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Financial instruments - maturity analysis

12 Months Ended

Dec. 31, 2021

Financial instruments - classification

Financial instruments - maturity analysis

12 Financial instruments - maturity analysis

Remaining maturity

This note shows the maturity profile of NatWest Group’s financial assets and liabilities by contractual date of maturity and contractual cash flows.

The following table shows the residual maturity of financial instruments, based on contractual date of maturity.


	2021			2020
	Less than	More than		Less than	More than
	12 months	12 months	Total	12 months	12 months	Total
	£m	£m	£m	£m	£m	£m
Assets
Cash and balances at central banks	177,757	—	177,757	124,489	—	124,489
Trading assets	40,263	18,895	59,158	42,037	26,953	68,990
Derivatives	34,538	71,601	106,139	46,244	120,279	166,523
Settlement balances	2,141	—	2,141	2,297	—	2,297
Loans to banks - amortised cost	7,425	257	7,682	6,835	120	6,955
Loans to customers - amortised cost	103,689	255,301	358,990	87,531	273,013	360,544
Other financial assets	11,151	34,994	46,145	8,901	46,247	55,148

Liabilities
Bank deposits	13,715	12,564	26,279	12,315	8,291	20,606
Customer deposits	478,801	1,009	479,810	430,283	1,456	431,739
Settlement balances	2,068	—	2,068	5,545	—	5,545
Trading liabilities	41,664	22,934	64,598	45,037	27,219	72,256
Derivatives	34,593	66,242	100,835	47,361	113,344	160,705
Other financial liabilities	16,060	33,266	49,326	12,403	33,408	45,811
Subordinated liabilities	1,375	7,054	8,429	365	9,597	9,962
Notes in circulation	3,047	—	3,047	2,655	—	2,655
Lease liabilities	238	1,025	1,263	185	1,513	1,698

Assets and liabilities by contractual cash flows up to 20 years

The tables on the following page, show the contractual undiscounted cash flows receivable and payable, up to a period of 20 years, including future receipts and payments of interest of financial assets and liabilities by contractual maturity. The balances in the following tables do not agree directly with the consolidated balance sheet, as the tables include all cash flows relating to principal and future coupon payments, presented on an undiscounted basis. The tables have been prepared on the following basis:

Financial assets have been reflected in the time band of the latest date on which they could be repaid, unless earlier repayment can be demanded by NatWest Group. Financial liabilities are included at the earliest date on which the counterparty can require repayment, regardless of whether or not such early repayment results in a penalty. If the repayment of a financial instrument is triggered by, or is subject to, specific criteria such as market price hurdles being reached, the asset is included in the time band that contains the latest date on which it can be repaid, regardless of early repayment.

The liability is included in the time band that contains the earliest possible date on which the conditions could be fulfilled, without considering the probability of the conditions being met.

For example, if a structured note is automatically prepaid when an equity index exceeds a certain level, the cash outflow will be included in the less than three months period, whatever the level of the index at the year end. The settlement date of debt securities in issue, issued by certain securitisation vehicles consolidated by NatWest Group, depends on when cash flows are received from the securitised assets. Where these assets are prepayable, the timing of the cash outflow relating to securities assumes that each asset will be prepaid at the earliest possible date. As the repayments of assets and liabilities are linked, the repayment of assets in securitisations is shown on the earliest date that the asset can be prepaid, as this is the basis used for liabilities.

The principal amounts of financial assets and liabilities that are repayable after 20 years or where the counterparty has no right to repayment of the principal are excluded from the table, as are interest payments after 20 years.

The maturity of guarantees and commitments is based on the earliest possible date they would be drawn in order to evaluate NatWest Group's liquidity position.

MFVTPL assets of £165.6 billion (2020 - £236.0 billion) and HFT liabilities of £165.3 billion (2020 - £232.8 billion) have been excluded from the following tables.

12 Financial instruments - maturity analysis continued

0-3 months

3-12 months

1-3 years

3-5 years

5-10 years

10-20 years

2021

£m

Assets by contractual maturity up to 20 years

Cash and balances at central banks

177,757

—

Derivatives held for hedging

(23)

(32)

Settlement balances

2,141

—

Loans to banks - amortised cost

5,735

1,689

—

Loans to customers - amortised cost

65,760

43,144

63,979

45,057

73,044

90,115

Other financial assets (1)

3,924

7,576

10,467

8,048

7,444

5,523

Finance lease

290

340

746

504

704

377

255,584

52,717

75,285

53,624

81,202

96,032

Liabilities by contractual maturity up to 20 years

Bank deposits

13,292

421

566

12,003

—

Customer deposits

473,123

5,440

1,155

Settlement balances

2,068

—

Derivatives held for hedging

(57)

(31)

561

155

(152)

(198)

Other financial liabilities

6,967

9,293

16,953

10,062

7,905

292

Subordinated liabilities

1,604

3,481

2,170

1,496

563

Other liabilities - Notes in circulation

3,047

—

Lease liabilities

161

220

167

281

251

498,580

16,888

22,936

24,630

9,534

927

Guarantees and commitments - notional amount

Guarantees (2)

2,055

—

Commitments (3)

118,536

—

120,591

—



2020
Assets by contractual maturity up to 20 years
Cash and balances at central banks	124,489	—	—	—	—	—
Derivatives held for hedging	14	18	96	—	12	6
Settlement balances	2,297	—	—	—	—	—
Loans to banks - amortised cost	5,600	1,245	—	—	1	110
Loans to customers - amortised cost	47,507	46,718	65,138	58,680	81,544	88,155
Other financial assets (1)	4,019	5,919	12,592	10,791	11,855	5,774
Finance lease	48	366	840	671	895	545
	183,974	54,266	78,666	70,142	94,307	94,590

Liabilities by contractual maturity up to 20 years
Bank deposits	11,217	1,078	3,241	5,038	—	—
Customer deposits	421,763	8,528	1,407	23	26	20
Settlement balances	5,545	—	—	—	—	—
Derivatives held for hedging	36	(17)	94	3	64	(2)
Other financial liabilities	4,716	8,144	15,558	11,470	7,358	254
Subordinated liabilities	73	685	4,387	3,444	923	562
Other liabilities - Notes in circulation	2,655	—	—	—	—	—
Lease liabilities	51	135	294	245	429	497
	446,056	18,553	24,981	20,223	8,800	1,331

Guarantees and commitments - notional amount
Guarantees (2)	2,244	—	—	—	—	—
Commitments (3)	121,922	—	—	—	—	—
	124,166	—	—	—	—	—

(1)	Other financial assets excludes equity shares.

(2)	NatWest Group is only called upon to satisfy a guarantee when the guaranteed party fails to meet its obligations. NatWest Group expects most guarantees it provides to expire unused.

(3)	NatWest Group has given commitments to provide funds to customers under undrawn formal facilities, credit lines and other commitments to lend subject to certain conditions being met by the counterparty. NatWest Group does not expect all facilities to be drawn, and some may lapse before drawdown.