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Financial instruments - valuation (Tables) | 12 Months Ended
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Dec. 31, 2021
Financial instruments - classification |
Schedule of financial assets and liabilities at fair value by valuation hierarchy | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2021 | ​ | 2020
​ |  | 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 |  | — |  | 33,482 |  | 721 |  | 34,203 | ​ | — |  | 39,550 |  | 225 | ​ | 39,775
Securities |  | 19,563 |  | 5,371 |  | 21 |  | 24,955 | ​ | 21,535 |  | 7,599 |  | 81 | ​ | 29,215
Derivatives |  | — |  | 105,222 |  | 917 |  | 106,139 | ​ | — |  | 165,441 |  | 1,082 | ​ | 166,523
Other financial assets |  | — |  | ​ |  | — |  | ​ | ​ | ​ |  | ​ |  | ​ | ​ | ​
Loans |  | — |  | 359 |  | 207 |  | 566 | ​ | — |  | 185 |  | 168 | ​ | 353
Securities |  | 28,880 |  | 7,951 |  | 186 |  | 37,017 | ​ | 35,972 |  | 8,850 |  | 167 | ​ | 44,989
Total financial assets held at fair value |  | 48,443 |  | 152,385 |  | 2,052 |  | 202,880 | ​ | 57,507 |  | 221,625 |  | 1,723 | ​ | 280,855
As % of total fair value assets | ​ | 24 | % | 75 | % | 1 | % | ​ | ​ | 20 | % | 79 | % | 1 | % | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities |  | ​ |  | ​ |  | ​ |  | ​ | ​ |  |  |  |  |  | ​ | ​
Trading liabilities |  | ​ |  | ​ |  | ​ |  | ​ | ​ |  |  |  |  |  | ​ | ​
Deposits |  | — |  | 38,658 |  | 2 |  | 38,660 | ​ | — |  | 44,062 |  | 7 | ​ | 44,069
Debt securities in issue |  | — |  | 974 |  | — |  | 974 | ​ | — |  | 1,408 |  | — | ​ | 1,408
Short positions |  | 20,507 |  | 4,456 |  | 1 |  | 24,964 | ​ | 19,045 |  | 7,734 |  | — | ​ | 26,779
Derivatives |  | — |  | 100,229 |  | 606 |  | 100,835 | ​ | — |  | 159,818 |  | 887 | ​ | 160,705
Other financial liabilities |  | — |  | ​ |  | — |  | ​ | ​ | ​ |  | ​ |  | ​ | ​ | ​
Debt securities in issue |  | — |  | 1,103 |  | — |  | 1,103 | ​ | — |  | 1,607 |  | — | ​ | 1,607
Other deposits |  | — |  | 568 |  | — |  | 568 | ​ | — |  | 796 |  | — | ​ | 796
Subordinated liabilities |  | — |  | 703 |  | — |  | 703 | ​ | — |  | 793 |  | — | ​ | 793
Total financial liabilities held at fair value |  | 20,507 |  | 146,691 |  | 609 |  | 167,807 | ​ | 19,045 |  | 216,218 |  | 894 | ​ | 236,157
As % of total fair value liabilities | ​ | 12 | % | 88 | % | 0 | % | ​ | ​ | 8 | % | 92 | % | 0 | % | ​
​
(1) | Transfers between levels are deemed to have occurred at the beginning of the quarter in which the instrument was transferred.
(2) | For an analysis of debt securities held at mandatory 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.
Schedule of financial instruments valuation adjustments | ​
​ | ​ | ​ | ​ | ​
​ |  | 2021 |  | 2020
Adjustment | ​ | £m | ​ | £m
Funding – FVA |  | 90 |  | 140
Credit – CVA |  | 390 |  | 390
Bid – Offer |  | 113 |  | 148
Product and deal specific |  | 119 |  | 172
​ |  | 712 |  | 850
Schedule of valuation techniques for unobservable inputs of level 3 financial instruments | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ |  | ​ | ​ | ​ | ​ | ​ | 2021 |  | 2020
Financial instrument |  | Valuation technique |  | Unobservable inputs |  | Units |  | Low |  | High |  | Low |  | High
Trading assets and Other financial assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loans |  | Price-based | ​ | Price | ​ | % | ​ | — | ​ | 106 | ​ | — | ​ | 105
​ | ​ | Discount cash flow | ​ | Credit spreads | ​ | bps | ​ | 40 | ​ | 102 | ​ | 69 | ​ | 119
​ | ​ | Discount cash flow | ​ | Discount margin | ​ | bps | ​ | 46 | ​ | 55 | ​ | 51 | ​ | 226
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Debt securities |  | Price-based | ​ | Price |  | % | ​ | — | ​ | 240 | ​ | — | ​ | 232
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Equity Shares | ​ | Price-based | ​ | Price | ​ | GBP | ​ | — | ​ | 30,378 | ​ | — | ​ | 27,737
​ | ​ | Price-based | ​ | Price | ​ | % | ​ | — | ​ | 7 | ​ | — | ​ | 80
​ |  | Discount cash flow | ​ | Discount margin | ​ | % | ​ | 6 | ​ | 8 | ​ | 7 | ​ | 9
​ | ​ | Net asset valuation | ​ | Net asset value | ​ | % | ​ | 80 | ​ | 120 | ​ | 80 | ​ | 120
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivative assets and liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Credit derivatives | ​ | Credit derivative pricing | ​ | Credit spreads | ​ | bps | ​ | 6 | ​ | 635 | ​ | 2 | ​ | 500
​ |  | ​ | ​ | Correlation |  | % | ​ | (15) | ​ | 95 | ​ | (50) | ​ | 95
​ |  |  | ​ | Volatility | ​ | % | ​ | 30 | ​ | 108 | ​ | 27 | ​ | 80
​ |  |  | ​ | Upfront points |  | % | ​ | — | ​ | 100 | ​ | — | ​ | 100
​ |  |  | ​ | Recovery rate |  | % | ​ | — | ​ | 60 | ​ | 10 | ​ | 40
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate & FX |  | Option pricing | ​ | Correlation |  | % | ​ | (50) | ​ | 100 | ​ | (50) | ​ | 100
derivatives | ​ |  | ​ | Volatility | ​ | % | ​ | 17 | ​ | 77 | ​ | 17 | ​ | 60
​ | ​ | ​ | ​ | Constant Prepayment Rate | ​ | % | ​ | 2 | ​ | 16 | ​ | 2 | ​ | 18
​ | ​ | ​ | ​ | Mean Reversion | ​ | % | ​ | — | ​ | 92 | ​ | — | ​ | 92
​ | ​ | ​ | ​ | Basis volatility | ​ | bps | ​ | 8 | ​ | 18 | ​ | 15 | ​ | 21
​ | ​ | ​ | ​ | Inflation volatility | ​ | % | ​ | 1 | ​ | 2 | ​ | 1 | ​ | 2
​ | ​ | ​ | ​ | Inflation rate | ​ | % | ​ | 2 | ​ | 3 | ​ | 1 | ​ | 2
​ |  | ​ | ​ | ​ |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Equity derivatives | ​ | Option pricing | ​ | Correlation | ​ | % | ​ | (53) | ​ | 87 | ​ | (53) | ​ | 87
​
(1) | Valuation for private equity investments may be estimated by looking at past prices of similar stocks and from valuation statements where valuations are usually derived from earnings measures such as EBITDA or net asset value (NAV). Similarly, for equity or bond fund investments, prices may be estimated from valuation or credit statements using NAV or similar measures.
(2) | NatWest Group does not have any material liabilities measured at fair value that are issued with an inseparable third-party credit enhancement.
Schedule of financial instruments carried at fair value on the balance sheet by valuation sensitivities for level 3 balances | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2021 | ​ | 2020
​ | ​ | Level 3 | ​ | Favourable | ​ | Unfavourable | ​ | Level 3 | ​ | Favourable | ​ | Unfavourable
​ |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Trading assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loans |  | 721 |  | 10 |  | (10) |  | 225 |  | 10 |  | —
Securities |  | 21 |  | — |  | — |  | 81 |  | — |  | —
Derivatives |  | 917 |  | 60 |  | (70) |  | 1,082 |  | 80 |  | (80)
Other financial assets |  | ​ | ​ | ​ | ​ | ​ |  |  |  |  |  |
Loans |  | 207 |  | 10 |  | (10) |  | 168 |  | 20 |  | (10)
Securities |  | 186 |  | 20 |  | (20) |  | 167 |  | 30 |  | (20)
​ |  | 2,052 |  | 100 |  | (110) |  | 1,723 |  | 140 |  | (110)
​ |  |  |  |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Trading liabilities |  |  |  |  |  |  |  |  |  |  |  |
Deposits |  | 2 |  | — |  | — |  | 7 |  | — |  | —
Debt securities in issue |  | — |  | — |  | — |  | — |  | — |  | —
Short positions |  | 1 |  | — |  | — |  | — |  | — |  | —
Derivatives |  | 606 |  | 30 |  | (30) |  | 887 |  | 50 |  | (40)
Other financial liabilities |  | — |  | — |  | — |  | — |  | — |  | —
​ |  | 609 |  | 30 |  | (30) |  | 894 |  | 50 |  | (40)
Schedule of movement in level 3 assets and liabilities | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2021 | ​ | 2020
​ | ​ | Trading | ​ | Other | ​ | ​ | ​ | ​ | ​ | Trading | ​ | Other | ​ | ​ | ​ | ​
​ | ​ | assets | ​ | financial | ​ | Total | ​ | Total | ​ | assets | ​ | financial | ​ | Total | ​ | Total
​ | ​ | (2) | ​ | assets (3) | ​ | assets | ​ | liabilities | ​ | (2) | ​ | assets (3) | ​ | assets | ​ | liabilities
​ |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m
At 1 January |  | 1,388 |  | 335 |  | 1,723 |  | 894 |  | 2,233 |  | 321 |  | 2,554 |  | 1,317
Amounts recorded in the income statement (1) |  | (93) |  | (29) |  | (122) |  | (90) |  | 127 |  | (21) |  | 106 |  | (67)
Amounts recorded in the statement of comprehensive income |  | — |  | 23 |  | 23 |  | — |  | — |  | 63 |  | 63 |  | —
Level 3 transfers in |  | 125 |  | 3 |  | 128 |  | 20 |  | 165 |  | 98 |  | 263 |  | 188
Level 3 transfers out |  | (104) |  | (6) |  | (109) |  | (168) |  | (139) |  | — |  | (139) |  | (368)
Purchases/originations (4) |  | 965 |  | 452 |  | 1,416 |  | 305 |  | 441 |  | 327 |  | 768 |  | 127
Settlements/other decreases |  | (47) |  | (364) |  | (411) |  | (28) |  | (293) |  | (153) |  | (446) |  | (59)
Sales |  | (573) |  | (17) |  | (590) |  | (321) |  | (1,148) |  | (301) |  | (1,449) |  | (245)
Foreign exchange and other |  | (3) |  | (3) |  | (6) |  | (3) |  | 2 |  | 1 |  | 3 |  | 1
At 31 December |  | 1,658 |  | 394 |  | 2,052 |  | 609 |  | 1,388 |  | 335 |  | 1,723 |  | 894
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Amounts recorded in the income statement in respect of balances held at year end - unrealised |  | (93) |  | (32) |  | (126) |  | (90) |  | 129 |  | (22) |  | 107 |  | (68)
​
(1) | There were £3 million net losses on trading assets and liabilities (2020 - £194 million net gain) recorded in income from trading activities. Net losses on other instruments of £29 million (2020 - £21 million net losses) were recorded in other operating income and interest income as appropriate.
(2) | Trading assets comprise assets 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.
(4) | Movement in the period includes new loan originations classified as HTC&S under IFRS 9 and fair valued through other comprehensive income. 2021 purchases include a new leveraged finance loan of £450 million. As a result of its composition and illiquid nature, pricing is based on unobservable inputs and the judgment of valuation experts.
Schedule of carrying value and fair value of financial instruments carried at amortised cost on the balance sheet | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | Items where |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
​ | ​ | fair value | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | approximates | ​ | Carrying | ​ | ​ | ​ | Fair value hierarchy level
​ | ​ | carrying value | ​ | value | ​ | Fair value | ​ | Level 1 | ​ | Level 2 | ​ | Level 3
2021 | ​ | £bn | ​ | £bn | ​ | £bn | ​ | £bn | ​ | £bn | ​ | £bn
Financial assets |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
Cash and balances at central banks |  | 177.8 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
Settlement balances | ​ | 2.1 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
Loans to banks |  | 0.1 | ​ | 7.5 | ​ | 7.5 | ​ | — | ​ | 5.0 | ​ | 2.5
Loans to customers | ​ | — | ​ | 359.0 | ​ | 354.1 | ​ | — | ​ | 28.0 | ​ | 326.1
Other financial assets - securities |  | — | ​ | 8.6 | ​ | 8.6 | ​ | 4.4 | ​ | 0.7 | ​ | 3.5
2020 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial assets |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Cash and balances at central banks |  | 124.5 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
Settlement balances |  | 2.3 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
Loans to banks | ​ | 0.1 | ​ | 6.9 | ​ | 6.9 | ​ | — | ​ | 3.8 | ​ | 3.1
Loans to customers |  | — | ​ | 360.5 | ​ | 359.2 | ​ | — | ​ | 25.2 | ​ | 334.0
Other financial assets - securities |  | — | ​ | 9.8 | ​ | 10.1 | ​ | 5.9 | ​ | 1.2 | ​ | 3.0
2021 |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial liabilities |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Bank deposits |  | 4.9 |  | 21.4 |  | 21.0 |  | — |  | 18.7 |  | 2.3
Customer deposits |  | 442.4 |  | 37.4 |  | 37.6 |  | — |  | 18.1 |  | 19.5
Settlement balances |  | 2.1 |  | — |  | — |  | — |  | ​ |  | ​
Other financial liabilities - debt securities in issue | ​ | — | ​ | 47.7 | ​ | 48.6 | ​ | — | ​ | 41.4 | ​ | 7.2
Subordinated liabilities |  | — |  | 7.7 |  | 8.3 |  | — |  | 8.2 |  | 0.1
Notes in circulation | ​ | 3.0 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
2020 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial liabilities |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
Bank deposits | ​ | 4.4 | ​ | 16.2 | ​ | 16.2 | ​ | — | ​ | 11.3 | ​ | 4.9
Customer deposits |  | 371.7 |  | 60.0 |  | 60.1 |  | — |  | 10.1 |  | 50.0
Settlement balances |  | 5.5 |  | — |  | — |  | — |  | — |  | —
Other financial liabilities - debt securities in issue |  | — |  | 43.4 |  | 44.6 |  | — |  | 34.7 |  | 9.9
Subordinated liabilities |  | — |  | 9.2 |  | 9.8 |  | — |  | 9.7 |  | 0.1
Notes in circulation |  | 2.7 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
​

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