Natwest Group Plc · LSE:NWG

Natwest — Debt Investor Presentation (February 2024)

31 slides from Natwest's debt investor presentation, Feb 16, 2024

  1. Slide 1: Fixed income investors

    16 February 2024 Fixed income investors

  2. Slide 2: Katie Murray, Chief Financial Officer

    NatWest UI *. “ Katie Murray “©" Chief Financial Officer

  3. Slide 3: Strong returns with attributable profit of £4.4bn

    Strong returns with £14.3bn £7.6bn 17.8% attributable profit of Income ex notable items1 Costs2 Return on Tangible Equity £4.4bn +10% vs FY’22 +5% vs FY’22 vs 12.3% in FY’22 Significant capital 17p £2.1bn 13.4% generation and £3.6bn Ordinary dividend per Buybacks share Includes new £300m -CET1 ratio

  4. Slide 4: Strategic priorities

    • Meet more of our customers’ • Digitise journeys to improve • Allocate capital dynamically to needs, diversifying income customer experience optimise returns • Improve share in targeted • Streamline platforms, processes • Maintain strong asset quality segments, subject to returns and systems throug

  5. Slide 5: Group financial summary, £m

    FY'23 vs Q4'23 vs Q4'23 vs Group, £m FY'23 FY'22 FY'22 Q4'23 Q3'23 Q4'22 Q3'23 Q4'22 1 Net interest income, ex notable items 11,081 9,883 12.1% 2,670 2,685 2,909 (0.6%) (8.2%) 1 Non-interest income, ex notable items 3,258 3,178 2.5% 772 829 857 (6.9%) (9.9%) 1 Total income, ex notable items 14,339 1

  6. Slide 6: Income and net interest margin

    14,339 3,514 3,442 13,061 3,258 829 772 Non interest income 3,178 Net interest income 9,883 11,081 2,685 2,670 FY’22 FY’23 Q3’23 Q4’23 544 521 521 525 Group AIEAs 199 158 158 158 Liquid asset buffer Bank AIEAs 345 363 363 367 FY’22 FY’23 Q3’23 Q4’23 +31bps3 -6bps 205 212 (1) 10 181 (5) 41 199 (21) 0

  7. Slide 7: Key drivers of income in 2024

    Key drivers of income in 2024 BOE Base Rate cuts and deposit pass through Deposit volumes and mix Product structural hedge volume and reinvestment rate Mortgage volumes and margins In 2024 we expect Income excluding notable items to be £13.0 — 13.5bn

  8. Slide 8: Operating expenses and cost drivers

    Bank Levy Ulster Direct Other operating expenses excl. Ulster direct and Bank levy C:I ratio1 55.5% 51.8% +4.6% Broadly stable vs 7,641 FY’23 7,302 29 41 101 109 ~0.1bn ~0.1bn 101 168 275 433 7,257 7,468 6,768 FY’22 Staff costs Other Premises Depreciation FY’23 Annualised Bank Levy Ulster Inflation

  9. Slide 9: Lending by business segment

    199.9 Mortgages1 205.9 Q4’22 • 10.5% flow share in Q4’23 205.4 Q3’23 • 12.7% stock share at FY’234 14.2 Q4’23 Unsecured1 15.5 15.8 • 8.5% stock share at FY’23, 4.4 up from 6.9% at FY’225 Other Private 4.6 4.5 Business 2.3 Banking2,3 2.0 1.9 • Housebuilding and vehicle asset 67.4 finance Commercial +

  10. Slide 10: Loan book: Personal and Wholesale

    Personal: £223.8bn, 57% of group Wholesale: £168.3bn, 43% of group Group mortgages £208.3bn Corporate £77.3bn Loan-to-value of 55%1, stable year-on-year Out of scope of FCA review into broker- introduced personal Car Finance5 64% 5Y, 24% 2Y, 1% 10Y, 6% Tracker2, 4% SVR Diverse corporate loan book, w

  11. Slide 11: Impairments and ECL scenarios

    H1'23 FY'23 Extreme Extreme Upside Base Case Downside Upside Base Case Downside downside downside 19.5% 45.0% 21.5% 14.0% 21.2% 45.0% 20.4% 13.4% Additional Stage 1 and 2 ECL at 100% weighting (355) (148) 214 1,558 (309) (132) 220 977 H1'23 FY'23 Change FY'23 Extreme Downside Weighted-average variab

  12. Slide 12: Focused on returns, committed to returning surplus capital

    Focused on returns Committed to returning surplus capital to shareholders Underpinned by a strong Balance Sheet 12

  13. Slide 13: Donal Quaid, Group Treasurer

    NatWest UI ij ile Donal Quaid - {Group Treasurer SS > wa > > @~F > = | = a = : =

  14. Slide 14: Capital, liquidity and funding metrics

    Capital and leverage 13.4% 18.4% 30.5% 5.0% £183.0bn Risk weighted CET1 ratio Total capital ratio MREL ratio UK leverage ratio assets Liquidity and 84% funding 144% 133% Loan to deposit £419.1bn. £80bn. Liquidity coverage Net stable funding ratio Customer Wholesale funding ratio ratio (ex repos and

  15. Slide 15: Liquidity portfolio

    152% 145% 144% 3% 5% 24% Secondary liquidity £75bn Total liquidity value £223bn 67% FY’19 FY’22 FY’23 Cash and balances at central banks High quality government bond Extremely high-quality covered bonds Level 2 eligible assets Numbers may not cast due to rounding 15

  16. Slide 16: Customer deposits

    £433bn £422bn £421bn £424bn £419bn -3% Q4’22 76.3 112.1 188.4 6% 8% 11% Retail 15% 16% Q3’23 68.0 116.5 184.5 Banking Q4’23 66.1 121.9 188.0 54% 52% Q4’22 12.3 28.9 41.2 52% 50% Private 50% Q3’23 7.8 29.4 37.2 Banking Q4’23 7.2 30.5 37.7 Q4’22 86.7 116.6 203.3 Commercial Q3’23 40% 40% 37% 71.3 130.5

  17. Slide 17: CET1 ratio and regulatory requirements

    13.4% 13-14% 5.0% 4.25% 1.2% 3.85% 10.5% 0.40 MDA2 Min. 1.7% 0.60 Requirement 2.5% 1.8% 3.25 4.5% FY’23 Regulatory FY’23 Regulatory requirement requirement Management buffer Capital conservation buffer O-SII group risk add-on3 O-SII group risk add-on3 Pillar 2A5 Countercyclical leverage ratio buffer

  18. Slide 18: CET1 ratio movement and distributions

    154bps1 underlying capital generation 195bps distributions in FY’23 in FY’23 (0.63) (0.24) (0.24) 15.3 2.41 (0.19) 14.2 (0.82) (0.44) (0.69) 13.4 FY’22 Attrib. profit1 Other Group Other CET1 RWA model Notable CET1 ratio Ordinary On market Directed FY’23 RWAs changes updates items 2 pre dividend buyb

  19. Slide 19: Total capital and MREL position

    18.4% 30.5% Tier 2 2.9% 15.4% Senior MREL 1.2% AT1 1.7% 2.1% Tier 2 12.1% 2.8% 2.5% AT1 2 x Pillar 2A3 2.1% 6.5% 22.5% MREL eligible MREL CET1 CET1, AT1 & requirement Tier 2 capital 2 x Pillar 1 13.4% CET1 resources 2 x Pillar 1 10.5% 18.4% CET1 16.0% O-SII Group Risk Add-on4 Countercyclical buffer5

  20. Slide 20: Issuance plans

    Holding company Senior unsecured MREL £4bn to £5bn ~£4bn NatWest Group plc Tier 2 capital £1bn to £2bn ~£600m Additional Tier 1 Up to £1bn - Operating companies NatWest Markets Plc Senior unsecured (non-MREL)1 £3bn to £5bn £2.4bn NatWest Bank Plc Senior secured (Covered bond) Up to £1bn - 20

  21. Slide 21: Katie Murray, Chief Financial Officer

    NatWest UI . «. Katie Murray ©" Chief Financial Officer

  22. Slide 22: Focused on returns, committed to returning surplus capital

    Focused on returns Committed to returning surplus capital to shareholders Underpinned by a strong Balance Sheet 22

  23. Slide 23: Q&A

  24. Slide 24: Appendix

  25. Slide 25: Credit ratings

    Moody’s S&P Fitch Group holding company NatWest Group plc A3/Sta BBB+/Sta A/Sta Ring-fenced bank operating companies NatWest Bank Plc A1/Sta1 A+/Sta A+/Sta Royal Bank of Scotland plc A1/Sta1 A+/Sta A+/Sta NatWest Bank Europe GMBH NR A+/Sta A+/Sta Non ring-fenced bank operating companies NatWest Mark

  26. Slide 26: Funding profile

    77 £[X]bn 7% 10% 7% 5% 4% 74 80 23% 15% 35% 28% £80bn £80bn 36% £60bn 14% 50% 480 450 30% 36% 431 Bank deposits Up to 1 Yr TFSME 1-3 Yrs GBP USD CP & CD 3-5 Yrs EUR Other 2021 2022 2023 MTN 3 > 5 Yrs Customer deposits Wholesale funding Senior secured Subordinated debt 26

  27. Slide 27: Issuance structure

    External issuance of AT1, Tier 2 and MREL is only from NatWest Group plc, the group holding company. Subsidiary operating companies will only issue internal AT1, Non ring-fenced bank (NRFB) operating subsidiaries Issue internal Tier 2 and MREL. AT1, T2, MREL senior NatWest Bank Plc issues senior sec

  28. Slide 28: Capital and internal MREL by entity

    NatWest NatWest NatWest Royal Bank of Ulster Bank NatWest FY 2023 Holdings Markets RBSI Bank Plc Scotland plc Ireland DAC Markets Plc Limited N.V. Capital and leverage metrics CET1 ratio 12.7% 11.6% 11.2% 43.1% 17.1% 19.0% 17.5% Tier 1 ratio 15.1% 13.4% 13.9% 43.1% 20.2% 22.1% 21.4% Total Capital ra

  29. Slide 29: Footnotes

    Slide 3: 1. Total income excluding notable items. 2. Costs excluding litigation and conduct. 3. £3.6bn includes £1.3bn Directed Buyback executed in May’23, £0.5bn on-market buyback announced in H1’23, £0.3bn on- market buyback announced 16th Feb ’24, £0.5bn interim dividend paid in Sept’23 and £1.0b

  30. Slide 30: Cautionary and Forward-looking statements

    Cautionary and Forward-looking statements The guidance, targets, expectations and trends discussed in this presentation represent NatWest Group management’s current expectations and are subject to change, including as a result of the factors described in the “Risk Factors” in the NatWest Group plc 2

  31. Slide 31: Group Treasury and Investor Relations contacts

    Group Treasury Investor Relations Scott Forrest Paul Pybus Amber Sekhri Head of Capital Strategy & Head of Debt Investor Relations Fixed Income Corporate Access Treasury Debt Capital Markets paul.pybus@natwest.com amber.sekhri@natwest.com scott.forrest@natwest.com +44 (0) 207 672 1758 +44 (0) 207 67

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