NWG H1 23 Interim Management Statement-Part 1 of 2

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NATWEST GROUP (NWG)

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NatWest Group Interim Results 2023	Page
Highlights	3
Our Purpose in action	4
Business performance summary	5
Chief Financial Officer review	6
Retail Banking	8
Private Banking	9
Commercial & Institutional	10
Central items & other	11
Segment performance	12
Risk and capital management
Credit risk	18
Credit risk - banking activities	29
Credit risk - trading activities	58
Capital, liquidity and funding risk	61
Market risk	71
Other risks	76
Condensed consolidated financial statements	77
Notes to the financial statements	83
Independent review report to NatWest Group plc	102
Summary of Principal Risks and Uncertainties	103
Statement of directors' responsibilities	105
Additional information	106
Appendix - Non-IFRS financial measures	109

	Half year ended		Quarter ended
	30 June	30 June	30 June	31 March	30 June
	2023	2022	2023	2023	2022
Summary consolidated income statement	£m	£m	£m	£m	£m
Net interest income	5,726	4,334	2,824	2,902	2,307
Non-interest income	2,001	1,885	1,027	974	904
Total income	7,727	6,219	3,851	3,876	3,211
Litigation and conduct costs	(108)	(169)	(52)	(56)	(67)
Other operating expenses	(3,807)	(3,484)	(1,875)	(1,932)	(1,766)
Operating expenses	(3,915)	(3,653)	(1,927)	(1,988)	(1,833)
Profit before impairment losses/releases	3,812	2,566	1,924	1,888	1,378
Impairment (losses)/releases	(223)	54	(153)	(70)	18
Operating profit before tax	3,589	2,620	1,771	1,818	1,396
Tax charge	(1,061)	(795)	(549)	(512)	(409)
Profit from continuing operations	2,528	1,825	1,222	1,306	987
(Loss)/profit from discontinued operations, net of tax	(108)	190	(143)	35	127
Profit for the period	2,420	2,015	1,079	1,341	1,114
Performance key metrics and ratios
Notable items within total income (1)	£344m	£321m	£288m	£56m	£97m
Total income excluding notable items (1)	£7,383m	£5,898m	£3,563m	£3,820m	£3,114m
Bank net interest margin (1)	3.20%	2.58%	3.13%	3.27%	2.71%
Bank average interest earning assets (1)	£361bn	£338bn	£362bn	£360bn	£342bn
Cost:income ratio (excl. litigation and conduct) (1)	49.3%	56.0%	48.7%	49.8%	55.0%
Loan impairment rate (1)	12bps	(3bps)	16bps	7bps	(2bps)
Profit attributable to ordinary shareholders	£2,299m	£1,891m	£1,020m	£1,279m	£1,050m
Total earnings per share attributable to ordinary shareholders - basic (2)	24.3p	18.7p	11.0p	13.2p	10.8p
Return on tangible equity (RoTE) (1)	18.2%	13.1%	16.4%	19.8%	15.2%
Climate and sustainable funding and financing (3)	£16.0bn	£11.9bn	£8.4bn	£7.6bn	£6.4bn

			As at
			30 June	31 March	31 December
			2023	2023	2022
Balance sheet			£bn	£bn	£bn
Total assets			702.6	695.6	720.1
Net loans to customers - amortised cost			373.9	374.2	366.3
Net loans to customers excluding central items (1)			352.7	352.4	346.7
Loans to customers and banks - amortised cost and FVOCI			385.2	385.8	377.1
Total impairment provisions (4)			3.4	3.4	3.4
Expected credit loss (ECL) coverage ratio			0.9%	0.9%	0.9%
Assets under management and administration (AUMAs) (1)			37.9	35.2	33.4
Customer deposits			432.5	430.5	450.3
Customer deposits excluding central items (1,5)			421.1	421.8	432.9
Liquidity and funding
Liquidity coverage ratio (LCR)			141%	139%	145%
Liquidity portfolio			227	210	226
Net stable funding ratio (NSFR)			138%	141%	145%
Loan:deposit ratio (excl. repos and reverse repos) (1)			83%	83%	79%
Total wholesale funding			81	79	74
Short-term wholesale funding			28	25	21
Capital and leverage
Common Equity Tier (CET1) ratio (6)			13.5%	14.4%	14.2%
Total capital ratio (6)			18.8%	19.6%	19.3%
Pro forma CET1 ratio (excl. foreseeable items) (7)			14.2%	15.7%	15.4%
Risk-weighted assets (RWAs)			177.5	178.1	176.1
UK leverage ratio			5.0%	5.4%	5.4%
Tangible net asset value (TNAV) per ordinary share (1,8)			262p	278p	264p
Number of ordinary shares in issue (millions) (8)			8,929	9,581	9,659

(1)	Refer to the Non-IFRS financial measures appendix for details of the basis of preparation and reconciliation of non-IFRS financial measures and performance metrics.
(2)	On 30 August 2022 issued ordinary share capital was consolidated in the ratio of 14 existing shares for 13 new shares. The average number of shares for earnings per share has been adjusted retrospectively.
(3)	NatWest Group uses its climate and sustainable funding and financing inclusion criteria to determine the assets, activities and companies that are eligible to be included within its climate and sustainable funding and financing targets. This includes both provision of committed (on and off-balance sheet) funding and financing, including provision of services for underwriting issuances and private placements. Up to 30 June 2023 we have provided £48.6 billion against our target to provide £100 billion climate and sustainable funding and financing between 1 July 2021 and the end of 2025. As part of this, we aim to provide at least £10 billion in lending for residential properties with Energy Performance Certificate (EPC) ratings A and B between 1 January 2023 and the end of 2025. During H1 2023 we provided £16.0 billion climate and sustainable funding and financing, which included £2.3 billion in lending for residential properties with EPC ratings A and B.
(4)	Includes £0.1 billion relating to off-balance sheet exposures (31 March 2023 - £0.1 billion; 31 December 2022 - £0.1 billion).
(5)	Central items includes Treasury repo activity and Ulster Bank Republic of Ireland.
(6)	Refer to the Capital, liquidity and funding risk section for details of the basis of preparation.
(7)	The pro forma CET1 ratio at 30 June 2023 excludes foreseeable items of £1,280 million: £780 million for ordinary dividends and £500 million foreseeable charges. (31 March 2023 excludes foreseeable items of £2,351 million: £1,479 million for ordinary dividends and £872 million foreseeable charges. 31 December 2022 excludes foreseeable charges of £2,132 million: £967 million for ordinary dividends and £1,165 million foreseeable charges).
(8)	The number of ordinary shares in issue excludes own shares held. Comparatives for the number of shares in issue and TNAV per ordinary share have not been adjusted for the effect of the share consolidation referred to in footnote 2 above.

	Half year ended		Quarter ended
	30 June	30 June	30 June	31 March	30 June
	2023	2022	2023	2023	2022
	£m	£m	£m	£m	£m
Total income	3,120	2,554	1,516	1,604	1,337
Operating expenses	(1,367)	(1,242)	(671)	(696)	(597)
of which: Other operating expenses	(1,343)	(1,184)	(650)	(693)	(593)
Impairment losses	(193)	(26)	(79)	(114)	(21)
Operating profit	1,560	1,286	766	794	719

Return on equity (1)	29.1%	26.3%	28.2%	30.0%	29.5%
Net interest margin (1)	2.88%	2.53%	2.78%	2.99%	2.62%
Cost:income ratio (excl. litigation and conduct) (1)	43.0%	46.4%	42.9%	43.2%	44.4%
Loan impairment rate (1)	19bps	3bps	15bps	22bps	4bps

			As at
			30 June	31 March	31 December
			2023	2023	2022
			£bn	£bn	£bn
Net loans to customers (amortised cost)			204.4	201.7	197.6
Customer deposits			183.1	184.0	188.4
RWAs			57.3	55.6	54.7

	Half year ended		Quarter ended
	30 June	30 June	30 June	31 March	30 June
	2023	2022	2023	2023	2022
	£m	£m	£m	£m	£m
Total income	567	461	271	296	245
Operating expenses	(322)	(285)	(167)	(155)	(146)
of which: Other operating expenses	(311)	(284)	(159)	(152)	(146)
Impairment (losses)/releases	(11)	11	(3)	(8)	6
Operating profit	234	187	101	133	105

Return on equity (1)	24.7%	20.9%	20.8%	28.5%	23.5%
Net interest margin (1)	4.50%	3.34%	4.17%	4.83%	3.60%
Cost:income ratio (excl. litigation and conduct) (1)	54.9%	61.6%	58.7%	51.4%	59.6%
Loan impairment rate (1)	11bps	(12)bps	6bps	17bps	(13)bps
Net new money (£bn) (1)	1.0	1.4	0.4	0.6	0.6

			As at
			30 June	31 March	31 December
			2023	2023	2022
			£bn	£bn	£bn
Net loans to customers (amortised cost)			19.1	19.2	19.2
Customer deposits			36.5	37.3	41.2
RWAs			11.5	11.4	11.2
Assets under management (AUMs) (1)			30.0	29.6	28.3
Assets under administration (AUAs) (1)			7.9	5.6	5.1
Total assets under management and administration (AUMAs) (1)			37.9	35.2	33.4

H1 2023 performance
-	Total income was £106 million, or 23.0%, higher than H1 2022 reflecting increased deposit income supported by interest rate rises, partially offset by a reduction in mortgage margins.
-	Net interest margin was 116 basis points higher than H1 2022 reflecting higher deposit income, supported by interest rate rises, partially offset by a reduction in lending margins, lower deposit balances, as well as increased capital issuance and funding costs.
-	Other operating expenses were £27 million, or 9.5% higher than H1 2022 due to the impact of pay awards to support colleagues with cost of living challenges and the impact of one-offs including a £7 million property revaluation and an £8 million technology cost.
-	A net impairment charge of £11 million in H1 2023 reflected higher good book charges and a small level of Stage 3 defaults.
-	Net loans to customers decreased by £0.1 billion in H1 2023 as gross new lending of £1.4 billion, of which £0.9 billion related to mortgages, was offset by higher repayments.
-	Customer deposits decreased by £4.7 billion, or 11.4% in H1 2023 reflecting the impact of customer tax payments which were higher than previous years, as well as increased competition for savings balances. Current account and instant access savings account balances decreased by £7.0 billion partially offset by an increase in term savings products.
-	AUMAs increased by £4.5 billion, or 13.5%, in H1 2023 primarily reflecting AUM net new money of £1.0 billion, which represents 6.0% of opening AUMA balances, positive market movements, and acquisition of Cushon which contributes £2.0 billion⁽¹⁾.
Q2 2023 performance
-	Total income was £25 million, or 8.4%, lower than Q1 2023 reflecting lower deposit balances and higher pass-through of rate rises on customer deposits partially offset by the benefit of higher interest rates.
-	Net interest margin was 66 basis points lower than Q1 2023 reflecting lower deposit volumes, changes in deposit mix from non-interest bearing to interest bearing balances and increased funding costs.
-	A net impairment charge of £3 million in Q2 2023 reflected benefits from the updated economic outlook with Stage 3 defaults remaining stable.
-	Customer deposits decreased by £0.8 billion, or 2.1% in Q2 2023 as growth in fixed term savings deposits was offset by lower instant access savings and current accounts combined with repayment of debt.
-	AUMAs increased by £2.7 billion, or 7.7%, in Q2 2023 primarily reflecting AUM net new money of £0.4 billion and positive investment market movements. The acquisition of Cushon contributes £2.0 billion⁽¹⁾ to the increase in AUMAs.

H1 2023 performance
-	Total income was £811 million, or 27.6%, higher than H1 2022 primarily reflecting higher deposit returns from an improved interest rate environment, credit and debit card fees and higher markets income⁽¹⁾.
-	Net interest margin was 100 basis points higher than H1 2022 reflecting higher deposit returns supported by interest rate rises, partly offset by lower deposits balances, evolving deposit and lending mix impacts and higher treasury funding costs.
-	Other operating expenses were £159 million, or 9.2%, higher than H1 2022 due to higher pay awards to support our colleagues with cost of living challenges and continued investment in the business.
-	An impairment charge of £20 million in H1 2023 compared with an impairment release of £59 million in H1 2022 driven by an increase in post model adjustments to reflect increased inflationary and liquidity risk impacts to our customers offset by benefits of modelled releases to reflect benefits from the revised economic outlook. Stage 3 charges remain low.
-	Net loans to customers decreased by £0.7 billion, or 0.5%, in H1 2023 due to UK Government scheme repayments of £1.4 billion and subdued activity within funds lending, partly offset by an increase in term loan facilities including revolving credit facilities and asset finance.
-	Customer deposits decreased by £1.8 billion, or 0.9%, in H1 2023 primarily due to overall market liquidity contraction, particularly sight deposits with strong growth in term deposit balances.
-	RWAs increased by £0.4 billion, or 0.4%, in H1 2023 primarily reflecting an evolving book mix of lending growth and UK Government scheme repayments, partially offset by foreign exchange benefits and lower market risk.
Q2 2023 performance
-	Total income was £158 million, or 8.1%, lower than Q1 2023 largely reflecting lower markets income⁽¹⁾ mainly driven by challenging market conditions and additional treasury costs.
-	Net interest margin was 11 basis points lower than Q1 2023 reflecting increased treasury costs and lower deposit balances, partly offset by higher deposit margins.
-	Other operating expenses were £25 million, or 2.6%, lower than Q1 2023 reflecting non-repeat of the Q1 2023 one-off cost of living payments partly offset by continued investment in the business.
-	A net impairment charge of £64 million in Q2 2023 reflected an increase in post model adjustments to reflect inflationary and liquidity risk impacts to our customers offset by benefits of modelled releases to reflect benefits from the revised economic outlook. Stage 3 charges remain low.
-	Net loans to customers decreased by £2.3 billion, or 1.7%, in Q2 2023 largely due to lower funds activity and UK Government scheme repayments of £0.7 billion.
-	Customer deposits increased by £1.0 billion, or 0.5%, in Q2 2023 primarily due to growth in the Corporate & Institutions business. We have seen continued strong growth in term deposit balances.
-	RWAs decreased by £1.2 billion, or 1.1%, in Q2 2023 primarily reflecting foreign exchange benefits and lower lending balances.

	Half year ended 30 June 2023
				Central	Total
	Retail	Private	Commercial &	items &	NatWest
	Banking	Banking	Institutional	other	Group
	£m	£m	£m	£m	£m
Continuing operations
Income statement
Net interest income	2,908	428	2,504	(114)	5,726
Own credit adjustments	-	-	9	-	9
Other non-interest income	212	139	1,235	406	1,992
Total income	3,120	567	3,748	292	7,727
Direct expenses	(394)	(109)	(737)	(2,567)	(3,807)
Indirect expenses	(949)	(202)	(1,156)	2,307	-
Other operating expenses	(1,343)	(311)	(1,893)	(260)	(3,807)
Litigation and conduct costs	(24)	(11)	(94)	21	(108)
Operating expenses	(1,367)	(322)	(1,987)	(239)	(3,915)
Operating profit before impairment losses/releases (1)	1,753	245	1,761	53	3,812
Impairment (losses)/releases	(193)	(11)	(20)	1	(223)
Operating profit (1)	1,560	234	1,741	54	3,589

Income excluding notable items (1)	3,120	567	3,739	(43)	7,383

Additional information
Return on tangible equity (1)	na	na	na	na	18.2%
Return on equity (1)	29.1%	24.7%	16.9%	nm	na
Cost:income ratio (excl. litigation and conduct) (1)	43.0%	54.9%	50.5%	nm	49.3%
Total assets (£bn)	229.1	27.3	401.5	44.7	702.6
Funded assets (£bn) (1)	229.1	27.3	320.6	43.7	620.7
Net loans to customers - amortised cost (£bn)	204.4	19.1	129.2	21.2	373.9
Loan impairment rate (1)	19bps	11bps	3bps	nm	12bps
Impairment provisions (£bn)	(1.7)	(0.1)	(1.5)	(0.1)	(3.4)
Impairment provisions - stage 3 (£bn)	(1.0)	-	(0.8)	(0.1)	(1.9)
Customer deposits (£bn)	183.1	36.5	201.5	11.4	432.5
Risk-weighted assets (RWAs) (£bn)	57.3	11.5	103.6	5.1	177.5
RWA equivalent (RWAe) (£bn)	57.3	11.5	104.9	5.8	179.5
Employee numbers (FTEs - thousands)	13.5	2.2	12.5	33.3	61.5
Third party customer asset rate (1)	3.03%	4.24%	5.61%	nm	nm
Third party customer funding rate (1)	(1.02%)	(1.43%)	(1.03%)	nm	nm
Bank average interest earning assets (£bn) (1)	203.4	19.2	131.4	na	361.1
Bank net interest margin (1)	2.88%	4.50%	3.84%	na	3.20%

	Half year ended 30 June 2022
				Central	Total
	Retail	Private	Commercial &	items &	NatWest
	Banking	Banking	Institutional	other	Group
	£m	£m	£m	£m	£m
Continuing operations
Income statement
Net interest income	2,340	315	1,764	(85)	4,334
Own credit adjustments	-	-	52	-	52
Other non-interest income	214	146	1,121	352	1,833
Total income	2,554	461	2,937	267	6,219
Direct expenses	(320)	(102)	(736)	(2,326)	(3,484)
Indirect expenses	(864)	(182)	(998)	2,044	-
Other operating expenses	(1,184)	(284)	(1,734)	(282)	(3,484)
Litigation and conduct costs	(58)	(1)	(86)	(24)	(169)
Operating expenses	(1,242)	(285)	(1,820)	(306)	(3,653)
Operating profit/(loss) before impairment losses/releases (1)	1,312	176	1,117	(39)	2,566
Impairment (losses)/releases	(26)	11	59	10	54
Operating profit/(loss) (1)	1,286	187	1,176	(29)	2,620

Income excluding notable items (1)	2,554	461	2,930	(47)	5,898

Additional information
Return on tangible equity (1)	na	na	na	na	13.1%
Return on equity (1)	26.3%	20.9%	11.4%	nm	na
Cost:income ratio (excl. litigation and conduct) (1)	46.4%	61.6%	59.0%	nm	56.0%
Total assets (£bn)	216.2	30.0	451.5	108.8	806.5
Funded assets (£bn) (1)	216.2	30.0	343.4	107.5	697.1
Net loans to customers - amortised cost (£bn)	188.7	18.8	127.3	27.8	362.6
Loan impairment rate (1)	3bps	(12)bps	(9)bps	nm	(3)bps
Impairment provisions (£bn)	(1.5)	(0.1)	(1.4)	(0.4)	(3.4)
Impairment provisions - stage 3 (£bn)	(0.9)	-	(0.7)	(0.4)	(2.0)
Customer deposits (£bn)	190.5	41.6	223.2	36.8	492.1
Risk-weighted assets (RWAs) (£bn)	53.0	11.3	103.0	12.5	179.8
RWA equivalent (RWAe) (£bn)	53.0	11.3	101.4	13.0	178.7
Employee numbers (FTEs - thousands)	13.9	2.0	11.8	31.2	58.9
Third party customer asset rate (1)	2.59%	2.65%	3.01%	nm	nm
Third party customer funding rate (1)	(0.07%)	(0.07%)	(0.06%)	nm	nm
Bank average interest earning assets (£bn) (1)	186.8	19.0	125.2	na	338.5
Bank net interest margin (1)	2.53%	3.34%	2.84%	na	2.58%

	Quarter ended 30 June 2023
				Central	Total
	Retail	Private	Commercial &	items &	NatWest
	Banking	Banking	Institutional	other	Group
	£m	£m	£m	£m	£m
Continuing operations
Income statement
Net interest income	1,416	199	1,243	(34)	2,824
Own credit adjustments	-	-	3	-	3
Other non-interest income	100	72	549	303	1,024
Total income	1,516	271	1,795	269	3,851
Direct expenses	(185)	(53)	(379)	(1,258)	(1,875)
Indirect expenses	(465)	(106)	(555)	1,126	-
Other operating expenses	(650)	(159)	(934)	(132)	(1,875)
Litigation and conduct costs	(21)	(8)	(50)	27	(52)
Operating expenses	(671)	(167)	(984)	(105)	(1,927)
Operating profit before impairment losses/releases (1)	845	104	811	164	1,924
Impairment (losses)	(79)	(3)	(64)	(7)	(153)
Operating profit (1)	766	101	747	157	1,771

Income excluding notable items (1)	1,516	271	1,792	(16)	3,563

Additional information
Return on tangible equity (1)	na	na	na	na	16.4%
Return on equity (1)	28.2%	20.8%	14.3%	nm	na
Cost:income ratio (excl. litigation and conduct) (1)	42.9%	58.7%	52.0%	nm	48.7%
Total assets (£bn)	229.1	27.3	401.5	44.7	702.6
Funded assets (£bn) (1)	229.1	27.3	320.6	43.7	620.7
Net loans to customers - amortised cost (£bn)	204.4	19.1	129.2	21.2	373.9
Loan impairment rate (1)	15bps	6bps	20bps	nm	16bps
Impairment provisions (£bn)	(1.7)	(0.1)	(1.5)	(0.1)	(3.4)
Impairment provisions - stage 3 (£bn)	(1.0)	-	(0.8)	(0.1)	(1.9)
Customer deposits (£bn)	183.1	36.5	201.5	11.4	432.5
Risk-weighted assets (RWAs) (£bn)	57.3	11.5	103.6	5.1	177.5
RWA equivalent (RWAe) (£bn)	57.3	11.5	104.9	5.8	179.5
Employee numbers (FTEs - thousands)	13.5	2.2	12.5	33.3	61.5
Third party customer asset rate (1)	3.11%	4.41%	5.84%	nm	nm
Third party customer funding rate (1)	(1.20%)	(1.71%)	(1.18%)	nm	nm
Bank average interest earning assets (£bn) (1)	204.6	19.2	131.4	na	362.3
Bank net interest margin (1)	2.78%	4.17%	3.79%	na	3.13%

	Quarter ended 31 March 2023
				Central	Total
	Retail	Private	Commercial &	items &	NatWest
	Banking	Banking	Institutional	other	Group
	£m	£m	£m	£m	£m
Continuing operations
Income statement
Net interest income	1,492	229	1,261	(80)	2,902
Own credit adjustments	-	-	6	-	6
Other non-interest income	112	67	686	103	968
Total income	1,604	296	1,953	23	3,876
Direct expenses	(209)	(56)	(358)	(1,309)	(1,932)
Indirect expenses	(484)	(96)	(601)	1,181	-
Other operating expenses	(693)	(152)	(959)	(128)	(1,932)
Litigation and conduct costs	(3)	(3)	(44)	(6)	(56)
Operating expenses	(696)	(155)	(1,003)	(134)	(1,988)
Operating profit/(loss) before impairment losses/releases (1)	908	141	950	(111)	1,888
Impairment (losses)/releases	(114)	(8)	44	8	(70)
Operating profit/(loss) (1)	794	133	994	(103)	1,818

Income excluding notable items (1)	1,604	296	1,947	(27)	3,820

Additional information
Return on tangible equity (1)	na	na	na	na	19.8%
Return on equity (1)	30.0%	28.5%	19.5%	nm	na
Cost:income ratio (excl. litigation and conduct) (1)	43.2%	51.4%	49.1%	nm	49.8%
Total assets (£bn)	227.2	28.1	399.0	41.3	695.6
Funded assets (£bn) (1)	227.2	28.1	320.4	40.5	616.2
Net loans to customers - amortised cost (£bn)	201.7	19.2	131.5	21.8	374.2
Loan impairment rate (1)	22bps	17bps	(13)bps	nm	7bps
Impairment provisions (£bn)	(1.7)	(0.1)	(1.5)	(0.1)	(3.4)
Impairment provisions - stage 3 (£bn)	(1.0)	-	(0.7)	(0.1)	(1.8)
Customer deposits (£bn)	184.0	37.3	200.5	8.7	430.5
Risk-weighted assets (RWAs) (£bn)	55.6	11.4	104.8	6.3	178.1
RWA equivalent (RWAe) (£bn)	56.4	11.4	106.2	6.9	180.9
Employee numbers (FTEs - thousands)	13.9	2.2	12.4	33.3	61.8
Third party customer asset rate (1)	2.94%	4.07%	5.38%	nm	nm
Third party customer funding rate (1)	(0.83%)	(1.15%)	(0.87%)	nm	nm
Bank average interest earning assets (£bn) (1)	202.1	19.2	131.3	na	360.0
Bank net interest margin (1)	2.99%	4.83%	3.90%	na	3.27%

	Quarter ended 30 June 2022
				Central	Total
	Retail	Private	Commercial &	items &	NatWest
	Banking	Banking	Institutional	other	Group
	£m	£m	£m	£m	£m
Continuing operations
Income statement
Net interest income	1,228	172	961	(54)	2,307
Own credit adjustments	-	-	34	-	34
Other non-interest income	109	73	567	121	870
Total income	1,337	245	1,562	67	3,211
Direct expenses	(159)	(53)	(329)	(1,225)	(1,766)
Indirect expenses	(434)	(93)	(525)	1,052	-
Other operating expenses	(593)	(146)	(854)	(173)	(1,766)
Litigation and conduct costs	(4)	-	(44)	(19)	(67)
Operating expenses	(597)	(146)	(898)	(192)	(1,833)
Operating profit/(loss) before impairment losses/releases (1)	740	99	664	(125)	1,378
Impairment (losses)/releases	(21)	6	48	(15)	18
Operating profit/(loss) (1)	719	105	712	(140)	1,396

Income excluding notable items (1)	1,337	245	1,573	(41)	3,114

Additional information
Return on tangible equity (1)	na	na	na	na	15.2%
Return on equity (1)	29.5%	23.5%	14.0%	nm	na
Cost:income ratio (excl. litigation and conduct) (1)	44.4%	59.6%	54.7%	nm	55.0%
Total assets (£bn)	216.2	30.0	451.5	108.8	806.5
Funded assets (£bn) (1)	216.2	30.0	343.4	107.5	697.1
Net loans to customers - amortised cost (£bn)	188.7	18.8	127.3	27.8	362.6
Loan impairment rate (1)	4bps	(13)bps	(15)bps	nm	(2)bps
Impairment provisions (£bn)	(1.5)	(0.1)	(1.4)	(0.4)	(3.4)
Impairment provisions - stage 3 (£bn)	(0.9)	-	(0.7)	(0.4)	(2.0)
Customer deposits (£bn)	190.5	41.6	223.2	36.8	492.1
Risk-weighted assets (RWAs) (£bn)	53.0	11.3	103.0	12.5	179.8
RWA equivalent (RWAe) (£bn)	53.0	11.3	101.4	13.0	178.7
Employee numbers (FTEs - thousands)	13.9	2.0	11.8	31.2	58.9
Third party customer asset rate (1)	2.59%	2.77%	3.19%	nm	nm
Third party customer funding rate (1)	(0.10%)	(0.13%)	(0.09%)	nm	nm
Bank average interest earning assets (£bn) (1)	188.1	19.1	124.9	na	341.5
Bank net interest margin (1)	2.62%	3.60%	3.09%	na	2.71%

	Page
Credit risk
Economic loss drivers	18
UK economic uncertainty	23
Wholesale support schemes	25
Measurement uncertainty and ECL sensitivity analysis	26
Measurement uncertainty and ECL adequacy	28
Credit risk - Banking activities
Financial instruments within the scope of the IFRS 9 ECL framework	29
Segment analysis	30
Segment loans and impairment metrics	33
Sector analysis	34
Wholesale forbearance	39
Personal portfolio	40
Commercial real estate	42
Flow statements	44
Stage 2 decomposition by a significant increase in credit risk trigger	52
Asset quality	54
Credit risk - Trading activities	58
Capital, liquidity and funding risk	61
Market risk
Non-traded	71
Traded	75
Other risks	76

Portfolio	Economic loss drivers
UK Personal mortgages	UK unemployment rate, sterling swap rate, UK house price index, UK household debt to income
UK Personal unsecured	UK unemployment rate, sterling swap rate, UK household debt to income
UK corporates	UK stock price index, UK gross domestic product (GDP), Bank of England base rate
UK commercial real estate	UK stock price index, UK commercial property price index, UK GDP, Bank of England base rate

Main macroeconomic variables	30 June 2023					31 December 2022
				Extreme	Weighted				Extreme	Weighted
	Upside	Base case	Downside	downside	average	Upside	Base case	Downside	downside	average
Five-year summary	%	%	%	%	%	%	%	%	%	%
GDP	1.8	0.9	0.4	(0.2)	0.8	2.2	1.3	0.8	0.4	1.2
Unemployment	3.5	4.2	4.9	6.6	4.6	3.9	4.5	4.9	6.7	4.8
House price index	3.8	0.3	(0.8)	(6.0)	-	5.1	0.8	(0.7)	(4.4)	0.6
Commercial real estate price	3.3	0.2	(2.7)	(7.6)	(0.7)	1.2	(1.9)	(2.8)	(9.1)	(2.5)
Consumer price index	1.7	2.3	4.2	3.7	2.8	3.6	4.2	4.4	8.2	4.8
Bank of England base rate	2.6	4.2	5.0	5.1	4.2	2.4	3.1	1.5	4.5	2.8
UK stock price index	5.8	4.3	1.8	0.1	3.5	3.0	1.4	(1.1)	(3.7)	0.5
World GDP	3.7	3.1	2.7	1.0	2.8	3.7	3.3	1.7	1.1	2.7
Probability weight	19.5	45.0	21.5	14.0		18.6	45.0	20.8	15.6
(1) The five-year summary runs from 2023-2027 for 30 June 2023. (2) The table shows five calendar year CAGR for GDP, average for unemployment and Bank of England base rate and 20-quarter CAGR for other parameters. (3) Comparatives have been aligned with the current calculation approach.

	30 June 2023					31 December 2022
			Extreme		Weighted			Extreme		Weighted
	Downside		downside		average	Downside		downside		average
	%	Quarter	%	Quarter	%	%	Quarter	%	Quarter	%
GDP	(1.7)	Q2 2024	(4.9)	Q2 2024	0.1	(3.2)	Q4 2023	(4.7)	Q4 2023	(0.8)
Unemployment rate - peak	5.4	Q1 2025	8.0	Q4 2024	4.9	6.0	Q1 2024	8.5	Q3 2024	5.4
House price index	(18.9)	Q1 2025	(34.3)	Q1 2026	(9.2)	(15.0)	Q1 2025	(26.2)	Q3 2025	(3.4)
Commercial real estate price	(20.1)	Q4 2024	(42.6)	Q1 2025	(11.3)	(21.8)	Q4 2023	(46.8)	Q3 2024	(16.4)
Consumer price index
- highest four quarter change	10.1	Q1 2023	10.1	Q1 2023	10.1	15.7	Q1 2023	17.0	Q4 2023	11.7
Bank of England base rate
- extreme level	5.8	Q1 2024	6.0	Q1 2024	5.3	4.0	Q1 2023	6.0	Q1 2024	4.1
UK stock price index	(15.5)	Q2 2024	(40.9)	Q2 2024	(1.1)	(26.0)	Q4 2023	(48.7)	Q4 2023	(14.1)

	Gross carrying amount
	BBL				Associated debt				ECL on associated debt
	Stage 1	Stage 2	Stage 3	Total	Stage 1	Stage 2	Stage 3	Total	Stage 1	Stage 2	Stage 3
30 June 2023	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Wholesale
Property	864	173	40	1,077	805	225	71	1,101	9	17	25
Financial institutions	20	3	-	23	8	2	-	10	-	-	-
Sovereign	4	1	-	5	1	-	-	1	-	-	-
Corporate	2,638	550	334	3,522	2,169	879	153	3,201	26	56	91
Of which:
Agriculture	184	68	4	256	762	338	21	1,121	6	15	9
Airlines and aerospace	3	1	-	4	2	1	-	3	-	-	-
Automotive	185	30	8	223	103	29	7	139	2	3	4
Chemicals	5	1	-	6	8	1	-	9	-	-	-
Health	139	20	4	163	255	84	14	353	2	4	6
Industrials	109	18	5	132	72	23	5	100	1	1	3
Land transport and logistics	101	22	6	129	43	24	4	71	1	2	3
Leisure	386	94	24	504	322	143	23	488	5	12	16
Mining and metals	4	1	-	5	6	-	-	6	-	-	-
Oil and gas	5	1	-	6	4	1	-	5	-	-	-
Power utilities	3	1	-	4	3	3	1	7	-	-	-
Retail	460	88	22	570	256	104	17	377	4	8	12
Shipping	2	-	-	2	1	-	-	1	-	-	-
Water and waste	12	2	1	15	9	2	2	13	-	-	1
Total	3,526	727	374	4,627	2,983	1,106	224	4,313	35	73	116

31 December 2022
Wholesale
Property	1,029	197	51	1,277	908	217	61	1,186	10	15	27
Financial institutions	24	4	-	28	9	2	-	11	-	-	1
Sovereign	5	1	1	7	2	-	-	2	-	-	-
Corporate	3,165	629	338	4,132	2,302	872	116	3,290	26	56	69
Of which:
Agriculture	221	74	4	299	819	297	22	1,138	6	14	11
Airlines and aerospace	3	1	-	4	-	1	-	1	-	-	-
Automotive	221	34	10	265	100	37	5	142	1	2	3
Chemicals	6	1	-	7	9	1	-	10	-	-	-
Health	165	23	4	192	271	92	9	372	2	4	4
Industrials	131	21	5	157	77	20	4	101	1	2	2
Land transport and logistics	122	25	8	155	51	16	4	71	1	2	3

			Moderate	Moderate	Extreme
		Base	upside	downside	downside
30 June 2023	Actual	scenario	scenario	scenario	scenario
Stage 1 modelled loans (£m)
Retail Banking - mortgages	168,723	168,198	169,272	168,676	160,339
Retail Banking - unsecured	8,256	8,296	8,562	8,102	7,393
Wholesale - property	27,157	27,445	27,594	26,830	17,541
Wholesale - non-property	110,583	112,316	113,020	109,447	84,290
	314,719	316,255	318,448	313,055	269,563
Stage 1 modelled ECL (£m)
Retail Banking - mortgages	85	84	81	87	83
Retail Banking - unsecured	191	193	192	191	169
Wholesale - property	98	76	60	128	131
Wholesale - non-property	250	220	193	305	310
	624	573	526	711	693
Stage 2 modelled loans (£m)
Retail Banking - mortgages	19,653	20,178	19,104	19,700	28,037
Retail Banking - unsecured	3,400	3,360	3,094	3,554	4,263
Wholesale - property	3,942	3,654	3,505	4,269	13,558
Wholesale - non-property	16,854	15,121	14,417	17,990	43,147
	43,849	42,313	40,120	45,513	89,005
Stage 2 modelled ECL (£m)
Retail Banking - mortgages	64	64	44	64	114
Retail Banking - unsecured	376	369	304	404	515
Wholesale - property	113	92	74	134	584
Wholesale - non-property	405	336	279	483	1,234
	958	861	701	1,085	2,447
Stage 1 and Stage 2 modelled loans (£m)
Retail Banking - mortgages	188,376	188,376	188,376	188,376	188,376
Retail Banking - unsecured	11,656	11,656	11,656	11,656	11,656
Wholesale - property	31,099	31,099	31,099	31,099	31,099
Wholesale - non-property	127,437	127,437	127,437	127,437	127,437
	358,568	358,568	358,568	358,568	358,568
Stage 1 and Stage 2 modelled ECL (£m)
Retail Banking - mortgages	149	148	125	151	197
Retail Banking - unsecured	567	562	496	595	684
Wholesale - property	211	168	134	262	715
Wholesale - non-property	655	556	472	788	1,544
	1,582	1,434	1,227	1,796	3,140
Stage 1 and Stage 2 coverage (%)

			Moderate	Moderate	Extreme
		Base	upside	downside	downside
30 June 2023	Actual	scenario	scenario	scenario	scenario
Reconciliation to Stage 1 and Stage 2 flow exposure (£m)
Modelled loans	358,568	358,568	358,568	358,568	358,568
UBIDAC loans	565	565	565	565	565
Non-modelled loans	20,993	20,993	20,993	20,993	20,993
Other asset classes	145,405	145,405	145,405	145,405	145,405

	ECL provision
	£m
At 1 January 2023	3,434
Changes in economic forecasts	(98)
Changes in risk metrics and exposure: Stage 1 and Stage 2	(48)
Changes in risk metrics and exposure: Stage 3	263
Judgemental changes: changes in post model adjustments for Stage 1, Stage 2 and Stage 3	129
Write-offs and other	(123)
At 30 June 2023	3,557

	30 June 2023			31 December 2022
	Gross	ECL	Net	Gross	ECL	Net
	£bn	£bn	£bn	£bn	£bn	£bn
Balance sheet total gross amortised cost and FVOCI	554.3			554.3

In scope of IFRS 9 ECL framework	541.7			550.3
% in scope	98%			99%

Loans to customers - in scope - amortised cost	377.9	3.5	374.4	370.1	3.3	366.8
Loans to customers - in scope - FVOCI	0.1	-	0.1	0.1	-	0.1
Loans to banks - in scope - amortised cost	7.2	-	7.2	6.9	-	6.9
Total loans - in scope	385.2	3.5	381.7	377.1	3.3	373.8
Stage 1	336.4	0.6	335.8	325.2	0.6	324.6
Stage 2	43.4	1.0	42.4	46.8	0.9	45.9
Stage 3	5.4	1.9	3.5	5.1	1.8	3.3

Other financial assets - in scope - amortised cost	138.5	-	138.5	156.4	-	156.4
Other financial assets - in scope - FVOCI	18.0	-	18.0	16.8	-	16.8
Total other financial assets - in scope	156.5	-	156.5	173.2	-	173.2
Stage 1	156.4	-	156.4	172.4	-	172.4
Stage 2	0.1	-	0.1	0.8	-	0.8

Out of scope of IFRS 9 ECL framework	12.6	na	12.6	4.0	na	4.0
Loans to customers - out of scope - amortised cost	(0.6)	na	(0.6)	(0.4)	na	(0.4)
Loans to banks - out of scope - amortised cost	0.1	na	0.1	0.2	na	0.2
Other financial assets - out of scope - amortised cost	13.0	na	13.0	4.1	na	4.1
Other financial assets - out of scope - FVOCI	0.1	na	0.1	0.1	na	0.1

-	Settlement balances, items in the course of collection, cash balances and other non-credit risk assets of £12.5 billion (31 December 2022 - £4.3 billion). These were assessed as having no ECL unless there was evidence that they were defaulted.
-	Equity shares of £0.3 billion (31 December 2022 - £0.4 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 of £0.9 billion (31 December 2022 - £(0.6) billion).

					Off-balance sheet
	Loans - amortised cost and FVOCI				Loan	Contingent	ECL provisions
	Stage 1	Stage 2	Stage 3	Total	commitments	liabilities	Stage 1	Stage 2	Stage 3	Total
30 June 2023	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Personal	-	-	-	-	-	-	-	-	-	-
Wholesale	517	49	7	573	87	10	17	9	5	31
Total	517	49	7	573	87	10	17	9	5	31

	Gross loans							ECL provisions (2)
		Stage 2 (1)							Stage 2 (1)
		Not							Not
		past	1-30	>30					past	1-30	>30
	Stage 1	due	DPD	DPD	Total	Stage 3	Total	Stage 1	due	DPD	DPD	Total	Stage 3	Total
30 June 2023	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Retail Banking	180,293	21,610	709	367	22,686	2,826	205,805	282	394	14	31	439	1,038	1,759
Private Banking	18,075	913	46	29	988	254	19,317	23	17	-	-	17	31	71
Personal	14,929	118	43	16	177	198	15,304	7	2	-	-	2	19	28
Wholesale	3,146	795	3	13	811	56	4,013	16	15	-	-	15	12	43
Commercial
& Institutional	112,341	17,808	957	911	19,676	2,246	134,263	333	456	33	18	507	765	1,605
Personal	2,374	16	16	10	42	46	2,462	3	-	-	1	1	13	17
Wholesale	109,967	17,792	941	901	19,634	2,200	131,801	330	456	33	17	506	752	1,588
Central items
& other	25,653	80	4	6	90	124	25,867	23	24	2	2	28	71	122
Personal	10	57	2	5	64	19	93	1	11	-	2	13	16	30
Wholesale	25,643	23	2	1	26	105	25,774	22	13	2	-	15	55	92
Total loans	336,362	40,411	1,716	1,313	43,440	5,450	385,252	661	891	49	51	991	1,905	3,557
Of which:
Personal	197,606	21,801	770	398	22,969	3,089	223,664	293	407	14	34	455	1,086	1,834
Wholesale	138,756	18,610	946	915	20,471	2,361	161,588	368	484	35	17	536	819	1,723


31 December 2022
Retail Banking	174,727	20,653	605	303	21,561	2,565	198,853	251	406	14	30	450	917	1,618
Private Banking	18,367	730	39	32	801	242	19,410	21	14	-	-	14	26	61
Personal	15,182	122	35	16	173	207	15,562	5	1	-	-	1	17	23
Wholesale	3,185	608	4	16	628	35	3,848	16	13	-	-	13	9	38
Commercial
& Institutional	108,791	22,520	956	750	24,226	2,166	135,183	342	491	26	17	534	747	1,623
Personal	2,475	17	17	7	41	46	2,562	3	1	-	-	1	12	16
Wholesale	106,316	22,503	939	743	24,185	2,120	132,621	339	490	26	17	533	735	1,607
Central items
& other	23,339	234	4	7	245	123	23,707	18	42	1	2	45	69	132
Personal	54	70	3	6	79	13	146	1	11	1	2	14	11	26
Wholesale	23,285	164	1	1	166	110	23,561	17	31	-	-	31	58	106
Total loans	325,224	44,137	1,604	1,092	46,833	5,096	377,153	632	953	41	49	1,043	1,759	3,434
Of which:
Personal	192,438	20,862	660	332	21,854	2,831	217,123	260	419	15	32	466	957	1,683
Wholesale	132,786	23,275	944	760	24,979	2,265	160,030	372	534	26	17	577	802	1,751

	ECL provisions coverage							Half year ended 30 June 2023
		Stage 2 (1,2)						ECL
		Not past						Total	Amounts
	Stage 1	due	1-30 DPD	>30 DPD	Total	Stage 3	Total	(release)/charge	written-off
30 June 2023	%	%	%	%	%	%	%	£m	£m
Retail Banking	0.16	1.82	1.97	8.45	1.94	36.73	0.85	193	63
Private Banking	0.13	1.86	-	-	1.72	12.20	0.37	11	1
Personal	0.05	1.69	-	-	1.13	9.60	0.18	4	1
Wholesale	0.51	1.89	-	-	1.85	21.43	1.07	7	-
Commercial & Institutional	0.30	2.56	3.45	1.98	2.58	34.06	1.20	20	50
Personal	0.13	-	-	10.00	2.38	28.26	0.69	1	1
Wholesale	0.30	2.56	3.51	1.89	2.58	34.18	1.20	19	49
Central items & other	0.09	30.00	50.00	33.33	31.11	57.26	0.47	(1)	8
Personal	10.00	19.30	-	40.00	20.31	84.21	32.26	5	1
Wholesale	0.09	56.52	100.00	-	57.69	52.38	0.36	(6)	7
Total loans	0.20	2.20	2.86	3.88	2.28	34.95	0.92	223	122
Of which:
Personal	0.15	1.87	1.82	8.54	1.98	35.16	0.82	203	66
Wholesale	0.27	2.60	3.70	1.86	2.62	34.69	1.07	20	56

31 December 2022
Retail Banking	0.14	1.97	2.31	9.90	2.09	35.75	0.81	26	106
Private Banking	0.11	1.92	-	-	1.75	10.74	0.31	(11)	1
Personal	0.03	0.82	-	-	0.58	8.21	0.15	(2)	1
Wholesale	0.50	2.14	-	-	2.07	25.71	0.99	(9)	-
Commercial & Institutional	0.31	2.18	2.72	2.27	2.20	34.49	1.20	(59)	94
Personal	0.12	5.88	-	-	2.44	26.09	0.62	1	1
Wholesale	0.32	2.18	2.77	2.29	2.20	34.67	1.21	(60)	93
Central items & other	0.08	17.95	25.00	28.57	18.37	56.10	0.56	(10)	14
Personal	1.85	15.71	33.33	33.33	17.72	84.62	17.81	(7)	6
Wholesale	0.07	18.90	-	-	18.67	52.73	0.45	(3)	8
Total loans	0.19	2.16	2.56	4.49	2.23	34.52	0.91	(54)	215
Of which:
Personal	0.14	2.01	2.27	9.64	2.13	33.80	0.78	18	116
Wholesale	0.28	2.29	2.75	2.24	2.31	35.41	1.09	(72)	99

		Financial		Other
	Property	institution	Sovereign	corporate	Total
30 June 2023	£m	£m	£m	£m	£m
Forbearance (flow)	843	82	24	1,614	2,563
Forbearance (stock)	1,077	122	24	3,704	4,927
Heightened Monitoring and Risk of Credit Loss	1,198	304	-	4,183	5,685

31 December 2022
Forbearance (flow)	746	105	-	2,575	3,426
Forbearance (stock)	933	107	-	4,709	5,749
Heightened Monitoring and Risk of Credit Loss	976	112	-	3,445	4,533

(1)	Includes accounts which have an interest only sub-account and a capital and interest sub-account to provide a more comprehensive view of interest only exposures.
(2)	Retail Banking excludes a non-material amount of provisions held on relatively small legacy portfolios.
(3)	Comprises unsecured lending except for Private Banking, which includes both secured and unsecured lending. It excludes loans that are commercial in nature.
(4)	New mortgage lending LTV reflects the LTV at the time of lending.
(5)	Forbearance flows only include an account once per year, although some accounts may be subject to multiple forbearance deals. Forbearance deals post default are excluded from these flows.

-	Overall, mortgage portfolio growth continued in H1 2023, although new business volumes fluctuated in line with uncertainty regarding interest rate environment and product availability across the market.
-	Portfolio LTV increased, partly due to the higher relative proportion of new business from recent years' strong lending performance, but also, specifically in H1 2023, easing of house prices reflected in house price indices.
-	Credit quality of new business was maintained. Lending criteria and affordability calculations and assumptions for new lending were adjusted during H1 2023, considering inflationary pressure and interest rate rises, to maintain credit quality in line with appetite and ensure customers are assessed fairly.
-	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.
-	Other personal lending balances increased in H1 2023 mainly a result of credit card new business. Lending criteria were carefully managed and the credit quality (based on new business PD) of the new business written in H1 2023 improved.
-	Flows into forbearance increased gradually in H1 2023 as NatWest Group continues to support customers, with portfolio growth also being a driver of increased forbearance flows overall.
-	As noted previously, ECL increased. For further details on the movements in ECL provisions at product level, refer to the Flow statements section.

	Mortgages						ECL provisions				ECL provisions coverage (2)
				Not		Of
				within		which:
	Stage	Stage	Stage	IFRS 9		gross new	Stage	Stage	Stage	Total	Stage	Stage	Stage
	1	2	3	ECL scope	Total	lending	1	2	3	(1)	1	2	3	Total
30 June 2023	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	%	%	%	%
≤50%	66,183	7,523	1,019	53	74,778	2,809	26	18	122	166	0.0	0.2	12.0	0.2
>50% and ≤70%	66,810	7,816	704	7	75,337	4,854	35	28	81	144	0.1	0.4	11.5	0.2
>70% and ≤80%	22,503	2,181	105	-	24,789	4,018	12	8	15	35	0.1	0.4	14.3	0.1
>80% and ≤90%	11,464	1,448	31	1	12,944	3,199	9	7	6	22	0.1	0.5	19.4	0.2
>90% and ≤100%	4,434	513	12	-	4,959	2,461	5	3	3	11	0.1	0.6	25.0	0.2
>100%	45	7	13	-	65	7	2	-	6	8	4.4	-	46.2	12.3
Total with LTVs	171,439	19,488	1,884	61	192,872	17,348	89	64	233	386	0.1	0.3	12.4	0.2
Other	110	1	1	-	112	-	2	-	1	3	1.8	-	100.0	2.7
Total	171,549	19,489	1,885	61	192,984	17,348	91	64	234	389	0.1	0.3	12.4	0.2

31 December 2022
≤50%	71,321	8,257	1,036	61	80,675	7,467	26	20	121	167	-	0.2	11.7	0.2
>50% and ≤70%	68,178	7,792	616	7	76,593	14,088	32	30	71	133	-	0.4	11.5	0.2
>70% and ≤80%	17,602	1,602	62	1	19,267	11,154	7	6	11	24	-	0.4	17.7	0.1
>80% and ≤90%	7,918	944	17	1	8,880	7,127	6	5	5	16	0.1	0.5	29.4	0.2
>90% and ≤100%	1,409	18	6	-	1,433	1,389	3	-	2	5	0.2	-	33.3	0.3
>100%	35	7	10	-	52	2	2	-	4	6	5.7	-	40.0	11.5
Total with LTVs	166,463	18,620	1,747	70	186,900	41,227	76	61	214	351	-	0.3	12.3	0.2
Other	59	1	1	-	61	-	3	-	1	4	5.1	-	100.0	6.6
Total	166,522	18,621	1,748	70	186,961	41,227	79	61	215	355	-	0.3	12.3	0.2

(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.

(1)	Includes exposures relating to non-modelled portfolios and other exposures carried at fair value.
(2)	ECL provisions coverage is ECL provisions divided by gross loans.
(3)	Relates mainly to business banking, rate risk management products and unsecured corporate lending.
(4)	Relates to the development of commercial and residential properties. LTV is not a meaningful measure for this type of lending activity.

	UK mortgages		Credit cards		Other		Total
30 June 2023	£m	%	£m	%	£m	%	£m	%
Personal trigger (1)
PD movement	9,799	49.9	1,163	77.4	937	51.6	11,899	51.8
PD persistence	8,349	42.5	265	17.7	417	23.0	9,031	39.3
Adverse credit bureau recorded with
credit reference agency	935	4.8	49	3.3	89	4.9	1,073	4.7
Forbearance support provided	98	0.5	1	0.1	12	0.7	111	0.5
Customers in collections	185	0.9	2	0.1	6	0.3	193	0.8
Collective SICR and other reasons (2)	183	0.9	21	1.4	337	18.6	541	2.4
Days past due >30	104	0.5	-	-	17	0.9	121	0.5
	19,653	100	1,501	100	1,815	100	22,969	100

31 December 2022
Personal trigger (1)
PD movement	16,477	87.7	814	75.7	1,129	56.7	18,420	84.3
PD persistence	866	4.6	200	18.6	186	9.3	1,252	5.7
Adverse credit bureau recorded with
credit reference agency	929	4.9	52	4.8	96	4.8	1,077	4.9
Forbearance support provided	101	0.5	1	0.1	17	0.9	119	0.5
Customers in collections	153	0.8	2	0.2	4	0.2	159	0.7
Collective SICR and other reasons (2)	195	1.0	7	0.7	546	27.4	748	3.4
Days past due >30	66	0.4	-	-	13	0.7	79	0.4
	18,787	100	1,076	100	1,991	100	21,854	100

-	In the Personal portfolio, the majority of exposures were in AQ4 and AQ5 within mortgages. The higher proportion of UK mortgage loans in bands AQ5-AQ8 was reflected in the overall average Basel PD for mortgages marginally increasing from 0.65% to 0.66%. AQ band distributions for unsecured lending remained stable.
-	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.

	Reverse repos			Repos
		Of which:	Outside		Of which:	Outside
		can be	netting		can be	netting
	Total	offset	arrangements	Total	offset	arrangements
30 June 2023	£m	£m	£m	£m	£m	£m
Gross	76,144	75,855	289	72,458	71,945	513
IFRS offset	(33,097)	(33,097)	-	(33,097)	(33,097)	-
Carrying value	43,047	42,758	289	39,361	38,848	513

Master netting arrangements	(2,045)	(2,045)	-	(2,045)	(2,045)	-
Securities collateral	(39,091)	(39,091)	-	(36,803)	(36,803)	-
Potential for offset not recognised under IFRS	(41,136)	(41,136)	-	(38,848)	(38,848)	-
Net	1,911	1,622	289	513	-	513

31 December 2022
Gross	61,775	61,241	534	55,226	50,743	4,483
IFRS offset	(20,211)	(20,211)	-	(20,211)	(20,211)	-
Carrying value	41,564	41,030	534	35,015	30,532	4,483

Master netting arrangements	(2,445)	(2,445)	-	(2,445)	(2,445)	-
Securities collateral	(38,387)	(38,387)	-	(28,087)	(28,087)	-
Potential for offset not recognised under IFRS	(40,832)	(40,832)	-	(30,532)	(30,532)	-
Net	732	198	534	4,483	-	4,483

	30 June 2023							31 December 2022
	Notional
	GBP	USD	EUR	Other	Total	Assets	Liabilities	Notional	Assets	Liabilities
	£bn	£bn	£bn	£bn	£bn	£m	£m	£bn	£m	£m
Gross exposure						104,122	102,983		118,275	116,158
IFRS offset						(22,249)	(25,737)		(18,730)	(22,111)
Carrying value	3,194	3,728	5,773	1,121	13,816	81,873	77,246	13,925	99,545	94,047
Of which:
Interest rate (1)	2,900	2,373	5,277	261	10,811	50,730	46,895	10,742	53,480	48,535
Exchange rate	292	1,352	488	860	2,992	30,938	30,106	3,168	45,829	45,237
Credit	2	3	8	-	13	205	245	15	236	275
Carrying value					13,816	81,873	77,246	13,925	99,545	94,047

Counterparty mark-to-market netting						(62,547)	(62,547)		(77,365)	(77,365)
Cash collateral						(12,380)	(7,580)		(14,079)	(9,761)
Securities collateral						(4,465)	(1,540)		(4,571)	(1,185)
Net exposure						2,481	5,579		3,530	5,736

Banks (2)						263	806		648	711
Other financial institutions (3)						1,252	1,899		1,732	1,969
Corporate (4)						910	2,840		1,068	2,969
Government (5)						56	34		82	87
Net exposure						2,481	5,579		3,530	5,736

UK						1,111	3,150		1,271	2,878
Europe						672	1,690		1,196	2,015
US						592	546		753	626
RoW						106	193		310	217
Net exposure						2,481	5,579		3,530	5,736

Asset quality of uncollateralised
derivative assets
AQ1-AQ4						2,056			3,014
AQ5-AQ8						422			500
AQ9-AQ10						3			16
Net exposure						2,481			3,530

	Central and local government			Financial
	UK	US	Other	institutions	Corporate	Total
30 June 2023	£m	£m	£m	£m	£m	£m
AAA	-	-	1,452	936	-	2,388
AA to AA+	-	5,478	1,596	1,290	3	8,367
A to AA-	2,703	-	382	511	102	3,698
BBB- to A-	-	-	1,415	227	645	2,287
Non-investment grade	-	-	-	58	61	119
Unrated	-	-	-	1	-	1
Total	2,703	5,478	4,845	3,023	811	16,860

Short positions	(2,377)	(2,493)	(4,293)	(1,911)	(137)	(11,211)

31 December 2022
AAA	-	-	469	766	3	1,238
AA to AA+	-	2,345	1,042	1,114	21	4,522
A to AA-	2,205	-	372	77	29	2,683
BBB- to A-	-	-	916	149	296	1,361
Non-investment grade	-	-	-	65	49	114
Unrated	-	-	-	1	3	4
Total	2,205	2,345	2,799	2,172	401	9,922

Short positions	(2,313)	(1,293)	(3,936)	(1,875)	(107)	(9,524)

CET1 ratio	The CET1 ratio decreased by 70 basis points to 13.5%. The decrease in CET1 ratio was due to a £1.0 billion decrease in CET1 capital and a £1.4 billion increase in RWAs. The CET1 decrease is mainly driven by: - the directed buyback of £1.3 billion; - a foreseeable ordinary dividend accrual of £0.8 billion; - a foreseeable charge for the on-market ordinary share buyback programme of £0.5 billion; - a £0.1 billion decrease in the IFRS 9 transitional adjustment, primarily due to the annual update in the dynamic stage transition percentage and the end of transition on the static and historic stages; - an increase in the intangible assets deduction of £0.3 billion; and - other movements on reserves and regulatory adjustments of £0.3 billion. These reductions were partially offset by the £2.3 billion attributable profit in the period.
MREL	MREL ratio as a percentage of risk-weighted assets decreased to 31.2% from 31.5% due to a £1.4 billion increase in RWAs and £0.2 billion decrease in MREL resources. The ratio remains well above the minimum of 22%, calculated as 2 x (Pillar 1 + Pillar 2A).
	In the first half of 2023 there were new issues of $3.3 billion and €1.5 billion senior unsecured debt and €0.7 billion Tier 2 instruments. These were partially offset by redemptions of $2.6 billion senior unsecured debt and £0.2 billion Tier 2 instruments.
Total RWAs	Total RWAs increased by £1.4 billion to £177.5 billion during H1 2023 reflecting: - an increase in operational risk RWAs of £1.1 billion following the annual recalculation. - an increase in counterparty credit risk RWAs of £1.0 billion, primarily due to the removal of credit risk mitigation for a particular trade in Q2 2023. - an increase in credit risk RWAs of £0.7 billion, primarily due to increased exposures within Retail Banking and Commercial & Institutional, in addition to model adjustments applied as a result of new regulations applied to IRB models. This was partially offset by reduced exposures within Ulster Bank RoI as a result of the phased withdrawal from the Irish market. - a reduction in market risk RWAs of £1.3 billion, primarily due to lower volatility than in Q4 2022, and further reductions in the capital multiplier for NWM Plc in Q2, driven by a fall in the VaR back-testing exception count.
UK leverage ratio	The leverage ratio decreased by 40 basis points to 5.0%. The decrease was due to a £1.0 billion decrease in Tier 1 capital and an £18.0 billion increase in leverage exposure. The key driver of the increase in leverage exposure was an increase in other financial assets, central bank exposures and other off balance sheet items.
Liquidity portfolio	The liquidity portfolio increased by £1.4 billion to £226.9 billion. Primary liquidity decreased by £14.1 billion to £147.5 billion, driven by a reduction in customer deposits, increased lending and capital distributions, partially offset by increase in wholesale funding. Secondary liquidity increased £15.5 billion due to an increase in pre-positioned collateral at the Bank of England.

Type	CET1	Total Tier 1		Total capital
Pillar 1 requirements	4.5%	6.0%		8.0%
Pillar 2A requirements	1.7%	2.3%		3.0%
Minimum Capital Requirements	6.2%	8.3%		11.0%
Capital conservation buffer	2.5%	2.5%		2.5%
Countercyclical capital buffer (1,2)	0.9%	0.9%		0.9%
MDA threshold (3)	9.6%		n/a		n/a
Overall capital requirement	9.6%	11.7%		14.4%
Capital ratios at 30 June 2023	13.5%	15.7%		18.8%
Headroom (4)	3.9%	4.0%		4.4%

	CET1	AT1	Tier 2	Total
	£m	£m	£m	£m
At 31 December 2022	24,992	3,875	5,053	33,920
Attributable profit for the period	2,299	-	-	2,299
Directed buyback	(1,259)	-	-	(1,259)
Foreseeable ordinary dividends	(780)	-	-	(780)
Foreseeable charges - on-market share buyback	(500)	-	-	(500)
Foreign exchange reserve	(492)	-	-	(492)
FVOCI reserve	60	-	-	60
Own credit	9	-	-	9
Share capital and reserve movements in respect of employee share
schemes	62	-	-	62
Goodwill and intangibles deduction	(337)	-	-	(337)
Deferred tax assets	170	-	-	170
Prudential valuation adjustments	4	-	-	4
Net dated subordinated debt instruments	-	-	348	348
Foreign exchange movements	-	-	(121)	(121)
Adjustment under IFRS 9 transitional arrangements	(138)	-	-	(138)
Other movements	(77)	-	157	80
At 30 June 2023	24,013	3,875	5,437	33,325