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Financial instruments - valuation (Tables) | 12 Months Ended
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Dec. 31, 2022
Financial instruments - classification |
Schedule of financial assets and liabilities at fair value by valuation hierarchy | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2022 | ​ | 2021
​ |  | 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 |  | — |  | 35,260 |  | 395 |  | 35,655 | ​ | — |  | 33,482 |  | 721 |  | 34,203
Securities |  | 7,463 |  | 2,458 |  | 1 |  | 9,922 | ​ | 19,563 |  | 5,371 |  | 21 |  | 24,955
Derivatives |  | 5 |  | 98,533 |  | 1,007 |  | 99,545 | ​ | — |  | 105,222 |  | 917 |  | 106,139
Other financial assets |  | ​ |  | ​ |  | ​ |  | ​ | ​ | ​ |  | ​ |  | ​ |  | ​
Loans |  | — |  | 172 |  | 727 |  | 899 | ​ | — |  | 359 |  | 207 |  | 566
Securities |  | 10,380 |  | 6,278 |  | 203 |  | 16,861 | ​ | 28,880 |  | 7,951 |  | 186 |  | 37,017
Total financial assets held at fair value |  | 17,848 |  | 142,701 |  | 2,333 | ​ | 162,882 | ​ | 48,443 |  | 152,385 |  | 2,052 |  | 202,880
As % of total fair value assets | ​ | 11 | % | 88 | % | 1 | % | ​ | ​ | 24 | % | 75 | % | 1 | % | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities |  | ​ |  | ​ |  | ​ |  | ​ | ​ |  |  |  |  |  | ​ | ​
Trading liabilities |  | ​ |  | ​ |  | ​ |  | ​ | ​ |  |  |  |  |  | ​ | ​
Deposits |  | — |  | 42,486 |  | 1 |  | 42,487 | ​ | — |  | 38,658 |  | 2 |  | 38,660
Debt securities in issue |  | — |  | 797 |  | — |  | 797 | ​ | — |  | 974 |  | — |  | 974
Short positions |  | 7,462 |  | 2,062 |  | — |  | 9,524 | ​ | 20,507 |  | 4,456 |  | 1 |  | 24,964
Derivatives |  | 2 |  | 93,070 |  | 975 |  | 94,047 | ​ | — |  | 100,229 |  | 606 |  | 100,835
Other financial liabilities |  | ​ |  | ​ |  | ​ |  | ​ | ​ | ​ |  | ​ |  | ​ |  | ​
Debt securities in issue |  | — |  | 1,327 |  | — |  | 1,327 | ​ | — |  | 1,103 |  | — |  | 1,103
Other deposits |  | — |  | 1,050 |  | — |  | 1,050 | ​ | — |  | 568 |  | — |  | 568
Subordinated liabilities |  | — |  | 345 |  | — |  | 345 | ​ | — |  | 703 |  | — |  | 703
Total financial liabilities held at fair value |  | 7,464 |  | 141,137 |  | 976 |  | 149,577 | ​ | 20,507 |  | 146,691 |  | 609 |  | 167,807
As % of total fair value liabilities | ​ | 5 | % | 94 | % | 1 | % | ​ | ​ | 12 | % | 88 | % | 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 | ​
​ | ​ | ​ | ​ | ​
​ |  | 2022 |  | 2021
Adjustment | ​ | £m | ​ | £m
Funding – FVA |  | 173 |  | 90
Credit – CVA |  | 300 |  | 390
Bid – Offer |  | 130 |  | 113
Product and deal specific |  | 141 |  | 119
​ |  | 744 |  | 712
Schedule of valuation techniques for unobservable inputs of level 3 financial instruments | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ |  | ​ | ​ | ​ | ​ | ​ | 2022 |  | 2021
Financial instrument |  | Valuation technique |  | Unobservable inputs |  | Units |  | Low |  | High |  | Low |  | High
Trading assets and Other financial assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loans |  | Price-based | ​ | Price | ​ | % | ​ | — | ​ | 113 | ​ | — | ​ | 106
​ | ​ | Discount cash flow | ​ | Credit spreads | ​ | bps | ​ | 56 | ​ | 114 | ​ | 40 | ​ | 102
​ | ​ | Discount cash flow | ​ | Discount margin | ​ | bps | ​ | — | ​ | — | ​ | 46 | ​ | 55
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Debt securities |  | Price-based | ​ | Price |  | % | ​ | — | ​ | 225 | ​ | — | ​ | 240
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Equity Shares | ​ | Price-based | ​ | Price | ​ | GBP | ​ | — | ​ | 34,027 | ​ | — | ​ | 30,378
​ | ​ | Price-based | ​ | Price | ​ | % | ​ | — | ​ | 30 | ​ | — | ​ | 7
​ |  | Discount cash flow | ​ | Discount margin | ​ | % | ​ | 6 | ​ | 8 | ​ | 6 | ​ | 8
​ | ​ | Net asset valuation | ​ | Fund NAV | ​ | % | ​ | 80 | ​ | 120 | ​ | 80 | ​ | 120
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivative assets and liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Credit derivatives | ​ | Credit derivative pricing | ​ | Credit spreads | ​ | bps | ​ | 7 | ​ | 530 | ​ | 6 | ​ | 635
​ |  | Option pricing | ​ | Correlation |  | % | ​ | (15) | ​ | 95 | ​ | (15) | ​ | 95
​ |  |  | ​ | Volatility | ​ | % | ​ | 30 | ​ | 80 | ​ | 30 | ​ | 108
​ |  |  | ​ | Upfront points |  | % | ​ | — | ​ | 99 | ​ | — | ​ | 100
​ |  |  | ​ | Recovery rate |  | % | ​ | — | ​ | 60 | ​ | — | ​ | 60
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate & FX |  | Option pricing | ​ | Correlation |  | % | ​ | (50) | ​ | 100 | ​ | (50) | ​ | 100
derivatives | ​ |  | ​ | Volatility | ​ | % | ​ | 30 | ​ | 127 | ​ | 17 | ​ | 77
​ | ​ | ​ | ​ | Constant Prepayment Rate | ​ | % | ​ | 2 | ​ | 21 | ​ | 2 | ​ | 16
​ | ​ | ​ | ​ | Mean Reversion | ​ | % | ​ | — | ​ | 92 | ​ | — | ​ | 92
​ | ​ | ​ | ​ | Inflation volatility | ​ | % | ​ | 1 | ​ | 2 | ​ | 1 | ​ | 2
​ | ​ | ​ | ​ | Inflation rate | ​ | % | ​ | 2 | ​ | 3 | ​ | 2 | ​ | 3
​
(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 | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2022 | ​ | 2021
​ | ​ | Level 3 | ​ | Favourable | ​ | Unfavourable | ​ | Level 3 | ​ | Favourable | ​ | Unfavourable
​ |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Trading assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loans |  | 395 |  | 10 |  | (10) |  | 721 |  | 10 |  | (10)
Securities |  | 1 |  | — |  | — |  | 21 |  | — |  | —
Derivatives |  | 1,007 |  | 50 |  | (50) |  | 917 |  | 60 |  | (70)
Other financial assets |  | ​ | ​ | ​ | ​ | ​ |  | ​ | ​ | ​ | ​ | ​
Loans |  | 727 |  | — |  | (10) |  | 207 |  | 10 |  | (10)
Securities |  | 203 |  | 20 |  | (30) |  | 186 |  | 20 |  | (20)
​ |  | 2,333 |  | 80 |  | (100) |  | 2,052 |  | 100 |  | (110)
​ |  |  |  |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Trading liabilities |  |  |  |  |  |  |  |  |  |  |  |
Deposits |  | 1 |  | — |  | — |  | 2 |  | — |  | —
Debt securities in issue |  | — |  | — |  | — |  | — |  | — |  | —
Short positions |  | — |  | — |  | — |  | 1 |  | — |  | —
Derivatives |  | 975 |  | 30 |  | (30) |  | 606 |  | 30 |  | (30)
​ |  | 976 |  | 30 |  | (30) |  | 609 |  | 30 |  | (30)
​
Schedule of movement in level 3 assets and liabilities | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2022 | ​ | 2021
​ | ​ | 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 |  | 1,658 |  | 394 |  | 2,052 |  | 609 |  | 1,388 |  | 335 |  | 1,723 |  | 894
Amounts recorded in the income statement (1) |  | 157 |  | (14) |  | 143 |  | 381 |  | (93) |  | (29) |  | (122) |  | (90)
Amounts recorded in the statement of comprehensive income |  | — |  | (20) |  | (20) |  | — |  | — |  | 23 |  | 23 |  | —
Level 3 transfers in |  | 194 |  | 532 |  | 726 |  | 81 |  | 125 |  | 3 |  | 128 |  | 20
Level 3 transfers out |  | (269) |  | (68) |  | (337) |  | (64) |  | (104) |  | (6) |  | (109) |  | (168)
Purchases/originations |  | 629 |  | 185 |  | 814 |  | 382 |  | 965 |  | 452 |  | 1,416 |  | 305
Settlements/other decreases |  | (115) |  | — |  | (115) |  | (41) |  | (47) |  | (364) |  | (411) |  | (28)
Sales |  | (857) |  | (101) |  | (958) |  | (378) |  | (573) |  | (17) |  | (590) |  | (321)
Foreign exchange and other |  | 6 |  | 22 |  | 28 |  | 6 |  | (3) |  | (3) |  | (6) |  | (3)
At 31 December |  | 1,403 |  | 930 |  | 2,333 |  | 976 |  | 1,658 |  | 394 |  | 2,052 |  | 609
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Amounts recorded in the income statement in respect of balances held at year end: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
- unrealised |  | 157 |  | (16) |  | 141 |  | 381 |  | (93) |  | (32) |  | (126) |  | (90)
​
(1) | There were £224 million net losses on trading assets and liabilities (2021 - £3 million net losses) recorded in income from trading activities. Net losses on other instruments of £14 million (2021 - £29 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.
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 | ​ | Fair value hierarchy level
​ | ​ | carrying value | ​ | value | ​ | value | ​ | Level 1 | ​ | Level 2 | ​ | Level 3
2022 | ​ | £bn | ​ | £bn | ​ | £bn | ​ | £bn | ​ | £bn | ​ | £bn
Financial assets |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
Cash and balances at central banks |  | 144.8 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
Settlement balances | ​ | 2.6 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
Loans to banks |  | 0.1 | ​ | 7.0 | ​ | 7.0 | ​ | — | ​ | 4.2 | ​ | 2.8
Loans to customers | ​ | — | ​ | 366.3 | ​ | 354.5 | ​ | — | ​ | 20.3 | ​ | 334.2
Other financial assets - securities |  | — | ​ | 13.1 | ​ | 12.8 | ​ | 3.6 | ​ | 3.2 | ​ | 6.0
2021 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
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
2022 |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial liabilities |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Bank deposits |  | 4.7 |  | 15.7 |  | 15.3 |  | — |  | 13.1 |  | 2.2
Customer deposits |  | 407.0 |  | 43.3 |  | 43.3 |  | — |  | 12.7 |  | 30.6
Settlement balances |  | 2.0 |  | — |  | — |  | — |  | — |  | —
Other financial liabilities - debt securities in issue | ​ | — | ​ | 46.7 | ​ | 46.1 | ​ | — | ​ | 40.7 | ​ | 5.4
Subordinated liabilities |  | — |  | 5.9 |  | 5.6 |  | — |  | 5.5 |  | 0.1
Notes in circulation | ​ | 3.2 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
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 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
​

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