|
|
●
H1 2020
operating loss before tax of £770 million and operating profit
before impairment losses of £2,088 million.
|
|
|
●
Net
impairment losses of £2,858 million in H1 2020, or 159 basis
points of gross customer loans, resulted in an expected credit loss
(ECL) coverage ratio of 1.72% across the Personal and Wholesale
portfolios.
|
|
|
●
In
comparison to H1 2019, across the retail and commercial businesses
income decreased by 9.0% whilst NatWest Markets income excluding
asset disposals/strategic risk reduction, own credit adjustments
(OCA) and notable items increased by 44.4%.
|
|
|
●
Bank
net interest margin (NIM) of 1.67% was 22 basis points lower than
Q1 2020 reflecting the contraction of the yield curve, 10 basis
points, the impact of a change in the mix of lending, 5 basis
points, and excess levels of central liquidity, 7 basis
points.
|
|
|
●
Other
expenses, excluding operating lease depreciation (OLD), were
£41 million lower than H1 2019.
|
|
|
Robust balance sheet with strong capital and liquidity
levels
●We have maintained absolute and relative capital strength
and retain significant headroom above the regulatory minimum. CET1
ratio of 17.2% was 60 basis points higher than Q1 2020, benefiting
from a £3.7 billion reduction in RWAs. In addition, the
attributable loss for the quarter was more than offset by a c.70
basis point increase in IFRS 9 transitional relief.
●The liquidity coverage ratio (LCR) is strong at 166%, 14
percentage points higher than Q1 2020 reflecting the significant
increase in customer deposits.
●Across the retail and commercial businesses net lending
increased by £16.0 billion during H1 2020, of which £8.4
billion related to drawdowns against UK Government lending
initiatives and £7.6 billion was due to mortgages.
●Customer deposits increased by £39.1 billion in H1 2020
to £408.3 billion, as customers sought to retain liquidity and
reduced spending as a result of government measures in relation to
Covid-19.
|
||
Outlook(1)
|
||
|
||
We
remain committed to achieving a £250 million cost reduction in
2020 and expect strategic costs to be within our £0.8-1.0
billion guidance after recognising property related charges in Q2
2020.
|
||
We
believe the full year 2020 impairment charge is likely to be in the
range of £3.5-4.5 billion. Impairment charges in the second
half of 2020 will be driven by a combination of the developing
economic outlook for the UK and Republic of Ireland, along with the
effectiveness of government support schemes in delaying and
reducing the level of economic distress experienced by our personal
and commercial customers, and the absolute level of defaults across
lending portfolios and associated ECL stage migration.
|
||
We
expect RWAs to be in the range of £185-195 billion at the end
of 2020. Changes in RWAs in the second half of 2020 will be driven
by the delivery of targeted reductions in NatWest Markets, the
level of procyclical inflation driven by the economic outlook,
downgrades in the credit quality and assessments in the commercial
book and ongoing demand for lending from our
customers.
|
||
We
continue to target a reduction in NatWest Markets RWAs to £32
billion by the end of 2020, with income disposal losses of around
£0.2 billion, subject to market conditions. We are now
intending to achieve the majority of the expected medium term
reduction in NatWest Markets RWAs by the end of 2021, while
managing the associated income disposal losses to around £0.6
billion over the two years.
|
||
|
||
We
continue to monitor events closely and assess potential scenarios
and outcomes. The multiple economic scenarios underpinning our
guidance are disclosed on pages 28-35. The impacts of Covid-19 on
the economy and the mitigating benefits of government support
schemes remain uncertain and could result in changes to our
financial results in upcoming periods, including the possible
impairment of goodwill.
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
Performance key metrics and ratios
|
2020
|
2019
|
|
2020
|
2020
|
2019
|
Profit before impairment losses
|
£2,088m
|
£3,017m
|
|
£767m
|
£1,321m
|
£1,918m
|
Operating (loss)/profit before tax
|
(£770m)
|
£2,694m
|
|
(£1,289m)
|
£519m
|
£1,681m
|
(Loss)/profit attributable to ordinary shareholders
|
(£705m)
|
£2,038m
|
|
(£993m)
|
£288m
|
£1,331m
|
Bank net interest margin (NatWest Group NIM
|
|
|
|
|
|
|
excluding
NWM) (1)
|
1.78%
|
2.04%
|
|
1.67%
|
1.89%
|
2.02%
|
Bank average interest earning assets (NatWest Group
|
|
|
|
|
|
|
excluding
NWM) (1)
|
£440bn
|
£407bn
|
|
£458bn
|
£422bn
|
£410bn
|
Cost:income ratio (1)
|
63.8%
|
57.2%
|
|
70.9%
|
57.7%
|
52.6%
|
Loan impairment rate (1)
|
159bps
|
21bps
|
|
229bps
|
90bps
|
30bps
|
Earnings per share
|
|
|
|
|
|
|
-
basic
|
(5.8p)
|
16.9p
|
|
(8.2p)
|
2.4p
|
11.0p
|
- basic
fully diluted
|
(5.8p)
|
16.8p
|
|
(8.2p)
|
2.4p
|
11.0p
|
Return on tangible equity (1)
|
(4.4%)
|
12.1%
|
|
(12.4%)
|
3.6%
|
15.8%
|
Average tangible equity
|
£32bn
|
£34bn
|
|
£32bn
|
£32bn
|
£34bn
|
Average number of ordinary shares
|
|
|
|
|
|
|
outstanding during
the period (millions)
|
|
|
|
|
|
|
-
basic
|
12,079
|
12,058
|
|
12,085
|
12,074
|
12,069
|
- basic
fully diluted (2)
|
12,101
|
12,096
|
|
12,107
|
12,100
|
12,104
|
|
|
|
|
|
|
|
|
|
|
|
30 June
|
31 March
|
31 December
|
Balance sheet related key metrics and ratios
|
|
|
|
2020
|
2020
|
2019
|
Total assets
|
|
|
|
£806.9bn
|
£817.6bn
|
£723.0bn
|
Funded assets (1)
|
|
|
|
£623.5bn
|
£608.9bn
|
£573.0bn
|
Loans to customers - amortised cost
|
|
|
|
£352.3bn
|
£351.3bn
|
£326.9bn
|
Impairment provisions
|
|
|
|
£6.1bn
|
£4.2bn
|
£3.7bn
|
Customer deposits
|
|
|
|
£408.3bn
|
£384.8bn
|
£369.2bn
|
|
|
|
|
|
|
|
Liquidity coverage ratio (LCR)
|
|
|
|
166%
|
152%
|
152%
|
Liquidity portfolio
|
|
|
|
£243bn
|
£201bn
|
£199bn
|
Net stable funding ratio (NSFR) (3)
|
|
|
|
144%
|
138%
|
141%
|
Loan:deposit ratio (1)
|
|
|
|
86%
|
91%
|
89%
|
Total wholesale funding
|
|
|
|
£86bn
|
£86bn
|
£75bn
|
Short-term wholesale funding
|
|
|
|
£22bn
|
£32bn
|
£19bn
|
|
|
|
|
|
|
|
Common equity tier (CET1) ratio (4)
|
|
|
|
17.2%
|
16.6%
|
16.2%
|
Total capital ratio
|
|
|
|
22.5%
|
21.4%
|
21.2%
|
Pro forma CET1 ratio, pre dividend accrual (5)
|
|
|
|
17.2%
|
16.6%
|
17.0%
|
Risk-weighted assets (RWAs)
|
|
|
|
£181.5bn
|
£185.2bn
|
£179.2bn
|
CRR leverage ratio
|
|
|
|
5.1%
|
5.1%
|
5.1%
|
UK leverage ratio
|
|
|
|
6.0%
|
5.8%
|
5.8%
|
|
|
|
|
|
|
|
Tangible net asset value (TNAV) per ordinary share
|
|
|
|
264p
|
273p
|
268p
|
Tangible net asset value (TNAV) per ordinary share - fully
diluted (1,2)
|
|
|
263p
|
272p
|
267p
|
|
Tangible equity
|
|
|
|
£32,006m
|
£32,990m
|
£32,371m
|
Number of ordinary shares in issue (millions)
|
|
|
|
12,125
|
12,094
|
12,094
|
Number of ordinary shares in issue (millions) - fully
diluted (2,6)
|
|
|
12,147
|
12,116
|
12,138
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2020
|
2019
|
|
2020
|
2020
|
2019
|
Net interest income
|
3,852
|
4,004
|
|
1,910
|
1,942
|
1,971
|
|
|
|
|
|
|
|
Own credit adjustments
|
53
|
(46)
|
|
(102)
|
155
|
(3)
|
Strategic disposals
|
-
|
1,035
|
|
-
|
-
|
1,035
|
Other non-interest income
|
1,933
|
2,124
|
|
868
|
1,065
|
1,077
|
|
|
|
|
|
|
|
Non-interest income
|
1,986
|
3,113
|
|
766
|
1,220
|
2,109
|
|
|
|
|
|
|
|
Total income
|
5,838
|
7,117
|
|
2,676
|
3,162
|
4,080
|
|
|
|
|
|
|
|
Litigation and conduct costs
|
89
|
(60)
|
|
85
|
4
|
(55)
|
Strategic costs
|
(464)
|
(629)
|
|
(333)
|
(131)
|
(434)
|
Other expenses
|
(3,375)
|
(3,411)
|
|
(1,661)
|
(1,714)
|
(1,673)
|
|
|
|
|
|
|
|
Operating expenses
|
(3,750)
|
(4,100)
|
|
(1,909)
|
(1,841)
|
(2,162)
|
|
|
|
|
|
|
|
Profit before impairment losses
|
2,088
|
3,017
|
|
767
|
1,321
|
1,918
|
Impairment losses
|
(2,858)
|
(323)
|
|
(2,056)
|
(802)
|
(237)
|
|
|
|
|
|
|
|
Operating (loss)/profit before tax
|
(770)
|
2,694
|
|
(1,289)
|
519
|
1,681
|
Tax credit/(charge)
|
208
|
(194)
|
|
396
|
(188)
|
22
|
|
|
|
|
|
|
|
(Loss)/profit for the period
|
(562)
|
2,500
|
|
(893)
|
331
|
1,703
|
|
|
|
|
|
|
|
Attributable to:
|
|
|
|
|
|
|
Ordinary shareholders
|
(705)
|
2,038
|
|
(993)
|
288
|
1,331
|
Preference shareholders
|
16
|
20
|
|
8
|
8
|
10
|
Paid-in equity shareholders
|
192
|
182
|
|
95
|
97
|
92
|
Non-controlling interests
|
(65)
|
260
|
|
(3)
|
(62)
|
270
|
|
|
|
|
|
|
|
Notable items within total income
|
|
|
|
|
|
|
Alawwal bank merger gain in NatWest Markets
|
-
|
444
|
|
-
|
-
|
444
|
FX recycling (loss)/gain in Central items & other
|
(103)
|
290
|
|
(39)
|
(64)
|
290
|
Legacy liability release in Central items & other
|
-
|
256
|
|
-
|
-
|
256
|
Liquidity Asset Bond sale gain
|
110
|
11
|
|
17
|
93
|
1
|
IFRS volatility in Central items & other
|
(11)
|
17
|
|
55
|
(66)
|
21
|
NatWest Markets asset disposals/strategic risk
reduction (1)
|
(63)
|
(27)
|
|
(63)
|
-
|
(23)
|
(1)
|
Asset
disposals/strategic risk reduction in 2020 relates to the cost of
exiting positions and the impact of risk reduction transactions
entered into, in respect of the strategic announcement on 14
February 2020. Prior period comparatives refer to the previously
disclosed NatWest Markets legacy business disposal
losses.
|
H1 2020 compared with H1 2019
|
|
●
|
Income
across the retail and commercial businesses decreased by 9.0%
reflecting the contraction of the yield curve, mortgage margin
dilution, lower business activity and lower consumer spending,
resulting from government measures in response to
Covid-19. Partially offsetting, we have seen strong gross new
mortgage lending in UK Personal Banking with drawdowns against UK
Government lending initiatives and increased utilisation
of revolving credit facilities (RCFs) in Commercial
Banking, whilst maintaining a disciplined approach to
risk.
|
●
|
NatWest
Markets income excluding asset disposals/strategic risk reduction,
OCA and notable items increased by 44.4% reflecting increased customer activity as the
market reacted to the spread of the Covid-19 virus,
partially offset by the impact of
credit market write-downs.
|
●
|
Litigation
and conduct costs included a £250 million PPI release
reflecting lower than predicted valid complaints volumes, partially
offset by other charges.
|
●
|
Strategic
costs of £464 million in H1 2020 included an £83 million
charge related to technology spend, £155 million related to
property charges and a £120 million direct charge in NatWest
Markets primarily related to restructuring activity.
|
●
|
Other
expenses, excluding OLD, decreased by £41 million, or
1.2%, and headcount reduced by c.3,900, or 5.9%. We have maintained
a focus on driving underlying cost reductions and efficiencies
across the business through the continued shift from physical to
digital, process improvements and property savings.
|
●
|
The net
impairment loss of £2,858 million, 159 basis points of gross
customer loans, reflected the deterioration of the economic
outlook. As a result the ECL coverage ratio across the Personal and
Wholesale portfolios increased from 1.02% to 1.72%.
|
|
|
Q2 2020 compared with Q1 2020
|
|
●
|
Income
across the retail and commercial businesses decreased by £176
million reflecting the contraction of the yield curve, reduced
business activity and lower consumer spending, resulting
from government measures in response to Covid-19. Partially
offsetting, we have seen strong balance growth in Commercial
Banking, largely relating to drawdowns against UK Government
lending initiatives.
|
●
|
NatWest
Markets income excluding asset disposals/strategic risk reduction
and OCA increased by £50 million. Income from Financing
increased as credit markets stabilised, supported by central bank
actions, whilst Rates and Currencies decreased as the volatility
seen towards the end of Q1 2020 eased.
|
●
|
Strategic
costs of £333 million in Q2 2020 included a £44 million
charge related to technology spend, £148 million related to
property charges and an £86 million direct charge in NatWest
Markets primarily related to restructuring activity.
|
●
|
Other
expenses, excluding OLD, decreased by £54 million reflecting
reduced investment spend and other cost saving initiatives.
Headcount decreased by c.500.
|
●
|
The net
impairment loss of £2,056 million, 229 basis points of gross
customer loans, reflected the deterioration of the economic
outlook. As a result the ECL coverage ratio across the Personal and
Wholesale portfolios increased from 1.18% to 1.72%.
|
|
|
Q2 2020 compared with Q2 2019
|
|
●
|
Income
across the retail and commercial businesses decreased by 11.4%
whilst NatWest Markets income excluding asset
disposals/strategic risk reduction, OCA and notable items increased
by 62.2%.
|
●
|
Other
expenses, excluding OLD, decreased by £15 million, or
0.9%.
|
|
|
|
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2020
|
2019
|
|
2020
|
2020
|
2019
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Total income
|
2,185
|
2,447
|
|
1,035
|
1,150
|
1,202
|
Operating expenses
|
(1,075)
|
(1,229)
|
|
(546)
|
(529)
|
(594)
|
Impairment losses
|
(657)
|
(181)
|
|
(360)
|
(297)
|
(69)
|
Operating profit
|
453
|
1,037
|
|
129
|
324
|
539
|
Return on equity
|
10.7%
|
25.6%
|
|
5.7%
|
15.5%
|
26.5%
|
Net interest margin
|
2.23%
|
2.57%
|
|
2.18%
|
2.28%
|
2.51%
|
Cost:income ratio
|
49.2%
|
50.2%
|
|
52.8%
|
46.0%
|
49.4%
|
|
|
|
|
|
|
|
|
|
|
|
As at
|
||
|
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
|
2020
|
2020
|
2019
|
|
|
|
|
£bn
|
£bn
|
£bn
|
Net loans to customers (amortised cost)
|
|
|
|
164.5
|
163.7
|
158.9
|
Customer deposits
|
|
|
|
161.0
|
152.8
|
150.3
|
RWAs
|
|
|
|
36.7
|
38.2
|
37.8
|
Loan impairment rate
|
|
|
|
87bps
|
72bps
|
20bps
|
Note:
(1)
|
Comparisons
with prior periods are impacted by the transfer of the Private
Client Advice business to Private Banking from 1 January 2020. The
net impact on H1 2019 operating profit would have been to decrease
total income by £22 million and operating expenses by £4
million. The net impact on the H1 2019 balance sheet would have
been to decrease customer deposits by £0.3 billion. The net
impact on Q2 2019 operating profit would have been to decrease
total income by £11 million and operating expenses by £2
million. The net impact on the Q4 2019 balance sheet would have
been to decrease customer deposits by £0.2
billion.
|
UK
Personal Banking continues to support customers whose income has
been impacted by Covid-19. We had 240,000 mortgage customers
request an initial three month mortgage repayment holiday,
representing 20% of the book by volume. To support mortgage
customers who continue to be impacted, we are offering a range of
options from a full payment holiday to part payments for a further
three months; of those who have rolled off their initial repayment
holiday, and who have reviewed their options and taken action,
approximately one third have requested a further extension.
Additionally, we offered the option of three month payment
deferrals on loans, with 72,000, or 7%, of loan customers taking up
the offer.
|
H1 2020 compared with H1 2019
|
|
●
|
Total
income decreased by £262 million, or 10.7%, due to lower
deposit hedge income, mortgage margin dilution and lower fee income
on overdrafts, partially offset by strong balance
growth.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
increased by £17 million, or 1.5%, due to one-off releases in
Q2 2019 partially offset by a reduction in staff costs associated
with a 9.3% reduction in headcount.
|
●
|
Litigation
and conduct costs include a £250 million PPI release
reflecting lower than predicted valid complaints
volumes.
|
●
|
Impairment
losses of £657 million increased by £476 million
primarily reflecting stage two charges linked to a forecast rise in
unemployment and decline in HPI under a deteriorating economic
outlook.
|
●
|
Net
loans to customers increased by £12.6 billion, or 8.3%, as a
result of strong gross new mortgage lending and lower redemptions.
Gross new mortgage lending was £16.5 billion with market flow
share of approximately 14%, supporting a stock share of
approximately 10.5%. Personal advances and cards reduced by
£0.2 billion and £0.3 billion respectively, reflecting
lower spend and higher repayments as a result of
Covid-19.
|
●
|
Customer
deposits increased by £13.5 billion, or 9.2%, with stronger
than normal growth as government backed initiatives for Covid-19,
combined with lockdown restrictions, resulted in lower customer
spend and increased savings.
|
●
|
RWAs
remained broadly stable as mortgage lending growth was largely
offset by lower unsecured balances, with no pro-cyclicality evident
to date.
|
Q2 2020 compared with Q1 2020
|
|
●
|
Total
income decreased by £115 million due to lower overdraft fees,
Covid-19 support measures, significantly reduced card spend, which
resulted in lower fees and lower unsecured balances, and the
non-repeat of the annual insurance profit share. Net interest
margin decreased by 10 basis points reflecting lower personal
advances and cards balances and continued structural pressure in
the mortgage business, as blended front book margins of around 124
basis points remain lower than the back book margin of
approximately 138 basis points, partially offset by lower customer
deposit rates payable. In the latter part of June 2020 blended
front book application margins were around 130 basis points as
spreads in the market continued to widen.
|
●
|
Impairment
losses of £360 million increased by £63 million,
primarily reflecting stage two charges linked to a forecast rise in
unemployment and decline in HPI under a deteriorating economic
outlook.
|
●
|
Net
loans to customers increased by £0.8 billion due to mortgage
growth of £1.9 billion, with lower consumer demand and
increased repayments impacting unsecured. Personal advances and
cards reduced by £0.4 billion respectively, as customers spent
less and made repayments.
|
●
|
Customer
deposits increased by £8.2 billion as customer spend reduced
and savings increased as a result of Covid-19.
|
Q2 2020 compared with Q2 2019
|
|
●
|
Total
income decreased by £167 million, or 13.9%, primarily
reflecting lower overdraft fees, lower deposit hedge income and
mortgage margin dilution.
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2020
|
2019
|
|
2020
|
2020
|
2019
|
|
€m
|
€m
|
|
€m
|
€m
|
€m
|
Total income
|
285
|
324
|
|
135
|
150
|
158
|
Operating expenses
|
(283)
|
(322)
|
|
(140)
|
(143)
|
(166)
|
Impairment losses/releases
|
(278)
|
24
|
|
(246)
|
(32)
|
11
|
Operating (loss)/profit
|
(276)
|
26
|
|
(251)
|
(25)
|
3
|
Return on equity
|
(24.2%)
|
2.1%
|
|
(44.5%)
|
(4.2%)
|
0.6%
|
Net interest margin
|
1.52%
|
1.63%
|
|
1.48%
|
1.56%
|
1.62%
|
Cost:income ratio
|
98.4%
|
99.3%
|
|
101.7%
|
95.3%
|
105.1%
|
|
|
|
|
|
|
|
|
|
|
|
As at
|
||
|
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
|
2020
|
2020
|
2019
|
|
|
|
|
€bn
|
€bn
|
€bn
|
Net loans to customers (amortised cost)
|
|
|
|
20.5
|
21.2
|
21.4
|
Customer deposits
|
|
|
|
22.0
|
21.9
|
21.7
|
RWAs
|
|
|
|
14.1
|
14.4
|
15.3
|
Loan impairment rate
|
|
|
|
460bps
|
58bps
|
9bps
|
H1 2020 compared with H1 2019
|
|
●
|
Total
income decreased by €39 million, or 12.0%, reflecting lower
business activity resulting from the impact of Covid-19 on our
customers and our business, the non-repeat of €11 million
income relating to the restructure of interest rate swaps on free
funds, and interest rate and foreign exchange
movements.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
decreased by €6 million, or 2.2%, reflecting a 9.7% headcount
reduction, including the scale down of our services and other
functional teams, and lower project costs, which in H1 2019
included costs related to the improvement of the Ulster Bank RoI
risk management framework.
|
●
|
Impairment
losses of €278 million increased by €302 million due to
the impact across all portfolios from the deterioration in the
economic outlook caused by Covid-19.
|
●
|
Net
loans to customers decreased by €0.7 billion, or 3.3%, which
included the net de-recognition of €0.2 billion of
non-performing loans (NPL) from a sale agreed in Q4 2019, and an
increase in loan provisions against the remaining loans. Gross new
lending of €1.1 billion was 29.0% lower, with Q2 2020
impacted by lower demand primarily related to Covid-19
factors.
|
●
|
Customer
deposits increased by €0.7 billion, or 3.3%, supporting a
reduction in the loan:deposit ratio to 93% from 100%.
|
●
|
RWAs
decreased by €1.7 billion, or 10.8%, largely due to model
recalibrations and the de-recognition of NPLs in H1
2020.
|
Q2 2020 compared with Q1 2020
|
|
●
|
Total
income decreased by €15 million mainly due to lower personal
and commercial fees. Net interest margin decreased by 8 basis
points reflecting the impact of negative rates on increased liquid
assets.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses were
€3 million lower due to reduced marketing and administration
costs and foreign exchange movements.
|
●
|
Impairment
losses increased by €214 million due to the deterioration in
the economic outlook.
|
●
|
Net
loans to customers decreased by €0.7 billion due to an
increase in provisions together with loan repayments outweighing
gross new lending, which was adversely impacted by lower demand
largely as a result of Covid-19. Gross new lending was €0.4
billion, €0.3 billion lower than Q1 2020.
|
●
|
RWAs
decreased by €0.3 billion due to model recalibrations and the
impact of the NPL sale.
|
Q2 2020 compared with Q2 2019
|
|
●
|
Total
income decreased by €23 million reflecting the impact of
Covid-19, particularly on fee income due to lower transaction
levels and implementation of waivers on both personal and
commercial products.
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2020
|
2019
|
|
2020
|
2020
|
2019
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Total income
|
2,003
|
2,165
|
|
995
|
1,008
|
1,083
|
Operating expenses
|
(1,221)
|
(1,262)
|
|
(611)
|
(610)
|
(622)
|
Impairment losses
|
(1,790)
|
(202)
|
|
(1,355)
|
(435)
|
(197)
|
Operating (loss)/profit
|
(1,008)
|
701
|
|
(971)
|
(37)
|
264
|
Return on equity
|
(17.9%)
|
8.8%
|
|
(32.5%)
|
(2.5%)
|
6.2%
|
Net interest margin
|
1.76%
|
1.98%
|
|
1.70%
|
1.83%
|
1.97%
|
Cost:income ratio
|
59.5%
|
56.9%
|
|
59.9%
|
59.1%
|
56.1%
|
|
|
|
|
|
|
|
|
|
|
|
As at
|
||
|
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
|
2020
|
2020
|
2019
|
|
|
|
|
£bn
|
£bn
|
£bn
|
Net loans to customers (amortised cost)
|
|
|
|
112.0
|
109.2
|
101.2
|
Customer deposits
|
|
|
|
159.6
|
143.9
|
135.0
|
RWAs
|
|
|
|
78.3
|
76.9
|
72.5
|
Loan impairment rate
|
|
|
|
472bps
|
157bps
|
32bps
|
H1 2020 compared with H1 2019
|
|
●
|
Total
income decreased by £162 million, or 7.5%, reflecting
£108 million lower non interest income due to reduced business
activity and £54 million lower net interest income as a result
of the contraction of the yield curve, partially offset by balance
sheet growth.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
increased by £41 million, or 3.7%, reflecting a number of
one-off releases in Q2 2019, higher innovation spend and a £5
million increase in OLD, partially offset by a 1.9% reduction in
headcount following operating model efficiencies in H2 2019 and
lower non staff costs.
|
●
|
Impairment
losses of £1,790 million primarily from stage one and two
charges reflecting the deterioration in the economic outlook, with
total stage three charges of £236 million, including a small
number of single name charges.
|
●
|
Net
loans to customers increased by £10.6 billion, or 10.5%, with
a £10.8 billion increase in H1 2020 reflecting drawdowns
against UK Government lending schemes and £4.1 billion
increased RCF utilisation.
|
●
|
Customer
deposits increased by £26.2 billion, or 19.6%, principally due
to a £24.6 billion increase in H1 2020 as customers sought to
retain liquidity in light of Covid-19 uncertainty.
|
●
|
RWAs
increased by £0.5 billion, or 0.6%, due to increased lending
volumes and risk parameter changes, partially offset by a £4.5
billion reduction related to model improvements and active capital
management, with limited procyclicality evident to
date
|
Q2 2020 compared with Q1 2020
|
|
●
|
Total
income decreased by £13 million as lower deposit funding
benefits and reduced business activity offset balance sheet growth.
Net interest margin decreased by 13 basis points mainly
reflecting lower deposit funding benefits and higher liquidity
portfolio costs.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
remained broadly stable as higher back office operations costs and
a £1 million increase in OLD were partially offset by lower
non-staff costs.
|
●
|
Impairment
losses of £1,355 million primarily from stage one and two
charges reflecting the deterioration in the economic outlook, with
total stage three charges of £169 million, including a small
number of single name charges.
|
●
|
Net
loans to customers increased by £2.8 billion reflecting
drawdowns against UK Government lending schemes, including
£5.8 billion related to BBLS, £2.3 billion related to
CBILS and £0.2 billion related to CLBILS, partially offset by
£2.3 billion net RCF repayments, lower specialised business
lending and increased loan provisions. RCF utilisation decreased to
c.32% of committed facilities following increased drawdowns in
March and April 2020, but remained above pre-Covid-19
levels.
|
●
|
Customer
deposits increased by £15.7 billion as customers sought to
retain liquidity in light of Covid-19 uncertainty, including the
retention of UK Government lending scheme drawdowns.
|
●
|
RWAs
increased by £1.4 billion due to increased lending volumes,
risk parameter changes and business transfers of £0.4 billion
from NatWest Markets.
|
Q2 2020 compared with Q2 2019
|
|
●
|
Total
income decreased by £88 million, or 8.1%, reflecting reduced
business activity and the contraction of the yield curve, partially
offset by balance sheet growth and an £8 million fair value
and disposal gain in Q2 2020, compared with a £15 million loss
in Q2 2019.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
increased by £47 million, or 9.0%, reflecting a number of
one-off releases in Q2 2019, higher innovation spend and £3
million higher OLD, partially offset by a 1.9% reduction in
headcount following operating model efficiencies in H2 2019 and
lower non-staff costs.
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2020
|
2019
|
|
2020
|
2020
|
2019
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Total income
|
392
|
384
|
|
191
|
201
|
191
|
Operating expenses
|
(252)
|
(232)
|
|
(129)
|
(123)
|
(115)
|
Impairment (losses)/releases
|
(56)
|
3
|
|
(27)
|
(29)
|
(1)
|
Operating profit
|
84
|
155
|
|
35
|
49
|
75
|
Return on equity
|
8.2%
|
16.6%
|
|
6.6%
|
9.8%
|
15.9%
|
Net interest margin
|
2.20%
|
2.48%
|
|
2.14%
|
2.25%
|
2.44%
|
Cost:income ratio
|
64.3%
|
60.4%
|
|
67.5%
|
61.2%
|
60.2%
|
|
|
|
|
|
|
|
|
|
|
|
As at
|
||
|
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
|
2020
|
2020
|
2019
|
|
|
|
|
£bn
|
£bn
|
£bn
|
Net loans to customers (amortised cost)
|
|
|
|
16.0
|
15.8
|
15.5
|
Customer deposits
|
|
|
|
29.8
|
29.0
|
28.4
|
RWAs
|
|
|
|
10.4
|
10.3
|
10.1
|
Assets Under Management (AUMs)
|
|
|
|
27.1
|
24.3
|
23.2
|
Assets Under Administration (AUAs) (1)
|
|
|
|
2.7
|
2.4
|
7.2
|
Total Assets Under Management and Administration
(AUMA)
|
|
|
|
29.8
|
26.7
|
30.4
|
Loan impairment rate
|
|
|
|
67bps
|
73bps
|
(3)bps
|
Private
Banking remains committed to supporting clients through a range of
initiatives during this period of significant uncertainty,
including the provision of mortgage and loan repayment breaks and
via participation in the UK Government's CBILS financial support
scheme, with £146 million approved as at H1 2020.
H1 2020 compared with H1 2019
|
|
●
|
Total
income decreased by £14 million, or 3.4%, primarily reflecting
£11 million lower net interest income due to lower deposit
income and asset margin compression, partially offset by balance
sheet growth.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
increased by £24 million, or 11.1%, reflecting higher
investment spend and a number of one-off items.
|
●
|
Impairment
losses of £56 million, mainly reflected stage one and two
charges linked to the deterioration of the economic
outlook.
|
●
|
Net
loans to customers increased by £1.3 billion, or 8.8%,
reflecting mortgage lending and other loans growth. RWAs increased
by £0.7 billion, or 7.2%, primarily reflecting increased
lending volumes.
|
●
|
Customer
deposits increased by £1.5 billion, or 5.3%, principally due
to a £1.2 billion increase in H1 2020 reflecting an increase
in instant access savings and current accounts.
|
●
|
Total
AUMAs overseen by Private Banking increased by £0.9 billion,
or 3.1%, reflecting net new business inflows of £1.2 billion
partially offset by adverse market movements of £0.3
billion.
|
Q2 2020 compared with Q1 2020
|
|
●
|
Total
income decreased by £10 million, primarily reflecting asset
margin compression and a reduction in fee income, partially offset
by balance sheet growth. Net interest margin decreased by 11 basis
points mainly due to asset margin compression, lower deposit income
and higher liquidity portfolio costs.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
increased by £5 million reflecting higher investment spend and
a number of one-off items.
|
●
|
Impairment
losses of £27 million, mainly reflected stage one and two
charges linked to the deterioration of the economic outlook,
partially offset by a single name release.
|
●
|
Customer
deposits increased by £0.8 billion reflecting an increase in
instant access savings and current accounts.
|
●
|
Total
AUMAs overseen by Private Banking increased by £3.1 billion,
reflecting positive investment performance of £2.9 billion and
net new business inflows of £0.2 billion.
|
Q2 2020 compared with Q2 2019
|
|
●
|
Total
income decreased by £11 million, or 5.4%, primarily reflecting
lower deposit income, asset margin compression and a reduction in
fee income, partially offset by balance sheet growth.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
increased by £18 million, or 17.1%, primarily reflecting
higher investment spend and a number of one-off items.
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2020
|
2019
|
|
2020
|
2020
|
2019
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Total income
|
259
|
310
|
|
115
|
144
|
159
|
Operating expenses
|
(126)
|
(119)
|
|
(65)
|
(61)
|
(60)
|
Impairment (losses)/releases
|
(46)
|
3
|
|
(31)
|
(15)
|
2
|
Operating profit
|
87
|
194
|
|
19
|
68
|
101
|
Return on equity
|
11.8%
|
29.7%
|
|
4.3%
|
19.4%
|
30.8%
|
Net interest margin
|
1.30%
|
1.69%
|
|
1.15%
|
1.45%
|
1.68%
|
Cost:income ratio
|
48.6%
|
38.4%
|
|
56.5%
|
42.4%
|
37.7%
|
|
|
|
|
|
|
|
|
|
|
|
As at
|
||
|
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
|
2020
|
2020
|
2019
|
|
|
|
|
£bn
|
£bn
|
£bn
|
Net loans to customers (amortised cost)
|
|
|
|
12.7
|
13.6
|
14.1
|
Customer deposits
|
|
|
|
29.5
|
32.3
|
30.1
|
RWAs
|
|
|
|
6.8
|
6.8
|
6.5
|
Loan impairment rate
|
|
|
|
97bps
|
44bps
|
14bps
|
H1 2020 compared with H1 2019
|
|
●
|
Total
income decreased by £51 million, or 16.5%, primarily due to
the impact of interest rate reductions on deposit income as well as
£2 million lower payments income with the waiving of personal
and commercial banking fees in Q2 2020 to support customers during
Covid-19.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
increased by £12 million, or 11.0%, mainly due to £6
million higher investment spend to enhance the digital proposition,
£2 million Covid-19 incident costs and £3 million higher
technology costs.
|
●
|
Impairment
losses of £46 million included £25 million stage one and
stage two charges reflecting the deterioration in the economic
outlook and a £19 million charge related to a single
client.
|
●
|
Net
loans to customers decreased by £0.9 billion, or 6.6%, as
Institutional Banking customers repaid facilities to position
themselves in the uncertain environment.
|
●
|
Customer
deposits increased by £1.4 billion, or 5.0%, as Institutional
Banking customers sought to build liquidity in response to Covid-19
uncertainty.
|
Q2 2020 compared with Q1 2020
|
|
●
|
Total
income decreased £29 million primarily due to £23 million
lower deposit income resulting from the full quarter impact of the
central bank rate reductions and £4 million lower lending
income. Net interest margin decreased by 30 basis points due to
lower deposit funding benefits as a result of interest rate changes
by central banks.
|
●
|
Impairment
losses of £31 million included £17 million stage one and
two charges reflecting the deterioration in the economic outlook
and a £13 million charge related to a single
client.
|
●
|
Net
loans to customers decreased by £0.9 billion as Institutional
Banking customers responded to the uncertain economic outlook by
repaying facilities.
|
●
|
Customer
deposits decreased £2.8 billion due to lower call balances in
the Institutional Banking sector as significant Q1 2020 inflows
were used to fund loan repayments. Deposits in Local Banking increased by
£0.4 billion, most notably in Local Corporate and Everyday
Banking.
|
Q2 2020 compared with Q2 2019
|
|
●
|
Total
income decreased by £44 million, or 27.7%, due to lower
deposit funding benefits, and lower fee income reflecting the
economic response to Covid-19 with central bank rate reductions and
fee waivers.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
increased by £7 million, or 13.0%, reflecting higher
investment spend and Covid-19 incident costs.
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2020
|
2019
|
|
2020
|
2020
|
2019
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Total income
|
816
|
942
|
|
273
|
543
|
686
|
of which:
|
|
|
|
|
|
|
-
Income excluding asset disposals/strategic risk
|
|
|
|
|
|
|
reduction
and own credit adjustments
|
826
|
989
|
|
438
|
388
|
691
|
-
Asset disposals/strategic risk reduction (2)
|
(63)
|
-
|
|
(63)
|
-
|
-
|
-
Own credit adjustments
|
53
|
(47)
|
|
(102)
|
155
|
(5)
|
Operating expenses
|
(707)
|
(678)
|
|
(365)
|
(342)
|
(344)
|
Impairment (losses)/releases
|
(40)
|
36
|
|
(45)
|
5
|
20
|
Operating profit/(loss)
|
69
|
300
|
|
(137)
|
206
|
362
|
Return on equity
|
0.8%
|
1.0%
|
|
(7.1%)
|
8.7%
|
4.4%
|
Cost:income ratio
|
86.6%
|
72.0%
|
|
133.7%
|
63.0%
|
50.1%
|
|
|
|
|
|
|
|
|
|
|
|
As at
|
||
|
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
|
2020
|
2020
|
2019
|
|
|
|
|
£bn
|
£bn
|
£bn
|
Funded Assets
|
|
|
|
122.9
|
129.6
|
116.2
|
RWAs
|
|
|
|
35.1
|
38.9
|
37.9
|
Progress on strategic change
|
|
●
|
NatWest
Markets continues to progress its strategy to refocus towards
NatWest Group's corporate and institutional customers and reduce
RWAs. During H1 2020, further refinements have been made to
simplify the customer product suite, including exiting the Custom
Index Trading business and the reduction of the third party market
making offering in flow asset backed securities (ABS), residential
mortgage backed securities (RMBS) and collateralised loan
obligations (CLO). Additionally, NatWest Markets selected BNP
Paribas as a strategic partner for the provision of execution and
clearing of listed derivatives, following the decision to no longer
offer these services for certain exchange traded derivatives, as
announced in Q1 2020.
|
●
|
NatWest
Markets continues to identify efficiency improvements. During Q2
2020 changes were made to the regional operating models in the US
and APAC and actions were taken to drive closer alignment with
NatWest Group, such as leveraging NatWest Group Technology
infrastructure.
|
●
|
NatWest
Markets has also actively identified and progressed RWA reduction,
with a number of asset exits completed during Q2 2020. NatWest
Markets continues to target an RWA reduction to £32 billion at
the end of 2020.
|
H1 2020 compared with H1 2019
|
|
●
|
Total
income decreased by £126 million, or 13.4%, reflecting a £444 million gain
from the merger of Alawwal bank with Saudi British Bank (SABB) in
H1 2019, partially offset by
heightened customer activity and OCA
movements. An OCA credit
of £53 million compared with a £47 million charge in H1
2019 reflected the significant widening of credit
spreads.
|
●
|
Income
excluding asset disposals/strategic risk reduction, OCA and notable
items increased by £254
million, or 44.4%, reflecting increased customer activity as the
market reacted to the spread of the Covid-19 virus, resulting
in higher levels of primary issuance from governments
and increased secondary market activity in both the Rates and
Currencies businesses, partially offset by the impact of credit market
write-downs.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
decreased by £31 million, or 5.2%, primarily reflecting lower
back office operational costs and initial reductions following the
strategic announcement in February 2020.
|
●
|
RWAs
decreased by £6.3 billion, or 15.2%, reflecting lower levels
of counterparty and market risk which, despite recent turbulence,
have trended downwards as the business seeks to reduce its
RWAs.
|
Q2 2020 compared with Q1 2020
|
|
●
|
Income
excluding asset disposals/strategic risk reduction and OCA
increased by £50 million. Income from Financing increased as
credit markets stabilised, supported by central bank actions,
whilst Rates and Currencies decreased as the volatility seen
towards the end of Q1 2020 eased. Asset disposal/strategic risk
reduction losses of £63 million included a £40 million
loss related to a single significant transaction.
|
●
|
Excluding
strategic, litigation and conduct costs, operating expenses
decreased by £27 million reflecting initial reductions
following the strategic announcement in February 2020.
|
●
|
RWAs
decreased by £3.8 billion as the business works towards its
full year RWA target. Counterparty credit risk decreased by
£1.5 billion reflecting the exit of specific positions and
market risk decreased by £1.5 billion, as markets normalised.
A reduction in credit risk of £0.8 billion included £0.4
billion of business transfers to Commercial Banking.
|
Q2 2020 compared with Q2 2019
|
|
●
|
Income
excluding asset disposals/strategic risk reduction, OCA and notable
items increased by £168 million, or
62.2%, reflecting heightened
levels of customer activity in Q2 2020, as markets reacted to the
Covid-19 pandemic.
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2020
|
2019
|
|
2020
|
2020
|
2019
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Central items not allocated
|
(216)
|
284
|
|
(146)
|
(70)
|
337
|
●
|
Central
items not allocated represented a £216 million operating loss
in H1 2020 principally due to property related strategic costs,
litigation and conduct charges and other treasury income. This
compares with a £284 million gain in H1 2019 which primarily
reflected FX recycling gains of £290 million and a legacy
liability release of £256 million, both relating to the
Alawwal bank merger.
|
|
|
Half year ended 30 June 2020
|
|||||||||
|
|
|
|
|
|
|
Central
|
Total
|
|||
|
|
UK Personal
|
Ulster
|
|
Commercial
|
Private
|
RBS
|
|
NatWest
|
items &
|
NatWest
|
|
|
Banking
|
Bank RoI
|
|
Banking
|
Banking
|
International
|
|
Markets
|
other (1)
|
Group
|
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Income statement
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
1,982
|
194
|
|
1,370
|
251
|
201
|
|
(34)
|
(112)
|
3,852
|
|
Other non-interest income
|
203
|
55
|
|
633
|
141
|
58
|
|
797
|
46
|
1,933
|
|
Own credit adjustments
|
-
|
-
|
|
-
|
-
|
-
|
|
53
|
-
|
53
|
|
Total income
|
2,185
|
249
|
|
2,003
|
392
|
259
|
|
816
|
(66)
|
5,838
|
|
Direct expenses
|
- staff costs
|
(280)
|
(100)
|
|
(360)
|
(93)
|
(65)
|
|
(326)
|
(572)
|
(1,796)
|
|
- other costs
|
(104)
|
(42)
|
|
(149)
|
(47)
|
(27)
|
|
(94)
|
(1,116)
|
(1,579)
|
Indirect expenses
|
(785)
|
(92)
|
|
(630)
|
(101)
|
(29)
|
|
(149)
|
1,786
|
-
|
|
Strategic costs
|
- direct
|
(1)
|
(4)
|
|
(5)
|
-
|
(3)
|
|
(120)
|
(331)
|
(464)
|
|
- indirect
|
(103)
|
(8)
|
|
(70)
|
(10)
|
(5)
|
|
(16)
|
212
|
-
|
Litigation and conduct costs
|
198
|
1
|
|
(7)
|
(1)
|
3
|
|
(2)
|
(103)
|
89
|
|
Operating expenses
|
(1,075)
|
(245)
|
|
(1,221)
|
(252)
|
(126)
|
|
(707)
|
(124)
|
(3,750)
|
|
Operating profit/(loss) before impairment losses
|
1,110
|
4
|
|
782
|
140
|
133
|
|
109
|
(190)
|
2,088
|
|
Impairment losses
|
(657)
|
(243)
|
|
(1,790)
|
(56)
|
(46)
|
|
(40)
|
(26)
|
(2,858)
|
|
Operating profit/(loss)
|
453
|
(239)
|
|
(1,008)
|
84
|
87
|
|
69
|
(216)
|
(770)
|
|
Additional information
|
|
|
|
|
|
|
|
|
|
|
|
Return on equity (2)
|
10.7%
|
(24.2%)
|
|
(17.9%)
|
8.2%
|
11.8%
|
|
0.8%
|
nm
|
(4.4%)
|
|
Cost:income ratio (2)
|
49.2%
|
98.4%
|
|
59.5%
|
64.3%
|
48.6%
|
|
86.6%
|
nm
|
63.8%
|
|
Total assets (£bn)
|
187.1
|
27.6
|
|
186.0
|
23.9
|
31.5
|
|
303.8
|
47.0
|
806.9
|
|
Funded assets (£bn)
|
187.1
|
27.6
|
|
186.0
|
23.9
|
31.5
|
|
122.9
|
44.5
|
623.5
|
|
Net loans to customers - amortised cost (£bn)
|
164.5
|
18.7
|
|
112.0
|
16.0
|
12.7
|
|
11.4
|
17.0
|
352.3
|
|
Loan impairment rate (2)
|
79bps
|
248bps
|
|
311bps
|
70bps
|
72bps
|
|
nm
|
nm
|
159bps
|
|
Impairment provisions (£bn)
|
(1.9)
|
(0.9)
|
|
(3.0)
|
(0.1)
|
-
|
|
(0.2)
|
-
|
(6.1)
|
|
Impairment provisions - Stage 3 (£bn)
|
(0.9)
|
(0.6)
|
|
(1.2)
|
-
|
-
|
|
(0.1)
|
-
|
(2.8)
|
|
Customer deposits (£bn)
|
161.0
|
20.0
|
|
159.6
|
29.8
|
29.5
|
|
5.5
|
2.9
|
408.3
|
|
Risk-weighted assets (RWAs) (£bn)
|
36.7
|
12.8
|
|
78.3
|
10.4
|
6.8
|
|
35.1
|
1.4
|
181.5
|
|
RWA equivalent (RWAe) (£bn)
|
36.7
|
12.8
|
|
78.4
|
10.4
|
6.9
|
|
37.2
|
1.5
|
183.9
|
|
Employee numbers (FTEs - thousands)
|
17.5
|
2.8
|
|
10.2
|
2.0
|
1.8
|
|
5.0
|
23.4
|
62.7
|
|
Average interest earning assets (£bn)
|
178.6
|
25.7
|
|
156.5
|
23.0
|
31.2
|
|
38.0
|
nm
|
477.9
|
|
Net interest margin
|
2.23%
|
1.52%
|
|
1.76%
|
2.20%
|
1.30%
|
|
(0.18%)
|
nm
|
1.62%
|
|
Third party customer asset rate (3)
|
2.96%
|
2.27%
|
|
2.86%
|
2.65%
|
2.65%
|
|
nm
|
nm
|
nm
|
|
Third party customer funding rate (3)
|
(0.28%)
|
(0.12%)
|
|
(0.37%)
|
(0.25%)
|
(0.06%)
|
|
nm
|
nm
|
nm
|
|
|
Half year ended 30 June 2019
|
|||||||||
|
|
|
|
|
|
|
Central
|
Total
|
|||
|
|
UK Personal
|
Ulster
|
|
Commercial
|
Private
|
RBS
|
|
NatWest
|
items &
|
NatWest
|
|
|
Banking
|
Bank RoI
|
|
Banking
|
Banking
|
International
|
|
Markets
|
other (1)
|
Group
|
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Income statement
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
2,084
|
200
|
|
1,424
|
261
|
242
|
|
(122)
|
(85)
|
4,004
|
|
Other non-interest income
|
363
|
82
|
|
741
|
123
|
68
|
|
667
|
80
|
2,124
|
|
Own credit adjustments
|
-
|
1
|
|
-
|
-
|
-
|
|
(47)
|
-
|
(46)
|
|
Strategic disposals
|
-
|
-
|
|
-
|
-
|
-
|
|
444
|
591
|
1,035
|
|
Total income
|
2,447
|
283
|
|
2,165
|
384
|
310
|
|
942
|
586
|
7,117
|
|
Direct expenses
|
- staff costs
|
(300)
|
(104)
|
|
(356)
|
(82)
|
(59)
|
|
(349)
|
(591)
|
(1,841)
|
|
- other costs
|
(136)
|
(48)
|
|
(155)
|
(35)
|
(23)
|
|
(86)
|
(1,087)
|
(1,570)
|
Indirect expenses
|
(716)
|
(90)
|
|
(587)
|
(96)
|
(27)
|
|
(165)
|
1,681
|
-
|
|
Strategic costs
|
- direct
|
4
|
(9)
|
|
(32)
|
-
|
(5)
|
|
(49)
|
(538)
|
(629)
|
|
- indirect
|
(75)
|
(10)
|
|
(86)
|
(17)
|
(5)
|
|
(30)
|
223
|
-
|
Litigation and conduct costs
|
(6)
|
(20)
|
|
(46)
|
(2)
|
-
|
|
1
|
13
|
(60)
|
|
Operating expenses
|
(1,229)
|
(281)
|
|
(1,262)
|
(232)
|
(119)
|
|
(678)
|
(299)
|
(4,100)
|
|
Operating profit before impairment (losses)/releases
|
1,218
|
2
|
|
903
|
152
|
191
|
|
264
|
287
|
3,017
|
|
Impairment (losses)/releases
|
(181)
|
21
|
|
(202)
|
3
|
3
|
|
36
|
(3)
|
(323)
|
|
Operating profit
|
1,037
|
23
|
|
701
|
155
|
194
|
|
300
|
284
|
2,694
|
|
Additional information
|
|
|
|
|
|
|
|
|
|
|
|
Return on equity (2)
|
25.6%
|
2.1%
|
|
8.8%
|
16.6%
|
29.7%
|
|
1.0%
|
nm
|
12.1%
|
|
Cost:income ratio (2)
|
50.2%
|
99.3%
|
|
56.9%
|
60.4%
|
38.4%
|
|
72.0%
|
nm
|
57.2%
|
|
Total assets (£bn)
|
173.9
|
26.4
|
|
165.6
|
21.9
|
30.4
|
|
278.9
|
32.8
|
729.9
|
|
Funded assets (£bn)
|
173.9
|
26.4
|
|
165.6
|
21.9
|
30.4
|
|
133.4
|
32.7
|
584.3
|
|
Net loans to customers - amortised cost (£bn)
|
151.9
|
19.0
|
|
101.4
|
14.7
|
13.6
|
|
9.3
|
0.7
|
310.6
|
|
Loan impairment rate (2)
|
24bps
|
(21)bps
|
|
39bps
|
(4)bps
|
(4)bps
|
|
nm
|
nm
|
21bps
|
|
Impairment provisions (£bn)
|
(1.3)
|
(0.9)
|
|
(1.3)
|
-
|
-
|
|
(0.2)
|
-
|
(3.7)
|
|
Impairment provisions - Stage 3 (£bn)
|
(0.8)
|
(0.8)
|
|
(1.0)
|
-
|
-
|
|
(0.2)
|
-
|
(2.8)
|
|
Customer deposits (£bn)
|
147.5
|
19.0
|
|
133.4
|
28.0
|
28.1
|
|
2.8
|
2.8
|
361.6
|
|
Risk-weighted assets (RWAs) (£bn)
|
37.0
|
14.2
|
|
77.8
|
9.7
|
6.9
|
|
41.4
|
1.5
|
188.5
|
|
RWA equivalent (RWAe) (£bn)
|
38.1
|
14.5
|
|
79.3
|
9.7
|
7.0
|
|
46.1
|
1.8
|
196.5
|
|
Employee numbers (FTEs - thousands)
|
19.3
|
3.1
|
|
10.4
|
1.9
|
1.8
|
|
5.0
|
25.1
|
66.6
|
|
Average interest earning assets (£bn)
|
163.8
|
24.7
|
|
145.3
|
21.2
|
28.8
|
|
33.3
|
nm
|
440.3
|
|
Net interest margin
|
2.57%
|
1.63%
|
|
1.98%
|
2.48%
|
1.69%
|
|
(0.73%)
|
nm
|
1.83%
|
|
Third party customer asset rate (3)
|
3.28%
|
2.30%
|
|
3.20%
|
2.95%
|
1.75%
|
|
nm
|
nm
|
nm
|
|
Third party customer funding rate (3)
|
(0.37%)
|
(0.17%)
|
|
(0.43%)
|
(0.44%)
|
(0.14%)
|
|
nm
|
nm
|
nm
|
|
|
Quarter ended 30 June 2020
|
|||||||||
|
|
|
|
|
|
|
Central
|
Total
|
|||
|
|
UK Personal
|
Ulster
|
|
Commercial
|
Private
|
RBS
|
|
NatWest
|
items &
|
NatWest
|
|
|
Banking
|
Bank RoI
|
|
Banking
|
Banking
|
International
|
|
Markets
|
other (1)
|
Group
|
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Income statement
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
975
|
97
|
|
696
|
124
|
90
|
|
6
|
(78)
|
1,910
|
|
Other non-interest income
|
60
|
23
|
|
299
|
67
|
25
|
|
369
|
25
|
868
|
|
Own credit adjustments
|
-
|
-
|
|
-
|
-
|
-
|
|
(102)
|
-
|
(102)
|
|
Total income
|
1,035
|
120
|
|
995
|
191
|
115
|
|
273
|
(53)
|
2,676
|
|
Direct expenses
|
- staff costs
|
(139)
|
(52)
|
|
(176)
|
(46)
|
(33)
|
|
(159)
|
(272)
|
(877)
|
|
- other costs
|
(45)
|
(18)
|
|
(71)
|
(23)
|
(13)
|
|
(37)
|
(577)
|
(784)
|
Indirect expenses
|
(393)
|
(46)
|
|
(324)
|
(54)
|
(15)
|
|
(75)
|
907
|
-
|
|
Strategic costs
|
- direct
|
(1)
|
(3)
|
|
-
|
-
|
(2)
|
|
(86)
|
(241)
|
(333)
|
|
- indirect
|
(69)
|
(4)
|
|
(34)
|
(5)
|
(2)
|
|
(8)
|
122
|
-
|
Litigation and conduct costs
|
101
|
1
|
|
(6)
|
(1)
|
-
|
|
-
|
(10)
|
85
|
|
Operating expenses
|
(546)
|
(122)
|
|
(611)
|
(129)
|
(65)
|
|
(365)
|
(71)
|
(1,909)
|
|
Operating profit/(loss) before impairment losses
|
489
|
(2)
|
|
384
|
62
|
50
|
|
(92)
|
(124)
|
767
|
|
Impairment losses
|
(360)
|
(216)
|
|
(1,355)
|
(27)
|
(31)
|
|
(45)
|
(22)
|
(2,056)
|
|
Operating profit/(loss)
|
129
|
(218)
|
|
(971)
|
35
|
19
|
|
(137)
|
(146)
|
(1,289)
|
|
Additional information
|
|
|
|
|
|
|
|
|
|
|
|
Return on equity (2)
|
5.7%
|
(44.5%)
|
|
(32.5%)
|
6.6%
|
4.3%
|
|
(7.1%)
|
nm
|
(12.4%)
|
|
Cost:income ratio (2)
|
52.8%
|
101.7%
|
|
59.9%
|
67.5%
|
56.5%
|
|
133.7%
|
nm
|
70.9%
|
|
Total assets (£bn)
|
187.1
|
27.6
|
|
186.0
|
23.9
|
31.5
|
|
303.8
|
47.0
|
806.9
|
|
Funded assets (£bn)
|
187.1
|
27.6
|
|
186.0
|
23.9
|
31.5
|
|
122.9
|
44.5
|
623.5
|
|
Net loans to customers - amortised cost (£bn)
|
164.5
|
18.7
|
|
112.0
|
16.0
|
12.7
|
|
11.4
|
17.0
|
352.3
|
|
Loan impairment rate (2)
|
87bps
|
441bps
|
|
472bps
|
67bps
|
97bps
|
|
nm
|
nm
|
229bps
|
|
Impairment provisions (£bn)
|
(1.9)
|
(0.9)
|
|
(3.0)
|
(0.1)
|
-
|
|
(0.2)
|
-
|
(6.1)
|
|
Impairment provisions - Stage 3 (£bn)
|
(0.9)
|
(0.6)
|
|
(1.2)
|
-
|
-
|
|
(0.1)
|
-
|
(2.8)
|
|
Customer deposits (£bn)
|
161.0
|
20.0
|
|
159.6
|
29.8
|
29.5
|
|
5.5
|
2.9
|
408.3
|
|
Risk-weighted assets (RWAs) (£bn)
|
36.7
|
12.8
|
|
78.3
|
10.4
|
6.8
|
|
35.1
|
1.4
|
181.5
|
|
RWA equivalent (RWAe) (£bn)
|
36.7
|
12.8
|
|
78.4
|
10.4
|
6.9
|
|
37.2
|
1.5
|
183.9
|
|
Employee numbers (FTEs - thousands)
|
17.5
|
2.8
|
|
10.2
|
2.0
|
1.8
|
|
5.0
|
23.4
|
62.7
|
|
Average interest earning assets (£bn)
|
179.8
|
26.4
|
|
164.6
|
23.3
|
31.5
|
|
39.9
|
nm
|
497.4
|
|
Net interest margin
|
2.18%
|
1.48%
|
|
1.70%
|
2.14%
|
1.15%
|
|
0.06%
|
nm
|
1.54%
|
|
Third party customer asset rate (3)
|
2.86%
|
2.27%
|
|
2.70%
|
2.52%
|
2.58%
|
|
nm
|
nm
|
nm
|
|
Third party customer funding rate (3)
|
(0.20%)
|
(0.12%)
|
|
(0.33%)
|
(0.13%)
|
(0.01%)
|
|
nm
|
nm
|
nm
|
|
|
Quarter ended 31 March 2020
|
|||||||||
|
|
|
|
|
|
|
Central
|
Total
|
|||
|
|
UK Personal
|
Ulster
|
|
Commercial
|
Private
|
RBS
|
|
NatWest
|
items &
|
NatWest
|
|
|
Banking
|
Bank RoI
|
|
Banking
|
Banking
|
International
|
|
Markets
|
other (1)
|
Group
|
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Income statement
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
1,007
|
97
|
|
674
|
127
|
111
|
|
(40)
|
(34)
|
1,942
|
|
Other non-interest income
|
143
|
32
|
|
334
|
74
|
33
|
|
428
|
21
|
1,065
|
|
Own credit adjustments
|
-
|
-
|
|
-
|
-
|
-
|
|
155
|
-
|
155
|
|
Total income
|
1,150
|
129
|
|
1,008
|
201
|
144
|
|
543
|
(13)
|
3,162
|
|
Direct expenses
|
- staff costs
|
(141)
|
(48)
|
|
(184)
|
(47)
|
(32)
|
|
(167)
|
(300)
|
(919)
|
|
- other costs
|
(59)
|
(24)
|
|
(78)
|
(24)
|
(14)
|
|
(57)
|
(539)
|
(795)
|
Indirect expenses
|
(392)
|
(46)
|
|
(306)
|
(47)
|
(14)
|
|
(74)
|
879
|
-
|
|
Strategic costs
|
- direct
|
-
|
(1)
|
|
(5)
|
-
|
(1)
|
|
(34)
|
(90)
|
(131)
|
|
- indirect
|
(34)
|
(4)
|
|
(36)
|
(5)
|
(3)
|
|
(8)
|
90
|
-
|
Litigation and conduct costs
|
97
|
-
|
|
(1)
|
-
|
3
|
|
(2)
|
(93)
|
4
|
|
Operating expenses
|
(529)
|
(123)
|
|
(610)
|
(123)
|
(61)
|
|
(342)
|
(53)
|
(1,841)
|
|
Operating profit/(loss) before impairment
(losses)/releases
|
621
|
6
|
|
398
|
78
|
83
|
|
201
|
(66)
|
1,321
|
|
Impairment (losses)/releases
|
(297)
|
(27)
|
|
(435)
|
(29)
|
(15)
|
|
5
|
(4)
|
(802)
|
|
Operating profit/(loss)
|
324
|
(21)
|
|
(37)
|
49
|
68
|
|
206
|
(70)
|
519
|
|
Additional information
|
|
|
|
|
|
|
|
|
|
|
|
Return on equity (2)
|
15.5%
|
(4.2%)
|
|
(2.5%)
|
9.8%
|
19.4%
|
|
8.7%
|
nm
|
3.6%
|
|
Cost:income ratio (2)
|
46.0%
|
95.3%
|
|
59.1%
|
61.2%
|
42.4%
|
|
63.0%
|
nm
|
57.7%
|
|
Total assets (£bn)
|
186.3
|
26.3
|
|
178.3
|
23.4
|
33.2
|
|
335.7
|
34.4
|
817.6
|
|
Funded assets (£bn)
|
186.3
|
26.3
|
|
178.3
|
23.4
|
33.2
|
|
129.6
|
31.8
|
608.9
|
|
Net loans to customers - amortised cost (£bn)
|
163.7
|
18.7
|
|
109.2
|
15.8
|
13.6
|
|
12.2
|
18.1
|
351.3
|
|
Loan impairment rate (2)
|
72bps
|
56bps
|
|
157bps
|
73bps
|
44bps
|
|
nm
|
nm
|
90bps
|
|
Impairment provisions (£bn)
|
(1.6)
|
(0.7)
|
|
(1.7)
|
(0.1)
|
-
|
|
(0.1)
|
-
|
(4.2)
|
|
Impairment provisions - Stage 3 (£bn)
|
(0.9)
|
(0.6)
|
|
(1.0)
|
-
|
-
|
|
(0.1)
|
-
|
(2.6)
|
|
Customer deposits (£bn)
|
152.8
|
19.3
|
|
143.9
|
29.0
|
32.3
|
|
5.7
|
1.8
|
384.8
|
|
Risk-weighted assets (RWAs) (£bn)
|
38.2
|
12.7
|
|
76.9
|
10.3
|
6.8
|
|
38.9
|
1.4
|
185.2
|
|
RWA equivalent (RWAe) (£bn)
|
38.2
|
12.7
|
|
77.0
|
10.3
|
7.1
|
|
42.2
|
1.7
|
189.2
|
|
Employee numbers (FTEs - thousands)
|
17.8
|
2.9
|
|
10.0
|
2.0
|
1.8
|
|
5.1
|
23.6
|
63.2
|
|
Average interest earning assets (£bn)
|
177.4
|
24.9
|
|
148.4
|
22.7
|
30.9
|
|
36.1
|
nm
|
458.5
|
|
Net interest margin
|
2.28%
|
1.56%
|
|
1.83%
|
2.25%
|
1.45%
|
|
(0.45%)
|
nm
|
1.70%
|
|
Third party customer asset rate (3)
|
3.06%
|
2.28%
|
|
3.03%
|
2.77%
|
2.79%
|
|
nm
|
nm
|
nm
|
|
Third party customer funding rate (3)
|
(0.37%)
|
(0.13%)
|
|
(0.42%)
|
(0.38%)
|
(0.11%)
|
|
nm
|
nm
|
nm
|
|
|
Quarter ended 30 June 2019
|
|||||||||
|
|
|
|
|
|
|
Central
|
Total
|
|||
|
|
UK Personal
|
Ulster
|
|
Commercial
|
Private
|
RBS
|
|
NatWest
|
items &
|
NatWest
|
|
|
Banking
|
Bank RoI
|
|
Banking
|
Banking
|
International
|
|
Markets
|
other (1)
|
Group
|
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Income statement
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
1,032
|
102
|
|
716
|
129
|
125
|
|
(91)
|
(42)
|
1,971
|
|
Other non-interest income
|
170
|
35
|
|
367
|
62
|
34
|
|
338
|
71
|
1,077
|
|
Own credit adjustments
|
-
|
1
|
|
-
|
-
|
-
|
|
(5)
|
1
|
(3)
|
|
Strategic disposals
|
-
|
-
|
|
-
|
-
|
-
|
|
444
|
591
|
1,035
|
|
Total income
|
1,202
|
138
|
|
1,083
|
191
|
159
|
|
686
|
621
|
4,080
|
|
Direct expenses
|
- staff costs
|
(148)
|
(53)
|
|
(175)
|
(41)
|
(31)
|
|
(176)
|
(281)
|
(905)
|
|
- other costs
|
(77)
|
(22)
|
|
(80)
|
(17)
|
(10)
|
|
(38)
|
(524)
|
(768)
|
Indirect expenses
|
(317)
|
(42)
|
|
(269)
|
(45)
|
(13)
|
|
(76)
|
762
|
-
|
|
Strategic costs
|
- direct
|
4
|
(4)
|
|
(12)
|
-
|
(3)
|
|
(31)
|
(388)
|
(434)
|
|
- indirect
|
(49)
|
(5)
|
|
(50)
|
(10)
|
(3)
|
|
(17)
|
134
|
-
|
Litigation and conduct costs
|
(7)
|
(19)
|
|
(36)
|
(2)
|
-
|
|
(6)
|
15
|
(55)
|
|
Operating expenses
|
(594)
|
(145)
|
|
(622)
|
(115)
|
(60)
|
|
(344)
|
(282)
|
(2,162)
|
|
Operating profit/(loss) before impairment
(losses)/releases
|
608
|
(7)
|
|
461
|
76
|
99
|
|
342
|
339
|
1,918
|
|
Impairment (losses)/releases
|
(69)
|
10
|
|
(197)
|
(1)
|
2
|
|
20
|
(2)
|
(237)
|
|
Operating profit
|
539
|
3
|
|
264
|
75
|
101
|
|
362
|
337
|
1681
|
|
Additional information
|
|
|
|
|
|
|
|
|
|
|
|
Return on equity (2)
|
26.5%
|
0.6%
|
|
6.2%
|
15.9%
|
30.8%
|
|
4.4%
|
nm
|
15.8%
|
|
Cost:income ratio (2)
|
49.4%
|
105.1%
|
|
56.1%
|
60.2%
|
37.7%
|
|
50.1%
|
nm
|
52.6%
|
|
Total assets (£bn)
|
173.9
|
26.4
|
|
165.6
|
21.9
|
30.4
|
|
278.9
|
32.8
|
729.9
|
|
Funded assets (£bn)
|
173.9
|
26.4
|
|
165.6
|
21.9
|
30.4
|
|
133.4
|
32.7
|
584.3
|
|
Net loans to customers - amortised cost (£bn)
|
151.9
|
19.0
|
|
101.4
|
14.7
|
13.6
|
|
9.3
|
0.7
|
310.6
|
|
Loan impairment rate (2)
|
18bps
|
(20)bps
|
|
77bps
|
3bps
|
(6)bps
|
|
nm
|
nm
|
30bps
|
|
Impairment provisions (£bn)
|
(1.3)
|
(0.9)
|
|
(1.3)
|
-
|
-
|
|
(0.2)
|
-
|
(3.7)
|
|
Impairment provisions - Stage 3 (£bn)
|
(0.8)
|
(0.8)
|
|
(1.0)
|
-
|
-
|
|
(0.2)
|
-
|
(2.8)
|
|
Customer deposits (£bn)
|
147.5
|
19.0
|
|
133.4
|
28.0
|
28.1
|
|
2.8
|
2.8
|
361.6
|
|
Risk-weighted assets (RWAs) (£bn)
|
37.0
|
14.2
|
|
77.8
|
9.7
|
6.9
|
|
41.4
|
1.5
|
188.5
|
|
RWA equivalent (RWAe) (£bn)
|
38.1
|
14.5
|
|
79.3
|
9.7
|
7.0
|
|
46.1
|
1.8
|
196.5
|
|
Employee numbers (FTEs - thousands)
|
19.3
|
3.1
|
|
10.4
|
1.9
|
1.8
|
|
5.0
|
25.1
|
66.6
|
|
Average interest earning assets (£bn)
|
164.8
|
25.3
|
|
146.1
|
21.2
|
29.8
|
|
34.4
|
nm
|
444.8
|
|
Net interest margin
|
2.51%
|
1.62%
|
|
1.97%
|
2.44%
|
1.68%
|
|
(1.05%)
|
nm
|
1.78%
|
|
Third party customer asset rate (3)
|
3.25%
|
2.29%
|
|
3.18%
|
2.89%
|
1.79%
|
|
nm
|
nm
|
nm
|
|
Third party customer funding rate (3)
|
(0.38%)
|
(0.15%)
|
|
(0.42%)
|
(0.45%)
|
(0.13%)
|
|
nm
|
nm
|
nm
|
|
Page
|
Capital, liquidity and funding risk
|
19
|
Credit risk
|
|
Economic loss drivers
|
28
|
Credit risk - Banking activities
|
|
Segmental exposure
|
37
|
Sector analysis
|
42
|
Personal portfolio
|
49
|
CRE
|
52
|
Flow statements
|
54
|
Asset quality
|
66
|
Credit risk - Trading activities
|
70
|
Market risk
|
|
Non-traded
|
73
|
Traded
|
76
|
Other risks
|
77
|
●
|
The
CET1 ratio increased by 100 basis points to 17.2% primarily due to
the release of £1.3 billion following the cancellation of the
proposed 2019 dividend payments and associated pension contribution
in Q1 2020, as announced by the Board in response to Covid-19. The
attributable loss in the period was £705 million however the
IFRS 9 transitional arrangements on expected credit losses provided
relief of £1,578 million.
|
●
|
RWAs
increased by £2.3 billion in H1 2020. Credit Risk RWAs
increased by £4.7 billion largely due to increased utilisation
of existing facilities, new lending under the Government lending
initiatives and revision of risk parameters in Commercial Banking.
There were offsetting credit risk reductions in UK Personal Banking
and NatWest Markets segments. Market Risk RWAs decreased by
£1.5 billion, primarily reflecting movements in
risks-not-in-VaR (RNIV) and Incremental Risk Charge (IRC) as well
as a reduction in non-modelled market risk during the
period.
|
●
|
The CRR
leverage ratio remained as 5.1% due to an increase in Tier 1
capital being offset by increases in balance sheet
exposures.
|
●
|
The
total loss absorbing capital ratio of 36.8% is above the Bank of
England (BOE) requirement of 21.9% at 1 January 2020, including
CRDIV combined buffer requirements.
|
●
|
In the
first half of 2020, NatWest Group plc issued $1.6 billion
(£1.3 billion) new MREL eligible senior debt, $1.5 billion
(£1.2 billion) of AT1 and £1.0 billion Tier 2 securities.
NatWest Group plc made a redemption announcement on $2 billion
(£1.3 billion) AT1 in June 2020 which have been excluded from
capital and will be redeemed in August 2020. CET1 reduced by
£345 million due to the FX impact on the redemption
announcement. In subsidiaries, a £1.25 billion covered bond
from National Westminster Bank Plc matured and NatWest Markets Plc
issued two benchmark transactions, in the form of a €1.0
billion five - year fixed rate EMTN and a $1.0 billion three
- year fixed rate US Rule 144A programme
issuance.
|
●
|
NatWest
Group participation in the BOE Term Funding Scheme (TFS) reduced by
£5 billion and the Group drew down £5 billion under the
BOE Term Funding Scheme with additional incentives for Small and
Medium-sized Enterprises (TFSME) during H1 2020.
|
●
|
UBI DAC
borrowed €3.1 billion from the European Central Bank (ECB)
Targeted longer-term refinancing operation (TLTRO 3) and repaid
€2.0 billion of TLTRO 2.
|
●
|
H1 2020
published LCR ratio of 166% is 14% higher than FY 2019 driven by
increased deposits in NatWest Holdings Limited and Treasury
issuance including AT1, Tier 2 and MREL, partially offset by
NatWest Holdings Limited lending growth driven by mortgages and
government schemes lending.
|
●
|
The net
stable funding ratio was at 144% compared to 141% for FY 2019. The
increase is mainly due to deposits growth.
|
●
|
IFRS 9 Transition - NatWest Group has elected to take
advantage of the transitional regulatory capital rules in respect
of expected credit losses following the adoption of IFRS 9; it had
previously had a negligible impact up to Q4 2019. The CRR Covid-19
amendment now requires a full CET1 addback for the movement in
stage 1 and stage 2 ECL from 1 January 2020 for the next two years.
The IFRS 9 transitional arrangement impact on NatWest Group CET1
regulatory capital at 30 June 2020 is £1.6
billion.
|
●
|
UK Leverage exposure - The Prudential Regulation
Authority (PRA) announced the ability for firms to apply for a
modification by consent to permit the netting of regular-way
purchase and sales settlement balances. The PRA also offered a
further modification that gave an exclusion from the UK Leverage
Exposure for Bounce Back Loans (BBL) and other 100% guaranteed
government Covid-19 lending schemes. The NatWest Group has
received permission to apply these and it has reduced the UK
leverage exposure by approximately £6.9 billion and £5.2
billion respectively.
|
●
|
CRR Leverage exposure - The CRR Covid-19 amendment
accelerated a change in CRR2 to allow the netting of regular-way
purchase and sales settlement balances. The NatWest Group has
applied this and it has reduced the CRR leverage exposure by
approximately £6.9 billion.
|
●
|
Infrastructure and SME RWA supporting factors - The CRR
Covid-19 amendment allowed an acceleration of the planned changes
to the SME supporting factor and the introduction of an
Infrastructure supporting factor, with these now being applicable
with immediate effect. NatWest Group intends to implement these
beneficial changes which will reduce RWAs but has not yet concluded
the required operational change project to implement.
|
●
|
Prudential Valuation Adjustment (PVA) - The European
Commission amended the prudent valuation Regulatory Technical
Standard such that, due to the exceptional levels of market
volatility, the aggregation factor was increased from 50% to 66%
until 31 December 2020. This has reduced NatWest Group's PVA
deduction by approximately £100 million.
|
●
|
Market Risk Value-at-risk (VaR) model capital multiplier
- The PRA and De Nederlandsche Bank (DNB) have
announced temporary approaches in relation to the exceptional
levels of market volatility which has resulted in an increase in
VaR model back testing exceptions in NatWest Markets Plc and
NatWest Markets N.V.. Under the PRA temporary approach, capital
multiplier increases due to new back testing exceptions which have
resulted in an increase in capital requirements can be offset
through a commensurate reduction in RNIV capital requirements.
Under the DNB approach, back testing exceptions have been allowed
to be excluded from the capital multiplier. The PRA approach
resulted in approximately £2,300 million benefit and the DNB
approach a benefit of approximately €100
million.
|
●
|
Capital buffers - Many countries have recently
announced reductions in their countercyclical capital buffer rates
in response to Covid-19. Most notably for NatWest Group, the
Financial Policy Committee reduced the UK rate from 1% to 0%
effective from 11 March 2020. The CBI also announced a reduction of
the Republic of Ireland rate from 1% to 0% effective from 1 April
2020.
|
|
|
Type
|
CET1
|
Total
Tier 1
|
Total
capital
|
||||
Pillar
1 requirements
|
4.5%
|
6.0%
|
8.0%
|
||||
Pillar
2A requirements
|
1.9%
|
2.6%
|
3.4%
|
||||
Minimum
Capital Requirements
|
6.4%
|
8.6%
|
11.4%
|
||||
Capital
conservation buffer
|
2.5%
|
2.5%
|
2.5%
|
||||
Countercyclical
capital buffer (1)
|
0.0%
|
0.0%
|
0.0%
|
||||
G-SIB
buffer (2)
|
-
|
|
-
|
-
|
|||
MDA
Threshold
|
8.9%
|
|
na
|
|
na
|
||
Subtotal (3)
|
8.9%
|
11.1%
|
13.9%
|
||||
Capital
ratios at 30 June 2020
|
17.2%
|
19.4%
|
22.5%
|
||||
Headroom (4)
|
8.3%
|
8.3%
|
8.6%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Many
countries have recently announced reductions in their
countercyclical capital buffer rates in response to Covid-19. Most
notably for NatWest Group, the Financial Policy Committee reduced
the UK rate from 1% to 0% effective from 11 March 2020. The CBI
also announced a reduction of the Republic of Ireland rate from 1%
to 0% effective from 1 April 2020.
|
(2)
(3)
(4)
|
In
November 2018 the Financial Stability Board announced that NatWest
Group is no longer a G-SIB. From 1 January 2020, NatWest Group was
released from this global buffer requirement.
The
prevailing combined buffer requirements for NatWest Group equate to
the aggregate of the capital conservation buffer and
countercyclical buffer. 8.9% CET1 represents the MDA threshold for
NatWest Group.
The
headroom does not reflect excess distributable capital and may vary
over time.
|
|
CRR basis (1)
|
|
|
30 June
|
31 December
|
Capital adequacy ratios
|
2020
|
2019
|
CET1 (%)
|
17.2
|
16.2
|
Tier 1 (%)
|
19.4
|
18.5
|
Total (%)
|
22.5
|
21.2
|
|
|
|
Capital
|
£m
|
£m
|
Tangible equity
|
32,006
|
32,371
|
|
|
|
Expected loss less impairment provisions
|
-
|
(167)
|
Prudential valuation adjustment
|
(370)
|
(431)
|
Deferred tax assets
|
(844)
|
(757)
|
Own credit adjustments
|
(244)
|
(118)
|
Pension fund assets
|
(588)
|
(474)
|
Cash flow hedging reserve
|
(341)
|
(35)
|
Foreseeable ordinary and special dividends
|
-
|
(968)
|
Foreseeable charges
|
-
|
(365)
|
Adjustments under IFRS 9 transitional arrangements
|
1,578
|
-
|
Other deductions
|
-
|
(2)
|
Total deductions
|
(809)
|
(3,317)
|
|
|
|
CET1 capital
|
31,197
|
29,054
|
AT1 capital
|
3,990
|
4,051
|
Tier 1 capital
|
35,187
|
33,105
|
Tier 2 capital
|
5,596
|
4,900
|
|
|
|
Total regulatory capital
|
40,783
|
38,005
|
|
|
|
Risk-weighted assets
|
|
|
Credit risk
|
135,700
|
131,000
|
Counterparty credit risk
|
12,400
|
12,600
|
Market risk
|
11,500
|
13,000
|
Operational risk
|
21,900
|
22,600
|
Total RWAs
|
181,500
|
179,200
|
|
|
|
Leverage
|
|
|
Cash and balances at central banks
|
100,300
|
77,900
|
Trading assets
|
72,400
|
76,700
|
Derivatives
|
183,400
|
150,000
|
Financial assets
|
428,100
|
399,100
|
Other assets
|
22,700
|
19,300
|
Total assets
|
806,900
|
723,000
|
|
|
|
Derivatives
|
|
|
- netting and variation margin
|
(194,400)
|
(157,800)
|
- potential future exposures
|
44,000
|
43,000
|
Securities financing transactions gross up
|
1,300
|
2,200
|
Other off balance sheet items
|
43,500
|
42,500
|
Regulatory deductions and other adjustments
|
(14,600)
|
(9,000)
|
CRR leverage exposure
|
686,700
|
643,900
|
|
|
|
CRR leverage ratio % (2)
|
5.1
|
5.1
|
|
|
|
UK leverage exposure
|
585,100
|
570,300
|
UK leverage ratio % (3)
|
6.0
|
5.8
|
|
|
|
|
CET1
|
AT1
|
Tier 2
|
Total
|
|
£m
|
£m
|
£m
|
£m
|
At 1 January 2020
|
29,054
|
4,051
|
4,900
|
38,005
|
Attributable loss for the period
|
(705)
|
-
|
-
|
(705)
|
Own credit
|
(126)
|
-
|
-
|
(126)
|
Share capital and reserve movements in respect of employee share
schemes
|
(46)
|
-
|
-
|
(46)
|
Foreign exchange reserve
|
466
|
-
|
-
|
466
|
FVOCI reserves
|
(218)
|
-
|
-
|
(218)
|
Goodwill and intangibles deduction
|
20
|
-
|
-
|
20
|
Deferred tax assets
|
(87)
|
-
|
-
|
(87)
|
Prudential valuation adjustments
|
61
|
-
|
-
|
61
|
Expected loss less impairment
|
167
|
-
|
-
|
167
|
New issues of capital instruments
|
-
|
1,216
|
1,000
|
2,216
|
Redemption of capital instruments
|
-
|
(1,277)
|
-
|
(1,277)
|
Net dated subordinated debt/grandfathered instruments
|
-
|
-
|
(756)
|
(756)
|
Foreign exchange movements
|
(355)
|
-
|
452
|
97
|
Foreseeable ordinary and special dividends
|
968
|
-
|
-
|
968
|
Foreseeable charges
|
365
|
-
|
-
|
365
|
Adjustment under IFRS 9 transitional arrangements
|
1,578
|
-
|
-
|
1,578
|
Other movements
|
55
|
-
|
-
|
55
|
At 30 June 2020
|
31,197
|
3,990
|
5,596
|
40,783
|
●
|
NatWest
Group has elected to take advantage of the transitional regulatory
capital rules in respect of expected credit losses following the
adoption of IFRS 9, it had previously had a negligible impact up to
Q4 2019. The CRR Covid-19 amendment now requires a full CET1
addback for the movement in stage 1 and stage 2 ECL from 1 January
2020 for the next two years. The IFRS9 transitional arrangement
impact on NatWest Group CET1 regulatory capital at 30 June 2020 is
£1.6 billion.
|
●
|
Foreign
exchange movements include a £345 million charge, in relation
to a $2 billion AT1 redemption announcement on 28 June
2020.
|
|
|
Counterparty
|
|
Operational
|
|
|
Credit risk
|
credit risk
|
Market risk
|
risk
|
Total
|
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
At 1 January 2020
|
131.0
|
12.6
|
13.0
|
22.6
|
179.2
|
Foreign exchange movement
|
2.1
|
0.4
|
-
|
-
|
2.5
|
Business movement
|
2.8
|
(0.6)
|
1.0
|
(0.7)
|
2.5
|
Risk parameter changes (1)
|
(0.6)
|
-
|
-
|
-
|
(0.6)
|
Methodology changes (2)
|
0.3
|
-
|
(0.1)
|
-
|
0.2
|
Model updates
|
0.1
|
-
|
-
|
-
|
0.1
|
Other movements (3)
|
-
|
-
|
(2.4)
|
-
|
(2.4)
|
At 30 June 2020
|
135.7
|
12.4
|
11.5
|
21.9
|
181.5
|
|
UK Personal
|
Ulster
|
Commercial
|
Private
|
|
NatWest
|
Central
|
|
|
Banking
|
Bank RoI
|
Banking
|
Banking
|
RBSI
|
Markets
|
items & other
|
Total
|
Total RWAs
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
At 1 January 2020
|
37.8
|
13.0
|
72.5
|
10.1
|
6.5
|
37.9
|
1.4
|
179.2
|
Foreign exchange movement
|
-
|
0.7
|
0.8
|
-
|
0.1
|
0.9
|
-
|
2.5
|
Business movement
|
(0.3)
|
(0.5)
|
4.5
|
0.3
|
0.2
|
(1.4)
|
(0.3)
|
2.5
|
Risk parameter changes (1)
|
(0.8)
|
(0.6)
|
0.6
|
-
|
-
|
0.2
|
-
|
(0.6)
|
Methodology changes (2)
|
-
|
-
|
(0.3)
|
-
|
-
|
0.2
|
0.3
|
0.2
|
Model updates
|
-
|
0.2
|
(0.1)
|
-
|
-
|
-
|
-
|
0.1
|
Other movements (3)
|
-
|
-
|
0.3
|
-
|
-
|
(2.7)
|
-
|
(2.4)
|
At 30 June 2020
|
36.7
|
12.8
|
78.3
|
10.4
|
6.8
|
35.1
|
1.4
|
181.5
|
|
|
|
|
|
|
|
|
|
Credit risk
|
29.1
|
11.7
|
69.5
|
9.1
|
5.8
|
9.1
|
1.4
|
135.7
|
Counterparty credit risk
|
0.1
|
-
|
0.2
|
0.1
|
-
|
12.0
|
-
|
12.4
|
Market risk
|
0.1
|
0.1
|
0.1
|
-
|
-
|
11.2
|
-
|
11.5
|
Operational risk
|
7.4
|
1.0
|
8.5
|
1.2
|
1.0
|
2.8
|
-
|
21.9
|
Total RWAs
|
36.7
|
12.8
|
78.3
|
10.4
|
6.8
|
35.1
|
1.4
|
181.5
|
(1)
|
Risk
parameter changes relate to changes in credit quality metrics of
customers and counterparties (such as probability of default and
loss given default) as well as internal ratings based model changes
relating to counterparty credit risk in line with European Banking
Authority Pillar 3 Guidelines.
|
(2)
|
The new
securitisation framework has been fully implemented from 1 January
2020 and all positions have moved to the new
framework.
|
(3)
|
The
decrease in Other movements reflects the temporary reduction
permitted by the PRA to offset the impact of multiplier increases
(included in Business
movement).
The offset covers all metrics affected by the multiplier increase,
including CVAs. Other movements also reflect transfers between
segments, primarily reflecting a transfer of Insurance related
assets from NatWest Markets to Commercial
Banking.
|
|
|
UK Personal
|
Ulster
|
Commercial
|
Private
|
RBS
|
NatWest
|
Central items
|
|
|
|
Banking
|
Bank RoI
|
Banking
|
Banking
|
International
|
Markets
|
& other
|
Total
|
30 June 2020
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
|
EAD
|
On balance sheet
|
235.6
|
28.3
|
152.6
|
21.4
|
31.1
|
40.7
|
0.7
|
510.4
|
Off balance sheet
|
27.2
|
2.2
|
29.9
|
0.3
|
4.8
|
6.2
|
0.4
|
71.0
|
|
Total
|
262.8
|
30.5
|
182.5
|
21.7
|
35.9
|
46.9
|
1.1
|
581.4
|
|
|
|
|
|
|
|
|
|
|
|
RWAs
|
On balance sheet
|
26.4
|
10.6
|
56.3
|
8.9
|
4.5
|
7.0
|
1.3
|
115.0
|
Off balance sheet
|
2.7
|
1.1
|
13.2
|
0.2
|
1.3
|
2.1
|
0.1
|
20.7
|
|
Total
|
29.1
|
11.7
|
69.5
|
9.1
|
5.8
|
9.1
|
1.4
|
135.7
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2019
|
|
|
|
|
|
|
|
|
|
EAD
|
On balance sheet
|
221.8
|
26.0
|
131.4
|
20.3
|
31.7
|
35.4
|
0.7
|
467.3
|
Off balance sheet
|
30.2
|
2.2
|
27.2
|
0.3
|
3.3
|
7.5
|
0.4
|
71.1
|
|
Total
|
252.0
|
28.2
|
158.6
|
20.6
|
35.0
|
42.9
|
1.1
|
538.4
|
|
|
|
|
|
|
|
|
|
|
|
RWAs
|
On balance sheet
|
27.1
|
10.8
|
50.8
|
8.7
|
4.7
|
6.4
|
1.3
|
109.8
|
Off balance sheet
|
3.1
|
1.1
|
12.5
|
0.2
|
1.0
|
3.2
|
0.1
|
21.2
|
|
Total
|
30.2
|
11.9
|
63.3
|
8.9
|
5.7
|
9.6
|
1.4
|
131.0
|
Capital resources
|
PRA transitional basis
|
|
|
|
30 June
|
31 December
|
|
|
2020
|
2019
|
|
|
£m
|
£m
|
|
Shareholders' equity (excluding non-controlling
interests)
|
|
|
|
Shareholders' equity
|
43,103
|
43,547
|
|
Preference shares - equity
|
(494)
|
(496)
|
|
Other equity instruments
|
(4,001)
|
(4,058)
|
|
|
38,608
|
38,993
|
|
Regulatory adjustments and deductions
|
|
|
|
Own credit
|
(244)
|
(118)
|
|
Defined benefit pension fund adjustment
|
(588)
|
(474)
|
|
Cash flow hedging reserve
|
(341)
|
(35)
|
|
Deferred tax assets
|
(844)
|
(757)
|
|
Prudential valuation adjustments
|
(370)
|
(431)
|
|
Goodwill and other intangible assets
|
(6,602)
|
(6,622)
|
|
Expected losses less impairments
|
-
|
(167)
|
|
Foreseeable ordinary and special dividends
|
-
|
(968)
|
|
Foreseeable charges
|
-
|
(365)
|
|
Adjustment under IFRS9 transition arrangements
|
1,578
|
-
|
|
Other regulatory adjustments
|
-
|
(2)
|
|
|
(7,411)
|
(9,939)
|
|
CET1 capital
|
31,197
|
29,054
|
|
|
|
|
|
Additional Tier (AT1) capital
|
|
|
|
Qualifying instruments and related share premium
|
3,990
|
4,051
|
|
Qualifying instruments and related share premium to phase
out
|
1,424
|
1,366
|
|
Qualifying instruments issued by subsidiaries and held by third
parties subject to phase out
|
140
|
140
|
|
AT1 capital
|
5,554
|
5,557
|
|
Tier 1 capital
|
36,751
|
34,611
|
|
|
|
|
|
Qualifying Tier 2 capital
|
|
|
|
Qualifying instruments and related share premium
|
5,588
|
4,867
|
|
Qualifying instruments issued by subsidiaries and held by third
parties
|
1,348
|
1,345
|
|
|
|
|
|
Tier 2 capital
|
6,936
|
6,212
|
|
Total regulatory capital
|
43,687
|
40,823
|
|
|
30 June 2020
|
|
31 December 2019
|
||||||
|
|
Balance
|
|
|
|
|
Balance
|
|
|
|
Par
|
sheet
|
Regulatory
|
LAC
|
|
Par
|
sheet
|
Regulatory
|
LAC
|
|
value (1)
|
value
|
value (2)
|
value (3)
|
|
value (1)
|
value
|
value (2)
|
value (3)
|
|
£bn
|
£bn
|
£bn
|
£bn
|
|
£bn
|
£bn
|
£bn
|
£bn
|
CET1 capital (4)
|
31.2
|
31.2
|
31.2
|
31.2
|
|
29.1
|
29.1
|
29.1
|
29.1
|
|
|
|
|
|
|
|
|
|
|
Tier 1 capital: end-point CRR compliant AT1
|
|
|
|
|
|
|
|
|
|
of
which: NatWest Group (holdco)
|
4.0
|
4.0
|
4.0
|
4.0
|
|
4.0
|
4.0
|
4.0
|
4.0
|
of
which: NatWest Group operating
|
|
|
|
|
|
|
|
|
|
subsidiaries
(opcos)
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
4.0
|
4.0
|
4.0
|
4.0
|
|
4.0
|
4.0
|
4.0
|
4.0
|
Tier 1 capital: end-point CRR non compliant
|
|
|
|
|
|
|
|
|
|
of
which: holdco
|
1.5
|
1.7
|
1.5
|
0.5
|
|
1.4
|
1.6
|
1.4
|
0.5
|
of
which: opcos
|
0.1
|
0.1
|
0.1
|
0.1
|
|
0.1
|
0.1
|
0.1
|
0.1
|
|
1.6
|
1.8
|
1.6
|
0.6
|
|
1.5
|
1.7
|
1.5
|
0.6
|
Tier 2 capital: end-point CRR compliant
|
|
|
|
|
|
|
|
|
|
of
which: holdco
|
9.3
|
9.7
|
5.5
|
6.2
|
|
6.2
|
6.4
|
4,8
|
4.7
|
of
which: opcos
|
0.5
|
0.5
|
0.1
|
0.4
|
|
0.5
|
0.5
|
0.1
|
0.4
|
|
9.8
|
10.2
|
5.6
|
6.6
|
|
6.7
|
6.9
|
4.9
|
5.1
|
Tier 2 capital: end-point CRR non compliant
|
|
|
|
|
|
|
|
|
|
of
which: holdco
|
0.1
|
0.1
|
0.1
|
0.1
|
|
0.1
|
0.1
|
0.1
|
0.1
|
of
which: opcos
|
1.6
|
1.9
|
1.2
|
1.7
|
|
1.6
|
1.8
|
1.2
|
1.6
|
|
1.7
|
2.0
|
1.3
|
1.8
|
|
1.7
|
1.9
|
1.3
|
1.7
|
Senior unsecured debt securities issued by:
|
|
|
|
|
|
|
|
|
|
NatWest Group
holdco
|
21.0
|
22.5
|
-
|
22.5
|
|
18.6
|
19.2
|
-
|
19.2
|
NatWest Group
opcos
|
22.5
|
23.0
|
-
|
-
|
|
21.1
|
20.7
|
-
|
-
|
|
43.5
|
45.5
|
-
|
22.5
|
|
39.7
|
39.9
|
-
|
19.2
|
Total
|
91.8
|
94.7
|
43.7
|
66.7
|
|
82.7
|
83.5
|
40.8
|
59.7
|
|
|
|
|
|
|
|
|
|
|
RWAs
|
|
|
|
181.5
|
|
|
|
|
179.2
|
UK leverage exposure
|
|
|
|
585.1
|
|
|
|
|
570.3
|
|
|
|
|
|
|
|
|
|
|
LAC as a ratio of RWAs
|
|
|
|
36.8%
|
|
|
|
|
33.3%
|
LAC as a ratio of UK leverage exposure
|
|
|
|
11.4%
|
|
|
|
|
10.5%
|
(1)
|
Par
value reflects the nominal value of securities issued.
|
(2)
|
Regulatory
capital instruments issued from operating companies are included in
the transitional LAC calculation, to the extent they meet the
current MREL criteria.
|
(3)
|
LAC
value reflects NatWest Group's interpretation of the Bank of
England's approach to setting a minimum requirement for own funds
and eligible liabilities (MREL), published in June 2018. MREL
policy and requirements remain subject to further potential
development, as such NatWest Group estimated position remains
subject to potential change. Liabilities excluded from LAC include
instruments with less than one year remaining to maturity,
structured debt, operating company senior debt, and other
instruments that do not meet the MREL criteria. The LAC calculation
includes eligible Tier 1 and Tier 2 securities before the
application of any regulatory caps or adjustments.
|
(4)
|
Corresponding
shareholders' equity was £43.1 billion (2019 - £43.5
billion).
|
(5)
|
Regulatory
amounts reported for AT1, Tier 1 and Tier 2 instruments are before
grandfathering restrictions imposed by CRR.
|
(6)
|
NatWest
Group is no longer recognised as a G-SII from 1 January 2020 and is
therefore not subject to the CRR MREL requirement as of this date
which references CRR2 leverage exposure. To aid comparison the
leverage exposure, and resulting ratio, is disclosed according to
the BoE leverage framework for all time periods.
|
|
|
|
NatWest
|
|
|
|
|
NatWest
|
NWM
|
|
|
|
NatWest
|
Holdings
|
NWB
|
RBS
|
UBI
|
NWM
|
Markets
|
Securities
|
RBSI
|
|
|
Group plc
|
Limited
|
Plc
|
plc
|
DAC
|
Plc
|
N.V.
|
Inc.
|
Limited
|
|
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
Tier 1 (Inclusive of AT1)
|
Externally issued
|
5.8
|
-
|
0.1
|
-
|
-
|
-
|
-
|
-
|
-
|
Tier 1 (Inclusive of AT1)
|
Internally issued
|
-
|
3.7
|
2.4
|
1.0
|
-
|
1.1
|
0.2
|
-
|
0.3
|
|
|
5.8
|
3.7
|
2.5
|
1.0
|
-
|
1.1
|
0.2
|
-
|
0.3
|
Tier 2
|
Externally issued
|
9.8
|
-
|
1.2
|
-
|
0.1
|
0.6
|
0.6
|
-
|
-
|
Tier 2
|
Internally issued
|
0.0
|
5.4
|
3.5
|
1.6
|
0.5
|
2.0
|
0.1
|
0.3
|
-
|
|
|
9.8
|
5.4
|
4.7
|
1.6
|
0.6
|
2.6
|
0.7
|
0.3
|
-
|
Senior unsecured
|
Externally issued
|
22.5
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
Senior unsecured
|
Internally issued
|
-
|
9.8
|
4.4
|
0.4
|
0.5
|
5.6
|
-
|
-
|
-
|
|
|
22.5
|
9.8
|
4.4
|
0.4
|
0.5
|
5.6
|
-
|
-
|
-
|
Total outstanding issuance
|
38.1
|
18.9
|
11.6
|
3.0
|
1.1
|
9.3
|
0.9
|
0.3
|
0.3
|
|
30 June 2020
|
|
31 December 2019
|
|
||||
|
Short-term
|
Long-term
|
|
|
Short-term
|
Long-term
|
|
|
|
less than
|
more than
|
|
|
less than
|
more than
|
|
|
|
1 year
|
1 year
|
Total
|
|
1 year
|
1 year
|
Total
|
|
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
Bank deposits
|
|
|
|
|
|
|
|
|
Repos
|
627
|
-
|
627
|
|
2,598
|
-
|
2,598
|
|
Other bank deposits (1)
|
6,706
|
13,786
|
20,492
|
|
6,688
|
11,207
|
17,895
|
|
|
7,333
|
13,786
|
21,119
|
|
9,286
|
11,207
|
20,493
|
|
Customer deposits
|
|
|
|
|
|
|
|
|
Repos
|
1,337
|
-
|
1,337
|
|
1,765
|
-
|
1,765
|
|
Non-bank financial institutions
|
54,015
|
146
|
54,161
|
|
48,759
|
352
|
49,111
|
|
Personal
|
196,312
|
904
|
197,216
|
|
183,124
|
1,210
|
184,334
|
|
Corporate
|
155,460
|
94
|
155,554
|
|
133,450
|
587
|
134,037
|
|
|
407,124
|
1,144
|
408,268
|
|
367,098
|
2,149
|
369,247
|
|
Trading liabilities (2)
|
|
|
|
|
|
|
|
|
Repos (3)
|
23,767
|
-
|
23,767
|
|
27,885
|
-
|
27,885
|
|
Derivative collateral
|
27,139
|
-
|
27,139
|
|
21,509
|
-
|
21,509
|
|
Other bank customer deposits
|
1,111
|
981
|
2,092
|
|
710
|
896
|
1,606
|
|
Debt securities in issue - Medium term notes
|
829
|
1,255
|
2,084
|
|
659
|
1,103
|
1,762
|
|
|
52,846
|
2,236
|
55,082
|
|
50,763
|
1,999
|
52,762
|
|
Other financial liabilities
|
|
|
|
|
|
|
|
|
Customer deposits
|
168
|
182
|
350
|
|
-
|
-
|
-
|
|
Debt securities in issue:
|
|
|
|
|
|
|
|
|
Commercial papers
and certificates of deposit
|
6,656
|
97
|
6,753
|
|
4,272
|
6
|
4,278
|
|
Medium term
notes
|
4,072
|
32,585
|
36,657
|
|
4,592
|
29,262
|
33,854
|
|
Covered
bonds
|
1,907
|
2,991
|
4,898
|
|
3,051
|
2,897
|
5,948
|
|
Securitisation
|
-
|
1,023
|
1,023
|
|
-
|
1,140
|
1,140
|
|
|
12,803
|
36,878
|
49,681
|
|
11,915
|
33,305
|
45,220
|
|
Subordinated liabilities
|
1,798
|
11,760
|
13,558
|
|
160
|
9,819
|
9,979
|
|
Total funding
|
481,904
|
65,804
|
547,708
|
|
439,222
|
58,479
|
497,701
|
|
Of which: available in
resolution (4)
|
-
|
31,063
|
31,063
|
|
-
|
26,168
|
26,168
|
|
|
Liquidity value
|
|
||||||||
|
30 June 2020
|
|
31 December 2019
|
|
|
|
|
|
|
|
|
NatWest
|
NWH
|
UK Dol
|
|
NatWest
|
NWH
|
UK Dol
|
|
||
|
Group (1)
|
Group (2)
|
Sub (3)
|
|
Group (1)
|
Group (2)
|
Sub (3)
|
|
||
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
|
||
Cash and balances at central banks
|
97,201
|
67,783
|
67,783
|
|
74,289
|
51,080
|
51,080
|
|
||
AAA to AA- rated
governments
|
56,234
|
44,738
|
43,334
|
|
46,622
|
35,960
|
34,585
|
|||
A+ and lower rated
governments
|
1,040
|
-
|
-
|
|
1,277
|
-
|
-
|
|||
Government guaranteed
issuers, Public sector entities and
|
|
|
|
|
|
|
|
|||
Government sponsored entities
|
261
|
261
|
96
|
|
251
|
251
|
90
|
|||
International
Organisations and Multilateral development
|
|
|
|
|
|
|
|
|||
banks
|
2,799
|
2,458
|
1,994
|
|
2,393
|
2,149
|
1,717
|
|||
LCR level 1 bonds
|
60,334
|
47,457
|
45,424
|
|
50,543
|
38,360
|
36,392
|
|
||
LCR level 1 Assets
|
157,535
|
115,240
|
113,207
|
|
124,832
|
89,440
|
87,472
|
|
||
LCR level 2 Assets
|
127
|
-
|
-
|
|
-
|
-
|
-
|
|
||
Non-LCR Eligible Assets
|
-
|
-
|
-
|
|
88
|
-
|
-
|
|
||
Primary liquidity
|
157,662
|
115,240
|
113,207
|
|
124,920
|
89,440
|
87,472
|
|
||
Secondary liquidity (4)
|
84,910
|
84,427
|
81,835
|
|
74,431
|
74,187
|
73,332
|
|
||
Total liquidity value
|
242,572
|
199,667
|
195,042
|
|
199,351
|
163,627
|
160,804
|
|
(1)
|
NatWest
Group includes UK DoLSub, NatWest Markets Plc and other significant
operating subsidiaries that hold liquidity portfolios. These
include The Royal Bank of Scotland International Limited, NWM N.V.
and Ulster Bank Ireland DAC who hold managed portfolios that comply
with local regulations that may differ from PRA rules.
|
(2)
|
NWH
Group comprises UK DoLSub & Ulster Bank Ireland DAC who hold
managed portfolios that comply with local regulations that may
differ from PRA rules.
|
(3)
|
UK
DoLSub comprises NatWest Group’s four licensed deposit-taking
UK banks within the ring-fenced bank: NWB Plc, RBS plc, Coutts
& Company and
Ulster
Bank Limited.
|
(4)
|
Comprises
assets eligible for discounting at the Bank of England and other
central banks.
|
(5)
|
Liquidity
portfolio table approach has been aligned to the ILAAP methodology
with effect from December 2019.
|
(6)
|
NatWest
Markets Plc liquidity portfolio is reported in the NatWest Markets
Plc Company Announcement.
|
Five-year average
|
30 June 2020
|
|
31 December 2019
|
|||||||
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|
Upside 2
|
Upside 1
|
Base case
|
Downside 1
|
Downside 2
|
|
%
|
%
|
%
|
%
|
|
%
|
%
|
%
|
%
|
%
|
UK
|
|
|
|
|
|
|
|
|
|
|
GDP - change
|
1.4
|
1.5
|
0.6
|
(0.4)
|
|
2.4
|
2.2
|
1.6
|
1.3
|
0.9
|
Unemployment
|
5.1
|
5.5
|
7.4
|
9.9
|
|
3.6
|
3.9
|
4.4
|
4.7
|
5.2
|
House Price Inflation - change
|
2.0
|
1.4
|
0.5
|
(4.5)
|
|
4.1
|
3.3
|
1.6
|
0.8
|
(1.0)
|
Bank of England base rate
|
0.2
|
0.2
|
0.1
|
(0.2)
|
|
1.0
|
0.7
|
0.3
|
-
|
-
|
Commercial real estate price
|
|
|
|
|
|
|
|
|
|
|
-
change
|
(0.5)
|
(1.2)
|
(2.3)
|
(8.6)
|
|
2.7
|
1.7
|
(0.1)
|
(1.0)
|
(3.0)
|
|
|
|
|
|
|
|
|
|
|
|
Republic of Ireland
|
|
|
|
|
|
|
|
|
|
|
GDP - change
|
2.9
|
2.6
|
1.8
|
0.2
|
|
3.9
|
3.6
|
2.8
|
2.4
|
1.9
|
Unemployment
|
5.8
|
6.9
|
9.3
|
11.8
|
|
3.9
|
4.3
|
4.8
|
5.7
|
6.9
|
House Price Inflation - change
|
2.3
|
2.2
|
1.1
|
(0.9)
|
|
5.3
|
4.7
|
2.9
|
2.2
|
1.0
|
European Central Bank base rate
|
-
|
-
|
-
|
-
|
|
1.6
|
0.9
|
-
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
World GDP - change
|
2.8
|
2.9
|
2.0
|
1.3
|
|
3.8
|
3.3
|
2.8
|
2.5
|
2.1
|
|
|
|
|
|
|
|
|
|
|
|
Probability weight
|
20.0
|
35.0
|
35.0
|
10.0
|
|
12.7
|
14.8
|
30.0
|
29.7
|
12.7
|
GDP - annual growth
|
|
|
|
|
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|||||||||
UK
|
%
|
%
|
%
|
%
|
|
Republic of Ireland
|
%
|
%
|
%
|
%
|
|||||||||
2020
|
(8.9)
|
(14.3)
|
(14.1)
|
(16.9)
|
|
2020
|
(8.9)
|
(10.5)
|
(16.3)
|
(20.3)
|
|||||||||
2021
|
10.1
|
15.4
|
11.2
|
5.3
|
|
2021
|
14.2
|
9.9
|
16.4
|
5.5
|
|||||||||
2022
|
2.7
|
3.4
|
2.3
|
6.4
|
|
2022
|
4.1
|
6.3
|
3.6
|
8.1
|
|||||||||
2023
|
1.6
|
1.6
|
2.0
|
1.7
|
|
2023
|
2.6
|
4.9
|
3.1
|
5.3
|
|||||||||
2024
|
1.6
|
1.6
|
1.6
|
1.6
|
|
2024
|
2.4
|
2.4
|
2.4
|
2.4
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Unemployment rate
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|||||||||
UK
|
%
|
%
|
%
|
%
|
|
Republic of Ireland
|
%
|
%
|
%
|
%
|
|||||||||
Q4 2020
|
7.4
|
9.2
|
9.8
|
14.4
|
|
Q4 2020
|
8.2
|
9.7
|
13.2
|
16.6
|
|||||||||
Q4 2021
|
4.8
|
5.0
|
7.8
|
10.9
|
|
Q4 2021
|
5.5
|
7.3
|
10.0
|
13.7
|
|||||||||
Q4 2022
|
4.1
|
4.0
|
6.7
|
9.1
|
|
Q4 2022
|
4.7
|
5.6
|
8.3
|
11.0
|
|||||||||
Q4 2023
|
4.1
|
4.0
|
6.0
|
7.6
|
|
Q4 2023
|
4.8
|
5.0
|
6.9
|
8.7
|
|||||||||
Q4 2024
|
4.1
|
4.0
|
5.9
|
6.9
|
|
Q4 2024
|
4.9
|
5.1
|
6.8
|
8.5
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
House Price Inflation - annual growth
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|||||||||
UK
|
%
|
%
|
%
|
%
|
|
Republic of Ireland
|
%
|
%
|
%
|
%
|
|||||||||
2020
|
(0.1)
|
(8.9)
|
(9.3)
|
(11.5)
|
|
2020
|
(3.4)
|
(6.0)
|
(10.1)
|
(13.6)
|
|||||||||
2021
|
0.6
|
3.6
|
(5.1)
|
(14.9)
|
|
2021
|
(1.6)
|
(6.8)
|
(9.8)
|
(17.3)
|
|||||||||
2022
|
2.4
|
6.4
|
7.1
|
0.7
|
|
2022
|
7.2
|
11.8
|
11.1
|
9.7
|
|||||||||
2023
|
3.5
|
3.2
|
6.4
|
1.5
|
|
2023
|
5.8
|
7.9
|
7.9
|
9.8
|
|||||||||
2024
|
3.8
|
2.6
|
3.5
|
1.6
|
|
2024
|
3.7
|
4.0
|
6.5
|
7.2
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Commercial real estate price - annual change
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|
|
|
|
|
|
|||||||||
UK
|
%
|
%
|
%
|
%
|
|
|
|
|
|
|
|||||||||
2020
|
(7.5)
|
(16.0)
|
(22.1)
|
(20.9)
|
|
|
|
|
|
|
|||||||||
2021
|
2.2
|
1.9
|
(0.7)
|
(20.3)
|
|
|
|
|
|
|
|||||||||
2022
|
1.3
|
6.3
|
7.3
|
(8.1)
|
|
|
|
|
|
|
|||||||||
2023
|
0.4
|
1.5
|
2.2
|
3.2
|
|
|
|
|
|
|
|||||||||
2024
|
1.0
|
0.6
|
1.6
|
3.2
|
|
|
|
|
|
|
Extreme points
|
Worst points
|
||||||||
|
H1 2020
|
|
H2 2019
|
|
|
|
|
|
|
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|
Downside 1
|
Downside 2
|
||
UK
|
%
|
%
|
%
|
%
|
|
%
|
%
|
||
GDP (year-on-year)
|
(17.1)
|
(27.7)
|
(26.6)
|
(28.0)
|
|
(0.2)
|
(1.8)
|
||
Unemployment
|
7.6
|
9.5
|
12.0
|
15.1
|
|
4.9
|
5.5
|
||
House Price Inflation (year-on-year)
|
(0.7)
|
(13.7)
|
(14.9)
|
(20.4)
|
|
(3.5)
|
(8.4)
|
||
Commercial real estate price (year-on-year)
|
(10.2)
|
(21.2)
|
(27.2)
|
(31.0)
|
|
(8.2)
|
(12.6)
|
||
|
|
|
|
|
|
|
|
||
|
Worst points
|
|
|
|
|
|
|
|
|
|
H1 2020
|
|
H2 2019
|
|
|
|
|
|
|
|
Upside
|
Central 1
|
Central 2
|
Downside
|
|
Downside 1
|
Downside 2
|
||
Republic of Ireland
|
%
|
%
|
%
|
%
|
|
%
|
%
|
||
GDP (year-on-year)
|
(19.0)
|
(20.6)
|
(32.7)
|
(34.7)
|
|
0.5
|
(2.1)
|
||
Unemployment
|
9.0
|
14.8
|
16.9
|
17.7
|
|
5.8
|
7.3
|
||
House Price Inflation (year-on-year)
|
(8.0)
|
(15.1)
|
(22.3)
|
(30.8)
|
|
(2.6)
|
(8.4)
|
Instead, NatWest Group has subjectively applied probability
weights, reflecting expert views within NatWest Group. The
probability weight assignment was judged to present good coverage
to the central scenarios and the potential for a far more robust
recovery on the upside and exceptionally challenging outcome on the
downside. A 20% weighting was applied to the upside scenario, a 35%
weighting on each central scenario and a 10% weighting on the
downside scenario. NatWest Group judged a downside-biased weighting
as placing too much weight on negative outcomes.
Use of the scenarios in Personal Banking
Personal
Banking follows a discrete scenario approach which means that ECL
is calculated based on the probability of default (PD) and loss
given default (LGD) values that arise directly from the probability
weighted averages across all four economic scenarios.
Use of the scenarios in Wholesale Lending
The
Wholesale Lending methodology is based on the concept of credit
cycle indices (CCI). The CCI represents all relevant economic loss
drivers for a region/industry segment aggregated into a single
index value describing the loss rate conditions in the respective
segment relative to its long run average. That means a CCI value of
zero corresponds to loss rates at long-run average levels, a
positive CCI value corresponds to loss rates below long-run average
levels and a negative CCI value corresponds to loss rates above
long-run average levels.
The
four economic scenarios outlined above are translated into
individual projections of CCIs for each region/industry segment
which are then subsequently aggregated into a single central CCI
projection by calculating a weighted average according to the given
scenario probabilities. The CCI projection for each economic
scenario, and by extension the weighted central CCI projection, are
overlaid with an additional assumption that after one to two years
into the forecast period credit cycle conditions gradually revert
to long-run average conditions, i.e. CCI values mean revert to
zero.
Finally,
ECL is calculated using a Monte Carlo approach by averaging PD and
LGD values arising from a large number of CCI paths simulated
around the central CCI projection calculated as above.
The
rationale for the Wholesale approach, is the long-standing
observation that loss rates in Wholesale portfolios tend to follow
regular cycles. This allows NatWest Group to enrich the range and
depth of future economic conditions embedded in the final ECL
beyond what would be obtained from the discrete macro-economic
scenarios alone.
Business
Banking, while part of the Wholesale segment, for reporting
purposes, utilises the Personal Banking rather than the Wholesale
Lending methodology.
Covid-19 - estimating ECL in uncertain times
Almost
all areas of the global economy, in terms of both individuals and
businesses, have been adversely affected by the unprecedented
economic and social disruption resulting from Covid-19. The
impact of the virus has led to the creation of significant
government and central bank mechanisms to support businesses and
individuals. Uncertainty remained elevated during H1 2020 and the
severity of the economic impact becomes increasingly observable in
key economic data such as GDP and unemployment. This crisis has
created an unprecedented challenge for IFRS 9 ECL modelling, given
the severity of economic shock and associated uncertainty for the
future economic path coupled with the scale of government and
central bank intervention and Covid-19 relief mechanisms that have
altered the relationships between economic drivers and
default.
The
NatWest Group approach to dealing with this challenge is to
leverage stress test modelling insights to inform IFRS 9 model
refinements to enable modelled ECL estimates. Management review of
modelling approaches and outcomes continues to inform any necessary
adjustments to the ECL estimates through the form of in-model
adjustments or overlays/underlays, based on expert judgement
including the use of available information. Management
considerations included the potential severity and duration of the
economic shock, including the mitigating effects of government
support actions, as well the potential trajectory of the subsequent
recovery. NatWest Group also considered differential impacts on
portfolio and sector classes, including pronouncements from
regulatory bodies regarding IFRS 9 application in the context of
Covid-19, notably on significant increase in credit risk (SICR)
identification.
The
modelling interventions described above and the severity of the MES
scenarios underpinning the ECL estimate have alleviated the need
for a dedicated economic uncertainty overlay. Consequently, the
existing overlay for economic uncertainty at Q1 2020 of £798
million was absorbed through the H1 2020 modelled ECL
estimate.
Treatment of Covid-19 relief mechanisms
Use of
Covid-19 relief mechanisms (for example, payment holidays, CBILS
and BBLS) will not automatically merit identification of SICR and
trigger a Stage 2 classification in isolation. For Personal
products, where detailed information surrounding the customer
situation may not be readily available, movements in account PD -
which includes the effect of customer account behaviour as well as
forward-looking economics - continued to be the key determinant of
a SICR. This assessment was supplemented by an analysis of
high-risk identifiers.
|
|
For
Wholesale customers, at H1 2020, lifetime PD deterioration remains
the primary driver of SICR identification, amplified by the
forward-looking economics. NatWest Group continues to provide
support, where appropriate, to existing customers. Those who are
deemed either to require a) a prolonged timescale to return
within NatWest Group's risk appetite or b) not to be viable
pre-crisis or c) not to be able to sustain their debt once the
crisis is over will trigger a SICR and, if concessions are sought,
be categorised as forborne, in line with regulatory
guidance.
As some
of the government support mechanisms conclude, NatWest Group
anticipates further credit deterioration in the portfolios. There
are a number of key factors that could drive further downside to
impairments, through deteriorating economic and credit metrics and
increased stage migration as credit risk increases for more
customers. A key factor would be a more adverse deterioration in
GDP and unemployment in the economies in which NatWest Group
operates, but also, among others:
● The timing and nature
of governmental exit plans from lockdown, notably in UK and the
Republic of Ireland, and any future repeated lockdown
requirements.
● The progress of the
pandemic, with potential for changes in worker/consumer behaviour
and sickness levels.
● The efficacy of the
various government support initiatives in terms of their ability to
defray customer defaults is yet to be proven, notably over an
extended period.
● Any further damage to
certain supply chains, most notably in the case of any
re-tightening of lockdown rules but also delays caused by social
distancing measures and possible export/import
controls.
● The level of revenues
lost by corporate clients and pace of recovery of those revenues
may affect NatWest Group's clients' ability to service their
borrowing, especially in those sectors most exposed to the impacts
of Covid-19.
● Higher unemployment
if companies fail to restart jobs after periods of staff
furlough.
This
could potentially lead to further ECL increases. However, the
income statement impact of this will be mitigated to some extent by
the forward-looking provisions taken at H1 2020.
Model performance
To
date, model performance monitoring has not identified any
noticeable increases in default or loss rates in Wholesale Lending
or Personal Banking. This is not unexpected given the recent impact
of Covid-19 and the implementation of government interventions
aiming to delay and/or mitigate its impact on the economy. As a
result, it is too early to meaningfully assess model performance
against the actual impact.
Nonetheless,
Covid-19 has already had a significant impact on the
forward-looking economic information used by the IFRS 9 models in
calculating ECL. While the central scenario used previously implied
largely a continuation of current conditions, the central scenarios
assumed now forecast a dramatic deterioration in conditions on a
magnitude typically observed for severe stresses but with the
deterioration and subsequent recovery compressed into a much
shorter time frame than typical economic cycles. This extreme and
unusual nature of the scenarios considered has highlighted several
limitations in the components of the Wholesale methodology that
translate projected economic loss drivers into aggregate default
and loss rate conditions at portfolio level. To account for these
limitations, a number of refinements and changes have been applied
to the respective model components to ensure that the ECL outcome
is reasonable, not only in aggregate, but at industry sector level
and with regard to the timing in which deteriorating economics
translate into default and loss outcomes. More specifically, the
following key adjustments have been applied to the modelled
forward-looking economic conditions for the Wholesale
portfolios:
● Scenario profile - The previously
unseen, extreme movements and quarterly variations in some economic
loss drivers (most notably year-on-year change in UK GDP) are
extrapolated by some Wholesale models into unrealistically high
default rate outcomes. Where necessary, judgement was applied to
adjust model outcomes to more appropriate levels based on peak
default rates observed in previous crises and other existing stress
scenario analysis, including the 2019 Bank of England annual
cyclical scenario.
● Government support - The temporal
profile of projected default and loss conditions was further
adjusted to account for the expected impact of government
interventions where those are not already reflected in the
scenario's economic loss drivers. These adjustments result in both
a delay and a reduction in the peak level of default and loss rates
that would have been expected under the projected economic loss
drivers without government intervention. The specification of the
parameters of the adjustments - while guided by the level and
characteristics of loans extended under the various government
guarantee schemes - involve a considerable level of expert
judgement.
●
Industry
sector detail - The
current suite of models for the Wholesale portfolios provides
limited differentiation by industry sector. This approach is based
on the data from the global financial crisis which exhibited a very
high correlation across industry sectors. In contrast, the impact
from Covid-19 is highly differentiated by industry sector and
accordingly adjustments have been applied to implement an
appropriate differentiation in the severity of projected default
rate conditions for different sectors. The categorisation of
industry sectors and scale of adjustments have been informed by a
combination of expert judgement and external market
data.
|
|
For the
UK Personal Banking portfolio, the forward-looking components of
the IFRS 9 PD models were also modified leveraging existing stress
testing models to ensure that PDs appropriately reflect the
forecasts for unemployment and house prices in particular.
Additionally, post model ECL adjustments were made to ensure that
the ECL was adjusted for known model over and under-predictions
pending the systematic calibration of the underlying
models.
The
in-model adjustments have been applied in order to weight the PD
and LGD estimates within the core ECL calculation process and
therefore consistently and systematically inform stage allocation
and ECL quantification.
Government guarantees
During
March and April 2020, the UK government launched a series of
temporary schemes designed to support businesses deal with the
impact of Covid-19. The BBLS, CBILS and CLBILS lending products are
originated by NatWest Group but are covered by government
guarantees. These are to be set against the outstanding balance of
a defaulted facility after the proceeds of the business assets have
been applied. The government guarantee is 80% for CBILS and CLBILS
and 100% for BBLS. NatWest Group recognises lower LGDs for these
lending products as a result, with 0% applied to the
government-guaranteed part of the exposure.
Notwithstanding
the government guarantees, NatWest Group's measurements of PD are
unaffected and NatWest Group continues to move exposures to Stage 2
and Stage 3 where a significant deterioration in credit risk or a
default is identified.
|
|
|
BBL
|
|
CBIL
|
|
CLBIL
|
||||||
|
|
Drawdown
|
% of BBIL to
|
|
|
Drawdown
|
% of CBIL to
|
|
|
Drawdown
|
% of CLBIL to
|
30 June 2020
|
Volume
|
amount (£m)
|
Sector loans
|
|
Volume
|
amount (£m)
|
Sector loans
|
|
Volume
|
amount (£m)
|
Sector loans
|
Wholesale lending by sector
|
|
|
|
|
|
|
|
|
|
|
|
Airlines and
aerospace
|
175
|
5
|
0.21%
|
|
17
|
4
|
0.17%
|
|
-
|
-
|
-
|
Automotive
|
9,267
|
309
|
4.07%
|
|
495
|
111
|
1.46%
|
|
26
|
22
|
0.29%
|
Education
|
1,347
|
36
|
2.11%
|
|
83
|
21
|
1.23%
|
|
4
|
30
|
1.76%
|
Health
|
6,976
|
222
|
3.78%
|
|
543
|
69
|
1.17%
|
|
2
|
5
|
0.09%
|
Land transport and
logistics
|
6,222
|
181
|
3.94%
|
|
306
|
66
|
1.44%
|
|
2
|
3
|
0.07%
|
Leisure
|
22,776
|
715
|
7.13%
|
|
1,697
|
305
|
3.04%
|
|
16
|
11
|
0.11%
|
Oil and
gas
|
197
|
6
|
0.29%
|
|
13
|
5
|
0.24%
|
|
-
|
-
|
-
|
Retail
|
23,824
|
808
|
10.19%
|
|
1,395
|
328
|
4.14%
|
|
13
|
48
|
0.61%
|
Shipping
|
113
|
4
|
0.34%
|
|
15
|
3
|
0.25%
|
|
2
|
-
|
-
|
Textiles
|
844
|
25
|
13.37%
|
|
94
|
18
|
9.63%
|
|
2
|
-
|
-
|
Property
|
12,284
|
402
|
0.99%
|
|
327
|
64
|
0.16%
|
|
4
|
10
|
0.02%
|
Other (including
Business
|
|
|
|
|
|
|
|
|
|
|
|
Banking)
|
116,382
|
3,082
|
3.40%
|
|
8,742
|
1,406
|
1.55%
|
|
72
|
52
|
0.06%
|
Total
|
200,408
|
5,795
|
3.32%
|
|
13,727
|
2,400
|
1.38%
|
|
143
|
181
|
0.10%
|
UK Personal Banking
|
Mortgages
|
|
ECL
|
|
Proportion of mortgage portfolio
|
||||||||||
|
|
|
|
Not within
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IFRS 9 ECL
|
|
|
|
|
|
|
|
|
|
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
scope
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
≤50%
|
4,441
|
661
|
31
|
4
|
5,137
|
|
-
|
4
|
5
|
9
|
|
9.2
|
14.7
|
5.8
|
9.6
|
>50% and ≤70%
|
6,722
|
1,226
|
30
|
1
|
7,979
|
|
1
|
8
|
4
|
13
|
|
13.7
|
19.4
|
6.2
|
14.3
|
>70% and ≤80%
|
3,159
|
1,447
|
11
|
-
|
4,617
|
|
1
|
9
|
2
|
12
|
|
15.8
|
21.3
|
6.2
|
17.1
|
>80 and ≤90%
|
1,727
|
1,356
|
6
|
-
|
3,089
|
|
-
|
13
|
1
|
14
|
|
16.8
|
23.8
|
7.8
|
19.3
|
>90% and ≤100%
|
378
|
121
|
1
|
-
|
500
|
|
-
|
2
|
-
|
2
|
|
18.5
|
25.1
|
2.3
|
19.7
|
>100% and ≤110%
|
1
|
4
|
-
|
-
|
5
|
|
-
|
1
|
-
|
1
|
|
3.4
|
9.8
|
-
|
7.3
|
>110% and ≤130%
|
2
|
3
|
-
|
-
|
5
|
|
-
|
-
|
-
|
-
|
|
5.6
|
6.3
|
-
|
5.8
|
>130 and ≤150%
|
-
|
2
|
-
|
-
|
2
|
|
-
|
-
|
-
|
-
|
|
-
|
9.0
|
-
|
5.5
|
>150%
|
-
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
Total
|
16,430
|
4,820
|
79
|
5
|
21,334
|
|
2
|
37
|
12
|
51
|
|
12.7
|
20.1
|
6.0
|
13.8
|
Ulster Bank RoI
|
Mortgages
|
|
ECL
|
|
Proportion of mortgage portfolio
|
||||||||||
|
|
|
|
Not within
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IFRS 9 ECL
|
|
|
|
|
|
|
|
|
|
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
scope
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
≤50%
|
148
|
115
|
49
|
-
|
312
|
|
-
|
5
|
13
|
18
|
|
3.5
|
21.4
|
11.9
|
6.1
|
>50% and ≤70%
|
139
|
119
|
44
|
-
|
302
|
|
-
|
5
|
11
|
16
|
|
4.1
|
21.9
|
14.8
|
7.2
|
>70% and ≤80%
|
47
|
62
|
23
|
-
|
132
|
|
-
|
3
|
7
|
10
|
|
3.4
|
19.0
|
15.1
|
7.1
|
>80 and ≤90%
|
40
|
53
|
21
|
-
|
114
|
|
-
|
3
|
7
|
10
|
|
3.8
|
15.7
|
14.1
|
7.4
|
>90% and ≤100%
|
2
|
42
|
16
|
-
|
60
|
|
-
|
2
|
6
|
8
|
|
0.8
|
17.3
|
12.4
|
9.3
|
>100% and ≤110%
|
1
|
17
|
13
|
-
|
31
|
|
-
|
1
|
5
|
6
|
|
0.9
|
12.5
|
13.2
|
9.5
|
>110% and ≤130%
|
-
|
13
|
9
|
-
|
22
|
|
-
|
1
|
4
|
5
|
|
-
|
15.8
|
9.0
|
9.8
|
>130 and ≤150%
|
-
|
1
|
3
|
-
|
4
|
|
-
|
-
|
2
|
2
|
|
-
|
21.2
|
10.8
|
11.3
|
>150%
|
-
|
1
|
-
|
-
|
1
|
|
-
|
-
|
-
|
-
|
|
-
|
8.2
|
4.1
|
4.8
|
Total
|
377
|
423
|
178
|
-
|
978
|
|
-
|
20
|
55
|
75
|
|
3.6
|
19.1
|
13.0
|
7.0
|
Measurement uncertainty and ECL sensitivity analysis
The
recognition and measurement of ECL is complex and involves the use
of significant judgement and estimation, particularly in times of
economic volatility and uncertainty. This includes the formulation
and incorporation of multiple forward-looking economic conditions
into ECL to meet the measurement objective of IFRS
9. The ECL provision is sensitive
to the model inputs and economic assumptions underlying the
estimate.
The
focus of the simulations is on ECL provisioning requirements on
performing exposures in Stage 1 and Stage 2. The simulations are
run on a stand-alone basis and are independent of each other; the
potential ECL impacts reflect the simulated impact as at the H1
2020 balance sheet date.
Stage 3
provisions are not subject to the same level of measurement
uncertainty - default is an observed event as at the balance sheet
date, unsecured portfolio LGDs do not vary between scenarios, plus
repossession periods in the UK mean that short term volatility in
HPI does not translate directly to additional loss. Stage 3
provisions therefore have not been considered in this
analysis.
The
impact arising from the downside, upside and the central 1
scenarios has been simulated. These scenarios are three of the four
discrete scenarios used in the methodology for Personal MES. In the
simulations, NatWest Group has assumed that the economic macro
variables associated with these scenarios replace the existing base
case economic assumptions, giving them a 100% probability weighting
and thus serving as a single economic scenario.
These
scenarios have been applied to all modelled portfolios in the
analysis below, with the simulation impacting both PDs and LGDs.
Modelled overlays present in the underlying ECL estimates are also
sensitised. As expected, the scenarios create differing impacts on
ECL by portfolio and the impacts are deemed reasonable. In this
simulation, it is assumed that existing modelled relationships
between key economic variables and loss drivers hold, but in
practice other factors would also have an impact, for example,
potential customer behaviour changes, policy changes by lenders
that might impact on the wider availability of credit.
|
|
30 June 2020
|
Actual
|
Upside
|
Central 1
|
Downside
|
Stage 1 modelled exposure (£m)
|
|
|
|
|
UK Personal Banking
|
134,398
|
146,496
|
142,448
|
100,658
|
Ulster Bank RoI Personal & Business Banking
|
10,766
|
11,300
|
11,268
|
9,367
|
Wholesale
|
235,333
|
263,206
|
242,672
|
223,386
|
|
|
|
|
|
Stage 1 modelled ECL (£m)
|
|
|
|
|
UK Personal Banking
|
154
|
154
|
159
|
114
|
Ulster Bank RoI Personal & Business Banking
|
18
|
16
|
18
|
19
|
Wholesale
|
274
|
289
|
278
|
284
|
|
|
|
|
|
Stage 1 coverage (%)
|
|
|
|
|
UK Personal Banking
|
0.11%
|
0.11%
|
0.11%
|
0.11%
|
Ulster Bank RoI Personal & Business Banking
|
0.17%
|
0.14%
|
0.16%
|
0.20%
|
Wholesale
|
0.12%
|
0.11%
|
0.11%
|
0.13%
|
|
|
|
|
|
Stage 2 modelled exposure (£m)
|
|
|
|
|
UK Personal Banking
|
28,575
|
16,477
|
20,525
|
62,314
|
Ulster Bank RoI Personal & Business Banking
|
2,352
|
1,819
|
1,850
|
3,751
|
Wholesale
|
65,908
|
38,034
|
58,569
|
77,855
|
|
|
|
|
|
Stage 2 modelled ECL (£m)
|
|
|
|
|
UK Personal Banking
|
900
|
630
|
760
|
1,641
|
Ulster Bank RoI Personal & Business Banking
|
110
|
83
|
91
|
174
|
Wholesale
|
1,984
|
891
|
1,661
|
3,071
|
|
|
|
|
|
Stage 2 coverage (%)
|
|
|
|
|
UK Personal Banking
|
3.15%
|
3.82%
|
3.70%
|
2.63%
|
Ulster Bank RoI Personal & Business Banking
|
4.69%
|
4.58%
|
4.89%
|
4.63%
|
Wholesale
|
3.01%
|
2.34%
|
2.84%
|
3.94%
|
|
|
|
|
|
Stage 1 and Stage 2 modelled exposure (£m)
|
|
|
|
|
UK Personal Banking
|
162,973
|
162,973
|
162,973
|
162,973
|
Ulster Bank RoI Personal & Business Banking
|
13,118
|
13,118
|
13,118
|
13,118
|
Wholesale
|
301,240
|
301,240
|
301,240
|
301,240
|
|
|
|
|
|
Stage 1 and Stage 2 modelled ECL (£m)
|
|
|
|
|
UK Personal Banking
|
1,054
|
784
|
919
|
1,755
|
Ulster Bank RoI Personal & Business Banking
|
129
|
99
|
109
|
193
|
Wholesale
|
2,258
|
1,180
|
1,939
|
3,355
|
|
|
|
|
|
Stage 1 and Stage 2 coverage (%)
|
|
|
|
|
UK Personal Banking
|
0.65%
|
0.48%
|
0.56%
|
1.08%
|
Ulster Bank RoI Personal & Business Banking
|
0.98%
|
0.76%
|
0.83%
|
1.47%
|
Wholesale
|
0.75%
|
0.39%
|
0.64%
|
1.11%
|
|
|
|
|
|
Reconciliation to Stage 1 and Stage 2 ECL (£m)
|
|
|
|
|
ECL on modelled exposures
|
3,441
|
2,063
|
2,967
|
5,303
|
ECL on non-modelled exposures
|
53
|
53
|
53
|
53
|
|
|
|
|
|
Total Stage 1 and Stage 2 ECL
|
3,494
|
2,116
|
3,020
|
5,356
|
Variance to actual total Stage 1 and Stage 2 ECL
|
|
(1,378)
|
(474)
|
1,862
|
●
|
The
outlook for the financial year 2020 ECL charge (disclosed on page
2) is £3.5 billion to £4.5 billion. However, the economic
outcomes are very uncertain and if the economics are as adverse as
the downside scenario, the Stage 1 and Stage 2 charge would be at
least £1.9 billion higher.
|
●
|
In the downside scenario, UK Personal and Wholesale portfolios
reached a similar level of coverage (1.08% and 1.11% respectively),
however, this represented a greater increase in provision for the
UK Personal portfolio.
|
●
|
In
arriving at the H1 2020 ECL position, Wholesale portfolios had
already observed a larger proportionate increase in ECL and
coverage, driven by a larger rise in Stage 2 size relative to
Personal, which typically carries a higher level of Stage 2
through-the-cycle provision. Additionally, Personal portfolios,
especially mortgages, are particularly responsive to changes in
unemployment rate, leading to a greater increase in ECLs in the
downside simulations in comparison to the Wholesale portfolio,
where relative impacts of GDP and dampening effects of base rate
resulted in a lower proportionate uplift.
|
●
|
The
upside release and the downside uplift were more symmetrical in
Wholesale portfolios. This was at least partly due to the impact of
credit mitigation by way of portfolio securitisations, which
dampened the downside impacts. Additionally, the higher proportion
of Stage 2 in the Wholesale portfolio at H1 2020 resulted in a
larger benefit to the upside scenario. The impacts on retail
reflected a more standard view of non-linearity of losses to the
downside.
|
●
|
Central
1 presented a marginal upside to the weighted average, but a step
change in Stage 2 retail assets for the UK and the Republic of
Ireland was noted. This reflected that a number of assets classed
as Stage 2 under the weighted average had only just hurdled the
SICR threshold.
|
●
|
A
higher coverage rate was observed in the Republic of Ireland
portfolio compared with the UK Personal portfolio. This was
due to higher coverage rates in the Republic of Ireland mortgage
portfolio as compared with the UK mortgage portfolio. The Republic
of Ireland portfolio appeared more responsive to economic
simulations than the UK Personal portfolio. A larger upside benefit
was observed, since the Republic of Ireland portfoliowas heavily
weighted towards mortgages and mortgage assets benefit more than
personal unsecured lending in upside scenarios. The downside
simulation indicated a larger uplift for the Republic of Ireland
portfolio, reflecting the particular sensitivity of this portfolio
to adverse unemployment rates and house price
forecasts.
|
|
30 June
|
31 December
|
|
2020
|
2019
|
|
£bn
|
£bn
|
Balance sheet total gross AC and FVOCI
|
541.6
|
484.3
|
In scope of IFRS 9 ECL framework
|
530.0
|
475.5
|
% in scope
|
98%
|
98%
|
Loans - in scope
|
370.4
|
340.0
|
Stage
1
|
266.4
|
305.5
|
Stage
2
|
97.0
|
27.9
|
Stage
3
|
7.0
|
6.6
|
Other financial assets - in scope
|
159.6
|
135.5
|
Stage
1
|
158.2
|
135.5
|
Stage
2
|
1.4
|
-
|
Out of scope of IFRS 9 ECL framework
|
11.6
|
8.8
|
●
|
Settlement
balances, items in the course of collection, cash balances and
other non-credit risk assets of £8.9 billion (31 December 2019
– £6.1 billion). These were assessed as having no ECL
unless there was evidence that they were credit
impaired.
|
●
|
Equity
shares of £0.8 billion (31 December 2019 – £0.9
billion) as not within the IFRS 9 ECL framework by
definition.
|
●
|
Fair
value adjustments on loans hedged by interest rate swaps, where the
underlying loan was within the IFRS 9 ECL scope – £1.5
billion (31 December 2019 – £1.1 billion).
|
●
|
NatWest
Group originated securitisations, where ECL was captured on the
underlying loans of £0.4 billion (31 December 2019 –
£0.4 billion).
|
●
|
Commercial cards which operate in a similar manner to charge cards,
with balances repaid monthly via mandated direct debit with the
underlying risk of loss captured within the customer’s linked
current account of nil (31 December 2019 – £0.3
billion).
|
|
UK Personal
|
Ulster
|
Commercial
|
Private
|
RBS
|
NatWest
|
Central items
|
|
|
Banking
|
Bank RoI
|
Banking
|
Banking
|
International
|
Markets
|
& other
|
Total
|
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
Loans - amortised cost and FVOCI
|
|
|
|
|
|
|
|
|
Stage 1
|
136,065
|
18,642
|
53,514
|
14,465
|
12,697
|
10,197
|
20,864
|
266,444
|
Stage 2
|
28,270
|
4,478
|
58,374
|
1,567
|
1,825
|
2,381
|
115
|
97,010
|
Stage 3
|
2,052
|
1,547
|
2,806
|
256
|
195
|
178
|
-
|
7,034
|
Of which: individual
|
-
|
22
|
1,727
|
256
|
195
|
172
|
-
|
2,372
|
Of which: collective
|
2,052
|
1,525
|
1,079
|
-
|
-
|
6
|
-
|
4,662
|
|
166,387
|
24,667
|
114,694
|
16,288
|
14,717
|
12,756
|
20,979
|
370,488
|
ECL provisions (1)
|
|
|
|
|
|
|
|
|
Stage 1
|
155
|
42
|
217
|
21
|
9
|
18
|
7
|
469
|
Stage 2
|
901
|
262
|
1,714
|
49
|
25
|
53
|
21
|
3,025
|
Stage 3
|
902
|
567
|
1,184
|
29
|
42
|
136
|
-
|
2,860
|
Of which: individual
|
-
|
4
|
701
|
29
|
42
|
129
|
-
|
905
|
Of which: collective
|
902
|
563
|
483
|
-
|
-
|
7
|
-
|
1,955
|
|
1,958
|
871
|
3,115
|
99
|
76
|
207
|
28
|
6,354
|
ECL provisions coverage (2,3)
|
|
|
|
|
|
|
|
|
Stage 1 (%)
|
0.11
|
0.23
|
0.41
|
0.15
|
0.07
|
0.18
|
0.03
|
0.18
|
Stage 2 (%)
|
3.19
|
5.85
|
2.94
|
3.13
|
1.37
|
2.23
|
18.26
|
3.12
|
Stage 3 (%)
|
43.96
|
36.65
|
42.20
|
11.33
|
21.54
|
76.40
|
-
|
40.66
|
|
1.18
|
3.53
|
2.72
|
0.61
|
0.52
|
1.62
|
0.13
|
1.72
|
|
|
|
|
|
|
|
|
|
Half year ended 30 June 2020
|
|
|
|
|
|
|
|
|
Impairment losses
|
|
|
|
|
|
|
|
|
ECL charge (4)
|
657
|
243
|
1,790
|
56
|
46
|
40
|
26
|
2,858
|
Stage 1
|
24
|
12
|
231
|
16
|
4
|
10
|
11
|
308
|
Stage 2
|
524
|
186
|
1,323
|
39
|
20
|
43
|
15
|
2,150
|
Stage 3
|
109
|
45
|
236
|
1
|
22
|
(13)
|
-
|
400
|
Of which: individual
|
-
|
(2)
|
114
|
1
|
22
|
(4)
|
-
|
131
|
Of which: collective
|
109
|
47
|
122
|
-
|
-
|
(9)
|
-
|
269
|
ECL loss rate - annualised (basis points) (3)
|
78.97
|
197.02
|
312.13
|
68.76
|
62.51
|
62.72
|
24.79
|
154.28
|
Amounts written-off
|
117
|
164
|
120
|
1
|
2
|
4
|
-
|
408
|
Of which: individual
|
-
|
-
|
34
|
1
|
2
|
4
|
-
|
41
|
Of which: collective
|
117
|
164
|
86
|
-
|
-
|
-
|
-
|
367
|
|
UK Personal
|
Ulster
|
Commercial
|
Private
|
RBS
|
NatWest
|
Central items
|
|
|
Banking
|
Bank RoI
|
Banking
|
Banking
|
International
|
Markets
|
& other
|
Total
|
31 December 2019
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
Loans - amortised cost and FVOCI
|
|
|
|
|
|
|
|
|
Stage 1
|
144,513
|
18,544
|
88,100
|
14,956
|
14,834
|
9,273
|
15,282
|
305,502
|
Stage 2
|
13,558
|
1,642
|
11,353
|
587
|
545
|
180
|
3
|
27,868
|
Stage 3
|
1,902
|
2,037
|
2,162
|
207
|
121
|
169
|
-
|
6,598
|
Of which: individual
|
-
|
68
|
1,497
|
207
|
121
|
158
|
-
|
2,051
|
Of which: collective
|
1,902
|
1,969
|
665
|
-
|
-
|
11
|
-
|
4,547
|
|
159,973
|
22,223
|
101,615
|
15,750
|
15,500
|
9,622
|
15,285
|
339,968
|
ECL provisions (1)
|
|
|
|
|
|
|
|
|
Stage 1
|
114
|
29
|
152
|
7
|
4
|
10
|
6
|
322
|
Stage 2
|
467
|
53
|
214
|
7
|
6
|
5
|
-
|
752
|
Stage 3
|
823
|
693
|
1,021
|
29
|
21
|
131
|
-
|
2,718
|
Of which: individual
|
-
|
22
|
602
|
29
|
21
|
122
|
-
|
796
|
Of which: collective
|
823
|
671
|
419
|
-
|
-
|
9
|
-
|
1,922
|
|
1,404
|
775
|
1,387
|
43
|
31
|
146
|
6
|
3,792
|
ECL provisions coverage (2,3)
|
|
|
|
|
|
|
|
|
Stage 1 (%)
|
0.08
|
0.16
|
0.17
|
0.05
|
0.03
|
0.11
|
0.04
|
0.11
|
Stage 2 (%)
|
3.44
|
3.23
|
1.88
|
1.19
|
1.10
|
2.78
|
-
|
2.70
|
Stage 3 (%)
|
43.27
|
34.02
|
47.22
|
14.01
|
17.36
|
77.51
|
-
|
41.19
|
|
0.88
|
3.49
|
1.36
|
0.27
|
0.20
|
1.52
|
0.04
|
1.12
|
|
|
|
|
|
|
|
|
|
Half year ended 30 June 2019
|
|
|
|
|
|
|
|
|
Impairment losses
|
|
|
|
|
|
|
|
|
ECL charge (4)
|
181
|
(21)
|
202
|
(3)
|
(3)
|
(36)
|
3
|
323
|
Stage 1
|
(53)
|
(24)
|
(55)
|
(5)
|
(3)
|
(2)
|
2
|
(140)
|
Stage 2
|
103
|
(38)
|
38
|
(1)
|
-
|
(2)
|
1
|
101
|
Stage 3
|
131
|
41
|
219
|
3
|
-
|
(32)
|
-
|
362
|
Of which: individual
|
-
|
(4)
|
200
|
3
|
-
|
(29)
|
-
|
170
|
Of which: collective
|
131
|
45
|
19
|
-
|
-
|
(3)
|
-
|
192
|
ECL loss rate - annualised (basis points) (3)
|
23.70
|
(17.88)
|
39.66
|
(4.03)
|
(3.86)
|
(68.68)
|
9.98
|
19.88
|
Amounts written-off
|
90
|
72
|
276
|
1
|
2
|
11
|
-
|
452
|
Of which: individual
|
-
|
2
|
227
|
1
|
2
|
11
|
-
|
243
|
Of which: collective
|
90
|
70
|
49
|
-
|
-
|
-
|
-
|
209
|
(1)
|
Includes
£8 million (31 December 2019 – £4 million) related
to assets classified as FVOCI.
|
(2)
|
ECL
provisions coverage is calculated as ECL provisions divided by
loans.
|
(3)
|
ECL
provisions coverage and ECL loss rates are calculated on third
party loans and related ECL provisions and charge respectively. ECL
loss rate is calculated as annualised third party ECL charge
divided by loans. The half year ECL charge is annualised by
multiplying by two.
|
(4)
|
Includes
a £5 million charge (30 June 2019 – £30 million
charge) related to other financial assets, of which £4 million
(30 June 2019 – nil) related to assets classified as FVOCI;
and £8 million (30 June 2019 – £28 million) related
to contingent liabilities.
|
(5)
|
The
table above shows gross loans only and excludes amounts that are
outside the scope of the ECL framework. Refer to page 90 for
Financial instruments within the scope of the IFRS 9 ECL framework
for further details. Other financial assets within the scope of the
IFRS 9 ECL framework were cash and balances at central banks
totalling £99.2 billion and debt securities of £60.5
billion (31 December 2019 – £76.1 billion and £59.4
billion respectively).
|
●
|
The ECL
requirement increased significantly, primarily in Stage 1 and Stage
2 exposures, in anticipation of credit deterioration, reflecting
the severity of the economic impact arising from
Covid-19.
|
●
|
The
various customer support mechanisms available mitigate against
flows to default in the short-term. Hence, there was a more limited
impact on Stage 3 ECL requirements.
|
●
|
Reflecting
the deteriorated economic environment, the annualised loss rate was
significantly above the previously advised view of a normalised
blended long-term loss rate.
|
|
Gross loans
|
|
ECL provisions (2)
|
|||||||||||||||||||
|
|
Stage 2 (1)
|
|
|
|
|
Stage 2 (1)
|
|
|
|
|
|
|
|
|
|||||||
|
|
Not past
|
1-29
|
>30
|
|
|
|
|
|
Not past
|
1-29
|
>30
|
|
|
|
|||||||
|
Stage 1
|
due
|
DPD
|
DPD
|
Total
|
Stage 3
|
Total
|
|
Stage 1
|
due
|
DPD
|
DPD
|
Total
|
Stage 3
|
Total
|
|||||||
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
|||||||
UK Personal Banking
|
136,065
|
26,597
|
1,017
|
656
|
28,270
|
2,052
|
166,387
|
|
155
|
766
|
61
|
74
|
901
|
902
|
1,958
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Ulster Bank RoI
|
18,642
|
4,122
|
150
|
206
|
4,478
|
1,547
|
24,667
|
|
42
|
234
|
12
|
16
|
262
|
567
|
871
|
|||||||
Personal (3)
|
10,602
|
2,015
|
131
|
133
|
2,279
|
1,384
|
14,265
|
|
18
|
82
|
10
|
13
|
105
|
467
|
590
|
|||||||
Wholesale
|
8,040
|
2,107
|
19
|
73
|
2,199
|
163
|
10,402
|
|
24
|
152
|
2
|
3
|
157
|
100
|
281
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Commercial Banking
|
53,514
|
55,593
|
1,934
|
847
|
58,374
|
2,806
|
114,694
|
|
217
|
1,614
|
72
|
28
|
1,714
|
1,184
|
3,115
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Private Banking
|
14,465
|
1,545
|
14
|
8
|
1,567
|
256
|
16,288
|
|
21
|
48
|
-
|
1
|
49
|
29
|
99
|
|||||||
Personal
|
11,972
|
168
|
12
|
7
|
187
|
243
|
12,402
|
|
4
|
3
|
-
|
-
|
3
|
26
|
33
|
|||||||
Wholesale
|
2,493
|
1,377
|
2
|
1
|
1,380
|
13
|
3,886
|
|
17
|
45
|
-
|
1
|
46
|
3
|
66
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
RBS International
|
12,697
|
1,792
|
15
|
18
|
1,825
|
195
|
14,717
|
|
9
|
25
|
-
|
-
|
25
|
42
|
76
|
|||||||
Personal
|
2,793
|
18
|
13
|
11
|
42
|
68
|
2,903
|
|
1
|
1
|
-
|
-
|
1
|
9
|
11
|
|||||||
Wholesale
|
9,904
|
1,774
|
2
|
7
|
1,783
|
127
|
11,814
|
|
8
|
24
|
-
|
-
|
24
|
33
|
65
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
NatWest Markets
|
10,197
|
2,363
|
-
|
18
|
2,381
|
178
|
12,756
|
|
18
|
53
|
-
|
-
|
53
|
136
|
207
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Central items & other
|
20,864
|
115
|
-
|
-
|
115
|
-
|
20,979
|
|
7
|
21
|
-
|
-
|
21
|
-
|
28
|
|||||||
Total loans
|
266,444
|
92,127
|
3,130
|
1,753
|
97,010
|
7,034
|
370,488
|
|
469
|
2,761
|
145
|
119
|
3,025
|
2,860
|
6,354
|
|||||||
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Personal
|
161,432
|
28,798
|
1,173
|
807
|
30,778
|
3,747
|
195,957
|
|
178
|
852
|
71
|
87
|
1,010
|
1,404
|
2,592
|
|||||||
Wholesale
|
105,012
|
63,329
|
1,957
|
946
|
66,232
|
3,287
|
174,531
|
|
291
|
1,909
|
74
|
32
|
2,015
|
1,456
|
3,762
|
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UK Personal Banking
|
144,513
|
11,921
|
1,034
|
603
|
13,558
|
1,902
|
159,973
|
|
114
|
375
|
45
|
47
|
467
|
823
|
1,404
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ulster Bank RoI
|
18,544
|
1,405
|
104
|
133
|
1,642
|
2,037
|
22,223
|
|
29
|
39
|
6
|
8
|
53
|
693
|
775
|
Personal (3)
|
10,858
|
944
|
96
|
105
|
1,145
|
1,877
|
13,880
|
|
12
|
20
|
6
|
6
|
32
|
591
|
635
|
Wholesale
|
7,686
|
461
|
8
|
28
|
497
|
160
|
8,343
|
|
17
|
19
|
-
|
2
|
21
|
102
|
140
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banking
|
88,100
|
10,837
|
254
|
262
|
11,353
|
2,162
|
101,615
|
|
152
|
195
|
12
|
7
|
214
|
1,021
|
1,387
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Private Banking
|
14,956
|
478
|
63
|
46
|
587
|
207
|
15,750
|
|
7
|
6
|
-
|
1
|
7
|
29
|
43
|
Personal
|
11,630
|
180
|
60
|
41
|
281
|
192
|
12,103
|
|
3
|
2
|
-
|
1
|
3
|
23
|
29
|
Wholesale
|
3,326
|
298
|
3
|
5
|
306
|
15
|
3,647
|
|
4
|
4
|
-
|
-
|
4
|
6
|
14
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RBS International
|
14,834
|
520
|
18
|
7
|
545
|
121
|
15,500
|
|
4
|
6
|
-
|
-
|
6
|
21
|
31
|
Personal
|
2,799
|
27
|
17
|
6
|
50
|
65
|
2,914
|
|
1
|
1
|
-
|
-
|
1
|
12
|
14
|
Wholesale
|
12,035
|
493
|
1
|
1
|
495
|
56
|
12,586
|
|
3
|
5
|
-
|
-
|
5
|
9
|
17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NatWest Markets
|
9,273
|
176
|
4
|
-
|
180
|
169
|
9,622
|
|
10
|
5
|
-
|
-
|
5
|
131
|
146
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central items & other
|
15,282
|
3
|
-
|
-
|
3
|
-
|
15,285
|
|
6
|
-
|
-
|
-
|
-
|
-
|
6
|
Total loans
|
305,502
|
25,340
|
1,477
|
1,051
|
27,868
|
6,598
|
339,968
|
|
322
|
626
|
63
|
63
|
752
|
2,718
|
3,792
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
169,800
|
13,072
|
1,207
|
755
|
15,034
|
4,036
|
188,870
|
|
130
|
398
|
51
|
54
|
503
|
1,449
|
2,082
|
Wholesale
|
135,702
|
12,268
|
270
|
296
|
12,834
|
2,562
|
151,098
|
|
192
|
228
|
12
|
9
|
249
|
1,269
|
1,710
|
|
ECL provision coverage
|
|
Half year ended 30 June
|
||||||||||
|
|
Stage 2 (1,2)
|
|
|
|
ECL
|
|
|
|
|
|
|
|
|
|
Not past
|
|
|
|
|
|
|
Total
|
|
Amounts
|
||
|
Stage 1
|
due
|
1-29 DPD
|
>30 DPD
|
Total
|
Stage 3
|
Total
|
|
charge
|
Loss rate
|
written-off
|
||
30 June 2020
|
%
|
%
|
%
|
%
|
%
|
%
|
%
|
|
£m
|
basis points
|
£m
|
||
UK Personal Banking
|
0.11
|
2.88
|
6.00
|
11.28
|
3.19
|
43.96
|
1.18
|
|
657
|
78.97
|
117
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Ulster Bank RoI
|
0.23
|
5.68
|
8.00
|
7.77
|
5.85
|
36.65
|
3.53
|
|
243
|
197.02
|
164
|
||
Personal (3)
|
0.17
|
4.07
|
7.63
|
9.77
|
4.61
|
33.74
|
4.14
|
|
120
|
168.24
|
162
|
||
Wholesale
|
0.30
|
7.21
|
10.53
|
4.11
|
7.14
|
61.35
|
2.70
|
|
123
|
236.49
|
2
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Commercial Banking
|
0.41
|
2.90
|
3.72
|
3.31
|
2.94
|
42.20
|
2.72
|
|
1,790
|
312.13
|
120
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Private Banking
|
0.15
|
3.11
|
-
|
12.50
|
3.13
|
11.33
|
0.61
|
|
56
|
68.76
|
1
|
||
Personal
|
0.03
|
1.79
|
-
|
-
|
1.60
|
10.70
|
0.27
|
|
3
|
4.84
|
-
|
||
Wholesale
|
0.68
|
3.27
|
-
|
100.00
|
3.33
|
23.08
|
1.70
|
|
53
|
272.77
|
1
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
RBS International
|
0.07
|
1.40
|
-
|
-
|
1.37
|
21.54
|
0.52
|
|
46
|
62.51
|
2
|
||
Personal
|
0.04
|
5.56
|
-
|
-
|
2.38
|
13.24
|
0.38
|
|
(3)
|
(20.67)
|
2
|
||
Wholesale
|
0.08
|
1.35
|
-
|
-
|
1.35
|
25.98
|
0.55
|
|
49
|
82.95
|
-
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
NatWest Markets
|
0.18
|
2.24
|
-
|
-
|
2.23
|
76.40
|
1.62
|
|
40
|
62.72
|
4
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Central items & other
|
0.03
|
18.26
|
-
|
-
|
18.26
|
-
|
0.13
|
|
26
|
24.79
|
-
|
||
Total loans
|
0.18
|
3.00
|
4.63
|
6.79
|
3.12
|
40.66
|
1.72
|
|
2,858
|
154.28
|
408
|
||
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
||
Personal
|
0.11
|
2.96
|
6.05
|
10.78
|
3.28
|
37.47
|
1.32
|
|
777
|
79.30
|
281
|
||
Wholesale
|
0.28
|
3.01
|
3.78
|
3.38
|
3.04
|
44.30
|
2.16
|
|
2,081
|
238.47
|
127
|
||
|
|
|
|
|
|
|
|
|
|
||||
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
||
UK Personal Banking
|
0.08
|
3.15
|
4.35
|
7.79
|
3.44
|
43.27
|
0.88
|
|
181
|
23.70
|
90
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Ulster Bank RoI
|
0.16
|
2.78
|
5.77
|
6.02
|
3.23
|
34.02
|
3.49
|
|
(21)
|
(17.88)
|
72
|
||
Personal (3)
|
0.11
|
2.12
|
6.25
|
5.71
|
2.79
|
31.49
|
4.57
|
|
(10)
|
(13.87)
|
64
|
||
Wholesale
|
0.22
|
4.12
|
-
|
7.14
|
4.23
|
63.75
|
1.68
|
|
(11)
|
(24.26)
|
8
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Commercial Banking
|
0.17
|
1.80
|
4.72
|
2.67
|
1.88
|
47.22
|
1.36
|
|
202
|
39.66
|
276
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Private Banking
|
0.05
|
1.26
|
-
|
2.17
|
1.19
|
14.01
|
0.27
|
|
(3)
|
(4.03)
|
1
|
||
Personal
|
0.03
|
1.11
|
-
|
2.44
|
1.07
|
11.98
|
0.24
|
|
(3)
|
(5.11)
|
1
|
||
Wholesale
|
0.12
|
1.34
|
-
|
-
|
1.31
|
40.00
|
0.38
|
|
-
|
-
|
-
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
RBS International
|
0.03
|
1.15
|
-
|
-
|
1.10
|
17.36
|
0.20
|
|
(3)
|
(3.86)
|
2
|
||
Personal
|
0.04
|
3.70
|
-
|
-
|
2.00
|
18.46
|
0.48
|
|
(1)
|
(7.30)
|
2
|
||
Wholesale
|
0.02
|
1.01
|
-
|
-
|
1.01
|
16.07
|
0.14
|
|
(2)
|
(3.13)
|
-
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
NatWest Markets
|
0.11
|
2.84
|
-
|
-
|
2.78
|
77.51
|
1.52
|
|
(36)
|
(68.68)
|
11
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Central items & other
|
0.04
|
-
|
-
|
-
|
-
|
-
|
0.04
|
|
3
|
9.98
|
-
|
||
Total loans
|
0.11
|
2.47
|
4.27
|
5.99
|
2.70
|
41.19
|
1.12
|
|
323
|
19.88
|
452
|
||
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
||
Personal
|
0.08
|
3.04
|
4.23
|
7.15
|
3.35
|
35.90
|
1.10
|
|
167
|
18.39
|
157
|
||
Wholesale
|
0.14
|
1.86
|
4.44
|
3.04
|
1.94
|
49.53
|
1.13
|
|
156
|
21.76
|
295
|
Segmental loans and impairment metrics
Key points
● Personal
Banking - Balance sheet growth since the
2019 year-end was driven by mortgages, primarily pre-Covid-19, in
the first quarter of the year. Unsecured lending balances reduced
in the second quarter as customer spend and demand for borrowing
reduced whilst in lockdown and customers have made repayments. The
deteriorated economic outlook, as detailed in the Covid-19 -
estimating ECL in uncertain times section, including forecast
increases in unemployment, resulted in increased account level IFRS
9 PDs. Consequently, compared to the 2019 year-end, a larger
proportion of customer accounts exhibited a SICR with an associated
migration of assets from Stage 1 to Stage 2. As a result, the ECL
requirement increased. Additionally, forecast declines in house
prices increased the ECL requirement on the mortgage portfolio. The
various Covid-19 related customer support mechanisms (loan
repayment holidays, government job retention scheme) are mitigating
actual portfolio deterioration in the short term, with the days
past due, and flows to Stage 3 metrics, yet to be materially
impacted. Provisions coverage increased overall but coverage on
Stage 2 alone has reduced driven by a proportionately higher share
of mortgage exposures where coverage levels are lower, reflecting
the secured nature of the borrowing. The annualised loss rate for
H1 2020 was significantly higher than in 2019.
● Commercial
Banking - Balance sheet growth since the 2019 year-end
was mainly due to further drawdowns on existing facilities and new
lending under the Covid-19 government lending schemes. The
deteriorated economic outlook, as detailed in the Covid-19 -
estimating ECL in uncertain times section, including significant
falls in GDP and commercial real estate valuations, resulted in
increased IFRS 9 PDs. Consequently, compared to the 2019 year-end,
a larger proportion of the exposures exhibited a SICR with an
associated migration of assets from Stage 1 to Stage 2. As a
result, the ECL requirement increased. The increase in Stage 2
assets due to PD deterioration was also the primary driver for the
increase in the Stage 2 exposures less than 30 days past due. The
various Covid-19 related customer support mechanisms are providing
some mitigation against flows in to defaults in the short-term.
Increased coverage in Stage 1 and Stage 2 was driven by the
increased ECL, mainly as a result of the deteriorated economic
outlook, which was partially offset by a slight decrease in Stage 3
coverage. The annualised loss rate for H1 2020 was significantly
higher than in 2019.
● Ulster
Bank RoI - Balance sheet growth since the 2019 year-end
was mainly due to further drawdowns on existing facilities and new
lending across both the commercial and personal banking portfolios,
offset by ongoing deleveraging of the Ulster Bank RoI mortgage
non-performing portfolio through the execution of two tranches of a
portfolio sale. The deteriorated economic outlook, as detailed in
the Covid-19 - estimating ECL in uncertain times section, included
forecast increases in unemployment, falls in property prices and
GDP, which resulted in increased IFRS 9 PDs across all portfolios.
Consequently, compared to the 2019 year-end, a larger proportion of
the exposures exhibited a SICR with an associated migration of
assets from Stage 1 to Stage 2. As a result, the ECL requirement
increased. The various Covid-19 related customer support mechanisms
(loan repayment breaks, government job retention scheme) provided
by Ulster Bank RoI are mitigating actual portfolio deterioration in
the short-term, with the days past due, and flows to Stage 3
metrics, yet to be materially impacted. The annualised loss rate
for H1 2020 was significantly higher than in 2019.
|
|
|
Personal
|
|
Wholesale
|
|
Total
|
|
|
|
|
|
|
|
|
|
||
|
|
Credit
|
Other
|
|
|
|
|
|
|
|
|
|
||||
|
Mortgages(1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
FI
|
Sovereign
|
Total
|
|
|
||||
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
||||
Loans by geography
|
182,142
|
3,818
|
9,997
|
195,957
|
|
40,441
|
81,715
|
42,932
|
9,443
|
174,531
|
|
370,488
|
||||
- UK
|
168,163
|
3,743
|
9,786
|
181,692
|
|
37,546
|
66,125
|
29,575
|
3,566
|
136,812
|
|
318,504
|
||||
- RoI
|
13,979
|
75
|
211
|
14,265
|
|
1,375
|
4,312
|
288
|
4,994
|
10,969
|
|
25,234
|
||||
- Other Europe
|
-
|
-
|
-
|
-
|
|
829
|
5,706
|
4,260
|
382
|
11,177
|
|
11,177
|
||||
- RoW
|
-
|
-
|
-
|
-
|
|
691
|
5,572
|
8,809
|
501
|
15,573
|
|
15,573
|
||||
Loans by asset quality (2)
|
182,142
|
3,818
|
9,997
|
195,957
|
|
40,441
|
81,715
|
42,932
|
9,443
|
174,531
|
|
370,488
|
||||
- AQ1
|
2,552
|
-
|
554
|
3,106
|
|
4,602
|
1,919
|
23,299
|
2,054
|
31,874
|
|
34,980
|
||||
- AQ2
|
4,496
|
-
|
-
|
4,496
|
|
2,324
|
647
|
1,954
|
1,824
|
6,749
|
|
11,245
|
||||
- AQ3
|
276
|
-
|
-
|
276
|
|
2,924
|
6,502
|
1,644
|
5,300
|
16,370
|
|
16,646
|
||||
- AQ4
|
98,997
|
42
|
377
|
99,416
|
|
7,268
|
15,830
|
9,977
|
96
|
33,171
|
|
132,587
|
||||
- AQ5
|
59,995
|
907
|
1,405
|
62,307
|
|
10,048
|
20,605
|
1,798
|
106
|
32,557
|
|
94,864
|
||||
- AQ6
|
4,066
|
994
|
3,969
|
9,029
|
|
6,539
|
14,905
|
706
|
3
|
22,153
|
|
31,182
|
||||
- AQ7
|
5,627
|
1,374
|
1,697
|
8,698
|
|
3,596
|
12,018
|
3,258
|
44
|
18,916
|
|
27,614
|
||||
- AQ8
|
1,610
|
335
|
868
|
2,813
|
|
1,086
|
4,566
|
268
|
5
|
5,925
|
|
8,738
|
||||
- AQ9
|
1,620
|
56
|
393
|
2,069
|
|
795
|
2,711
|
18
|
5
|
3,529
|
|
5,598
|
||||
- AQ10
|
2,903
|
110
|
734
|
3,747
|
|
1,259
|
2,012
|
10
|
6
|
3,287
|
|
7,034
|
||||
Loans by stage
|
182,142
|
3,818
|
9,997
|
195,957
|
|
40,441
|
81,715
|
42,932
|
9,443
|
174,531
|
|
370,488
|
||||
- Stage 1
|
152,947
|
2,387
|
6,098
|
161,432
|
|
26,782
|
29,661
|
39,133
|
9,436
|
105,012
|
|
266,444
|
||||
- Stage 2
|
26,292
|
1,321
|
3,165
|
30,778
|
|
12,400
|
50,042
|
3,789
|
1
|
66,232
|
|
97,010
|
||||
- Stage 3
|
2,903
|
110
|
734
|
3,747
|
|
1,259
|
2,012
|
10
|
6
|
3,287
|
|
7,034
|
||||
- Of which:
individual
|
290
|
-
|
21
|
311
|
|
860
|
1,196
|
2
|
3
|
2,061
|
|
2,372
|
||||
- Of which:
collective
|
2,613
|
110
|
713
|
3,436
|
|
399
|
816
|
8
|
3
|
1,226
|
|
4,662
|
||||
Loans - past due analysis (3,4)
|
182,142
|
3,818
|
9,997
|
195,957
|
|
40,441
|
81,715
|
42,932
|
9,443
|
174,531
|
|
370,488
|
||||
- Not past due
|
177,991
|
3,663
|
8,989
|
190,643
|
|
38,890
|
78,439
|
42,651
|
8,476
|
168,456
|
|
359,099
|
||||
- Past due 1-29
days
|
1,495
|
25
|
155
|
1,675
|
|
604
|
1,964
|
200
|
967
|
3,735
|
|
5,410
|
||||
- Past due 30-89
days
|
954
|
46
|
132
|
1,132
|
|
435
|
599
|
75
|
-
|
1,109
|
|
2,241
|
||||
- Past due 90-180
days
|
494
|
30
|
84
|
608
|
|
29
|
88
|
-
|
-
|
117
|
|
725
|
||||
- Past due >180
days
|
1,208
|
54
|
637
|
1,899
|
|
483
|
625
|
6
|
-
|
1,114
|
|
3,013
|
||||
Loans - Stage 2
|
26,292
|
1,321
|
3,165
|
30,778
|
|
12,400
|
50,042
|
3,789
|
1
|
66,232
|
|
97,010
|
||||
- Not past due
|
24,624
|
1,267
|
2,907
|
28,798
|
|
11,636
|
47,992
|
3,700
|
1
|
63,329
|
|
92,127
|
||||
- Past due 1-29
days
|
1,020
|
17
|
136
|
1,173
|
|
395
|
1,548
|
14
|
-
|
1,957
|
|
3,130
|
||||
- Past due 30-89
days
|
648
|
37
|
122
|
807
|
|
369
|
502
|
75
|
-
|
946
|
|
1,753
|
||||
Weighted average life*
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
- ECL measurement (years)
|
9
|
3
|
5
|
6
|
|
4
|
5
|
4
|
-
|
5
|
|
5
|
||||
Weighted average 12 months PDs*
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
- IFRS 9 (%)
|
0.71
|
4.14
|
4.88
|
0.98
|
|
3.78
|
4.07
|
0.52
|
0.06
|
2.74
|
|
1.69
|
||||
- Basel (%)
|
0.89
|
3.75
|
4.14
|
1.10
|
|
1.61
|
2.52
|
0.29
|
0.09
|
1.55
|
|
1.30
|
||||
ECL provisions by geography
|
1,032
|
376
|
1,184
|
2,592
|
|
1,031
|
2,625
|
96
|
10
|
3,762
|
|
6,354
|
||||
- UK
|
461
|
373
|
1,168
|
2,002
|
|
895
|
2,010
|
37
|
7
|
2,949
|
|
4,951
|
||||
- RoI
|
571
|
3
|
16
|
590
|
|
82
|
219
|
3
|
1
|
305
|
|
895
|
||||
- Other Europe
|
-
|
-
|
-
|
-
|
|
47
|
182
|
42
|
1
|
272
|
|
272
|
||||
- RoW
|
-
|
-
|
-
|
-
|
|
7
|
214
|
14
|
1
|
236
|
|
236
|
||||
ECL provisions by stage
|
1,032
|
376
|
1,184
|
2,592
|
|
1,031
|
2,625
|
96
|
10
|
3,762
|
|
6,354
|
||||
- Stage 1
|
34
|
47
|
97
|
178
|
|
126
|
133
|
22
|
10
|
291
|
|
469
|
||||
- Stage 2
|
292
|
243
|
475
|
1,010
|
|
392
|
1,554
|
69
|
-
|
2,015
|
|
3,025
|
||||
- Stage 3
|
706
|
86
|
612
|
1,404
|
|
513
|
938
|
5
|
-
|
1,456
|
|
2,860
|
||||
- Of which: individual
|
20
|
-
|
15
|
35
|
|
305
|
565
|
-
|
-
|
870
|
|
905
|
||||
- Of which: collective
|
686
|
86
|
597
|
1,369
|
|
208
|
373
|
5
|
-
|
586
|
|
1,955
|
||||
ECL provisions coverage (%)
|
0.57
|
9.85
|
11.84
|
1.32
|
|
2.55
|
3.21
|
0.22
|
0.11
|
2.16
|
|
1.72
|
||||
- Stage 1 (%)
|
0.02
|
1.97
|
1.59
|
0.11
|
|
0.47
|
0.45
|
0.06
|
0.11
|
0.28
|
|
0.18
|
||||
- Stage 2 (%)
|
1.11
|
18.40
|
15.01
|
3.28
|
|
3.16
|
3.11
|
1.82
|
-
|
3.04
|
|
3.12
|
||||
- Stage 3 (%)
|
24.32
|
78.18
|
83.38
|
37.47
|
|
40.75
|
46.62
|
50.00
|
-
|
44.30
|
|
40.66
|
||||
ECL charge
|
243
|
164
|
370
|
777
|
|
568
|
1,439
|
73
|
1
|
2,081
|
|
2,858
|
||||
- UK
|
136
|
163
|
358
|
657
|
|
501
|
1,238
|
26
|
1
|
1,766
|
|
2,423
|
||||
- RoI
|
107
|
1
|
12
|
120
|
|
47
|
77
|
1
|
-
|
125
|
|
245
|
||||
- Other Europe
|
-
|
-
|
-
|
-
|
|
16
|
50
|
36
|
-
|
102
|
|
102
|
||||
- RoW
|
-
|
-
|
-
|
-
|
|
4
|
74
|
10
|
-
|
88
|
|
88
|
||||
ECL loss rate (%)
|
0.27
|
8.59
|
7.40
|
0.79
|
|
2.81
|
3.52
|
0.34
|
0.02
|
2.38
|
|
1.54
|
||||
Amounts written-off
|
169
|
49
|
63
|
281
|
|
21
|
104
|
2
|
-
|
127
|
|
408
|
|
Personal
|
|
Wholesale
|
|
Total
|
|||||||
|
|
Credit
|
Other
|
|
|
|
|
|
|
|
|
|
|
Mortgages(1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
FI
|
Sovereign
|
Total
|
|
|
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
Loans by residual maturity
|
182,142
|
3,818
|
9,997
|
195,957
|
|
40,441
|
81,715
|
42,932
|
9,443
|
174,531
|
|
370,488
|
- <1 year
|
3,820
|
2,357
|
3,129
|
9,306
|
|
8,930
|
25,187
|
33,226
|
7,322
|
74,665
|
|
83,971
|
- 1-5 year
|
9,103
|
1,461
|
5,724
|
16,288
|
|
21,932
|
39,324
|
8,790
|
1,317
|
71,363
|
|
87,651
|
- 5 year
|
169,219
|
-
|
1,144
|
170,363
|
|
9,579
|
17,204
|
916
|
804
|
28,503
|
|
198,866
|
Other financial assets by asset quality (2)
|
-
|
-
|
-
|
-
|
|
37
|
129
|
13,213
|
146,272
|
159,651
|
|
159,651
|
- AQ1-AQ4
|
-
|
-
|
-
|
-
|
|
-
|
128
|
12,734
|
146,236
|
159,098
|
|
159,098
|
- AQ5-AQ8
|
-
|
-
|
-
|
-
|
|
37
|
1
|
479
|
36
|
553
|
|
553
|
Off-balance sheet
|
11,161
|
17,481
|
12,685
|
41,327
|
|
16,030
|
58,398
|
18,630
|
1,131
|
94,189
|
|
135,516
|
- Loan commitments
|
11,158
|
17,481
|
12,640
|
41,279
|
|
15,423
|
55,099
|
17,500
|
1,129
|
89,151
|
|
130,430
|
- Financial guarantees
|
3
|
-
|
45
|
48
|
|
607
|
3,299
|
1,130
|
2
|
5,038
|
|
5,086
|
Off-balance sheet by asset quality (2)
|
11,161
|
17,481
|
12,685
|
41,327
|
|
16,030
|
58,398
|
18,630
|
1,131
|
94,189
|
|
135,516
|
- AQ1-AQ4
|
10,537
|
278
|
10,362
|
21,177
|
|
11,837
|
35,657
|
17,083
|
1,092
|
65,669
|
|
86,846
|
- AQ5-AQ8
|
614
|
16,910
|
2,307
|
19,831
|
|
4,116
|
22,210
|
1,543
|
39
|
27,908
|
|
47,739
|
- AQ9
|
1
|
9
|
16
|
26
|
|
12
|
46
|
-
|
-
|
58
|
|
84
|
- AQ10
|
9
|
284
|
-
|
293
|
|
65
|
485
|
4
|
-
|
554
|
|
847
|
|
Personal
|
|
Wholesale
|
|
Total
|
|||||||
|
|
Credit
|
Other
|
|
|
|
|
|
|
|
|
|
|
Mortgages(1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
FI
|
Sovereign
|
Total
|
|
|
31 December 2019
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
Loans by geography
|
174,003
|
4,478
|
10,389
|
188,870
|
|
36,371
|
71,042
|
36,266
|
7,419
|
151,098
|
|
339,968
|
- UK
|
160,431
|
4,383
|
10,176
|
174,990
|
|
33,644
|
58,666
|
22,564
|
3,479
|
118,353
|
|
293,343
|
- RoI
|
13,572
|
95
|
213
|
13,880
|
|
1,310
|
4,169
|
513
|
3,167
|
9,159
|
|
23,039
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
921
|
4,350
|
5,120
|
328
|
10,719
|
|
10,719
|
- RoW
|
-
|
-
|
-
|
-
|
|
496
|
3,857
|
8,069
|
445
|
12,867
|
|
12,867
|
Loans by asset quality (2)
|
174,003
|
4,478
|
10,389
|
188,870
|
|
36,371
|
71,042
|
36,266
|
7,419
|
151,098
|
|
339,968
|
- AQ1
|
3,837
|
-
|
665
|
4,502
|
|
4,474
|
2,272
|
17,841
|
1,931
|
26,518
|
|
31,020
|
- AQ2
|
2,866
|
-
|
-
|
2,866
|
|
2,490
|
496
|
1,763
|
1,780
|
6,529
|
|
9,395
|
- AQ3
|
277
|
-
|
-
|
277
|
|
2,465
|
5,561
|
2,939
|
3,520
|
14,485
|
|
14,762
|
- AQ4
|
92,520
|
375
|
625
|
93,520
|
|
6,574
|
14,660
|
9,979
|
41
|
31,254
|
|
124,774
|
- AQ5
|
58,051
|
786
|
1,708
|
60,545
|
|
10,419
|
19,584
|
2,027
|
107
|
32,137
|
|
92,682
|
- AQ6
|
5,253
|
1,211
|
3,344
|
9,808
|
|
5,809
|
13,470
|
811
|
3
|
20,093
|
|
29,901
|
- AQ7
|
5,326
|
1,531
|
2,328
|
9,185
|
|
2,853
|
11,404
|
867
|
30
|
15,154
|
|
24,339
|
- AQ8
|
1,379
|
393
|
792
|
2,564
|
|
302
|
1,478
|
20
|
2
|
1,802
|
|
4,366
|
- AQ9
|
1,217
|
66
|
284
|
1,567
|
|
90
|
468
|
6
|
-
|
564
|
|
2,131
|
- AQ10
|
3,277
|
116
|
643
|
4,036
|
|
895
|
1,649
|
13
|
5
|
2,562
|
|
6,598
|
Loans by stage
|
174,003
|
4,478
|
10,389
|
188,870
|
|
36,371
|
71,042
|
36,266
|
7,419
|
151,098
|
|
339,968
|
- Stage 1
|
159,261
|
3,103
|
7,436
|
169,800
|
|
32,896
|
59,689
|
35,707
|
7,410
|
135,702
|
|
305,502
|
- Stage 2
|
11,465
|
1,259
|
2,310
|
15,034
|
|
2,580
|
9,704
|
546
|
4
|
12,834
|
|
27,868
|
- Stage 3
|
3,277
|
116
|
643
|
4,036
|
|
895
|
1,649
|
13
|
5
|
2,562
|
|
6,598
|
- Of which:
individual
|
235
|
-
|
21
|
256
|
|
646
|
1,137
|
7
|
5
|
1,795
|
|
2,051
|
- Of which:
collective
|
3,042
|
116
|
622
|
3,780
|
|
249
|
512
|
6
|
-
|
767
|
|
4,547
|
Loans - past due analysis (3,4)
|
174,003
|
4,478
|
10,389
|
188,870
|
|
36,371
|
71,042
|
36,266
|
7,419
|
151,098
|
|
339,968
|
- Not past due
|
169,536
|
4,313
|
9,473
|
183,322
|
|
35,445
|
68,730
|
36,214
|
7,365
|
147,754
|
|
331,076
|
- Past due 1-29
days
|
1,578
|
43
|
164
|
1,785
|
|
317
|
1,339
|
36
|
54
|
1,746
|
|
3,531
|
- Past due 30-89
days
|
955
|
36
|
123
|
1,114
|
|
82
|
271
|
7
|
-
|
360
|
|
1,474
|
- Past due 90-180
days
|
495
|
30
|
84
|
609
|
|
26
|
148
|
-
|
-
|
174
|
|
783
|
- Past due >180
days
|
1,439
|
56
|
545
|
2,040
|
|
501
|
554
|
9
|
-
|
1,064
|
|
3,104
|
Loans - Stage 2
|
11,465
|
1,259
|
2,310
|
15,034
|
|
2,580
|
9,704
|
546
|
4
|
12,834
|
|
27,868
|
- Not past due
|
9,798
|
1,204
|
2,070
|
13,072
|
|
2,466
|
9,266
|
534
|
4
|
12,270
|
|
25,342
|
- Past due 1-29
days
|
1,050
|
29
|
128
|
1,207
|
|
49
|
214
|
5
|
-
|
268
|
|
1,475
|
- Past due 30-89
days
|
617
|
26
|
112
|
755
|
|
65
|
224
|
7
|
-
|
296
|
|
1,051
|
Weighted average life*
|
|
|
|
|
|
|
|
|
|
|
|
|
- ECL measurement (years)
|
9
|
2
|
6
|
5
|
|
6
|
6
|
3
|
1
|
6
|
|
6
|
Weighted average 12 months PDs*
|
|
|
|
|
|
|
|
|
|
|
|
|
- IFRS 9 (%)
|
0.31
|
3.86
|
2.98
|
0.54
|
|
0.63
|
0.98
|
0.13
|
0.05
|
0.60
|
|
0.54
|
- Basel (%)
|
0.81
|
3.59
|
3.75
|
1.03
|
|
0.96
|
1.25
|
0.20
|
0.07
|
0.83
|
|
0.92
|
ECL provisions by geography
|
964
|
261
|
857
|
2,082
|
|
494
|
1,181
|
28
|
7
|
1,710
|
|
3,792
|
- UK
|
342
|
259
|
846
|
1,447
|
|
424
|
800
|
14
|
4
|
1,242
|
|
2,689
|
- RoI
|
622
|
2
|
11
|
635
|
|
39
|
117
|
3
|
1
|
160
|
|
795
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
28
|
130
|
9
|
1
|
168
|
|
168
|
- RoW
|
-
|
-
|
-
|
-
|
|
3
|
134
|
2
|
1
|
140
|
|
140
|
ECL provisions by stage
|
964
|
261
|
857
|
2,082
|
|
494
|
1,181
|
28
|
7
|
1,710
|
|
3,792
|
- Stage 1
|
25
|
40
|
65
|
130
|
|
45
|
124
|
16
|
7
|
192
|
|
322
|
- Stage 2
|
118
|
132
|
253
|
503
|
|
47
|
198
|
4
|
-
|
249
|
|
752
|
- Stage 3
|
821
|
89
|
539
|
1,449
|
|
402
|
859
|
8
|
-
|
1,269
|
|
2,718
|
- Of which: individual
|
24
|
-
|
11
|
35
|
|
236
|
521
|
4
|
-
|
761
|
|
796
|
- Of which: collective
|
797
|
89
|
528
|
1,414
|
|
166
|
338
|
4
|
-
|
508
|
|
1,922
|
ECL provisions coverage (%)
|
0.55
|
5.83
|
8.25
|
1.10
|
|
1.36
|
1.66
|
0.08
|
0.09
|
1.13
|
|
1.12
|
- Stage 1 (%)
|
0.02
|
1.29
|
0.87
|
0.08
|
|
0.14
|
0.21
|
0.04
|
0.09
|
0.14
|
|
0.11
|
- Stage 2 (%)
|
1.03
|
10.48
|
10.95
|
3.35
|
|
1.82
|
2.04
|
0.73
|
-
|
1.94
|
|
2.70
|
- Stage 3 (%)
|
25.05
|
76.72
|
83.83
|
35.90
|
|
44.92
|
52.09
|
61.54
|
-
|
49.53
|
|
41.19
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Half year ended 30 June 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
ECL charge
|
3
|
26
|
138
|
167
|
|
22
|
134
|
(2)
|
2
|
156
|
|
323
|
- UK
|
15
|
26
|
136
|
177
|
|
22
|
165
|
(1)
|
1
|
187
|
|
364
|
- RoI
|
(12)
|
-
|
2
|
(10)
|
|
-
|
(11)
|
-
|
-
|
(11)
|
|
(21)
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
-
|
(25)
|
(1)
|
-
|
(26)
|
|
(26)
|
- RoW
|
-
|
-
|
-
|
-
|
|
-
|
5
|
-
|
1
|
6
|
|
6
|
ECL loss rate (%)
|
-
|
1.24
|
2.78
|
0.18
|
|
0.12
|
0.37
|
(0.01)
|
0.05
|
0.22
|
|
0.20
|
Amounts written-off
|
71
|
35
|
51
|
157
|
|
173
|
112
|
10
|
-
|
295
|
|
452
|
|
Personal
|
|
Wholesale
|
|
Total
|
|||||||
|
|
Credit
|
Other
|
|
|
|
|
|
|
|
|
|
|
Mortgages(1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
FI
|
Sovereign
|
Total
|
|
|
31 December 2019
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
Loans by residual maturity
|
174,003
|
4,478
|
10,389
|
188,870
|
|
36,371
|
71,042
|
36,266
|
7,419
|
151,098
|
|
339,968
|
- <1 year
|
3,996
|
2,750
|
3,480
|
10,226
|
|
7,318
|
24,539
|
27,299
|
5,477
|
64,633
|
|
74,859
|
- 1-5 year
|
8,771
|
1,728
|
5,769
|
16,268
|
|
19,774
|
31,215
|
7,922
|
1,164
|
60,075
|
|
76,343
|
- 5 year
|
161,236
|
-
|
1,140
|
162,376
|
|
9,279
|
15,288
|
1,045
|
778
|
26,390
|
|
188,766
|
Other financial assets by asset quality (2)
|
-
|
-
|
-
|
-
|
|
-
|
110
|
12,185
|
123,170
|
135,465
|
|
135,465
|
- AQ1-AQ4
|
-
|
-
|
-
|
-
|
|
-
|
110
|
11,742
|
122,906
|
134,758
|
|
134,758
|
- AQ5-AQ8
|
-
|
-
|
-
|
-
|
|
-
|
-
|
441
|
264
|
705
|
|
705
|
- AQ9
|
-
|
-
|
-
|
-
|
|
-
|
-
|
2
|
-
|
2
|
|
2
|
Off-balance sheet
|
14,348
|
16,686
|
12,332
|
43,366
|
|
15,383
|
51,390
|
16,742
|
1,022
|
84,537
|
|
127,903
|
- Loan commitments
|
14,345
|
16,686
|
12,285
|
43,316
|
|
14,739
|
47,883
|
15,417
|
1,021
|
79,060
|
|
122,376
|
- Financial guarantees
|
3
|
-
|
47
|
50
|
|
644
|
3,507
|
1,325
|
1
|
5,477
|
|
5,527
|
Off-balance sheet by asset quality (2)
|
14,348
|
16,686
|
12,332
|
43,366
|
|
15,383
|
51,390
|
16,742
|
1,022
|
84,537
|
|
127,903
|
- AQ1-AQ4
|
13,506
|
3,818
|
10,049
|
27,373
|
|
11,364
|
34,852
|
15,397
|
984
|
62,597
|
|
89,970
|
- AQ5-AQ8
|
832
|
12,588
|
2,271
|
15,691
|
|
3,948
|
16,228
|
1,340
|
38
|
21,554
|
|
37,245
|
- AQ9
|
1
|
4
|
12
|
17
|
|
11
|
49
|
4
|
-
|
64
|
|
81
|
- AQ10
|
9
|
276
|
-
|
285
|
|
60
|
261
|
1
|
-
|
322
|
|
607
|
(1)
|
Includes
a portion of secured lending in Private Banking, in line with ECL
calculation methodology. Private Banking and RBSI mortgages are
reported in UK, reflecting the country of lending
origination.
|
(2)
|
AQ bandings are based on Basel PDs and the mapping is as
follows:Internal asset quality bandProbability of default
rangeIndicative S&P ratingAQ10% - 0.034%AAA to AAAQ20.034% -
0.048%AA to AA-AQ30.048% - 0.095%A+ to AAQ40.095% - 0.381%BBB+ to
BBB-AQ50.381% - 1.076%BB+ to BBAQ61.076% - 2.153%BB- to B+AQ72.153%
- 6.089%B+ to BAQ86.089% - 17.222%B- to CCC+AQ917.222% - 100%CCC to
CAQ10100%D£0.3 billion (31 December 2019 – £0.3
billion) of AQ10 Personal balances primarily relate to loan
commitments, the drawdown of which is effectively prohibited. AQ10
includes £0.5 billion (31 December 2019 – £0.6
billion) of RoI mortgages which are not currently considered
defaulted for capital calculation purposes for RoI but are included
in Stage 3.
|
(3)
|
30 DPD
– 30 days past due, the mandatory 30 days past due backstop
as prescribed by the IFRS 9 guidance for a SICR.
|
(4)
|
Days
past due – Personal products: at a high level, for amortising
products, the number of days past due is derived from the arrears
amount outstanding and the monthly repayment instalment. For credit
cards, it is based on payments missed, and for current accounts the
number of continual days in excess of borrowing limit. Wholesale
products: the number of days past due for all products is the
number of continual days in excess of borrowing limit.
|
|
|
|
Off-balance sheet
|
|
|
||||||||||||
|
Loans - amortised
cost & FVOCI
(1)
|
|
Loan
|
Contingent
|
|
ECL provisions
|
|
|
|
|
|
|
|
||||
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
commitments (1)
|
liabilities
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|||||
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|||||
Personal
|
161,432
|
30,778
|
3,747
|
195,957
|
|
41,279
|
48
|
|
178
|
1,010
|
1,404
|
2,592
|
|||||
Mortgages
|
152,947
|
26,292
|
2,903
|
182,142
|
|
11,158
|
3
|
|
34
|
292
|
706
|
1,032
|
|||||
Credit
cards
|
2,387
|
1,321
|
110
|
3,818
|
|
17,481
|
-
|
|
47
|
243
|
86
|
376
|
|||||
Other
personal
|
6,098
|
3,165
|
734
|
9,997
|
|
12,640
|
45
|
|
97
|
475
|
612
|
1,184
|
|||||
Wholesale
|
105,012
|
66,232
|
3,287
|
174,531
|
|
89,151
|
5,038
|
|
291
|
2,015
|
1,456
|
3,762
|
|||||
Property
|
26,782
|
12,400
|
1,259
|
40,441
|
|
15,423
|
607
|
|
126
|
392
|
513
|
1,031
|
|||||
Financial
institutions
|
39,133
|
3,789
|
10
|
42,932
|
|
17,500
|
1,130
|
|
22
|
69
|
5
|
96
|
|||||
Sovereign
|
9,436
|
1
|
6
|
9,443
|
|
1,129
|
2
|
|
10
|
-
|
-
|
10
|
|||||
Corporate
|
29,661
|
50,042
|
2,012
|
81,715
|
|
55,099
|
3,299
|
|
133
|
1,554
|
938
|
2,625
|
|||||
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Airlines and
aerospace
|
495
|
1,839
|
38
|
2,372
|
|
1,829
|
233
|
|
4
|
53
|
26
|
83
|
|||||
Automotive
|
2,000
|
5,437
|
146
|
7,583
|
|
3,547
|
93
|
|
8
|
108
|
19
|
135
|
|||||
Education
|
704
|
919
|
83
|
1,706
|
|
725
|
19
|
|
2
|
27
|
16
|
45
|
|||||
Health
|
2,055
|
3,650
|
168
|
5,873
|
|
515
|
13
|
|
9
|
145
|
60
|
214
|
|||||
Land transport and
logistics
|
1,149
|
3,334
|
110
|
4,593
|
|
3,919
|
206
|
|
6
|
96
|
43
|
145
|
|||||
Leisure
|
2,755
|
6,739
|
534
|
10,028
|
|
1,841
|
126
|
|
22
|
303
|
249
|
574
|
|||||
Oil and gas
|
465
|
1,535
|
89
|
2,089
|
|
2,627
|
382
|
|
4
|
55
|
61
|
120
|
|||||
Retail
|
2,647
|
5,059
|
221
|
7,927
|
|
5,858
|
507
|
|
13
|
158
|
170
|
341
|
|||||
Shipping
|
293
|
877
|
21
|
1,191
|
|
219
|
38
|
|
2
|
90
|
11
|
103
|
|||||
Textiles
|
73
|
111
|
3
|
187
|
|
65
|
9
|
|
-
|
2
|
2
|
4
|
|||||
Total
|
266,444
|
97,010
|
7,034
|
370,488
|
|
130,430
|
5,086
|
|
469
|
3,025
|
2,860
|
6,354
|
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
169,800
|
15,034
|
4,036
|
188,870
|
|
43,316
|
50
|
|
130
|
503
|
1,449
|
2,082
|
Mortgages
|
159,261
|
11,465
|
3,277
|
174,003
|
|
14,345
|
3
|
|
25
|
118
|
821
|
964
|
Credit
cards
|
3,103
|
1,259
|
116
|
4,478
|
|
16,686
|
-
|
|
40
|
132
|
89
|
261
|
Other
personal
|
7,436
|
2,310
|
643
|
10,389
|
|
12,285
|
47
|
|
65
|
253
|
539
|
857
|
Wholesale
|
135,702
|
12,834
|
2,562
|
151,098
|
|
79,060
|
5,477
|
|
192
|
249
|
1,269
|
1,710
|
Property
|
32,896
|
2,580
|
895
|
36,371
|
|
14,739
|
644
|
|
45
|
47
|
402
|
494
|
Financial
institutions
|
35,707
|
546
|
13
|
36,266
|
|
15,417
|
1,325
|
|
16
|
4
|
8
|
28
|
Sovereign
|
7,410
|
4
|
5
|
7,419
|
|
1,021
|
1
|
|
7
|
-
|
-
|
7
|
Corporate
|
59,689
|
9,704
|
1,649
|
71,042
|
|
47,883
|
3,507
|
|
124
|
198
|
859
|
1,181
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines and aerospace
(2)
|
1,412
|
261
|
40
|
1,713
|
|
1,716
|
271
|
|
2
|
3
|
55
|
60
|
Automotive
|
5,062
|
1,143
|
20
|
6,225
|
|
3,815
|
98
|
|
12
|
11
|
15
|
38
|
Education
|
1,426
|
154
|
12
|
1,592
|
|
654
|
18
|
|
2
|
4
|
1
|
7
|
Health
|
4,695
|
844
|
167
|
5,706
|
|
534
|
17
|
|
9
|
16
|
52
|
77
|
Land transport and
logistics
|
3,477
|
316
|
53
|
3,846
|
|
3,301
|
249
|
|
6
|
12
|
21
|
39
|
Leisure
|
6,323
|
1,253
|
377
|
7,953
|
|
2,876
|
135
|
|
25
|
27
|
175
|
227
|
Oil and gas
|
1,923
|
140
|
86
|
2,149
|
|
2,400
|
358
|
|
5
|
3
|
55
|
63
|
Retail
|
6,397
|
1,279
|
215
|
7,891
|
|
5,383
|
560
|
|
13
|
16
|
180
|
209
|
Shipping
|
474
|
725
|
20
|
1,219
|
|
313
|
53
|
|
1
|
37
|
5
|
43
|
Textiles
|
134
|
29
|
3
|
166
|
|
93
|
6
|
|
-
|
1
|
2
|
3
|
Total
|
305,502
|
27,868
|
6,598
|
339,968
|
|
122,376
|
5,527
|
|
322
|
752
|
2,718
|
3,792
|
(1)
|
Loan commitments as at 30 June 2020 includes £4.1 billion of
commercial cards related balances which were brought into scope of
ECL calculations in H1 2020.
|
(2)
|
Airlines and aerospace Stage 3 ECL at 31 December 2019 included
£27 million of ECL related to contingent
liabilities.
|
|
FI
|
Property
|
Sovereign
|
Other corporate
|
Total
|
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
£m
|
Forbearance (flow)
|
80
|
730
|
-
|
2,648
|
3,458
|
Heightened Monitoring and Risk of Credit Loss
|
154
|
1,333
|
-
|
5,960
|
7,447
|
31 December 2019
|
|
|
|
|
|
Forbearance (flow)
|
35
|
546
|
-
|
2,254
|
2,835
|
Heightened Monitoring and Risk of Credit Loss
|
107
|
1,209
|
-
|
4,207
|
5,523
|
|
30 June 2020
|
|
31 December 2019
|
|
||||||||
|
UK Personal
|
Ulster
|
Private
|
RBS
|
|
|
UK Personal
|
Ulster
|
Private
|
RBS
|
|
|
|
Banking
|
Bank RoI
|
Banking
|
International
|
Total
|
|
Banking
|
Bank RoI
|
Banking
|
International
|
Total
|
|
Personal lending
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
Mortgages
|
154,909
|
14,007
|
10,238
|
2,596
|
181,750
|
|
147,489
|
13,598
|
9,955
|
2,620
|
173,662
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Owner
occupied
|
140,372
|
13,038
|
8,991
|
1,728
|
164,129
|
|
132,698
|
12,593
|
8,714
|
1,747
|
155,752
|
|
Buy-to-let
|
14,537
|
969
|
1,247
|
868
|
17,621
|
|
14,791
|
1,005
|
1,241
|
874
|
17,911
|
|
Interest only -
variable
|
5,650
|
166
|
3,965
|
349
|
10,130
|
|
6,279
|
165
|
3,646
|
371
|
10,461
|
|
Interest only -
fixed
|
13,277
|
9
|
4,570
|
248
|
18,104
|
|
12,891
|
9
|
4,604
|
241
|
17,745
|
|
Mixed (1)
|
6,689
|
59
|
1
|
20
|
6,769
|
|
6,288
|
61
|
1
|
20
|
6,370
|
|
Impairment
provisions (2)
|
437
|
571
|
12
|
10
|
1,030
|
|
309
|
622
|
13
|
11
|
955
|
|
Other personal lending (3)
|
11,650
|
286
|
1,943
|
290
|
14,169
|
|
12,778
|
308
|
1,767
|
280
|
15,133
|
|
Impairment provisions (2)
|
1,515
|
18
|
21
|
2
|
1,556
|
|
1,087
|
13
|
16
|
1
|
1,117
|
|
Total personal lending
|
166,559
|
14,293
|
12,181
|
2,886
|
195,919
|
|
160,267
|
13,906
|
11,722
|
2,900
|
188,795
|
|
Mortgage LTV ratios
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
portfolio
|
57%
|
59%
|
57%
|
58%
|
57%
|
|
57%
|
60%
|
57%
|
58%
|
57%
|
|
- Stage 1
|
56%
|
55%
|
57%
|
57%
|
56%
|
|
57%
|
57%
|
57%
|
57%
|
57%
|
|
- Stage 2
|
67%
|
69%
|
61%
|
66%
|
67%
|
|
58%
|
67%
|
60%
|
64%
|
59%
|
|
- Stage 3
|
55%
|
69%
|
69%
|
75%
|
63%
|
|
55%
|
73%
|
70%
|
80%
|
66%
|
|
Buy-to-let
|
52%
|
60%
|
55%
|
52%
|
53%
|
|
53%
|
61%
|
54%
|
53%
|
54%
|
|
- Stage 1
|
51%
|
54%
|
55%
|
52%
|
51%
|
|
52%
|
57%
|
54%
|
53%
|
52%
|
|
- Stage 2
|
60%
|
74%
|
65%
|
50%
|
62%
|
|
57%
|
69%
|
57%
|
51%
|
59%
|
|
- Stage 3
|
58%
|
75%
|
54%
|
62%
|
64%
|
|
59%
|
75%
|
58%
|
66%
|
67%
|
|
Gross new mortgage lending (4)
|
15,849
|
400
|
814
|
124
|
17,187
|
|
31,857
|
1,184
|
2,112
|
355
|
35,508
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Owner occupied
|
15,368
|
399
|
732
|
82
|
16,581
|
|
30,779
|
1,175
|
1,889
|
248
|
34,091
|
|
Weighted average LTV
|
69%
|
75%
|
67%
|
72%
|
69%
|
|
69%
|
75%
|
65%
|
71%
|
69%
|
|
Buy-to-let
|
481
|
1
|
82
|
42
|
606
|
|
1,078
|
10
|
222
|
107
|
1,417
|
|
Weighted average LTV
|
62%
|
60%
|
64%
|
64%
|
62%
|
|
60%
|
58%
|
60%
|
63%
|
60%
|
|
Interest only - variable rate
|
51
|
-
|
394
|
-
|
445
|
|
56
|
-
|
688
|
4
|
748
|
|
Interest only - fixed rate
|
714
|
-
|
279
|
19
|
1,012
|
|
1,275
|
-
|
993
|
51
|
2,319
|
|
Mixed (1)
|
674
|
-
|
-
|
1
|
675
|
|
1,074
|
1
|
-
|
4
|
1,079
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forbearance flow
|
255
|
24
|
14
|
6
|
299
|
|
450
|
177
|
4
|
5
|
636
|
|
Forbearance stock
|
1,207
|
1,870
|
14
|
13
|
3,104
|
|
1,212
|
2,229
|
2
|
11
|
3,454
|
|
Current
|
650
|
1,130
|
9
|
9
|
1,798
|
|
623
|
1,149
|
1
|
9
|
1,782
|
|
1-3 months in arrears
|
273
|
132
|
3
|
-
|
408
|
|
338
|
157
|
-
|
1
|
496
|
|
> 3 months in arrears
|
284
|
608
|
2
|
4
|
898
|
|
251
|
923
|
1
|
1
|
1,176
|
|
●
|
New mortgage lending was higher than in H1 2019, reflecting strong
lending before the Covid-19 lockdown. The existing mortgage stock
and new business were closely monitored against agreed risk
appetite parameters. These included loan-to-value ratios,
buy-to-let concentrations, new-build concentrations and credit
quality. Underwriting standards were maintained during the
period.
|
●
|
Mortgage growth was driven by the owner-occupied
portfolio.
|
●
|
By value, the proportion of mortgages on interest only and mixed
terms (capital and interest only) reduced. This was driven by low
proportions of buy-to-let and owner occupier interest only new
business.
|
●
|
In the UK Personal Banking mortgage portfolio, 88% of customer
balances were on fixed rates (57% on five-year deals). In addition,
99% of all new mortgage completions were fixed rate deals (41% of
these were five-year deals).
|
●
|
43% of
the stock of UK Personal Banking lending was in Greater London and
the South East (31 December 2019 – 43%). The average weighted
loan-to-value for these regions was 54% (31 December 2019 –
53%) compared to all regions 57%.
|
●
|
Impairment
provisions – as detailed earlier, the deteriorated economic
outlook including forecast increases in unemployment and declines
in house prices, resulted in an increased ECL
requirement.
|
●
|
Unsecured balances fell, with the decrease driven principally by
reductions in overdrafts and credit card borrowing in the UK
Personal Banking segment. Overdraft and credit card usage decreased
significantly following the Covid-19 lockdown. NatWest Group also
responded to Covid-19 with a more cautious approach in new lending,
to protect the bank and customers from potentially unaffordable
borrowing.
|
|
Mortgages
|
|
ECL provisions
|
|
ECL provisions coverage (2)
|
|||||||||||||||||||||||
UK Personal Banking
|
|
|
Not within
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Stage
|
Stage
|
Stage
|
IFRS 9
|
|
gross new
|
|
Stage
|
Stage
|
Stage
|
|
|
Stage
|
Stage
|
Stage
|
|
||||||||||||
|
1
|
2
|
3
|
ECL scope
|
Total
|
lending
|
|
1
|
2
|
3
|
Total(1)
|
|
1
|
2
|
3
|
Total
|
||||||||||||
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
||||||||||||
≤50%
|
48,176
|
4,505
|
544
|
125
|
53,350
|
2,361
|
|
3
|
28
|
98
|
129
|
|
-
|
0.6
|
18.0
|
0.2
|
||||||||||||
>50% and ≤70%
|
48,897
|
6,325
|
487
|
38
|
55,747
|
4,758
|
|
6
|
49
|
74
|
129
|
|
-
|
0.8
|
15.2
|
0.2
|
||||||||||||
>70% and ≤80%
|
20,039
|
6,796
|
163
|
8
|
27,006
|
4,763
|
|
3
|
45
|
29
|
77
|
|
-
|
0.7
|
17.8
|
0.3
|
||||||||||||
>80% and ≤90%
|
10,261
|
5,691
|
80
|
6
|
16,038
|
3,262
|
|
3
|
53
|
16
|
72
|
|
-
|
0.9
|
20.4
|
0.4
|
||||||||||||
>90% and ≤100%
|
2,038
|
483
|
19
|
3
|
2,543
|
632
|
|
1
|
10
|
5
|
16
|
|
-
|
2.1
|
26.5
|
0.6
|
||||||||||||
>100% and ≤110%
|
22
|
40
|
7
|
1
|
70
|
-
|
|
-
|
2
|
2
|
4
|
|
0.1
|
5.3
|
23.5
|
5.3
|
||||||||||||
>110% and ≤130%
|
27
|
49
|
8
|
1
|
85
|
-
|
|
-
|
3
|
2
|
5
|
|
0.2
|
6.8
|
30.4
|
6.8
|
||||||||||||
>130% and ≤150%
|
10
|
24
|
5
|
-
|
39
|
-
|
|
-
|
2
|
1
|
3
|
|
0.1
|
7.0
|
26.1
|
7.9
|
||||||||||||
>150%
|
1
|
4
|
3
|
-
|
8
|
-
|
|
-
|
-
|
1
|
1
|
|
0.1
|
10.6
|
42.6
|
20.5
|
||||||||||||
Total with LTVs
|
129,471
|
23,917
|
1,316
|
182
|
154,886
|
15,776
|
|
16
|
192
|
228
|
436
|
|
-
|
0.8
|
17.4
|
0.3
|
||||||||||||
Other
|
16
|
6
|
1
|
-
|
23
|
73
|
|
-
|
-
|
1
|
1
|
|
0.1
|
5.0
|
75.3
|
3.9
|
||||||||||||
Total
|
129,487
|
23,923
|
1,317
|
182
|
154,909
|
15,849
|
|
16
|
192
|
229
|
437
|
|
-
|
0.8
|
17.4
|
0.3
|
||||||||||||
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
≤50%
|
47,746
|
3,375
|
511
|
159
|
51,791
|
4,661
|
|
2
|
19
|
90
|
111
|
|
-
|
0.6
|
17.6
|
0.2
|
||||||||||||
>50% and ≤70%
|
47,224
|
3,804
|
463
|
91
|
51,582
|
8,723
|
|
3
|
29
|
68
|
100
|
|
-
|
0.8
|
14.7
|
0.2
|
||||||||||||
>70% and ≤80%
|
23,235
|
1,568
|
150
|
39
|
24,992
|
8,366
|
|
2
|
14
|
26
|
42
|
|
-
|
0.9
|
17.1
|
0.1
|
||||||||||||
>80% and ≤90%
|
14,030
|
1,111
|
85
|
25
|
15,251
|
8,675
|
|
2
|
12
|
18
|
32
|
|
-
|
1.1
|
20.5
|
0.2
|
||||||||||||
>90% and ≤100%
|
3,401
|
174
|
20
|
15
|
3,610
|
1,208
|
|
1
|
4
|
5
|
10
|
|
-
|
2.5
|
25.4
|
0.3
|
||||||||||||
>100% and ≤110%
|
42
|
34
|
8
|
1
|
85
|
-
|
|
-
|
2
|
2
|
4
|
|
0.1
|
5.1
|
25.3
|
4.4
|
||||||||||||
>110% and ≤130%
|
47
|
38
|
7
|
1
|
93
|
-
|
|
-
|
2
|
2
|
4
|
|
0.1
|
6.1
|
33.5
|
5.0
|
||||||||||||
>130% and ≤150%
|
19
|
22
|
6
|
1
|
48
|
-
|
|
-
|
1
|
2
|
3
|
|
0.1
|
6.3
|
27.7
|
6.5
|
||||||||||||
>150%
|
3
|
6
|
3
|
-
|
12
|
-
|
|
-
|
-
|
2
|
2
|
|
0.1
|
6.5
|
45.7
|
15.2
|
||||||||||||
Total with LTVs
|
135,747
|
10,132
|
1,253
|
332
|
147,464
|
31,663
|
|
10
|
83
|
215
|
308
|
|
-
|
0.8
|
17.0
|
0.2
|
||||||||||||
Other
|
21
|
3
|
1
|
-
|
25
|
224
|
|
-
|
-
|
1
|
1
|
|
0.1
|
4.2
|
81.2
|
3.2
|
||||||||||||
Total
|
135,768
|
10,135
|
1,254
|
332
|
147,489
|
31,857
|
|
10
|
83
|
216
|
309
|
|
-
|
0.8
|
17.1
|
0.2
|
|
Mortgages
|
|
ECL provisions
|
|
ECL provisions coverage (2)
|
|||||||||||||||||
Ulster Bank RoI
|
|
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
gross new
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
lending
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total(1)
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|||||||
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
|||||||
≤50%
|
4,197
|
538
|
413
|
5,148
|
34
|
|
6
|
20
|
103
|
129
|
|
0.1
|
3.7
|
24.9
|
2.5
|
|||||||
>50% and ≤70%
|
3,376
|
542
|
297
|
4,215
|
84
|
|
5
|
23
|
73
|
101
|
|
0.1
|
4.2
|
24.6
|
2.4
|
|||||||
>70% and ≤80%
|
1,379
|
325
|
154
|
1,858
|
138
|
|
2
|
14
|
49
|
65
|
|
0.1
|
4.3
|
31.8
|
3.5
|
|||||||
>80% and ≤90%
|
1,051
|
335
|
150
|
1,536
|
141
|
|
2
|
15
|
54
|
71
|
|
0.2
|
4.5
|
36.0
|
4.6
|
|||||||
>90% and ≤100%
|
276
|
244
|
124
|
644
|
-
|
|
1
|
11
|
52
|
64
|
|
0.4
|
4.5
|
41.9
|
9.9
|
|||||||
>100% and ≤110%
|
89
|
139
|
100
|
328
|
2
|
|
-
|
8
|
47
|
55
|
|
-
|
5.8
|
47.0
|
16.8
|
|||||||
>110% and ≤130%
|
41
|
80
|
97
|
218
|
1
|
|
-
|
6
|
52
|
58
|
|
-
|
7.5
|
53.6
|
26.6
|
|||||||
>130% and ≤150%
|
5
|
7
|
30
|
42
|
-
|
|
-
|
1
|
20
|
21
|
|
-
|
14.3
|
66.7
|
50.0
|
|||||||
>150%
|
3
|
6
|
9
|
18
|
-
|
|
-
|
-
|
7
|
7
|
|
-
|
-
|
77.8
|
38.9
|
|||||||
Total
|
10,417
|
2,216
|
1,374
|
14,007
|
400
|
|
16
|
98
|
457
|
571
|
|
0.2
|
4.4
|
33.3
|
4.1
|
|||||||
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
≤50%
|
4,107
|
308
|
475
|
4,890
|
107
|
|
4
|
7
|
97
|
108
|
|
0.1
|
2.3
|
20.5
|
2.2
|
|||||||
>50% and ≤70%
|
3,382
|
274
|
409
|
4,065
|
231
|
|
3
|
7
|
90
|
100
|
|
0.1
|
2.6
|
22.0
|
2.5
|
|||||||
>70% and ≤80%
|
1,381
|
151
|
219
|
1,751
|
356
|
|
2
|
4
|
60
|
66
|
|
0.1
|
3.0
|
27.5
|
3.8
|
|||||||
>80% and ≤90%
|
1,132
|
145
|
217
|
1,494
|
484
|
|
1
|
5
|
76
|
82
|
|
0.1
|
3.0
|
35.1
|
5.5
|
|||||||
>90% and ≤100%
|
381
|
102
|
188
|
671
|
3
|
|
1
|
3
|
72
|
76
|
|
0.2
|
2.9
|
38.6
|
11.3
|
|||||||
>100% and ≤110%
|
167
|
57
|
151
|
375
|
2
|
|
-
|
2
|
67
|
69
|
|
0.3
|
3.5
|
44.0
|
18.4
|
|||||||
>110% and ≤130%
|
82
|
36
|
152
|
270
|
1
|
|
-
|
2
|
78
|
80
|
|
0.3
|
4.9
|
51.3
|
29.7
|
|||||||
>130% and ≤150%
|
8
|
3
|
46
|
57
|
-
|
|
-
|
-
|
30
|
30
|
|
0.6
|
4.1
|
64.7
|
51.9
|
|||||||
>150%
|
7
|
3
|
15
|
25
|
-
|
|
-
|
-
|
11
|
11
|
|
0.3
|
8.2
|
71.4
|
44.6
|
|||||||
Total with LTVs
|
10,647
|
1,079
|
1,872
|
13,598
|
1,184
|
|
11
|
30
|
581
|
622
|
|
0.1
|
2.8
|
31.0
|
4.6
|
(1)
|
Excludes
a non-material amount of provisions held on relatively small legacy
portfolios.
|
(2)
|
ECL
provisions coverage is ECL provisions divided by
mortgages.
|
●
|
ECL
coverage rates increase through the LTV bands with both UK Personal
Banking and Ulster Bank RoI currently having only limited exposures
in the highest LTV bands. The relatively high coverage level in the
lowest LTV band for UK Personal Banking included the effect of
time-discounting on expected recoveries. Additionally, this also
reflected the modelling approach that recognised an element of
expected loss on mortgages that are not subject to formal
repossession activity.
|
●
|
The
deteriorated economic outlook, as detailed in the Covid-19 –
estimating ECL in uncertain times section, resulted in increased
account level IFRS 9 PDs. Consequently, compared to the 2019
year-end, a larger proportion of accounts exhibited a SICR with an
associated migration of exposures from Stage 1 to Stage
2.
|
LTV ratio value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted
|
|
|
|
|
≤ 50%
|
50% ≤ 80%
|
80% ≤ 100%
|
100% ≤ 150%
|
> 150%
|
Total
|
average LTV
|
Other
|
Total
|
Total
|
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
%
|
£m
|
£m
|
%
|
South East
|
14,284
|
21,339
|
4,329
|
7
|
-
|
39,959
|
57
|
6
|
39,965
|
26
|
Greater London
|
13,459
|
11,797
|
1,625
|
4
|
-
|
26,885
|
50
|
4
|
26,889
|
17
|
Scotland
|
3,621
|
6,231
|
1,429
|
2
|
-
|
11,283
|
58
|
1
|
11,284
|
7
|
North West
|
4,414
|
8,619
|
1,808
|
3
|
-
|
14,844
|
59
|
3
|
14,847
|
10
|
South West
|
4,600
|
7,764
|
1,451
|
4
|
-
|
13,819
|
57
|
2
|
13,821
|
9
|
West Midlands
|
3,347
|
6,604
|
1,290
|
4
|
-
|
11,245
|
59
|
1
|
11,246
|
7
|
Rest of the UK
|
9,627
|
20,397
|
6,649
|
170
|
8
|
36,851
|
62
|
6
|
36,857
|
24
|
Total
|
53,352
|
82,751
|
18,581
|
194
|
8
|
154,886
|
57
|
23
|
154,909
|
100
|
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
South East
|
14,175
|
19,390
|
3,920
|
7
|
-
|
37,492
|
56
|
7
|
37,499
|
25
|
Greater London
|
13,199
|
10,496
|
1,504
|
4
|
-
|
25,203
|
49
|
4
|
25,207
|
17
|
Scotland
|
3,395
|
5,946
|
1,726
|
3
|
-
|
11,070
|
60
|
1
|
11,071
|
8
|
North West
|
4,449
|
8,420
|
1,524
|
4
|
-
|
14,397
|
58
|
2
|
14,399
|
10
|
South West
|
4,482
|
7,374
|
1,391
|
5
|
-
|
13,252
|
57
|
2
|
13,254
|
9
|
West Midlands
|
3,086
|
6,109
|
1,520
|
5
|
-
|
10,720
|
60
|
1
|
10,721
|
7
|
Rest of the UK
|
9,004
|
18,839
|
7,276
|
198
|
13
|
35,330
|
63
|
8
|
35,338
|
24
|
Total
|
51,790
|
76,574
|
18,861
|
226
|
13
|
147,464
|
57
|
25
|
147,489
|
100
|
|
30 June 2020
|
|
31 December 2019
|
||||||
|
UK
|
RoI
|
Other
|
Total
|
|
UK
|
RoI
|
Other
|
Total
|
By geography and sub sector (1)
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
Investment
|
|
|
|
|
|
|
|
|
|
Residential (2)
|
4,791
|
412
|
5
|
5,208
|
|
4,507
|
462
|
27
|
4,996
|
Office (3)
|
3,737
|
210
|
58
|
4,005
|
|
2,916
|
183
|
83
|
3,182
|
Retail (4)
|
5,419
|
64
|
78
|
5,561
|
|
5,277
|
63
|
62
|
5,402
|
Industrial (5)
|
2,881
|
18
|
100
|
2,999
|
|
2,457
|
18
|
115
|
2,590
|
Mixed/other (6)
|
3,199
|
202
|
170
|
3,571
|
|
3,672
|
187
|
56
|
3,915
|
|
20,027
|
906
|
411
|
21,344
|
|
18,829
|
913
|
343
|
20,085
|
Development
|
|
|
|
|
|
|
|
|
|
Residential (2)
|
3,052
|
233
|
8
|
3,293
|
|
2,464
|
165
|
5
|
2,634
|
Office (3)
|
137
|
22
|
-
|
159
|
|
78
|
17
|
-
|
95
|
Retail (4)
|
147
|
-
|
1
|
148
|
|
134
|
2
|
1
|
137
|
Industrial (5)
|
129
|
2
|
-
|
131
|
|
85
|
2
|
-
|
87
|
Mixed/other (6)
|
24
|
2
|
-
|
26
|
|
16
|
2
|
-
|
18
|
|
3,489
|
259
|
9
|
3,757
|
|
2,777
|
188
|
6
|
2,971
|
Total
|
23,516
|
1,165
|
420
|
25,101
|
|
21,606
|
1,101
|
349
|
23,056
|
(1)
|
Geographical splits are based on country of collateral
risk.
|
(2)
|
Properties including houses, flats and student
accommodation.
|
(3)
|
Properties including offices in central business districts,
regional headquarters and business parks.
|
(4)
|
Properties including high street retail, shopping centres,
restaurants, bars and gyms.
|
(5)
|
Properties including distribution centres, manufacturing and
warehouses.
|
(6)
|
Properties that do not fall within the other categories above.
Mixed generally relates to a mixture of retail/office with
residential.
|
|
Current exposure (gross of provisions) (1,2)
|
|
ECL provisions
|
|
ECL provisions coverage (4)
|
||||||||||||||||||
|
|
|
Not within
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Stage
|
Stage
|
Stage
|
IFRS 9 ECL
|
|
|
Stage
|
Stage
|
Stage
|
|
|
Stage
|
Stage
|
Stage
|
|
||||||||
|
1
|
2
|
3
|
scope (3)
|
Total
|
|
1
|
2
|
3
|
Total(1)
|
|
1
|
2
|
3
|
Total
|
||||||||
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
||||||||
≤50%
|
7,445
|
2,904
|
70
|
-
|
10,419
|
|
45
|
88
|
18
|
151
|
|
0.6
|
3.0
|
25.7
|
1.4
|
||||||||
>50% and ≤70%
|
4,445
|
1,732
|
216
|
-
|
6,393
|
|
35
|
68
|
70
|
173
|
|
0.8
|
3.9
|
32.4
|
2.7
|
||||||||
>70% and ≤80%
|
163
|
72
|
44
|
-
|
279
|
|
2
|
3
|
12
|
17
|
|
1.2
|
4.2
|
27.3
|
6.1
|
||||||||
>80% and ≤90%
|
66
|
91
|
20
|
-
|
177
|
|
1
|
5
|
4
|
10
|
|
1.5
|
5.5
|
20.0
|
5.6
|
||||||||
>90% and ≤100%
|
42
|
22
|
126
|
-
|
190
|
|
-
|
2
|
42
|
44
|
|
-
|
9.1
|
33.3
|
23.2
|
||||||||
>100% and ≤110%
|
15
|
23
|
63
|
-
|
101
|
|
-
|
4
|
11
|
15
|
|
-
|
17.4
|
17.5
|
14.9
|
||||||||
>110% and ≤130%
|
16
|
15
|
59
|
-
|
90
|
|
-
|
2
|
32
|
34
|
|
-
|
13.3
|
54.2
|
37.8
|
||||||||
>130% and ≤150%
|
5
|
8
|
10
|
-
|
23
|
|
-
|
1
|
5
|
6
|
|
-
|
12.5
|
50.0
|
26.1
|
||||||||
>150%
|
63
|
21
|
28
|
-
|
112
|
|
1
|
3
|
18
|
22
|
|
1.6
|
14.3
|
64.3
|
19.6
|
||||||||
Total with LTVs
|
12,260
|
4,888
|
636
|
-
|
17,784
|
|
84
|
176
|
212
|
472
|
|
0.7
|
3.6
|
33.3
|
2.7
|
||||||||
Total portfolio average LTV
|
45%
|
47%
|
88%
|
50%
|
47%
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
||||||||
Other (5)
|
1,406
|
1,014
|
210
|
930
|
3,560
|
|
6
|
62
|
96
|
164
|
|
0.4
|
6.1
|
45.7
|
6.2
|
||||||||
Development (6)
|
1,323
|
2,173
|
176
|
85
|
3,757
|
|
16
|
49
|
67
|
132
|
|
1.2
|
2.3
|
38.1
|
3.6
|
||||||||
Total
|
14,989
|
8,075
|
1,022
|
1,015
|
25,101
|
|
106
|
287
|
375
|
768
|
|
0.7
|
3.6
|
36.7
|
3.2
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
≤50%
|
8,787
|
468
|
40
|
837
|
10,132
|
|
8
|
8
|
11
|
27
|
|
0.1
|
1.7
|
27.5
|
0.3
|
||||||||
>50% and ≤70%
|
4,945
|
252
|
148
|
846
|
6,191
|
|
7
|
6
|
33
|
46
|
|
0.1
|
2.4
|
22.3
|
0.9
|
||||||||
>70% and ≤80%
|
269
|
38
|
51
|
9
|
367
|
|
1
|
1
|
19
|
21
|
|
0.4
|
2.6
|
37.3
|
5.9
|
||||||||
>80% and ≤90%
|
61
|
19
|
15
|
2
|
97
|
|
-
|
1
|
3
|
4
|
|
-
|
5.3
|
20.0
|
4.2
|
||||||||
>90% and ≤100%
|
50
|
81
|
22
|
1
|
154
|
|
-
|
2
|
15
|
17
|
|
-
|
2.5
|
68.2
|
11.1
|
||||||||
>100% and ≤110%
|
18
|
13
|
52
|
-
|
83
|
|
-
|
-
|
5
|
5
|
|
-
|
-
|
9.6
|
6.0
|
||||||||
>110% and ≤130%
|
20
|
26
|
46
|
1
|
93
|
|
-
|
1
|
16
|
17
|
|
-
|
3.8
|
34.8
|
18.5
|
||||||||
>130% and ≤150%
|
3
|
6
|
18
|
-
|
27
|
|
-
|
-
|
7
|
7
|
|
-
|
-
|
38.9
|
25.9
|
||||||||
>150%
|
63
|
6
|
37
|
-
|
106
|
|
-
|
1
|
24
|
25
|
|
-
|
16.7
|
64.9
|
23.6
|
||||||||
Total with LTVs
|
14,216
|
909
|
429
|
1,696
|
17,250
|
|
16
|
20
|
133
|
169
|
|
0.1
|
2.2
|
31.0
|
1.1
|
||||||||
Total portfolio average LTV
|
46%
|
55%
|
101%
|
48%
|
48%
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
||||||||
Other (5)
|
658
|
149
|
123
|
1,905
|
2,835
|
|
5
|
4
|
54
|
63
|
|
0.8
|
2.7
|
43.9
|
6.8
|
||||||||
Development (6)
|
2,377
|
272
|
144
|
178
|
2,971
|
|
8
|
4
|
73
|
85
|
|
0.3
|
1.5
|
50.7
|
3.0
|
||||||||
Total
|
17,251
|
1,330
|
696
|
3,779
|
23,056
|
|
29
|
28
|
260
|
317
|
|
0.2
|
2.1
|
37.4
|
1.6
|
●
|
Overall – The majority of the CRE portfolio was
managed in the UK within Commercial Banking and Private Banking.
Business appetite and strategy remained aligned across the
segments.
|
●
|
2020 trends – The portfolio remained broadly unchanged
in composition. While new activity in H1 2020 was subdued due to
Covid-19, NatWest Group has supported existing customers with
capital repayment holidays, interest roll-ups and extensions using
CRE specific criteria and government-backed Covid-19 support
schemes. The retail and leisure sectors were heavily affected by
the government-imposed lockdown, resulting in low rental payments.
The office sector was more resilient overall, albeit the smaller
serviced-office sub-sector came under some stress given the
short-term nature of income and site closures. Demand for office
space in the medium-term is expected to decline with flexible
working trends continuing post Covid-19. Residential development
re-started but progress is slow with social distancing measures.
The early resurgence in residential sales following the housing
market hiatus is expected to curtail as the economic outlook
becomes clearer.
|
●
|
Credit quality – Despite significant challenges across
the CRE sector, Heightened Monitoring inflows by volume were
stable. By value, Heightened monitoring and Risk of Credit Loss
increased due to some larger names, particularly in the retail
sub-sector.
|
●
|
Risk appetite – Appetite in CRE remains cautious.
Pre-Covid-19 conservative lending criteria remains in place,
including lower leverage required for new London office
originations and parts of the retail sector.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
UK Personal Banking - mortgages
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2020
|
135,625
|
12
|
|
10,283
|
86
|
|
1,289
|
215
|
|
147,197
|
313
|
Currency translation and other adjustments
|
-
|
-
|
|
-
|
-
|
|
9
|
9
|
|
9
|
9
|
Transfers from Stage 1 to Stage 2
|
(17,557)
|
(5)
|
|
17,557
|
5
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
3,051
|
9
|
|
(3,051)
|
(9)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(10)
|
-
|
|
(335)
|
(12)
|
|
345
|
12
|
|
-
|
-
|
Transfers from Stage 3
|
7
|
-
|
|
172
|
12
|
|
(179)
|
(12)
|
|
-
|
-
|
Net re-measurement of ECL on stage transfer
|
|
(8)
|
|
|
95
|
|
|
4
|
|
|
91
|
Changes in risk parameters (model inputs)
|
|
10
|
|
|
20
|
|
|
34
|
|
|
64
|
Other changes in net exposure
|
7,089
|
(1)
|
|
(554)
|
(5)
|
|
(115)
|
(6)
|
|
6,420
|
(12)
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(14)
|
|
|
(14)
|
Income statement charges
|
|
1
|
|
|
110
|
|
|
18
|
|
|
129
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(8)
|
(8)
|
|
(8)
|
(8)
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(18)
|
|
|
(18)
|
At 30 June 2020
|
128,205
|
17
|
|
24,072
|
192
|
|
1,341
|
230
|
|
153,618
|
439
|
Net carrying amount
|
128,188
|
|
|
23,880
|
|
|
1,111
|
|
|
153,179
|
|
At 1 January 2019
|
127,671
|
10
|
|
10,241
|
74
|
|
1,286
|
202
|
|
139,198
|
286
|
2019 movements
|
535
|
(1)
|
|
149
|
3
|
|
2
|
-
|
|
686
|
2
|
At 30 June 2019
|
128,206
|
9
|
|
10,390
|
77
|
|
1,288
|
202
|
|
139,884
|
288
|
Net carrying amount
|
128,197
|
|
|
10,313
|
|
|
1,086
|
|
|
139,596
|
|
●
|
The
increase in ECL in Stage 1 and Stage 2 was primarily driven by the
deterioration in the economic outlook as detailed in the Covid-19
– estimating ECL in uncertain times section, causing both PDs
and LGDs to increase.
|
|
●
|
The
updated economics also resulted in a net migration of assets from
Stage 1 to Stage 2 with a consequent increase from a 12 month ECL
to a lifetime ECL.
|
|
●
|
In
Stage 3, reflecting the various customer support mechanisms
available, ECL was less impacted than in Stage 1 and Stage
2.
|
|
●
|
In
Stage 3, the ECL cost within changes in risk parameters included
the forward-looking impact of forecast reductions in house prices,
as well as the monthly assessment of the loss requirement,
capturing underlying portfolio movements.
|
|
●
|
Write-off
occurs once the repossessed property has been sold and there is a
residual shortfall balance remaining outstanding. Write-off would
typically be within five years from default but can be
longer.
|
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
UK Personal Banking - credit cards
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2020
|
2,804
|
38
|
|
1,246
|
131
|
|
127
|
88
|
|
4,177
|
257
|
|
Transfers from Stage 1 to Stage 2
|
(860)
|
(29)
|
|
860
|
29
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
575
|
46
|
|
(575)
|
(46)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(10)
|
-
|
|
(59)
|
(24)
|
|
69
|
24
|
|
-
|
-
|
|
Transfers from Stage 3
|
-
|
-
|
|
5
|
3
|
|
(5)
|
(3)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(32)
|
|
|
163
|
|
|
23
|
|
|
154
|
|
Changes in risk parameters (model inputs)
|
|
5
|
|
|
(30)
|
|
|
5
|
|
|
(20)
|
|
Other changes in net exposure
|
(332)
|
17
|
|
(157)
|
14
|
|
(15)
|
-
|
|
(504)
|
31
|
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(2)
|
|
|
(2)
|
|
Income statement (releases)/charges
|
|
(10)
|
|
|
147
|
|
|
26
|
|
|
163
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(49)
|
(49)
|
|
(49)
|
(49)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(3)
|
|
-
|
(3)
|
|
At 30 June 2020
|
2,177
|
45
|
|
1,320
|
240
|
|
127
|
85
|
|
3,624
|
370
|
|
Net carrying amount
|
2,132
|
|
|
1,080
|
|
|
42
|
|
|
3,254
|
|
|
At 1 January 2019
|
2,632
|
36
|
|
1,226
|
118
|
|
108
|
73
|
|
3,966
|
227
|
|
2019 movements
|
(82)
|
(2)
|
|
(29)
|
(20)
|
|
20
|
15
|
|
(91)
|
(7)
|
|
At 30 June 2019
|
2,550
|
34
|
|
1,197
|
98
|
|
128
|
88
|
|
3,875
|
220
|
|
Net carrying amount
|
2,516
|
|
|
1,099
|
|
|
40
|
|
|
3,655
|
|
|
●
|
The
increase in ECL in Stage 1 and Stage 2 was primarily driven by the
deterioration in the economic outlook as detailed in the Covid-19
– estimating ECL in uncertain times section, causing PDs to
increase.
|
●
|
The
updated economics also resulted in a net migration of assets from
Stage 1 to Stage 2 with a consequent increase from a 12 month ECL
to a lifetime ECL.
|
●
|
In
Stage 3, reflecting the various customer support mechanisms
available, ECL was less impacted than Stage 2.
|
●
|
Charge-off
(analogous to partial write-off) typically occurs after 12 missed
payments.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
UK Personal Banking - other
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
personal unsecured
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2020
|
5,417
|
63
|
|
2,250
|
252
|
|
608
|
518
|
|
8,275
|
833
|
Currency translation and other adjustments
|
-
|
-
|
|
-
|
-
|
|
2
|
3
|
|
2
|
3
|
Transfers from Stage 1 to Stage 2
|
(2,347)
|
(52)
|
|
2,347
|
52
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
771
|
48
|
|
(771)
|
(48)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(6)
|
-
|
|
(180)
|
(59)
|
|
186
|
59
|
|
-
|
-
|
Transfers from Stage 3
|
1
|
-
|
|
19
|
6
|
|
(20)
|
(6)
|
|
-
|
-
|
Net re-measurement of ECL on stage transfer
|
|
(32)
|
|
|
206
|
|
|
56
|
|
|
230
|
Changes in risk parameters (model inputs)
|
|
55
|
|
|
86
|
|
|
29
|
|
|
170
|
Other changes in net exposure
|
309
|
11
|
|
(473)
|
(26)
|
|
(13)
|
(4)
|
|
(177)
|
(19)
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(16)
|
|
|
(16)
|
Income statement charges
|
|
34
|
|
|
266
|
|
|
65
|
|
|
365
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(61)
|
(61)
|
|
(61)
|
(61)
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(8)
|
|
|
(8)
|
At 30 June 2020
|
4,145
|
93
|
|
3,192
|
469
|
|
702
|
586
|
|
8,039
|
1,148
|
Net carrying amount
|
4,052
|
|
|
2,723
|
|
|
116
|
|
|
6,891
|
|
At 1 January 2019
|
5,073
|
54
|
|
1,970
|
239
|
|
503
|
402
|
|
7,546
|
695
|
2019 movements
|
329
|
2
|
|
191
|
3
|
|
92
|
98
|
|
612
|
103
|
At 30 June 2019
|
5,402
|
56
|
|
2,161
|
242
|
|
595
|
500
|
|
8,158
|
798
|
Net carrying amount
|
5,346
|
|
|
1,919
|
|
|
95
|
|
|
7,360
|
|
●
|
The
increase in ECL in Stage 1 and Stage 2 was primarily driven by the
deterioration in the economic outlook as detailed in the Covid-19
– estimating ECL in uncertain times section, causing PDs to
increase.
|
|
●
|
The
updated economics also resulted in a net migration of assets from
Stage 1 to Stage 2 with a consequent increase from a 12 month ECL
to a lifetime ECL.
|
|
●
|
In
Stage 3, reflecting the various customer support mechanisms
available, ECL was impacted relatively less than in Stage 1 and
Stage 2.
|
|
●
|
The
portfolio continued to experience cash recoveries after write-off
which are reported in other (P&L only items). These benefited
the income statement without affecting ECL.
|
|
●
|
Write-off
occurs once recovery activity with the customer has been concluded
and there are no further recoveries expected, but no later than six
years after default.
|
|
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
Ulster Bank RoI - mortgages
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2020
|
10,603
|
11
|
|
1,084
|
30
|
|
1,875
|
581
|
|
13,562
|
622
|
|
Currency translation and other adjustments
|
691
|
1
|
|
115
|
4
|
|
104
|
(7)
|
|
910
|
(2)
|
|
Transfers from Stage 1 to Stage 2
|
(1,526)
|
(5)
|
|
1,526
|
5
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
624
|
11
|
|
(624)
|
(11)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(4)
|
-
|
|
(31)
|
(2)
|
|
35
|
2
|
|
-
|
-
|
|
Transfers from Stage 3
|
13
|
-
|
|
179
|
12
|
|
(192)
|
(12)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(10)
|
|
|
39
|
|
|
6
|
|
|
35
|
|
Changes in risk parameters (model inputs)
|
|
8
|
|
|
22
|
|
|
51
|
|
|
81
|
|
Other changes in net exposure
|
(36)
|
-
|
|
(30)
|
-
|
|
(290)
|
2
|
|
(356)
|
2
|
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(11)
|
|
|
(11)
|
|
Income statement (releases)/charges
|
|
(2)
|
|
|
61
|
|
|
48
|
|
|
107
|
|
Amounts written-off
|
-
|
-
|
|
(1)
|
(1)
|
|
(157)
|
(157)
|
|
(158)
|
(158)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(9)
|
|
|
(9)
|
|
At 30 June 2020
|
10,365
|
16
|
|
2,218
|
98
|
|
1,375
|
457
|
|
13,958
|
571
|
|
Net carrying amount
|
10,349
|
|
|
2,120
|
|
|
918
|
|
|
13,387
|
|
|
At 1 January 2019
|
10,782
|
11
|
|
1,394
|
75
|
|
2,278
|
657
|
|
14,454
|
743
|
|
2019 movements
|
223
|
(6)
|
|
(339)
|
(57)
|
|
(92)
|
(37)
|
|
(208)
|
(100)
|
|
At 30 June 2019
|
11,005
|
5
|
|
1,055
|
18
|
|
2,186
|
620
|
|
14,246
|
643
|
|
Net carrying amount
|
11,000
|
|
|
1,037
|
|
|
1,566
|
|
|
13,603
|
|
|
●
|
The
increase in ECL in Stage 1 and Stage 2 was primarily driven by the
deterioration in the economic outlook as detailed in the Covid-19
– estimating ECL in uncertain times section, coupled with the
application of post-model adjustments to fully reflect the
deteriorated economic outlook in ECL estimations.
|
●
|
The
updated economics also resulted in a net migration of assets from
Stage 1 to Stage 2 with a consequent increase from a 12 month ECL
to a lifetime ECL.
|
●
|
The
reduction in ECL in Stage 3 reflected ongoing deleveraging of the
Ulster mortgage non-performing portfolio through the execution of
two tranches of a portfolio sale.
|
●
|
In
Stage 3, the ECL cost within changes in risk parameters included
the forward-looking impact of forecast reductions in house prices
and the application of post-model adjustments to fully reflect the
deteriorated economic outlook in ECL estimations.
|
●
|
Write-off
generally occurs once the repossessed property has been sold and
there is a residual shortfall balance remaining outstanding or when
the loan is sold to a third party.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
Commercial Banking - commercial
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
real
estate
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2020
|
25,556
|
31
|
|
2,218
|
28
|
|
895
|
306
|
|
28,669
|
365
|
Currency translation and other adjustments
|
25
|
-
|
|
3
|
-
|
|
2
|
-
|
|
30
|
-
|
Transfers from Stage 1 to Stage 2
|
(9,216)
|
(46)
|
|
9,216
|
46
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
893
|
13
|
|
(893)
|
(13)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(101)
|
-
|
|
(412)
|
(10)
|
|
513
|
10
|
|
-
|
-
|
Transfers from Stage 3
|
29
|
3
|
|
202
|
12
|
|
(231)
|
(15)
|
|
-
|
-
|
Net re-measurement of ECL on stage transfer
|
-
|
(13)
|
|
-
|
157
|
|
-
|
87
|
|
-
|
231
|
Changes in risk parameters (model inputs)
|
-
|
91
|
|
-
|
53
|
|
-
|
21
|
|
-
|
165
|
Other changes in net exposure
|
2,474
|
18
|
|
20
|
1
|
|
(88)
|
9
|
|
2,406
|
28
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
Income statement charges
|
|
96
|
|
|
211
|
|
|
117
|
|
|
424
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(15)
|
(15)
|
|
(15)
|
(15)
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(2)
|
|
|
(2)
|
At 30 June 2020
|
19,660
|
97
|
|
10,354
|
274
|
|
1,076
|
401
|
|
31,090
|
772
|
Net carrying amount
|
19,563
|
|
|
10,080
|
|
|
675
|
|
|
30,318
|
|
At 1 January 2019
|
29,180
|
37
|
|
1,500
|
24
|
|
1,631
|
459
|
|
32,311
|
520
|
2019 movements
|
(11)
|
1
|
|
361
|
4
|
|
(189)
|
(158)
|
|
162
|
(154)
|
At 30 June 2019
|
29,169
|
38
|
|
1,861
|
28
|
|
1,442
|
301
|
|
32,473
|
366
|
Net carrying amount
|
29,131
|
|
|
1,833
|
|
|
1,141
|
|
|
32,107
|
|
|
|
|
|
|
|
|
|
|
|
|
|
●
|
The
increase in ECL in Stage 1 and Stage 2 was primarily driven by the
deterioration in the economic outlook as detailed in the Covid-19
– estimating ECL in uncertain times section, causing both PDs
and LGDs to increase.
|
●
|
The
updated economics also resulted in a migration of assets from Stage
1 to Stage 2 with a consequential increase from a 12 month ECL to a
lifetime ECL.
|
●
|
For
flows into Stage 3, defaults have been suppressed reflecting the
various government customer support mechanisms
available.
|
●
|
Stage 3
recovery values are beginning to be impacted as market conditions
deteriorate, leading to higher ECL charges.
|
●
|
Other
changes in net exposures have increased across Stage 1 and Stage 2
as customers draw down on existing facilities and undertake new
lending supported by government schemes.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
Commercial Banking - business banking
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2020
|
6,338
|
28
|
|
767
|
45
|
|
257
|
200
|
|
7,362
|
273
|
|
Transfers from Stage 1 to Stage 2
|
(1,312)
|
(13)
|
|
1,312
|
13
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
310
|
22
|
|
(310)
|
(22)
|
|
-
|
-
|
|
-
|
-
|
|
Transfers to Stage 3
|
(12)
|
-
|
|
(78)
|
(16)
|
|
90
|
16
|
|
-
|
-
|
|
Transfers from Stage 3
|
6
|
2
|
|
18
|
7
|
|
(24)
|
(9)
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
(21)
|
|
|
88
|
|
|
32
|
|
|
99
|
|
Changes in risk parameters (model inputs)
|
|
9
|
|
|
(10)
|
|
|
11
|
|
|
10
|
|
Other changes in net exposure
|
3,870
|
5
|
|
(110)
|
(7)
|
|
(18)
|
(5)
|
|
3,742
|
(7)
|
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(41)
|
|
|
(41)
|
|
Income statement (releases)/charges
|
|
(7)
|
|
|
71
|
|
|
(3)
|
|
|
61
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(53)
|
(53)
|
|
(53)
|
(53)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(2)
|
|
|
(2)
|
|
At 30 June 2020
|
9,200
|
32
|
|
1,599
|
98
|
|
252
|
190
|
|
11,051
|
320
|
|
Net carrying amount
|
9,168
|
|
|
1,501
|
|
|
62
|
|
|
10,731
|
|
|
At 1 January 2019
|
6,303
|
22
|
|
897
|
43
|
|
245
|
163
|
|
7,445
|
228
|
|
2019 movements
|
64
|
(5)
|
|
(56)
|
(9)
|
|
-
|
24
|
|
8
|
10
|
|
At 30 June 2019
|
6,367
|
17
|
|
841
|
34
|
|
245
|
187
|
|
7,453
|
238
|
|
Net carrying amount
|
6,350
|
|
|
807
|
|
|
58
|
|
|
7,215
|
|
|
●
|
The increase in ECL in Stage 1 and Stage 2 was primarily driven by
the deterioration in the economic outlook as detailed in the
Covid-19 – estimating ECL in uncertain times section, causing
both PDs and LGDs to increase.
|
●
|
The updated economics also resulted in a migration of assets from
Stage 1 to Stage 2 with a consequential increase from a 12 month
ECL to a lifetime ECL.
|
●
|
For flows into Stage 3, defaults have been suppressed reflecting
the various government customer support mechanisms
available.
|
●
|
Other changes in net exposures have increased in Stage 1 as
customers draw down on existing facilities and undertake new
lending supported by government schemes.
|
●
|
The
portfolio continued to benefit from cash recoveries post write-off,
which are reported as other (P&L only items).
|
●
|
Write-off
occurs once recovery activity with the customer has been concluded
and there are no further recoveries expected, but no later than
five years after default.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
Commercial Banking - other
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2020
|
53,722
|
94
|
|
8,788
|
143
|
|
1,386
|
516
|
|
63,896
|
753
|
Currency translation and other adjustments
|
709
|
-
|
|
154
|
-
|
|
20
|
18
|
|
883
|
18
|
Inter-group transfers
|
(116)
|
-
|
|
-
|
-
|
|
-
|
-
|
|
(116)
|
-
|
Transfers from Stage 1 to Stage 2
|
(44,992)
|
(193)
|
|
44,992
|
193
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
4,666
|
34
|
|
(4,666)
|
(34)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(80)
|
-
|
|
(567)
|
(19)
|
|
647
|
19
|
|
-
|
-
|
Transfers from Stage 3
|
47
|
13
|
|
225
|
19
|
|
(272)
|
(32)
|
|
-
|
-
|
Net re-measurement of ECL on stage transfer
|
|
(37)
|
|
|
625
|
|
|
117
|
|
|
705
|
Changes in risk parameters (model inputs)
|
|
133
|
|
|
411
|
|
|
25
|
|
|
569
|
Other changes in net exposure
|
6,928
|
43
|
|
(805)
|
5
|
|
(142)
|
(11)
|
|
5,981
|
37
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(6)
|
|
|
(6)
|
Income statement charges
|
|
139
|
|
|
1,041
|
|
|
125
|
|
|
1,305
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(51)
|
(51)
|
|
(51)
|
(51)
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(2)
|
|
|
(2)
|
At 30 June 2020
|
20,884
|
87
|
|
48,121
|
1,343
|
|
1,588
|
599
|
|
70,593
|
2,029
|
Net carrying amount
|
20,797
|
|
|
46,778
|
|
|
990
|
|
|
68,565
|
|
At 1 January 2019
|
52,312
|
71
|
|
7,893
|
131
|
|
845
|
444
|
|
61,050
|
646
|
2019 movements
|
1,310
|
(3)
|
|
(678)
|
(5)
|
|
(99)
|
118
|
|
532
|
111
|
At 30 June 2019
|
53,622
|
68
|
|
7,215
|
126
|
|
746
|
562
|
|
61,582
|
757
|
Net carrying amount
|
53,554
|
|
|
7,089
|
|
|
184
|
|
|
60,825
|
|
|
|
|
|
|
|
|
|
|
|
|
|
●
|
The increase in ECL in Stage 1 and Stage 2 was primarily driven by
the deterioration in the economic outlook as detailed in the
Covid-19 – estimating ECL in uncertain times section, causing
both PDs and LGDs to increase.
|
●
|
The updated economics also resulted in the migration of assets from
Stage 1 to Stage 2 with a consequential increase from a 12 month
ECL to a lifetime ECL.
|
●
|
For flows into Stage 3, defaults have been suppressed reflecting
the various government customer support mechanisms
available.
|
●
|
Stage 3 recovery values have decreased as market conditions
deteriorate, leading to higher ECL charges.
|
●
|
Other
changes in net exposures increased across Stage 1 and Stage 2 as
customers draw down on existing facilities and undertake new
borrowings supported by the government schemes.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
NatWest Markets (1)
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
At 1 January 2020
|
32,892
|
10
|
|
188
|
5
|
|
183
|
131
|
|
33,263
|
146
|
|
Currency translation and other adjustments
|
1,345
|
-
|
|
36
|
(1)
|
|
13
|
14
|
|
1,394
|
13
|
|
Inter-group transfers
|
(774)
|
-
|
|
-
|
-
|
|
-
|
-
|
|
(774)
|
-
|
|
Transfers from Stage 1 to Stage 2
|
(2,133)
|
(6)
|
|
2,133
|
6
|
|
-
|
-
|
|
-
|
-
|
|
Transfers from Stage 2 to Stage 1
|
62
|
-
|
|
(62)
|
-
|
|
-
|
-
|
|
-
|
-
|
|
Net re-measurement of ECL on stage transfer
|
|
-
|
|
|
39
|
|
|
-
|
|
|
39
|
|
Changes in risk parameters (model inputs)
|
|
9
|
|
|
4
|
|
|
(9)
|
|
|
4
|
|
Other changes in net exposure
|
6,855
|
5
|
|
502
|
-
|
|
(10)
|
4
|
|
7,347
|
9
|
|
Other (P&L only items)
|
|
(4)
|
|
|
|
|
|
(8)
|
|
|
(12)
|
|
Income statement (releases)/charges
|
|
10
|
|
|
43
|
|
|
(13)
|
|
|
40
|
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(4)
|
(4)
|
|
(4)
|
(4)
|
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
|
At 30 June 2020
|
38,247
|
18
|
|
2,797
|
53
|
|
182
|
136
|
|
41,226
|
207
|
|
Net carrying amount
|
38,229
|
|
|
2,744
|
|
|
46
|
|
|
41,019
|
|
|
At 1 January 2019
|
32,758
|
7
|
|
732
|
14
|
|
775
|
179
|
|
34,265
|
200
|
|
2019 movements
|
1,276
|
1
|
|
(278)
|
(4)
|
|
(9)
|
(31)
|
|
989
|
(34)
|
|
At 30 June 2019
|
34,034
|
8
|
|
454
|
10
|
|
766
|
148
|
|
35,254
|
166
|
|
Net carrying amount
|
34,026
|
|
|
444
|
|
|
618
|
|
|
35,088
|
|
|
(1)
|
Reflects the NatWest Markets segment and includes NWM
N.V..
|
●
|
The
increase in ECL in Stage 1 and Stage 2 was primarily driven by the
deterioration in the economic outlook as detailed in the Covid-19
– estimating ECL in uncertain times section, causing both PDs
and LGDs to increase.
|
●
|
The
updated economics also resulted in a migration of assets from Stage
1 to Stage 2 with a consequential increase from a 12 month ECL to a
lifetime ECL.
|
●
|
For
flows into Stage 3, defaults have been suppressed reflecting the
various government customer support mechanisms
available.
|
|
|
|
UK mortgages
|
|
RoI mortgages
|
|
Credit cards
|
|
Other
|
|
Total
|
|||||
|
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
30 June 2020
|
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
Personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currently in arrears (>30 DPD)
|
|
|
532
|
21
|
|
34
|
3
|
|
30
|
10
|
|
102
|
35
|
|
698
|
69
|
Currently up-to-date
|
|
|
23,553
|
173
|
|
2,173
|
95
|
|
1,291
|
233
|
|
3,063
|
440
|
|
30,080
|
941
|
- PD deterioration
|
|
|
19,089
|
166
|
|
1,332
|
69
|
|
859
|
187
|
|
2,553
|
383
|
|
23,833
|
805
|
- Up-to-date, PD persistence
|
|
|
1,017
|
1
|
|
66
|
2
|
|
293
|
15
|
|
256
|
17
|
|
1,632
|
35
|
- Other driver (adverse credit, forbearance etc)
|
3,447
|
6
|
|
775
|
24
|
|
139
|
31
|
|
254
|
40
|
|
4,615
|
101
|
||
Total Stage 2
|
|
|
24,085
|
194
|
|
2,207
|
98
|
|
1,321
|
243
|
|
3,165
|
475
|
|
30,778
|
1,010
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currently in arrears (>30 DPD)
|
|
|
528
|
14
|
|
21
|
3
|
|
16
|
6
|
|
92
|
19
|
|
657
|
42
|
Currently up-to-date
|
|
|
9,860
|
73
|
|
1,056
|
28
|
|
1,243
|
126
|
|
2,218
|
234
|
|
14,377
|
461
|
- PD deterioration
|
|
|
4,184
|
60
|
|
208
|
15
|
|
727
|
92
|
|
1,482
|
188
|
|
6,601
|
355
|
- Up-to-date, PD persistence
|
|
|
1,812
|
5
|
|
252
|
4
|
|
422
|
20
|
|
540
|
29
|
|
3,026
|
58
|
- Other driver (adverse credit, forbearance etc)
|
3,864
|
8
|
|
596
|
9
|
|
94
|
14
|
|
196
|
17
|
|
4,750
|
48
|
||
Total Stage 2
|
|
|
10,388
|
87
|
|
1,077
|
31
|
|
1,259
|
132
|
|
2,310
|
253
|
|
15,034
|
503
|
●
|
The
deteriorated economic outlook, as detailed in the Covid-19 -
estimating ECL in uncertain times section, including forecast
increases in unemployment, resulted in increased account level IFRS
9 PDs. Consequently, compared to the 2019 year-end, a larger
proportion of accounts exhibited a SICR causing Stage 2 exposures
to increase significantly.
|
●
|
As
expected, ECL coverage was higher in accounts that were more than
30 days past due than those in Stage 2 for other
reasons.
|
|
|
Property
|
|
Corporate
|
|
FI
|
|
Other
|
|
Total
|
||||||
|
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
30 June 2020
|
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
Wholesale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currently in arrears (>30 DPD)
|
|
|
346
|
7
|
|
492
|
27
|
|
75
|
3
|
|
-
|
-
|
|
913
|
37
|
Currently up-to-date
|
|
|
12,054
|
385
|
|
49,550
|
1,527
|
|
3,714
|
66
|
|
1
|
-
|
|
65,319
|
1,978
|
- PD deterioration
|
|
|
10,715
|
304
|
|
47,137
|
1,418
|
|
3,217
|
38
|
|
1
|
-
|
|
61,070
|
1,760
|
- Up-to-date, PD persistence
|
|
|
25
|
-
|
|
81
|
1
|
|
1
|
-
|
|
-
|
-
|
|
107
|
1
|
- Other driver (forbearance, RoCL etc)
|
1,314
|
81
|
|
2,332
|
108
|
|
496
|
28
|
|
-
|
-
|
|
4,142
|
217
|
||
Total Stage 2
|
|
|
12,400
|
392
|
|
50,042
|
1,554
|
|
3,789
|
69
|
|
1
|
-
|
|
66,232
|
2,015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currently in arrears (>30 DPD)
|
|
|
57
|
2
|
|
219
|
6
|
|
7
|
-
|
|
-
|
-
|
|
283
|
8
|
Currently up-to-date
|
|
|
2,523
|
45
|
|
9,485
|
192
|
|
539
|
4
|
|
4
|
-
|
|
12,551
|
241
|
- PD deterioration
|
|
|
1,386
|
28
|
|
6,083
|
144
|
|
368
|
3
|
|
3
|
-
|
|
7,840
|
175
|
- Up-to-date, PD persistence
|
|
|
45
|
1
|
|
183
|
5
|
|
2
|
-
|
|
-
|
-
|
|
230
|
6
|
- Other driver (forbearance, RoCL etc)
|
1,092
|
16
|
|
3,219
|
43
|
|
169
|
1
|
|
1
|
-
|
|
4,481
|
60
|
||
Total Stage 2
|
|
|
2,580
|
47
|
|
9,704
|
198
|
|
546
|
4
|
|
4
|
-
|
|
12,834
|
249
|
●
|
The
deteriorated economic outlook, as detailed in the Covid-19 -
estimating ECL in uncertain times section, including significant
falls in GDP and commercial real estate valuations, resulted in
increased IFRS 9 PDs. Consequently, compared to the 2019 year-end,
a larger proportion of the exposures exhibited a SICR causing Stage
2 exposures to increase significantly.
|
●
|
PD
deterioration is the main trigger for identifying a SICR and Stage
2 treatment, although there has also been an increase in
arrears.
|
●
|
There
was an increase in flows on to the Risk of Credit Loss framework,
however, these have been recorded under PD deterioration if this
Stage 2 trigger has also been met.
|
|
|
|
|
|
UK mortgages
|
|
RoI mortgages
|
|
Credit cards
|
|
Other
|
|
Total
|
|||||
30 June 2020
|
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
Personal trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
|
|
19,557
|
81.2
|
|
1,362
|
61.7
|
|
889
|
67.2
|
|
2,635
|
83.3
|
|
24,443
|
79.5
|
PD persistence
|
|
|
1,017
|
4.2
|
|
66
|
3.0
|
|
293
|
22.2
|
|
257
|
8.1
|
|
1,633
|
5.3
|
Adverse credit bureau recorded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
with credit
reference agency
|
|
|
2,910
|
12.1
|
|
-
|
-
|
|
51
|
3.9
|
|
69
|
2.2
|
|
3,030
|
9.8
|
Forbearance support provided
|
|
|
209
|
0.9
|
|
2
|
0.1
|
|
-
|
-
|
|
37
|
1.2
|
|
248
|
0.8
|
Customers in collections
|
|
|
112
|
0.5
|
|
53
|
2.4
|
|
4
|
0.3
|
|
54
|
1.7
|
|
223
|
0.7
|
Other reasons (2)
|
|
|
228
|
0.9
|
|
724
|
32.8
|
|
84
|
6.4
|
|
109
|
3.4
|
|
1,145
|
3.7
|
Days past due >30
|
|
|
52
|
0.2
|
|
-
|
-
|
|
-
|
-
|
|
4
|
0.1
|
|
56
|
0.2
|
|
|
|
24,085
|
100
|
|
2,207
|
100
|
|
1,321
|
100
|
|
3,165
|
100
|
|
30,778
|
100
|
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
|
|
4,583
|
44.0
|
|
223
|
20.7
|
|
742
|
59.0
|
|
1,538
|
66.6
|
|
7,086
|
47.1
|
PD persistence
|
|
|
1,815
|
17.5
|
|
252
|
23.4
|
|
422
|
33.5
|
|
542
|
23.5
|
|
3,031
|
20.2
|
Adverse credit bureau recorded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
with credit
reference agency
|
|
|
3,236
|
31.2
|
|
-
|
-
|
|
59
|
4.7
|
|
102
|
4.4
|
|
3,397
|
22.6
|
Forbearance support provided
|
|
|
163
|
1.6
|
|
3
|
0.3
|
|
-
|
-
|
|
10
|
0.4
|
|
176
|
1.2
|
Customers in collections
|
|
|
137
|
1.3
|
|
74
|
6.9
|
|
3
|
0.2
|
|
36
|
1.6
|
|
250
|
1.7
|
Other reasons (2)
|
|
|
339
|
3.3
|
|
525
|
48.7
|
|
33
|
2.6
|
|
56
|
2.4
|
|
953
|
6.3
|
Days past due >30
|
|
|
115
|
1.1
|
|
-
|
-
|
|
-
|
-
|
|
26
|
1.1
|
|
141
|
0.9
|
|
|
|
10,388
|
100
|
|
1,077
|
100
|
|
1,259
|
100
|
|
2,310
|
100
|
|
15,034
|
100
|
●
|
The
primary driver of credit deterioration was PD, which including
persistence, accounted for the majority of movements into Stage 2.
High risk back-stops, for example, forbearance and adverse credit
bureau, provide additional valuable discrimination.
|
●
|
However,
with a larger proportion of exposures now triggering PD
deterioration following the deteriorated economic outlook, the
proportion of accounts triggering high risk backstops alone
decreased.
|
|
|
|
Property
|
|
Corporate
|
|
FI
|
|
Other
|
|
Total
|
|||||
|
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
30 June 2020
|
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
Wholesale trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
|
|
10,849
|
87.6
|
|
47,483
|
94.9
|
|
3,259
|
86.0
|
|
1
|
100
|
|
61,592
|
93.0
|
PD persistence
|
|
|
25
|
0.2
|
|
82
|
0.2
|
|
1
|
-
|
|
-
|
-
|
|
108
|
0.2
|
Risk of credit loss
|
|
|
449
|
3.6
|
|
1,007
|
2.0
|
|
211
|
5.6
|
|
-
|
-
|
|
1,667
|
2.5
|
Forbearance support provided
|
|
|
17
|
0.1
|
|
16
|
-
|
|
19
|
0.5
|
|
-
|
-
|
|
52
|
0.1
|
Customers in collections
|
|
|
16
|
0.1
|
|
63
|
0.1
|
|
-
|
-
|
|
-
|
-
|
|
79
|
0.1
|
Other reasons (3,4)
|
|
|
959
|
7.7
|
|
1,296
|
2.6
|
|
266
|
7.0
|
|
-
|
-
|
|
2,521
|
3.8
|
Days past due >30
|
|
|
85
|
0.7
|
|
95
|
0.2
|
|
33
|
0.9
|
|
-
|
-
|
|
213
|
0.3
|
|
|
|
12,400
|
100
|
|
50,042
|
100
|
|
3,789
|
100
|
|
1
|
100
|
|
66,232
|
100
|
31 December 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
|
|
1,416
|
54.8
|
|
6,129
|
63.1
|
|
368
|
67.4
|
|
3
|
75.0
|
|
7,916
|
61.7
|
PD persistence
|
|
|
45
|
1.7
|
|
183
|
1.9
|
|
3
|
0.5
|
|
-
|
-
|
|
231
|
1.8
|
Risk of credit loss
|
|
|
915
|
35.5
|
|
2,394
|
24.7
|
|
69
|
12.6
|
|
-
|
-
|
|
3,378
|
26.3
|
Forbearance support provided
|
|
|
31
|
1.2
|
|
140
|
1.4
|
|
29
|
5.3
|
|
-
|
-
|
|
200
|
1.6
|
Customers in collections
|
|
|
10
|
0.4
|
|
47
|
0.5
|
|
-
|
-
|
|
-
|
-
|
|
57
|
0.4
|
Other reasons (3,4)
|
|
|
146
|
5.7
|
|
659
|
6.8
|
|
71
|
13.0
|
|
1
|
25.0
|
|
877
|
6.8
|
Days past due >30
|
|
|
17
|
0.7
|
|
152
|
1.6
|
|
6
|
1.1
|
|
-
|
-
|
|
175
|
1.4
|
|
|
|
2,580
|
100
|
|
9,704
|
100
|
|
546
|
100
|
|
4
|
100
|
|
12,834
|
100
|
(1)
|
The
table is prepared on a hierarchical basis from top to bottom, for
example, accounts with PD deterioration may also trigger
backstop(s) but are only reported under PD
deterioration.
|
(2)
|
£322
million of Ulster Bank Rol mortgage exposure which did not meet
existing SICR criteria have been classified within Stage 2
following a strategic review and are included in other reasons. It
includes customers that have accessed payday lending, interest only
mortgages past end of term, a small number of mortgage customers on
a highly flexible mortgage significantly behind their repayment
plan and customers breaching risk appetite thresholds for new
business acquisition.
|
(3)
|
Includes
customers where a PD assessment cannot be undertaken due to missing
PDs.
|
(4)
|
£703
million of Ulster Bank Rol Wholesale exposure which did not meet
existing SICR criteria have been classified within Stage 2
following strategic and sectoral reviews and are included in other
reasons.
|
●
|
PD
deterioration continued to be the primary trigger of migration of
exposures from Stage 1 to Stage 2. As the economic outlook
deteriorated, it now accounts for a higher proportion of the
balances migrated to Stage 2.
|
●
|
Moving
exposures on to the Risk of Credit Loss framework remains an
important backstop indicator of a SICR.
|
●
|
The
exposures classified under the Stage 2 Risk of Credit Loss
framework trigger decreased over the period as more exposures were
captured under the PD deterioration Stage 2 trigger.
|
●
|
NatWest
Group continues to appraise its IFRS 9 SICR rules in the context of
effectiveness, volatility and industry consistency. The recent PD
driven increase in Stage 2 exposures in the Wholesale portfolios
highlighted the gradual diminished impact on ECL of the threshold
for better quality portfolios under stress, suggesting possible
conservatism in the SICR rules for these portfolios. As an
illustration, an increase of the de minimus PD threshold to 0.75%
in the SICR rules could decrease the Wholesale portfolios Stage 2
exposure by 24% with a two basis point reduction on good book ECL
coverage.
|
|
30 June 2020
|
|
31 December 2019
|
||||
|
UK Personal
|
Ulster Bank
|
|
|
UK Personal
|
Ulster Bank
|
|
|
Banking
|
RoI
|
|
|
Banking
|
RoI
|
|
|
mortgages
|
mortgages
|
Wholesale
|
|
mortgages
|
mortgages
|
Wholesale
|
Stage 3 loans (£bn)
|
1.3
|
1.4
|
3.1
|
|
1.3
|
1.9
|
2.3
|
Vintage (time in default):
|
|
|
|
|
|
|
|
<1 year
|
33%
|
5%
|
46%
|
|
32%
|
13%
|
37%
|
1-3 years
|
26%
|
18%
|
15%
|
|
23%
|
12%
|
14%
|
3-5 years
|
10%
|
23%
|
9%
|
|
11%
|
23%
|
9%
|
5-10 years
|
23%
|
41%
|
30%
|
|
26%
|
44%
|
40%
|
>10 years
|
8%
|
12%
|
-
|
|
8%
|
8%
|
-
|
|
100%
|
100%
|
100%
|
|
100%
|
100%
|
100%
|
●
|
Mortgages - The
proportion of the Stage 3 defaulted population who have been in
default for over five years reflected NatWest Group's support for
customers in financial difficulty. When customers continue to
engage constructively with NatWest Group, making regular
payments, NatWest Group continues to support them. NatWest
Group's provisioning approach retains customers in Stage 3 for a
life-time loss provisioning calculation, even when their arrears
status reverts to below 90 days past due.
|
●
|
Wholesale - The
value of Stage 3 loans that have been impaired for > 5 years was
mainly due to customers being in a protracted formal insolvency
process or subject to litigation or a complaints
process.
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|||||||||
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
UK mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
92,865
|
4,672
|
-
|
97,537
|
|
10
|
14
|
-
|
24
|
|
0.01
|
0.30
|
-
|
0.02
|
AQ5-AQ8
|
49,355
|
18,440
|
-
|
67,795
|
|
7
|
138
|
-
|
145
|
|
0.01
|
0.75
|
-
|
0.21
|
AQ9
|
325
|
973
|
-
|
1,298
|
|
-
|
42
|
-
|
42
|
|
-
|
4.32
|
-
|
3.24
|
AQ10
|
-
|
-
|
1,533
|
1,533
|
|
-
|
-
|
250
|
250
|
|
-
|
-
|
16.31
|
16.31
|
|
142,545
|
24,085
|
1,533
|
168,163
|
|
17
|
194
|
250
|
461
|
|
0.01
|
0.81
|
16.31
|
0.27
|
RoI mortgages (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
7,820
|
964
|
-
|
8,784
|
|
13
|
37
|
-
|
50
|
|
0.17
|
3.84
|
-
|
0.57
|
AQ5-AQ8
|
2,576
|
927
|
-
|
3,503
|
|
4
|
45
|
-
|
49
|
|
0.16
|
4.85
|
-
|
1.40
|
AQ9
|
6
|
316
|
-
|
322
|
|
-
|
16
|
-
|
16
|
|
-
|
5.06
|
-
|
4.97
|
AQ10
|
-
|
-
|
1,370
|
1,370
|
|
-
|
-
|
456
|
456
|
|
-
|
-
|
33.28
|
33.28
|
|
10,402
|
2,207
|
1,370
|
13,979
|
|
17
|
98
|
456
|
571
|
|
0.16
|
4.44
|
33.28
|
4.08
|
Credit cards
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
35
|
7
|
-
|
42
|
|
2
|
1
|
-
|
3
|
|
5.71
|
14.29
|
-
|
7.14
|
AQ5-AQ8
|
2,350
|
1,260
|
-
|
3,610
|
|
45
|
226
|
-
|
271
|
|
1.91
|
17.94
|
-
|
7.51
|
AQ9
|
2
|
54
|
-
|
56
|
|
-
|
16
|
-
|
16
|
|
-
|
29.63
|
-
|
28.57
|
AQ10
|
-
|
-
|
110
|
110
|
|
-
|
-
|
86
|
86
|
|
-
|
-
|
78.18
|
78.18
|
|
2,387
|
1,321
|
110
|
3,818
|
|
47
|
243
|
86
|
376
|
|
1.97
|
18.40
|
78.18
|
9.85
|
Other personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
883
|
48
|
-
|
931
|
|
7
|
11
|
-
|
18
|
|
0.79
|
22.92
|
-
|
1.93
|
AQ5-AQ8
|
5,148
|
2,791
|
-
|
7,939
|
|
87
|
357
|
-
|
444
|
|
1.69
|
12.79
|
-
|
5.59
|
AQ9
|
67
|
326
|
-
|
393
|
|
3
|
107
|
-
|
110
|
|
4.48
|
32.82
|
-
|
27.99
|
AQ10
|
-
|
-
|
734
|
734
|
|
-
|
-
|
612
|
612
|
|
-
|
-
|
83.38
|
83.38
|
|
6,098
|
3,165
|
734
|
9,997
|
|
97
|
475
|
612
|
1,184
|
|
1.59
|
15.01
|
83.38
|
11.84
|
Total personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
101,603
|
5,691
|
-
|
107,294
|
|
32
|
63
|
-
|
95
|
|
0.03
|
1.11
|
-
|
0.09
|
AQ5-AQ8
|
59,429
|
23,418
|
-
|
82,847
|
|
143
|
766
|
-
|
909
|
|
0.24
|
3.27
|
-
|
1.10
|
AQ9
|
400
|
1,669
|
-
|
2,069
|
|
3
|
181
|
-
|
184
|
|
0.75
|
10.84
|
-
|
8.89
|
AQ10
|
-
|
-
|
3,747
|
3,747
|
|
-
|
-
|
1,404
|
1,404
|
|
-
|
-
|
37.47
|
37.47
|
|
161,432
|
30,778
|
3,747
|
195,957
|
|
178
|
1,010
|
1,404
|
2,592
|
|
0.11
|
3.28
|
37.47
|
1.32
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|||||||||
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
31 December 2019
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
UK mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
90,494
|
2,579
|
-
|
93,073
|
|
6
|
7
|
-
|
13
|
|
0.01
|
0.27
|
-
|
0.01
|
AQ5-AQ8
|
58,039
|
6,939
|
-
|
64,978
|
|
8
|
55
|
-
|
63
|
|
0.01
|
0.79
|
-
|
0.10
|
AQ9
|
96
|
870
|
-
|
966
|
|
-
|
25
|
-
|
25
|
|
-
|
2.87
|
-
|
2.59
|
AQ10
|
-
|
-
|
1,414
|
1,414
|
|
-
|
-
|
240
|
240
|
|
-
|
-
|
16.97
|
16.97
|
|
148,629
|
10,388
|
1,414
|
160,431
|
|
14
|
87
|
240
|
341
|
|
0.01
|
0.84
|
16.97
|
0.21
|
RoI mortgages (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
6,215
|
212
|
-
|
6,427
|
|
4
|
4
|
-
|
8
|
|
0.06
|
1.89
|
-
|
0.12
|
AQ5-AQ8
|
4,416
|
615
|
-
|
5,031
|
|
7
|
19
|
-
|
26
|
|
0.16
|
3.09
|
-
|
0.52
|
AQ9
|
1
|
250
|
-
|
251
|
|
-
|
8
|
-
|
8
|
|
-
|
3.20
|
-
|
3.19
|
AQ10
|
-
|
-
|
1,863
|
1,863
|
|
-
|
-
|
581
|
581
|
|
-
|
-
|
31.19
|
31.19
|
|
10,632
|
1,077
|
1,863
|
13,572
|
|
11
|
31
|
581
|
623
|
|
0.10
|
2.88
|
31.19
|
4.59
|
Credit cards
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
364
|
11
|
-
|
375
|
|
1
|
1
|
-
|
2
|
|
0.27
|
9.09
|
-
|
0.53
|
AQ5-AQ8
|
2,734
|
1,187
|
-
|
3,921
|
|
39
|
112
|
-
|
151
|
|
1.43
|
9.44
|
-
|
3.85
|
AQ9
|
5
|
61
|
-
|
66
|
|
-
|
19
|
-
|
19
|
|
-
|
31.15
|
-
|
28.79
|
AQ10
|
-
|
-
|
116
|
116
|
|
-
|
-
|
89
|
89
|
|
-
|
-
|
76.72
|
76.72
|
|
3,103
|
1,259
|
116
|
4,478
|
|
40
|
132
|
89
|
261
|
|
1.29
|
10.48
|
76.72
|
5.83
|
Other personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
1,231
|
59
|
-
|
1,290
|
|
4
|
5
|
-
|
9
|
|
0.32
|
8.47
|
-
|
0.70
|
AQ5-AQ8
|
6,127
|
2,045
|
-
|
8,172
|
|
59
|
195
|
-
|
254
|
|
0.96
|
9.54
|
-
|
3.11
|
AQ9
|
78
|
206
|
-
|
284
|
|
2
|
53
|
-
|
55
|
|
2.56
|
25.73
|
-
|
19.37
|
AQ10
|
-
|
-
|
643
|
643
|
|
-
|
-
|
539
|
539
|
|
-
|
-
|
83.83
|
83.83
|
|
7,436
|
2,310
|
643
|
10,389
|
|
65
|
253
|
539
|
857
|
|
0.87
|
10.95
|
83.83
|
8.25
|
Total personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
98,304
|
2,861
|
-
|
101,165
|
|
15
|
17
|
-
|
32
|
|
0.02
|
0.59
|
-
|
0.03
|
AQ5-AQ8
|
71,316
|
10,786
|
-
|
82,102
|
|
113
|
381
|
-
|
494
|
|
0.16
|
3.53
|
-
|
0.60
|
AQ9
|
180
|
1,387
|
-
|
1,567
|
|
2
|
105
|
-
|
107
|
|
1.11
|
7.57
|
-
|
6.83
|
AQ10
|
-
|
-
|
4,036
|
4,036
|
|
-
|
-
|
1,449
|
1,449
|
|
-
|
-
|
35.90
|
35.90
|
|
169,800
|
15,034
|
4,036
|
188,870
|
|
130
|
503
|
1,449
|
2,082
|
|
0.08
|
3.35
|
35.90
|
1.10
|
●
|
In the
Personal portfolios, the asset quality distribution deteriorated
slightly in credit cards and other personal since the year-end,
with the Basel II point-in-time PDs yet to reflect the expected
credit deterioration.
|
●
|
The
majority of exposures were in AQ1-AQ4, with a significant
proportion in AQ5-AQ8. As expected, mortgage exposures have a
higher proportion in AQ1-AQ4 than unsecured borrowing.
|
●
|
The
relatively high level of Stage 3 impaired assets (AQ10) in RoI
mortgages reflected their legacy mortgage portfolio and the
residual effects from the financial crisis.
|
●
|
In
other personal, the relatively high level of exposures in AQ10
reflected that impaired assets can be held on the balance sheet,
with commensurate ECL provision for up to six years after
default.
|
●
|
ECL
provisions coverage shows the expected trend with increased
coverage in the poorer asset quality bands, and also by
stage.
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|||||||||
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
30 June 2020
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
Property
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
14,066
|
3,052
|
-
|
17,118
|
|
16
|
56
|
-
|
72
|
|
0.11
|
1.83
|
-
|
0.42
|
AQ5-AQ8
|
12,100
|
9,169
|
-
|
21,269
|
|
110
|
320
|
-
|
430
|
|
0.91
|
3.49
|
-
|
2.02
|
AQ9
|
616
|
179
|
-
|
795
|
|
-
|
16
|
-
|
16
|
|
-
|
8.94
|
-
|
2.01
|
AQ10
|
-
|
-
|
1,259
|
1,259
|
|
-
|
-
|
513
|
513
|
|
-
|
-
|
40.75
|
40.75
|
|
26,782
|
12,400
|
1,259
|
40,441
|
|
126
|
392
|
513
|
1,031
|
|
0.47
|
3.16
|
40.75
|
2.55
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
9,419
|
15,479
|
-
|
24,898
|
|
21
|
155
|
-
|
176
|
|
0.22
|
1.00
|
-
|
0.71
|
AQ5-AQ8
|
18,094
|
34,000
|
-
|
52,094
|
|
111
|
1,350
|
-
|
1,461
|
|
0.61
|
3.97
|
-
|
2.80
|
AQ9
|
2,148
|
563
|
-
|
2,711
|
|
1
|
49
|
-
|
50
|
|
0.05
|
8.70
|
-
|
1.84
|
AQ10
|
-
|
-
|
2,012
|
2,012
|
|
-
|
-
|
938
|
938
|
|
-
|
-
|
46.62
|
46.62
|
|
29,661
|
50,042
|
2,012
|
81,715
|
|
133
|
1,554
|
938
|
2,625
|
|
0.45
|
3.11
|
46.62
|
3.21
|
Financial institutions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
34,532
|
2,342
|
-
|
36,874
|
|
13
|
12
|
-
|
25
|
|
0.04
|
0.51
|
-
|
0.07
|
AQ5-AQ8
|
4,590
|
1,440
|
-
|
6,030
|
|
9
|
57
|
-
|
66
|
|
0.20
|
3.96
|
-
|
1.09
|
AQ9
|
11
|
7
|
-
|
18
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
AQ10
|
-
|
-
|
10
|
10
|
|
-
|
-
|
5
|
5
|
|
-
|
-
|
50.00
|
50.00
|
|
39,133
|
3,789
|
10
|
42,932
|
|
22
|
69
|
5
|
96
|
|
0.06
|
1.82
|
50.00
|
0.22
|
Sovereign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
9,274
|
-
|
-
|
9,274
|
|
9
|
-
|
-
|
9
|
|
0.10
|
-
|
-
|
0.10
|
AQ5-AQ8
|
157
|
1
|
-
|
158
|
|
1
|
-
|
-
|
1
|
|
0.64
|
-
|
-
|
0.63
|
AQ 9
|
5
|
-
|
-
|
5
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
AQ10
|
-
|
-
|
6
|
6
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
9,436
|
1
|
6
|
9,443
|
|
10
|
-
|
-
|
10
|
|
0.11
|
-
|
-
|
0.11
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
67,291
|
20,873
|
-
|
88,164
|
|
59
|
223
|
-
|
282
|
|
0.09
|
1.07
|
-
|
0.32
|
AQ5-AQ8
|
34,941
|
44,610
|
-
|
79,551
|
|
231
|
1,727
|
-
|
1,958
|
|
0.66
|
3.87
|
-
|
2.46
|
AQ9
|
2,780
|
749
|
-
|
3,529
|
|
1
|
65
|
-
|
66
|
|
0.04
|
8.68
|
-
|
1.87
|
AQ10
|
-
|
-
|
3,287
|
3,287
|
|
-
|
-
|
1,456
|
1,456
|
|
-
|
-
|
44.30
|
44.30
|
|
105,012
|
66,232
|
3,287
|
174,531
|
|
291
|
2,015
|
1,456
|
3,762
|
|
0.28
|
3.04
|
44.30
|
2.16
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|||||||||
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
31 December 2019
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
Property
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
15,590
|
413
|
-
|
16,003
|
|
7
|
6
|
-
|
13
|
|
0.04
|
1.45
|
-
|
0.08
|
AQ5-AQ8
|
17,268
|
2,115
|
-
|
19,383
|
|
38
|
36
|
-
|
74
|
|
0.22
|
1.70
|
-
|
0.38
|
AQ9
|
38
|
52
|
-
|
90
|
|
-
|
5
|
-
|
5
|
|
-
|
9.62
|
-
|
5.56
|
AQ10
|
-
|
-
|
895
|
895
|
|
-
|
-
|
402
|
402
|
|
-
|
-
|
44.92
|
44.92
|
|
32,896
|
2,580
|
895
|
36,371
|
|
45
|
47
|
402
|
494
|
|
0.14
|
1.82
|
44.92
|
1.36
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
22,373
|
616
|
-
|
22,989
|
|
12
|
11
|
-
|
23
|
|
0.05
|
1.79
|
-
|
0.10
|
AQ5-AQ8
|
37,133
|
8,803
|
-
|
45,936
|
|
111
|
169
|
-
|
280
|
|
0.30
|
1.92
|
-
|
0.61
|
AQ9
|
183
|
285
|
-
|
468
|
|
1
|
18
|
-
|
19
|
|
0.55
|
6.32
|
-
|
4.06
|
AQ10
|
-
|
-
|
1,649
|
1,649
|
|
-
|
-
|
859
|
859
|
|
-
|
-
|
52.09
|
52.09
|
|
59,689
|
9,704
|
1,649
|
71,042
|
|
124
|
198
|
859
|
1,181
|
|
0.21
|
2.04
|
52.09
|
1.66
|
Financial institutions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
32,297
|
225
|
-
|
32,522
|
|
7
|
1
|
-
|
8
|
|
0.02
|
0.44
|
-
|
0.02
|
AQ5-AQ8
|
3,406
|
319
|
-
|
3,725
|
|
9
|
2
|
-
|
11
|
|
0.26
|
0.63
|
-
|
0.30
|
AQ9
|
4
|
2
|
-
|
6
|
|
-
|
1
|
-
|
1
|
|
-
|
50.00
|
-
|
16.67
|
AQ10
|
-
|
-
|
13
|
13
|
|
-
|
-
|
8
|
8
|
|
-
|
-
|
61.54
|
61.54
|
|
35,707
|
546
|
13
|
36,266
|
|
16
|
4
|
8
|
28
|
|
0.04
|
0.73
|
61.54
|
0.08
|
Sovereign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
7,268
|
4
|
-
|
7,272
|
|
7
|
-
|
-
|
7
|
|
0.10
|
-
|
-
|
0.10
|
AQ5-AQ8
|
142
|
-
|
-
|
142
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
AQ10
|
-
|
-
|
5
|
5
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
7,410
|
4
|
5
|
7,419
|
|
7
|
-
|
-
|
7
|
|
0.09
|
-
|
-
|
0.09
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
77,528
|
1,258
|
-
|
78,786
|
|
33
|
18
|
-
|
51
|
|
0.04
|
1.43
|
-
|
0.06
|
AQ5-AQ8
|
57,949
|
11,237
|
-
|
69,186
|
|
158
|
207
|
-
|
365
|
|
0.27
|
1.84
|
-
|
0.53
|
AQ9
|
225
|
339
|
-
|
564
|
|
1
|
24
|
-
|
25
|
|
0.44
|
7.08
|
-
|
4.43
|
AQ10
|
-
|
-
|
2,562
|
2,562
|
|
-
|
-
|
1,269
|
1,269
|
|
-
|
-
|
49.53
|
49.53
|
|
135,702
|
12,834
|
2,562
|
151,098
|
|
192
|
249
|
1,269
|
1,710
|
|
0.14
|
1.94
|
49.53
|
1.13
|
|
Key
points
●
Across the Wholesale portfolio, the asset quality band distribution
differed, reflecting the diverse nature of the sectors, however,
asset quality deterioration was observed across most sectors in H1
2020 as the impacts of Covid-19 affected customers’
operations and markets.
●
Within the Wholesale portfolio, customer credit grades are being
reassessed as and when a request for financing is made, a scheduled
customer credit review is undertaken or a material event specific
to that customer occurs.
●
As noted above, a request for support using one of the
government-backed Covid-19 support schemes is not itself a reason
for a customer’s credit grade to be amended.
●
The magnitude of credit migration in Wholesale was influenced by
Covid-19 specific guidance on credit grading for customers in place
during Q2 2020. NatWest Group established this guidance to provide
consistency and fair outcomes for these customers, whilst
appropriately reflecting the economic outlook at that time. Large
or complex customers were graded using financial forecasts,
incorporating both the impact of Covid-19, and the length of the
time to return to within credit appetite metrics.
●
All other customers who were not subject to any wider SICR triggers
and who were assessed as having the ability in the medium-term
post-crisis to be viable and meet credit appetite metrics were
graded using audited accounts.
●
NatWest Group identified those customers for whom additional
borrowing would require remedial action to return to within risk
appetite over the medium term, and customers who were exhibiting
signs of financial stress before the Covid-19 crisis. These
customers were graded with reference to the impact Covid-19 had on
their business.
●
Tailored guidance applies to financial institutions and, where
appropriate, specialist credit grading models.
●
ECL provisions coverage shows the expected trend with increased
coverage in the poorer asset quality bands, and also by
stage.
●
The relatively low provision coverage for Stage 3 loans in the
property sector reflected the secured nature of the
exposures.
|
|
Reverse repos
|
|
Repos
|
||||
|
|
|
Outside
|
|
|
|
Outside
|
|
|
Of which:
|
netting
|
|
|
Of which:
|
netting
|
|
Total
|
can be offset
|
arrangements
|
|
Total
|
can be offset
|
arrangements
|
30 June 2020
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Gross
|
80,186
|
79,972
|
214
|
|
68,927
|
66,816
|
2,111
|
IFRS offset
|
(43,196)
|
(43,196)
|
-
|
|
(43,196)
|
(43,196)
|
-
|
Carrying value
|
36,990
|
36,776
|
214
|
|
25,731
|
23,620
|
2,111
|
|
|
|
|
|
|
|
|
Master netting arrangements
|
(321)
|
(321)
|
-
|
|
(321)
|
(321)
|
-
|
Securities collateral
|
(33,982)
|
(33,982)
|
-
|
|
(23,299)
|
(23,299)
|
-
|
Potential for offset not recognised under IFRS
|
(34,303)
|
(34,303)
|
-
|
|
(23,620)
|
(23,620)
|
-
|
Net
|
2,687
|
2,473
|
214
|
|
2,111
|
-
|
2,111
|
|
|
|
|
|
|
|
|
31 December 2019
|
|
|
|
|
|
|
|
Gross
|
74,156
|
73,348
|
808
|
|
71,494
|
69,020
|
2,474
|
IFRS offset
|
(39,247)
|
(39,247)
|
-
|
|
(39,247)
|
(39,247)
|
-
|
Carrying value
|
34,909
|
34,101
|
808
|
|
32,247
|
29,773
|
2,474
|
|
|
|
|
|
|
|
|
Master netting arrangements
|
(562)
|
(562)
|
-
|
|
(562)
|
(562)
|
-
|
Securities collateral
|
(33,178)
|
(33,178)
|
-
|
|
(29,211)
|
(29,211)
|
-
|
Potential for offset not recognised under IFRS
|
(33,740)
|
(33,740)
|
-
|
|
(29,773)
|
(29,773)
|
-
|
Net
|
1,169
|
361
|
808
|
|
2,474
|
-
|
2,474
|
|
NATWEST
GROUP plc (Registrant)
|
|
|
|
By: /s/
Jan Cargill
|
|
|
|
Name:
Jan Cargill
|
|
Title:
Deputy Secretary
|