exposure
(£m) (1)
|
86,275
|
89,929
|
Leverage ratio (%)
|
5.2
|
5.0
|
(1)
|
Leverage exposure is broadly
aligned to the accounting value of on and off-balance sheet
exposures albeit subject to specific adjustments for derivatives,
securities financing positions and off-balance sheet
exposures.
|
Risk and capital
management
Capital, liquidity and funding risk
continued
Capital resources
(reviewed)
NWM Plc's regulatory capital is
assessed against minimum requirements that are set out under the UK
CRR to determine the strength of its capital base. The table below
shows a reconciliation of shareholders' equity to regulatory
capital.
|
30 June
|
31
December
|
|
2024
|
2023
|
Shareholders' equity
|
£m
|
£m
|
Shareholders'
equity
|
6,240
|
6,313
|
Other equity
instruments
|
(904)
|
(904)
|
|
5,336
|
5,409
|
|
|
|
Regulatory adjustments and deductions
|
|
|
Own
credit
|
35
|
25
|
Defined benefit
pension fund adjustment
|
(112)
|
(94)
|
Cash flow hedging
reserve
|
217
|
187
|
Prudential
valuation adjustments
|
(149)
|
(160)
|
Expected losses
less impairments
|
(4)
|
(6)
|
Instruments of
financial sector entities where the institution has a significant
investment
|
(1,484)
|
(1,585)
|
Adjustments under
IFRS 9 transitional arrangements
|
1
|
1
|
Other adjustments
for regulatory purposes
|
-
|
(1)
|
|
(1,496)
|
(1,633)
|
|
|
|
CET1 capital
|
3,840
|
3,776
|
|
|
|
Additional Tier 1 (AT1) capital
|
|
|
Qualifying
instruments and related share premium
|
904
|
904
|
|
|
|
Tier 1 deductions
|
|
|
Instruments of
financial sector entities where the institution has a significant
investment
|
(225)
|
(225)
|
|
|
|
Tier 1 capital
|
4,519
|
4,455
|
|
|
|
Qualifying Tier 2 capital
|
|
|
Qualifying
instruments and related share premium
|
1,098
|
1,022
|
|
|
|
Tier 2 deductions
|
|
|
Instruments of
financial sector entities where the institution has a significant
investment
|
(420)
|
(421)
|
Other regulatory
adjustments
|
1
|
16
|
|
(419)
|
(405)
|
|
|
|
Tier 2 capital
|
679
|
617
|
Total regulatory capital
|
5,198
|
5,072
|
Risk and capital
management
Capital, liquidity and funding risk
continued
Leverage exposure
The leverage exposure has been
calculated in accordance with the Leverage Exposure (CRR) part of
the PRA rulebook.
|
30 June
|
31
December
|
|
2024
|
2023
|
Leverage
|
£m
|
£m
|
Cash and balances at central
banks
|
12,491
|
8,607
|
Trading assets
|
26,249
|
28,411
|
Derivatives
|
63,818
|
75,832
|
Financial assets
|
33,058
|
32,930
|
Other assets
|
6,012
|
4,878
|
Total assets
|
141,628
|
150,658
|
Derivatives
|
|
|
-
netting
|
(61,982)
|
(73,927)
|
- potential future
exposures
|
15,110
|
15,691
|
Securities financing transactions
gross up
|
1,649
|
1,301
|
Undrawn commitments
|
8,103
|
8,493
|
Regulatory deductions and other
adjustments
|
(5,447)
|
(3,373)
|
Exclusion of core UK-group
exposures
|
(297)
|
(310)
|
Claims on central banks
|
(12,489)
|
(8,604)
|
Leverage exposure
|
86,275
|
89,929
|
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
|
31
December
|
|
2024
|
2023
|
NatWest Markets Plc
|
£m
|
£m
|
Cash and balances at central
banks
|
12,375
|
8,547
|
High quality government/MDB/PSE
and GSE bonds (1)
|
5,060
|
6,054
|
Extremely high quality covered
bonds
|
1
|
1
|
LCR Level 1 eligible assets
|
17,436
|
14,602
|
LCR Level 2 eligible
assets (2)
|
1,051
|
104
|
Primary liquidity
(HQLA) (3)
|
18,487
|
14,706
|
Secondary
liquidity (4)
|
30
|
39
|
Total liquidity value
|
18,517
|
14,745
|
(1) Multilateral development bank abbreviated to MDB, public
sector entities abbreviated to PSE and government sponsored
entities abbreviated to GSE.
(2) Includes Level 2A and Level 2B.
(3) High-quality liquid assets abbreviated to HQLA.
(4) Comprises assets
eligible for discounting at the Bank of England and other central
banks which do not form part of the LCR high-quality liquid
assets.
Risk and capital
management
Capital, liquidity and funding risk
continued
The table below shows the
liquidity value of the liquidity portfolio by currency.
|
GBP
|
USD
|
EUR
|
Other
|
Total
|
Total liquidity portfolio
|
£m
|
£m
|
£m
|
£m
|
£m
|
30 June 2024
|
8,470
|
2,573
|
6,600
|
874
|
18,517
|
31 December 2023
|
5,153
|
3,350
|
6,150
|
92
|
14,745
|
Funding sources
(reviewed)
The table below shows NWM Group's
carrying values of the principal funding sources based on
contractual maturity.
|
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
|
2,196
|
772
|
2,968
|
|
1,622
|
645
|
2,267
|
of which: repos (amortised
cost)
|
451
|
-
|
451
|
|
452
|
-
|
452
|
Customer
deposits
|
7,634
|
61
|
7,695
|
|
6,990
|
8
|
6,998
|
of which: repos (amortised
cost)
|
255
|
-
|
255
|
|
418
|
-
|
418
|
|
|
|
|
|
|
|
|
Trading
liabilities (1)
|
|
|
|
|
|
|
|
Repos (2)
|
29,021
|
300
|
29,321
|
|
26,634
|
268
|
26,902
|
Derivative cash collateral
received
|
13,814
|
-
|
13,814
|
|
15,062
|
-
|
15,062
|
Other bank and customer
deposits
|
478
|
322
|
800
|
|
768
|
382
|
1,150
|
Debt securities in
issue
|
80
|
227
|
307
|
|
418
|
288
|
706
|
|
43,393
|
849
|
44,242
|
|
42,882
|
938
|
43,820
|
Other financial liabilities
|
|
|
|
|
|
|
|
Customer deposits (designated
fair value)
|
210
|
1,165
|
1,375
|
|
193
|
1,066
|
1,259
|
Debt securities in
issue
|
|
|
|
|
|
|
|
Commercial paper and
certificates of deposits
|
6,352
|
361
|
6,713
|
|
4,228
|
205
|
4,433
|
Medium term
notes (MTNs)
|
4,662
|
15,959
|
20,621
|
|
3,759
|
13,849
|
17,608
|
Subordinated
liabilities
|
-
|
266
|
266
|
|
-
|
274
|
274
|
|
11,224
|
17,751
|
28,975
|
|
8,180
|
15,394
|
23,574
|
Amounts due to holding company and
fellow subsidiaries (3)
|
|
|
|
|
|
|
|
Internal MREL
|
-
|
3,504
|
3,504
|
|
434
|
2,636
|
3,070
|
Other bank and customer
deposits
|
1,559
|
-
|
1,559
|
|
1,620
|
-
|
1,620
|
Subordinated
liabilities
|
-
|
1,101
|
1,101
|
|
839
|
183
|
1,022
|
|
1,559
|
4,605
|
6,164
|
|
2,893
|
2,819
|
5,712
|
|
|
|
|
|
|
|
|
Total funding
|
66,006
|
24,038
|
90,044
|
|
62,567
|
19,804
|
82,371
|
|
|
|
|
|
|
|
|
Of which: available in
resolution (4)
|
|
|
4,871
|
|
|
|
3,093
|
(1)
Funding sources excludes short positions of £9,709 million (31
December 2023 - £9,803 million) reflected as trading liabilities on
the balance sheet.
(2)
Comprises central and other bank repos of £6,442 million (31
December 2023 - £3,957 million), other financial institution repos
of £19,956 million (31 December 2023 - £20,394 million) and other
corporate repos of £2,923 million (31 December 2023 - £2,551
million).
(3)
Amounts due to holding company and fellow subsidiaries relating to
non-financial instruments of £130 million (31 December 2023 - £90
million) and intercompany settlement balances of nil (31 December
2023 - nil) have been excluded from the table.
(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 in
December 2021 (updated June 2018).
|
Risk and capital
management
Capital, liquidity and funding risk
continued
Senior notes and subordinated liabilities - residual maturity profile by
instrument type (reviewed)
The table below shows NWM Group's
debt securities in issue, subordinated liabilities and internal
resolution instruments by residual maturity.
|
Trading
|
|
|
|
|
|
|
|
liabilities
|
|
Other financial
liabilities
|
|
Amounts due to holding
company and
|
|
Debt
securities
|
|
Debt securities in
issue
|
|
|
|
fellow
subsidiaries
|
|
in issue
|
|
Commercial
|
|
Subordinated
|
|
|
|
Subordinated
|
Total
notes
|
|
MTNs
|
|
paper and
CDs
|
MTNs
|
liabilities
|
Total
|
|
Internal
MREL
|
liabilities
|
in issue
|
30 June 2024
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Less than 1 year
|
80
|
|
6,352
|
4,662
|
-
|
11,014
|
|
-
|
-
|
11,094
|
1-3 years
|
18
|
|
361
|
10,763
|
-
|
11,124
|
|
2,641
|
-
|
13,783
|
3-5 years
|
-
|
|
-
|
4,591
|
-
|
4,591
|
|
863
|
974
|
6,428
|
More than 5 years
|
209
|
|
-
|
605
|
266
|
871
|
|
-
|
127
|
1,207
|
Total
|
307
|
|
6,713
|
20,621
|
266
|
27,600
|
|
3,504
|
1,101
|
32,512
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
|
|
|
Less than 1 year
|
418
|
|
4,228
|
3,759
|
-
|
7,987
|
|
434
|
839
|
9,678
|
1-3 years
|
48
|
|
205
|
9,342
|
18
|
9,565
|
|
1,722
|
-
|
11,335
|
3-5 years
|
-
|
|
-
|
3,851
|
-
|
3,851
|
|
914
|
-
|
4,765
|
More than 5 years
|
240
|
|
-
|
656
|
256
|
912
|
|
-
|
183
|
1,335
|
Total
|
706
|
|
4,433
|
17,608
|
274
|
22,315
|
|
3,070
|
1,022
|
27,113
|
The table below shows the currency
breakdown of total notes in issue.
|
GBP
|
USD
|
|
EUR
|
Other
|
Total
|
30 June 2024
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Commercial paper and
CDs
|
2,062
|
1,718
|
|
2,933
|
-
|
6,713
|
MTNs
|
1,653
|
6,474
|
|
10,042
|
2,759
|
20,928
|
External subordinated
liabilities
|
19
|
17
|
|
230
|
-
|
266
|
Internal MREL due to NatWest Group
plc
|
-
|
2,641
|
|
863
|
-
|
3,504
|
Subordinated liabilities due to
NatWest Group plc
|
-
|
1,101
|
|
-
|
-
|
1,101
|
Total
|
3,734
|
11,951
|
|
14,068
|
2,759
|
32,512
|
|
|
|
|
|
|
|
31 December 2023
|
2,948
|
8,153
|
|
13,017
|
2,995
|
27,113
|
Risk and capital
management
Credit risk - Trading activities (reviewed)
This section details the credit
risk profile of NWM Group's trading activities.
Securities financing transactions
and collateral
The table below shows securities
financing transactions in NWM Group. Balance sheet captions include
balances held at all classifications under IFRS 9.
|
Reverse
repos
|
|
Repos
|
|
|
Of which:
|
Outside
|
|
|
Of which:
|
Outside
|
|
|
can be
|
netting
|
|
|
can be
|
netting
|
|
Total
|
offset
|
arrangements
|
|
Total
|
offset
|
arrangements
|
30 June 2024
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Gross
|
46,151
|
46,066
|
85
|
|
56,427
|
55,339
|
1,088
|
IFRS offset
|
(26,399)
|
(26,399)
|
-
|
|
(26,399)
|
(26,399)
|
-
|
Carrying value
|
19,752
|
19,667
|
85
|
|
30,028
|
28,940
|
1,088
|
|
|
|
|
|
|
|
|
Master netting
arrangements
|
(1,454)
|
(1,454)
|
-
|
|
(1,454)
|
(1,454)
|
-
|
Securities collateral
|
(17,941)
|
(17,941)
|
-
|
|
(27,486)
|
(27,486)
|
-
|
Potential for offset not recognised under
IFRS
|
(19,395)
|
(19,395)
|
-
|
|
(28,940)
|
(28,940)
|
-
|
Net
|
357
|
272
|
85
|
|
1,088
|
-
|
1,088
|
|
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
|
|
Gross
|
41,750
|
41,292
|
458
|
|
44,028
|
43,308
|
720
|
IFRS offset
|
(16,257)
|
(16,257)
|
-
|
|
(16,257)
|
(16,257)
|
-
|
Carrying value
|
25,493
|
25,035
|
458
|
|
27,771
|
27,051
|
720
|
|
|
|
|
|
|
|
|
Master netting
arrangements
|
(669)
|
(669)
|
-
|
|
(669)
|
(669)
|
-
|
Securities collateral
|
(24,175)
|
(24,175)
|
-
|
|
(26,382)
|
(26,382)
|
-
|
Potential for offset not recognised under
IFRS
|
(24,844)
|
(24,844)
|
-
|
|
(27,051)
|
(27,051)
|
-
|
Net
|
649
|
191
|
458
|
|
720
|
-
|
720
|
Debt securities
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 6 Trading assets and
trading 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
Credit risk - Trading activities continued
(reviewed)
Derivatives
The table below shows third-party
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.
|
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
|
|
|
|
|
|
68,674
|
62,677
|
|
|
83,276
|
76,879
|
IFRS offset
|
|
|
|
|
|
(2,308)
|
(2,308)
|
|
|
(5,242)
|
(5,242)
|
Carrying value
|
2,908
|
3,093
|
5,572
|
1,189
|
12,762
|
66,366
|
60,369
|
|
12,773
|
78,034
|
71,637
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate (1)
|
2,592
|
1,625
|
4,936
|
268
|
9,421
|
40,070
|
34,761
|
|
9,656
|
43,767
|
37,974
|
Exchange rate
|
315
|
1,463
|
627
|
921
|
3,326
|
26,153
|
25,343
|
|
3,101
|
34,085
|
33,337
|
Credit
|
1
|
5
|
9
|
-
|
15
|
143
|
265
|
|
16
|
182
|
326
|
Equity and commodity
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
Carrying value
|
|
|
|
|
12,762
|
66,366
|
60,369
|
|
12,773
|
78,034
|
71,637
|
Counterparty
mark-to-market netting
|
|
|
|
|
|
(50,136)
|
(50,136)
|
|
|
(59,827)
|
(59,827)
|
Cash collateral
|
|
|
|
|
|
(11,092)
|
(5,627)
|
|
|
(12,272)
|
(6,590)
|
Securities collateral
|
|
|
|
|
|
(2,965)
|
(1,118)
|
|
|
(3,084)
|
(1,663)
|
Net exposure
|
|
|
|
|
|
2,173
|
3,488
|
|
|
2,851
|
3,557
|
Banks (2)
|
|
|
|
|
|
212
|
431
|
|
|
333
|
556
|
Other financial
institutions (3)
|
|
|
|
|
|
1,115
|
1,251
|
|
|
1,424
|
1,295
|
Corporate (4)
|
|
|
|
|
|
811
|
1,788
|
|
|
1,058
|
1,667
|
Government (5)
|
|
|
|
|
|
35
|
18
|
|
|
36
|
39
|
Net exposure
|
|
|
|
|
|
2,173
|
3,488
|
|
|
2,851
|
3,557
|
UK
|
|
|
|
|
|
1,136
|
1,834
|
|
|
1,277
|
1,884
|
Europe
|
|
|
|
|
|
551
|
1,084
|
|
|
800
|
1,209
|
US
|
|
|
|
|
|
404
|
384
|
|
|
607
|
381
|
RoW
|
|
|
|
|
|
82
|
186
|
|
|
167
|
83
|
Net exposure
|
|
|
|
|
|
2,173
|
3,488
|
|
|
2,851
|
3,557
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset quality of uncollateralised
|
|
|
|
|
|
|
|
|
|
|
|
derivative
assets
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
|
|
|
|
1,859
|
|
|
|
2,376
|
|
AQ5-AQ8
|
|
|
|
|
|
312
|
|
|
|
471
|
|
AQ9-AQ10
|
|
|
|
|
|
2
|
|
|
|
4
|
|
Net exposure
|
|
|
|
|
|
2,173
|
|
|
|
2,851
|
|
(1)
|
The notional amount of interest
rate derivatives includes £6,320 billion (31 December 2023 - £6,677
billion) in respect of contracts cleared through central clearing
counterparties.
|
(2)
|
Transactions with certain
counterparties with which NWM 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 NWM Group's external rating.
|
(4)
|
Mainly large corporates with whom
NWM 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
Credit risk - Economics (reviewed)
Economic loss drivers
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 UK portfolios include UK gross domestic product
(GDP), world GDP, and the unemployment rate. Similar metrics are
used for other key country exposures in NWM Group.
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 incomes 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
Credit risk - Economics continued (reviewed)
Economic loss drivers
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.
|
Probability weightings of
scenarios
NWM 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 NWM 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, NWM 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
Credit risk - Economics continued (reviewed)
Economic loss drivers
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
|
|
|
|
|
|
|
Consumer price index - 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
Credit risk - Economics continued (reviewed)
Economic loss drivers
Worst points
|
30 June
2024
|
|
31
December 2023
|
|
|
|
Extreme
|
|
Weighted
|
|
|
|
Extreme
|
|
Weighted
|
|
Downside
|
|
downside
|
|
average
|
|
Downside
|
|
downside
|
|
average
|
|
%
|
Quarter
|
%
|
Quarter
|
%
|
|
%
|
Quarter
|
%
|
Quarter
|
%
|
GDP
|
(0.9)
|
Q1 2025
|
(4.2)
|
Q2 2025
|
0.6
|
|
(1.2)
|
Q3
2024
|
(4.5)
|
Q4
2024
|
0.3
|
Unemployment rate -
peak
|
5.8
|
Q3 2025
|
8.5
|
Q4 2025
|
5.0
|
|
5.8
|
Q1
2025
|
8.5
|
Q2
2025
|
5.2
|
House price index
|
(8.0)
|
Q2 2026
|
(28.2)
|
Q4 2026
|
1.1
|
|
(12.5)
|
Q4
2025
|
(31.7)
|
Q2
2026
|
(6.5)
|
Commercial real estate
price
|
(11.9)
|
Q3 2025
|
(36.5)
|
Q1 2026
|
(4.4)
|
|
(16.6)
|
Q1
2025
|
(39.9)
|
Q3
2025
|
(10.2)
|
Consumer price index
|
|
|
|
|
|
|
|
|
|
|
|
- highest four
quarter change
|
8.5
|
Q2 2025
|
3.5
|
Q1 2024
|
3.5
|
|
10.3
|
Q1
2023
|
10.3
|
Q1
2023
|
10.3
|
Bank of England base
rate
|
|
|
|
|
|
|
|
|
|
|
|
- extreme
level
|
6.5
|
Q2 2025
|
5.3
|
Q1 2024
|
5.3
|
|
6.5
|
Q4
2024
|
5.3
|
Q4
2023
|
5.3
|
Stock price index
|
(16.0)
|
Q2 2025
|
(40.5)
|
Q2 2025
|
(4.2)
|
|
(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 lending
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 economic
response models.
UK economic uncertainty
The high inflation environment
alongside high interest rates is 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. NWM 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.
Risk and capital
management
Credit risk - Economics continued (reviewed)
Governance and post model
adjustments
The IFRS 9 PD, EAD and LGD models
are subject to NWM 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 NWM 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.
Measurement uncertainty and ECL sensitivity
analysis
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. In the simulations, NWM 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.
NWM 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
Credit risk - Measurement uncertainty and ECL sensitivity
analysis continued (reviewed)
|
|
|
Moderate
|
Moderate
|
Extreme
|
|
|
Base
|
upside
|
downside
|
downside
|
30 June 2024
|
Actual
|
scenario
|
scenario
|
scenario
|
scenario
|
Stage 1 modelled loans
(£m)
|
16,535
|
16,535
|
16,553
|
16,535
|
15,829
|
Stage 1 modelled ECL
(£m)
|
23
|
20
|
18
|
27
|
38
|
Stage 1 coverage (%)
|
0.14%
|
0.12%
|
0.11%
|
0.16%
|
0.24%
|
Stage 2 modelled loans
(£m)
|
289
|
289
|
271
|
289
|
995
|
Stage 2 modelled ECL
(£m)
|
6
|
6
|
5
|
7
|
18
|
Stage 2 coverage (%)
|
2.08%
|
2.08%
|
1.85%
|
2.42%
|
1.81%
|
Stage 1 and Stage 2 modelled loans
(£m)
|
16,824
|
16,824
|
16,824
|
16,824
|
16,824
|
Stage 1 and Stage 2 modelled ECL
(£m)
|
29
|
26
|
23
|
34
|
56
|
Stage 1 and Stage 2 coverage
(%)
|
0.17%
|
0.15%
|
0.14%
|
0.20%
|
0.33%
|
Variance - (lower)/higher to
actual total Stage 1 and Stage 2 ECL (£m)
|
|
(3)
|
(6)
|
5
|
27
|
Reconciliation to Stage 1 and
Stage 2 flow exposure (£m)
|
|
|
|
|
|
Modelled loans
|
16,824
|
16,824
|
16,824
|
16,824
|
16,824
|
Other asset classes
|
32,220
|
32,220
|
32,220
|
32,220
|
32,220
|
(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.
|
(3)
|
All simulations are 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.
|
(4)
|
Refer to the Economic loss drivers
section for details of economic scenarios.
|
(5)
|
Refer to the NatWest Markets Plc
2023 Annual Report and Accounts for 31 December 2023
comparatives.
|
Measurement uncertainty and ECL adequacy
-
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. In this
scenario, Stage 2 exposure increased 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.
-
There was a significant increase in ECL under the
extreme downside scenario.
-
Given that continued uncertainty remained due to
persistent inflation, high interest rates and liquidity concerns at
H1 2024, NWM 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 NWM Group operates.
Risk and capital
management
Credit risk - Banking activities (reviewed)
This section details the credit
risk profile of NWM Group's banking activities.
Portfolio summary
The table below shows gross loans
and ECL, by stage, within the scope of the IFRS 9 ECL
framework.
|
30
June
|
31
December
|
|
2024
|
2023
|
|
£m
|
£m
|
Loans - amortised cost and fair value through other
comprehensive income (FVOCI)
|
|
|
Stage 1
|
14,890
|
13,686
|
Stage 2
|
264
|
558
|
Stage 3
|
34
|
25
|
Of which: individual
|
26
|
17
|
Of which: collective
|
8
|
8
|
Inter-group (1)
|
301
|
1,264
|
Total
|
15,489
|
15,533
|
|
|
|
ECL provisions
|
|
|
Stage 1
|
23
|
24
|
Stage 2
|
6
|
8
|
Stage 3
|
17
|
24
|
Of which: individual
|
10
|
16
|
Of which: collective
|
7
|
8
|
Inter-group (1)
|
-
|
1
|
Total
|
46
|
57
|
|
|
|
ECL provisions
coverage (2)
|
|
|
Stage 1 (%)
|
0.15
|
0.18
|
Stage 2 (%)
|
2.27
|
1.43
|
Stage 3 (%)
|
50.00
|
96.00
|
Total
|
0.30
|
0.39
|
|
|
|
|
Half year
ended
|
|
30
June
|
30
June
|
|
2024
|
2023
|
|
£m
|
£m
|
Impairment (releases)/losses
|
|
|
ECL (release)/charge
|
|
|
Stage 1
|
(3)
|
(2)
|
Stage 2
|
-
|
1
|
Stage 3
|
(4)
|
(4)
|
Of which: individual
|
(4)
|
(2)
|
Of which: collective
|
-
|
(2)
|
Third party
|
(7)
|
(5)
|
Total
|
(7)
|
(5)
|
|
|
|
Amounts
written-off
|
2
|
2
|
(1) NWM Group's
intercompany assets were classified in Stage 1. The ECL for these
loans was £0.1 million (31 December 2023
- £0.6 million).
(2) 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
coverage ratio.
(3) The table shows gross loans only and excludes amounts that
are outside the scope of the ECL framework. For further details,
refer to Financial instruments within the scope of the IFRS 9 ECL
framework on page 58 of the NWM Group 2023 Annual Report and
Accounts. Other financial assets within the scope of the IFRS 9 ECL
framework were cash and balances at central banks totalling £21.1
billion (31 December 2023 - £13.8 billion) and debt securities of
£16.5 billion (31 December
2023 - £15.6 billion).
(4) The stage allocation of the ECL charge was aligned to the
stage transition approach that underpins the analysis in the Flow
Statement section.
|
Risk and capital
management
Credit risk - Banking activities continued
(reviewed)
Sector analysis - portfolio
summary
The table below shows ECL by
stage, and selected sectors including those that contain an element
of exposure classified as heightened climate-related
risk.
|
|
|
|
|
|
Off-balance
sheet
|
|
|
|
|
|
|
Loans - amortised cost and
FVOCI
|
|
Loan
|
Contingent
|
|
ECL
provisions
|
|
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
|
Property
|
20
|
17
|
5
|
42
|
|
94
|
7
|
|
-
|
1
|
3
|
4
|
Financial institutions (1)
|
13,755
|
152
|
-
|
13,907
|
|
6,680
|
746
|
|
19
|
2
|
-
|
21
|
Sovereign
|
580
|
-
|
-
|
580
|
|
-
|
-
|
|
1
|
-
|
-
|
1
|
Corporate
|
535
|
95
|
29
|
659
|
|
6,639
|
16
|
|
3
|
3
|
14
|
20
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture
|
-
|
-
|
-
|
-
|
|
1
|
-
|
|
-
|
-
|
-
|
-
|
Airlines
and aerospace
|
2
|
-
|
-
|
2
|
|
295
|
-
|
|
-
|
-
|
-
|
-
|
Automotive
|
2
|
-
|
-
|
2
|
|
588
|
-
|
|
-
|
-
|
-
|
-
|
Building
materials
|
4
|
-
|
-
|
4
|
|
166
|
1
|
|
-
|
-
|
-
|
-
|
Chemicals
|
8
|
2
|
-
|
10
|
|
63
|
-
|
|
-
|
-
|
-
|
-
|
Industrials
|
30
|
19
|
-
|
49
|
|
262
|
5
|
|
1
|
1
|
-
|
2
|
Land
transport and logistics
|
48
|
4
|
-
|
52
|
|
568
|
-
|
|
-
|
-
|
-
|
-
|
Leisure
|
3
|
-
|
-
|
3
|
|
159
|
-
|
|
-
|
-
|
-
|
-
|
Mining
and metals
|
-
|
-
|
3
|
3
|
|
-
|
-
|
|
-
|
-
|
3
|
3
|
Oil
and gas
|
2
|
-
|
18
|
20
|
|
51
|
1
|
|
-
|
-
|
3
|
3
|
Power
utilities
|
89
|
-
|
-
|
89
|
|
2,662
|
2
|
|
-
|
-
|
-
|
-
|
Retail
|
3
|
-
|
-
|
3
|
|
194
|
2
|
|
1
|
-
|
-
|
1
|
Shipping
|
2
|
-
|
-
|
2
|
|
-
|
-
|
|
-
|
-
|
-
|
-
|
Water
and waste
|
30
|
13
|
-
|
43
|
|
34
|
-
|
|
-
|
-
|
-
|
-
|
Total
|
14,890
|
264
|
34
|
15,188
|
|
13,413
|
769
|
|
23
|
6
|
17
|
46
|
31 December 2023
|
|
|
|
|
|
|
|
|
|
|
|
|
Property
|
19
|
21
|
10
|
50
|
|
188
|
13
|
|
-
|
-
|
7
|
7
|
Financial institutions (1)
|
12,387
|
411
|
-
|
12,798
|
|
8,150
|
747
|
|
19
|
5
|
-
|
24
|
Sovereign
|
358
|
-
|
-
|
358
|
|
-
|
-
|
|
1
|
-
|
-
|
1
|
Corporate
|
922
|
126
|
15
|
1,063
|
|
6,507
|
20
|
|
4
|
3
|
17
|
24
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture
|
1
|
-
|
-
|
1
|
|
1
|
-
|
|
-
|
-
|
-
|
-
|
Airlines
and aerospace
|
23
|
-
|
-
|
23
|
|
279
|
-
|
|
-
|
-
|
-
|
-
|
Automotive
|
2
|
-
|
-
|
2
|
|
601
|
-
|
|
-
|
-
|
-
|
-
|
Building
materials
|
4
|
-
|
4
|
8
|
|
171
|
1
|
|
-
|
-
|
2
|
2
|
Chemicals
|
11
|
-
|
-
|
11
|
|
67
|
-
|
|
-
|
-
|
-
|
-
|
Industrials
|
29
|
57
|
-
|
86
|
|
235
|
5
|
|
1
|
1
|
-
|
2
|
Land
transport and logistics
|
51
|
5
|
-
|
56
|
|
311
|
2
|
|
-
|
-
|
-
|
-
|
Leisure
|
3
|
-
|
-
|
3
|
|
158
|
-
|
|
-
|
-
|
-
|
-
|
Mining
and metals
|
-
|
-
|
3
|
3
|
|
-
|
-
|
|
-
|
-
|
3
|
3
|
Oil
and gas
|
2
|
-
|
1
|
3
|
|
52
|
1
|
|
-
|
-
|
3
|
3
|
Power
utilities
|
113
|
-
|
-
|
113
|
|
2,735
|
2
|
|
-
|
-
|
-
|
-
|
Retail
|
5
|
2
|
-
|
7
|
|
392
|
2
|
|
-
|
1
|
-
|
1
|
Shipping
|
2
|
-
|
-
|
2
|
|
-
|
-
|
|
-
|
-
|
-
|
-
|
Water
and waste
|
30
|
14
|
-
|
44
|
|
35
|
-
|
|
-
|
-
|
-
|
-
|
Total
|
13,686
|
558
|
25
|
14,269
|
|
14,845
|
780
|
|
24
|
8
|
24
|
56
|
(1)
Includes transactions, such as securitisations, where the
underlying risk may be in other sectors.
Risk and capital
management
Credit risk - Banking activities continued
(reviewed)
Flow statement
The flow statement that follows
shows the main ECL and related income statement movements. It also
shows 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 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.
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
NWM Group
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2024
|
49,168
|
24
|
|
687
|
8
|
|
24
|
24
|
|
49,879
|
56
|
Currency translation and other
adjustments
|
(249)
|
-
|
|
(6)
|
-
|
|
1
|
(5)
|
|
(254)
|
(5)
|
Inter-Group transfers
|
-
|
-
|
|
-
|
-
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 1 to Stage
2
|
(399)
|
(1)
|
|
399
|
1
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage
1
|
456
|
3
|
|
(456)
|
(3)
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 3
|
-
|
-
|
|
-
|
-
|
|
-
|
-
|
|
-
|
-
|
Net re-measurement of ECL on stage
transfer
|
|
(2)
|
|
|
3
|
|
|
-
|
|
|
1
|
Changes in risk
parameters
|
|
(5)
|
|
|
(2)
|
|
|
2
|
|
|
(5)
|
Other changes in net
exposure
|
(329)
|
4
|
|
(227)
|
(1)
|
|
(2)
|
(2)
|
|
(558)
|
1
|
Other (P&L only
items)
|
|
-
|
|
|
-
|
|
|
(4)
|
|
|
(4)
|
Income statement
releases
|
|
(3)
|
|
|
-
|
|
|
(4)
|
|
|
(7)
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(2)
|
(2)
|
|
(2)
|
(2)
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
At 30 June 2024
|
48,647
|
23
|
|
397
|
6
|
|
21
|
17
|
|
49,065
|
46
|
Net carrying amount
|
48,624
|
|
|
391
|
|
|
4
|
|
|
49,019
|
|
At 1 January 2023
|
39,875
|
20
|
|
491
|
8
|
|
58
|
26
|
|
40,424
|
54
|
2023 movements
|
1,436
|
(2)
|
|
(158)
|
(2)
|
|
(29)
|
(1)
|
|
1,249
|
(5)
|
At 30 June 2023
|
41,311
|
18
|
|
333
|
6
|
|
29
|
25
|
|
41,673
|
49
|
Net carrying amount
|
41,293
|
|
|
327
|
|
|
4
|
|
|
41,624
|
|
Condensed consolidated income
statement
For the half year ended 30 June
2024 (unaudited)
|
Half year
ended
|
|
30 June
|
30
June
|
|
2024
|
2023
|
|
£m
|
£m
|
Interest receivable
|
1,357
|
895
|
Interest payable
|
(1,120)
|
(817)
|
Net interest income
|
237
|
78
|
Fees and commissions
receivable
|
254
|
186
|
Fees and commissions
payable
|
(111)
|
(74)
|
Income from trading
activities
|
229
|
251
|
Other operating income
|
41
|
(11)
|
Non-interest income
|
413
|
352
|
Total income
|
650
|
430
|
Staff costs
|
(241)
|
(222)
|
Premises and equipment
|
(36)
|
(31)
|
Other administrative
expenses
|
(311)
|
(274)
|
Depreciation and
amortisation
|
(4)
|
(7)
|
Operating expenses
|
(592)
|
(534)
|
Profit/(loss) before impairment
releases/losses
|
58
|
(104)
|
Impairment releases
|
7
|
5
|
Operating profit/(loss) before tax
|
65
|
(99)
|
Tax credit/(charge)
|
18
|
(49)
|
Profit/(loss) for the period
|
83
|
(148)
|
|
|
|
Attributable to:
|
|
|
Ordinary shareholders
|
40
|
(183)
|
Paid-in equity holders
|
34
|
35
|
Non-controlling
interests
|
9
|
-
|
|
83
|
(148)
|
Condensed consolidated statement
of comprehensive income
For the half year ended 30 June
2024 (unaudited)
|
Half year
ended
|
|
30 June
|
30
June
|
|
2024
|
2023
|
|
£m
|
£m
|
Profit/(loss) for the period
|
83
|
(148)
|
Items that will not be reclassified subsequently to profit or
loss:
|
|
|
Remeasurement of retirement
benefit schemes
|
(3)
|
-
|
Changes in fair value of financial
liabilities designated at fair value through profit or loss (FVTPL)
due to
|
(26)
|
(4)
|
changes in credit
risk
|
|
|
FVOCI financial assets
|
3
|
3
|
Tax
|
18
|
(1)
|
|
(8)
|
(2)
|
Items that will be reclassified subsequently to profit or
loss when specific conditions are met:
|
|
|
FVOCI financial assets
|
6
|
4
|
Cash flow
hedges (1)
|
(73)
|
(104)
|
Currency translation
|
(50)
|
(144)
|
Tax
|
20
|
(16)
|
|
(97)
|
(260)
|
Other comprehensive loss after tax
|
(105)
|
(262)
|
Total comprehensive loss for the period
|
(22)
|
(410)
|
|
|
|
Attributable to:
|
|
|
Ordinary shareholders
|
(65)
|
(445)
|
Paid-in equity holders
|
34
|
35
|
Non-controlling
interests
|
9
|
-
|
|
(22)
|
(410)
|
(1) Refer
to footnote 1 of the consolidated statement of changes in
equity.
Condensed consolidated balance
sheet
As at 30 June 2024
(unaudited)
|
30 June
|
31
December
|
|
2024
|
2023
|
|
£m
|
£m
|
Assets
|
|
|
Cash and balances at central
banks
|
21,057
|
13,831
|
Trading assets
|
45,946
|
45,324
|
Derivatives
|
67,565
|
79,332
|
Settlement balances
|
6,226
|
7,227
|
Loans to banks - amortised
cost
|
1,139
|
1,246
|
Loans to customers - amortised
cost
|
14,055
|
12,986
|
Amounts due from holding company
and fellow subsidiaries
|
1,005
|
1,730
|
Other financial assets
|
16,704
|
15,723
|
Other assets
|
640
|
518
|
Total assets
|
174,337
|
177,917
|
|
|
|
Liabilities
|
|
|
Bank deposits
|
2,968
|
2,267
|
Customer deposits
|
7,695
|
6,998
|
Amounts due to holding company and
fellow subsidiaries
|
6,294
|
5,802
|
Settlement balances
|
6,936
|
6,641
|
Trading liabilities
|
53,951
|
53,623
|
Derivatives
|
60,663
|
71,981
|
Other financial
liabilities
|
28,975
|
23,574
|
Other liabilities
|
538
|
653
|
Total liabilities
|
168,020
|
171,539
|
|
|
|
Owners' equity
|
6,310
|
6,380
|
Non-controlling
interests
|
7
|
(2)
|
Total equity
|
6,317
|
6,378
|
|
|
|
Total liabilities and equity
|
174,337
|
177,917
|
Condensed consolidated statement
of changes in equity
For the half year ended 30 June
2024 (unaudited)
|
Half year
ended
|
|
30 June
|
30
June
|
|
2024
|
2023
|
|
£m
|
£m
|
Called up share capital - at beginning and end of
period
|
400
|
400
|
|
|
|
Share premium account - at beginning and end of
period
|
1,946
|
1,946
|
|
|
|
Paid-in equity - at beginning and end of
period
|
904
|
904
|
|
|
|
Merger reserve - at beginning of period
|
(14)
|
-
|
Amortisation
|
1
|
-
|
At end of period
|
(13)
|
-
|
|
|
|
FVOCI reserve - at beginning of period
|
13
|
3
|
Unrealised gains
|
9
|
7
|
Realised gains
|
(2)
|
-
|
Tax
|
1
|
(1)
|
At end of period
|
21
|
9
|
|
|
|
Cash flow hedging reserve - at beginning of
period
|
(164)
|
(294)
|
Amount recognised in
equity (1)
|
(212)
|
(30)
|
Amount transferred from equity to
earnings
|
139
|
(74)
|
Tax
|
21
|
(16)
|
At end of period
|
(216)
|
(414)
|
|
|
|
Foreign exchange reserve - at beginning of
period
|
100
|
232
|
Retranslation of net
assets
|
(66)
|
(181)
|
Foreign currency gains on hedges
of net assets
|
19
|
36
|
Recycled to profit or loss on
disposal of businesses
|
(3)
|
1
|
At end of period
|
50
|
88
|
|
|
|
Retained earnings - at beginning of period
|
3,195
|
3,374
|
Profit/ (loss) attributable to
ordinary shareholders and other equity owners
|
74
|
(148)
|
Capital
contribution (2)
|
-
|
96
|
Paid-in equity dividends
paid
|
(34)
|
(35)
|
Remeasurement of retirement
benefit schemes
|
|
|
- gross
|
(3)
|
-
|
- tax
|
14
|
-
|
Realised gains in period on FVOCI
equity shares
|
2
|
-
|
Changes in fair value of financial
liabilities designated at FVTPL due to changes in credit
risk
|
|
|
- gross
|
(26)
|
(4)
|
- tax
|
2
|
-
|
Share-based
payments
|
(5)
|
(19)
|
Amortisation of merger
reserve
|
(1)
|
-
|
At end of period
|
3,218
|
3,264
|
|
|
|
Owners' equity at end of period
|
6,310
|
6,197
|
|
|
|
Non-controlling interests - at beginning of
period
|
(2)
|
(2)
|
Profit attributable to
non-controlling interests
|
9
|
-
|
At end of period
|
7
|
(2)
|
|
|
|
Total equity at end of period
|
6,317
|
6,195
|
|
|
|
Attributable to:
|
|
|
Ordinary shareholders
|
5,406
|
5,293
|
Paid-in equity holders
|
904
|
904
|
Non-controlling
interests
|
7
|
(2)
|
|
6,317
|
6,195
|
(1) The change in the
cash flow hedging reserve is driven from realised accrued interest
transferred into the income statement. This is offset by a
loss from an increase in swap rates compared to 31 December 2023.
The portfolio of hedging instruments is predominantly receive fixed
swaps.
(2) During H1 2023,
NatWest Markets invoked a claim against the parent, NatWest Group
plc, in respect of a legacy (non-trading) matter which was covered
by an indemnity agreement. This resulted in a capital
contribution.
Condensed consolidated cash flow
statement
For the half year ended 30 June
2024 (unaudited)
|
Half year
ended
|
|
30 June
|
30
June
|
|
2024
|
2023
|
|
£m
|
£m
|
Cash flows from operating activities
|
|
|
Operating profit/(loss) before
tax
|
65
|
(99)
|
Adjustments for non-cash and other
items
|
50
|
263
|
Net cash flows from trading activities
|
115
|
164
|
Changes in operating assets and
liabilities
|
5,379
|
7,164
|
Net cash flows from operating activities before
tax
|
5,494
|
7,328
|
Income taxes
(paid)/received
|
(101)
|
69
|
Net cash flows from operating activities
|
5,393
|
7,397
|
Net cash flows from investing activities
|
(665)
|
(425)
|
Net cash flows from financing activities
|
399
|
(911)
|
Effects of exchange rate changes
on cash and cash equivalents
|
(346)
|
(751)
|
Net increase in cash and cash equivalents
|
4,781
|
5,310
|
Cash and cash equivalents at
beginning of period
|
24,943
|
26,828
|
Cash and cash equivalents at end of period
|
29,724
|
32,138
|
Notes
1. Presentation of condensed
consolidated financial statements
The condensed consolidated
financial statements should be read in conjunction with NatWest
Markets Plc's 2023 Annual Report and Accounts. The accounting
policies are the same as those applied in the consolidated
financial statements.
The directors have prepared the
condensed consolidated financial statements on a going concern
basis after assessing the principal risks, forecasts, projections
and other relevant evidence over the twelve months from the date
they are approved and in accordance with IAS 34 'Interim Financial
Reporting', as adopted by the UK and as issued by the International
Accounting Standards Board (IASB), and the Disclosure Guidance and
Transparency Rules sourcebook of the UK's Financial Conduct
Authority.
Amendments to IFRS effective from
1 January 2024 had no material effect on the condensed consolidated
financial statements.
2. Non-interest income
|
Half year
ended
|
|
30 June
|
30
June
|
|
2024
|
2023
|
Analysis of net fees and commissions
|
£m
|
£m
|
Fees and commissions receivable
|
|
|
- Lending and financing
|
59
|
39
|
- Brokerage
|
22
|
20
|
- Underwriting fees
|
93
|
71
|
- Other
|
80
|
56
|
Total
|
254
|
186
|
Fees and commissions
payable
|
(111)
|
(74)
|
Net fees and commissions
|
143
|
112
|
|
|
|
Income from trading activities
|
|
|
Foreign exchange
|
89
|
64
|
Interest rate
|
225
|
212
|
Credit
|
(78)
|
(34)
|
Changes in fair value of own debt
and derivative liabilities attributable to own credit
risk
|
|
|
- debt securities in issue and derivative
liabilities
|
(7)
|
9
|
|
229
|
251
|
Other operating income
|
|
|
Loss on redemption of own
debt
|
-
|
(14)
|
Changes in fair value of financial
assets and liabilities designated at fair value through profit or
loss (1)
|
(41)
|
(7)
|
Changes in fair value of other
financial assets and liabilities designated at fair value through
profit or loss
|
4
|
5
|
Other income (2)
|
78
|
5
|
|
41
|
(11)
|
Total
|
413
|
352
|
(1) Includes related
derivatives.
(2) Other income includes
a new profit share agreement with fellow NatWest Group subsidiaries
that commenced in Q4 2023. The profit share arrangement was
introduced during the year to reward NWM Group on an arm's length
basis for its contribution to the performance of the NatWest Group
Commercial & Institutional business segment, 2023 being the
first full year with the Commercial & Institutional segment in
place. Variable consideration is only
recognised to the extent it is considered highly probable that a
reversal of the amount of revenue will not occur once the
uncertainty is subsequently resolved. In making this assessment, a
review of historical performance and forecasts was undertaken to
reach the conclusion that it is highly probable that a reversal of
revenue will not occur.
Notes
3. Operating expenses
|
Half year
ended
|
|
30 June
|
30
June
|
|
2024
|
2023
|
|
£m
|
£m
|
Salaries
|
148
|
130
|
Bonus awards
|
60
|
59
|
Temporary and contract
costs
|
5
|
3
|
Social security costs
|
23
|
23
|
Pension costs
|
5
|
7
|
-
defined benefit schemes
|
(7)
|
(3)
|
-
defined contribution schemes
|
12
|
10
|
Staff costs
|
241
|
222
|
|
|
|
Premises and equipment
|
36
|
31
|
Depreciation and
amortisation
|
4
|
7
|
Other administrative
expenses (1,2)
|
311
|
274
|
Administrative expenses
|
351
|
312
|
Operating expenses
|
592
|
534
|
(1)
Includes £253 million (30 June 2023 - £258 million) of recharges
from other NatWest Group entities, mainly NWB Plc which provides
the majority of shared services (including technology) and
operational processes.
|
(2)
Includes litigation and other regulatory costs. Further details are
provided in Note 10.
|
4. Tax
The actual tax credit differs from
the expected tax credit computed by applying the standard UK
corporation tax rate of 25% (2023 - 23.5%), as analysed
below:
|
Half year
ended
|
|
30 June
|
30
June
|
|
2024
|
2023
|
|
£m
|
£m
|
Profit/(loss) before tax
|
65
|
(99)
|
Expected tax (charge)/credit
|
(16)
|
23
|
Losses and temporary differences
in period where no deferred tax asset recognised
|
(1)
|
-
|
Foreign profits taxed at other
rates
|
-
|
(2)
|
Items not allowed for
tax:
|
|
|
- losses on disposals and write-downs
|
2
|
-
|
- UK Bank Levy
|
(3)
|
(2)
|
- regulatory and legal actions
|
-
|
2
|
Non-taxable items:
|
|
|
- RPI-related uplift on index-linked gilts
|
18
|
6
|
- other non-taxable items
|
9
|
1
|
Unrecognised losses brought
forward and utilised
|
9
|
8
|
Decrease in the carrying value of
deferred tax assets in respect of UK losses
|
-
|
(3)
|
Banking surcharge
|
4
|
8
|
Tax on paid-in equity
dividends
|
10
|
5
|
Adjustments in respect of prior
years
|
(14)
|
(95)
|
Actual tax credit/(charge)
|
18
|
(49)
|
At 30 June 2024, NWM Group has
recognised a deferred tax asset of £107 million (31 December 2023 -
£55 million) and a deferred tax liability of £36 million (31
December 2023 - £54 million). These amounts include deferred tax
assets recognised in respect of trading losses of £49 million (31
December 2023 - £55 million). NWM Group has considered the carrying
value of these assets as at 30 June 2024 and concluded that they
are recoverable.
Notes
5. Financial instruments -
classification
The
following tables analyse financial assets and liabilities in
accordance with the categories of financial instruments in IFRS
9.
|
|
|
|
Amortised
|
Other
|
|
|
MFVTPL
|
DFV
|
FVOCI
|
cost
|
assets
|
Total
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
Assets
|
|
|
|
|
|
|
Cash and balances at central
banks
|
|
|
|
21,057
|
|
21,057
|
Trading assets
|
45,946
|
|
|
|
|
45,946
|
Derivatives (1)
|
67,565
|
|
|
|
|
67,565
|
Settlement balances
|
|
|
|
6,226
|
|
6,226
|
Loans to banks - amortised
cost (2)
|
|
|
|
1,139
|
|
1,139
|
Loans to customers - amortised
cost
|
|
|
|
14,055
|
|
14,055
|
Amounts due from holding company
and fellow subsidiaries
|
71
|
-
|
-
|
880
|
54
|
1,005
|
Other financial assets
|
47
|
5
|
4,415
|
12,237
|
|
16,704
|
Other assets
|
|
|
|
|
640
|
640
|
30 June 2024
|
113,629
|
5
|
4,415
|
55,594
|
694
|
174,337
|
|
|
|
|
|
|
|
Cash and balances at central
banks
|
|
|
|
13,831
|
|
13,831
|
Trading assets
|
45,324
|
|
|
|
|
45,324
|
Derivatives (1)
|
79,332
|
|
|
|
|
79,332
|
Settlement balances
|
|
|
|
7,227
|
|
7,227
|
Loans to banks - amortised
cost (2)
|
|
|
|
1,246
|
|
1,246
|
Loans to customers - amortised
cost
|
|
|
|
12,986
|
|
12,986
|
Amounts due from holding company
and fellow subsidiaries
|
273
|
-
|
-
|
1,263
|
194
|
1,730
|
Other financial assets
|
48
|
5
|
4,115
|
11,555
|
|
15,723
|
Other assets
|
|
|
|
|
518
|
518
|
31 December 2023
|
124,977
|
5
|
4,115
|
48,108
|
712
|
177,917
|
|
Held-for-
|
|
Amortised
|
Other
|
|
|
trading
|
DFV
|
cost
|
liabilities
|
Total
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
Liabilities
|
|
|
|
|
|
Bank deposits (3)
|
|
|
2,968
|
|
2,968
|
Customer deposits
|
|
|
7,695
|
|
7,695
|
Amounts due to holding company and
fellow subsidiaries
|
963
|
-
|
5,205
|
126
|
6,294
|
Settlement balances
|
|
|
6,936
|
|
6,936
|
Trading liabilities
|
53,951
|
|
|
|
53,951
|
Derivatives (1)
|
60,663
|
|
|
|
60,663
|
Other financial
liabilities
|
|
3,245
|
25,730
|
|
28,975
|
Other
liabilities (4)
|
|
|
42
|
496
|
538
|
30 June 2024
|
115,577
|
3,245
|
48,576
|
622
|
168,020
|
|
|
|
|
|
|
Bank deposits (3)
|
|
|
2,267
|
|
2,267
|
Customer deposits
|
|
|
6,998
|
|
6,998
|
Amounts due to holding company and
fellow subsidiaries
|
1,028
|
-
|
4,696
|
78
|
5,802
|
Settlement balances
|
|
|
6,641
|
|
6,641
|
Trading liabilities
|
53,623
|
|
|
|
53,623
|
Derivatives (1)
|
71,981
|
|
|
|
71,981
|
Other financial
liabilities
|
|
3,106
|
20,468
|
|
23,574
|
Other
liabilities (4)
|
|
|
48
|
605
|
653
|
31 December 2023
|
126,632
|
3,106
|
41,118
|
683
|
171,539
|
(1)
|
Includes net hedging derivative
assets of £51 million (31 December 2023 - £118 million) and net
hedging derivative liabilities of £328 million (31 December 2023 -
£267 million).
|
(2)
|
Includes items in the course of
collection from other banks of £128 million (31 December 2023 - £92
million).
|
(3)
|
Includes items in the course of
transmission to other banks of £452 million (31 December 2023 - £81
million).
|
(4)
|
Includes lease liabilities of £39
million (31 December 2023 - £41 million), held at amortised
cost.
|
|
|
Notes
5. Financial instruments - valuation
Disclosures relating to the
control environment, valuation techniques and related aspects
pertaining to financial instruments measured at fair value are
included in NatWest Markets Plc's 2023 Annual Report and Accounts.
Valuation, sensitivity methodologies and inputs at 30 June 2024 are
consistent with those described in Note 10 to NatWest Markets Plc's
2023 Annual Report and Accounts.
Fair value hierarchy
The table below shows the assets
and liabilities held by NWM Group split by fair value hierarchy
level. Level 1 are considered the most liquid instruments, and
level 3 the most illiquid, valued using expert judgment and hence
carry the most significant price uncertainty.
|
30 June
2024
|
|
31
December 2023
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Level
1
|
Level
2
|
Level
3
|
Total
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
Assets
|
|
|
|
|
|
|
|
|
|
Trading assets
|
|
|
|
|
|
|
|
|
|
Loans
|
-
|
25,981
|
229
|
26,210
|
|
-
|
33,161
|
209
|
33,370
|
Securities
|
15,097
|
4,639
|
-
|
19,736
|
|
8,447
|
3,493
|
14
|
11,954
|
Derivatives
|
|
|
|
|
|
|
|
|
|
Interest rate
|
-
|
40,682
|
573
|
41,255
|
|
1
|
44,272
|
670
|
44,943
|
Foreign exchange
|
-
|
26,035
|
132
|
26,167
|
|
-
|
34,143
|
65
|
34,208
|
Other
|
-
|
74
|
69
|
143
|
|
-
|
73
|
108
|
181
|
Amounts due from holding
company
|
|
|
|
|
|
|
|
|
|
and fellow
subsidiaries
|
-
|
71
|
-
|
71
|
|
-
|
273
|
-
|
273
|
Other financial assets
|
|
|
|
|
|
|
|
|
|
Loans
|
-
|
2
|
108
|
110
|
|
-
|
-
|
111
|
111
|
Securities
|
3,031
|
1,234
|
92
|
4,357
|
|
2,905
|
1,058
|
94
|
4,057
|
Total financial assets held at fair value
|
18,128
|
98,718
|
1,203
|
118,049
|
|
11,353
|
116,473
|
1,271
|
129,097
|
As % of total fair value
assets
|
15%
|
84%
|
1%
|
|
|
9%
|
90%
|
1%
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
Amounts due to holding
company
|
|
|
|
|
|
|
|
|
|
and fellow
subsidiaries
|
-
|
963
|
-
|
963
|
|
-
|
1,028
|
-
|
1,028
|
Trading liabilities
|
|
|
|
|
|
|
|
|
|
Deposits
|
-
|
43,935
|
-
|
43,935
|
|
-
|
43,113
|
1
|
43,114
|
Debt
securities in issue
|
-
|
307
|
-
|
307
|
|
-
|
706
|
-
|
706
|
Short
positions
|
7,843
|
1,864
|
2
|
9,709
|
|
7,936
|
1,865
|
2
|
9,803
|
Derivatives
|
|
|
|
|
|
|
|
|
|
Interest rate
|
-
|
34,536
|
451
|
34,987
|
|
-
|
37,838
|
454
|
38,292
|
Foreign exchange
|
-
|
25,344
|
67
|
25,411
|
|
-
|
33,306
|
58
|
33,364
|
Other
|
-
|
114
|
151
|
265
|
|
-
|
137
|
188
|
325
|
Other financial
liabilities
|
|
|
|
|
|
|
|
|
|
Deposits
|
-
|
1,376
|
-
|
1,376
|
|
-
|
1,259
|
-
|
1,259
|
Debt
securities in issue
|
-
|
1,637
|
3
|
1,640
|
|
-
|
1,607
|
3
|
1,610
|
Subordinated
liabilities
|
-
|
229
|
-
|
229
|
|
-
|
237
|
-
|
237
|
Total financial liabilities held at fair
value
|
7,843
|
110,305
|
674
|
118,822
|
|
7,936
|
121,096
|
706
|
129,738
|
As % of total fair value
liabilities
|
7%
|
92%
|
1%
|
|
|
6%
|
93%
|
1%
|
|
(1)
|
Level 1 - Instruments valued using
unadjusted quoted prices in active and liquid markets, for
identical financial instruments. Examples include government bonds,
listed equity shares and certain exchange-traded
derivatives.
Level 2 - Instruments valued using
valuation techniques that have observable inputs. Observable inputs
are those that are readily available with limited adjustments
required. Examples include most government agency securities,
investment-grade corporate bonds, certain mortgage products -
including CLOs, most bank loans, repos and reverse repos, state and
municipal obligations, most notes issued, certain money market
securities, loan commitments and most OTC derivatives.
Level 3 - Instruments valued using
a valuation technique where at least one input which could have a
significant effect on the instrument's valuation, is not based on
observable market data. Examples include non-derivative instruments
which trade infrequently, certain syndicated and commercial
mortgage loans, private equity, and derivatives with unobservable
model inputs.
|
(2)
|
Transfers between levels are
deemed to have occurred at the beginning of the quarter in which
the instruments were transferred.
|
(3)
|
For an analysis of debt securities
held at mandatorily fair value through profit or loss by issuer as
well as ratings and derivatives, by type and contract, refer to
Risk and capital management - Credit risk.
|
Notes
5. Financial instruments - valuation
continued
Valuation adjustments
When valuing financial instruments
in the trading book, adjustments are made to mid-market valuations
to cover bid-offer spread, funding and credit risk. These
adjustments are presented in the table below. For further
information refer to the descriptions of valuation adjustments
within 'Financial instruments - valuation' on page 119 of NatWest
Markets Plc's 2023 Annual Report and Accounts.
|
30 June
|
31
December
|
|
2024
|
2023
|
£m
|
£m
|
Funding valuation
adjustments
|
(5)
|
9
|
Credit valuation
adjustments
|
220
|
236
|
Bid-offer
|
56
|
70
|
Product and deal
specific
|
149
|
104
|
Total
|
420
|
419
|
- Valuation reserves comprising credit valuation adjustments
(CVA), funding valuation adjustment (FVA), bid-offer and product
and deal specific reserves, increased to £420 million at 30 June
2024 (31 December 2023 - £419 million).
- The
movements in FVA and CVA were driven by a reduction in exposure as
interest rates increased. The decrease in bid-offer was driven by
risk reduction over the period. Product and deal specific increased
following valuation adjustments on specific trades.
Level 3 sensitivities
The table below shows the high and
low range of fair value of the level 3 assets and
liabilities.
|
30 June
2024
|
|
31
December 2023
|
|
Level 3
|
Favourable
|
Unfavourable
|
|
Level
3
|
Favourable
|
Unfavourable
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Assets
|
|
|
|
|
|
|
|
Trading assets
|
|
|
|
|
|
|
|
Loans
|
229
|
-
|
-
|
|
209
|
-
|
-
|
Securities
|
-
|
-
|
-
|
|
14
|
-
|
-
|
Derivatives
|
|
|
|
|
|
|
|
Interest rate
|
573
|
20
|
(20)
|
|
670
|
20
|
(20)
|
Foreign exchange
|
132
|
10
|
(10)
|
|
65
|
-
|
-
|
Other
|
69
|
-
|
-
|
|
108
|
10
|
(10)
|
Other financial assets
|
|
|
|
|
|
|
|
Loans
|
108
|
-
|
-
|
|
111
|
-
|
-
|
Securities
|
92
|
10
|
(10)
|
|
94
|
10
|
(10)
|
Total
|
1,203
|
40
|
(40)
|
|
1,271
|
40
|
(40)
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
Trading liabilities
|
|
|
|
|
|
|
|
Deposits
|
-
|
-
|
-
|
|
1
|
-
|
-
|
Short positions
|
2
|
-
|
-
|
|
2
|
-
|
-
|
Derivatives
|
|
|
|
|
|
|
|
Interest rate
|
451
|
10
|
(10)
|
|
454
|
10
|
(10)
|
Foreign exchange
|
67
|
-
|
-
|
|
58
|
-
|
-
|
Other
|
151
|
10
|
(10)
|
|
188
|
10
|
(10)
|
Other financial liabilities - debt
securities in issue
|
3
|
-
|
-
|
|
3
|
-
|
-
|
Total
|
674
|
20
|
(20)
|
|
706
|
20
|
(20)
|
Alternative assumptions
Reasonably plausible alternative
assumptions of unobservable inputs are determined based on a
specified target level of certainty of 90%. Alternative assumptions
are determined with reference to all available evidence including
consideration of the following: quality of independent pricing
information considering consistency between different sources,
variation over time, perceived tradability or otherwise of
available quotes; consensus service dispersion ranges; volume of
trading activity and market bias (e.g. one-way inventory); day 1
profit or loss arising on new trades; number and nature of market
participants; market conditions; modelling consistency in the
market; size and nature of risk; length of holding of position; and
market intelligence.
Notes
5. Financial instruments - valuation
continued
Movement in level 3 assets and
liabilities
The following table shows the
movement in level 3 assets and liabilities.
|
|
Other
|
Other
|
|
|
Other
|
Other
|
|
|
Derivatives
|
trading
|
financial
|
Total
|
Derivatives
|
trading
|
financial
|
Total
|
|
assets
|
assets (2)
|
assets (3)
|
assets
|
liabilities
|
liabilities
|
liabilities
|
liabilities
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
At 1 January 2024
|
843
|
223
|
205
|
1,271
|
700
|
3
|
3
|
706
|
Amounts recorded in the
income
|
|
|
|
|
|
|
|
|
statement (1)
|
(78)
|
2
|
(3)
|
(79)
|
(28)
|
-
|
-
|
(28)
|
Amount recorded in the statement
of
|
|
|
|
|
|
|
|
|
comprehensive
income
|
-
|
-
|
(1)
|
(1)
|
-
|
-
|
-
|
-
|
Level 3 transfers in
|
7
|
-
|
-
|
7
|
1
|
-
|
-
|
1
|
Level 3 transfers out
|
(2)
|
(15)
|
-
|
(17)
|
(2)
|
(1)
|
-
|
(3)
|
Purchases/originations
|
82
|
25
|
2
|
109
|
67
|
1
|
-
|
68
|
Settlements/other
decreases
|
(38)
|
(7)
|
-
|
(45)
|
(29)
|
-
|
-
|
(29)
|
Sales
|
(40)
|
-
|
(2)
|
(42)
|
(38)
|
(1)
|
-
|
(39)
|
Foreign exchange and other
adjustments
|
-
|
1
|
(1)
|
-
|
(2)
|
-
|
-
|
(2)
|
At 30 June 2024
|
774
|
229
|
200
|
1,203
|
669
|
2
|
3
|
674
|
|
|
|
|
|
|
|
|
|
Amounts recorded in the income
statement
|
|
|
|
|
|
|
|
|
in respect of
balance held at period end:
|
|
|
|
|
|
|
|
|
- unrealised
|
108
|
-
|
(2)
|
106
|
123
|
-
|
-
|
123
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At 1 January 2023
|
1,023
|
396
|
237
|
1,656
|
999
|
1
|
-
|
1,000
|
Amounts recorded in the
income
|
|
|
|
|
|
|
|
|
statement (1)
|
(54)
|
(28)
|
(1)
|
(83)
|
(82)
|
-
|
-
|
(82)
|
Amount recorded in the statement
of
|
|
|
|
|
|
|
|
|
comprehensive
income
|
-
|
-
|
8
|
8
|
-
|
-
|
-
|
-
|
Level 3 transfers in
|
4
|
-
|
-
|
4
|
6
|
1
|
-
|
7
|
Level 3 transfers out
|
(2)
|
(32)
|
-
|
(34)
|
(5)
|
-
|
-
|
(5)
|
Purchases/originations
|
86
|
6
|
-
|
92
|
89
|
-
|
-
|
89
|
Settlements/other
decreases
|
(20)
|
(4)
|
-
|
(24)
|
(27)
|
-
|
-
|
(27)
|
Sales
|
(92)
|
(59)
|
(24)
|
(175)
|
(54)
|
-
|
-
|
(54)
|
Foreign exchange and other
adjustments
|
(1)
|
(2)
|
(1)
|
(4)
|
(5)
|
-
|
-
|
(5)
|
At 30 June 2023
|
944
|
277
|
219
|
1,440
|
921
|
2
|
-
|
923
|
|
|
|
|
|
|
|
|
|
Amounts recorded in the income
statement
|
|
|
|
|
|
|
|
|
in respect of
balance held at period end:
|
|
|
|
|
|
|
|
|
- unrealised
|
-
|
(82)
|
(1)
|
(83)
|
(82)
|
-
|
-
|
(82)
|
(1)
|
Net losses on trading assets and
liabilities of £48 million (30 June 2023 - nil) were recorded in
income from trading activities. Net losses on other instruments of
£3 million (30 June 2023 - £1 million losses) were recorded in
other operating income and interest income as
appropriate.
|
(2)
|
Other trading assets and other
trading liabilities comprise assets and liabilities held at fair
value in trading portfolios.
|
(3)
|
Other financial assets comprise
fair value through other comprehensive income, designated as at
fair value through profit or loss and other fair value through
profit or loss.
|
Notes
5. Financial instruments - valuation
continued
Fair value of financial instruments
measured at amortised cost on the balance sheet
The following table shows the
carrying value and fair value of financial instruments carried at
amortised cost on the balance sheet.
|
|
|
|
|
Items where
fair
|
|
Carrying
|
Fair
|
Fair value hierarchy
level
|
value
approximates
|
|
value
|
value
|
Level 2
|
Level 3
|
carrying
value
|
30 June 2024
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
Financial assets
|
|
|
|
|
|
Cash and balances at central
banks
|
21.1
|
21.1
|
-
|
-
|
21.1
|
Settlement balances
|
6.2
|
6.2
|
-
|
-
|
6.2
|
Loans to banks
|
1.1
|
1.1
|
0.3
|
-
|
0.8
|
Loans to customers
|
14.1
|
14.0
|
1.2
|
12.8
|
-
|
Amounts due from holding
company
|
|
|
|
|
|
and fellow
subsidiaries
|
0.9
|
0.9
|
-
|
0.2
|
0.7
|
Other financial assets -
securities
|
12.2
|
12.2
|
4.6
|
7.6
|
-
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
Financial assets
|
|
|
|
|
|
Cash and balances at central
banks
|
13.8
|
13.8
|
-
|
-
|
13.8
|
Settlement balances
|
7.2
|
7.2
|
-
|
-
|
7.2
|
Loans to banks
|
1.2
|
1.2
|
0.2
|
0.1
|
0.9
|
Loans to customers
|
13.0
|
13.0
|
1.6
|
11.4
|
-
|
Amounts due from holding
company
|
|
|
|
|
|
and fellow
subsidiaries
|
1.3
|
1.3
|
-
|
1.2
|
0.1
|
Other financial assets -
securities
|
11.6
|
11.5
|
0.9
|
10.6
|
-
|
|
|
|
|
|
|
30 June 2024
|
|
|
|
|
|
Financial liabilities
|
|
|
|
|
|
Bank deposits
|
3.0
|
3.0
|
-
|
2.5
|
0.5
|
Customer deposits
|
7.7
|
7.8
|
0.3
|
7.4
|
0.1
|
Amounts due to holding
company
|
|
|
|
|
|
and fellow
subsidiaries
|
5.2
|
5.3
|
4.7
|
0.6
|
-
|
Settlement balances
|
6.9
|
6.9
|
-
|
-
|
6.9
|
Other financial liabilities - debt
securities in issue
|
25.7
|
25.5
|
21.4
|
4.1
|
-
|
|
|
|
|
|
|
31 December 2023
|
|
|
|
|
|
Financial liabilities
|
|
|
|
|
|
Bank deposits
|
2.3
|
2.3
|
0.5
|
1.7
|
0.1
|
Customer deposits
|
7.0
|
7.0
|
0.4
|
6.5
|
0.1
|
Amounts due to holding
company
|
|
|
|
|
|
and fellow
subsidiaries
|
4.7
|
4.7
|
4.1
|
0.6
|
-
|
Settlement balances
|
6.6
|
6.6
|
-
|
-
|
6.6
|
Other financial liabilities - debt
securities in issue
|
20.4
|
20.2
|
16.5
|
3.7
|
-
|
The assumptions and methodologies
underlying the calculation of fair values of financial instruments
at the balance sheet date are as follows:
Short-term financial
instruments
For certain short-term financial
instruments: cash and balances at central banks, items in the
course of collection from other banks, settlement balances, items
in the course of transmission to other banks, and customer demand
deposits, carrying value is deemed a reasonable approximation of
fair value.
Loans to banks and
customers
In estimating the fair value of
net loans to customers and banks measured at amortised cost, NWM
Group's loans are segregated into appropriate portfolios reflecting
the characteristics of the constituent loans. Two principal methods
are used to estimate fair value; contractual cash flows and
expected cash flows.
Debt securities and subordinated
liabilities
Most debt securities are valued
using quoted prices in active markets or from quoted prices of
similar financial instruments in active markets. For the remaining
population, fair values are determined using market standard
valuation techniques, such as discounted cash flows.
Bank and customer
deposits
Fair values of deposits are
estimated using discounted cash flow valuation
techniques.
Notes
6. Trading assets and liabilities
Trading assets and liabilities
comprise assets and liabilities held at fair value in trading
portfolios.
|
30 June
|
31
December
|
|
2024
|
2023
|
|
£m
|
£m
|
Assets
|
|
|
Loans
|
|
|
Reverse
repos
|
18,245
|
23,694
|
Collateral
given
|
7,478
|
8,914
|
Other
loans
|
487
|
762
|
Total loans
|
26,210
|
33,370
|
Securities
|
|
|
Central and local
government
|
|
|
-
UK
|
5,170
|
2,729
|
-
US
|
5,507
|
2,600
|
-
Other
|
4,646
|
3,062
|
Financial
institutions and corporate
|
4,413
|
3,563
|
Total securities
|
19,736
|
11,954
|
Total
|
45,946
|
45,324
|
|
|
|
Liabilities
|
|
|
Deposits
|
|
|
Repos
|
29,321
|
26,902
|
Collateral
received
|
13,814
|
15,062
|
Other
deposits
|
800
|
1,150
|
Total deposits
|
43,935
|
43,114
|
Debt securities in
issue
|
307
|
706
|
Short positions
|
|
|
Central and local
government
|
|
|
-
UK
|
2,515
|
1,893
|
-
US
|
813
|
2,071
|
-
Other
|
4,836
|
4,049
|
Financial
institutions and corporate
|
1,545
|
1,790
|
Total short positions
|
9,709
|
9,803
|
Total
|
53,951
|
53,623
|
Notes
7. Loan impairment provisions
Portfolio summary
The table below shows gross loans
and ECL, by segment and stage, within the scope of ECL
framework.
|
30 June
|
31
December
|
|
2024
|
2023
|
|
£m
|
£m
|
Loans - amortised cost and fair value through other
comprehensive income (FVOCI)
|
|
|
Stage 1
|
14,890
|
13,686
|
Stage 2
|
264
|
558
|
Stage 3
|
34
|
25
|
Of which: individual
|
26
|
17
|
Of which: collective
|
8
|
8
|
Inter-group (1)
|
301
|
1,264
|
Total
|
15,489
|
15,533
|
|
|
|
ECL provisions
|
|
|
Stage 1
|
23
|
24
|
Stage 2
|
6
|
8
|
Stage 3
|
17
|
24
|
Of which: individual
|
10
|
16
|
Of which: collective
|
7
|
8
|
Inter-group
|
-
|
1
|
Total
|
46
|
57
|
|
|
|
ECL provisions
coverage (2)
|
|
|
Stage 1 (%)
|
0.15
|
0.18
|
Stage 2 (%)
|
2.27
|
1.43
|
Stage 3 (%)
|
50.00
|
96.00
|
Inter-group (%)
|
-
|
0.08
|
Total
|
0.30
|
0.39
|
|
|
|
|
Half year
ended
|
|
30 June
|
30
June
|
|
2024
|
2023
|
|
£m
|
£m
|
Impairment losses
|
|
|
ECL charge/(release)
|
|
|
Stage 1
|
(3)
|
(2)
|
Stage 2
|
-
|
1
|
Stage 3
|
(4)
|
(4)
|
Of which: individual
|
(4)
|
(2)
|
Of which: collective
|
-
|
(2)
|
Third party
|
(7)
|
(5)
|
Inter-group
|
-
|
-
|
Total
|
(7)
|
(5)
|
|
|
|
Amounts
written-off
|
2
|
2
|
(1)
|
NWM Group's intercompany assets
were classified in Stage 1. The ECL for these loans was £0.1
million (31 December 2023 -
£1 million).
|
(2)
|
ECL provisions coverage is
calculated as ECL provisions divided by loans - amortised cost and
FVOCI. It is calculated on third party loans and total ECL
provisions.
|
(3)
|
The table shows gross loans only
and excludes amounts that are outside the scope of the ECL
framework. For further details, refer to Financial instruments
within the scope of the IFRS 9 ECL framework on page 58 of the
NatWest Markets Plc 2023 Annual Report and Accounts. Other
financial assets within the scope of the IFRS 9 ECL framework were
cash and balances at central banks totalling £21.1 billion (31
December 2023 - £13.8 billion) and debt securities of £16.5 billion
(31 December 2023
- £15.6 billion).
|
Notes
8. Provisions for liabilities and charges
|
Litigation
|
|
|
|
and other
|
|
|
|
regulatory
|
Other (1)
|
Total
|
|
£m
|
£m
|
£m
|
At 1 January 2024
|
141
|
39
|
180
|
Currency translation and other
movements
|
2
|
(3)
|
(1)
|
Charge to income
statement
|
10
|
7
|
17
|
Release to income
statement
|
(19)
|
-
|
(19)
|
Provisions utilised
|
(17)
|
(2)
|
(19)
|
At 30 June 2024
|
117
|
41
|
158
|
(1)
Materially comprises provisions relating to restructuring
costs.
Provisions are liabilities of
uncertain timing or amount and are recognised when there is a
present obligation as a result of a past event, the outflow of
economic benefit is probable, and the outflow can be estimated
reliably. Any difference between the final outcome and the amounts
provided will affect the reported results in the period when the
matter is resolved.
9. Contingent liabilities and commitments
The amounts shown in the table
below are intended only to provide an indication of the volume of
business outstanding at 30 June 2024. Although the NWM Group is
exposed to credit risk in the event of a customer's failure to meet
its obligations, the amounts shown do not, and are not intended to,
provide any indication of NWM Group's expectation of future
losses.
|
30 June
|
31
December
|
|
2024
|
2023
|
|
£m
|
£m
|
Contingent liabilities and commitments
|
|
|
Guarantees
|
768
|
754
|
Other contingent
liabilities
|
17
|
26
|
Standby facilities, credit lines
and other commitments
|
13,468
|
14,690
|
Total
|
14,253
|
15,470
|
Commitments and contingent
obligations are subject to NWM Group's normal credit approval
processes.
Risk-sharing
arrangements
NWM Plc and NWM N.V. have limited
risk-sharing arrangements in place to facilitate the smooth
provision of services to NatWest Markets' customers. The
arrangements, which NWM Plc recognises as financial guarantees
within Amounts due to subsidiaries, include:
- The
provision of a funded guarantee of up to £0.85 billion by NWM Plc
to NWM N.V. that limits certain NWM N.V.'s exposures to large
individual customer credits. Funding is provided by NWM Plc
deposits placed with NWM N.V. of not less than the guaranteed
amount. At 30
June 2024 the deposits amounted to £0.5 billion and the guaranteed
fees in the period were £1.8 million.
- The
provision of funded and unfunded guarantees by NWM Plc in respect
of NWM N.V.'s legacy portfolio. At 30 June 2024 the exposure at
default covered by the guarantees was approximately £0.2 billion
(of which none was cash collateralised). Fees of £0.4 million in
relation to the guarantees were recognised in the
period.
Indemnity deed
In April 2019 NWM Plc and NWB Plc
entered into a cross indemnity agreement for losses incurred within
the entities in relation to business transferred to or from the
ring-fenced bank under the NatWest Group's structural
re-organisation. Under the agreement, NWM Plc is indemnified by NWB
Plc against losses relating to NWB Plc transferring businesses and
ring-fenced bank obligations and NWB Plc is indemnified by NWM Plc
against losses relating to NWM Plc transferring businesses and
non-ring-fenced bank obligations with effect from the relevant
transfer date.
Notes
10. Litigation and regulatory matters
NWM Plc and its subsidiary and
associated undertakings (NWM Group) are party to various legal
proceedings and are involved in, or subject to, various regulatory
matters, including as the subject of investigations and other
regulatory and governmental action (Matters) in the United Kingdom
(UK), the United States (US), the European Union (EU) and other
jurisdictions.
NWM Group recognises a provision
for a liability in relation to these Matters when it is probable
that an outflow of economic benefits will be required to settle an
obligation resulting from past events, and a reliable estimate can
be made of the amount of the obligation.
In many of the Matters, it is not
possible to determine whether any loss is probable, or to estimate
reliably the amount of any loss, either as a direct consequence of
the relevant proceedings and regulatory matters or as a result of
adverse impacts or restrictions on NWM Group's reputation,
businesses and operations. Numerous legal and factual issues may
need to be resolved, including through potentially lengthy
discovery and document production exercises and determination of
important factual matters, and by addressing novel or unsettled
legal questions relevant to the proceedings in question, before the
probability of a liability, if any, arising can reasonably be
estimated in respect of any Matter. NWM Group cannot predict if,
how, or when such claims will be resolved or what the eventual
settlement, damages, fine, penalty or other relief, if any, may be,
particularly for Matters that are at an early stage in their
development or where claimants seek substantial or indeterminate
damages.
There are situations where NWM
Group may pursue an approach that in some instances leads to a
settlement agreement. This may occur in order to avoid the expense,
management distraction or reputational implications of continuing
to contest liability, or in order to take account of the risks
inherent in defending or contesting Matters, even for those for
which NWM Group believes it has credible defences and should
prevail on the merits. The uncertainties inherent in all Matters
affect the amount and timing of any potential economic outflows for
both Matters with respect to which provisions have been established
and other contingent liabilities in respect of any such
Matter.
It is not practicable to provide
an aggregate estimate of potential liability for our Matters as a
class of contingent liabilities.
The future economic outflow in
respect of any Matter may ultimately prove to be substantially
greater than, or less than, the aggregate provision, if any, that
NWM Group has recognised in respect of such Matter. Where a
reliable estimate of the economic outflow cannot be reasonably
made, no provision has been recognised. NWM Group expects that in
future periods, additional provisions and economic outflows
relating to Matters that may or may not be currently known by NWM
Group will be necessary, in amounts that are expected to be
substantial in some instances. Refer to Note 8 for information on
material provisions.
Matters which are, or could be,
material, either individually or in aggregate, having regard to NWM
Group, considered as a whole, in which NWM Group is currently
involved are set out below. We have provided information on the
procedural history of certain Matters, where we believe
appropriate, to aid the understanding of the Matter.
For a discussion of certain risks
associated with NWM Group's litigation and regulatory matters
(including the Matters), refer to the Risk Factor relating to
legal, regulatory and governmental actions and investigations set
out on pages 185 to 186 of the NatWest Markets Plc 2023 Annual
Report and Accounts.
Litigation
London Interbank Offered Rate
(LIBOR) and other rates litigation
NWM Plc and certain other members
of NatWest Group, including NatWest Group plc, are defendants in a
number of claims pending in the United States District Court for
the Southern District of New York (SDNY) with respect to the
setting of USD LIBOR. The complainants allege that the NWM Group
defendants and other panel banks violated various federal laws,
including the US commodities and antitrust laws, and state
statutory and common law, as well as contracts, by manipulating
LIBOR and prices of LIBOR-based derivatives in various markets
through various means.
Several purported class actions
relating to USD LIBOR, as well as more than a dozen non-class
actions concerning USD LIBOR and involving NWM Group companies, are
part of a co-ordinated proceeding in the SDNY. The class actions
include claims on behalf of persons who purchased LIBOR-linked
instruments from defendants, bonds issued by defendants, persons
who transacted futures and options on exchanges, and lenders who
made LIBOR-based loans. The coordinated proceeding is currently in
the discovery phase.
In March 2024, NatWest Group
companies reached an agreement, which remains subject to final
court approval, to settle the USD LIBOR class action that asserts
claims on behalf of lenders who made LIBOR based loans. In
April 2024, NatWest Group companies reached an agreement, which
remains subject to final court approval, to settle the USD LIBOR
class action that asserts claims on behalf of persons who
transacted futures and options on exchanges. The settlement amounts
are covered in full by existing provisions.
Notes
10. Litigation and regulatory matters
continued
The non-class claims filed in the
SDNY include claims that the Federal Deposit Insurance Corporation
(FDIC) is asserting on behalf of certain failed US banks. In July
2017, the FDIC, on behalf of 39 of those failed US banks, commenced
substantially similar claims against NWM Plc, NatWest Group plc and
others in the High Court of Justice of England and Wales. The
action alleges collusion with regard to the setting of USD LIBOR
and that the defendants breached UK and European competition law,
as well as asserting common law claims of fraud under US law. The
defendant banks consented to a request by the FDIC for
discontinuance of the claim in respect of 20 failed US banks,
leaving 19 failed US banks as claimants. The trial is currently
anticipated to commence in Q1 2026.
In addition to the USD LIBOR cases
described above, there is a class action relating to derivatives
allegedly tied to JPY LIBOR and Euroyen TIBOR, which was dismissed
by the SDNY in relation to NWM Plc and other NatWest Group
companies in September 2021. That dismissal may be the subject of a
future appeal.
Two other IBOR-related class
actions involving NWM Plc, concerning alleged manipulation of
Euribor and Pound Sterling LIBOR, were previously dismissed by the
SDNY for various reasons. The plaintiffs' appeals in those two
cases remain pending.
In August 2020, a complaint was
filed in the United States District Court for the Northern District
of California by several United States retail borrowers against the
USD ICE LIBOR panel banks and their affiliates (including NatWest
Group plc, NWM Plc, NatWest Markets Securities Inc. (NWMSI) and NWB
Plc), alleging (i) that the very process of setting USD ICE LIBOR
amounts to illegal price-fixing; and (ii) that banks in the United
States have illegally agreed to use LIBOR as a component of price
in variable retail loans. In September 2022, the district court
dismissed the complaint.
The plaintiffs filed an amended
complaint but in October 2023, the district court dismissed that
complaint as well, and indicated that further amendment would not
be permitted. The plaintiffs have commenced an appeal to the United
States Court of Appeals for the Ninth Circuit, which is currently
pending.
NWM Plc is also named as a
defendant in a motion to certify a class action relating to LIBOR
in the Tel Aviv District Court in Israel. NWM Plc filed a motion
for cancellation of service outside the jurisdiction, which was
granted in July 2020. The claimants appealed that decision and in
November 2020 the appeal was refused and the claim dismissed by the
Appellate Court. The claim could in future be recommenced depending
on the outcome of an appeal to Israel's Supreme Court in respect of
the dismissal of the substantive case against banks that had a
presence in Israel.
Foreign exchange
litigation
NWM Plc, NWMSI and/or NatWest
Group plc are defendants in several cases relating to NWM Plc's
foreign exchange (FX) business.
An FX-related class action, on
behalf of 'consumers and end-user businesses', was proceeding in
the SDNY against NWM Plc and others. In March 2023, the court
granted summary judgment in favour of the defendants, dismissing
the plaintiffs' claims. The plaintiffs appealed that decision but
the appeal was denied by the United States Court of Appeals for the
Second Circuit (US Court of Appeals), subject to potential review
by the United States Supreme Court.
In May 2019, a cartel class action
was filed in the Federal Court of Australia against NWM Plc and
four other banks on behalf of persons who bought or sold currency
through FX spots or forwards between 1 January 2008 and 15 October
2013 with a total transaction value exceeding AUD 0.5 million. The
claimant has alleged that the banks, including NWM Plc, contravened
Australian competition law by sharing information, coordinating
conduct, widening spreads and manipulating FX rates for certain
currency pairs during this period. NatWest Group plc and NWMSI have
been named in the action as 'other cartel participants', but are
not respondents. The claim was served in June 2019 and NWM Plc
filed its defence in March 2022. The court has ordered that
potential class members are required to either opt out of the
proceedings or register to be included in or benefit from any
potential settlement of the claim.
In July and December 2019, two
separate applications seeking opt-out collective proceedings orders
were filed in the UK Competition Appeal Tribunal (CAT) against
NatWest Group plc, NWM Plc and other banks. Both applications were
brought on behalf of persons who, between 18 December 2007 and 31
January 2013, entered into a relevant FX spot or outright forward
transaction in the European Economic Area with a relevant financial
institution or on an electronic communications network. In March
2022, the CAT declined to certify as collective proceedings either
of the applications, which was appealed by the applicants and the
subject of an application for judicial review.
In its amended judgment in
November 2023, the Court of Appeal allowed the appeal and decided
that the claims should proceed on an opt-out basis. Separately, the
court determined which of the two competing applicants can proceed
as class representative, and dismissed the application for judicial
review of the CAT's decision. The other applicant has discontinued
its claim and withdrawn from the proceedings. The banks sought
permission to appeal the Court of Appeal decision directly to the
UK Supreme Court, which was granted in April 2024.
Notes
10. Litigation and regulatory matters
continued
Two motions to certify FX-related
class actions were filed in the Tel Aviv District Court in Israel
in September and October 2018, and were subsequently consolidated
into one motion. The consolidated motion to certify, which names
The Royal Bank of Scotland plc (now NWM Plc) and several other
banks as defendants, was served on NWM Plc in May 2020. The
applicants sought the court's permission to amend their motions to
certify the class actions. NWM Plc filed a motion challenging the
permission granted by the court for the applicants to serve the
consolidated motion outside the Israeli jurisdiction. That NWM Plc
motion remains pending. In February 2024, NWM Plc executed an
agreement to settle the claim, subject to court approval. The
settlement amount is covered in full by an existing
provision.
In December 2021, a summons was
served in the Netherlands against NatWest Group plc, NWM Plc and
NWM N.V. by Stichting FX Claims on behalf of a number of parties,
seeking declarations from the court concerning liability for
anti-competitive FX market conduct described in decisions of the
European Commission (EC) of 16 May 2019, along with unspecified
damages. The claimant amended its claim to also refer to a 2
December 2021 decision by the EC, which described anti-competitive
FX market conduct. NatWest Group plc, NWM Plc and other defendants
contested the jurisdiction of the Dutch court. In March 2023, the
district court in Amsterdam accepted that it has jurisdiction to
hear claims against NWM N.V. but refused jurisdiction to hear any
claims against the other defendant banks (including NatWest Group
plc and NWM Plc) brought on behalf of the parties represented by
the claimant that are domiciled outside of the Netherlands. The
claimant is appealing that decision. The defendant banks have
brought cross-appeals which seek a ruling that the Dutch court has
no jurisdiction to hear any claims against the defendant banks
domiciled outside of the Netherlands, irrespective of whether the
claim has been brought on behalf of a party represented by the
claimant that is domiciled within or outside of the Netherlands.
The Amsterdam Court of Appeal has stayed these appeal proceedings
until the Court of Justice of the European Union has answered
preliminary questions that have been referred to it in another
matter.
In September 2023, second
summonses were served by Stichting FX Claims on NWM N.V., NatWest
Group plc and NWM Plc, for claims on behalf of a new group of
parties that have been brought before the district court in
Amsterdam. The summonses seek declarations from the Dutch court
concerning liability for anti-competitive FX market conduct
described in the above referenced decisions of the EC of 16 May
2019 and 2 December 2021, along with unspecified damages. NatWest
Group plc, NWM Plc and other defendants are contesting the Dutch
court's jurisdiction. The district court has stayed proceedings
pending judgment in the above-mentioned appeals.
In May 2024, a new letter of claim
was received from Stichting FX Claims on behalf of a further group
of parties, containing allegations that are similar in nature to
those contained in the above-mentioned claims.
Certain other foreign exchange
transaction related claims have been or may be threatened. NWM
Group cannot predict whether all or any of these claims will be
pursued.
Government securities antitrust
litigation
Class action antitrust claims
commenced in March 2019 are pending in the SDNY against NWM Plc,
NWMSI and other banks in respect of Euro-denominated bonds issued
by various European central banks (European government bonds or
EGBs). The complaint alleges a conspiracy among dealers of EGBs to
widen the bid-ask spreads they quoted to customers, thereby
increasing the prices customers paid for the EGBs or decreasing the
prices at which customers sold EGBs. The class consists of those
who purchased or sold EGBs in the US between 2007 and 2012.
Previously, in March 2022, the SDNY dismissed the claims against
NWM Plc and NWMSI on the ground that the complaint's conspiracy
allegations were insufficient. However, in September 2023, the SDNY
ruled that new allegations which plaintiffs have included in an
amended complaint are sufficient to bring those NatWest entities
back into the case as defendants.
In March 2024, NatWest Group
companies reached an agreement, subject to court approval, to
settle the class action. The settlement amount is covered in full
by an existing provision.
Swaps antitrust
litigation
NWM Plc, NWMSI and NatWest Group
plc, as well as a number of other interest rate swap dealers, are
defendants in several cases pending in the SDNY alleging violations
of the US antitrust laws in the market for interest rate swaps.
There is a consolidated class action complaint on behalf of persons
who entered into interest rate swaps with the defendants, as well
as non-class action claims by three swap execution facilities
(TeraExchange, Javelin, and trueEx). The plaintiffs allege that the
swap execution facilities would have successfully established
exchange-like trading of interest rate swaps if the defendants had
not unlawfully conspired to prevent that from happening through
boycotts and other means. Discovery in the non-class action claims
is complete. In March 2024, NatWest Group companies reached an
agreement to settle the class action, which remains subject to
court approval. The settlement amount is covered in full by an
existing provision.
Notes
10. Litigation and regulatory matters
continued
In June 2021, a class action
antitrust complaint was filed against a number of credit default
swap dealers, in New Mexico federal court on behalf of persons who,
from 2005 onwards, settled credit default swaps in the United
States by reference to the ISDA credit default swap auction
protocol. The complaint alleges that the defendants conspired to
manipulate that benchmark through various means in violation of the
antitrust laws and the Commodity Exchange Act. The defendants filed
a motion to dismiss the complaint and, in June 2023, such motion
was denied as regards to NWMSI and other financial institutions,
but granted as regards to NWM Plc on the ground that the court
lacks jurisdiction over that entity. As a result, the case entered
the discovery phase as against the non-dismissed defendants. In
January 2024, the SDNY issued an order barring the plaintiffs in
the New Mexico case from pursuing claims based on conduct occurring
before 30 June 2014 on the ground that such claims were
extinguished by a 2015 settlement agreement that resolved a prior
class action relating to credit default swaps. The SDNY's decision
is the subject of a pending appeal to the US Court of
Appeals.
Odd lot corporate bond trading
antitrust litigation
In July 2024, the US Court of
Appeals vacated the SDNY's October 2021 dismissal of the class
action antitrust complaint alleging that from August 2006 onwards
various securities dealers, including NWMSI, conspired artificially
to widen spreads for odd lots of corporate bonds bought or sold in
the United States secondary market and to boycott electronic
trading platforms that would have allegedly promoted pricing
competition in the market for such bonds. The appellate court held
that the district judge who made the decision should not have been
presiding over the case because a member of the judge's family had
owned stock in one of the defendants while the motion was
pending. The
case will now return to the SDNY where the defendants will seek
dismissal by a different district court judge.
Spoofing litigation
In December 2021, three
substantially similar class actions complaints were filed in
federal court in the United States against NWM Plc and NWMSI
alleging Commodity Exchange Act and common law unjust enrichment
claims arising from manipulative trading known as spoofing. The
complaints refer to NWM Plc's December 2021 spoofing-related guilty
plea (described below under "US investigations relating to
fixed-income securities") and purport to assert claims on behalf of
those who transacted in US Treasury securities and futures and
options on US Treasury securities between 2008 and 2018. In July
2022, defendants filed a motion to dismiss these claims, which have
been consolidated into one matter in the United States District
Court for the Northern District of Illinois.
Madoff
NWM N.V. was named as a defendant
in two actions filed by the trustee for the bankrupt estates of
Bernard L. Madoff and Bernard L. Madoff Investment Securities LLC,
in bankruptcy court in New York, which together seek to clawback
more than US$298 million that NWM N.V. allegedly received from
certain Madoff feeder funds and certain swap counterparties. The
claims were previously dismissed, but as a result of an August 2021
decision by the US Court of Appeals, they are now proceeding in the
discovery phase in the bankruptcy court, where they have been
consolidated into one action.
US Anti-Terrorism Act
litigation
NWM N.V. and certain other
financial institutions are defendants in several actions filed by a
number of US nationals (or their estates, survivors, or heirs),
most of whom are or were US military personnel, who were killed or
injured in attacks in Iraq between 2003 and 2011. NWM Plc is also a
defendant in some of these cases. According to the plaintiffs'
allegations, the defendants are liable for damages arising from the
attacks because they allegedly conspired with and/or aided and
abetted Iran and certain Iranian banks to assist Iran in
transferring money to Hezbollah and the Iraqi terror cells that
committed the attacks, in violation of the US Anti-Terrorism Act,
by agreeing to engage in 'stripping' of transactions initiated by
the Iranian banks so that the Iranian nexus to the transactions
would not be detected.
The first of these actions,
alleging conspiracy claims but not aiding and abetting claims, was
filed in the United States District Court for the Eastern District
of New York in November 2014. In September 2019, the district court
dismissed the case, finding that the claims were deficient for
several reasons, including lack of sufficient allegations as to the
alleged conspiracy and causation. In January 2023, the US Court of
Appeals affirmed the district court's dismissal of this case. The
plaintiffs have now filed a motion in the district court to re-open
the case to assert aiding and abetting claims that they previously
did not assert, which the defendants are opposing. Another action,
filed in the SDNY in 2017, which asserted both conspiracy and
aiding and abetting claims, was dismissed by the SDNY in March 2019
on similar grounds as the first case, but remains subject to appeal
to the US Court of Appeals. Other follow-on actions that are
substantially similar to those described above are pending in the
same courts.
Notes
10. Litigation and regulatory matters
continued
1MDB litigation
A Malaysian court claim was served
in Switzerland in November 2022 by 1MDB, a sovereign wealth fund,
in which Coutts & Co Ltd was named, along with six others, as a
defendant in respect of losses allegedly incurred by 1MDB. It is
claimed that Coutts & Co Ltd is liable as a constructive
trustee for having dishonestly assisted the directors of 1MDB in
the breach of their fiduciary duties by failing (amongst other
alleged claims) to undertake due diligence in relation to a
customer of Coutts & Co Ltd, through which funds totalling
c.US$1 billion were received and paid out between 2009 and 2011.
1MDB seeks the return of that amount plus interest. Coutts & Co
Ltd filed an application in January 2023 challenging the validity
of service and the Malaysian court's jurisdiction to hear the
claim, and a hearing took place in February 2024. In March 2024,
the court granted that application. 1MDB filed an appeal in April
2024.
Coutts & Co Ltd (a subsidiary
of RBS Netherlands Holdings B.V., which in turn is a subsidiary of
NWM Plc) is a company registered in Switzerland and is in wind-down
following the announced sale of its business assets in
2015.
Regulatory matters
NWM Group's financial condition
can be affected by the actions of various governmental and
regulatory authorities in the UK, the US, the EU and elsewhere. NWM
Group companies have engaged, and will continue to engage, in
discussions with relevant governmental and regulatory authorities,
including in the UK, the US, the EU and elsewhere, on an ongoing
and regular basis, and in response to informal and formal inquiries
or investigations, regarding operational, systems and control
evaluations and issues including those related to compliance with
applicable laws and regulations, including consumer protection,
investment advice, business conduct, competition/anti-trust, VAT
recovery, anti-bribery, anti-money laundering and sanctions
regimes.
Any matters discussed or
identified during such discussions and inquiries may result in,
among other things, further inquiry or investigation, other action
being taken by governmental and regulatory authorities, increased
costs being incurred by NWM Group, remediation of systems and
controls, public or private censure, restriction of NWM Group's
business activities and/or fines. Any of the events or
circumstances mentioned in this paragraph or below could have a
material adverse effect on NWM Group, its business, authorisations
and licences, reputation, results of operations or the price of
securities issued by it, or lead to material additional provisions
being taken.
NWM Group is co-operating fully
with the matters described below.
US investigations relating to
fixed-income securities
In December 2021, NWM Plc pled
guilty in the United States District Court for the District of
Connecticut to one count of wire fraud and one count of securities
fraud in connection with historical spoofing conduct by former
employees in US Treasuries markets between January 2008 and May
2014 and, separately, during approximately three months in 2018.
The 2018 trading occurred during the term of a non-prosecution
agreement (NPA) between NWMSI and the United States Attorney's
Office for the District of Connecticut (USAO CT), under which
non-prosecution was conditioned on NWMSI and affiliated companies
not engaging in criminal conduct during the term of the NPA. The
relevant trading in 2018 was conducted by two NWM traders in
Singapore and breached that NPA. The plea agreement reached with
the US Department of Justice (DOJ) and the USAO CT resolved both
the spoofing conduct and the breach of the NPA.
As required by the resolution and
sentence imposed by the court, NWM Plc is subject to a probationary
period until the conclusion of the independent monitorship, which
is also required under the plea agreement. In addition, NWM Plc has
committed to compliance programme reviews and improvements and
agreed to reporting and co-operation obligations.
In the event that NWM Plc does not
meet its obligations to the DOJ, this may lead to adverse
consequences such as increased costs from any extension of
monitorship and/or the period of the probation, findings that NWM
Plc violated its probation term and possible re-sentencing, amongst
other consequences. Other material adverse collateral consequences
may occur as a result of this matter, as further described in the
Risk Factor relating to legal, regulatory and governmental actions
and investigations set out on pages 185 to 186 of the NatWest
Markets Plc 2023 Annual Report and Accounts.
11. Related party transactions
UK Government
The UK Government's shareholding
in NatWest Group plc is managed by UK Government Investments
Limited, a company wholly owned by the UK Government. At 30 June
2024 HM Treasury's holding in NatWest Group plc's ordinary shares
was 20.92% (31 December 2023 - 37.97%). As a result, the UK
Government through HM Treasury is no longer the controlling
shareholder of NatWest Group plc as per UK listing rules. The UK
Government and UK Government-controlled bodies remain related
parties of the NatWest Group.
At 12 July 2024 HM Treasury's
holding in NatWest Group plc's ordinary shares fell below 20% to
19.97%.
NWM Group enters into transactions
with many of these bodies. Transactions include the payment of:
taxes - principally UK corporation tax and value added tax;
national insurance contributions; local authority rates; regulatory
fees and levies; together with banking transactions such as loans
and deposits undertaken in the normal course of banker-customer
relationships.
Bank of England
facilities
NWM Group may participate in a
number of schemes operated by the Bank of England in the normal
course of business.
Other related parties
(a) In their roles as providers of
finance, NWM Group companies provide development
and other types of capital support to businesses.
(b) To further strategic
partnerships, NWM Group may seek to invest in third parties or
allow third parties to hold a minority interest in a subsidiary of
NWM Group. We disclose as related parties for associates and joint
ventures and where equity interest are over 10 per cent. Ongoing
business transactions with these entities are on normal commercial
terms.
(c) NWM Group is recharged from
other NatWest Group entities, mainly NWB Plc which provides the
majority of shared services (including technology) and operational
processes.
(d) In accordance with IAS 24,
transactions or balances between NWM Group entities that have been
eliminated on consolidation are not reported.
Full details of NWM Group's
related party transactions for the year ended 31 December 2023 are
included in the NatWest Markets Plc 2023 Annual Report and
Accounts.
Notes
11. Related party transactions continued
Amounts due to/from holding
company and fellow subsidiaries
NWM Group's financial assets and
liabilities include amounts due from/to the holding company and
fellow subsidiaries as below:
|
30 June
2024
|
|
31
December 2023
|
|
Holding
|
Fellow
|
|
|
Holding
|
Fellow
|
|
|
company
|
subsidiaries
|
Total
|
|
company
|
subsidiaries
|
Total
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Assets
|
|
|
|
|
|
|
|
Trading assets
|
-
|
70
|
70
|
|
-
|
273
|
273
|
Loans to banks - amortised
cost
|
-
|
284
|
284
|
|
-
|
1,246
|
1,246
|
Loans to customers - amortised
cost
|
17
|
-
|
17
|
|
17
|
-
|
17
|
Settlement balances
|
-
|
578
|
578
|
|
-
|
-
|
-
|
Other assets
|
-
|
56
|
56
|
|
-
|
194
|
194
|
Amounts due from holding company
and
|
|
|
|
|
|
|
|
fellow subsidiaries
|
17
|
988
|
1,005
|
|
17
|
1,713
|
1,730
|
|
|
|
|
|
|
|
|
Derivatives (1)
|
813
|
386
|
1,199
|
|
761
|
537
|
1,298
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
Bank deposits - amortised
cost
|
-
|
548
|
548
|
|
-
|
537
|
537
|
Customer deposits - amortised
cost
|
-
|
48
|
48
|
|
-
|
55
|
55
|
Trading liabilities
|
785
|
178
|
963
|
|
735
|
293
|
1,028
|
Other financial liabilities -
subordinated liabilities
|
1,101
|
-
|
1,101
|
|
1,022
|
-
|
1,022
|
MREL instruments issued to NatWest
Group plc
|
3,504
|
-
|
3,504
|
|
3,070
|
-
|
3,070
|
Other liabilities
|
17
|
113
|
130
|
|
17
|
73
|
90
|
Amounts due to holding company
and
|
|
|
|
|
|
|
|
fellow subsidiaries
|
5,407
|
887
|
6,294
|
|
4,844
|
958
|
5,802
|
|
|
|
|
|
|
|
|
Derivatives (1)
|
65
|
230
|
295
|
|
84
|
260
|
344
|
(1) Intercompany derivatives are included within derivatives
classification on the balance sheet.
12. Post balance sheet events
Other than as disclosed in this
document, there have been no other significant events between 30
June 2024 and the date of approval of this announcement which would
require a change to or additional disclosure in the
announcement.
13. Date of approval
This announcement was approved by
the Board of Directors on 25 July 2024.
Independent review report to
NatWest Markets Plc
Conclusion
We have been engaged by NatWest
Markets Plc ("the Group") to review the condensed consolidated
financial statements in the half-yearly financial report for the
six months ended 30 June 2024 which comprises the condensed
consolidated income statement, the condensed consolidated statement
of comprehensive income, the condensed consolidated balance sheet,
the condensed consolidated statement of changes in equity, the
condensed consolidated cash flow statement, and related Notes 1 to
13 and the Risk and capital management disclosures for those
identified as within the scope of our review (together "the
condensed consolidated financial statements"). We have read the
other information contained in the half-yearly financial report and
considered whether it contains any apparent misstatements or
material inconsistencies with the information in the condensed
consolidated financial statements.
Based on our review, nothing has
come to our attention that causes us to believe that the condensed
consolidated financial statements in the half-yearly financial
report for the six months ended 30 June 2024 are not prepared, in
all material respects, in accordance with International Accounting
Standard 34 "Interim Financial Reporting" as adopted by the United
Kingdom (UK) and as issued by the International Accounting
Standards Board (IASB), and the Disclosure Guidance and
Transparency Rules of the UK's Financial Conduct
Authority.
Basis for Conclusion
We conducted our review in
accordance with International Standard on Review Engagements 2410
(UK) "Review of Interim Financial Information Performed by the
Independent Auditor of the Entity" (ISRE) issued by the Financial
Reporting Council. A review of interim financial information
consists of making enquiries, primarily of persons responsible for
financial and accounting matters, and applying analytical and other
review procedures. A review is substantially less in scope than an
audit conducted in accordance with International Standards on
Auditing (UK) and consequently does not enable us to obtain
assurance that we would become aware of all significant matters
that might be identified in an audit. Accordingly, we do not
express an audit opinion.
As disclosed in Note 1, the annual
financial statements of the Group are prepared in accordance with
UK adopted International Accounting Standards and International
Financial Reporting Standards as issued by the International
Accounting Standards Board. The condensed consolidated financial
statements included in this half-yearly financial report have been
prepared in accordance with International Accounting Standard 34 as
adopted by the UK and as issued by the IASB, and the Disclosure
Guidance and Transparency Rules of the UK's Financial Conduct
Authority.
Conclusions Relating to Going Concern
Based on our review procedures,
which are less extensive than those performed in an audit as
described in the Basis for Conclusion section of this report,
nothing has come to our attention to suggest that management have
inappropriately adopted the going concern basis of accounting or
that management have identified material uncertainties relating to
going concern that are not appropriately disclosed.
This conclusion is based on the
review procedures performed in accordance with this ISRE, however
future events or conditions may cause the entity to cease to
continue as a going concern.
Responsibilities of the directors
The directors are responsible for
preparing the half-yearly financial report in accordance with the
Disclosure Guidance and Transparency Rules of the UK's Financial
Conduct Authority.
In preparing the half-yearly
financial report, the directors are responsible for assessing the
Group's ability to continue as a going concern, disclosing, as
applicable, matters related to going concern and using the going
concern basis of accounting unless the directors either intend to
liquidate the Group or to cease operations, or have no realistic
alternative but to do so.
Auditor's Responsibilities for the review of the financial
information
In reviewing the half-yearly
report, we are responsible for expressing to the Group a conclusion
on the condensed consolidated financial statements in the
half-yearly financial report. Our conclusion, including our
Conclusions Relating to Going Concern, are based on procedures that
are less extensive than audit procedures, as described in the Basis
for Conclusion paragraph of this report.
Use of our report
This report is made solely to the
Group in accordance with guidance contained in International
Standard on Review Engagements 2410 (UK) "Review of Interim
Financial Information Performed by the Independent Auditor of the
Entity" issued by the Financial Reporting Council. To the fullest
extent permitted by law, we do not accept or assume responsibility
to anyone other than the Group, for our work, for this report, or
for the conclusions we have formed.
Ernst & Young LLP
London, United Kingdom
25 July
2024
NatWest Markets Plc Summary Risk
Factors
Summary of Principal risks and
uncertainties
Set out below is a summary of the
principal risks and uncertainties for the remaining six months of
the financial year which could adversely affect NWM Group. This
summary should not be regarded as a complete and comprehensive
statement of all potential risks and uncertainties; a fuller
description of these and other risk factors is included on pages
165 to 186 of the NatWest Markets Plc 2023
Annual Report and Accounts and pages 16 to 49 of the NWM Plc
Registration Document dated 18 March 2024 (as supplemented and
amended from time to time). Any of the risks identified may have a
material adverse effect on NWM Group's business, operations,
financial condition or prospects.
Economic and political
risk
-
NWM Group, its customers and its counterparties
face continued economic and political risks and uncertainties in
the UK and global markets, including as a result of inflation and
interest rates, supply chain disruption, fiscal and monetary policy
changes (such as increases in bank levies), and geopolitical
developments.
-
Fluctuations in currency exchange rates may
adversely affect NWM Group's results and financial
condition.
-
Changes in interest rates will continue to affect
NWM Group's business and results.
-
Continuing uncertainty regarding the effects and
extent of the UK's post Brexit divergence from EU laws and
regulation, and NWM Group's post Brexit EU operating model may
adversely affect NWM Group and its operating
environment.
-
HM Treasury (or UKGI on its behalf) could
exercise a significant degree of influence over NatWest Group and
NWM Group is controlled by NatWest Group.
Business change and execution
risk
-
NWM Group has been in a period of significant
structural and other change, including as a result of NatWest
Group's strategy and NatWest Group's creation of its C&I
business segment (of which NWM Group forms part) and may continue
to be subject to significant structural and other
change.
-
The transfer of NatWest Group's Western European
corporate portfolio involves certain risks.
Financial resilience risk
-
NWM Group may not achieve its ambitions, targets
and guidance it communicates, generate returns or implement its
strategy effectively.
-
NWM Plc and/or its regulated subsidiaries may not
meet the prudential regulatory requirements for regulatory
capital.
-
NWM Group is reliant on access to the capital
markets to meet its funding requirements, both directly through
wholesale markets, and indirectly through its parent (NatWest
Group) for the subscription to its internal capital and MREL. The
inability to do so may adversely affect NWM Group.
-
NWM Group may not meet the prudential regulatory
requirements for liquidity and funding or may not be able to
adequately access sources of liquidity and funding, which could
trigger the execution of certain management actions or recovery
options.
-
NWM Plc and/or its regulated subsidiaries may not
manage their capital, liquidity or funding effectively which could
trigger the execution of certain management actions or recovery
options.
-
Any reduction in the credit rating and/or
outlooks assigned to NatWest Group plc, any of its subsidiaries
(including NWM Plc or NWM Group subsidiaries) or any of their
respective debt securities could adversely affect the availability
of funding for NWM Group, reduce NWM Group's liquidity and funding
position and increase the cost of funding.
-
NWM Group operates in markets that are highly
competitive, with competitive pressures and technology
disruption.
-
NWM Group may be adversely affected if NatWest
Group fails to meet the requirements of regulatory stress
tests.
-
NWM Group has significant exposure to
counterparty and borrower risk including credit losses, which may
have an adverse effect on NWM Group.
-
NWM Group could incur losses or be required to
maintain higher levels of capital as a result of limitations or
failure of various models.
-
NWM Group's financial statements are sensitive to
underlying accounting policies, judgements, estimates and
assumptions.
-
Changes in accounting standards may materially
impact NWM Group's financial results.
-
NatWest Group is subject to Bank of England and
PRA oversight in respect of resolution, and NatWest Group could be
adversely affected should the Bank of England in the future deem
NatWest Group's preparations to be inadequate.
-
NatWest Group (including NWM Group) may become
subject to the application of UK statutory stabilisation or
resolution powers which may result in, for example, the write-down
or conversion of NWM Group entities' Eligible
Liabilities.
NatWest Markets Plc Summary Risk
Factors
Summary of Principal risks and uncertainties
continued
Climate and sustainability-related
risks
-
NWM Group and its value chain face
climate-related and sustainability-related risk that may adversely
affect NWM Group.
-
Climate-related risks may adversely affect the
global financial system, NWM Group or its value chain.
-
NWM Group and its value chain may face other
sustainability-related risks that may adversely affect NWM
Group.
-
NatWest Group's climate change related strategy,
ambitions, targets and transition plan entail significant execution
and/or reputational risks and are unlikely to be achieved without
significant and timely government policy, technology and customer
behavioural changes.
-
There are significant limitations related to
accessing accurate, reliable, verifiable, auditable, consistent and
comparable climate and other sustainability-related data that
contribute to substantial uncertainties in accurately modelling and
reporting on climate and sustainability information, as well as
making appropriate important internal decisions.
-
Failure to implement effective governance,
procedures, systems and controls in compliance with legal,
regulatory requirements and societal expectations to manage climate
and sustainability-related risks and opportunities could adversely
affect NWM Group.
-
Increasing levels of climate and other
sustainability-related laws, regulation and oversight may adversely
affect NWM Group.
-
Increasing regulation of "greenwashing" is likely
to increase the risk of regulatory enforcement and investigation
and litigation.
-
NWM Group may be subject to potential climate and
other sustainability-related litigation, enforcement proceedings,
investigations and conduct risk.
-
A reduction in the ESG ratings of NatWest Group
or NWM Group could have a negative impact on NatWest Group's or NWM
Group's reputation and on investors' risk appetite and customers'
willingness to deal with NatWest Group or NWM Group.
Operational and IT resilience
risk
-
Operational risks (including reliance on third
party suppliers and outsourcing of certain activities) are inherent
in NWM Group's businesses.
-
NWM Group is subject to sophisticated and
frequent cyberattacks.
-
NWM Group operations and strategy are highly
dependent on the accuracy and effective use of data.
-
NWM Group relies on attracting, retaining,
developing and remunerating diverse senior management and skilled
personnel (such as market trading specialists), and is required to
maintain good employee relations.
-
NWM Group's operations are highly dependent on
its complex IT systems and any IT failure could adversely affect
NWM Group.
-
A failure in NWM Group's risk management
framework could adversely affect NWM Group, including its ability
to achieve its strategic objectives.
-
NWM Group's operations are subject to inherent
reputational risk.
Legal, regulatory and conduct
risk
-
NWM Group's businesses are subject to substantial
regulation and oversight, which are constantly evolving and may
adversely affect NWM Group.
-
NWM Group is exposed to the risks of various
litigation matters, regulatory and governmental actions and
investigations as well as remedial undertakings, the outcomes of
which are inherently difficult to predict, and which could have an
adverse effect on NWM Group.
-
Changes in tax legislation or failure to generate
future taxable profits may impact the recoverability of certain
deferred tax assets recognised by NWM Group.
Statement of directors'
responsibilities
We, the directors listed below,
confirm that to the best of our knowledge:
-
the condensed financial statements have been
prepared in accordance with IAS 34 'Interim Financial Reporting',
as adopted by the UK and as issued by the International Accounting
Standards Board (IASB);
-
the interim management report includes a fair
review of the information required by DTR 4.2.7R (indication of
important events during the first six months and description of
principal risks and uncertainties for the remaining six months of
the year); and
-
the interim management report includes a fair
review of the information required by DTR 4.2.8R (disclosure of
related parties' transactions and changes therein).
By order of the Board
Frank Dangeard
Chairman
|
Robert Begbie
Chief Executive Officer
|
Simon Lowe
Chief Financial Officer
|
25 July 2024
Board of directors
Chairman
|
Executive directors
|
Non-executive directors
|
Frank Dangeard
|
Robert Begbie
Simon Lowe
|
Vivek Ahuja
Tamsin Rowe
Anne Simpson
Sabrina Wilson
|
Non-IFRS financial
measures
NWM Group prepares its financial
statements in accordance with IFRS as issued by the IASB which
constitutes a body of generally accepted accounting principles
(GAAP). This document contains a number of adjusted or alternative
performance measures, also known as non-GAAP or non-IFRS financial
measures. These measures are adjusted for certain items which
management believe are not representative of the underlying
performance of the business and which distort period-on-period
comparison. These non-IFRS measures are not measures within the
scope of IFRS and are not a substitute for IFRS measures. These
measures include:
- Management analysis of operating expenses shows litigation
and conduct costs on a separate line. These amounts are included
within staff costs and other administrative expenses in the
statutory analysis. Other operating expenses excludes litigation
and conduct costs which are more volatile and may distort
comparisons with prior periods.
- Funded assets are defined as total assets less derivative
assets. This measure allows review of balance sheet trends
exclusive of the volatility associated with derivative fair
values.
- Management view of income by business including shared
revenue and before own credit adjustments. This measure is used to
show underlying income generation in NatWest Markets excluding the
impact of own credit adjustments.
- Revenue share refers to income generated by NatWest Markets
products from customers that have their primary relationship with
other NatWest Group subsidiaries, a proportion of which is shared
between NatWest Markets and those subsidiaries.
- Transfer Pricing arrangements with fellow NatWest Group
subsidiaries includes revenue share and a profit share arrangement
with fellow NatWest Group subsidiaries. The profit share
arrangement was introduced during 2023 to reward NWM Group on an
arm's length basis for its contribution to the performance of the
NatWest Group Commercial & Institutional business segment, 2023
being the first full year with the Commercial & Institutional
segment in place. The profit share is not allocated to individual
NatWest Markets product areas.
- Own
credit adjustments are applied to positions where it is believed
that the counterparties would consider NWM Group's creditworthiness
when pricing trades. The fair value of certain issued debt
securities, including structured notes, is adjusted to reflect the
changes in own credit spreads and the resulting gain or loss
recognised in income.
Non-IFRS financial
measures
Operating expenses - management view
|
Half year
ended
|
|
30 June
2024
|
|
30 June
2023
|
|
Litigation
|
|
|
|
Litigation
|
|
|
|
and
|
Other
|
Statutory
|
|
and
|
Other
|
Statutory
|
|
conduct
|
operating
|
operating
|
|
conduct
|
operating
|
operating
|
|
costs
|
expenses
|
expenses
|
|
costs
|
expenses
|
expenses
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Staff costs
|
14
|
227
|
241
|
|
4
|
218
|
222
|
Premises and equipment
|
-
|
36
|
36
|
|
-
|
31
|
31
|
Depreciation and
amortisation
|
-
|
4
|
4
|
|
-
|
7
|
7
|
Other administrative
expenses
|
24
|
287
|
311
|
|
(12)
|
286
|
274
|
Total
|
38
|
554
|
592
|
|
(8)
|
542
|
534
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter
ended
|
|
|
|
30 June
2024
|
|
|
|
|
|
Litigation
|
|
|
|
|
|
|
|
and
|
Other
|
Statutory
|
|
|
|
|
|
conduct
|
operating
|
operating
|
|
|
|
|
|
costs
|
expenses
|
expenses
|
|
|
|
|
|
£m
|
£m
|
£m
|
Staff costs
|
|
|
|
|
7
|
110
|
117
|
Premises and equipment
|
|
|
|
|
-
|
19
|
19
|
Depreciation and
amortisation
|
|
|
|
|
-
|
2
|
2
|
Other administrative
expenses
|
|
|
|
|
32
|
167
|
199
|
Total
|
|
|
|
|
39
|
298
|
337
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter
ended
|
|
|
|
31
March 2024
|
|
|
|
|
|
Litigation
|
|
|
|
|
|
|
|
and
|
Other
|
Statutory
|
|
|
|
|
|
conduct
|
operating
|
operating
|
|
|
|
|
|
costs
|
expenses
|
expenses
|
|
|
|
|
|
£m
|
£m
|
£m
|
Staff costs
|
|
|
|
|
6
|
118
|
124
|
Premises and equipment
|
|
|
|
|
-
|
17
|
17
|
Depreciation and
amortisation
|
|
|
|
|
-
|
2
|
2
|
Other administrative
expenses
|
|
|
|
|
(7)
|
119
|
112
|
Total
|
|
|
|
|
(1)
|
256
|
255
|
|
|
|
|
|
|
|
|
|
|
|
Quarter
ended
|
|
|
|
30 June
2023
|
|
|
|
|
|
Litigation
|
|
|
|
|
|
|
|
and
|
Other
|
Statutory
|
|
|
|
|
|
conduct
|
operating
|
operating
|
|
|
|
|
|
costs
|
expenses
|
expenses
|
|
|
|
|
|
£m
|
£m
|
£m
|
Staff costs
|
|
|
|
|
3
|
106
|
109
|
Premises and equipment
|
|
|
|
|
-
|
16
|
16
|
Depreciation and
amortisation
|
|
|
|
|
-
|
4
|
4
|
Other administrative
expenses
|
|
|
|
|
(19)
|
139
|
120
|
Total
|
|
|
|
|
(16)
|
265
|
249
|
Additional Information
Presentation of information
NatWest Markets Plc (NWM Plc) is a
wholly owned subsidiary of NatWest Group plc or 'the ultimate
holding company'. The NatWest Markets Group (NWM Group) comprises
NWM Plc and its subsidiary and associated undertakings. The term
'NatWest Group' or 'we' refers to NatWest Group plc and its
subsidiary and associated undertakings. The term 'NWH Group' refers
to NatWest Holdings Limited (NWH) and its subsidiary and associated
undertakings. The term 'NatWest Bank Plc' or 'NWB Plc' refers to
National Westminster Bank Plc.
NWM Plc publishes its financial
statements in pounds sterling ('£' or 'sterling'). The
abbreviations '£m' and '£bn' represent millions and thousands of
millions of pounds sterling ('GBP'), respectively, and references
to 'pence' represent pence in the United Kingdom ('UK'). Reference
to 'dollars' or '$' are to United States of America ('US') dollars.
The abbreviations '$m' and '$bn' represent millions and thousands
of millions of dollars, respectively, and references to 'cents'
represent cents in the US. The abbreviation '€' represents the
'euro', and the abbreviations '€m' and '€bn' represent millions and
thousands of millions of euros, respectively, and references to
'cents' represent cents in the European Union ('EU').
Statutory accounts
Financial information contained in
this document does not constitute statutory accounts within the
meaning of section 434 of the Companies Act 2006 ("the Act"). The
statutory accounts for the year ended 31 December 2023 have been
filed with the Registrar of Companies. The report of the auditor on
those statutory accounts was unqualified, did not draw attention to
any matters by way of emphasis and did not contain a statement
under section 498(2) or (3) of the Act.
Contact
|
|
|
Paul Pybus
|
Investor Relations
|
+44 (0) 7769 161183
|
Forward-looking
statements
Cautionary statement regarding forward-looking
statements
Certain sections in this document
contain 'forward-looking statements' as that term is defined in the
United States Private Securities Litigation Reform Act of 1995,
such as statements that include the words 'expect', 'estimate',
'project', 'anticipate', 'commit', 'believe', 'should', 'intend',
'will', 'plan', 'could', 'probability', 'risk', 'Value-at-Risk
(VaR)', 'target', 'goal', 'objective', 'may', 'endeavour',
'outlook', 'optimistic', 'prospects' and similar expressions or
variations on these expressions. In particular, this document
includes forward-looking targets and guidance relating to financial
performance measures, such as income growth, operating expense,
cost reductions, impairment loss rates, balance sheet reduction,
including the reduction of RWAs, CET1 ratio (and key drivers of the
CET1 ratio, including timing, impact and details), Pillar 2 and
other regulatory buffer requirements and MREL and non-financial
performance measures, such as climate and sustainability-related
performance ambitions, targets and metrics, including in relation
to initiatives to transition to a net zero economy, Climate and
Sustainable Funding and Financing (CSFF) and financed emissions. In
addition, this document includes forward-looking statements
relating, but not limited to: planned cost reductions, disposal
losses and strategic costs; implementation of NatWest Group's and
NWM Group's strategy (including in relation to investment
programmes relating to digital transformation of their operations
and services and inorganic opportunities); the timing and outcome
of litigation and government and regulatory investigations; funding
plans and credit risk profile; managing its capital position;
liquidity ratio; portfolios; net interest margin; and drivers
related thereto; lending and income growth, product share and
growth in target segments; impairments and write-downs;
restructuring and remediation costs and charges; NWM Group's
exposure to political risk, economic assumptions and risk, climate,
environmental and sustainability risk, operational risk, conduct
risk, financial crime risk, cyber, data and IT risk and credit
rating risk and to various types of market risk, including interest
rate risk, foreign exchange rate risk and commodity and equity
price risk; customer experience, including our Net Promotor Score
(NPS); employee engagement and gender balance in leadership
positions.
Limitations inherent to forward-looking
statements
These statements are based on
current plans, expectations, estimates, targets and projections,
and are subject to significant inherent risks, uncertainties and
other factors, both external and relating to NatWest Group's and
NWM Group's strategy or operations, which may result in NWM Group
being unable to achieve the current plans, expectations, estimates,
targets, projections and other anticipated outcomes expressed or
implied by such forward-looking statements. In addition, certain of
these disclosures are dependent on choices relying on key model
characteristics and assumptions and are subject to various
limitations, including assumptions and estimates made by
management. By their nature, certain of these disclosures are only
estimates and, as a result, actual future results, gains or losses
could differ materially from those that have been estimated.
Accordingly, undue reliance should not be placed on these
statements. The forward-looking statements contained in this
document speak only as of the date we make them and we expressly
disclaim any obligation or undertaking to update or revise any
forward-looking statements contained herein, whether to reflect any
change in our expectations with regard thereto, any change in
events, conditions or circumstances on which any such statement is
based, or otherwise, except to the extent legally
required.
Important factors that could affect the actual outcome of the
forward-looking statements
We caution you that a large number
of important factors could adversely affect our results or our
ability to implement our strategy, cause us to fail to meet our
targets, predictions, expectations and other anticipated outcomes
or affect the accuracy of forward-looking statements described in
this document. These factors include, but are not limited to, those
set forth in the risk factors and the other uncertainties described
in NatWest Markets Plc's Annual Report and its other public
filings. The principal risks and uncertainties that could adversely
NWM Group's future results, its financial condition and/or
prospects and cause them to be materially different from what is
forecast or expected, include, but are not limited to: economic and
political risk (including in respect of: economic and political
risks and uncertainties in the UK and global markets, including as
a result of GDP growth, inflation and interest rates, supply chain
disruption, fiscal and monetary policy changes (such as increases
in bank levies), and geopolitical developments; changes in interest
rates and foreign currency exchange rates; uncertainty regarding
the effects of Brexit; and HM Treasury's ownership of NatWest Group
plc); business change and execution risk (including in respect of:
NatWest Group's strategy and NatWest Group's creation of its
Commercial & Institutional franchise (of which NWM Group forms
part); financial resilience risk (including in respect of: NWM
Group's ability to meet targets, generate returns or implement its
strategy effectively; prudential regulatory requirements for
capital and MREL; NWM Group's reliance on access to capital markets
directly or indirectly through its parent (NatWest Group); capital,
funding and liquidity risk; reductions in the credit ratings; the
competitive environment; the requirements of regulatory stress
tests; counterparty and borrower risk; model risk; sensitivity to
accounting policies, judgments, estimates and assumptions (and the
economic, climate, competitive and other forward looking
information affecting those judgments, estimates and assumptions);
changes in applicable accounting standards; the adequacy of NatWest
Group's resolution plans; and the application of UK statutory
stabilisation or resolution powers to NatWest Group); climate and
sustainability risk (including in respect of: risks relating to
climate change and sustainability-related risks; both the execution
and reputational risk relating to NatWest Group's climate
change-related strategy, ambitions, targets and transition plan;
climate and sustainability-related data and model risk; the failure
to implement climate change resilient governance, procedures,
systems and controls; increasing levels of climate, environmental,
human rights and other sustainability-related laws, regulation and
oversight; climate, environmental, human rights and other
sustainability-related litigation, enforcement proceedings,
investigations and conduct risk; and reductions in ESG ratings);
operational and IT resilience risk (including in respect of:
operational risks (including reliance on third party suppliers);
cyberattacks; the accuracy and effective use of data; attracting,
retaining and developing senior management and skilled personnel;
complex IT systems; NWM Group's risk management framework; and NWM
Group's reputational risk); and legal, regulatory and conduct risk
(including in respect of: the impact of substantial regulation and
oversight; the outcome of legal, regulatory and governmental
actions and investigations as well as remedial undertakings; and
changes in tax legislation or failure to generate future taxable
profits).
Forward-looking statements
continued
Climate and sustainability-related
disclosures
Climate and sustainability-related
disclosures in this document are not measures within the scope of
International Financial Reporting Standards ('IFRS'), use a greater
number and level of judgments, assumptions and estimates, including
with respect to the classification of climate and sustainable
funding and financing activities, than our reporting of historical
financial information in accordance with IFRS. These judgments,
assumptions and estimates are highly likely to change materially
over time, and, when coupled with the longer time frames used in
these disclosures, make any assessment of materiality inherently
uncertain. In addition, our climate risk analysis, net zero
strategy, including the implementation of our climate transition
plan, remain under development, and the data underlying our
analysis and strategy remain subject to evolution over time. The
process we have adopted to define, gather and report data on our
performance on climate and sustainability-related measures is not
subject to the formal processes adopted for financial reporting in
accordance with IFRS and there are currently limited industry
standards or globally recognised established practices for
measuring and defining climate and sustainability-related related
metrics. As a result, we expect that certain climate and
sustainability-related disclosures made in this document are likely
to be amended, updated, recalculated or restated in the future.
Please also refer to the cautionary statement in the section
entitled 'Climate-related and other forward-looking statements and
metrics' of the NatWest Group 2023 Climate-related Disclosures
Report published by NatWest Group plc for the consolidated group,
including NatWest Markets Plc.
Cautionary statement regarding Non-IFRS financial measures
and APMs
NWM Group prepares its financial
statements in accordance with UK-adopted International Accounting
Standards (IAS) and International Financial Reporting Standards
(IFRS).This document may contain financial measures and ratios not
specifically defined under GAAP or IFRS ('Non-IFRS') and/or
alternative performance measures ('APMs') as defined in European
Securities and Markets Authority ('ESMA') guidelines. Non-IFRS
measures and APMs are adjusted for notable and other defined items
which management believes are not representative of the underlying
performance of the business and which distort period-on-period
comparison. Non-IFRS measures provide users of the financial
statements with a consistent basis for comparing business
performance between financial periods and information on elements
of performance that are one-off in nature. Any Non-IFRS measures
and/or APMs included in this document, are not measures within the
scope of IFRS, are based on a number of assumptions that are
subject to uncertainties and change, and are not a substitute for
IFRS measures.
The information, statements and
opinions contained in this document do not constitute a public
offer under any applicable legislation or an offer to sell or a
solicitation of an offer to buy any securities or financial
instruments or any advice or recommendation with respect to such
securities or other financial instruments.
Legal Entity Identifier:
RR3QWICWWIPCS8A4S074