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Derivatives (Tables)

12 Months Ended

Dec. 31, 2024

Derivatives

Schedule of derivatives

​

​	​	​	​	​	​	​	​	​	​	​	​	​	​	​	​	​	​	​
​		Notional						Asset					​	Liability
​	​	Traded on	​	​	​	​	​	Traded on	​	​	​	​	​	Traded on	​	​	​	​
​	​	recognised	​	Traded over	​	​	​	recognised	​	Traded over	​	​	​	recognised	​	Traded over	​	​
​	​	exchanges	​	the counter	​	Total	​	exchanges	​	the counter	​	Total	​	exchanges	​	the counter	​	Total
2024	​	£bn	​	£bn	​	£bn	​	£m	​	£m	​	£m	​	£m	​	£m	​	£m
Interest rate		1,066		9,267		10,333		20		37,479		37,499		2		31,530		31,532
- Swaps		—		7,015		7,015		—		28,960		28,960		—		23,138		23,138
- Options		736		1,490		2,226		20		8,519		8,539		2		8,392		8,394
- Forwards and futures		330		762		1,092		—		—		—		—		—		—
Exchange rate		1		3,278		3,279		6		40,791		40,797		15		40,291		40,306
- Swaps		—		454		454		—		8,450		8,450		—		8,195		8,195
- Options		1		851		852		6		5,385		5,391		15		5,561		5,576
- Spot, forwards and futures		—		1,973		1,973		—		26,956		26,956		—		26,535		26,535
Credit		—		14		14		—		110		110		—		244		244
Equity and commodity		—		2		2		—		—		—		—		—		—
Total		1,067		12,561		13,628		26		78,380		78,406		17		72,065		72,082
​	​	​	​	​	​	​	​	​	​	​	​	​	​	​	​	​	​	​
2023
Interest rate		819		9,449		10,268		48		44,515		44,563		34		38,449		38,483
- Swaps		—		6,533		6,533		—		33,807		33,807		—		27,424		27,424
- Options		510		1,674		2,184		48		10,708		10,756		34		11,025		11,059
- Forwards and futures		309		1,242		1,551		—		—		—		—		—		—
Exchange rate		1		3,119		3,120		—		34,161		34,161		—		33,586		33,586
- Swaps		—		449		449		—		8,173		8,173		—		7,370		7,370
- Options		1		674		675		—		4,181		4,181		—		4,197		4,197
- Spot, forwards and futures		—		1,996		1,996		—		21,807		21,807		—		22,019		22,019
Credit		—		15		15		—		180		180		—		326		326
Equity and commodity		—		—		—		—		—		—		—		—		—
Total		820		12,583		13,403		48		78,856		78,904		34		72,361		72,395

Schedule of derivatives in hedge accounting relationships

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

2024

​

2023

​

​

​

​

​

​

​

​

Changes in fair

​

​

​

​

​

​

​

Changes in fair

​

​

​

​

​

​

​

​

value used for

​

​

​

​

​

​

​

value used for

​

​

Notional

​

Assets

​

Liabilities

​

hedge ineffectiveness (1)

​

Notional

​

Assets

​

Liabilities

​

hedge ineffectiveness (1)

​

£bn

£m

£m

£m

£bn

£m

£m

£m

Fair value hedging

​

​

​

​

​

​

Interest rate contracts (2)

83.1

1,096

1,965

​

958

67.6

1,139

2,607

​

406

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Cash flow hedging

​

​

​

​

​

​

​

​

​

​

Interest rate contracts

167.9

1,424

3,300

​

581

140.0

1,924

4,970

​

1,211

Exchange rate contracts

14.4

116

457

​

1

16.9

112

254

​

(12)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net investment hedging

​

​

​

​

​

​

​

​

​

​

Exchange rate contracts (3)

0.3

2

1

​

9

0.3

2

7

​

(3)

​

​

265.7

​

2,638

​

5,723

​

1,549

​

224.8

​

3,177

​

7,838

​

1,602

IFRS netting and clearing house settlements

​

​

​

(2,520)

​

(5,259)

​

​

​

​

​

(3,063)

​

(7,568)

​

​

​

​

118

464

​

​

​

114

270

​

​

​

(1) The change in fair value used for hedge ineffectiveness includes instruments that were derecognised in the year.

(2) The hedged risk includes inflation risk.

(3) In addition to the derivative hedging instruments above, NatWest Group held notionals of £3,144 million (2023- £3,054 million) of non - derivative hedging instruments with a carrying value of £3,163 million (2023 - £3,061 million),that were used in net investment hedges. The non - derivative instruments are other financial liabilities - debt securities in issue.

Schedule of hedge ineffectiveness recognized in other operating income

​

​	​	​	​	​	​	​
​		2024		2023		2022
​	​	£m	​	£m	​	£m
Fair value hedging		​
Loss on hedged items attributable to the hedged risk		(954)		(364)		(442)
Gain on the hedging instruments		958		406		482
Fair value hedging ineffectiveness		4		42		40
Cash flow hedging	​	​	​	​	​	​
Interest rate risk	​	(2)	​	10	​	(60)
Cash flow hedging ineffectiveness		(2)		10		(60)
Total		2		52		(20)

Schedule of period in which the hedging contracts ends

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

0-3 months

3-12 months

1-3 years

3-5 years

5-10 years

Over 10 years

Total

2024

​

£bn

​

£bn

​

£bn

​

£bn

​

£bn

​

£bn

​

£bn

Fair value hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate risk (1)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets

​

4.0

​

5.5

​

12.6

​

9.7

​

6.6

​

3.7

​

42.1

Hedging liabilities

​

0.8

​

4.3

​

14.2

​

15.5

​

5.7

​

0.5

​

41.0

2023

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair value hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate risk (1)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets

​

0.1

​

1.7

​

7.1

​

9.0

​

5.9

​

4.7

​

28.5

Hedging liabilities

​

2.7

​

3.3

​

13.4

​

11.3

​

7.7

​

0.7

​

39.1

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

2024

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Cash flow hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate risk

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets

​

10.6

​

10.8

​

22.0

​

30.3

​

12.0

​

—

​

85.7

Hedging liabilities

​

2.5

​

17.1

​

50.7

​

10.1

​

1.4

​

0.4

​

82.2

Exchange rate risk

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets

​

0.5

​

0.8

​

0.5

​

—

​

—

​

—

​

1.8

Hedging liabilities

​

3.1

​

2.5

​

3.7

​

3.3

​

—

​

—

​

12.6

2023

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Cash flow hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate risk

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets

​

3.9

​

14.5

​

33.9

​

22.8

​

10.1

​

—

​

85.2

Hedging liabilities

​

0.8

​

3.9

​

39.1

​

10.1

​

0.3

​

0.6

​

54.8

Exchange rate risk

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets

​

0.3

​

0.7

​

1.6

​

—

​

—

​

—

​

2.6

Hedging liabilities

​

8.4

​

0.8

​

2.4

​

2.5

​

0.2

​

—

​

14.3

​

(1) The hedged risk includes inflation risk.

Schedule of average fixed rates for cash flow hedges

​

​	​	​	​	​	​	​	​	​	​	​	​	​	​	​
​		0-3 months		3-12 months		1-3 years		3-5 years		5-10 years		Over 10 years		Total
2024	​	%	​	%	​	%	​	%	​	%	​	%	​	%
Average fixed interest rate
Hedging assets		3.85		0.98		2.52		3.32		2.84		3.12		2.82
Hedging liabilities		4.34		4.76		3.97		3.09		3.64		4.18		4.03
2023
Average fixed interest rate
Hedging assets		1.16		2.46		1.19		3.3		1.77		3.12		2.04
Hedging liabilities		0.93		2.54		4.36		2.28		2.36		4.5		3.79

Schedule of average foreign exchange rates applicable across hedging relationships

​

​	​	​	​	​
​		2024		2023
INR/GBP		109.07		105.03
USD/GBP		1.30		1.28
CHF/GBP		1.08		1.08
JPY/GBP		176.04		170.54
JPY/USD		130.79		129.75
NOK/USD		9.21		9.21

Schedule of hedged items and related hedging instruments

​

​	​	​	​	​	​	​
​		​		​		Changes in fair
​	​	Carrying value	​	Impact on	​	value used as
​	​	of hedged	​	hedged items	​	a basis to
​	​	assets and	​	included in	​	determine
​	​	liabilities	​	carrying value	​	ineffectiveness (1)
2024	​	£m	​	£m	​	£m
Fair value hedging - interest rate (2)	​	​	​	​	​	​
Loans to banks and customers - amortised cost	​	5,318	​	(478)	​	(182)
Other financial assets - securities	​	36,724	​	(29)	​	(347)
Total (3)	​	42,042	​	(507)	​	(529)
​	​	​	​	​	​	​
Bank and customer deposits	​	382	​	—	​	(3)
Other financial liabilities - debt securities in issue (5)	​	37,548	​	(784)	​	(315)
Subordinated liabilities	​	5,772	​	(244)	​	(107)
Total	​	43,702	​	(1,028)	​	(425)
​	​	​	​	​	​	​
​	​	​	​	​	​	​
2023	​	​	​	​	​	​
Fair value hedging - interest rate (2)	​	​	​	​	​	​
Loans to banks and customers - amortised cost	​	5,663	​	(316)	​	167
Other financial assets - securities	​	22,896	​	174	​	636
Total (3)	​	28,559	​	(142)	​	803
​	​	​	​	​	​	​
Bank and customer deposits	​	745	​	(3)	​	(6)
Other financial liabilities - debt securities in issue (5)	​	36,305	​	(1,151)	​	(1,023)
Subordinated liabilities	​	5,346	​	(320)	​	(138)
Total	​	42,396	​	(1,474)	​	(1,167)

​

​	​	​	​	​	​	​
​	​	​	​	​	​	Changes in fair value
​	​	​	​	Carrying value of	​	used as a basis to
​	​	​	​	hedged assets and liabilities	​	determine ineffectiveness (1)
2024	​	​	​	£m	​	£m
Cash flow hedging - interest rate	​	​	​	​	​	​
Loans to banks and customers - amortised cost (4)	​	​	​	84,065	​	(190)
Other financial assets - securities	​	​	​	1,625	​	(2)
Total	​	​	​	85,690	​	(192)
​	​	​	​	​	​	​
Bank and customer deposits	​	​	​	82,081	​	(391)
Other financial liabilities - debt securities in issue	​	​	​	149	​	—
Total	​	​	​	82,230	​	(391)
​	​	​	​	​	​	​
Cash flow hedging - exchange rate	​	​	​	​	​	​
Loans to banks and customers - amortised cost (4)	​	​	​	223	​	—
Other financial assets - securities	​	​	​	1,598	​	—
Total	​	​	​	1,821	​	—
​	​	​	​	​	​	​
Other financial liabilities - debt securities in issue	​	​	​	8,279	​	(1)
Other	​	​	​	195	​	—
Total	​	​	​	8,474	​	(1)
​	​	​	​	​	​	​
2023	​	​	​	​	​	​
Cash flow hedging - interest rate				​		​
Loans to banks and customers - amortised cost (4)		​		84,583		(2,796)
Other financial assets - securities		​		623		(22)
Total		​		85,206		(2,818)
​	​	​	​	​	​	​
Bank and customer deposits	​	​	​	54,675	​	1,610
Other financial liabilities - debt securities in issue	​	​	​	156	​	7
Total	​	​	​	54,831	​	1,617
​	​	​	​	​	​	​
Cash flow hedging - exchange rate	​	​	​	​	​	​
Loans to banks and customer - amortised cost (4)		​		583		—
Other financial assets - securities	​	​	​	1,839	​	—
Total	​	​	​	2,422	​	—
​	​	​	​	​	​	​
Other financial liabilities - debt securities in issue	​	​	​	11,460	​	9
Other	​	​	​	201	​	3
Total		​		11,661		12

​

(1)The change in fair value used for hedge ineffectiveness includes instruments that were derecognised in the year.

(2)The hedged risk includes inflation risk.

(3)Carrying values include £46 million (2023 - £57 million) adjustment for discontinued fair value hedges.

(4)Includes cash and balances at central banks.

(5)The carrying value include £4,631 million (2023 - £2,957 million) of debt securities held at amortised cost.

Schedule of analysis of cash flow hedge reserve and foreign exchange hedge reserve

​

​	​	​	​	​	​	​	​	​
​	​	2024			​	2023
​	​	​	​	Foreign	​	​	​	Foreign
​	​	Cash flow	​	exchange	​	Cash flow	​	exchange
​	​	hedge reserve	​	hedge reserve	​	hedge reserve	​	hedge reserve
​		£m		£m		£m		£m
Continuing		​		​		​		​
Interest rate risk		(1,564)		—		(2,330)		—
Foreign exchange risk		(6)	​	15	​	1	​	(18)
De-designated		​		​		​		​
Interest rate risk		(437)		—		(304)		—
Foreign exchange risk		2		(663)		4		(771)
Total		(2,005)		(648)		(2,629)		(789)

​

​	​	​	​	​	​	​	​	​
​	​	2024			​	2023
​	​	​	​	Foreign	​	​	​	Foreign
​	​	Cash flow	​	exchange hedge	​	Cash flow	​	exchange hedge
​		hedge reserve		reserve		hedge reserve		reserve
​		£m		£m		£m		£m
Amount recognised in equity	​	​	​	​	​	​	​	​
Interest rate risk		(931)	​	—		137	​	—
Foreign exchange risk		59		122		50		107
Total		(872)		122		187		107
​	​	​	​	​	​	​	​	​
Amount transferred from equity to earnings	​	​	​	​	​	​	​	​
Interest rate risk to net interest income		1,562		—		1,112		—
Interest rate risk to non interest income	​	—	​	—	​	(10)	​	—
Foreign exchange risk to net interest income	​	(73)	​	—	​	(74)	​	—
Foreign exchange risk to non interest income	​	—	​	19	​	(9)	​	69
Foreign exchange risk to operating expenses		5		—		2		—
Total		1,494		19		1,021		69

​

X

- Definition

The disclosure of detailed information about hedged items. [Refer: Hedged items [domain]]

+ References

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