Natwest Group Plc · LSE:NWG

Natwest — Debt Investor Presentation (May 2020)

20 slides from Natwest's debt investor presentation, May 1, 2020

1. Slide 1: Q1 2020 Results Fixed Income Investors

   Q1 2020 Results Fixed Income Investors 1st May 2020 Classification: Public 1

2. Slide 2: Katie Murray, Chief Financial Officer

   Katie Murray, Chief Financial Officer 2

3. Slide 3: Key messages

   Key messages Our purpose: “We champion potential, helping people, families and businesses to thrive” Our purpose in action Responding to the Covid-19 crisis Balanced and consistent approach to risk Careful deployment of the balance sheet Starting from a position of strength Strong capital and liquid

4. Slide 4: Q1 2020 Income Statement

   Q1 2020 Income Statement £m Q1’20 Q1’19 Total income 3,162 3,037 Operating expenses (1,841) (1,938) o/w Litigation and conduct costs 4 (5) o/w Strategic costs (131) (195) o/w Other expenses (1,714) (1,738) Operating profit before impairment losses 1,321 1,099 Impairment losses (802) (86) Operating p

5. Slide 5: Business update: Q1'20 and April'20 approved lending

   ​Balanced and consistent approach to risk Business update: Q1’20 and April’20 approved lending Q1’20 Retail & Commercial net lending, £bn April ‘20 gross new lending, £bn +4% 13.1 8.0 0.3 4.8 1.3 2.0 321.0 307.9 152.8 110.9 1 Q4’19 Net UK PB Commercial Other Q1’20 Net Q1’20 Gross Gross new Q1’20 Gro

6. Slide 6: Well diversified retail and commercial book

   ​Balanced and consistent approach to risk Well diversified retail and commercial book Spotlight on UK PB loans Spotlight on Corporate loans2,3  Q1’20 £165bn in UK PB Loans of which:  Q1’20 £79bn in Corporate Loans of which, £bn: Shipping Airlines 1.2 Secured 92% 8% Unsecured Retail 2.5 Automotive

7. Slide 7: ECL and Impairment

   ECL and Impairment Movement in ECL1, £bn 4.2 0.6 3.7 0.3 0.2 £[x] billion ECL Q1’20 Q1’20 Q1’20 ECL Q4’19 Write offs2 Impairment charge MES overlay Q1’20 Multiple Economic Scenario Overlay charge by business £m Commercial Private NatWest Central UK PB Ulster RBSI Total Banking Banking Markets & othe

8. Slide 8: Multiple economic scenario overlay (MES)

   Multiple economic scenario overlay (MES) Approach to Multiple economic scenario overlay  Utilised established internal stress testing analysis on which to base an Multiple economic scenario overlay to ECL alongside significant RBS judgement.  The stress scenario included a rise in unemployment to

9. Slide 9: IFRS 9 implications of customer support

   IFRS 9 implications of customer support Customer payment holidays  Payment holidays do not automatically trigger a Significant Increase in Credit Risk (SICR) when granted – no automatic move to Stage 2 if customers were not subject to any other SICR triggers  Accrual of arrears is being suspended

10. Slide 10: Q1'20 update on targets and guidance

    Q1’20 update on targets and guidance1 2020 targets and guidance Q1 Update Regulatory Personal Banking: c.£200m negative impact on impact Reiterate guidance income Costs Cost take-out target: £250m2 Committed to cost take-out target Strategic costs target: £0.8-1.0bn 2020 strategic costs to be at low

11. Slide 11: Donal Quaid, Treasurer

    Donal Quaid, Treasurer 11

12. Slide 12: Treasurer's View

    Treasurer’s View COVID response supported by strong capital and liquidity resources, with significant headroom above minimum requirements Increased capacity reflects reduction in CCyB and action on 2020 capital distributions Stable, diversified funding mix to support customer lending Issuance plans

13. Slide 13: Strong capital & leverage positions

    Strong capital & leverage positions Capital Ratios (% RWA, leverage exposure) Total Capital UK Leverage CET1 Ratio LAC ratio2 Starting point capital ratios reflect a track Ratio Ratio record of underlying capital generation, 16.6% 21.4% 34.1% 5.8% active de-risking and RWA management CET1 headroom a

14. Slide 14: Prudent liquidity management, diversified funding

    Prudent liquidity management, diversified funding Liquidity Portfolio (£bn) Liquidity coverage ratio Total funding mix (£bn)1,2 £49.5bn surplus liquidity over minimum £198bn £199bn £201bn requirement £54bn 70.2 74.4 67.7 LDR Secondary liquidity4 152% Other government 3.9 4.0 £439bn 3.9 AAA to AA- 38

15. Slide 15: 2020 issuance guidance maintained, subject to market conditions

    2020 issuance guidance maintained, subject to market conditions Continued diversification of issuance across a range of formats, currencies and tenors GBP equivalent RBS Group plc NatWest Markets Plc NatWest Bank Plc £2-£4bn, of which up to MREL n/a n/a Senior £1bn in GSS1 format Non-MREL n/a £3-5bn

16. Slide 16: Credit ratings

    Credit ratings Moody’s S&P Fitch RBS Group Baa2/Pos BBB/Neg A/Neg Inside the ring-fence Natwest Bank Plc A1*/A2/Pos A/Neg A+/Neg Royal Bank of Scotland plc A1*/A2/Pos A/Neg A+/Neg Ulster Bank Ireland DAC A3*/Baa1/Pos A-/Neg A-/Neg Ulster Bank Ltd A1*/A2/Pos A/Neg A+/Neg Outside the ring-fence NatWes

17. Slide 17: Q&A

    Q&A 17

18. Slide 18: Appendix

    Appendix 18

19. Slide 19: Risk Weighted Asset (RWA) movement

    Risk Weighted Asset (RWA) movement RWA (£bn) by category (0.7)  Mortgage floor increase delayed 1.3 to 1 Jan 2022 5.4  Future RWA movement 185.2 considerations include:  RWA intensity 179.2  Volumes – CBILS FY’19 Credit Counterparty Operational Q1’20  Mix Risk Risk Risk RWA (£bn) by business 1.

20. Slide 20: Cautionary & forward looking statements

    Cautionary & forward looking statements The targets, expectations and trends discussed in this presentation represent RBSG, and where applicable NWM Important factors that could affect the actual outcome of the forward-looking statements management’s, current expectations and are subject to change,

NatWest Group — Debt Investor Presentation (May 2020) on 6ix