Q3 2020
Pillar 3 Supplement NatWest Holdings Group
Pillar 3 Supplement Q3 2020 | |
Contents | Page |
Forward-looking statements | 1 |
Presentation of information | 1 |
Capital, liquidity and funding | |
CAP 1: CAP and LR: Capital and leverage ratios - NWHG and large subsidiaries | 2 |
KM1: BCBS 2 & EBA IFRS 9-FL: Key metrics - NWHG | 3 |
EBA IFRS 9-FL: EBA Key metrics - large subsidiaries | 5 |
EU LIQ1: Liquidity coverage ratio | 8 |
CAP 2: Capital resources (CRR own funds template) - NWHG and large subsidiaries | 9 |
CAP 3: Leverage exposure (CRR Delegated Act Template) - NWHG and large subsidiaries | 9 |
EU OV1: CAP: RWAs and MCR summary - NWHG and large subsidiaries | 10 |
RWA and MCR movement tables | |
EU CR8: IRB and STD: Credit risk RWAs and MCR flow statement | 11 |
EU CCR7: CCR: Non-IMM: Counterparty credit risk RWAs and MCR flow statement | 12 |
EU MR2_B: MR IMA and STD: Market risk RWAs and MCR flow statement | 12 |
Forward-looking statements |
This document contains forward-looking statements within the meaning of the United States Private Securities Litigation Reform Act of 1995, such as statements that include, without limitation, the words 'expect', 'estimate', 'project', 'anticipate', 'commit', 'believe', 'should', 'intend', 'plan', 'could', 'probability', 'risk', 'Value-at-Risk (VaR)', 'target', 'goal', 'objective', 'may', 'endeavour', 'outlook', 'optimistic', 'prospects' and similar expressions or variations on these expressions. These statements concern or may affect future matters, such as NatWest Holdings Limited (NWH Ltd) and its parent NatWest Group plc's (formerly The Royal Bank of Scotland Group plc) future economic results, business plans and strategies. In particular, this document may include forward-looking statements relating to NWH Ltd (or NatWest Group plc) in respect of, but not limited to: its regulatory capital position and related requirements, its financial position, profitability and financial performance (including financial, capital and operational targets), its access to adequate sources of liquidity and funding, increasing competition from new incumbents and disruptive technologies, its exposure to third party risks, its ongoing compliance with the UK ring-fencing regime and ensuring operational continuity in resolution, its impairment losses and credit exposures under certain specified scenarios, substantial regulation and oversight, ongoing legal, regulatory and governmental actions and investigations, the transition of LIBOR and IBOR rates to alternative risk free rates and NWH Ltd's (or NatWest Group's) exposure to economic and political risks (including with respect to terms surrounding Brexit and climate change), operational risk, conduct risk, cyber and IT risk, key person risk and credit rating risk. Forward-looking statements are subject to a number of risks and uncertainties that might cause actual results and performance to differ materially from any expected future results or performance expressed or implied by the forward-looking statements. Factors that could cause or contribute to differences in current expectations include, but are not limited to, the final number of PPI claims and their amounts, legislative, political, fiscal and regulatory developments, accounting standards, competitive conditions, technological developments, interest and exchange rate fluctuations and general economic and political conditions and the uncertainty surrounding the Covid-19 pandemic and its impact on NWH and NatWest Group. These and other factors, risks and uncertainties that may impact any forward-looking statement or NWH Ltd's or NatWest Group plc's actual results are discussed in NatWest Group plc's (previously The Royal Bank of Scotland Group plc) UK 2019 Annual Report and Accounts (ARA) and materials filed with, or furnished to, the US Securities and Exchange Commission, including, but not limited to, NatWest Group plc's most recent Annual Report on Form 20-F and Reports on Form 6-K. The forward-looking statements contained in this document speak only as of the date of this document and NWH Ltd and NatWest Group plc do not assume or undertake any obligation or responsibility to update any of the forward-looking statements contained in this document, whether as a result of new information, future events or otherwise, except to the extent legally required.
Presentation of information
The Pillar 3 disclosures made by NWH Group are designed to comply with the Capital Requirements Regulation (CRR). Based on the criteria set out in the CRR, NWH Group primarily defines its large subsidiaries as those designated as an O-SII by the national competent authority or with a value of total assets equal to or greater than €30 billion. At 30 September 2020, its large subsidiaries were:
o National Westminster Bank Plc (NWB Plc)
o The Royal Bank of Scotland plc (RBS plc)
o Ulster Bank Ireland Designated Activity Company (UBI DAC)
o Coutts & Company (Coutts & Co)
Disclosures for Coutts & Co, which was included as a large subsidiary in the NWH Group Pillar 3 report for the first time at 31 March 2020, are not presented with comparatives before this period.
For the basis of preparation and disclosure framework, refer to NWH Group's 2019 Pillar 3 Report. For definitions of terms, refer to the glossary available on natwestgroup.com.
NatWest Group ceased to be subject to a G-SIB buffer requirement from 1 January 2020. However, as NWH Group - the RFB sub-group - is subject to a Systemic Risk Buffer of 1.5%, the Prudential Regulation Authority (PRA) has increased the buffer requirements at the consolidated group to ensure an appropriate distribution of capital and leverage.
Within this supplement, row and column references are based on those prescribed in the EBA templates. Any tables, rows or columns that are not applicable or do not have a value are not shown.
Capital, liquidity and funding
CAP 1: CAP and LR: Capital and leverage ratios - NWH Group and large subsidiaries
Capital, RWAs and leverage on a PRA transitional basis for NWH Group and its large subsidiaries (Central Bank of Ireland basis for UBI DAC) are set out below. CRR transition continues to be applied to grandfathered capital instruments and includes the adjustments for the IFRS 9 transitional arrangements with the exception of UBI DAC. Following the adoption of IFRS 9 from 1 January 2018, the CRR introduced transitional rules to phase in the full CET1 effect over a five-year period. The transition period has been further amended by the CRR Covid-19 Amendment Regulation. The effect of this is to fully mitigate the increases in stage 1 and stage 2 expected credit loss provisions arising in 2020 due to the Covid-19 pandemic. The revised transitional amendments will maintain a CET1 add-back of relevant ECL provisions until 31 December 2024. The capital, RWAs and leverage measures for NWH Group are also presented on an end-point basis, which includes IFRS 9 on a fully loaded basis.
30 September 2020 | 31 December 2019 | ||||||||
NWH | Coutts & | NWH | |||||||
Group | NWB Plc | RBS plc | UBI DAC | Co | Group | NWB Plc | RBS plc | UBI DAC | |
Capital adequacy ratios - transitional (1) | % | % | % | % | % | % | % | % | % |
CET1 | 17.0 | 17.0 | 16.2 | 28.3 | 12.2 | 15.7 | 15.9 | 13.2 | 26.5 |
Tier 1 | 19.8 | 19.5 | 19.8 | 28.3 | 14.3 | 18.5 | 18.6 | 16.6 | 26.5 |
Total | 23.8 | 23.3 | 25.5 | 30.9 | 16.9 | 21.9 | 22.0 | 21.4 | 28.9 |
Capital adequacy ratios - end point | |||||||||
CET1 | 15.8 | 15.7 | |||||||
Tier 1 | 18.5 | 18.4 | |||||||
Total | 22.3 | 21.6 | |||||||
Capital - transitional | £m | £m | £m | £m | £m | £m | £m | £m | £m |
CET1 | 23,265 | 14,823 | 4,267 | 3,411 | 1,206 | 21,097 | 12,851 | 3,828 | 3,389 |
Tier 1 | 26,999 | 16,989 | 5,236 | 3,411 | 1,408 | 24,861 | 15,047 | 4,797 | 3,389 |
Total | 32,480 | 20,266 | 6,726 | 3,723 | 1,674 | 29,515 | 17,801 | 6,199 | 3,694 |
Capital - end point | |||||||||
CET1 | 21,589 | 21,097 | |||||||
Tier 1 | 25,265 | 24,773 | |||||||
Total | 30,479 | 29,027 | |||||||
RWAs - transitional (2) | |||||||||
Credit risk | 116,017 | 72,998 | 21,607 | 10,889 | 8,771 | 113,980 | 67,778 | 23,191 | 11,680 |
Counterparty credit risk | 1,523 | 1,127 | - | 133 | 32 | 980 | 605 | - | 127 |
Market risk | 138 | 35 | 12 | 69 | 6 | 125 | 17 | 15 | 77 |
Operational risk | 18,866 | 12,843 | 4,778 | 946 | 1,068 | 19,590 | 12,669 | 5,714 | 897 |
136,544 | 87,003 | 26,397 | 12,037 | 9,877 | 134,675 | 81,069 | 28,920 | 12,781 | |
CRR leverage - transitional | |||||||||
Tier 1 capital | 26,999 | 16,989 | 5,236 | 3,411 | 1,408 | 24,861 | 15,047 | 4,797 | 3,389 |
Exposure | 498,778 | 353,734 | 88,887 | 24,067 | 16,599 | 447,851 | 300,438 | 90,981 | 26,893 |
Leverage ratio (%) | 5.4 | 4.8 | 5.9 | 14.2 | 8.5 | 5.6 | 5.0 | 5.3 | 12.6 |
CRR leverage - end point | |||||||||
Tier 1 capital | 25,265 | 24,773 | |||||||
Exposure | 497,101 | 447,851 | |||||||
Leverage ratio (%) | 5.1 | 5.5 | |||||||
UK leverage - end point | |||||||||
Tier 1 capital | 25,265 | 24,773 | |||||||
Exposure | 416,331 | 397,649 | |||||||
Leverage ratio (%) | 6.1 | 6.2 | |||||||
Average Tier 1 capital | 25,129 | 24,994 | |||||||
Average exposure (3) | 419,387 | 404,081 | |||||||
Average leverage ratio (%) | 6.0 | 6.2 | |||||||
Systemic risk leverage buffer (4) | 2,186 | 2,088 | |||||||
Countercyclical leverage ratio buffer (5) | 10 | 1,292 |
Notes:
(1) NWH Group's total capital requirement (TCR) as set by the PRA is 11.2%. The TCR is the sum of Pillar 1 and Pillar 2A and does not include any capital buffers.
(2) NWH Group RWAs on an end point basis are £136,425 million due to the £119 million in relation to the IFRS 9 transitional arrangements.
(3) Based on the daily average of on-balance sheet items and three month-end average of off-balance sheet items.
(4) The PRA minimum leverage ratio requirement is supplemented with a Systemic Risk Buffer additional leverage ratio buffer rate, currently 0.525% (31 December
2019 - 0.525%).
(5) The PRA minimum leverage ratio requirement is supplemented with a countercyclical leverage ratio buffer of 0.0025% (31 December 2019 - 0.3250%).
KM1: BCBS 2 & EBA IFRS 9-FL: Key metrics - NWH Group
The table below reflects the key metrics template in the BCBS consolidated Pillar 3 framework and the EBA's IFRS 9 template. Capital and leverage ratios presented are based on end point CRR rules. NWH Group (with the exception of UBI DAC) has elected to take advantage of the transitional capital rules in respect of expected credit losses. Following the adoption of IFRS 9 from 1 January 2018, the CRR introduced transitional rules to phase in the full CET1 effect over a five-year period. The transition period has been further amended by the CRR Covid-19 Amendment Regulation. The effect of this is to fully mitigate the increases in stage 1 and stage 2 expected credit loss provisions arising in 2020 due to the Covid-19 pandemic. The revised transitional amendments will maintain a CET1 add-back of relevant ECL provisions until 31 December 2024.
EBA | 30 September | 30 June | 31 March | 31 December | 30 September | ||
BCBS2 | IFRS | 2020 | 2020 | 2020 | 2019 | 2019 | |
KM1 | 9-FL | Capital | £m | £m | £m | £m | £m |
1 | 1 | Common equity tier 1 (CET1) | 23,265 | 22,631 | 22,272 | 21,097 | 21,167 |
2 | Common equity tier 1 (CET1) capital as if IFRS 9 | ||||||
transitional arrangements had not been applied | 21,589 | 21,076 | 21,940 | 21,097 | 21,167 | ||
2 | 3 | Tier 1 capital | 26,941 | 26,307 | 25,948 | 24,773 | 24,843 |
4 | Tier 1 capital as if IFRS 9 transitional arrangements had not been applied | 25,265 | 24,752 | 25,616 | 24,773 | 24,843 | |
3 | 5 | Total capital | 32,155 | 31,345 | 30,462 | 29,027 | 28,796 |
6 | Total capital as if IFRS 9 transitional arrangements had not been applied | 30,479 | 29,790 | 30,130 | 29,027 | 28,796 | |
Risk-weighted assets (amounts) | |||||||
4 | 7 | Total risk-weighted assets (RWAs) | 136,544 | 139,328 | 139,282 | 134,675 | 139,577 |
8 | Total risk-weighted assets as if IFRS 9 transitional arrangements had not | ||||||
been applied | 136,425 | 139,206 | 139,214 | 134,675 | 139,577 | ||
Risk-based capital ratios as a percentage of RWAs | % | % | % | % | % | ||
5 | 9 | Common equity tier 1 ratio | 17.0 | 16.2 | 16.0 | 15.7 | 15.2 |
10 | Common equity tier 1 ratio as if IFRS 9 transitional arrangements had not | ||||||
been applied | 15.8 | 15.1 | 15.8 | 15.7 | 15.2 | ||
6 | 11 | Tier 1 ratio | 19.7 | 18.9 | 18.6 | 18.4 | 17.8 |
12 | Tier 1 ratio as if IFRS 9 transitional arrangements had not been applied | 18.5 | 17.8 | 18.4 | 18.4 | 17.8 | |
7 | 13 | Total capital ratio | 23.5 | 22.5 | 21.9 | 21.6 | 20.6 |
14 | Total capital ratio as if IFRS 9 transitional arrangements had not been | ||||||
applied | 22.3 | 21.4 | 21.6 | 21.6 | 20.6 | ||
Additional CET1 buffer requirements as a percentage of RWAs | |||||||
8 | Capital conservation buffer requirement | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | |
9 | Countercyclical capital buffer requirement (1) | - | - | 0.1 | 0.9 | 0.9 | |
10 | Bank GSIB and/or DSIB additional requirements (2) | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | |
11 | Total of CET1 specific buffer requirements (8+9+10) | 4.0 | 4.0 | 4.1 | 4.9 | 4.9 | |
12 | CET1 available after meeting the bank's minimum capital requirements (3) | 12.5 | 11.7 | 11.5 | 11.2 | 10.7 | |
Leverage ratio | £m | £m | £m | £m | £m | ||
13 | 15 | CRR leverage ratio exposure measure | 498,778 | 493,226 | 466,093 | 447,851 | 450,318 |
UK leverage ratio exposure measure | 418,008 | 421,149 | 417,997 | 397,649 | 393,992 | ||
% | % | % | % | % | |||
14 | 16 | CRR leverage ratio | 5.4 | 5.3 | 5.6 | 5.5 | 5.5 |
17 | CRR leverage ratio as if IFRS 9 transitional arrangements had not been | ||||||
applied | 5.1 | 5.0 | 5.5 | 5.5 | 5.5 | ||
UK leverage ratio | 6.4 | 6.2 | 6.2 | 6.2 | 6.3 | ||
Liquidity coverage ratio | £m | £m | £m | £m | £m | ||
15 | Total high-quality liquid asset (HQLA) | 111,268 | 105,212 | 99,750 | 99,950 | 100,457 | |
16 | Total net cash outflows | 76,993 | 73,944 | 71,427 | 71,188 | 71,326 | |
17 | LCR ratio % (4) | 144 | 142 | 140 | 140 | 141 | |
Net stable funding ratio (NSFR) | |||||||
18 | Total available stable funding | 344,889 | 345,629 | 320,612 | 314,250 | 314,935 | |
19 | Total required stable funding | 245,403 | 252,379 | 242,811 | 231,098 | 229,402 | |
20 | NSFR % (5) | 141 | 137 | 132 | 136 | 137 |
Notes:
(1) The institution-specific countercyclical capital buffer requirement is based on the weighted average of the buffer rates in effect for the countries in which institutions have exposures. Many countries have 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%, which was effective from 1 April 2020.
(2) NWH Group has been subject to a Systemic Risk Buffer of 1.5% since 1 August 2019.
(3) This represents the CET1 ratio less the CRR minimum of 4.5%.
(4) The liquidity coverage ratio (LCR) uses the simple average of the preceding monthly periods ending on the quarterly reporting date as specified in the table which will incrementally increase each quarter as history builds.
(5) NSFR reported in line with CRR2 regulations finalised in June 2019.
Key points
Capital and leverage
NWH Group - 30 September 2020 compared with 31 December 2019
The CET1 ratio increased by 130 basis points to 17.0% primarily due to the release of £0.4 billion following the cancellation of the proposed pension contribution in Q1 2020, as announced by the Board in response to Covid-19, and an increase in reserves of £0.3 billion. The attributable loss in the period was £121 million however the IFRS 9 transitional arrangements on expected credit losses provided relief of £1,676 million.
NWH Group issued £500 million internal Subordinated Tier 2 Notes in May 2020.
Total RWAs increased by £1.9 billion, reflecting increases in both Credit Risk RWAs of £2.0 billion and Counterparty Credit Risk RWAs of £0.5 billion. The increase in Credit Risk RWAs was mainly attributed to increases in Commercial Banking relating to the Government lending schemes during Q2 2020, model changes as well as foreign exchange movements during the period. There were offsetting decreases due to the beneficial CRR changes to SME and Infrastructure factors which have reduced RWAs by approximately £1.7 billion.
The leverage ratio has decreased to 5.4% from 5.6% as a result of increased balance sheet exposures.
The UK average leverage ratio is 6.0%.
NWB Plc - 30 September 2020 compared with 31 December 2019
The CET1 ratio increased to 17.0% from 15.9% due to a £2.0 billion increase in CET1 capital and a £5.9 billion increase in RWAs.
The CET1 increase reflects the cancellation of the December foreseeable charge of £0.4 billion in line with announcements following Covid-19, a £0.3 billion reduction in the significant investment capital deduction and an increase of £1.0 billion due to the IFRS 9 transitional arrangements on expected credit losses, which offset the impact of the increased impairment losses charged to the attributable profit of £322m.
NWB Plc issued £500 million internal subordinated Tier 2 Notes in May 2020.
Total RWAs increased by £5.9 billion primarily due to an increase in Credit Risk RWAs of £5.2 billion during the period. The increase in Credit Risk RWAs was largely attributed to increased utilisation of existing facilities and new lending under the Government lending schemes in Commercial Banking during H1 2020, partly offset by the beneficial CRR changes to SME and Infrastructure factors. Counterparty Credit Risk RWAs increased by £0.5 billion during the period. The Operational Risk RWAs increased by £0.2 billon due to the annual recalculation.
The leverage ratio decreased to 4.8% from 5.0% as a result of increased balance sheet exposures.
RBS plc - 30 September 2020 compared with 31 December 2019
The CET1 ratio increased by 300 basis points to 16.2% primarily due to an increase in CET1 capital of £0.4 billion and a decrease in RWAs of £2.5 billion.
The CET1 increase is due to profit attributable to ordinary shareholders of £75 million and the impact of IFRS 9 transitional relief of £366 million for the increase in expected credit losses charged to the attributable profit.
Total RWAs decreased by £2.5 billion driven by a £1.6 billion decrease in Credit Risk RWAs as well as a £0.9 billion decrease in Operational Risk RWAs following the annual recalculation. The decrease in Credit Risk RWAs was mainly driven by repayments and expired facilities in Commercial Banking.
The leverage ratio increased to 5.9% from 5.3% as a result of an increase in tier 1 capital.
UBI DAC - 30 September 2020 compared with 31 December 2019
The CET1 ratio increased to 28.3% from 26.5% mainly driven by a £0.7 billion decrease in RWA.
CET1 capital has increased marginally, largely due to foreign exchange movements being offset by an attributable loss in Euro for the period.
Total RWAs decreased by £0.7 billion mainly reflecting large underlying reductions in the Credit Risk RWAs, due to a portfolio sale of non-performing loans and revision of PD/LGD metrics. These were partially offset by movements in foreign exchange rates.
The leverage ratio increased to 14.2% from 12.6% as a result of the exclusion of central bank balances.
Coutts & Co - 30 September 2020 compared with 30 June 2020
The CET1 ratio decreased to 12.2% from 12.3%, primarily due to a £0.2 billion increase in RWAs.
RWAs increased by £0.2 billion for the quarter mainly reflecting an increase in credit risk due to lending growth.
The leverage ratio decreased to 8.5% from 8.6% driven by an increase in balance sheet exposure.
EBA IFRS 9-FL: EBA Key metrics - large subsidiaries
The table below shows key metrics as required by the EBA relating to IFRS 9 for NWH Group and its large subsidiaries. Capital measures are on a CRR transitional basis. NWH Group (with the exception of UBI DAC) has elected to take advantage of the transitional capital rules in respect of expected credit losses. Following the adoption of IFRS 9 from 1 January 2018, the CRR introduced transitional rules to phase in the full CET1 effect over a five-year period. The transition period has been further amended by the CRR Covid-19 Amendment Regulation. The effect of this is to fully mitigate the increases in stage 1 and stage 2 expected credit loss provisions arising in 2020 due to the Covid-19 pandemic. The revised transitional amendments will maintain a CET1 add-back of relevant ECL provisions until 31 December 2024.
30 September 2020 | ||||||
NWH | NWB | RBS | UBI | Coutts | ||
Group | Plc | plc | DAC | & Co | ||
Available capital (amounts) - transitional | £m | £m | £m | £m | £m | |
1 | Common equity tier 1 | 23,265 | 14,823 | 4,267 | 3,411 | 1,206 |
2 | Common equity tier 1 capital as if IFRS 9 transitional arrangements | |||||
had not been applied | 21,589 | 13,813 | 3,901 | 3,411 | 1,135 | |
3 | Tier 1 capital | 26,999 | 16,989 | 5,236 | 3,411 | 1,408 |
4 | Tier 1 capital as if IFRS 9 transitional arrangements had not been applied | 25,323 | 15,979 | 4,870 | 3,411 | 1,337 |
5 | Total capital | 32,480 | 20,266 | 6,726 | 3,723 | 1,674 |
6 | Total capital as if IFRS 9 transitional arrangements had not been applied | 30,804 | 19,256 | 6,360 | 3,723 | 1,603 |
Risk-weighted assets (amounts) | ||||||
7 | Total risk-weighted assets | 136,544 | 87,003 | 26,397 | 12,037 | 9,877 |
8 | Total risk-weighted assets as if IFRS 9 transitional arrangements | |||||
had not been applied | 136,425 | 86,955 | 26,363 | 12,037 | 9,806 | |
Risk-based capital ratios as a percentage of RWAs | % | % | % | % | % | |
9 | Common equity tier 1 ratio | 17.0 | 17.0 | 16.2 | 28.3 | 12.2 |
10 | Common equity tier 1 ratio as if IFRS 9 transitional arrangements | |||||
had not been applied | 15.8 | 15.9 | 14.8 | 28.3 | 11.6 | |
11 | Tier 1 ratio | 19.8 | 19.5 | 19.8 | 28.3 | 14.3 |
12 | Tier 1 ratio as if IFRS 9 transitional arrangements had not been applied | 18.6 | 18.4 | 18.5 | 28.3 | 13.6 |
13 | Total capital ratio | 23.8 | 23.3 | 25.5 | 30.9 | 16.9 |
14 | Total capital ratio as if IFRS 9 transitional arrangements had not been applied | 22.6 | 22.1 | 24.1 | 30.9 | 16.3 |
Leverage ratio | ||||||
15 | CRR leverage ratio exposure measure (£m) | 498,778 | 353,734 | 88,887 | 24,067 | 16,599 |
16 | CRR leverage ratio (%) | 5.4 | 4.8 | 5.9 | 14.2 | 8.5 |
17 | CRR leverage ratio (%) as if IFRS 9 transitional arrangements | |||||
had not been applied | 5.1 | 4.5 | 5.5 | 14.2 | 8.1 |
30 June 2020 | ||||||
NWH | NWB | RBS | UBI | Coutts | ||
Group | Plc | plc | DAC | & Co | ||
Available capital (amounts) - transitional | £m | £m | £m | £m | £m | |
1 | Common equity tier 1 | 22,631 | 14,261 | 4,113 | 3,409 | 1,189 |
2 | Common equity tier 1 capital as if IFRS 9 transitional arrangements | |||||
had not been applied | 21,076 | 13,367 | 3,753 | 3,409 | 1,138 | |
3 | Tier 1 capital | 26,365 | 16,427 | 5,082 | 3,409 | 1,391 |
4 | Tier 1 capital as if IFRS 9 transitional arrangements had not been applied | 24,810 | 15,533 | 4,722 | 3,409 | 1,340 |
5 | Total capital | 31,670 | 19,708 | 6,577 | 3,749 | 1,657 |
6 | Total capital as if IFRS 9 transitional arrangements had not been applied | 30,115 | 18,814 | 6,217 | 3,749 | 1,606 |
Risk-weighted assets (amounts) | ||||||
7 | Total risk-weighted assets | 139,328 | 87,536 | 27,306 | 12,784 | 9,673 |
8 | Total risk-weighted assets as if IFRS 9 transitional arrangements | |||||
had not been applied | 139,206 | 87,504 | 27,268 | 12,784 | 9,622 | |
Risk-based capital ratios as a percentage of RWAs | % | % | % | % | % | |
9 | Common equity tier 1 ratio | 16.2 | 16.3 | 15.1 | 26.7 | 12.3 |
10 | Common equity tier 1 ratio as if IFRS 9 transitional arrangements | |||||
had not been applied | 15.1 | 15.3 | 13.8 | 26.7 | 11.8 | |
11 | Tier 1 ratio | 18.9 | 18.8 | 18.6 | 26.7 | 14.4 |
12 | Tier 1 ratio as if IFRS 9 transitional arrangements had not been applied | 17.8 | 17.8 | 17.3 | 26.7 | 13.9 |
13 | Total capital ratio | 22.7 | 22.5 | 24.1 | 29.3 | 17.1 |
14 | Total capital ratio as if IFRS 9 transitional arrangements had not been applied | 21.6 | 21.5 | 22.8 | 29.3 | 16.6 |
Leverage ratio | ||||||
15 | CRR leverage ratio exposure measure (£m) | 493,226 | 349,262 | 87,826 | 29,682 | 16,126 |
16 | CRR leverage ratio (%) | 5.3 | 4.7 | 5.8 | 11.5 | 8.6 |
17 | CRR leverage ratio (%) as if IFRS 9 transitional arrangements | |||||
had not been applied | 5.0 | 4.4 | 5.4 | 11.5 | 8.3 | |
31 March 2020 | ||||||
NWH | NWB | RBS | UBI | Coutts | ||
Group | Plc | plc | DAC | & Co | ||
Available capital (amounts) - transitional | £m | £m | £m | £m | £m | |
1 | Common equity tier 1 | 22,272 | 13,790 | 4,070 | 3,519 | 1,160 |
2 | Common equity tier 1 capital as if IFRS 9 transitional arrangements | |||||
had not been applied | 21,940 | 13,654 | 3,954 | 3,519 | 1,138 | |
3 | Tier 1 capital | 26,006 | 15,956 | 5,039 | 3,519 | 1,362 |
4 | Tier 1 capital as if IFRS 9 transitional arrangements had not been applied | 25,674 | 15,820 | 4,923 | 3,519 | 1,340 |
5 | Total capital | 30,787 | 18,746 | 6,526 | 3,814 | 1,628 |
6 | Total capital as if IFRS 9 transitional arrangements had not been applied | 30,455 | 18,610 | 6,410 | 3,814 | 1,606 |
Risk-weighted assets (amounts) | ||||||
7 | Total risk-weighted assets | 139,282 | 86,825 | 27,804 | 12,569 | 9,509 |
8 | Total risk-weighted assets as if IFRS 9 transitional arrangements | |||||
had not been applied | 139,214 | 86,814 | 27,778 | 12,569 | 9,487 | |
Risk-based capital ratios as a percentage of RWAs | % | % | % | % | % | |
9 | Common equity tier 1 ratio | 16.0 | 15.9 | 14.6 | 28.0 | 12.2 |
10 | Common equity tier 1 ratio as if IFRS 9 transitional arrangements | |||||
had not been applied | 15.8 | 15.7 | 14.2 | 28.0 | 12.0 | |
11 | Tier 1 ratio | 18.7 | 18.4 | 18.1 | 28.0 | 14.3 |
12 | Tier 1 ratio as if IFRS 9 transitional arrangements had not been applied | 18.4 | 18.2 | 17.7 | 28.0 | 14.1 |
13 | Total capital ratio | 22.1 | 21.6 | 23.5 | 30.3 | 17.1 |
14 | Total capital ratio as if IFRS 9 transitional arrangements had not been applied | 21.9 | 21.4 | 23.1 | 30.3 | 16.9 |
Leverage ratio | ||||||
15 | CRR leverage ratio exposure measure (£m) | 466,093 | 325,127 | 83,425 | 27,871 | 15,809 |
16 | CRR leverage ratio (%) | 5.6 | 4.9 | 6.0 | 12.6 | 8.6 |
17 | CRR leverage ratio (%) as if IFRS 9 transitional arrangements | |||||
had not been applied | 5.5 | 4.9 | 5.9 | 12.6 | 8.5 |
31 December 2019 | |||||
NWH | NWB | RBS | UBI | ||
Group | Plc | plc | DAC | ||
Available capital (amounts) - transitional | £m | £m | £m | £m | |
1 | Common equity tier 1 | 21,097 | 12,851 | 3,828 | 3,389 |
2 | Common equity tier 1 capital as if IFRS 9 transitional arrangements had not | ||||
been applied | 21,097 | 12,851 | 3,828 | 3,389 | |
3 | Tier 1 capital | 24,861 | 15,047 | 4,797 | 3,389 |
4 | Tier 1 capital as if IFRS 9 transitional arrangements had not been applied | 24,861 | 15,047 | 4,797 | 3,389 |
5 | Total capital | 29,515 | 17,801 | 6,199 | 3,694 |
6 | Total capital as if IFRS 9 transitional arrangements had not been applied | 29,515 | 17,801 | 6,199 | 3,694 |
Risk-weighted assets (amounts) | |||||
7 | Total risk-weighted assets | 134,675 | 81,069 | 28,920 | 12,781 |
8 | Total risk-weighted assets as if IFRS 9 transitional arrangements had not | ||||
been applied | 134,675 | 81,069 | 28,920 | 12,781 | |
Risk-based capital ratios as a percentage of RWAs | % | % | % | % | |
9 | Common equity tier 1 ratio | 15.7 | 15.9 | 13.2 | 26.5 |
10 | Common equity tier 1 ratio as if IFRS 9 transitional arrangements had not | ||||
been applied | 15.7 | 15.9 | 13.2 | 26.5 | |
11 | Tier 1 ratio | 18.5 | 18.6 | 16.6 | 26.5 |
12 | Tier 1 ratio as if IFRS 9 transitional arrangements had not been applied | 18.5 | 18.6 | 16.6 | 26.5 |
13 | Total capital ratio | 21.9 | 22.0 | 21.4 | 28.9 |
14 | Total capital ratio as if IFRS 9 transitional arrangements had not been applied | 21.9 | 22.0 | 21.4 | 28.9 |
Leverage ratio | |||||
15 | CRR leverage ratio exposure measure (£m) | 447,851 | 300,438 | 90,981 | 26,893 |
16 | CRR leverage ratio (%) | 5.6 | 5.0 | 5.3 | 12.6 |
17 | CRR leverage ratio (%) as if IFRS 9 transitional arrangements had not | ||||
been applied | 5.6 | 5.0 | 5.3 | 12.6 |
30 September 2019 | |||||
NWH | NWB | RBS | UBI | ||
Group | Plc | plc | DAC | ||
Available capital - transitional | £m | £m | £m | £m | |
1 | Common equity tier 1 | 21,167 | 12,758 | 4,296 | 3,963 |
2 | Common equity tier 1 capital as if IFRS 9 transitional arrangements had not | ||||
been applied | 21,167 | 12,758 | 4,296 | 3,963 | |
3 | Tier 1 capital | 24,931 | 14,953 | 5,265 | 3,963 |
4 | Tier 1 capital as if IFRS 9 transitional arrangements had not been applied | 24,931 | 14,953 | 5,265 | 3,963 |
5 | Total capital | 29,284 | 17,152 | 6,768 | 4,303 |
6 | Total capital as if IFRS 9 transitional arrangements had not been applied | 29,284 | 17,152 | 6,768 | 4,303 |
Risk-weighted assets | |||||
7 | Total risk-weighted assets | 139,577 | 81,936 | 30,583 | 13,135 |
8 | Total risk-weighted assets as if IFRS 9 transitional arrangements had not | ||||
been applied | 139,577 | 81,936 | 30,583 | 13,135 | |
Risk-based capital ratios as a percentage of RWAs | % | % | % | % | |
9 | Common equity tier 1 ratio | 15.2 | 15.6 | 14.0 | 30.2 |
10 | Common equity tier 1 ratio as if IFRS 9 transitional arrangements had not | ||||
been applied | 15.2 | 15.6 | 14.0 | 30.2 | |
11 | Tier 1 ratio | 17.9 | 18.2 | 17.2 | 30.2 |
12 | Tier 1 ratio as if IFRS 9 transitional arrangements had not been applied | 17.9 | 18.2 | 17.2 | 30.2 |
13 | Total capital ratio | 21.0 | 20.9 | 22.1 | 32.8 |
14 | Total capital ratio as if IFRS 9 transitional arrangements had not been applied | 21.0 | 20.9 | 22.1 | 32.8 |
Leverage ratio | |||||
15 | CRR leverage ratio exposure measure (£m) | 450,318 | 299,425 | 92,553 | 27,613 |
16 | CRR leverage ratio (%) | 5.5 | 5.0 | 5.7 | 14.4 |
17 | CRR leverage ratio (%) as if IFRS 9 transitional arrangements had not | ||||
been applied | 5.5 | 5.0 | 5.7 | 14.4 |
EU LIQ1: Liquidity coverage ratio
The table below shows the breakdown of high-quality liquid assets, cash inflows and cash outflows, on both an unweighted and weighted basis, that are used to derive the liquidity coverage ratio. The weightings applied reflect the stress factors applicable under the EBA LCR rules. The values presented are the simple average of the preceding monthly periods ending on the quarterly reporting date as specified in the table.
LCR outflows do not capture all liquidity risks (e.g. intra-day liquidity). NWH Group assesses these risks as part of its Individual Liquidity Adequacy Assessment Process and maintains appropriate levels of liquidity.
Total unweighted value (average)
Total weighted value (average)
30 September 2020
30 June 2020
31 March31 December
30 September
30 June
31 March
2020
2019
2020
2020
2020
Number of data points used in the calculation of averages
12 £m
12 £m
12 £m
12£m
12 £m
12 £m
12 £m
31 December 2019 12 £m
High quality liquid assets
1
Total high-quality liquid assets (HQLA)
105,212
111,26899,750
99,950
Cash outflows 2customers
215,259 | 210,293 | 203,629 | 201,904 | 16,790 | 16,398 | 16,050 | 15,903 | ||
3 | of which: stable deposits | 139,223 | 134,372 | 130,871 | 129,587 | 6,961 | 6,719 | 6,544 | 6,479 |
4 | of which: less stable deposits | 75,675 | 73,857 | 72,364 | 71,941 | 9,467 | 9,277 | 9,113 | 9,047 |
5 | Unsecured wholesale funding | 131,549 | 126,673 | 121,172 | 120,043 | 57,516 | 55,676 | 53,335 | 53,236 |
6 | Operational deposits (all counterparties) and |
Retail deposits and deposits from small business
deposits in networks of cooperative banks
56,20351,25413,172
53,938
50,376
13,73812,501
12,281
7
8
Non-operational deposits (all counterparties) Unsecured debt
9
10
Secured wholesale funding Additional requirements
74,815 | 72,271 | 69,573 | 69,489 |
531 | 464 | 345 | 178 |
43,247 | 42,040 | 40,489 | 40,777 | |
531 | 464 | 345 | 178 | |
36 | 47 | 380 | 379 | |
50,96652,068 | 8,090 | 7,730 | 7,537 | 7,495 |
50,658
53,580
11
Outflows related to derivative exposures and other collateral requirements
12 13 14 15 16 17 18 19
Outflows related to loss of funding on debt products
2,654256
2,338
1,853
1,388
2,166
1,988
1,649
1,324
104
-
-
255
104
-
-
Credit and liquidity facilities
Other contractual funding obligations Other contingent funding obligations Total cash outflows
48,056 379 45,680
48,216 420 43,949
50,215 460 41,577
52,19249741,147
5,669 7 3,590
5,638 10 3,710
5,888 10 3,652
6,171
12
3,561
86,029 83,571 80,964
Secured lending (e.g. reverse repos) Inflows from fully performing exposures Other cash inflows
13,454 11,689
9,797
8,228
20
20
20
80,586 -
8,766 11,176
9,884 11,281
10,296 11,012
10,20711,231
6,261 2,755
6,868 2,738
7,121 2,396
6,959
2,439
EU-19a Difference between total weighted inflows andoutflows
EU-19b Excess inflows from a related specialised creditinstitution 20
Total cash inflows
EU-20a Fully exempt inflows EU-20b Inflows subject to 90% cap EU-20c Inflows subject to 75% cap
21 22 23
Liquidity buffer
Total net cash outflows Liquidity coverage ratio (%)
- | - | ||||
33,396 32,854 31,105 | 29,667 | 9,036 | 9,626 | 9,537 | 9,398 |
- | - | - | - | - | |
- | - | - | - | - | |
29,665 | 9,036 | 9,626 | 9,537 | 9,398 | |
111,268 | 105,212 | 99,750 | 99,950 | ||
76,993 | 73,944 | 71,427 | 71,188 | ||
144 | 142 | 140 | 140 |
--
-
-
-
-
-
-
-
-
-
-
- -
- - 33,369
- - 32,827
- - 31,077
CAP 2: Capital resources (CRR own funds template) - NWH Group and large subsidiaries
Capital resources based on the relevant local regulatory capital transitional arrangements are set out below.
30 September 2020 | 31 December 2019 | ||||||||
NWHG | NWB Plc | RBS plc | UBI DAC | Coutts & Co | NWHG | NWB Plc | RBS plc | UBI DAC | |
Capital | £m | £m | £m | £m | £m | £m | £m | £m | £m |
Tangible equity | 23,132 | 14,804 | 4,430 | 3,938 | 1,160 | 22,762 | 14,693 | 4,920 | 3,801 |
Expected loss less impairment provisions | - | - | - | - | - | (141) | (109) | (16) | (28) |
Prudential valuation adjustment | (18) | (13) | (4) | - | - | (26) | (16) | (10) | - |
Deferred tax assets | (835) | (536) | (111) | (173) | - | (757) | (474) | (87) | (181) |
Own credit adjustments | - | - | - | (1) | - | - | - | - | - |
Pension fund assets | (276) | - | - | (273) | - | (171) | - | - | (168) |
Instruments of financial sector entities where the | |||||||||
institution has a significant investment | - | (593) | - | - | - | - | (849) | - | - |
Cash flow hedging reserve | (414) | 151 | (414) | (80) | - | (202) | (27) | (179) | (35) |
Foreseeable ordinary dividends | - | - | - | - | - | - | - | (800) | - |
Foreseeable charges | - | - | - | - | - | (365) | (365) | - | - |
Adjustments under IFRS 9 transition arrangements | 1,676 | 1,010 | 366 | - | 71 | - | - | - | - |
Other adjustments for regulatory purposes | - | - | - | - | (25) | (3) | (2) | - | - |
Total regulatory adjustments | 133 | 19 | (163) | (527) | 46 | (1,665) | (1,842) | (1,092) | (412) |
CET1 capital | 23,265 | 14,823 | 4,267 | 3,411 | 1,206 | 21,097 | 12,851 | 3,828 | 3,389 |
AT1 capital before regulatory adjustments | 3,734 | 2,428 | 969 | - | 202 | 3,764 | 2,458 | 969 | - |
Regulatory adjustments to AT1 capital | - | (262) | - | - | - | - | (262) | - | - |
AT1 capital | 3,734 | 2,166 | 969 | - | 202 | 3,764 | 2,196 | 969 | - |
Tier 1 capital | 26,999 | 16,989 | 5,236 | 3,411 | 1,408 | 24,861 | 15,047 | 4,797 | 3,389 |
Tier 2 capital before regulatory adjustments | 5,108 | 3,493 | 1,430 | 312 | 266 | 4,654 | 3,075 | 1,402 | 305 |
Regulatory adjustments to Tier 2 capital | 373 | (216) | 60 | - | - | - | (321) | - | - |
Tier 2 capital | 5,481 | 3,277 | 1,490 | 312 | 266 | 4,654 | 2,754 | 1,402 | 305 |
Total regulatory capital | 32,480 | 20,266 | 6,726 | 3,723 | 1,674 | 29,515 | 17,801 | 6,199 | 3,694 |
CAP 3: Leverage exposure (CRR Delegated Act Template) - NWH Group and large subsidiaries Leverage exposures based on the relevant local regulatory capital transitional arrangements are set out below.
30 September 2020 | 31 December 2019 | ||||||||
NWHG | NWB Plc | RBS plc | UBI DAC | Coutts & Co | NWHG | NWB Plc | RBS plc | UBI DAC | |
Leverage exposure | £m | £m | £m | £m | £m | £m | £m | £m | £m |
Cash and balances at central banks (2) | 76,008 | 46,012 | 28,831 | 5,227 | 3 | 54,511 | 26,377 | 26,597 | 3,419 |
Derivatives | 3,423 | 3,558 | 832 | 225 | 30 | 2,899 | 3,404 | 366 | 174 |
Financial assets | 384,483 | 301,635 | 67,608 | 22,412 | 35,769 | 357,543 | 273,508 | 62,767 | 22,025 |
Other assets | 12,940 | 7,495 | 613 | 546 | 472 | 13,418 | 7,665 | 872 | 457 |
Total assets | 476,854 | 358,700 | 97,884 | 28,410 | 36,274 | 428,371 | 310,954 | 90,602 | 26,075 |
Derivatives | |||||||||
- netting and variation margin | (4,437) | (4,025) | - | (45) | (1) | (3,761) | (3,665) | - | (11) |
- potential future exposures | 1,189 | 1,446 | 183 | 87 | 7 | 1,071 | 1,494 | 299 | 100 |
Securities financing transactions gross up | 150 | 150 | - | - | - | 516 | 516 | - | - |
Other off balance sheet items | 31,461 | 23,263 | 10,820 | 1,291 | 1,217 | 29,655 | 17,862 | 8,766 | 1,118 |
Regulatory deductions and other | (6,439) | (1,181) | (248) | (5,676) | 45 | (8,001) | (2,699) | (377) | (389) |
adjustments (1) | |||||||||
Exclusion of core UK-group exposures | - | (24,619) | (19,752) | - | (20,943) | - | (24,024) | (8,309) | - |
CRR leverage exposure | 498,778 | 353,734 | 88,887 | 24,067 | 16,599 | 447,851 | 300,438 | 90,981 | 26,893 |
Claims on central banks | (73,278) | (50,202) | |||||||
Exclusion of bounce back loans | (7,492) | - | |||||||
UK leverage exposure | 418,008 | 397,649 |
Notes:
(1) The Capital Requirement Regulation (CRR), as amended by the CRR "quick fix", allows banking supervisors, after consulting the relevant central bank, to allow banks to exclude central bank exposures from their leverage ratio. Such assets include coins and banknotes as well as deposits held at the central bank. The ECB have enabled UBI DAC to apply this exclusion as of Q3 2020, being an institution under its direct supervision, resulting in an impact on the CRR Leverage exposure of £5.2 billion.
(2) In UBI DAC, overnight placements with CBI where no other restrictions apply, have been reclassified in Q3 2020 from loans to banks (which is included in 'Financial Assets' above) to 'cash and balances at central banks' on the balance sheet. This is a change in accounting policy, therefore the comparatives have been restated to reflect this reclassification.
EU OV1: CAP: RWAs and MCR summary - NWH Group and large subsidiaries
The table below shows RWAs and minimum capital requirements (MCR) by risk type for NWH Group and its large subsidiaries. MCR is calculated as 8% of RWAs.
NWH Group | NWB Plc | RBS plc | UBI DAC | Coutts & Co | |||||||
RWAs | MCR | RWAs | MCR | RWAs | MCR | RWAs | MCR | RWAs | MCR | ||
30 September 2020 | £m | £m | £m | £m | £m | £m | £m | £m | £m | £m | |
1 | Credit risk (excluding counterparty credit risk) | 113,706 | 9,097 | 66,481 | 5,318 | 21,223 | 1,698 | 10,888 | 870 | 8,472 | 678 |
2 | Standardised (STD) approach | 13,911 | 1,113 | 3,697 | 296 | 1,512 | 121 | 907 | 72 | 8,472 | 678 |
4 | Advanced IRB approach | 99,795 | 7,984 | 62,784 | 5,022 | 19,711 | 1,577 | 9,981 | 798 | - | - |
5 | Equity IRB under the simple risk-weight or the internal | ||||||||||
model approach (IMA) | - | - | - | - | - | - | - | - | - | - | |
6 | Counterparty credit risk | 1,523 | 122 | 1,127 | 90 | - | - | 133 | 11 | 32 | 3 |
6a | of which: securities financing transactions | 212 | 17 | 212 | 17 | - | - | - | - | - | - |
7 | of which: marked-to-market | 394 | 32 | 299 | 24 | - | - | 133 | 11 | 32 | 3 |
10 | of which: internal model method (IMM) | - | - | - | - | - | - | - | - | - | - |
11 | of which: risk exposure amount for contributions to the | ||||||||||
default fund of a central | |||||||||||
counterparty | 36 | 3 | 36 | 3 | - | - | - | - | - | - | |
12 | of which: credit valuation adjustment (CVA) | 881 | 70 | 580 | 46 | - | - | - | - | - | - |
14 | Securitisation exposures in banking book (1) | 1,274 | 102 | 1,048 | 84 | 226 | 18 | - | - | - | - |
15 | Internal rating-based approach (SEC-IRBA) | 900 | 72 | 674 | 54 | 226 | 18 | - | - | - | - |
17 | Standardised approach | 176 | 14 | 176 | 14 | - | - | - | - | - | - |
18 | External rating-based approach (SEC-ERBA) (2) | 198 | 16 | 198 | 16 | - | - | - | - | - | - |
1250% | - | - | - | - | - | - | - | - | - | - | |
19 | Market risk | 138 | 11 | 35 | 3 | 12 | 1 | 69 | 6 | 6 | - |
20 | STD approach | 138 | 11 | 35 | 3 | 12 | 1 | 69 | 6 | 6 | - |
23 | Operational risk - STD approach | 18,866 | 1,509 | 12,843 | 1,027 | 4,778 | 382 | 946 | 76 | 1,068 | 85 |
27 | Amounts below the thresholds for deduction (subject to | ||||||||||
250% risk-weight) | 1,037 | 83 | 5,469 | 438 | 158 | 13 | 1 | - | 299 | 24 | |
29 | Total | 136,544 | 10,924 | 87,003 | 6,960 | 26,397 | 2,112 | 12,037 | 963 | 9,877 | 790 |
NWH Group | NWB Plc | RBS plc | UBI DAC | ||||||
RWAs | MCR | RWAs | MCR | RWAs | MCR | RWAs | MCR | ||
31 December 2019 | £m | £m | £m | £m | £m | £m | £m | £m | |
1 | Credit risk (excluding counterparty credit risk) | 111,281 | 8,903 | 61,614 | 4,930 | 22,757 | 1,822 | 11,678 | 934 |
2 | Standardised (STD) approach | 14,033 | 1,123 | 3,923 | 314 | 1,792 | 144 | 899 | 72 |
4 | Advanced IRB approach | 97,248 | 7,780 | 57,691 | 4,616 | 20,965 | 1,678 | 10,779 | 862 |
6 | Counterparty credit risk | 980 | 78 | 605 | 48 | - | - | 127 | 10 |
6a | of which: securities financing transactions | 145 | 12 | 145 | 12 | - | - | - | - |
7 | of which: marked-to-market | 239 | 19 | 151 | 12 | - | - | 127 | 10 |
11 | of which: risk exposure amount for contributions to the | ||||||||
default fund of a central | |||||||||
counterparty | 116 | 9 | 116 | 9 | - | - | - | - | |
12 | of which: credit valuation adjustment (CVA) | 480 | 38 | 193 | 15 | - | - | - | - |
14 | Securitisation exposures in banking book | 1,509 | 121 | 1,206 | 96 | 304 | 24 | - | - |
15 | IRB approach | 1,509 | 121 | 1,206 | 96 | 304 | 24 | - | - |
19 | Market risk | 125 | 10 | 17 | 1 | 15 | 1 | 77 | 6 |
20 | STD approach | 125 | 10 | 17 | 1 | 15 | 1 | 77 | 6 |
23 | Operational risk - STD approach | 19,590 | 1,567 | 12,669 | 1,014 | 5,714 | 457 | 897 | 72 |
27 | Amounts below the thresholds for deduction (subject to | ||||||||
250% risk-weight) | 1,190 | 95 | 4,958 | 397 | 130 | 10 | 2 | - | |
29 | Total | 134,675 | 10,774 | 81,069 | 6,486 | 28,920 | 2,314 | 12,781 | 1,022 |
Notes:
(1) From 1 January 2020, the new securitisation framework has been fully implemented and all positions have moved to the new framework.
(2) Includes Internal Assessment Approach (IAA).
For explanations relating to RWA movements for NWH Group and its large subsidiaries, refer to the commentary following KM1. Further RWA related commentary can be found following EU CR8, EU CCR7 and EU MR 2_B.
RWA and MCR movement tables
EU CR8: IRB and STD: Credit risk RWAs and MCR flow statement
The table below shows the drivers of movements in credit risk RWAs and MCR. RWAs include securitisations, deferred tax assets and significant investments to align with the capital management approaches of NWH Group and its segments. There were no acquisitions or disposals of subsidiaries during the period.
a | b | ||||
RWAs | |||||
IRB | STD | Total RWAs | MCR | ||
£m | £m | £m | £m | ||
1 | At 1 January 2020 | 98,757 | 15,223 | 113,980 | 9,118 |
2 | Asset size (1) | 1,762 | (165) | 1,597 | 128 |
3 | Asset quality (2) | (57) | 36 | (21) | (2) |
4 | Model updates (3) | 1,077 | (132) | 945 | 76 |
5 | Methodology and policy (4) | (1,590) | (118) | (1,708) | (137) |
7 | Foreign exchange movements (5) | 1,120 | 104 | 1,224 | 98 |
9 | At 30 September 2020 | 101,069 | 14,948 | 116,017 | 9,281 |
Notes:
(1) Organic changes in portfolio size and composition (including the origination of new business and maturing loans).
(2) Changes in the assessed quality of assets due to changes in borrower risk, such as rating grade migration or similar effects.
(3) Changes due to model implementation, changes in model scope, or any changes intended to address model weaknesses.
(4) Changes due to methodological changes in calculations driven by regulatory policy changes.
(5) Changes arising from foreign currency translation movements.
Key points
The RWA uplift in asset size was due to increases in Commercial Banking relating to government lending. This was offset by decreases in Ulster Bank RoI due to the sale of non-performing loans and reductions in unsecured products balances in Retail Banking.
Methodology changes mainly reflected the CRR Covid-19 amendment, which allowed an acceleration of the planned changes to the SME supporting factor and the introduction of an infrastructure supporting factor. This reduced RWAs by approximately £1.7 billion.
The RWA increase due to foreign exchange movements was a result of sterling weakening against both the euro and the US dollar during the period.
The uplift in RWAs relating to model updates was largely a result of revisions to Wholesale LGD models.
The RWA decrease relating to asset quality mainly reflected improved risk metrics for Retail Banking products and increased defaults in Commercial Banking. There were offsetting increases due to PD deteriorations in Commercial Banking.
EU CCR7: CCR: Non-IMM: Counterparty credit risk RWAs and MCR flow statement
The table below shows the drivers of movements in counterparty credit risk RWAs and MCR (excluding CVA). There were no acquisitions or disposals of subsidiaries during the period.
RWAs | MCR | ||
Non-IMM | Non-IMM | ||
£m | £m | ||
1 | At 1 January 2020 | 500 | 40 |
2 | Asset size (1) | 127 | 10 |
3 | Methodology and policy (2) | (4) | - |
7 | Foreign exchange movements (3) | 19 | 2 |
9 | At 30 September 2020 | 642 | 52 |
Notes:
(1) Organic changes in portfolio size and composition (including the origination of new business).
(2) Changes due to methodological changes in calculations driven by regulatory policy changes. Reflects the introduction of an infrastructure supporting factor as part of the CRR Covid-19 amendment announced on 26 June 2020.
(3) Changes arising from foreign currency retranslation movements.
Key point
The RWA increase reflected intragroup movements of mark-to-market positions and collateral as well as an increased volume of securities financing transactions.
EU MR2_B: MR STD: Market risk RWAs and MCR flow statement
The table below shows the drivers of movements in market risk RWAs and MCR. There were no methodology or regulatory policy changes during the period. Changes in market risk arising from foreign currency retranslation are included within movement in risk levels as they are managed together with portfolio changes.
STD | |||
RWAs | MCR | ||
£m | £m | ||
1 | At 1 January 2020 | 125 | 10 |
2 | Movement in risk levels (1) | 13 | 1 |
8 | At 30 September 2020 | 138 | 11 |
Note:
(1) Movements due to position changes.
Key points
NWH Group's RWA exposure includes the position in NatWest Holdings Limited and its subsidiaries. RWAs relate solely to the foreign exchange banking book charge.
The RWA increase was primarily due to an increase in the US dollar and euro positions relating to coupon payments and transfer pricing charges between NWH Group entities.
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Natwest Group plc published this content on 30 October 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 02 November 2020 09:29:05 UTC