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Financial instruments - valuation (Tables)

12 Months Ended

Dec. 31, 2024

Financial instruments - classification

Schedule of financial assets and liabilities at fair value by valuation hierarchy


		2024								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		—		34,761		278		35,039		—		33,388		209		33,597
Securities		8,772		5,106		—		13,878		8,447		3,493		14		11,954
Derivatives
Interest rate		—		37,026		473		37,499		1		43,912		650		44,563
Foreign exchange		—		40,687		110		40,797		—		34,096		65		34,161
Other		—		63		47		110		—		72		108		180
Other financial assets
Loans		—		288		565		853		—		108		657		765
Securities		23,943		13,641		209		37,793		17,848		10,536		258		28,642
Total financial assets held at fair value		32,715		131,572		1,682		165,969		26,296		125,605		1,961		153,862
As a % of total fair value assets		20	%	79	%	1	%			17	%	82	%	1	%

Liabilities
Trading liabilities
Deposits		—		43,966		—		43,966		—		43,126		1		43,127
Debt securities in issue		—		257		—		257		—		706		—		706
Short positions		8,766		1,724		1		10,491		7,936		1,865		2		9,803
Derivatives
Interest rate		—		31,253		279		31,532		—		38,044		439		38,483
Foreign exchange		—		40,240		66		40,306		—		33,528		58		33,586
Other		—		124		120		244		—		138		188		326
Other financial liabilities
Debt securities in issue		—		1,733		3		1,736		—		1,605		3		1,608
Other deposits		—		1,787		25		1,812		—		1,280		—		1,280
Subordinated liabilities		—		234		—		234		—		237		—		237
Total financial liabilities held at fair value		8,766		121,318		494		130,578		7,936		120,529		691		129,156
As a % of total fair value liabilities		7	%	93	%	0	%			6	%	93	%	1	%

(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


		2024		2023
Adjustment		£m		£m
Funding valuation adjustments		123		132
Credit valuation adjustments		190		236
Bid–offer		76		86
Product and deal specific		157		103
Total		546		557

Schedule of valuation techniques for unobservable inputs of level 3 financial instruments


								2024				2023
Financial instrument		Valuation technique		Unobservable inputs		Units		Low		High		Low		High
Trading assets and Other financial assets
Loans		Price-based		Price		%		88		123		88		123
		Discount cash flow		Credit spreads		bps		36		93		49		119
Debt securities		Price-based		Price		%		—		116		—		119

Equity Shares		Price-based		Price		GBP		—		47,312		—		32,142
		Price-based		Price		%		—		15		—		30
		Discount cash flow		Discount margin		%		9		13		7		9
		Net asset valuation		Fund NAV		%		80		120		80		120

Derivative assets and liabilities
Credit derivatives		Credit derivative pricing		Credit spreads		bps		15		86		13		600
		Option pricing		Correlation		%		(15)		95		(15)		95
				Volatility		%		30		80		30		80
				Upfront points		%		—		99		—		99
				Recovery rate		%		—		60		—		60

Interest rate & FX		Option pricing		Correlation		%		(50)		98		(50)		99
derivatives				Volatility		%		3		99		30		111
				Constant Prepayment Rate		%		2		20		2		22
				Mean Reversion		%		—		20		—		20
				Inflation volatility		%		1		2		2		2
				Inflation rate		%		2		2		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


		2024						2023
		Level 3		Favourable		Unfavourable		Level 3		Favourable		Unfavourable
		£m		£m		£m		£m		£m		£m
Assets
Trading assets
Loans		278		—		—		209		—		—
Securities		—		—		—		14		—		—
Derivatives
Interest rate		473		20		(20)		650		20		(20)
Foreign exchange		110		—		—		65		—		—
Other		47		—		—		108		10		(10)
Other financial assets
Loans		565		—		(10)		657		—		(40)
Securities		209		20		(30)		258		20		(50)
Total financial assets held at fair value		1,682		40		(60)		1,961		50		(120)

Liabilities
Trading liabilities
Deposits		—		—		—		1		—		—
Short positions		1		—		—		2		—		—
Derivatives
Interest rate		279		10		(10)		439		10		(10)
Foreign exchange		66		—		—		58		—		—
Other		120		10		(10)		188		10		(10)
Other financial liabilities
Debt securities in issue		3		—		—		3		—		—
Other deposits		25		10		(20)		—		—		—
Total financial liabilities held at fair value		494		30		(40)		691		20		(20)

Schedule of 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 (2)		liabilities		liabilities
2024		£m		£m		£m		£m		£m		£m		£m		£m
At 1 January		823		223		915		1,961		685		3		3		691
Amounts recorded in the income statement (1)		(122)		(17)		12		(127)		(121)		—		—		(121)
Amount recorded in the statement of comprehensive income		—		—		13		13		—		—		—		—
Level 3 transfers in		7		1		56		64		1		2		25		28
Level 3 transfers out		(3)		(19)		(241)		(263)		(2)		(3)		—		(5)
Purchases/originations		147		118		117		382		121		1		—		122
Settlements/other decreases		(44)		(27)		(18)		(89)		(32)		—		—		(32)
Sales		(178)		—		(72)		(250)		(182)		(2)		—		(184)
Foreign exchange and other adjustments		—		(1)		(8)		(9)		(5)		—		—		(5)
At 31 December		630		278		774		1,682		465		1		28		494

Amounts recorded in the income statement in respect of balances held at period end
- unrealised		83		1		12		96		56		—		—		56

2023
At 1 January		1,007		396		930		2,333		975		1		—		976
Amounts recorded in the income statement (1)		(156)		(88)		1		(243)		(313)		—		—		(313)
Amount recorded in the statement of comprehensive income		—		—		32		32		—		—		—		—
Level 3 transfers in		6		15		16		37		7		2		—		9
Level 3 transfers out		(5)		(32)		(190)		(227)		(9)		(2)		—		(11)
Purchases/originations		180		8		275		463		195		2		3		200
Settlements/other decreases		(70)		(8)		(86)		(164)		(51)		—		—		(51)
Sales		(137)		(65)		(52)		(254)		(116)		—		—		(116)
Foreign exchange and other adjustments		(2)		(3)		(11)		(16)		(3)		—		—		(3)
At 31 December		823		223		915		1,961		685		3		3		691

Amounts recorded in the income statement
in respect of balances held at period end
- unrealised		67		(39)		1		29		(121)		—		—		(121)

(1)

There were net losses on trading assets and liabilities of £18 million (2023 - net gains of £69 million) was included in income from trading activities. Net gains on other instruments of £12 million (2023 - net gains of £1 million) was included in other operating income or 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.

Schedule of carrying value and fair value of financial instruments carried at amortised cost on the balance sheet


												Items where
												fair value
		Carrying		Fair		Fair value hierarchy level						approximates
		value		value		Level 1		Level 2		Level 3		carrying value
2024		£bn		£bn		£bn		£bn		£bn		£bn
Financial assets
Cash and balances at central banks		93.0		93.0		—		—		—		93.0
Settlement balances		2.1		2.1		—		—		—		2.1
Loans to banks		6.0		5.9		—		1.8		0.5		3.6
Loans to customers		400.3		396.6		—		34.9		361.7		—
Other financial assets - securities		24.6		24.6		4.3		12.4		7.9		—

2023
Financial assets
Cash and balances at central banks		104.3		104.3		—		—		—		104.3
Settlement balances		7.2		7.2		—		—		—		7.2
Loans to banks		6.9		7.0		—		2.2		0.6		4.2
Loans to customers		381.4		373.2		—		27.5		345.7		—
Other financial assets - securities		21.7		21.6		4.0		6.6		11.0		—

2024
Financial liabilities
Bank deposits		31.5		31.2		—		23.9		3.0		4.3
Customer deposits		433.5		433.3		—		24.3		46.0		363.0
Settlement balances		1.7		1.7		—		—		—		1.7
Other financial liabilities
- debt securities in issue		57.5		57.6		—		48.9		8.7		—
Subordinated liabilities		5.9		6.0		—		6.0		—		—
Notes in circulation		3.3		3.3		—		—		—		3.3

2023
Financial liabilities
Bank deposits		22.2		22.3		—		15.4		2.7		4.2
Customer deposits		431.4		431.0		—		30.7		48.8		351.5
Settlement balances		6.6		6.6		—		—		—		6.6
Other financial liabilities
- debt securities in issue		52.2		52.2		—		41.7		10.5		—
Subordinated liabilities		5.5		5.4		—		5.4		—		—
Notes in circulation		3.2		3.2		—		—		—		3.2