Natwest Group PLC

Quarterly Report • Apr 29, 2022

National Storage Mechanism | Additional information RNS Number : 7884J NatWest Group plc 29 April 2022 Q1 2022 Interim Management Statement natwestgroup.com NatWest Group plc Q1 2022 Interim Management Statement Chief Executive, Alison Rose, commented: "The world has changed considerably during the last three months. Our thoughts are with everyone affected by the invasion of Ukraine and we are doing all that we can to support them. We are also very aware of the challenges and concerns the cost-of-living crisis is causing for many of our customers up and down the country. NatWest Group is focused on providing practical help and support for the people, families and businesses we serve. Despite the challenging environment, I am pleased with our performance as we continue to execute well against our strategy, driving sustainable growth and returns. Income and profits are substantially up, costs are down and we remain well capitalised as we build long-term value and deliver a simpler and better banking experience for our customers. Government ownership also reduced to around 48% in Q1; the first time it has fallen below 50% since the financial crisis. This was an important milestone for our bank and a further demonstration of the progress we are making as we continue to deliver for our customers and shareholders." Strong Q1 2022 operating performance - Q1 2022 attributable profit of ��841 million and a return on tangible equity of 11.3%. - Go-forward group(1) income excluding notable items increased by ��219 million, or 8.6%, compared with Q1 2021 principally reflecting volume growth and favourable yield curve movements. - Bank net interest margin (NIM) of 2.46% was 15 basis points higher than Q4 2021 principally reflecting the impact of recent base rate rises. - Other operating expenses in the Go-forward group were ��78 million, or 4.6%, lower than Q1 2021. - A total net impairment release of ��38 million, ��7 million in the Go-forward group, reflected the low levels of realised losses we continue to see across our portfolio, although the economic outlook remains uncertain. Robust balance sheet with strong capital and liquidity levels - Net lending for the Go-forward group increased by ��6.7 billion to ��359.0 billion in comparison to Q4 2021 principally reflecting Retail Banking mortgage growth of ��2.6 billion and a ��2.4 billion increase across Commercial & Institutional. - Customer deposits for the Go-forward group increased by ��4.2 billion in the quarter to ��465.6 billon driven by treasury repo activity and continued growth across the segments. - RWAs increased by ��0.5 billion to ��176.8 billion compared with 1 January 2022. - CET1 ratio of 15.2% was 70 basis points lower than 1 January 2022, principally reflecting the impact of the directed buyback. - The liquidity coverage ratio (LCR) of 167%, representing ��83.3 billion above 100%, decreased by 5 percentage points compared with Q4 2021. Outlook(2) - We retain the outlook guidance provided in the 2021 Annual Report and Accounts, although we now expect 2022 income excluding notable items to be comfortably above ��11.0 billion in the Go-forward group. (1) Go-forward group excludes Ulster Bank RoI and discontinued operations. (2) The guidance, targets, expectations and trends discussed in this section represent NatWest Group plc management's current expectations and are subject to change, including as a result of the factors described in the NatWest Group plc Risk Factors section on pages 406 to 426 of the 2021 Annual Report and Accounts. These statements constitute forward-looking statements. Refer to Forward-looking statements in this announcement. Our Purpose in action We champion potential, helping people, families and businesses to thrive. As a relationship bank for a digital world, we are breaking down barriers, building financial confidence and delivering sustainable growth and sustainable returns by living up to our purpose. Some key achievements from Q1 2022: People and families - We supported customers with 2.8 million financial capability interactions in Q1 2022, with 0.2 million financial health checks carried out. - Alongside footballer and campaigner Marcus Rashford MBE, we have created a programme designed to support young people in communities across the UK to learn about and develop a positive relationship with money. - Our new Credit Score Predictor allows customers to simulate different scenarios to see the impact these could have on their credit score, supporting them to improve their financial health. - The new Round Ups feature in our mobile banking app helps our customers save their small change every time they use their debit card or contactless device. Since its launch in Q1 2022, 644,000 customers have switched the feature on, saving more than ��10 million as a result. - We are the first UK high street bank to launch a bill-splitting function - Split Bill - in our banking app using Open Banking, making it simple to split bills with friends and family. - From 1 February 2022, the Personal Portfolio Funds (PPF), available through NatWest Invest, Royal Bank Invest and Coutts Invest, include a commitment that a minimum of 50% of assets by value in each fund will be on a Net Zero Trajectory(1). Businesses - ��5.6 billion of climate and sustainable funding and financing was completed in Q1 2022, bringing the cumulative contribution to ��13.6 billion against our target to provide ��100 billion between 1 July 2021 and the end of 2025. - Collaborating with CoGo, we launched the pilot of an app to selected manufacturing and transport business banking customers to track their carbon footprint using their transaction data. - We announced a collaboration with Workplace owner Meta to offer female business owners training and support, as well as opportunities to expand business connections and networks. - As part of our commitment to help businesses benefit from the transition to net zero, we announced a new Clean Transport Accelerator hub in collaboration with the Warwick Manufacturing Group (WMG) at the University of Warwick, providing coaching, workspace and access to clean-energy, manufacturing and automotive experts at WMG. - We also announced a new Accelerator hub facility offering specialist support to scale-up businesses across London. Colleagues - We have worked with over 11,000 colleagues, customers and community partners to introduce a refreshed set of values that will guide and inspire us in everything we do. - The Ignite leadership development programmes were launched for female and Black, Asian and Minority Ethnic colleagues, with 90 places available on both programmes. - We have recently been ranked in the top 50 of the Top 100 Employers in Stonewall's Workplace Equality Index, rewarding our commitment to being an LGBT+ inclusive employer. Communities - In response to the Russian invasion of Ukraine, NatWest Group colleagues and customers have donated ��7.9 million (as at the end of Q1 2022) to the Disasters Emergency Committee's Ukraine Humanitarian Appeal, which includes NatWest Group matching of ��2.5 million. - As the cost of living rises, we are doing more to help customers in vulnerable situations. Through our partnership with Citizens Advice, 2,100 customers have been referred by the bank and helped with complex advice needs in the last year alone. - We announced that we are giving our shareholders their say on climate through the bank's first climate resolution. The resolution is intended to promote transparency about the bank's climate ambitions and strategic direction. - In Retail Banking, we completed ��234 million of Green Mortgages in Q1 2022, rewarding customers for choosing an energy efficient home. - We have installed electric vehicle (EV) chargers in 325 parking spaces across our Gogarburn, Liverpool, Bristol and Belfast offices - the early actions of our goal to have EV charging available for 15% of our car parking spaces by 2025. - NatWest Group and NatWest Markets Group won four titles in the 2022 Environmental Finance Bond Awards. The awards won reflect the bank's impactful role as both an issuer and intermediary. (1) Net Zero Trajectory is a commitment, credible plan or action taken to achieve net zero greenhouse gas emissions by 2050. Business performance summary Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Continuing operations Total income 3,027 2,622 2,591 Operating expenses (1,820) (2,328) (1,804) Profit before impairment releases 1,207 294 787 Operating profit before tax 1,245 635 885 Profit attributable to ordinary shareholders 841 434 620 Excluding notable items within total income (1) Total income excluding notable items (2) 2,803 2,560 2,600 Operating expenses (1,820) (2,328) (1,804) Profit before impairment releases and excluding notable items 983 232 796 Operating profit before tax and excluding notable items 1,021 573 894 Go-forward group (3) Total income (2) 2,987 2,579 2,535 Total income excluding notable items (2) 2,763 2,517 2,544 Other operating expenses (1,605) (2,034) (1,683) Return on tangible equity 11.9% 5.6% 8.5% Performance key metrics and ratios Bank net interest margin (2,4) 2.46% 2.31% 2.32% Bank average interest earning assets (2,4) ��333bn ��329bn ��321bn Cost:income ratio (2) 59.7% 88.6% 69.2% Loan impairment rate (2) (1bps) (38bps) (11bps) Total earnings per share attributable to ordinary shareholders - basic 7.5p 3.8p 5.1p Return on tangible equity (2) 11.3% 5.6% 7.9% ��bn ��bn ��bn Balance sheet Total assets 785.4 782.0 769.8 Funded assets (2) 685.4 675.9 646.8 Loans to customers - amortised cost 365.3 359.0 358.7 Loans to customers and banks - amortised cost and FVOCI 375.7 369.8 371.0 Go-forward group net lending 359.0 352.3 341.8 Impairment provisions - amortised cost 3.6 3.8 5.6 Total impairment provisions 3.7 3.8 5.8 Expected credit loss (ECL) coverage ratio 0.98% 1.03% 1.56% Assets under management and administration (AUMA) (2) 35.0 35.6 32.6 Go-forward group customer deposits (2) 465.6 461.4 434.9 Customer deposits 482.9 479.8 453.3 Liquidity and funding Liquidity coverage ratio (LCR) 167% 172% 158% Liquidity portfolio 275 286 263 Net stable funding ratio (NSFR) (5) 152% 157% 153% Loan:deposit ratio (2) 73% 72% 77% Total wholesale funding 76 77 61 Short-term wholesale funding 22 23 20 Capital and leverage Common Equity Tier (CET1) ratio (6) 15.2% 18.2% 18.2% Total capital ratio (6) 20.4% 24.7% 24.8% Pro forma CET1 ratio, pre dividend accrual (7) 16.1% 19.5% 18.6% Risk-weighted assets (RWAs) 176.8 157.0 164.7 UK leverage ratio (8) 5.5% 5.9% 6.4% Tangible net asset value (TNAV) per ordinary share 269p 272p 261p Number of ordinary shares in issue (millions) (9) 10,622 11,272 11,560 (1) Refer to the following page for details of notable items within total income. (2) Refer to the Non-IFRS financial measures appendix for details of basis of preparation and reconciliation of non-IFRS financial measures and performance metrics. (3) Go-forward group excludes Ulster Bank RoI and discontinued operations. (4) NatWest Group excluding Ulster Bank RoI and liquid asset buffer. (5) NSFR reported in line with PRA Rulebook. Comparative historic numbers calculated in line with CRR2 regulations finalised in June 2019. (6) Based on the PRA Rulebook Instrument transitional arrangements, therefore includes transitional relief on grandfathered capital instruments and transitional arrangements for the capital impact of IFRS 9 expected credit loss (ECL) accounting. For additional information, refer to page 23. As already announced in the Q4 2021 results, on 1 January 2022 the proforma CET1 ratio was 15.9% following regulatory changes. (7) The pro forma CET1 ratio at 31 March 2022 excludes foreseeable items of ��1,623 million, ��1,096 million for ordinary dividends and ��527 million foreseeable charges (31 December 2021 excludes foreseeable charges of ��2,036 million, ��846 million for ordinary dividends and ��1,190 million foreseeable charges and pension contributions; 31 March 2021 excludes foreseeable charges of ��547 million for ordinary dividends). (8) The UK leverage exposure is calculated in accordance with the Leverage Ratio (CRR) part of the PRA Rulebook, and transitional Tier 1 capital is calculated in accordance with the PRA Rulebook. For additional information, refer to page 23. (9) The number of ordinary shares in issue excludes own shares held. Summary consolidated income statement for the period ended 31 March 2022 Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Net interest income 2,045 1,942 1,864 Non-interest income 982 680 727 Total income 3,027 2,622 2,591 Litigation and conduct costs (102) (190) (16) Other operating expenses (1,718) (2,138) (1,788) Operating expenses (1,820) (2,328) (1,804) Profit before impairment releases 1,207 294 787 Impairment releases 38 341 98 Operating profit before tax 1,245 635 885 Tax charge (386) (234) (233) Profit from continuing operations 859 401 652 Profit from discontinued operations, net of tax 42 97 61 Profit for the period 901 498 713 Attributable to: Ordinary shareholders 841 434 620 Preference shareholders - 5 5 Paid-in equity holders 59 58 87 Non-controlling interests 1 1 1 901 498 713 Notable items within total income (1) Private Banking Consideration on the sale of Adam & Company investment management business - 54 - Commercial & Institutional Fair value and disposal losses and asset disposals/strategic risk reduction (2) - (16) (18) Own credit adjustments (OCA) 18 3 2 Central items & other Share of associate profits for Business Growth Fund 23 11 121 Loss on redemption of own debt (24) - (118) Liquidity Asset Bond sale gains 41 50 5 Property strategy update - (44) - IFRS volatility in Central items & other (3) 166 3 (1) Own credit adjustments (OCA) - 1 - Total 224 62 (9) (1) Refer to page 1 of the Non-IFRS financial measures appendix. (2) As previously reported Q4 2021 includes fair value and disposal losses in the banking book of ��4 million (Q1 2021 - ��14 million) and ��12 million (Q1 2021 - ��4 million) of asset disposals/strategic risk reduction relating to the costs of exiting positions, which includes changes in carrying value to align to the expected exit valuation, and the impact of risk reduction transactions entered into, in respect of the strategic announcements of 14 February 2020. (3) IFRS volatility relates to derivatives used for risk management not in IFRS hedge accounting relationships. Non-IFRS financial measures This document contains a number of non-IFRS financial measures and performance metrics not defined under IFRS. For details of the basis of preparation and reconciliations, where applicable, refer to the appendix. Business performance summary Chief Financial Officer review In the first quarter of 2022 we have made good progress against our strategic objectives and have delivered a strong financial performance, with a RoTE of 11.3%. We remain on track to achieve the targets we announced as part of our full year results in February and our capital and liquidity position remains robust. We continue to monitor the evolving economic outlook, including any indirect impacts on NatWest Group and our customers from the Russian invasion of Ukraine, which is having consequences for geopolitical stability, energy supply and prices, and cross-border financial transactions, including as a result of economic sanctions. Financial performance Total income increased by 16.8% to ��3,027 million compared with Q1 2021. Excluding notable items, Go-forward group income was 8.6% higher than Q1 2021 driven by volume growth, principally in our mortgage book, and favourable yield curve movements. We have also seen increased fee income in Retail Banking, as consumer spending levels recover, and higher transactional banking fee income in Commercial & Institutional. Bank NIM of 2.46% was 15 basis points higher than Q4 2021 principally reflecting the beneficial impact of recent base rate rises. Mortgage completion margins of 66 basis points decreased from 107 basis points in Q4 2021, and were lower than the back book margin of 158 basis points. Mortgage application margins declined from 67 basis points in Q4 2021 to 44 basis points, reflecting a steep rise in swap rates not fully matched by the increases made to our new business pricing. Other operating expenses in the Go-forward group were ��78 million, or 4.6%, lower than Q1 2021 largely reflecting ongoing cost discipline and some one-off items in the prior period. We remain on track to achieve our full year cost reduction target of around 3%, although savings will not be linear across the remaining quarters. We have reported a total ��38 million impairment release, ��7 million in the Go-forward group. ECL provisions have reduced to ��3.7 billion and ECL coverage ratio decreased to 0.98%. This impairment release reflects a decrease in underlying exposures, continued positive trends in portfolio performance and write-off activity. We recognise the significant uncertainty in the economic outlook and whilst we are comfortable with the strong credit performance of our book, our economic uncertainty post model adjustments (PMA) of ��0.7 billion includes an increase of ��0.1 billion to reflect the increased concerns arising from the Russian invasion of Ukraine and rising inflation. This level is 18.9% of total impairment provisions. We will continue to assess this position regularly. As a result, we are pleased to report a Q1 2022 attributable profit of ��841 million, with earnings per share of 7.5 pence and a RoTE of 11.3%. Go-forward group net lending increased by ��6.7 billion over the quarter including ��2.6 billion of mortgage lending growth in Retail Banking and ��2.4 billion of growth in Commercial & Institutional. Unsecured balances in Retail Banking continued to grow in the quarter, with increased demand for unsecured lending and increased consumer spending, partly offset by expected seasonal paydowns. Retail Banking gross new mortgage lending was ��9.1 billion in the quarter, compared with ��8.4 billion in Q4 2021 and ��9.6 billion in Q1 2021. Go-forward group customer deposits increased by ��4.2 billion compared with Q4 2021 as a result of treasury repo activity and continued growth across the franchises. TNAV per share decreased by 3 pence in the quarter to 269 pence principally reflected movements in the cashflow hedging and other reserves, partially offset by the attributable profit for the period. Capital and leverage Following the successful directed buyback in March 2022, the CET1 ratio remains strong at 15.2%, or 15.0% excluding IFRS 9 transitional relief. The 70 basis points reduction compared with 1 January 2022 principally reflected the directed buyback and other distribution accruals partially offset by the attributable profit. RWAs of ��176.8 billion were ��0.5 billion higher than 1 January 2022. Funding and liquidity The LCR reduced by 5 percentage points to 167%, representing ��83.3 billion headroom above 100% minimum requirement primarily due to an increase in customer lending which outstripped growth in customer deposits, and share buyback. Total wholesale funding decreased by ��1 billion in the quarter to ��76 billion. Business performance summary Retail Banking Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Total income 1,217 1,164 1,056 Operating expenses (645) (774) (587) of which: Other operating expenses (591) (722) (585) Impairment losses (5) (5) (34) Operating profit 567 385 435 Return on equity 23.1% 19.7% 23.0% Net interest margin 2.43% 2.28% 2.25% Cost:income ratio 53.0% 66.5% 55.6% Loan impairment rate 1bps 1bps 8bps As at 31 March 31 December 2022 2021 ��bn ��bn Net loans to customers - amortised cost 184.9 182.2 Customer deposits 189.7 188.9 RWAs 52.2 36.7 During Q1 2022, Retail Banking continued to pursue sustainable growth with a measured approach to risk, delivering an operating profit of ��567 million. Retail Banking completed ��0.7 billion of climate and sustainable funding and financing in Q1 2022 which will contribute towards the NatWest Group target of ��100 billion between 1 July 2021 and the end of 2025. - Total income was ��161 million, or 15.2%, higher than Q1 2021 reflecting higher deposit income, supported by recent base rate rises, combined with higher mortgage balances and higher transactional-related fee income, partially offset by lower mortgage margins. - Net interest margin was 15 basis points higher than Q4 2021 reflecting higher deposit returns partly offset by mortgage margin pressure. Mortgage completion margins of 59 basis points were lower than the back book margin of 155 basis points, with application margins of 37 basis points in the quarter, reflecting a steep rise in swap rates not fully matched by the increases made to our new business pricing. - Other operating expenses were ��6 million, or 1.0%, higher than Q1 2021 with higher technology and investment spend partly offset by an 11.4% reduction in operational headcount, as a result of continued customer digital adoption and automation of end-to-end customer journeys. - Impairment losses of ��5 million in Q1 2022 continue to reflect a low level of stage 3 defaults, largely offset by provision releases in stage 1 and 2. - Net loans to customers increased by ��2.7 billion, or 1.5% compared with Q4 2021 reflecting continued mortgage growth of ��2.6 billion, with gross new mortgage lending of ��9.1 billion representing flow share of around 12%. Personal advances increased by ��0.1 billion as customer demand continued to increase. - Customer deposits increased by ��0.8 billion, or 0.4%, compared with Q4 2021 as growth normalised towards pre-pandemic levels. - RWAs were ��15.5 billion higher than Q4 2021 primarily reflecting 1 January 2022 regulatory changes. Business performance summary Private Banking Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Total income 216 253 185 Operating expenses (139) (155) (121) of which: Other operating expenses (138) (150) (126) Impairment releases 5 12 - Operating profit 82 110 64 Return on equity 18.2% 21.3% 12.4% Net interest margin 3.07% 2.67% 2.64% Cost:income ratio 64.4% 61.3% 65.4% Loan impairment rate (11)bps (26)bps - Net new money (��bn) (1) 0.8 0.7 0.6 As at 31 March 31 December 2022 2021 ��bn ��bn Net loans to customers - amortised cost 18.7 18.4 Customer deposits 40.3 39.3 RWAs 11.5 11.3 Assets under management (AUMs) (2) 29.6 30.2 Assets under administration (AUAs) (2) 5.4 5.4 Total assets under management and administration (AUMA) (2) 35.0 35.6 (1) Net new money refers to client cash inflows and outflows relating to investment products (this can include transfers from saving accounts). Net new money excludes the impact of EEA resident client outflows following the UK's exit from the EU. (2) AUMA comprises both assets under management (AUMs) and assets under administration (AUAs) serviced through the Private Banking franchise. For further details refer to the non-IFRS financial measures appendix. Private Banking return on equity of 18.2% and operating profit of ��82 million in Q1 2022 was supported by a strong operating performance and continued lending and deposit balance growth. - Total income was ��31 million, or 16.8%, higher than Q1 2021 primarily due to higher deposit income, supported by recent base rate rises, partially offset by higher cost of lending. Net interest margin of 3.07% was 40 basis points higher than Q4 2021 reflecting higher deposit returns. - Other operating expenses were ��12 million, or 9.5%, higher than Q1 2021 principally due to increased headcount and investment to enhance AUMA growth propositions. - A net impairment release of ��5 million in Q1 2022 reflected continued low levels of credit risk in the portfolio. - Net loans to customers increased by ��0.3 billion, or 1.6%, compared with Q4 2021 due to continued strong mortgage lending growth, whilst RWAs increased by ��0.2 billion, or 1.8%. - Net new money of ��0.8 billion represents 9.1% of opening AUMAs annualised and has increased by 33.3% compared with Q1 2021. AUMA balances have reduced by ��0.6 billion, or 1.7%, compared with Q4 2021 as a result of adverse market movements. Business performance summary Commercial & Institutional Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Net interest income 803 764 725 Non-interest income 572 404 528 Total income 1,375 1,168 1,253 Operating expenses (922) (1,059) (915) of which: Other operating expenses (880) (1,012) (915) Impairment releases 11 317 125 Operating profit 464 426 463 Return on equity 8.8% 8.3% 8.5% Net interest margin 2.69% 2.52% 2.40% Cost:income ratio 66.3% 90.4% 72.3% Loan impairment rate (3)bps (101)bps (38)bps As at 31 March 31 December 2022 2021 ��bn ��bn Net loans to customers - amortised cost 126.6 124.2 Customer deposits 217.9 217.5 Funded assets 334.6 321.3 RWAs 100.3 98.1 Depositary assets (1) 455.8 479.4 (1) Assets held by Commercial & Institutional as an independent trustee and in a depositary service capacity. As previously announced, we have brought together our Commercial Banking, NatWest Markets and RBS International businesses to form a single franchise, Commercial & Institutional, with common management and objectives to best support our customers across the full non-personal customer lifecycle. During Q1 2022 Commercial & Institutional delivered a resilient performance with a return on equity of 8.8% and operating profit of ��464 million. Commercial & Institutional completed ��4.9 billion of climate and sustainable funding and financing in Q1 2022 delivering a cumulative ��11.8 billion since 1 July 2021, contributing toward the NatWest Group target of ��100 billion between 1 July 2021 and the end of 2025. - Total income was ��122 million, or 9.7%, higher than Q1 2021 due to higher deposit returns from an improved interest rate environment, increased transactional banking fees and higher trading income. Total income was ��207 million, or 17.7%, higher than Q4 2021 principally reflecting an uplift in trading income compared to a weak Q4 2021 and improved yield curve supporting deposit income. - Net interest margin was 17 basis points higher than Q4 2021 mainly due to improved deposit returns. - Other operating expenses were ��35 million, or 3.8%, lower than Q1 2021 primarily reflecting reductions in front office restructuring costs and back office operational costs, and lower staff costs as a result of an 11% reduction in headcount. - An impairment release of ��11 million reflects the continued low levels of realised losses seen across the portfolio. - Net loans to customers increased by ��2.4 billion, or 1.9%, in Q1 2022 with Business Banking and Commercial Mid-market stable excluding continued UK Government financial support scheme repayments. Net lending grew in the Corporate & Institutions business driven by increased capital markets activity and growth in facility utilisation, and invoice and asset finance balances within our Commercial Mid-market business increased by ��0.5 billion. - Customer deposits increased by ��0.4 billion, or 0.2%, in Q1 2022 due to overall increased customer liquidity. - RWAs increased by ��2.2 billion primarily due to regulatory changes from 1 January 2022 and higher levels of market risk and counterparty credit risk. This is partly offset by lower operational risk RWAs. Business performance summary Ulster Bank RoI Continuing operations Quarter ended 31 March 31 December 31 March 2022 2021 2021 ���m ���m ���m Total income 46 50 64 Operating expenses (134) (153) (130) of which: Other operating expenses (134) (122) (120) Impairment releases 37 15 10 Operating loss (51) (88) (56) As at 31 March 31 December 2022 2021 ���bn ���bn Net loans to customers - amortised cost 7.5 7.9 Customer deposits 20.4 21.9 RWAs 13.2 10.9 Ulster Bank RoI continues to make progress on its phased withdrawal from the Republic of Ireland. - During April 2022, notice of formal account closure has been served to the first tranche of customers, with six months' notice to 'Choose, Move, Close' their current and deposit accounts. - The sale agreement made in 2021 to Allied Irish Banks, p.l.c. (AIB) for the sale of the Ulster Bank RoI commercial lending portfolio has received approval from the Irish competition authority (the CCPC). - NatWest Group has also entered into exclusive discussions with AIB for the sale of the Ulster Bank RoI performing tracker (and linked) mortgage portfolio. - The sale agreement made in 2021 to Permanent TSB p.l.c. (PTSB) remains subject to competition, regulatory and other approvals, including PTSB's holding company shareholder approval, and other conditions being satisfied. The loan sales agreed in 2021 are expected to occur in phases between Q4 2022 and Q1 2023 with the majority of loans still expected to transfer by Q4 2022. Discussions are also ongoing with other counterparties about their potential interest in other parts of the bank. - Total income was ���18 million, or 28.1%, lower than Q1 2021 reflecting lower lending levels and fee income as a result of decision to withdraw from the RoI market. - Other operating expenses were ���14 million, or 11.7% higher than Q1 2021 with higher withdrawal-related programme costs and higher VAT costs being partially offset by lower regulatory levies and a 5.3% reduction in headcount. Ulster Bank RoI incurred ���12 million of withdrawal-related direct costs in Q1 2022. - A net impairment release of ���37 million in Q1 2022 reflects improvements in the reducing portfolio. - Net loans to customers decreased by ���0.4 billion or 5.1% compared with Q4 2021 as repayments continue to exceed gross new lending and a further ���0.3 billion of loans were reclassified as Assets Held for Sale. - Customer deposits decreased by ���1.5 billion, or 6.8%, compared with Q4 2021 due to one-off commercial placements at Q4 2021 and reducing personal deposits as customers begin to close accounts. - RWAs were ���2.3 billion higher than Q4 2021 primarily reflecting model updates which were mainly due to overlays as a result of new regulations applicable to IRB models from 1 January 2022. Total Ulster Bank RoI including discontinued operations Quarter ended 31 March 31 December 31 March 2022 2021 2021 ���m ���m ���m Total income 118 128 142 Operating expenses (148) (166) (143) of which: Other operating expenses (148) (135) (133) Impairment releases 30 67 14 Operating profit - 29 13 As at 31 March 31 December 2022 2021 ���bn ���bn Net loans to customers (amortised cost) 18.4 18.6 Customer deposits 20.4 21.9 RWAs 13.2 10.9 Business performance summary Central items & other Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Central items not allocated 174 (211) (27) - A ��174 million operating profit within central items not allocated principally reflects IFRS volatility gains of ��166 million. Segment performance Quarter ended 31 March 2022 Go-forward group Total excluding Retail Private Commercial & Central items Ulster Bank Ulster Total NatWest Banking Banking Institutional & other RoI Bank RoI Group ��m ��m ��m ��m ��m ��m ��m Continuing operations Income statement Net interest income 1,112 143 803 (35) 2,023 22 2,045 Non-interest income 105 73 572 214 964 18 982 Total income 1,217 216 1,375 179 2,987 40 3,027 Direct expenses (161) (49) (407) (1,037) (1,654) (64) (1,718) Indirect expenses (430) (89) (473) 1,041 49 (49) - Other operating expenses (591) (138) (880) 4 (1,605) (113) (1,718) Litigation and conduct costs (54) (1) (42) (5) (102) - (102) Operating expenses (645) (139) (922) (1) (1,707) (113) (1,820) Operating profit/(loss) before impairment losses/releases 572 77 453 178 1,280 (73) 1,207 Impairment (losses)/releases (5) 5 11 (4) 7 31 38 Operating profit/(loss) 567 82 464 174 1,287 (42) 1,245 Income excluding notable items 1,217 216 1,357 (27) 2,763 40 2,803 Additional information Return on tangible equity (1) na na na na 11.9% na 11.3% Return on equity (1) 23.1% 18.2% 8.8% nm nm nm na Cost:income ratio (1) 53.0% 64.4% 66.3% nm 56.7% nm 59.7% Total assets (��bn) 210.7 29.6 433.5 89.3 763.1 22.3 785.4 Funded assets (��bn) (1) 210.7 29.6 334.6 88.2 663.1 22.3 685.4 Net loans to customers - amortised cost (��bn) 184.9 18.7 126.6 28.8 359.0 6.3 365.3 Loan impairment rate (1) 1bps (11)bps (3)bps nm - nm (1)bps Impairment provisions (��bn) (1.5) (0.1) (1.6) - (3.2) (0.4) (3.6) Impairment provisions - stage 3 (��bn) (0.9) - (0.7) - (1.6) (0.4) (2.0) Customer deposits (��bn) 189.7 40.3 217.9 17.7 465.6 17.3 482.9 Risk-weighted assets (RWAs) (��bn) 52.2 11.5 100.3 1.6 165.6 11.2 176.8 RWA equivalent (RWAe) (��bn) 52.2 11.5 102.6 1.9 168.2 11.2 179.4 Employee numbers (FTEs - thousands) 14.0 1.9 11.8 28.7 56.4 1.8 58.2 Third party customer asset rate (2) 2.59% 2.53% 2.83% nm nm nm nm Third party customer funding rate (2) (0.05%) (0.01%) (0.02%) nm nm 0.06% nm Bank average interest earning assets (��bn) (1) 185.5 18.9 121.0 nm 333.3 na 333.3 Bank net interest margin (1) 2.43% 3.07% 2.69% nm 2.46% na 2.46% nm = not meaningful, na = not applicable. Refer to page 13 for the notes to this table. Segment performance Quarter ended 31 December 2021 Go-forward group Total excluding Retail Private Commercial & Central items Ulster Bank Ulster Total NatWest Banking Banking Institutional & other RoI Bank RoI Group ��m ��m ��m ��m ��m ��m ��m Continuing operations Income statement Net interest income 1,057 126 764 (28) 1,919 23 1,942 Non-interest income 107 127 404 22 660 20 680 Total income 1,164 253 1,168 (6) 2,579 43 2,622 Direct expenses (281) (61) (482) (1,236) (2,060) (78) (2,138) Indirect expenses (441) (89) (530) 1,086 26 (26) - Other operating expenses (722) (150) (1,012) (150) (2,034) (104) (2,138) Litigation and conduct costs (52) (5) (47) (59) (163) (27) (190) Operating expenses (774) (155) (1,059) (209) (2,197) (131) (2,328) Operating profit/(loss) before impairment losses/releases 390 98 109 (215) 382 (88) 294 Impairment releases/(losses) (5) 12 317 4 328 13 341 Operating profit/(loss) 385 110 426 (211) 710 (75) 635 Income excluding notable items 1,164 199 1,181 (27) 2,517 43 2,560 Additional information Return on tangible equity (1) na na na na 5.6% na 5.6% Return on equity (1) 19.7% 21.3% 8.3% nm nm nm na Cost:income ratio (1) 66.5% 61.3% 90.4% nm 85.0% nm 88.6% Total assets (��bn) 210.0 29.9 425.9 93.4 759.2 22.8 782.0 Funded assets (��bn) (1) 210.0 29.8 321.3 92.0 653.1 22.8 675.9 Net loans to customers - amortised cost (��bn) 182.2 18.4 124.2 27.5 352.3 6.7 359.0 Loan impairment rate (1) 1bps (26)bps (101)bps nm (37)bps nm (38)bps Impairment provisions (��bn) (1.5) (0.1) (1.7) - (3.3) (0.5) (3.8) Impairment provisions - stage 3 (��bn) (0.9) - (0.7) - (1.6) (0.4) (2.0) Customer deposits (��bn) 188.9 39.3 217.5 15.7 461.4 18.4 479.8 Risk-weighted assets (RWAs) (��bn) 36.7 11.3 98.1 1.8 147.9 9.1 157.0 RWA equivalent (RWAe) (��bn) 36.7 11.3 99.9 2.1 150.0 9.1 159.1 Employee numbers (FTEs - thousands) 14.6 1.9 11.8 27.9 56.2 1.7 57.9 Third party customer asset rate (2) 2.58% 2.34% 2.75% nm nm nm nm Third party customer funding rate (2) (0.05%) 0.00% (0.01%) nm nm 0.05% nm Bank average interest earning assets (��bn) (1) 183.5 18.7 120.4 nm 329.5 na 329.5 Bank net interest margin (1) 2.28% 2.67% 2.52% nm 2.31% na 2.31% nm = not meaningful, na = not applicable. Refer to page 13 for the notes to this table. Segment performance Quarter ended 31 March 2021 Go-forward group Total excluding Retail Private Commercial & Central items Ulster Bank Ulster Total NatWest Banking Banking Institutional & other RoI Bank RoI Group ��m ��m ��m ��m ��m ��m ��m Continuing operations Income statement Net interest income 973 115 725 24 1,837 27 1,864 Non-interest income 83 70 528 17 698 29 727 Total income 1,056 185 1,253 41 2,535 56 2,591 Direct expenses (188) (43) (446) (1,052) (1,729) (59) (1,788) Indirect expenses (397) (83) (469) 995 46 (46) - Other operating expenses (585) (126) (915) (57) (1,683) (105) (1,788) Litigation and conduct costs (2) 5 - (10) (7) (9) (16) Operating expenses (587) (121) (915) (67) (1,690) (114) (1,804) Operating profit/(loss) before impairment losses/releases 469 64 338 (26) 845 (58) 787 Impairment (losses)/releases (34) - 125 (1) 90 8 98 Operating profit/(loss) 435 64 463 (27) 935 (50) 885 Income excluding notable items 1,056 185 1,269 34 2,544 56 2,600 Additional information Return on tangible equity (1) na na na na 8.5% na 7.9% Return on equity (1) 23.0% 12.4% 8.5% nm nm nm na Cost:income ratio (1) 55.6% 65.4% 72.3% nm 66.2% nm 69.2% Total assets (��bn) 199.2 26.9 450.6 67.2 743.9 25.9 769.8 Funded assets (��bn) (1) 199.2 26.9 329.5 65.3 620.9 25.9 646.8 Net loans to customers - amortised cost (��bn) 174.8 17.5 128.8 20.7 341.8 16.9 358.7 Loan impairment rate (1) 8bps - (38)bps nm (10)bps nm (11)bps Impairment provisions (��bn) (1.8) (0.1) (2.9) (0.1) (4.9) (0.7) (5.6) Impairment provisions - stage 3 (��bn) (0.8) - (1.0) (0.1) (1.9) (0.5) (2.4) Customer deposits (��bn) 179.1 33.5 205.1 17.2 434.9 18.4 453.3 Risk-weighted assets (RWAs) (��bn) 35.0 11.2 105.8 1.6 153.6 11.1 164.7 RWA equivalent (RWAe) (��bn) 35.0 11.2 108.6 1.7 156.5 11.1 167.6 Employee numbers (FTEs - thousands) 15.8 1.9 13.2 26.0 56.9 1.9 58.8 Third party customer asset rate (2) 2.73% 2.36% 2.62% nm nm nm nm Third party customer funding rate (2) (0.08%) 0.00% (0.01%) nm nm 0.00% nm Bank average interest earning assets (��bn) (1) 175.3 17.7 122.6 nm 320.9 na 320.9 Bank net interest margin (1) 2.25% 2.64% 2.40% nm 2.32% na 2.32% nm = not meaningful, na = not applicable. (1) Refer to the appendix for details of basis of preparation and reconciliation of non-IFRS performance measures where relevant. (2) Third party customer asset rate is calculated as annualised interest receivable on third-party loans to customers as a percentage of third-party loans to customers. This excludes assets of disposal groups, intragroup items, loans to banks and liquid asset portfolios. Third party customer funding rate reflects interest payable or receivable on third-party customer deposits, including interest bearing and non-interest bearing customer deposits. Intragroup items, bank deposits, debt securities in issue and subordinated liabilities are excluded for customer funding rate calculation. Net interest margin is calculated as net interest income as a percentage of the average interest-earning assets, and only excludes liquid asset buffer and assets of disposal groups. Risk and capital management Page Credit risk Segment analysis - portfolio summary 14 Segment analysis - loans 16 Movement in ECL provision 16 ECL post model adjustments 17 Sector analysis - portfolio summary 18 Capital, liquidity and funding risk 20 Credit risk Segment analysis - portfolio summary The table below shows gross loans and expected credit loss (ECL), by segment and stage, within the scope of the IFRS 9 ECL framework. Go-forward group Total Central excluding Ulster Retail Private Commercial & items & Ulster Bank Banking Banking Institutional other Bank RoI RoI Total 31 March 2022 ��m ��m ��m ��m ��m ��m ��m Loans - amortised cost and FVOCI (1) Stage 1 171,357 18,050 112,118 33,303 334,828 5,295 340,123 Stage 2 12,217 876 15,742 87 28,922 706 29,628 Stage 3 2,603 256 2,286 - 5,145 756 5,901 Of which: individual - 256 882 - 1,138 76 1,214 Of which: collective 2,603 - 1,404 - 4,007 680 4,687 Subtotal excluding disposal group loans 186,177 19,182 130,146 33,390 368,895 6,757 375,652 Disposal group loans 9,320 9,320 Total 16,077 384,972 ECL provisions (2) Stage 1 141 13 158 18 330 8 338 Stage 2 514 22 742 14 1,292 55 1,347 Stage 3 879 38 733 - 1,650 358 2,008 Of which: individual - 38 305 - 343 12 355 Of which: collective 879 - 428 - 1,307 346 1,653 Subtotal excluding ECL provisions on disposal group loans 1,534 73 1,633 32 3,272 421 3,693 ECL provisions on disposal group loans 121 121 Total 542 3,814 ECL provisions coverage (3) Stage 1 (%) 0.08 0.07 0.14 0.05 0.10 0.15 0.10 Stage 2 (%) 4.21 2.51 4.71 16.09 4.47 7.79 4.55 Stage 3 (%) 33.77 14.84 32.06 - 32.07 47.35 34.03 ECL provisions coverage excluding disposal group loans 0.82 0.38 1.25 0.10 0.89 6.23 0.98 ECL provisions coverage on disposal group loans 1.30 1.30 Total 3.37 0.99 For the notes to this table refer to the following page. Risk and capital management Credit risk continued Segment analysis - portfolio summary continued Go-forward group Total Central excluding Ulster Retail Private Commercial & items & Ulster Bank Banking Banking Institutional other Bank RoI RoI Total 31 December 2021 ��m ��m ��m ��m ��m ��m ��m Loans - amortised cost and FVOCI (1) Stage 1 168,013 17,600 107,368 32,283 325,264 5,560 330,824 Stage 2 13,594 967 18,477 90 33,128 853 33,981 Stage 3 1,884 270 2,081 - 4,235 787 5,022 Of which: individual - 270 884 - 1,154 61 1,215 Of which: collective 1,884 - 1,197 - 3,081 726 3,807 Subtotal excluding disposal group loans 183,491 18,837 127,926 32,373 362,627 7,200 369,827 Disposal group loans 9,084 9,084 Total 16,284 378,911 ECL provisions (2) Stage 1 134 12 129 17 292 10 302 Stage 2 590 29 784 11 1,414 64 1,478 Stage 3 850 37 751 - 1,638 388 2,026 Of which: individual - 37 313 - 350 13 363 Of which: collective 850 - 438 - 1,288 375 1,663 Subtotal excluding ECL provisions on disposal group loans 1,574 78 1,664 28 3,344 462 3,806 ECL provisions on disposal group loans 109 109 Total 571 3,915 ECL provisions coverage (3) Stage 1 (%) 0.08 0.07 0.12 0.05 0.09 0.18 0.09 Stage 2 (%) 4.34 3.00 4.24 12.22 4.27 7.50 4.35 Stage 3 (%) 45.12 13.70 36.09 - 38.68 49.30 40.34 ECL provisions coverage excluding disposal group loans 0.86 0.41 1.30 0.09 0.92 6.42 1.03 ECL provisions coverage on disposal group loans 1.20 1.20 Total 3.51 1.03 (1) Fair value through other comprehensive income (FVOCI). (2) Includes ��4 million (31 December 2021 - ��5 million) related to assets classified as FVOCI. (3) ECL provisions coverage is calculated as ECL provisions divided by loans - amortised cost and FVOCI. It is calculated on third party loans and total ECL provisions. (4) The table shows gross loans only and excludes amounts that were outside the scope of the ECL framework. Other financial assets within the scope of the IFRS 9 ECL framework were cash and balances at central banks totalling ��167.7 billion (31 December 2021 - ��176.3 billion) and debt securities of ��42.9 billion (31 December 2021 - ��44.9 billion). - Stage 3 loans increased, as write-offs and repayments were more than offset by the effect of the new regulatory definition of default, which in isolation led to an increase of approximately ��0.7 billion in Stage 3 balances, mostly in Retail mortgages, and an increase in defaults on government support schemes. - Underlying flows into default remained subdued during Q1 2022. However, it is expected that defaults will increase as the year progresses and growing inflationary pressures on businesses, consumers and the broader economy continue to evolve. - Stage 2 loans and ECL reduced further during the first quarter of 2022, with positive trends in underlying risk metrics maintained since 31 December 2021 and migration of exposures into Stage 3. - The economic scenarios driving the ECL requirement, as well as model performance considerations, were consistent with those described in the 2021 Annual Report and Accounts. Risk and capital management Credit risk continued Segment analysis - loans - Retail Banking - Balance sheet growth continued during Q1 2022. This was primarily in mortgages, where new lending remained strong. Unsecured lending balances increased slightly during Q1 2022, with increased demand for loans and, following the easing of COVID-19 restrictions, increased consumer spending maintaining credit card balances. Total ECL coverage reduced during the first quarter of 2022, reflective of low unemployment and stable portfolio performance, whilst maintaining sufficient ECL coverage for key portfolios above pre-COVID-19 levels, given the persisting sources of uncertainty in relation to inflation and cost of living pressures. Stage 3 ECL increased overall, mainly because of the IFRS 9 alignment to the new regulatory default definition, implemented on 1 January 2022. This change resulted in an increase in Stage 3 exposures of approximately ��0.7 billion, mostly in mortgages and driven by a more expansive suite of default definition guidelines, including probation treatments. Stage 2 balances decreased during the quarter, reflecting continued stability in IFRS 9 probability of default (PD) estimates and also the consequence of the migration of balances into Stage 3 under the new regulatory default definition. The implementation of new mortgage IFRS 9 models resulted in lower Stage 3 ECL coverage due to reduced loss estimates for cases where the customer was not subject to repossession activity. This mortgage reduction was the primary driver for the change in overall Retail Stage 3 coverage during the quarter. - Commercial & Institutional - The balance sheet reduction observed in 2021 stabilised in Q1 2022, with repayments during the quarter largely offset by additional lending across the portfolio. Sector appetite is regularly reviewed with continued focus on appetite to high oversight sectors. Strategic reductions and right sizing of appetite limits continued to be achieved. Stage 2 balances continued to fall reflecting positive portfolio performance which lowered PDs and resulted in exposure migrating back into Stage 1. PD deterioration remained the primary driver of cases moving into Stage 2. The ECL release was largely due to improvements in underlying PDs and reduced Stage 2 balances, as assets migrated back into Stage 1, partly offset by net post model adjustment increases. There was a small increase in Stage 3 balances as write-offs were more than offset by increases due to the new regulatory default definition and an increase in defaults on government support schemes. Movement in ECL provision The table below shows the main ECL provision movements. ECL provision ��m At 1 January 2022 3,806 Transfers to disposal groups (3) Changes in risk metrics and exposure: Stage 1 and Stage 2 (128) Changes in risk metrics and exposure: Stage 3 142 Judgemental changes: changes in post model adjustments for Stage 1, Stage 2 and Stage 3 (2) Write-offs and other (122) At 31 March 2022 3,693 - ECL reduced during Q1 2022. This reflected a decrease in underlying exposures, continued positive trends in portfolio performance and write-off activity. - Stage 3 new defaults remained low during the quarter. Stage 3 ECL balances remained broadly stable, mainly due to write-offs and repayments of defaulted debt largely offsetting the effect of the new regulatory default definition. - Additionally, broader portfolio deterioration continued to be subdued and resulted in favourable movements in IFRS 9 risk metrics, which led to some additional post model adjustments being required to ensure provision adequacy in the face of growing uncertainty. Risk and capital management Credit risk continued ECL post model adjustments The table below shows ECL post model adjustments. Retail Banking Private Commercial & Ulster Bank RoI Mortgages Other Banking Institutional Mortgages Other Total 31 March 2022 ��m ��m ��m ��m ��m ��m ��m Deferred model calibrations - 112 - 64 - 2 178 Economic uncertainty 111 70 7 435 10 20 653 Other adjustments 29 - - 8 131 - 168 Total 140 182 7 507 141 22 999 Of which: - Stage 1 13 8 1 42 2 - 66 - Stage 2 104 174 6 464 11 21 780 - Stage 3 23 - - 1 128 1 153 31 December 2021 Deferred model calibrations 58 97 - 62 - 2 219 Economic uncertainty 60 99 5 391 6 23 584 Other adjustments 37 - - 5 156 - 198 Total 155 196 5 458 162 25 1,001 Of which: - Stage 1 9 5 - 15 4 1 34 - Stage 2 126 164 5 443 7 26 771 - Stage 3 20 27 - - 151 (2) 196 (1) Excludes ��61 million (31 December 2021 - ��49 million) of post model adjustments (mortgages - ��5 million; other - ��56 million (31 December 2021 - mortgages ��4 million; other - ��45 million)) for Ulster Bank RoI disclosed as transfers to disposal groups. - Retail Banking - The post model adjustment for deferred model calibrations decreased to ��112 million from ��155 million at 31 December 2021. This was due to the removal of the mortgage element of the post model adjustment because of the implementation of a new IFRS 9 PD model during the quarter. The remaining amount, reflected management's continued judgement that the implied ECL decreases that continued to manifest through the standard PD model monitoring process since 2020, were not fully supportable. Management retained this view on the basis that underlying portfolio performance is believed to be underpinned by government support schemes over the past two years and further outcome data is required on the level of default suppression, particularly with the backdrop of new sources of economic uncertainty and geopolitical risk. - The post model adjustment for economic uncertainty increased from ��159 million to ��181 million, reflecting the increased level of uncertainty since 31 December 2021, because of inflation and cost of living pressures as well as the Russian invasion of Ukraine, and the expected effect on the economy. This demonstrated management's view of a net increase in uncertainty, notwithstanding the dissipating risk of economic effects from COVID-19. - Other judgmental overlays included a post model adjustment of ��16 million to capture the effect of potential cladding risk in the portfolio. - Commercial & Institutional - The post model adjustment for economic uncertainty increased to ��435 million from ��391 million at 31 December 2021. This reflected the increased uncertainty due to rising inflation as well as the Russian invasion of Ukraine, again partially counter-balanced by the dissipated risks of COVID-19. The majority of the increase in the quarter, ��44 million, was to offset underlying Q1 modelled ECL releases which were not considered reflective of the current uncertainty. - Deferred model calibrations and other adjustments remain broadly consistent with 31 December 2021. - Ulster Bank RoI - Other adjustments decreased to ��131 million from ��156 million at 31 December 2021 due to improved portfolio performance and balance sheet reduction. - Deferred model calibrations and economic uncertainty adjustments remain broadly consistent with 31 December 2021. Risk and capital management Credit risk continued Sector analysis - portfolio summary The table below shows ECL by stage, for the Personal portfolio and key sectors of the Wholesale portfolio, that continue to be affected by COVID-19. Off-balance sheet Loans - amortised cost & FVOCI Loan Contingent ECL provisions Stage 1 Stage 2 Stage 3 Total commitments liabilities Stage 1 Stage 2 Stage 3 Total 31 March 2022 ��m ��m ��m ��m ��m ��m ��m ��m ��m ��m Personal 193,562 13,058 3,446 210,066 41,642 56 157 541 1,185 1,883 Mortgages 183,259 10,657 2,616 196,532 17,660 - 38 136 503 677 Credit cards 2,914 931 102 3,947 15,696 - 57 137 67 261 Other personal 7,389 1,470 728 9,587 8,286 56 62 268 615 945 Wholesale 146,561 16,570 2,455 165,586 82,962 4,497 181 806 823 1,810 Property 29,045 2,913 736 32,694 15,570 461 31 125 221 377 Financial institutions 55,164 530 33 55,727 16,771 1,134 17 23 5 45 Sovereign 5,958 222 9 6,189 1,166 - 19 1 2 22 Corporate 56,394 12,905 1,677 70,976 49,455 2,902 114 657 595 1,366 Of which: Airlines and aerospace 900 649 54 1,603 1,552 219 1 35 8 44 Automotive 5,556 934 47 6,537 3,828 63 10 27 11 48 Health 4,351 819 127 5,297 740 9 12 42 39 93 Land transport and logistics 4,124 701 57 4,882 3,310 165 5 60 16 81 Leisure 3,789 3,690 376 7,855 1,831 109 13 250 138 401 Oil and gas 949 186 54 1,189 1,538 454 1 21 29 51 Retail 6,581 1,098 225 7,904 4,738 414 10 26 84 120 Total 340,123 29,628 5,901 375,652 124,604 4,553 338 1,347 2,008 3,693 31 December 2021 Personal 190,175 14,423 2,782 207,380 40,351 60 149 614 1,179 1,942 Mortgages 180,418 11,543 2,050 194,011 16,827 - 32 174 562 768 Credit cards 2,924 933 90 3,947 15,354 - 59 141 60 260 Other personal 6,833 1,947 642 9,422 8,170 60 58 299 557 914 Wholesale 140,649 19,558 2,240 162,447 83,231 4,254 153 864 847 1,864 Property 28,679 3,101 742 32,522 15,882 460 24 111 239 374 Financial institutions 52,263 732 46 53,041 16,906 992 14 39 4 57 Sovereign 5,904 121 8 6,033 1,212 - 19 1 2 22 Corporate 53,803 15,604 1,444 70,851 49,231 2,802 96 713 602 1,411 Of which: Airlines and aerospace 779 668 44 1,491 1,528 221 1 39 15 55 Automotive 5,133 1,304 38 6,475 3,507 65 9 32 10 51 Health 3,818 1,235 133 5,186 799 9 9 58 48 115 Land transport and logistics 3,721 833 39 4,593 3,069 188 4 53 12 69 Leisure 3,712 4,050 340 8,102 1,874 107 11 247 133 391 Oil and gas 1,482 141 52 1,675 1,126 453 1 14 28 43 Retail 6,380 1,342 180 7,902 4,872 410 8 29 66 103 Total 330,824 33,981 5,022 369,827 123,582 4,314 302 1,478 2,026 3,806 Risk and capital management Credit risk continued Sector analysis - portfolio summary continued - Personal - Retail Banking was the main driver of balance sheet growth during the quarter. As noted earlier, growth was primarily in mortgages. Unsecured lending balances rose slightly in the quarter with higher demand for loans and increased consumer spending maintaining credit card balances during the quarter, although new business was still below pre-COVID-19 levels. As noted earlier, ECL in Stage 2 decreased due to continued subdued levels of portfolio deterioration, maintaining the reduced PD levels observed in Q4 2021. Furthermore, the new regulatory default definition implementation on 1 January 2022 resulted in a migration of Stage 2 assets into Stage 3. Overall ECL coverage requirements remained stable during Q1 2022 reflecting the balance of positive portfolio performance and economic uncertainty in the outlook due to inflation and cost of living pressures which may affect the affordability of NatWest Group customers. Affordability assumptions in lending criteria were refreshed during the quarter. - Wholesale - In Wholesale, exposures were mainly in the UK. Balance sheet reduction due to repayments of both COVID-19 government support schemes and conventional borrowing during 2021 stabilised, with further reductions largely offset by additional lending across the portfolio. - Scheduled repayment activity for government support schemes continued with the volumes of missed payments remaining in line with the average rate for scheme participants. - When the government support schemes closed in 2021, approximately 317,000 applications across all schemes were approved, totalling ��14.7 billion in new lending, of which, ��13.4 billion was drawdown. ��2.6 billion has been repaid to date. - Oil and Gas reduction in drawn balances (Stage 1) reflected strategic exits aligned to NatWest Group's climate change purpose and aims. Increases in off-balance sheet exposures reflected selective support for customers with climate change transition plans. - Increases within Financial Institutions reflected fluctuations in treasury related management activities. - Wholesale credit risk performance metrics continue to improve, contributing to a reduction in Stage 2 balances, but headwinds remain. The combination of supply chain, energy price and general inflationary pressures already in existence towards the end of 2021 have been exacerbated by the Russian invasion of Ukraine and point to a potentially more challenging outlook. Sector appetite continues to be regularly reviewed and, where appropriate, adjusted for those sectors most affected by current economic and geopolitical conditions. Risk and capital management Capital, liquidity and funding risk Introduction NatWest Group continually ensures a comprehensive approach is taken to the management of capital, liquidity and funding, underpinned by frameworks, risk appetite and policies, to manage and mitigate capital, liquidity and funding risks. The framework ensures the tools and capability are in place to facilitate the management and mitigation of risk ensuring that NatWest Group operates within its regulatory requirements and risk appetite. Key developments since December 2021 CET1 ratio The CET1 ratio decreased by 300 basis points to 15.2%. The decrease is primarily due to a ��19.8 billion increase in RWAs and a ��1.7 billion decrease in CET1 capital. The CET1 decrease is mainly driven by: - the directed buyback of ��1.2 billion; - foreseeable dividend accrual of ��0.3 billion; - a ��0.2 billion decrease in the IFRS 9 transitional adjustment; - the removal of adjustment for prudential amortisation on software development costs of ��0.4 billion; - a ��0.3 billion decrease due to FX loss on retranslation on the redemption of a USD instrument; and - other reserve movements. - These reductions were partially offset by the ��0.8 billion attributable profit in the period. Total RWAs Total RWAs increased by ��19.8 billion to ��176.8 billion during the period mainly reflecting: - An increase in credit risk RWAs of ��20.3 billion due to model adjustments applied as a result of new regulation applicable to IRB models from 1 January 2022 and increased exposures within Commercial & Institutional and Retail Banking. This was partially offset by improved risk metrics in Retail Banking and Commercial & Institutional. - Operational risk RWAs reduced by ��1.9 billion following the annual recalculation. - Market risk RWAs increased by ��0.6 billion driven by an increase in the capital multiplier for NWM Plc impacting VaR and SVaR calculations. - Counterparty credit risk RWAs increased by ��0.9 billion mainly driven by the implementation of SA-CCR impacting the RWA calculation for the non-internal modelled exposure. UK leverage ratio The UK leverage ratio decreased c.40 basis points to 5.5% driven by a ��2.3 billion decrease in Tier 1 capital. Liquidity portfolio The liquidity portfolio decreased by ��11.9 billion during Q1 2022 to ��274.5 billion. Primary liquidity decreased by ��7.4 billion to ��201.1 billion primarily due to an increase in customer lending and share buyback. Secondary liquidity reduced by ��4.5 billion mainly driven by mortgage redemptions and repayments. Risk and capital management Capital, liquidity and funding risk continued Maximum Distributable Amount (MDA) and Minimum Capital Requirements NatWest Group is subject to minimum capital requirements relative to RWAs. The table below summarises the minimum capital requirements (the sum of Pillar 1 and Pillar 2A), and the additional capital buffers which are held in excess of the regulatory minimum requirements and are usable in stress. Where the CET1 ratio falls below the sum of the minimum capital and the combined buffer requirement, there is a subsequent automatic restriction on the amount available to service discretionary payments (including AT1 coupons), known as the MDA. Note that different requirements apply to individual legal entities or sub-groups and that the table shown does not reflect any incremental PRA buffer requirements, which are not disclosable. The current capital position provides significant headroom above both our minimum requirements and our MDA threshold requirements. Type CET1 Total Tier 1 Total capital Pillar 1 requirements 4.5% 6.0% 8.0% Pillar 2A requirements 1.8% 2.4% 3.2% Minimum Capital Requirements 6.3% 8.4% 11.2% Capital conservation buffer 2.5% 2.5% 2.5% Countercyclical capital buffer (1) - - - MDA threshold (2) 8.8% n/a n/a Subtotal 8.8% 10.9% 13.7% Capital ratios at 31 March 2022 15.2% 17.4% 20.4% Headroom (3) 6.4% 6.5% 6.7% (1) In response to COVID-19, many countries reduced their CCyB rates. In December 2021, the Financial Policy Committee announced an increase in the UK CCyB rate from 0% to 1%. This rate will come into effect from December 2022 in line with the 12 month implementation period. In March 2022, the Central Bank of Ireland announced that the countercyclical buffer on Irish exposures is to be maintained at 0%. Previously, the CBI did note that it expected a gradual rebuilding of the CCyB to commence in 2022 and, while this guidance remains, it notes that the current macro-financial outlook is subject to considerable uncertainty therefore will continue to be monitored closely. (2) Pillar 2A requirements for NatWest Group are set on a nominal capital basis. The PRA has confirmed that from Q4 2022 Pillar 2A will be set as a variable amount with the exception of some fixed add-ons. (3) The headroom does not reflect excess distributable capital and may vary over time. Risk and capital management Capital, liquidity and funding risk continued Capital and leverage ratios The table below sets out the key capital and leverage ratios. From 1 January 2022, NatWest Group are subject to the requirements set out in the PRA Rulebook, therefore going forward the capital and leverage ratios are being presented under these frameworks on a transitional basis. 31 March 31 December 31 March 2022 2021 2021 Capital adequacy ratios (1) % % % CET1 15.2 18.2 18.2 Tier 1 17.4 21.0 21.9 Total 20.4 24.7 24.8 Capital ��m ��m ��m Tangible equity 28,571 30,689 30,126 Prudential valuation adjustment (297) (274) (436) Deferred tax assets (769) (761) (750) Own credit adjustments (27) 21 6 Pension fund assets (476) (465) (570) Cash flow hedging reserve 1,113 395 38 Foreseeable ordinary dividends (1,096) (846) (547) Foreseeable charges - on-market ordinary share buyback programme (527) (825) - Foreseeable pension contributions - (365) - Prudential amortisation of software development costs - 411 524 Adjustments under IFRS 9 transitional arrangements 403 621 1,655 Insufficient coverage for non-performing exposures (6) (5) - Total deductions (1,682) (2,093) (80) CET1 capital 26,889 28,596 30,046 End-point AT1 capital 3,875 3,875 5,380 Grandfathered instrument transitional arrangements - 571 710 Transitional AT1 capital 3,875 4,446 6,090 Tier 1 capital 30,764 33,042 36,136 End-point T2 capital 5,067 5,402 4,118 Grandfathered instrument transitional arrangements 213 304 673 Transitional Tier 2 capital 5,280 5,706 4,791 Total regulatory capital 36,044 38,748 40,927 Risk-weighted assets Credit risk 140,377 120,116 125,131 Counterparty credit risk 8,776 7,907 8,579 Market risk 8,550 7,917 9,962 Operational risk 19,115 21,031 21,031 Total RWAs 176,818 156,971 164,703 Leverage Cash and balances at central banks 168,783 177,757 140,347 Trading assets 64,950 59,158 65,558 Derivatives 100,013 106,139 122,955 Financial assets 416,677 412,817 418,290 Other assets 25,750 17,106 22,626 Assets of disposal groups 9,225 9,015 - Total assets 785,398 781,992 769,776 Derivatives - netting and variation margin (100,386) (110,204) (126,250) - potential future exposures 21,412 35,035 38,279 Securities financing transactions gross up 2,838 1,397 3,249 Other off balance sheet items 43,986 44,240 43,734 Regulatory deductions and other adjustments (16,310) (8,980) (14,535) Claims on central banks (165,408) (174,148) (137,685) Exclusion of bounce back loans (7,112) (7,474) (8,609) UK leverage exposure 564,418 561,858 567,959 UK leverage ratio (%) (2) 5.5 5.9 6.4 For the notes to this table refer to the following page. Risk and capital management Capital, liquidity and funding risk continued (1) Based on current PRA rules, therefore includes the transitional relief on grandfathered capital instruments and the transitional arrangements for the capital impact of IFRS 9 expected credit loss (ECL) accounting. The impact of the IFRS 9 transitional adjustments at 31 March 2022 was ��0.4 billion for CET1 capital, ��44 million for total capital and ��28 million RWAs (31 December 2021 - ��0.6 billion CET1 capital, ��0.5 billion total capital and ��36 million RWAs, 31 March 2021 - ��1.7 billion CET1 capital, ��1.4 billion total capital and ��135 million RWAs). Excluding these adjustments, the CET1 ratio would be 15.0% (31 December 2021 - 17.8%, 31 March 2021 - 17.2%). The transitional relief on grandfathered instruments at 31 March 2022 was ��0.2 billion (31 December 2021 - ��0.9 billion, 31 March 2021 - ��1.4 billion). Excluding both the transitional relief on grandfathered capital instruments and the transitional arrangements for the capital impact of IFRS 9 expected credit loss (ECL) accounting, the end-point Tier 1 capital ratio would be 17.2% (31 December 2021 - 20.3%, 31 March 2021 - 20.5%) and the end-point Total capital ratio would be 20.2% (31 December 2021 - 23.8%, 31 March 2021 - 23.2%). (2) The UK leverage exposure is calculated in accordance with the Leverage Ratio (CRR) part of the PRA Rulebook, and transitional Tier 1 capital is calculated in accordance with the PRA Rulebook as explained in note 1 above. Excluding the IFRS 9 transitional adjustment, the UK leverage ratio would be 5.4% (31 December 2021 - 5.8%, 31 March 2021 - 6.1%). Capital flow statement The table below analyses the movement in CET1, AT1 and Tier 2 capital for the three months ended 31 March 2022. Previously the NatWest Group capital flow statement was presented based on end-point CRR rules. It is being presented on a transitional basis as calculated under the PRA Rulebook Instrument requirements going forward. CET1 AT1 Tier 2 Total ��m ��m ��m ��m At 31 December 2021 28,596 4,446 5,706 38,748 Attributable profit for the period 841 - - 841 Directed buyback (1,212) - - (1,212) Foreseeable ordinary dividends (250) - - (250) Foreign exchange reserve 37 - - 37 FVOCI reserve (162) - - (162) Own credit (48) - - (48) Share capital and reserve movements in respect of employee share schemes 55 - - 55 Goodwill and intangibles deduction (462) - - (462) Deferred tax assets (8) - - (8) Prudential valuation adjustments (23) - - (23) End of 2021 transitional relief on grandfathered instruments - (571) (232) (803) Net dated subordinated debt instruments - - (158) (158) Foreign exchange movements (254) - 50 (204) Adjustment under IFRS 9 transitional arrangements (218) - - (218) Other movements (3) - (86) (89) At 31 March 2022 26,889 3,875 5,280 36,044 - The decrease in CET1 capital is primarily due to the directed buyback of ��1.2 billion, foreseeable dividend accrual of ��0.3 billion, a ��0.2 billion decrease in the IFRS 9 transitional adjustment, the removal of adjustment for prudential amortisation on software development costs of ��0.4 billion, ��0.3 billion due to FX loss on retranslation on the redemption of a USD instrument and other reserve movements in the period, partially offset by an attributable profit in the period of ��0.8 billion. - The AT1 and Tier 2 movements are primarily due to the end of the 2021 transitional relief on grandfathered instruments. Risk and capital management Capital, liquidity and funding risk continued Risk-weighted assets The table below analyses the movement in RWAs during the period, by key drivers. Counterparty Operational Credit risk credit risk Market risk risk Total ��bn ��bn ��bn ��bn ��bn At 31 December 2021 120.2 7.9 7.9 21.0 157.0 Foreign exchange movement 0.3 0.1 - - 0.4 Business movement 1.6 0.4 0.9 (1.9) 1.0 Risk parameter changes (1.1) - - - (1.1) Methodology changes 0.2 0.4 - - 0.6 Model updates 19.2 - (0.3) - 18.9 At 31 March 2022 140.4 8.8 8.5 19.1 176.8 The table below analyses segmental RWAs. Go-forward group Total excluding Total Retail Private Commercial & Central items Ulster Bank Ulster NatWest Banking Banking Institutional & other RoI Bank RoI Group Total RWAs ��m ��m ��m ��m ��m ��m ��m At 31 December 2021 36.7 11.3 98.1 1.8 147.9 9.1 157.0 Foreign exchange movement - - 0.4 - 0.4 - 0.4 Business movement 0.9 0.2 0.3 (0.2) 1.2 (0.2) 1.0 Risk parameter changes (0.7) - (0.4) - (1.1) - (1.1) Methodology changes - - 0.4 - 0.4 0.2 0.6 Model updates 15.3 - 1.5 - 16.8 2.1 18.9 At 31 March 2022 52.2 11.5 100.3 1.6 165.6 11.2 176.8 Credit risk 45.3 10.2 73.1 1.5 130.1 10.3 140.4 Counterparty credit risk 0.1 0.1 8.6 - 8.8 - 8.8 Market risk 0.1 - 8.4 - 8.5 - 8.5 Operational risk 6.7 1.2 10.2 0.1 18.2 0.9 19.1 Total RWAs 52.2 11.5 100.3 1.6 165.6 11.2 176.8 - Total RWAs increased to ��176.8 billion during the period due to the following: o Credit risk RWAs increased ��20.3 billion due to model adjustments applied as a result of new regulation applicable to IRB models from 1 January 2022 in addition to increased exposures within Commercial & Institutional and Retail Banking. This was partially offset by improved risk metrics in Retail Banking and Commercial & Institutional. o Operational risk RWAs reduced by ��1.9 billion following the annual recalculation. o Market risk RWAs increased by ��0.6 billion driven by an increase in the capital multiplier for NWM Plc impacting VaR and SVaR calculations. o Counterparty credit risk RWAs increased by ��0.9 billion mainly driven by the implementation of SA-CCR impacting the RWA calculation for the non-internal modelled exposure. Risk and capital management Capital, liquidity and funding risk continued Liquidity portfolio The table below shows the liquidity portfolio by product, with primary liquidity aligned to internal stressed outflow coverage and regulatory liquidity coverage ratio (LCR) categorisation. Secondary liquidity comprises assets eligible for discount at central banks, which do not form part of the liquid asset portfolio for LCR or internal stressed outflow coverage purposes. Liquidity value 31 March 2022 31 December 2021 31 March 2021 NatWest NatWest NatWest Group (1) Group Group ��m ��m ��m Cash and balances at central banks 166,176 174,328 137,410 AAA to AA- rated governments 31,385 31,073 29,406 A+ and lower rated governments 105 25 7 Government guaranteed issuers, public sector entities and government sponsored entities 266 307 250 International organisations and multilateral development banks 3,087 2,720 2,825 LCR level 1 bonds 34,843 34,125 32,488 LCR level 1 assets 201,019 208,453 169,898 LCR level 2 assets 121 117 114 Non-LCR eligible assets - - - Primary liquidity 201,140 208,570 170,012 Secondary liquidity (2) 73,370 77,849 92,665 Total liquidity value 274,510 286,419 262,677 (1) NatWest Group includes the UK Domestic Liquidity Sub-Group (NWB Plc, RBS plc and Coutts & Co), NatWest Markets Plc and other significant operating subsidiaries that hold liquidity portfolios. These include The Royal Bank of Scotland International Limited, NWM N.V. and Ulster Bank Ireland DAC who hold managed portfolios that comply with local regulations that may differ from PRA rules. (2) Comprises assets eligible for discounting at the Bank of England and other central banks. Condensed consolidated income statement for the period ended 31 March 2022 (unaudited) Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Interest receivable 2,448 2,345 2,282 Interest payable (403) (403) (418) Net interest income 2,045 1,942 1,864 Fees and commissions receivable 694 724 644 Fees and commissions payable (149) (149) (141) Income from trading activities 362 (3) 160 Other operating income 75 108 64 Non-interest income 982 680 727 Total income 3,027 2,622 2,591 Staff costs (901) (915) (974) Premises and equipment (251) (368) (248) Other administrative expenses (471) (735) (377) Depreciation and amortisation (197) (310) (205) Operating expenses (1,820) (2,328) (1,804) Profit before impairment releases 1,207 294 787 Impairment releases 38 341 98 Operating profit before tax 1,245 635 885 Tax charge (386) (234) (233) Profit from continuing operations 859 401 652 Profit from discontinued operations, net of tax 42 97 61 Profit for the period 901 498 713 Attributable to: Ordinary shareholders 841 434 620 Preference shareholders - 5 5 Paid-in equity holders 59 58 87 Non-controlling interests 1 1 1 901 498 713 Earnings per ordinary share - continuing operations 7.1p 3.0p 4.6p Earnings per ordinary share - discontinued operations 0.4p 0.8p 0.5p Total earnings per share attributable to ordinary shareholders - basic 7.5p 3.8p 5.1p Earnings per ordinary share - fully diluted continuing operations 7.1p 3.0p 4.6p Earnings per ordinary share - fully diluted discontinued operations 0.4p 0.8p 0.5p Total earnings per share attributable to ordinary shareholders - fully diluted 7.5p 3.8p 5.1p Condensed consolidated statement of comprehensive income for the period ended 31 March 2022 (unaudited) Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Profit for the period 901 498 713 Items that do not qualify for reclassification Remeasurement of retirement benefit schemes (1) (508) 71 (508) Changes in fair value of credit in financial liabilities designated at fair value through profit or loss (FVTPL) due to own credit risk 39 - (7) Fair value through other comprehensive income (FVOCI) financial assets 9 2 1 Tax (1) 122 (21) 137 (338) 52 (377) Items that do qualify for reclassification FVOCI financial assets (238) 45 (118) Cash flow hedges (983) (238) (358) Currency translation 35 (115) (343) Tax 339 83 113 (847) (225) (706) Other comprehensive loss after tax (1,185) (173) (1,083) Total comprehensive (loss)/income for the period (284) 325 (370) Attributable to: Ordinary shareholders (345) 261 (463) Preference shareholders - 5 5 Paid-in equity holders 59 58 87 Non-controlling interests 2 1 1 (284) 325 (370) (1) Following the purchase of ordinary shares in Q1 2022, NatWest Group plc contributed ��500 million to its main pension scheme in line with the memorandum of understanding announced on 17 April 2018. After tax relief, this contribution reduced total equity by ��365 million. Condensed consolidated balance sheet as at 31 March 2022 (unaudited) 31 March 31 December 2022 2021 ��m ��m Assets Cash and balances at central banks 168,783 177,757 Trading assets 64,950 59,158 Derivatives 100,013 106,139 Settlement balances 10,505 2,141 Loans to banks - amortised cost 7,063 7,682 Loans to customers - amortised cost 365,340 358,990 Other financial assets 44,274 46,145 Intangible assets 6,774 6,723 Other assets 8,471 8,242 Assets of disposal groups 9,225 9,015 Total assets 785,398 781,992 Liabilities Bank deposits 21,975 26,279 Customer deposits 482,887 479,810 Settlement balances 9,602 2,068 Trading liabilities 71,559 64,598 Derivatives 95,310 100,835 Other financial liabilities 47,809 49,326 Subordinated liabilities 8,216 8,429 Notes in circulation 2,999 3,047 Other liabilities 5,797 5,797 Total liabilities 746,154 740,189 Equity Ordinary shareholders' interests 35,345 37,412 Other owners' interests 3,890 4,384 Owners' equity 39,235 41,796 Non-controlling interests 9 7 Total equity 39,244 41,803 Total liabilities and equity 785,398 781,992 Condensed consolidated statement of changes in equity for the period ended 31 March 2022 (unaudited) Share capital and Total Non statutory Paid-in Retained Other owners' controlling Total reserves (1) equity earnings reserves equity interests equity ��m ��m ��m ��m ��m ��m ��m At 1 January 2022 12,980 3,890 12,966 11,960 41,796 7 41,803 Profit attributable to ordinary shareholders and other equity owners - continuing operations 858 858 1 859 - discontinued operations 42 42 42 Other comprehensive income - Realised gains in period on FVOCI equity shares 1 (1) - - - Remeasurement of retirement benefit schemes (2) (508) (508) (508) - Changes in fair value of credit in financial liabilities designated at FVTPL due to own credit risk 39 39 39 - Unrealised losses: FVOCI (187) (187) (187) - Amounts recognised in equity: cash flow hedges (911) (911) (911) - Foreign exchange reserve movement 34 34 1 35 - Amount transferred from equity to earnings (113) (113) (113) - Tax 126 335 461 461 Paid-in equity dividends paid (59) (59) (59) Shares repurchased during the period (3,4) - (1,522) (1,522) (1,522) Shares and securities issued during the period - 3 3 3 Reclassification of preference shares (5) (750) (750) (750) Share-based payments (15) (15) (15) Movement in own shares held 67 67 67 At 31 March 2022 13,047 3,890 11,181 11,117 39,235 9 39,244 31 March 2022 Attributable to: ��m Ordinary shareholders 35,345 Preference shareholders - Paid-in equity holders 3,890 Non-controlling interests 9 39,244 Other reserves consists of: Merger reserve 10,881 FVOCI reserve 107 Cash flow hedging reserve (1,113) Foreign exchange reserve 1,242 11,117 (1) Share capital and statutory reserves includes share capital, share premium, capital redemption reserve and own shares held. (2) Following the purchase of ordinary shares in Q1 2022, NatWest Group plc contributed ��500 million to its main pension scheme in line with the memorandum of understanding announced on 17 April 2018. After tax relief, this contribution reduced total equity by ��365 million. (3) In March 2022, there was an agreement with HM Treasury to buy 549.9 million ordinary shares in NatWest Group plc from UK Government Investments Ltd, at 220.5 pence per share for the total consideration of ��1.22 billion. NatWest Group cancelled all 549.9 million of the purchased ordinary shares. The nominal value of the share cancellation has been transferred to the capital redemption reserve. (4) NatWest Group plc repurchased and cancelled 150.7 million shares for total consideration of ��337.7 million excluding fees in Q1 2022, as part of the On Market Share Buyback Programme. Of the 150.7 million shares bought back, 15.9 million shares were settled and cancelled in April 2022. The nominal value of the share cancellations has been transferred to the capital redemption reserve. (5) Following an announcement of a Regulatory Call in February 2022, the Series U preference shares were reclassified to liabilities. A ��254 million loss was recognised in P&L reserves as a result of FX unlocking. Notes 1. Presentation of condensed consolidated financial statements The condensed consolidated financial statements should be read in conjunction with NatWest Group plc's 2021 Annual Report and Accounts which has been prepared in accordance with UK-adopted International Accounting Standards (IAS), International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB) and IFRS as adopted by the European Union. Going concern Having reviewed NatWest Group's principal risks, forecasts, projections and other relevant evidence, the directors have a reasonable expectation that NatWest Group will continue in operational existence for a period of twelve months from the date the condensed consolidated financial statements are approved. Accordingly, the results for the period ended 31 March 2022 have been prepared on a going concern basis. 2. Accounting policies NatWest Group's principal accounting policies are as set out on pages 307 to 312 of NatWest Group plc's 2021 Annual Report and Accounts. Amendments to IFRS effective from 1 January 2022 had no material effect on the condensed consolidated financial statements. Critical accounting policies and key sources of estimation uncertainty The judgments and assumptions that are considered to be the most important to the portrayal of NatWest Group's financial condition are those relating to deferred tax, fair value of financial instruments, loan impairment provisions, goodwill and provisions for liabilities and charges. These critical accounting policies and judgments are noted on page 311 of NatWest Group plc's 2021 Annual Report and Accounts. Management's consideration of uncertainty is outlined in the relevant sections of NatWest Group plc's 2021 Annual Report and Accounts, including the ECL estimate for the period in the Risk and capital management section contained in NatWest Group plc's 2021 Annual Report and Accounts. Information used for significant estimates Uncertainty with respect to the prolonged financial effect of the COVID-19 pandemic and the Russian invasion of Ukraine continues to cause significant economic and social disruption. Specifically, there continues to be uncertainty as to the indirect impacts on NatWest Group due to the Russian invasion of Ukraine and related consequences for geopolitical stability, energy supply and prices, and cross-border financial transactions, including as a result of economic sanctions. Key financial estimates are based on management's latest five-year revenue and cost forecasts. Measurement of goodwill, deferred tax and expected credit losses are highly sensitive to reasonably possible changes in those anticipated conditions. Other reasonably possible assumptions about the future include a prolonged financial effect of the COVID-19 pandemic on the economy of the UK and other countries or greater economic effect as countries and companies implement plans to counter climate risks. Changes in judgments and assumptions could result in a material adjustment to those estimates in future reporting periods. (Refer to the Risk factors in NatWest Group plc's 2021 Annual Report and Accounts). Notes 3. Discontinued operations and assets and liabilities of disposal groups Two legally binding agreements for the sale of UBIDAC business were announced in 2021 as part of the phased withdrawal from the Republic of Ireland: On 28 June 2021 NatWest Group announced it had agreed a binding sale agreement with Allied Irish Banks, p.l.c. for the transfer of c.���4.2 billion (plus up to ���2.8 billion of undrawn exposures), of performing commercial loans as well as those c.280 colleagues who are wholly or mainly assigned to supporting that part of the business, with the final number of roles to be confirmed as the deal completes. On 28 April 2022, approval was received from the Irish competition authority (the CCPC) in relation to this sale, which is expected to be completed in a series of transactions during 2022 and Q1 2023. On the 17 December 2021 NatWest Group signed a legally binding agreement with Permanent TSB p.l.c. (PTSB). The proposed sale will include performing non-tracker mortgages, the performing loans in the micro-SME business; the UBIDAC Asset Finance business, including its Lombard digital platform, and 25 Ulster Bank branch locations in the Republic of Ireland. The majority of loans are expected to transfer by Q4 2022. As part of the transaction it is anticipated that c.450 colleagues will have the right to transfer under the TUPE regulations, with the final number of roles to be confirmed as the deal completes. This sale remains subject to obtaining competition, regulatory and other approvals, including PTSB's holding company shareholder approval, and other conditions being satisfied. The business activities relating to these sales that meet the requirements of IFRS 5 are presented as a discontinued operation and as a disposal group at 31 March 2022. Comparative results for the quarter ended 31 March 2021 have been re-presented from those previously published to reclassify certain items as discontinued operations. The Ulster Bank RoI operating segment continues to be reported separately and reflects the results and balance sheet position of its continuing operations. (a) Profit from discontinued operations, net of tax Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Net interest income 60 62 67 Non-interest income (1) 4 1 Total income 59 66 68 Operating expenses (11) (14) (11) Profit before impairment (losses)/releases 48 52 57 Impairment (losses)/releases (6) 45 4 Operating profit before tax 42 97 61 Tax charge - - - Profit from discontinued operations, net of tax 42 97 61 (b) Assets and liabilities of disposal groups As at 31 March 31 December 2022 2021 ��m ��m Assets of disposal groups Loans to customers - amortised cost 9,215 9,002 Derivatives 2 5 Other assets 8 8 9,225 9,015 Liabilities of disposal groups Other liabilities 5 5 5 5 Net assets of disposal groups 9,220 9,010 Notes 4. Litigation and regulatory matters NatWest Group plc's 2021 Annual Report and Accounts, issued on 18 February 2022, included disclosures about NatWest Group's litigation and regulatory matters in Note 27. Set out below are the material developments in those matters (which have all been previously disclosed) since publication of the 2021 Annual Report and Accounts. Litigation Residential mortgage-backed securities (RMBS) litigation in the US NWMSI agreed to settle a purported RMBS class action entitled New Jersey Carpenters Health Fund v. Novastar Mortgage Inc. et al. for US$55.3 million. This was paid into escrow pending court approval of the settlement, which was granted in March 2019, but which then became the subject of an appeal by a class member who wanted to exit the settlement. On 14 March 2022, the United States Court of Appeals for the Second Circuit rejected that class member's appeal. London Interbank Offered Rate (LIBOR) and other rates litigation NatWest Group plc is a defendant in a class action pending in the United States District Court for the Southern District of New York (SDNY) on behalf of lender plaintiffs who allege that NatWest Group plc and other defendants engaged in fraud by artificially suppressing USD LIBOR. On 25 February 2022, the United States Court of Appeals for the Second Circuit reversed the SDNY's prior dismissal of the case, holding that the plaintiffs have adequately alleged the court's jurisdiction over the defendants. The claim will now proceed in the SDNY. NatWest Group companies are defendants in class actions pending in the SDNY relating to alleged manipulation of the Singapore Interbank Offered Rate and Singapore Swap Offer Rate ('SIBOR / SOR') and the Australian Bank Bill Swap Reference Rate. In March 2022, agreements in principle were reached to settle both cases. The amounts of the settlements, which remain subject to final documentation and court approval, are covered by existing provisions. FX litigation An FX-related class action, on behalf of 'consumers and end-user businesses', is pending in the SDNY against NWM Plc and others. On 18 March 2022, the SDNY denied the plaintiffs' motion for class certification. Plaintiffs are seeking to appeal the decision. Two separate FX-related applications seeking opt-out collective proceedings orders were filed in the UK Competition Appeal Tribunal (CAT) against NatWest Group plc, NWM Plc and other banks. On 31 March 2022, the CAT declined to certify as collective proceedings either of the applications, ruling that the opt-out basis on which they were brought was inappropriate. The CAT granted each applicant three months to revise their application for certification on an opt-in basis, if they wish to proceed. The applicants have stated that they intend to appeal the judgment. Government securities antitrust litigation NWMSI and certain other US broker-dealers are defendants in a consolidated antitrust class action in the SDNY on behalf of persons who transacted in US Treasury securities or derivatives based on such instruments, including futures and options. The plaintiffs allege that defendants rigged the US Treasury securities auction bidding process to deflate the prices at which they bought such securities and colluded to increase the prices at which they sold such securities to plaintiffs. On 31 March 2022, the SDNY dismissed the operative complaint, without leave to re-plead. The dismissal is subject to appeal. NWM Plc, NWMSI and other banks are defendants in a class action antitrust case in the SDNY in respect of Euro-denominated bonds issued by European central banks (EGBs). The complaint alleges a conspiracy among dealers of EGBs, between 2007 and 2012, to widen the bid-ask spreads they quoted to customers, thereby increasing the prices customers paid for the EGBs or decreasing the prices at which customers sold the bonds. On 14 March 2022, the SDNY dismissed the claims against NWM Plc and NWMSI in the operative complaint on the ground that the complaint's conspiracy allegations are insufficient. The plaintiffs have indicated that they intend to file an amended complaint. Regulatory matters Systematic Anti-Money Laundering Programme assessment In January 2022, NatWest Group received the Skilled Person's final report in connection with governance arrangements for two financial crime change programmes in respect of which the Skilled Person had been appointed under section 166 of the Financial Services and Markets Act 2000 to provide assurance. The FCA confirmed in March 2022 that the section 166 review has now concluded. 5. Post balance sheet events On 28 April 2022, approval was received from the Irish competition authority (the CCPC) in relation to the agreement with AIB for the sale of UBIDAC's commercial lending portfolio. Additionally, we have entered into exclusive discussions with AIB for the sale of UBIDAC's performing tracker (and linked) mortgage portfolio. Other than as disclosed there have been no significant events between 31 March 2022 and the date of approval of these accounts that would require a change to or additional disclosure in the condensed consolidated financial statements. Additional information Presentation of information 'Parent company' refers to NatWest Group plc and 'NatWest Group' and 'we' refers to NatWest Group plc and its subsidiary and associated undertakings. The term 'NWH Group' refers to NatWest Holdings Limited ('NWH') and its subsidiary and associated undertakings. The term 'NatWest Markets Group' or 'NWM Group' refers to NatWest Markets Plc ('NWM Plc') and its subsidiary and associated undertakings. The term 'NWM N.V.' refers to NatWest Markets N.V. The term 'NWMSI' refers to NatWest Markets Securities, Inc. The term 'RBS plc' refers to The Royal Bank of Scotland plc. The term 'NWB Plc' refers to National Westminster Bank Plc. The term 'UBIDAC' refers to Ulster Bank Ireland DAC. 'Go-forward group' excludes Ulster Bank RoI and discontinued operations. NatWest Group publishes its financial statements in pounds sterling ('��' or 'sterling'). The abbreviations '��m' and '��bn' represent millions and thousands of millions of pounds sterling, respectively, and references to 'pence' or 'p' represent pence where the amounts are denominated in pounds sterling ('GBP'). Reference to 'dollars' or '$' are to United States of America ('US') dollars. The abbreviations '$m' and '$bn' represent millions and thousands of millions of dollars, respectively. The abbreviation '���' represents the 'euro', and the abbreviations '���m' and '���bn' represent millions and thousands of millions of euros, respectively. Statutory results Financial information contained in this document does not constitute statutory accounts within the meaning of section 434 of the Companies Act 2006 ('the Act'). The statutory accounts for the year ended 31 December 2021 will be filed with the Registrar of Companies. The report of the auditor on those statutory accounts was unqualified, did not draw attention to any matters by way of emphasis and did not contain a statement under section 498(2) or (3) of the Act. Q1 2022 segmental re-organisation On 27 January 2022, NatWest Group announced that a new franchise, Commercial & Institutional, would be created, bringing together the Commercial, NatWest Markets and RBSI businesses to form a single franchise, with common management and objectives, to best support our customers across the full non-personal customer lifecycle. Comparatives have been re-presented in this document. Refer to the re-segmentation document published on 22 April 2022 for further details. The re-presentation of operating segments does not change the consolidated financial results of NatWest Group. Ulster Bank RoI Continuing operations Two legally binding agreements for the sale of the UBIDAC business were announced in 2021 as part of the phased withdrawal from the Republic of Ireland: the sale of commercial lending to Allied Irish Banks p.l.c. (AIB) and the performing non-tracker mortgages, performing micro-SME loans, UBIDAC's asset finance business and 25 of its branch locations to Permanent TSB plc. (PTSB). The business activities relating to these sales that meet the requirements of IFRS 5 are presented as a discontinued operation and as a disposal group on 31 March 2022. Comparative results for the quarter ended 31 March 2021 have been re-presented from those previously published to reclassify certain items as discontinued operations. The Business performance summary presents the results of the Group's continuing operations. For further details refer to Note 3 on page 31. MAR - Inside Information This announcement contains information that qualified or may have qualified as inside information for NatWest Group plc, for the purposes of Article 7 of the Market Abuse Regulation (EU) 596/2014 (MAR) as it forms part of domestic law by virtue of the European Union (Withdrawal) Act 2018. This announcement is made by Alexander Holcroft, Head of Investor Relations for NatWest Group plc. Contacts Analyst enquiries: Alexander Holcroft, Investor Relations Media enquiries: NatWest Group Press Office Management presentation Date: 29 April 2022 Time: 9am UK time Zoom ID: 913 9426 3599 Available on www.natwestgroup.com/results - Q1 2022 Interim Management Statement and slides. - A financial supplement containing income statement, balance sheet and segment performance for the quarter ended 31 March 2022. - NatWest Group and NWH Group Pillar 3 supplements. - Segmental Reporting Re-segmentation Financial Supplement (published 22 April 2022). 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', 'will', '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 Group's future economic results, business plans and strategies. In particular, this document may include forward-looking statements relating to NatWest Group plc in respect of, but not limited to: the impact of the COVID-19 pandemic, its regulatory capital position and related requirements, its financial position, profitability and financial performance (including financial, capital, cost savings and operational targets), the implementation of its purpose-led strategy, its ESG and climate-related 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 NatWest Group's exposure to economic and political risks (including with respect to terms surrounding Brexit and climate change), operational risk, conduct risk, cyber, data and IT risk, financial crime 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 impact of the COVID-19 pandemic, future growth initiatives (including acquisitions, joint ventures and strategic partnerships), the outcome of legal, regulatory and governmental actions and investigations, the level and extent of future impairments and write-downs (including with respect to goodwill), legislative, political, fiscal and regulatory developments, accounting standards, competitive conditions, technological developments, interest and exchange rate fluctuations, general economic and political conditions and the impact of climate-related risks and the transitioning to a net zero economy. These and other factors, risks and uncertainties that may impact any forward-looking statement or NatWest Group plc's actual results are discussed in NatWest Group plc's UK 2021 Annual Report and Accounts (ARA), NatWest Group plc's Interim Results for Q1 2022 and NatWest Group plc's filings with 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 NatWest Group plc does 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. Legal Entity Identifier: 2138005O9XJIJN4JPN90 Appendix Non-IFRS financial measures Non-IFRS financial measures NatWest Group prepares its financial statements in accordance with generally accepted accounting principles (GAAP). This document contains a number of adjusted or alternative performance measures, also known as non-GAAP or non-IFRS performance measures. These measures are adjusted for notable and other defined items which management believes are not representative of the underlying performance of the business and which distort period-on-period comparison. The non-IFRS measures provide users of the financial statements with a consistent basis for comparing business performance between financial periods and information on elements of performance that are one-off in nature. The non-IFRS measures also include the calculation of metrics that are used throughout the banking industry. These non-IFRS measures are not measures within the scope of IFRS and are not a substitute for IFRS measures. Non-IFRS financial measures 1. Adjustment for notable items Go-forward group income excluding notable items is calculated as total income excluding Ulster Bank RoI total income and excluding notable items. The exclusion of notable items aims to remove the impact of one-offs which may distort period-on-period comparisons. Refer to pages 3, 4 and 11 to 13 for further details. Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Continuing operations Total income 3,027 2,622 2,591 Less Ulster Bank RoI total income (40) (43) (56) Go-forward group income 2,987 2,579 2,535 Less notable items (224) (62) 9 Go-forward group income excluding notable items 2,763 2,517 2,544 2. Other operating expenses Other operating expenses is calculated as total operating expenses less litigation and conduct costs. Other operating expenses of the Go-forward group excludes Ulster Bank RoI. Our cost target for 2022 is based on this measure and we track progress against it. Refer to pages 3, 4 and 11 to 13 for further details. Quarter ended 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Continuing operations Total operating expenses 1,820 2,328 1,804 Less litigation and conduct costs (102) (190) (16) Other operating expenses 1,718 2,138 1,788 Less Ulster Bank RoI other operating expenses (113) (104) (105) Go-forward group other operating expenses 1,605 2,034 1,683 . Non-IFRS financial measures 3. Operating expenses - management view The management analysis of operating expenses shows litigation and conduct costs on a separate line. These amounts are included within staff costs and other administrative expenses in the statutory analysis. Other operating expenses excludes litigation and conduct costs, which are more volatile and may distort comparisons with prior periods. Refer to page 26 for further details. Non-statutory analysis Quarter ended 31 March 2022 Litigation and Other Statutory conduct operating operating costs expenses expenses Operating expenses ��m ��m ��m Continuing operations Staff costs 7 894 901 Premises and equipment - 251 251 Other administrative expenses 95 376 471 Depreciation and amortisation - 197 197 Total 102 1,718 1,820 Quarter ended 31 December 2021 Litigation and Other Statutory conduct operating operating costs expenses expenses Operating expenses ��m ��m ��m Continuing operations Staff costs - 915 915 Premises and equipment - 368 368 Other administrative expenses 190 545 735 Depreciation and amortisation - 310 310 Total 190 2,138 2,328 Quarter ended 31 March 2021 Litigation and Other Statutory conduct operating operating costs expenses expenses Operating expenses ��m ��m ��m Continuing operations Staff costs - 974 974 Premises and equipment - 248 248 Other administrative expenses 16 361 377 Depreciation and amortisation - 205 205 Total 16 1,788 1,804 Non-IFRS financial measures 4. Cost:income ratio The cost:income ratio is calculated as total operating expenses less operating lease depreciation divided by total income less operating lease depreciation. This is a common metric used to compare profitability across the banking industry. Refer to pages 3, 6 to 8 and 11 to 13 for further details. Go-forward group Central Total excluding Ulster Total Retail Private Commercial & items Ulster Bank NatWest Banking Banking Institutional & other Bank RoI RoI Group Quarter ended 31 March 2022 ��m ��m ��m ��m ��m ��m ��m Continuing operations Operating expenses (645) (139) (922) (1) (1,707) (113) (1,820) Operating lease depreciation - - 32 - 32 - 32 Adjusted operating expenses (645) (139) (890) (1) (1,675) (113) (1,788) Total income 1,217 216 1,375 179 2,987 40 3,027 Operating lease depreciation - - (32) - (32) - (32) Adjusted total income 1,217 216 1,343 179 2,955 40 2,995 Cost:income ratio 53.0% 64.4% 66.3% nm 56.7% nm 59.7% Quarter ended 31 December 2021 Continuing operations Operating expenses (774) (155) (1,059) (209) (2,197) (131) (2,328) Operating lease depreciation - - 34 - 34 - 34 Adjusted operating expenses (774) (155) (1,025) (209) (2,163) (131) (2,294) Total income 1,164 253 1,168 (6) 2,579 43 2,622 Operating lease depreciation - - (34) - (34) - (34) Adjusted total income 1,164 253 1,134 (6) 2,545 43 2,588 Cost:income ratio 66.5% 61.3% 90.4% nm 85.0% nm 88.6% Quarter ended 31 March 2021 Continuing operations Operating expenses (587) (121) (915) (67) (1,690) (114) (1,804) Operating lease depreciation - - 35 - 35 - 35 Adjusted operating expenses (587) (121) (880) (67) (1,655) (114) (1,769) Total income 1,056 185 1,253 41 2,535 56 2,591 Operating lease depreciation - - (35) - (35) - (35) Adjusted total income 1,056 185 1,218 41 2,500 56 2,556 Cost:income ratio 55.6% 65.4% 72.3% nm 66.2% nm 69.2% Non-IFRS financial measures 5. NatWest Group return on tangible equity Return on tangible equity comprises annualised profit or loss for the period attributable to ordinary shareholders divided by average tangible equity. Average tangible equity is average total equity excluding average non-controlling interests, average other owners equity and average intangible assets. Go-forward group return on tangible equity is calculated as annualised profit for the period less Ulster Bank RoI divided by Go-forward group total tangible equity. Go forward RWAe applying factor is the Go- forward group average RWAe as a percentage of total Natwest Group average RWAe. This measure shows the return NatWest Group generates on tangible equity deployed. It is used to determine relative performance of banks and used widely across the sector, although different banks may calculate the rate differently. Refer to pages 3 and 11 to 13 for further details. Quarter ended or as at 31 March 31 December 31 March 2022 2021 2021 NatWest Group return on tangible equity ��m ��m ��m Profit attributable to ordinary shareholders 841 434 620 Annualised profit attributable to ordinary shareholders 3,364 1,736 2,480 Average total equity 40,934 41,887 43,566 Adjustment for other owners' equity and intangibles (11,067) (10,719) (12,333) Adjusted total tangible equity 29,867 31,168 31,233 Return on tangible equity 11.3% 5.6% 7.9% Go-forward group return on tangible equity Profit attributable to ordinary shareholders 841 434 620 Less Ulster Bank RoI loss from continuing operations, net of tax 42 73 59 Less profit from discontinued operations (42) (97) (61) Go-forward group profit attributable to ordinary shareholders 841 410 618 Annualised go-forward group profit attributable to ordinary shareholders 3,364 1,640 2,472 Average total equity 40,934 41,887 43,566 Adjustment for other owners' equity and intangibles (11,067) (10,719) (12,333) Adjusted total tangible equity 29,867 31,168 31,233 Go-forward group RWAe applying factor 95% 94% 93% Go-forward group total tangible equity 28,374 29,298 29,047 Go-forward group return on tangible equity 11.9% 5.6% 8.5% Non-IFRS financial measures 6. Segmental return on equity Segmental return on equity comprises segmental operating profit or loss, adjusted for preference share dividends and tax, divided by average notional tangible equity. Average RWAe is defined as average segmental RWAs incorporating the effect of capital deductions. This is multiplied by an allocated equity factor for each segment to calculate the average notional tangible equity. This measure shows the return generated by operating segments on equity deployed. Refer to pages 6 to 8 and 11 to 13 for further details. Retail Private Commercial & Quarter ended 31 March 2022 Banking Banking Institutional Operating profit (��m) 567 82 464 Preference share cost allocation (��m) (20) (3) (46) Adjustment for tax (��m) (153) (22) (105) Adjusted attributable profit (��m) 394 57 314 Annualised adjusted attributable profit (��m) 1,576 228 1,256 Average RWAe (��bn) 52.6 11.4 102.0 Equity factor (%) 13.0% 11.0% 14.0% RWAe applying equity factor (��bn) 6.8 1.3 14.3 Return on equity (%) 23.1% 18.2% 8.8% Quarter ended 31 December 2021 Operating profit (��m) 385 110 426 Preference share cost allocation (��m) (20) (5) (59) Adjustment for tax (��m) (102) (29) (92) Adjusted attributable profit (��m) 263 76 275 Annualised adjusted attributable profit (��m) 1,052 302 1,100 Average RWAe (��bn) 36.9 11.3 101.0 Equity factor (%) 14.5% 12.5% 13.0% RWAe applying equity factor (��bn) 5.3 1.4 13.1 Return on equity (%) 19.7% 21.3% 8.3% Quarter ended 31 March 2021 Operating profit (��m) 435 64 463 Preference share cost allocation (��m) (20) (5) (59) Adjustment for tax (��m) (116) (17) (101) Adjusted attributable profit (��m) 299 42 303 Annualised adjusted attributable profit (��m) 1,196 170 1,212 Average RWAe (��bn) 35.8 11.0 110.2 Equity factor (%) 14.5% 12.5% 13.0% RWAe applying equity factor (��bn) 5.2 1.4 14.3 Return on equity (%) 23.0% 12.4% 8.5% 7. Tangible equity Tangible equity is ordinary shareholders' interest less intangible assets. TNAV per ordinary share is calculated as tangible equity divided by the number of ordinary shares in issue. This is a measure used by external analysts in valuing the bank and the starting point for calculating regulatory capital. Refer to page 3 for further details. Year ended or as at 31 March 31 December 31 March 2022 2021 2021 Ordinary shareholders' interests (��m) 35,345 37,412 36,792 Less intangible assets (��m) (6,774) (6,723) (6,666) Tangible equity (��m) 28,571 30,689 30,126 Ordinary shares in issue (millions) 10,622 11,272 11,560 TNAV per ordinary share (pence) 269p 272p 261p Non-IFRS financial measures 8. Bank net interest margin Bank net interest margin is defined as annualised net interest income of the Go-forward group, as a percentage of bank average interest-earning assets. Bank average interest earning assets are the average interest earning assets of the banking business of the Go-forward group excluding liquid asset buffer. Liquid asset buffer consists of assets held by NatWest Group, such as cash and balances at central banks and debt securities in issue, that can be used to ensure repayment of financial obligations as they fall due. The exclusion of liquid asset buffer has been introduced as a way to present net interest margin on a basis more comparable with UK peers and exclude the impact of regulatory driven factors. Refer to pages 3, 6 to 8 and 11 to 13 for further details. Quarter ended or as at 31 March 31 December 31 March 2022 2021 2021 Go-forward group ��m ��m ��m Continuing operations NatWest Group net interest income 2,045 1,942 1,864 Less Ulster Bank RoI net interest income (22) (23) (27) Bank net interest income 2,023 1,919 1,837 Annualised NatWest Group net interest income 8,294 7,705 7,560 Annualised Bank net interest income 8,204 7,613 7,450 Average interest earning assets (IEA) 549,298 551,577 502,515 Less Ulster Bank RoI average IEA (7,185) (7,672) (7,958) Less liquid asset buffer average IEA (208,764) (214,412) (173,694) Bank average IEA 333,349 329,493 320,863 Bank net interest margin 2.46% 2.31% 2.32% Quarter ended or as at 31 March 31 December 31 March 2022 2021 2021 Retail Banking ��m ��m ��m Net interest income 1,112 1,057 973 Annualised net interest income 4,510 4,194 3,946 Retail Banking average IEA 185,531 183,541 175,346 Less liquid asset buffer average IEA - - - Adjusted Retail Banking average IEA 185,531 183,541 175,346 Retail Banking net interest margin 2.43% 2.28% 2.25% Private Banking Net interest income 143 126 115 Annualised net interest income 580 500 466 Private Banking average IEA 18,867 18,721 17,689 Less liquid asset buffer average IEA - - - Adjusted Private Banking average IEA 18,867 18,721 17,689 Private Banking net interest margin 3.07% 2.67% 2.64% Commercial & Institutional Net interest income 803 764 725 Annualised adjusted net interest income 3,257 3,031 2,940 Commercial & Institutional average IEA 164,487 168,047 163,594 Less liquid asset buffer average IEA (43,502) (47,668) (41,040) Adjusted Commercial & Institutional average IEA 120,985 120,379 122,554 Commercial & Institutional net interest margin 2.69% 2.52% 2.40% Non-IFRS financial measures 9. Net lending NatWest Group net lending is calculated as total loans to customers less loan impairment provisions. Go-forward group net lending is calculated as net loans to customers less Ulster Bank RoI net loans to customers. Refer to page 3 for further details. As at 31 March 31 December 31 March 2022 2021 2021 ��bn ��bn ��bn Total loans to customers (amortised cost) 368.9 362.8 364.3 Less loan impairment provisions (3.6) (3.8) (5.6) Net loans to customers (amortised cost) 365.3 359.0 358.7 Less Ulster Bank RoI net loans to customers (amortised cost) (6.3) (6.7) (16.9) Go-forward group net lending 359.0 352.3 341.8 10. Customer deposits Go-forward group customer deposits is calculated as total customer deposits less Ulster Bank RoI customer deposits. Refer to page 3 for further details. As at 31 March 31 December 31 March 2022 2021 2021 ��bn ��bn ��bn Total customer deposits 482.9 479.8 453.3 Less Ulster Bank RoI customer deposits (17.3) (18.4) (18.4) Go-forward group customer deposits 465.6 461.4 434.9 Performance metrics not defined under IFRS Metrics based on GAAP measures, included as not defined under IFRS and reported for compliance with the European Securities and Markets Authority (ESMA) adjusted performance measure rules. 1. Loan:deposit ratio Loan:deposit ratio is calculated as net customer loans held at amortised cost excluding reverse repos divided by total customer deposits excluding repos. Prior periods have been re-presented. This is a common metric used to assess liquidity. The removal of repos and reverse repos reduces volatility and presents the ratio on a basis that is comparable to UK peers. Refer to page 3 for further details. As at 31 March 31 December 31 March 2022 2021 2021 ��m ��m ��m Loans to customers - amortised cost 365,340 358,990 358,728 Less reverse repos (26,780) (25,962) (20,548) 338,560 333,028 338,180 Customer deposits 482,887 479,810 453,308 Less repos (16,166) (14,541) (16,141) 466,721 465,269 437,167 Loan:deposit ratio (%) 73% 72% 77% 2. Loan impairment rate Loan impairment rate is the annualised loan impairment charge divided by gross customer loans. Refer to pages 3, 6 to 8 and 11 to 13 for further details. 3. Funded assets Funded assets is calculated as total assets less derivative assets. This measure allows review of balance sheet trends exclusive of the volatility associated with derivative fair values. Refer to pages 3, 8 and 11 to 13 for further details. 4. AUMAs AUMA comprises both assets under management (AUMs) and assets under administration (AUAs) serviced through the Private Banking franchise. AUMs comprise assets where the investment management is undertaken by Private Banking on behalf of Private Banking, Retail Banking and Commercial & Institutional customers. AUAs comprise third party assets held on an execution-only basis in custody by Private Banking, Retail Banking and Commercial & Institutional for their customers, for which the execution services are supported by Private Banking. Private Banking receives a fee for providing investment management and execution services to Retail Banking and Commercial & Institutional franchises. Private Banking is the centre of expertise for asset management across NatWest Group servicing all client segments across Retail, Premier and Private Banking. Refer to pages 3 and 7 for further details. 5. Depositary assets Assets held by Commercial & Institutional as an independent trustee and in a depositary service capacity. Depositary assets are a closely monitored KPI for the Commercial & Institutional business and its inclusion in commentary highlights the services provided. Refer to page 8 for further details. 6. Wholesale funding Wholesale funding comprises deposits by banks, debt securities in issue and subordinated liabilities. This is a closely monitored metric used across the banking industry to ensure capital requirements are being met. Refer to page 3 for further details. Legal Entity Identifier: 2138005O9XJIJN4JPN90 This information is provided by RNS, the news service of the London Stock Exchange. RNS is approved by the Financial Conduct Authority to act as a Primary Information Provider in the United Kingdom. Terms and conditions relating to the use and distribution of this information may apply. For further information, please contact rns@lseg.com or visit www.rns.com. 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