WESTMINSTER GROUP PLC

NatWest Bank PLC 213800IBT39XQ9C4CP71 2024-01-01 2024-12-31 213800IBT39XQ9C4CP71 2023-01-01 2023-12-31 213800IBT39XQ9C4CP71 2024-12-31 213800IBT39XQ9C4CP71 2023-12-31 213800IBT39XQ9C4CP71 2022-12-31 213800IBT39XQ9C4CP71 2024-01-01 2024-12-31 ifrs-full:AdditionalPaidinCapitalMember 213800IBT39XQ9C4CP71 2024-01-01 2024-12-31 ifrs-full:MergerReserveMember 213800IBT39XQ9C4CP71 2024-01-01 2024-12-31 ifrs-full:RetainedEarningsMember 213800IBT39XQ9C4CP71 2024-01-01 2024-12-31 ifrs-full:ReserveOfGainsAndLossesOnFinancialAssetsMeasuredAtFairValueThroughOtherComprehensiveIncomeMember 213800IBT39XQ9C4CP71 2024-01-01 2024-12-31 ifrs-full:ReserveOfCashFlowHedgesMember 213800IBT39XQ9C4CP71 2024-01-01 2024-12-31 nwbd:ReserveOfExchangeDifferencesOnTranslationAndHedgesOfNetInvestmentsInForeignOperationsMember 213800IBT39XQ9C4CP71 2024-01-01 2024-12-31 ifrs-full:NoncontrollingInterestsMember 213800IBT39XQ9C4CP71 2023-01-01 2023-12-31 ifrs-full:AdditionalPaidinCapitalMember 213800IBT39XQ9C4CP71 2023-01-01 2023-12-31 ifrs-full:MergerReserveMember 213800IBT39XQ9C4CP71 2023-01-01 2023-12-31 ifrs-full:RetainedEarningsMember 213800IBT39XQ9C4CP71 2023-01-01 2023-12-31 ifrs-full:ReserveOfGainsAndLossesOnFinancialAssetsMeasuredAtFairValueThroughOtherComprehensiveIncomeMember 213800IBT39XQ9C4CP71 2023-01-01 2023-12-31 ifrs-full:ReserveOfCashFlowHedgesMember 213800IBT39XQ9C4CP71 2023-01-01 2023-12-31 nwbd:ReserveOfExchangeDifferencesOnTranslationAndHedgesOfNetInvestmentsInForeignOperationsMember 213800IBT39XQ9C4CP71 2023-01-01 2023-12-31 ifrs-full:NoncontrollingInterestsMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:AdditionalPaidinCapitalMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:ReserveOfGainsAndLossesOnFinancialAssetsMeasuredAtFairValueThroughOtherComprehensiveIncomeMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:ReserveOfCashFlowHedgesMember 213800IBT39XQ9C4CP71 2023-12-31 nwbd:ReserveOfExchangeDifferencesOnTranslationAndHedgesOfNetInvestmentsInForeignOperationsMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:RetainedEarningsMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:NoncontrollingInterestsMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:MergerReserveMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:IssuedCapitalMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:SharePremiumMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:CapitalRedemptionReserveMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:IssuedCapitalMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:AdditionalPaidinCapitalMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:SharePremiumMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:MergerReserveMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:ReserveOfGainsAndLossesOnFinancialAssetsMeasuredAtFairValueThroughOtherComprehensiveIncomeMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:ReserveOfCashFlowHedgesMember 213800IBT39XQ9C4CP71 2024-12-31 nwbd:ReserveOfExchangeDifferencesOnTranslationAndHedgesOfNetInvestmentsInForeignOperationsMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:CapitalRedemptionReserveMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:RetainedEarningsMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:NoncontrollingInterestsMember 213800IBT39XQ9C4CP71 2024-12-31 ifrs-full:EquityAttributableToOwnersOfParentMember 213800IBT39XQ9C4CP71 2022-12-31 ifrs-full:AdditionalPaidinCapitalMember 213800IBT39XQ9C4CP71 2022-12-31 ifrs-full:ReserveOfGainsAndLossesOnFinancialAssetsMeasuredAtFairValueThroughOtherComprehensiveIncomeMember 213800IBT39XQ9C4CP71 2022-12-31 ifrs-full:ReserveOfCashFlowHedgesMember 213800IBT39XQ9C4CP71 2022-12-31 nwbd:ReserveOfExchangeDifferencesOnTranslationAndHedgesOfNetInvestmentsInForeignOperationsMember 213800IBT39XQ9C4CP71 2022-12-31 ifrs-full:RetainedEarningsMember 213800IBT39XQ9C4CP71 2022-12-31 ifrs-full:NoncontrollingInterestsMember 213800IBT39XQ9C4CP71 2022-12-31 ifrs-full:MergerReserveMember 213800IBT39XQ9C4CP71 2022-12-31 ifrs-full:IssuedCapitalMember 213800IBT39XQ9C4CP71 2022-12-31 ifrs-full:SharePremiumMember 213800IBT39XQ9C4CP71 2022-12-31 ifrs-full:CapitalRedemptionReserveMember 213800IBT39XQ9C4CP71 2023-12-31 ifrs-full:EquityAttributableToOwnersOfParentMember iso4217:GBP Westminster National Bank Plc 2024 Annual Report and Accounts Strategic report NWB Group Annual Report and Accounts 2024 2 Presentation of information National Westminster Bank Plc (‘NWB Plc’) is a wholly owned subsidiary of NatWest Holdings Limited (‘NWH Ltd’ or ‘the intermediate holding company’). The term ‘NWB Group’ or ‘we’ refers to NWB Plc and its subsidiary and associated undertakings. The term ‘NWH Group’ refers to NWH Ltd and its subsidiary and associated undertakings. NatWest Group plc is ‘the ultimate holding company’. The term ‘NatWest Group’ refers to NatWest Group plc and its subsidiaries. NWB Plc publishes its financial statements in pounds sterling (‘£’ or ‘sterling’). The abbreviations ‘£m’ and ‘£bn’ represent millions and thousands of millions of pounds sterling (‘GBP’), respectively, and references to ‘pence’ represent pence where amounts are denominated in sterling. 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. Description of business National Westminster Bank Plc (‘NWB Plc’, which wholly owns Coutts & Company) is a principal entity under NatWest Holdings Limited (‘NWH Ltd’), together with The Royal Bank of Scotland plc (‘RBS plc’). The term ‘NWB Group’ refers to NWB Plc and its subsidiary and associated undertakings. Principal activities and operating segments NWB Group serves customers across the UK with a range of retail and commercial banking products and services. A wide range of personal products are offered including current accounts, credit cards, personal loans, mortgages and wealth management services. NWB Plc is the main provider of shared services for NatWest Group. The reportable operating segments are as follows: Retail Banking - serves personal customers in the UK and includes Ulster Bank customers in Northern Ireland. Private Banking - serves UK-connected, high net worth individuals and their business interests. Commercial & Institutional - consists of customer businesses reported under Business Banking, Commercial Mid-market and Corporate & Institutions, supporting our customers across the full non-personal customer lifecycle, both domestically and internationally. Central items & other - includes corporate functions such as treasury, finance, risk management, compliance, legal, communications and human resources. NWB Plc is the main service provider of shared services and treasury activities for NatWest Group. The services are mainly provided to NWH Group, however, in certain instances where permitted, services are also provided to the wider NatWest Group including the non ring-fenced business. Performance overview Strong financial performance NWB Group profit for the year was £3,425 million compared with £3,509 million in 2023. Total income decreased by £113 million to £11,973 million, primarily reflecting a gain on redemption of own debt in 2023 and a decrease on gains from economic hedging derivatives. This was partially offset by increased net interest income, lending and financing fees and investment income. Operating expenses increased by £170 million to £6,963 million, reflecting higher staff costs as a result of planned restructuring costs and higher depreciation and amortisation costs, mainly due to continued investment in technology. This was offset in part by a reduction in conduct and managed services costs. Net impairment losses of £347 million reduced year on year reflecting good book releases, post model adjustment releases and the IFRS 9 multiple economic scenario (MES) updates partially offset by an increase in Stage 3 charges. Total impairment provisions decreased by £0.1 billion to £2.7 billion in the year. Expected credit loss (ECL) coverage ratio decreased from 0.88% to 0.81%. Robust balance sheet with strong capital levels Total assets increased by £8.8 billion to £424.3 billion. This was primarily driven by an increase in loans to customers and a £7.6 billion increase in other financial assets, driven by liquidity risk management activities, principally net bond activity. This was partially offset by a reduction in cash and balances at central banks. Loans to customers increased by £13.5 billion to £332.0 billion primarily driven by an increase in reverse repo activities, growth in the Retail Banking business as a result of the acquisition of a Metro Bank mortgage portfolio, and commercial term loan facilities. Customer deposits increased by £4.5 billion to £318.3 billion driven by growth in savings balances combined with a deposit mix shift as customers move toward interest bearing accounts. This was partially offset by a reduction in repo balances as a result of market conditions. The Common Equity Tier 1 (CET1) ratio decreased 20 basis points to 11.4% due to a £2.8 billion increase in risk-weighted assets (RWAs) partially offset by a £0.1 billion increase in CET1 capital. The CET1 capital increase was primarily driven by attributable profit, partially offset by interim and foreseeable dividends. Total RWAs increased by £2.8 billion to £124.5 billion mainly reflecting:  an increase in credit risk RWAs of £1.2 billion, primarily driven by a £0.9 billion Metro Bank mortgage portfolio acquisition, increased lending and an uplift in internal ratings based (IRB) temporary model adjustment in Retail Banking and an increase driven by drawdowns and new facilities within Commercial & Institutional. These increases were partially offset by active RWA management and improved risk metrics.  an increase in operational risk RWAs of £1.6 billion following the annual recalculation. Page Strategic report Presentation of information 2 Description of business 2 Performance overview 2 Stakeholder engagement and s.172(1) statement 3 Board of directors and secretary 4 Top and emerging risks 5 Financial review 7 Risk and capital management 10 Report of the directors 78 Statement of directors’ responsibilities 85 Financial statements 86 Risk factors 173 Forward-looking statements 191 Stakeholder engagement and s.172(1) statement NWB Group Annual Report and Accounts 2024 3 This statement describes how the directors have had regard to the matters set out in section 172(1) (a) to (f) of the Companies Act 2006 (section 172) when performing their duty to promote the success of the company. Board engagement with stakeholders The Board reviews and confirms its key stakeholder groups for the purposes of section 172 annually. For 2024, they remained investors, customers, colleagues, regulators, communities and suppliers. Directors are mindful that it is not always possible to achieve an outcome which meets the expectations of all stakeholders, and that there may be impacted stakeholders outside the six key groups the Board has identified. Examples of how the Board has engaged with key stakeholders, including the impact on principal decisions, can be found in this statement and on page 78 (Corporate governance statement). Supporting effective Board discussions and decision-making Board and Committee terms of reference reinforce the importance of considering the matters set out in section 172 (the s172 factors, as set out below). The Board and Committee paper template also supports consideration of stakeholders and enables good decision making. Principal decisions Principal decisions are those decisions taken by the Board that are material or of strategic importance to the company, or are significant to the company’s key stakeholders. This statement includes a case study of a principal decision taken by the Board during 2024. Further information on the Board’s principal activities can be found in the Corporate governance statement on pages 78 to 84. The s172 factors (a) likely long-term consequences (b) employee interests (c) relationships with customers, suppliers and others (d) the impact on community and environment (e) maintaining a reputation for high standards of business conduct (f) acting fairly between members of the company Case Study – Dividend payments Factors considered: (a), (e), (f) What was the decision-making process? The Board approved full year and interim dividend declarations during 2024 to be made to the sole shareholder, NWH Ltd. It considered proposals in the context of the agreed planning targets for the year, which reflected current and future regulatory capital requirements and the available funds for distribution. In line with standard practice, the Board Risk Committee reviewed all proposals prior to submission to the Board, making appropriate recommendations. Both the Committee and the Board also reviewed the opinion of the second line of defence in relation to the proposals. How did the directors fulfil their duties under section 172? How were stakeholders considered? The Board recognised the need to balance adequate investment in the business with shareholder expectations that excess capital be paid to the parent entity. Consideration was given to NWB Plc’s growth ambitions and lending forecasts, agreed risk appetite and targets, and the dividend capacity. The Board was particularly focused on ensuring the proposed distributions would support the long-term success of the company for the benefit of all stakeholders, and that the payments would not impact NWB Plc’s ability to withstand an extreme stress scenario. External expectations of capital management were also carefully considered by the directors, including those of the shareholder, NWH Ltd. Regulatory requirements formed an important part of the planning targets The Board also considered the financial implications the distributions might have and any potential impact on the bank’s ability to serve our customers every day. Actions and outcomes A final dividend of £880 million was approved by the NWB Plc Board in February 2024 and an interim dividend of £1,636 million was approved by the Board in July 2024. These payments resulted in a CET1 ratio of 11.4%, consistent with the 2024 planning target and above regulatory requirements. Board of directors and secretary NWB Group Annual Report and Accounts 2024 4 Approval of Strategic report The Strategic report for the year ended 31 December 2024 set out on pages 2 to 77 was approved by the Board of directors on 13 February 2025. By order of the Board Jan Cargill Chief Governance Officer and Company Secretary 13 February 2025 Chair Richard Haythornthwaite Executive directors John-Paul Thwaite (CEO) Katie Murray (CFO) Non-executive directors Francesca Barnes Ian Cormack Roisin Donnelly Patrick Flynn Geeta Gopalan Yasmin Jetha Stuart Lewis Mark Rennison Mark Seligman Gillian Whitehead Lena Wilson Board and committee membership Nominations Committee Rick Haythornthwaite (Chair) Ian Cormack Patrick Flynn Stuart Lewis Mark Seligman Lena Wilson Audit Committee Patrick Flynn (Chair) Ian Cormack Geeta Gopalan Stuart Lewis Mark Rennison Mark Seligman Board Risk Committee Stuart Lewis (Chair) Francesca Barnes Ian Cormack Patrick Flynn Geeta Gopalan Mark Rennison Gill Whitehead Lena Wilson Performance and Remuneration Committee Lena Wilson (Chair) Ian Cormack Roisin Donnelly Mark Rennison Mark Seligman Senior Independent Non-executive Director Ian Cormack Chief Governance Officer and Company Secretary Jan Cargill Board changes in 2024 Rick Haythornthwaite was appointed as a non-executive director on 8 January 2024 and as Chair on 15 April 2024. Howard Davies stood down as Chairman and as a non-executive director on 15 April 2024. Geeta Gopalan was appointed as a non-executive director on 1 July 2024. Board changes in 2025 Gill Whitehead was appointed as a non-executive director on 8 January 2025. Auditor Ernst & Young LLP Chartered Accountants and Statutory Auditor 25 Churchill Place London, E14 5EY Registered office and Head office 250 Bishopsgate London, EC2M 4AA Telephone: +44 (0)20 7085 5000 Other principal offices Coutts & Company 440 Strand London, WC2R 0QS National Westminster Bank Plc Registered in England No. 929027 Top and emerging risks NWB Group Annual Report and Accounts 2024 5 Top and emerging risks are future scenarios that could have a significantly negative impact on our ability to operate, or deliver, our strategy and are managed through the enterprise-wide risk management framework toolkit. They usually combine elements of several principal risks and require a coordinated management response. Top risks could occur or require management action within two years, while emerging risks are evolving and/or could occur over a longer time horizon but have the potential to become a top risk. In 2024, the Executive Risk Committee, the Board Risk Committee and the Board received regular reporting on top and emerging risks. The Board Risk Committee also engaged in focused horizon scanning sessions in 2024, to enable early identification and mitigation of top and emerging risks. Top risk scenarios in focus in 2024 Description Mitigants Increased competition Competitive pressures could intensify, impeding NWB Group’s ability to grow or retain market share, impacting revenues and profitability, particularly in the UK Retail Banking and Commercial & Institutional segments. Drivers of competition mainly relate to developments in technology, evolving incumbents, challengers, new entrants to the market, shifts in customer behaviour and changes in regulation. For example, increased competition from technology conglomerates, who may have competitive advantages in scale, technology and customer engagement (including brand recognition). NWB Group closely monitors the competitive environment and adapts its strategy as appropriate. This includes using scenario analysis and assessing how mega-trends will impact industry competitive dynamics. Strategic responses are focused on investing to deliver innovative and compelling propositions for customers and effectively leveraging acquisitions and partnerships. Cyberattack There is a constantly evolving threat from cyberattacks which are increasing in terms of frequency, sophistication, impact and severity. This includes hostile attempts to gain access to and exploit potential vulnerabilities of IT systems including via malware. Any failure in NWB Group’s cybersecurity policies, procedures or controls may result in significant financial losses, major business disruption, inability to deliver customer services, loss of data and associated reputational damage. NWB Group continues to invest in additional capability to defend against threats including developing and evolving cybersecurity policies, procedures and controls that are designed to minimise the potential effect of such attacks. The focus is to manage the impact of the attacks and maintain services for NWB Group’s customers. This includes testing and proving cyber resilience capabilities via stress testing of NWB Group’s important business services. Economic and interest rate volatility Economic conditions could deteriorate, depending on factors including weak economic activity, volatility in interest rates, liquidity pressures, sharp falls in asset prices, escalating geopolitical tensions and concerns regarding sovereign debt or sovereign credit ratings. Any of these may have a materially adverse effect on NWB Group’s future financial prospects. A range of complementary approaches is used to mitigate the risks, such as targeted scenario analysis, stress tests, targeted customer reviews and reviews of risk appetite. Stress tests included completion of regulatory stress tests such as the Bank of England 2023/24 system-wide exploratory scenario as well as a range of internal scenarios. Climate ambitions NatWest Group’s strategy relating to climate change, ambitions, targets and transition planning entails significant financial and non-financial risks and is unlikely to be achieved without significant and timely government policy, technology and customer behavioural changes. Recognising the delivery threats to some of NatWest Group’s climate ambitions, which if they were to crystallise, would manifest themselves in the shape of financial and non-financial risks, NatWest Group plans to review its climate ambitions during 2025 in the context of the UK Committee on Climate Change’s (UK CCC) Seventh Carbon Budget which is expected to be published on 26 February 2025 and the UK CCC’s 2025 Progress Report which is due for release in the summer of 2025. Operational risk scenarios Operational risks are inherent in NWB Group’s businesses and a broad range of scenarios are considered. NWB Group could be adversely impacted by scenarios including a failure to access current, complete, and accurate data, or disruption to services if a third party service provider experienced any interruptions. These scenarios could result in business and customer interruption and related reputational damage, significant compensation costs, regulatory sanctions and/or a breach of applicable regulations. NWB Group devotes significant resources to third party risk management. Focus areas include identifying critical service suppliers, developing robust exit and contingency plans in the event of supply chain disruption, and ensuring appropriate monitoring and oversight of third party performance. Effective and ethical use of data is critical to NWB Group’s goals, with continued focus on delivering our long-term data strategy alongside enhancing control and policy frameworks governing data usage. Evolving regulation NWB Group’s businesses are subject to substantial regulation and oversight, both of which are constantly evolving and may have an adverse impact on NWB Group. Areas of ongoing regulatory focus include Basel 3.1 standards implementation, including the resulting effect on RWAs and models, as well as the FCA’s Consumer Duty standards on consumer protection and the effective management of financial crime. NWB Group constantly monitors regulatory change and works with the regulators to help shape those developments that materially impact NWB Group, responding when necessary either bilaterally or in partnership with one of the affiliated industry bodies. NWB Group implements new regulatory requirements where applicable and uses frequent engagement meetings with regulators to discuss key regulatory priorities. Top and emerging risks continued NWB Group Annual Report and Accounts 2024 6 Emerging risk scenarios in focus in 2024 Description Mitigants Artificial intelligence Innovations in artificial intelligence (AI), including generative AI, may rapidly transform and disrupt customer interactions, the industry and the economy. NWB Group’s ability to continue to deploy AI solutions and integrate AI in systems and controls will become increasingly important to retaining and growing business. There can be no certainty that NWB Group’s innovation strategy will be successful, and competitors may be more successful in implementing AI technologies, in turn, affecting industry competitive dynamics. Developments in AI may also result in increased model risk and rising levels of fraud. NWB Group closely monitors developments in disruptive technologies including AI. Strategy is developed as appropriate to leverage AI across NWB Group with a focus on helping improve customer journeys, personalisation, colleague effectiveness and improved risk and capital management. Using AI safely and ethically is a key area of focus, alongside compliance with evolving AI regulation. This includes developing a robust set of controls for the use of AI models and tools across NWB Group. Biodiversity and nature loss The risks arising from the loss and/or decline of the state of biodiversity and nature are uncertain but could negatively impact the global financial system. These risks may include the reduction of any aspect of biological diversity and other forms of environmental degradation such as air, water and land pollution, soil quality degradation and water stress. There is also increasing investor, regulatory and stakeholder scrutiny regarding how businesses address these risks. Using emerging industry guidance such as the Task Force on Nature-related Financial Disclosures framework, NWB Group is seeking to further its understanding of nature-related risks. This includes how its business activities impact nature, the dependencies NWB Group and its counterparties (including its suppliers) and customers have on nature, and the risks and opportunities nature can generate. Digital currency NWB Group operates in markets which would be exposed to any developments in digital currency, including a UK central bank digital currency (CBDC). The Bank of England and His Majesty’s Treasury are exploring the case and design for a CBDC, the digital pound. The introduction of new digital currencies, including a digital pound, could result in deposit outflows, higher funding costs, and/or other implications for UK banks including NWB Group. NatWest Group maintains an Executive Steering Group on digital assets including overseeing developments and engagement on digital currencies, such as CBDCs. NatWest Group engages with the UK Government and regulators on digital currency developments. This includes engagement with policymakers on a bilateral and industry level. For example, NatWest Group is represented on the Bank of England’s CBDC Engagement Forum, and responds to relevant consultations, discussion papers and other publications. Geopolitical risk NWB Group is exposed to risks arising from geopolitical events or political developments. Geopolitical tensions remain elevated and a range of potential scenarios and impacts are considered. This includes the potential impact of armed conflict, global trade and supply chain disruption, volatility in commodity prices, protectionist policies or trade barriers and state sponsored cyberattacks. NWB Group closely monitors the geopolitical risk outlook and undertakes regular scenario analysis to understand the potential impacts and takes mitigating actions as required. This includes second and third order analysis of impacts, for example, through customers’ supply chain disruption or disruption to third party providers. Physical climate risk Intensifying physical climate-related risks, including climate events materially increasing in frequency and/or severity, results in direct impacts on property, infrastructure, supply chains, geopolitics and economic activity. This could lead to significant credit, market and/or non-financial risks and, if those risks are not mitigated, losses. NatWest Group continues to develop a range of climate scenario narratives that include increased focus on physical risks. These seek to explore the potential implications from the global warming already observed as a result of historical emissions and will inform short-term event driven physical risk modelling. The impact of possible climate tipping points, which could lead to large irreversible changes in the climate system, are also being explored. Shadow banking NWB Group is exposed to vulnerabilities within shadow banking or market-based finance (MBF), given the interlinkages between UK banks and MBF. This includes the potential for stress events or shocks to financial markets. NWB Group closely monitors exposure to shadow banking or MBF. An internal framework for the identification, management, control and mitigation of the risks associated with exposure to shadow banking or MBF is maintained. This includes effective reporting and governance in respect of such exposure. Financial review NWB Group Annual Report and Accounts 2024 7 Summary consolidated income statement for the year ended 31 December 2024 Retail Private Commercial & Central items Banking Banking Institutional & other 2024 2023 Variance £m £m £m £m £m £m £m % Net interest income 4,472 619 3,342 (225) 8,208 8,023 185 2 Non-interest income 412 319 1,446 1,588 3,765 4,063 (298) (7) Total income 4,884 938 4,788 1,363 11,973 12,086 (113) (1) Operating expenses (2,445) (700) (2,346) (1,472) (6,963) (6,793) (170) 3 Profit/(loss) before impairment losses/releases 2,439 238 2,442 (109) 5,010 5,293 (283) (5) Impairment (losses)/releases (250) 11 (117) 9 (347) (504) 157 (31) Operating profit/(loss) before tax 2,189 249 2,325 (100) 4,663 4,789 (126) (3) Tax charge (1,238) (1,280) 42 (3) Profit for the year 3,425 3,509 (84) (2) Key metrics and ratios 2024 2023 Cost:income ratio (1) 58.2% 56.2% Loan impairment rate (2) 10bps 15bps CET1 ratio (3) 11.4% 11.6% Leverage ratio (4) 4.4% 4.5% Risk-weighted assets (RWAs) £124.5bn £121.7bn Loan:deposit ratio (5) 98% 97% (1) Cost:income ratio is total operating expenses divided by total income. (2) Loan impairment rate is the loan impairment charge divided by gross customer loans. (3) CET1 ratio is CET1 capital divided by RWAs. (4) Leverage ratio is Tier 1 capital divided by total exposure. (5) Loan:deposit ratio is total loans divided by total deposits. NWB Group reported a profit of £3,425 million compared with £3,509 million in 2023. This was driven by increased operating expenses of £170 million and a £113 million decrease in total income, partially offset by a decrease in net impairment losses of £157 million. Total income decreased by £113 million, or 1%, to £11,973 million, primarily reflecting a decrease in non-interest income. Net interest income increased by £185 million, or 2%, to £8,208 million primarily reflecting lending growth, the higher rate environment and an increase in net bond activity. This was partially offset by increased interest payable on customer deposits, due to balance growth combined with a mix shift from non-interest bearing to interest bearing products. Non-interest income decreased by £298 million, or 7%, to £3,765 million, primarily driven by other operating income, partially offset by an increase in net fees and commissions. Net fees and commissions increased by £65 million, or 4%, to £1,734 million, driven by increased commercial lending and financing fees, and higher Assets Under Management and Administration (AUMA) balances driving an increase in investment income. Other operating income reduced by £363 million, or 15%, to £2,031 million primarily reflecting:  £234 million decrease primarily due to a gain on redemption of own debt in 2023;  £184 million decrease on gains from economic hedging derivatives, combined with a £44 million decrease on gains from hedge ineffectiveness;  £64 million lower intercompany income due from fellow NatWest subsidiaries, partially offset by;  £101 million increase due to gains on the sale of assets, primarily due to a loss on disposal of property during 2023. Operating expenses increased by £170 million, or 3%, to £6,963 million reflecting:  an increase in staff costs of £192 million primarily as a result of planned restructuring costs, including the closure of operations in Poland and staff share scheme awards, partially offset by a reduction in temporary staff costs;  an increase in depreciation and amortisation costs of £110 million mainly due to continued investment in technology;  an increase in premises and equipment costs of £60 million due to an increase in technology contract costs and property provisions, partially offset by lower utility costs and a smaller property footprint, partially offset by;  a decrease in other administrative costs of £192 million, primarily driven by a reduction in conduct costs, managed services costs and a lower profit share arrangement with fellow NatWest Group subsidiaries, partially offset by the new Bank of England Levy. Net impairment losses of £347 million reduced year on year reflecting good book releases, post model adjustment releases and the MES update. Total impairment provisions decreased by £0.1 billion to £2.7 billion in the year. ECL coverage ratio decreased from 0.88% to 0.81%. Financial review continued NWB Group Annual Report and Accounts 2024 8 Segmental performance Retail Banking Operating profit was £2,189 million in 2024. Net interest income decreased by £123 million to £4,472 million, reflecting asset margin compression and deposit growth combined with the continued deposit balance mix shift from non- interest bearing to interest bearing products. This was partially offset by deposit margin expansion. Non-interest income decreased by £24 million to £412 million, primarily due to higher card servicing costs. Operating expenses increased by £134 million to £2,445 million, primarily due to the new Bank of England Levy and higher severance and property exit costs, partially offset by a reduction in headcount. Net impairment losses of £250 million in 2024, compared with £410 million net losses in 2023, largely reflect good book releases, post model adjustment releases and the MES update. Loans to customers increased by £4.9 billion to £195.6 billion, primarily driven by £3.6 billion higher mortgage balances including £2.2 billion related to a Metro Bank mortgage portfolio acquisition. Cards balances increased £1.1 billion during the year. Customer deposits increased by £5.7 billion to £158.5 billion reflecting growth in savings partly offset by a reduction in current account balances. Private Banking Operating profit was £249 million in 2024. Net interest income decreased by £90 million to £619 million, primarily reflecting deposit balance growth combined with a mix shift from non-interest bearing to interest bearing products and deposit margin expansion. Non-interest income increased by £43 million to £319 million, reflecting higher AUMA balances driving an increase in investment income. Operating expenses increased by £85 million to £700 million, primarily reflecting continued investment in technology, higher severance costs and the new Bank of England Levy. Net impairment releases of £11 million in 2024, compared with £13 million net impairment losses in 2023, largely reflect higher good book releases and post model adjustment releases. Stage 3 charges were broadly flat and remained at low levels. Loans to customers decreased by £0.3 billion to £18.2 billion, mainly due to lower gross new mortgage lending, higher mortgage repayments and lower personal lending. Customer deposits increased by £4.8 billion to £42.4 billion, reflecting growth in instant access savings, offset by reductions in current account and term balances. Commercial & Institutional Operating profit was £2,325 million in 2024. Net interest income increased by £387 million to £3,342 million reflecting lending growth and the higher rate environment. This was partially offset by an increase in deposit growth combined with a deposit mix shift from non-interest bearing to interest bearing products. Non-interest income increased by £36 million to £1,446 million, reflecting growth in lending and financing fees, payment service fees, and an increase in other operating income as a result of fair value adjustments. Operating expenses increased by £31 million to £2,346 million reflecting the impact of inflationary increases in staff costs and the new Bank of England Levy, partially offset by a reduction in conduct costs. Net impairment losses of £117 million, compared with £82 million net impairment losses in 2023, primarily reflect higher Stage 3 charges, partially offset by good book releases and post model adjustment releases. Loans to customers increased by £3.0 billion to £86.5 billion, primarily due to an increase in term loan facilities, offset in part by UK Government scheme repayments of £1.7 billion. Customer deposits increased by £3.9 billion to £115.2 billion, driven by an increase in interest bearing saving deposit products. Central items & other Operating loss was £100 million in 2024. Total income decreased by £342 million to £1,363 million in 2024, primarily reflecting a gain of redemption of own debt in 2023 and lower gains on interest and foreign exchange risk management derivatives not in hedge accounting relationships, partially offset by lower losses associated with property lease terminations. Operating expenses decreased by £80 million to £1,472 million, primarily driven by a reduction in conduct and managed services costs, partially offset by an increase in amortisation charges driven by continued investment in technology. £1,478 million of total expenses were recovered through service charges in non- interest income. Financial review continued NWB Group Annual Report and Accounts 2024 9 Summary consolidated balance sheet as at 31 December 2024 2024 2023 Variance £m £m £m % Assets Cash and balances at central banks 35,095 48,259 (13,164) (27) Derivatives 2,874 3,184 (310) (10) Loans to banks - amortised cost 3,426 3,355 71 2 Loans to customers - amortised cost 332,013 318,466 13,547 4 Amounts due from holding companies and fellow subsidiaries 3,736 2,311 1,425 62 Other financial assets 39,571 31,944 7,627 24 Other assets 7,594 7,949 (355) (4) Total assets 424,309 415,468 8,841 2 Liabilities Bank deposits 24,780 18,052 6,728 37 Customer deposits 318,290 313,752 4,538 1 Amounts due to holding companies and fellow subsidiaries 47,724 47,252 472 1 Derivatives 1,177 1,718 (541) (31) Other financial liabilities 4,999 9,011 (4,012) (45) Subordinated liabilities 122 122 - - Notes in circulation 935 806 129 16 Other liabilities 3,164 3,325 (161) (5) Total liabilities 401,191 394,038 7,153 2 Total equity 23,118 21,430 1,688 8 Total liabilities and equity 424,309 415,468 8,841 2 Total assets increased by £8.8 billion to £424.3 billion as at 31 December 2024. Cash and balances at central banks decreased by £13.2 billion to £35.1 billion, primarily reflecting outflows as a result of net bond activity as part of liquidity risk management. Loans to banks – amortised cost remained broadly stable at £3.4 billion, primarily reflecting increases in reverse repos offset by the reclassification of the cash ratio deposit to cash and balances at central banks. Loans to customers – amortised cost increased by £13.5 billion to £332.0 billion, driven by a £6.2 billion increase in reverse repos, an increase in commercial term loan facilities and a £3.6 billion increase in Retail Banking mortgage portfolios, mainly driven by the £2.2 billion acquisition of a Metro Bank mortgage portfolio. Amounts due from holding companies and fellow subsidiaries increased by £1.4 billion to £3.7 billion primarily due to balances with fellow subsidiaries of NWH Group. Other financial assets increased by £7.6 billion to £39.6 billion, primarily reflecting £38.1 billion of bond purchases, partially offset by bond disposals and maturities of £31.5 billion. Bank deposits increased by £6.7 billion to £24.8 billion, driven primarily by an increase in repo balances. Customer deposits increased by £4.5 billion to £318.3 billion, primarily due to a growth in savings balances including a mix shift as customers move to interest bearing products, partially offset by a £9.6 billion reduction in repo balances. Derivative liabilities decreased by £0.5 billion to £1.2 billion, driven by favourable rate movements on interest rate swaps. Other financial liabilities decreased by £4.0 billion to £5.0 billion, mainly driven by lower short-term funding, due to the current market environment, and bond maturities. Total equity increased by £1.7 billion to £23.1 billion. The increase mainly reflects profit for the year of £3.4 billion, a £0.8 billion increase in paid-in equity and a £0.3 billion reduction in cash flow hedging reserves, partially offset by £2.5 billion of ordinary dividends paid to NatWest Group plc. Risk and capital management NWB Group Annual Report and Accounts 2024 10 Page Presentation of information 10 Risk management framework Introduction 10 Culture 11 Governance 12 Risk appetite 14 Identification and measurement 15 Mitigation 15 Testing and monitoring 15 Stress testing 15 Credit risk Definition and sources of risk 19 Governance and risk appetite 19 Identification and measurement 19 Mitigation 19 Assessment and monitoring 20 Problem debt management 20 Forbearance 21 Impairment, provisioning and write-offs 22 Governance and post model adjustments 23 Significant increase in credit risk and asset lifetimes 25 Economic loss drivers 26 Measurement uncertainty and ECL sensitivity analysis 31 Measurement uncertainty and ECL adequacy 33 Banking activities 34 Capital, liquidity and funding risk Definition and sources 57 Capital, liquidity and funding risk management 58 Key points 59 Minimum requirements 60 Measurement 60 Non-traded market risk 65 Pension risk 69 Compliance and conduct risk 70 Financial crime risk 71 Climate and nature risk 71 Operational risk 74 Model risk 76 Reputational risk 77 Presentation of information Where marked as audited in the section header, certain information in the Risk and capital management section (pages 10 to 77) is within the scope of the Independent auditor’s report. Risk and capital management is generally conducted on an overall basis within NatWest Group such that common policies, procedures, frameworks and models apply across NatWest Group. Therefore, for the most part, discussion on these qualitative aspects reflects those in NatWest Group as relevant for the businesses and operations in NWB Group. Risk management framework Introduction NWB Group operates under NatWest Group’s enterprise-wide risk management framework, which is centred on the embedding of a strong risk culture. The framework ensures the governance, capabilities and methods are in place to facilitate risk management and decision-making across the organisation. The framework ensures that NWB Group’s principal risks – which are detailed in this section – are appropriately controlled and managed. It sets out the standards and objectives for risk management as well as defining the division of roles and responsibilities. This seeks to ensure a consistent approach to risk management across NWB Group. It aligns risk management with NWB Group’s overall strategic objectives. The framework, which is designed and maintained by NatWest Group’s independent Risk function, is owned by the NatWest Group Chief Risk Officer. It is reviewed and approved annually by the NatWest Group Board. The framework incorporates risk governance, NatWest Group’s three lines of defence operating model and the Risk function’s mandate. Risk appetite, supported by a robust set of principles, policies and practices, defines the levels of tolerance for a variety of risks and provides a structured approach to risk-taking within agreed boundaries. While all NWB Group colleagues are responsible for managing risk, the Risk function provides oversight and monitoring of risk management activities, including the implementation of the framework and adherence to its supporting policies, standards and operational procedures. The Chief Risk Officer plays an integral role in providing the Board with advice on NWB Group’s risk profile, the performance of its controls and in providing challenge where a proposed business strategy may exceed risk tolerance. In addition, there is a process to identify and manage top and emerging risks, which are those that could have a significant negative impact on NWB Group’s ability to meet its strategic objectives. Both top and emerging risks may incorporate aspects of – or correlate to – a number of principal risks and are reported alongside them to the Board on a regular basis. Risk and capital management continued NWB Group Annual Report and Accounts 2024 11 Risk management framework continued Culture The approach to risk culture, under the banner of intelligent risk- taking, ensures a focus on robust risk management behaviours and practices. This underpins the strategy and values across all three lines of defence, enables NWB Group to support better customer outcomes, develop a stronger and more sustainable business and deliver an improved cost base. NWB Group expects leaders to act as role models for strong risk behaviours and practices building clarity, developing capability and motivating employees to reach the required standards set out in the intelligent risk-taking approach. Colleagues are expected to:  Consistently role-model the values and behaviours in Our Code, based on strong ethical standards.  Empower others to take risks aligned to NWB Group’s strategy, explore issues from a fresh perspective, and tackle challenges in new and better ways across organisational boundaries.  Manage risk in line with appropriate risk appetite.  Ensure each decision made keeps NWB Group, colleagues, customers, communities and shareholders safe and secure.  Understand their role in managing risk, remaining clear and capable, grounded in knowledge of regulatory obligations.  Consider risk in all actions and decisions.  Escalate risks and issues early; taking action to mitigate risks and learning from mistakes and near-misses, reporting and communicating these transparently.  Challenge others’ attitudes, ideas and actions. The target intelligent risk-taking behaviours are embedded in NatWest Group’s Critical People Capabilities and are clearly aligned to the core values of inclusive, curious, robust, sustainable and ambitious. These aim to act as an effective basis for a strong risk culture because the Critical People Capabilities form the basis of all recruitment and selection processes. Training Enabling employees to have the capabilities and confidence to manage risk is core to NatWest Group’s learning strategy. NatWest Group offers a wide range of learning, both technical and behavioural, across the risk disciplines. This training may be mandatory, role-specific or for personal development. Mandatory learning for all staff is focused on keeping employees, customers and NatWest Group safe. This is easily accessed online and is assigned to each person according to their role and business area. The system allows monitoring at all levels to ensure completion. Our Code NatWest Group’s conduct guidance, Our Code, provides direction on expected behaviour and sets out the standards of conduct that support the values. The code explains the effect of decisions that are taken and describes the principles that must be followed. These principles cover conduct-related issues as well as wider business activities. They focus on desired outcomes, with practical guidelines to align the values with commercial strategy and actions. The embedding of these principles facilitates sound decision-making and a clear focus on good customer outcomes. Any employee falling short of the expected standards would be subject to internal disciplinary policies and procedures and if appropriate, the relevant authority would be notified. The accountability review process is used to assess how this should be reflected in variable pay outcomes for the individuals concerned. The NatWest Group remuneration policy ensures that the remuneration arrangements for all employees reflect the principles and standards prescribed by the PRA rulebook and the FCA handbook. Risk and capital management continued NWB Group Annual Report and Accounts 2024 12 Risk management framework continued Governance Committee structure The diagram shows NWB Group’s governance structure in 2024. NWB plc Board Reviews and approves the risk management framework and the risk appetite for principal risks. Monitors performance against risk appetite. Board Risk Committee Provides oversight and advice to the Board on current and future risk exposures, and future risk profile, including risk appetite; the approval and effectiveness of the risk management framework. Reviews NWB Plc’s performance relative to risk appetite; the effectiveness of internal controls required to manage risk; all material risk exposures and management’s recommendations to monitor, control and mitigate them, including principal risks. Approves the key risk policies. Audit Committee Assists the Board in carrying out its responsibilities relating to accounting policies, internal control and financial reporting function, including consideration of non-financial disclosures. Review NWH Group’s internal controls systems and the procedures for monitoring effectiveness of these controls. Executive Risk Committee Supports the CRO and other accountable executives in discharging their risk management accountabilities. Reviews, challenges and debates all material risk and control matters across NWB Plc and the performance of NWB plc relative to risk appetite. Reviews the risk management framework and supports the recommendation of it to BRC and oversees its implementation. Asset & Liability Management Committee Supports the CFO in discharging their individual accountabilities, including the review of all material financial and non-financial disclosures made by the NWH Sub-Group to ensure they are accurate, complete and fairly represent the business and financial condition of NWH Sub-Group with no material misstatements or omissions. Business and function risk committees Risk committees review and monitor all risks, providing guidance, recommendations and decisions on risks affecting the franchises and functions. (1) The NatWest Group Chief Executive Officer also performs the role of NWB Plc Chief Executive Officer. (2) The NatWest Group Chief Risk Officer also performs the role of NWB Plc Chief Risk Officer. (3) The NatWest Group Chief Financial Officer also performs the role of NWB Plc Chief Financial Officer. Risk and capital management continued NWB Group Annual Report and Accounts 2024 13 Risk management framework continued Risk management structure The diagram shows NWB Group’s risk management structure in 2024 and key risk management responsibilities. (1) Double Independent Non-Executive Directors. (2) With effect from 1 January 2025, Restructuring moved from the second line of defence to form part of Customer Lending Support. (3) The NatWest Group Chief Executive Officer also performs the role of NWB Chief Executive Officer. (4) The NatWest Group Chief Risk Officer also performs the role of NWB Chief Risk Officer. (5) The NWB Chief Risk Officer reports directly to the NWB Chief Executive Officer. There is a further secondary reporting line to the chair of the Board Risk Committee and a right of access to the Committee, including the deputy chair. (6) The Risk function is independent of the customer-facing business segments and support functions. Its structure is divided into three parts (Directors of Risk, Specialist Risk Directors and Chief Operating Officer) to facilitate effective management of the risks facing NWB. Risk committees in the customer franchises and key functional risk committees oversee risk exposures arising from management and business activities and focus on ensuring that these are adequately monitored and controlled. The Directors of Risk (Retail Banking; Commercial & Institutional Banking; Financial & Strategic Risk; Non-Financial Risk and Compliance and Conduct) as well as the Director, Financial Crime Risk NatWest Holdings; the Chief Risk Officer, Coutts & Company and the Chief Operating Officer report to the NWB Chief Risk Officer. NatWest Group Chief Executive Officer Director of Risk, Retail Banking Design and delivery of Retail Banking risk strategy and service proposition. Oversight of risk management across Retail Banking. Supports the ring-fence DINEDs (1) through the identification, documentation, resolution and escalation of any potential ring-fencing conflicts of interest relating to decisions made by the ring-fence and Group Chief Risk Officer. NWB Chief Executive Officer Group Chief Credit Officer and Director of Risk, Commercial & Institutional Banking Design and delivery of Commercial & Institutional Banking risk strategy and service proposition. Oversight of risk management across Commercial & Institutional Banking. Provides oversight and challenge in approach to credit risk management across NWB Group. NatWest Group Chief Risk Officer Chief Risk Officer, Coutts & Company Design and delivery of the Coutts & Company risk strategy and service proposition. Oversight of risk management (including compliance) across Coutts & Company. NWB Chief Risk Officer Chief Operating Officer, Risk and EWRMF Director Centralised support for the risk management function and model risk oversight including framework design and development. Director of Risk, Finance & Treasury Lead risk specialist for market risk, prudential risk, pension risk and stress testing, and Director of Risk for Finance providing expert advice, insight, reporting and effective risk oversight and challenge. Director of Non-Financial Risk Centralised oversight of non-financial risk across NWB. Design and delivery of compliance and conduct strategy and service proposition. Design and delivery of financial crime strategy and service proposition, oversight of financial crime risk management. Provides specialist technical advice to the Directors of Risk responsible for business oversight. Head of Restructuring (2) Design and delivery of restructuring strategy and service proposition to protect the bank’s capital by working with corporate and commercial customers in financial difficulty. Director of Risk, Digital X and Functions (excl. Finance) Risk partner for NatWest Digital X & Functions (excl. Finance) providing expert advice, insight, reporting and effective risk oversight and challenge. Risk and capital management continued NWB Group Annual Report and Accounts 2024 14 Risk management framework continued Three lines of defence NatWest Group uses the industry-standard three lines of defence model to articulate accountabilities and responsibilities for managing risk. This supports the embedding of effective risk management throughout the organisation. First line of defence The first line of defence incorporates most roles in NatWest Group, including those in the customer-facing businesses, Technology and Services as well as support functions such as People and Transformation, Legal and Finance. The first line of defence is empowered to take risks within the constraints of the risk management framework, policies, risk appetite statements set by NatWest Group and measures set by the NWB Group Board. The first line of defence is responsible for managing its direct risks, and with the support of specialist functions, it is also responsible for managing its consequential risks, by identifying, assessing, mitigating, monitoring and reporting risks. Second line of defence The second line of defence comprises the Risk function and is independent of the first line. The second line of defence is empowered to design and maintain the risk management framework and its components. It undertakes proactive risk oversight and continuous monitoring activities to confirm that NWB Group engages in permissible and sustainable risk-taking activities. The second line of defence advises on, monitors, challenges, approves and escalates where required and reports on the risk- taking activities of the first line of defence, ensuring that these are within the constraints of the risk management framework, policies, risk appetite statements set by NatWest Group and measures set by the NWB Group Board. Third line of defence The third line of defence is the Internal Audit function and is independent of the first and second lines. The third line of defence is responsible for providing independent assurance to the NatWest Group Board, its subsidiary legal entity boards and executive management on the overall design and operating effectiveness of the risk management framework and its components. This includes the adequacy and effectiveness of key internal controls, governance and the risk management in place to monitor, manage and mitigate the principal risks to NatWest Group and its subsidiary companies. The third line of defence executes its duties freely and objectively in accordance with the Chartered Institute of Internal Auditors’ Code of Ethics and International Standards on independence and objectivity. Risk appetite Risk appetite defines the type and aggregate level of risk NWB Group is willing to accept in pursuit of its strategic objectives and business plans. Risk appetite supports sound risk-taking, the promotion of robust risk practices and risk behaviours, and is calibrated at least annually. For certain principal risks, risk capacity defines the maximum level of risk NWB Group can assume before breaching constraints determined by regulatory capital and liquidity requirements, the operational environment, and from a conduct perspective. Establishing risk capacity helps determine where risk appetite should be set, ensuring there is a buffer between internal risk appetite and NWB Group’s ultimate capacity to absorb losses. Risk appetite framework The risk appetite framework supports effective risk management by promoting sound risk-taking through a structured approach, within agreed boundaries. It also ensures emerging risks and risk- taking activities that might be out of appetite are identified, assessed, escalated and addressed in a timely manner. To facilitate this, a detailed annual review of the framework is carried out. The review includes:  Assessing the adequacy of the framework compared to internal and external expectations.  Ensuring the framework remains effective and acts as a strong control environment for risk appetite.  Assessing the level of embedding of risk appetite across the organisation. Establishing risk appetite In line with the risk appetite framework, risk appetite is maintained across NWB Group through risk appetite statements. These are in place for all principal risks and describe the extent and type of activities that can be undertaken. Risk appetite statements consist of qualitative statements of appetite supported by risk limits and triggers that operate as a defence against excessive risk-taking. Risk measures and their associated limits are an integral part of the risk appetite approach and a key part of embedding risk appetite in day-to- day risk management decisions. A clear tolerance for each principal risk is set in alignment with business activities. The process of reviewing and updating risk appetite statements is completed alongside the business and financial planning process. This ensures that plans and risk appetite are appropriately aligned. The Board sets risk appetite for all principal risks to help ensure NWB Group is well placed to meet its priorities and long-term targets, even in challenging economic environments. This supports NWB Group in remaining resilient and secure as it pursues its strategic business objectives. Risk appetite statements and associated measures are reviewed at least annually by the Board on the Board Risk Committee’s recommendation to ensure they remain appropriate and aligned to strategy. NWB Group’s risk profile is continually monitored and frequently reviewed. Management focus is concentrated on all principal risks as well as the top and emerging risks that may correlate to them. Risk profile relative to risk appetite is reported regularly to senior management and the Board. NatWest Group’s key risk policies define at a high level the qualitative expectations, guidance and standards that stipulate the nature and extent of permissible risk taking across all principal risks. They form part of the qualitative expression of risk appetite and are consistently applied across NatWest Group and its subsidiaries. Key risk policies are reviewed and approved by the Board Risk Committee at least annually. Risk and capital management continued NWB Group Annual Report and Accounts 2024 15 Risk management framework continued Identification and measurement Identification and measurement within the risk management process comprises:  Regular assessment of the overall risk profile, incorporating market developments and trends, as well as external and internal factors.  Monitoring of the risks associated with lending and credit exposures.  Assessment of trading and non-trading portfolios.  Review of potential risks in new business activities and processes.  Analysis of potential risks in any complex and unusual business transactions. The financial and non-financial risks that NWB Group faces are detailed in the NatWest Group risk directory. This provides a common risk language to ensure consistent terminology is used across NWB Group. The NatWest Group risk directory is subject to annual review to ensure it continues to fully reflect the risks that NWB Group faces. Mitigation Mitigation is a critical aspect of ensuring that risk profile remains within risk appetite. Risk mitigation strategies are discussed and agreed within NWB Group. When evaluating possible strategies, costs and benefits, residual risks (risks that are retained) and secondary risks (those that arise from risk mitigation actions themselves) are also considered. Monitoring and review processes are in place to evaluate results. Early identification, and effective management of changes in legislation and regulation are critical to the successful mitigation of compliance and conduct risk. The effects of all changes are managed to ensure the timely achievement of compliance. Those changes assessed as having a high or medium-high impact are managed more closely. Emerging risks that could affect future results and performance are also closely monitored. Action is taken to mitigate potential risks as and when required. Further in-depth analysis, including the stress testing of exposures, is also carried out. Testing and monitoring Specific activities relating to compliance and conduct, credit and financial crime risks are subject to testing and monitoring by the Risk function. This confirms to both internal and external stakeholders – including the Board, senior management, the customer-facing businesses, Internal Audit and NWB Group’s regulators – that risk policies and procedures are being correctly implemented and that they are operating adequately and effectively. Thematic reviews and targeted reviews are also carried out where relevant to ensure appropriate customer outcomes. The Risk Testing & Monitoring Forum assesses and validates the annual plan as well as the ongoing programme of reviews. Stress testing Stress testing – capital management Stress testing is a key risk management tool and a fundamental component of NatWest Group’s approach to capital management. It is used to quantify and evaluate the potential impact of specified changes to risk factors on the financial strength of NatWest Group, including its capital position. Stress testing includes:  Scenario testing, which examines the impact of a hypothetical future state to define changes in risk factors.  Sensitivity testing, which examines the impact of an incremental change to one or more risk factors. The process for stress testing consists of four broad stages: Define scenarios  Identify macro and NatWest Group- specific vulnerabilities and risks.  Define and calibrate scenarios to examine risks and vulnerabilities.  Formal governance process to agree scenarios. Assess impact  Translate scenarios into risk drivers.  Assess impact to current and projected profit and loss and balance sheet across NatWest Group. Calculate results and assess implications  Aggregate impacts into overall results.  Results form part of the risk management process.  Scenario results are used to inform NatWest Group’s business and capital plans. Develop and agree management actions  Stress scenario results are analysed by subject matter experts. Appropriate management actions are then developed.  Scenario results and management actions are reviewed by the Board Risk Committee and recommended to the Board for approval. Risk and capital management continued NWB Group Annual Report and Accounts 2024 16 Risk management framework continued Stress testing is used widely across NatWest Group. The diagram below summarises key areas of focus. Specific areas that involve capital management include:  Strategic financial and capital planning – by assessing the impact of sensitivities and scenarios on the capital plan and capital ratios.  Risk appetite – by gaining a better understanding of the drivers of, and the underlying risks associated with, risk appetite.  Risk monitoring – by monitoring the risks and horizon- scanning events that could potentially affect NatWest Group’s financial strength and capital position.  Risk mitigation – by identifying actions to mitigate risks, or those that could be taken, in the event of adverse changes to the business or economic environment. Principal risk mitigating actions are documented in NatWest Group’s recovery plan. Capital sufficiency – going concern forward-looking view Going concern capital requirements are examined on a forward- looking basis – including as part of the annual budgeting process – by assessing the resilience of capital adequacy and leverage ratios under hypothetical future states. These assessments include assumptions about regulatory and accounting factors (such as IFRS 9). They incorporate economic variables and key assumptions on balance sheet and profit and loss drivers, such as impairments, to demonstrate that NatWest Group and its operating subsidiaries maintain sufficient capital. A range of future states are tested. In particular, capital requirements are assessed:  Based on a forecast of future business performance, given expectations of economic and market conditions over the forecast period.  Based on a forecast of future business performance under adverse economic and market conditions over the forecast period. Scenarios of different severity may be examined. The examination of capital requirements under both normal and adverse economic and market conditions enables NatWest Group to determine whether its projected business performance meets internal plans and regulatory capital requirements. The potential impact of normal and adverse economic and market conditions on capital requirements is assessed through stress testing, the results of which are not only used widely across NatWest Group but also by the regulators to set specific capital buffers. NatWest Group takes part in stress tests run by regulatory authorities to test industry-wide vulnerabilities under crystallising global and domestic systemic risks. Stress and peak-to-trough movements are used to help assess the amount of capital NatWest Group needs to hold in stress conditions in accordance with the capital risk appetite framework. Internal assessment of capital adequacy An internal assessment of material risks is carried out annually to enable an evaluation of the amount, type and distribution of capital required to cover these risks. This is referred to as the Internal Capital Adequacy Assessment Process (ICAAP). The ICAAP consists of a point-in-time assessment of exposures and risks at the end of the financial year together with a forward- looking stress capital assessment. The ICAAP is approved by the Board and submitted to the PRA. The ICAAP is used to form a view of capital adequacy separately to the minimum regulatory requirements. The ICAAP is used by the PRA to assess NatWest Group’s specific capital requirements through the Pillar 2 framework. Capital allocation NatWest Group has mechanisms to allocate capital across its legal entities and businesses. These aim to optimise the use of capital resources taking into account applicable regulatory requirements, strategic and business objectives and risk appetite. The framework for allocating capital is approved by the CFO with support from the Asset & Liability Management Committee. Governance Capital management is subject to substantial review and governance. The Board approves the capital plans, including those for key legal entities and businesses as well as the results of the stress tests relating to those capital plans. Stress testing – liquidity Liquidity risk monitoring and contingency planning A suite of tools is used to monitor, limit and stress test the liquidity and funding risks on the balance sheet. Limit frameworks are in place to control the level of liquidity risk, asset and liability mismatches and funding concentrations. Liquidity and funding risks are reviewed at significant legal entity and business levels daily, with performance reported to the Asset & Liability Management Committee on a regular basis. Liquidity condition indicators are monitored daily. This ensures any build-up of stress is detected early and the response escalated appropriately through recovery planning. Stress testing usage within NatWest Group Contingency planning & management actions Assess financial performance Capital adequacy Earnings stability Sector review & credit limit setting Business vulnerabilities analysis Tail risk assessment Early warning indicators (4) Risk mitigation (1) Strategic financial & capital planning (2) Risk appetite (3) Risk monitoring Risk and capital management continued NWB Group Annual Report and Accounts 2024 17 Risk management framework continued Internal assessment of liquidity Under the liquidity risk management framework, NatWest Group maintains the Internal Liquidity Adequacy Assessment Process. This includes assessment of net stressed liquidity outflows under a range of severe but plausible stress scenarios. Each scenario evaluates either an idiosyncratic, market-wide or combined stress event as described in the table below. Type Description Idiosyncratic scenario The market perceives NatWest Group to be suffering from a severe stress event, which results in an immediate assumption of increased credit risk or concerns over solvency. Market-wide scenario A market stress event affecting all participants in a market through contagion, potential counterparty failure and other market risks. NatWest Group is affected under this scenario but no more severely than any other participants with equivalent exposure. Combined scenario This scenario models the combined impact of an idiosyncratic and market stress occurring at once, severely affecting funding markets and the liquidity of some assets. NatWest Group uses the most severe outcome to set the internal stress testing scenario which underpins its internal liquidity risk appetite. This complements the regulatory liquidity coverage ratio requirement. Stress testing – recovery and resolution planning The NatWest Group recovery plan explains how NatWest Group and its subsidiaries – as a consolidated group – would identify and respond to a financial stress event and restore its financial position so that it remains viable on an ongoing basis. The recovery plan ensures risks that could delay the implementation of a recovery strategy are highlighted and preparations are made to minimise the impact of these risks. Preparations include:  Developing a series of recovery indicators to provide early warning of potential stress events.  Clarifying roles, responsibilities and escalation routes to minimise uncertainty or delay.  Developing a recovery playbook to provide a concise description of the actions required during recovery.  Detailing a range of options to address different stress conditions.  Appointing dedicated option owners to reduce the risk of delay and capacity concerns. The plan is intended to enable NatWest Group to maintain critical services and products it provides to its customers, maintain its core business lines and operate while restoring NatWest Group’s financial health. It is assessed for appropriateness on an ongoing basis and reviewed and approved by the Board prior to submission to the PRA on a biennial basis. Individual recovery plans are also prepared for NatWest Holdings Limited, NatWest Markets Plc, RBS International Limited, RBSH N.V. and NWB Europe. These plans detail the recovery options, recovery indicators and escalation routes for each entity. Fire drill simulations of possible recovery events are used to test the effectiveness of NatWest Group and individual legal entity recovery plans. The fire drills are designed to replicate possible financial stress conditions and allow senior management to rehearse the responses and decisions that may be required in an actual stress event. The results and lessons learnt from the fire drills are used to enhance NatWest Group’s approach to recovery planning. Under the resolution assessment part of the PRA rulebook, NatWest Group is required to carry out an assessment of its preparations for resolution, submit a report of the assessment to the PRA and publish a summary of this report. Resolution would be implemented if NatWest Group was assessed by the UK authorities to have failed and the appropriate regulator put it into resolution. The process of resolution is owned and implemented by the Bank of England (as the UK Resolution Authority). NatWest Group ensures ongoing maintenance and enhancements of its resolution capabilities, in line with regulatory requirements. Stress testing – market risk Non-traded market risk Scenario analysis based on hypothetical adverse scenarios is performed on non-traded exposures as part of the Bank of England and European Banking Authority stress test exercises. NatWest Group also produces an internal scenario analysis as part of its financial planning cycles. Non-traded exposures are capitalised through the ICAAP. This covers gap risk, basis risk, credit spread risk, pipeline risk, structural foreign exchange risk, prepayment risk, equity risk and accounting volatility risk. The ICAAP is completed with a combination of value and earnings measures. The total non- traded market risk capital requirement is determined by adding the different charges for each sub risk type. The ICAAP methodology captures at least ten years of historical volatility, produced with a 99% confidence level. Methodologies are reviewed by NatWest Group Model Risk and the results are approved by the NatWest Group Balance Sheet Management Committee. Non-traded market risk stress results are combined with those for other risks into the capital plan presented to the Board. The cross-risk capital planning process is conducted once a year, with a planning horizon of five years. The scenario narratives cover both regulatory scenarios and macroeconomic scenarios identified by NatWest Group. Vulnerability-based stress testing begins with the analysis of a portfolio and expresses its key vulnerabilities in terms of plausible vulnerability scenarios under which the portfolio would suffer material losses. These scenarios can be historical, macroeconomic or forward-looking/hypothetical. Vulnerability- based stress testing is used for internal management information and is not subject to limits. The results for relevant scenarios are reported to senior management. Risk and capital management continued NWB Group Annual Report and Accounts 2024 18 Risk management framework continued Internal scenarios - climate In 2024, NatWest Group deployed an enhanced in-house corporate transition risk model, as part of an internal scenario analysis exercise, to assess climate transition related credit risks to corporate counterparties. This involved running the following two climate scenarios:  A disruptive transition scenario, where the onset of climate policy from the Network for Greening the Financial System (NGFS) delayed transition scenario is accelerated from 2031 to 2025, which could result in an accompanying macro- economic shock.  The orderly transition scenario, which explores a rapid increase in carbon prices, based on the NGFS net zero 2050 scenario, but no accompanying macro-economic shock. These scenarios tested NatWest Group’s resilience to alternative transition pathways, including a disruptive transition, and to identify losses that are sensitive to scenario policy and technology assumptions. The corporate transition risk model and internal exercise builds on the learnings from the climate biennial exploratory scenario and NatWest Group’s first-generation deployment in 2023. It also supports the processes for integration of climate into ICAAP and credit risk business use-cases. The model is capable of accounting for sector specific exposure to climate-related transition risks and counterparty specific response to a limited set of demand shocks and rising carbon prices, by mitigating emissions and passing costs through to customers. Regulatory stress testing In October 2023, the Bank of England undertook round one of its system-wide exploratory scenario (SWES) to enhance understanding of the behaviours of banks and non-bank financial institutions under a scenario informed by the liability driven investment and ‘dash for cash’ crises. NatWest Group submitted its response to round one during H1 2024. The Bank of England subsequently published the anonymised results in the June 2024 Financial Stability Report providing a narrative account of the market-wide response. Round two commenced in June 2024. Participants were asked to reconsider their assumptions in light of round one results, and submit revised actions if applicable. The overall results of the SWES exercise were published in November 2024. Further details can be found at:  https://www.bankofengland.co.uk/financial-stability- report/2024/june-2024  https://www.bankofengland.co.uk/stress-testing/2024/stress- testing-uk-banking-system-scenarios-2024-desk-based  https://www.bankofengland.co.uk/financial-stability/boe- system-wide-exploratory-scenario-exercise. Risk and capital management continued NWB Group Annual Report and Accounts 2024 19 Credit risk Definition (audited) Credit risk is the risk that customers, counterparties, or issuers fail to meet a contractual obligation to settle outstanding amounts. Sources of risk (audited) The principal sources of credit risk for NWB Group are lending and related undrawn commitments. Derivatives and securities financing and debt securities are also a source of credit risk, primarily related to Treasury activities for NWB Group. NWB Group is also exposed to settlement risk through foreign exchange and payments activities. Governance (audited) The Credit Risk function provides oversight and challenge of frontline credit risk management activities. Governance activities include:  Defining and proposing credit risk appetite measures for Board approval.  Establishing credit risk policy, standards and toolkits which set out the mandatory limits and parameters required to ensure that credit risk is managed within risk appetite and which provide the minimum standards for the identification, assessment, management, monitoring and reporting of credit risk.  Oversight of the first line of defence to ensure that credit risk remains within the appetite set by the Board and that it is being managed adequately and effectively.  Assessing the adequacy of expected credit loss (ECL) provisions including approving key IFRS 9 inputs (such as significant increase in credit risk (SICR) thresholds) and any necessary in-model and post model adjustments through NatWest Group and business unit provisions and model committees.  Development and approval of credit grading models.  Providing regular reporting on credit risk to the Board Risk Committee and Board. Risk appetite Credit risk appetite is approved by the Board and is set and monitored through risk appetite frameworks tailored to NWB Group’s Personal and Non-Personal segments. Risk appetite statements and associated measures are reviewed and approved at least annually by the relevant legal entity board on the relevant board risk committee’s recommendation to ensure they remain appropriate and aligned to strategy. Performance against risk appetite is reported regularly to the Executive Risk Committee, and the Board Risk Committee, and the Board. Relevant credit risk matters are escalated through the Executive Risk Committee and to the Board as applicable. Personal The Personal credit risk appetite framework sets limits that control the quality and concentration of both existing and new business for each relevant business segment. These risk appetite measures consider the segments’ ability to grow sustainably and the level of losses expected under stress. Credit risk is further controlled through operational limits specific to customer or product characteristics. Non-Personal For Non-Personal credit, the framework has been designed to reflect factors that influence the ability to operate within risk appetite. Tools such as stress testing and economic capital are used to measure credit risk volatility and develop links between the framework and risk appetite limits. The framework is used to manage concentrations of risk which may arise across four lenses – single name, sector, country and product and asset classes. The framework is supported by a suite of transactional acceptance standards that set out the risk parameters within which businesses should operate. Identification and measurement Credit stewardship (audited) Risks are identified through relationship management and credit stewardship of customers and portfolios. Credit stewardship takes place throughout the customer relationship, beginning with the initial approval. It includes the application of credit assessment standards, credit risk mitigation and collateral, ensuring that credit documentation is complete and appropriate, carrying out regular portfolio or customer reviews and problem debt identification and management. Asset quality (audited) All credit grades map to an asset quality (AQ) scale, used for financial reporting. This AQ scale is based on Basel probability of defaults (PDs). Performing loans are defined as AQ1-AQ9 (where the PD is less than 100%) and defaulted non-performing loans as AQ10 or Stage 3 under IFRS 9 (where the PD is 100%). Loans are defined as defaulted when the payment status becomes 90 days past due, or earlier if there is clear evidence that the borrower is unlikely to repay, for example bankruptcy or insolvency. Counterparty credit risk Counterparty credit risk arises from the obligations of customers under derivative and securities financing transactions. NWB Group mitigates counterparty credit risk through collateralisation and netting agreements, which allow amounts owed by NWB Group to a counterparty to be netted against amounts the counterparty owes NWB Group. Mitigation Mitigation techniques, as set out in the appropriate credit risk toolkits and transactional acceptance standards, are used in the management of credit portfolios across NWB Group. These techniques mitigate credit concentrations in relation to an individual customer, a borrower group or a collection of related borrowers. Where possible, customer credit balances are netted against obligations. Mitigation tools can include structuring a security interest in a physical or financial asset, the use of credit derivatives including credit default swaps, credit-linked debt instruments and securitisation structures, and the use of guarantees and similar instruments (for example, credit insurance) from related and third parties. Property is used to mitigate credit risk across a number of portfolios, in particular residential mortgage lending and commercial real estate (CRE). The valuation methodologies for collateral in the form of residential mortgage property and CRE are detailed below. Residential mortgages – NWB Group takes collateral in the form of residential property to mitigate the credit risk arising from mortgages. NWB Group values residential property individually during the loan underwriting process, either by obtaining an appraisal by a suitably qualified appraiser (for example Royal Institution of Chartered Surveyors (RICS)) or using a statistically valid model. In both cases, a sample of the valuation outputs are periodically reviewed by an independent RICS qualified appraiser. NWB Group updates Retail Banking UK residential property values quarterly using country (Scotland, Wales and Northern Ireland) or English regional specific Office for National Statistics House Price indices. Within the Private Banking segment, properties securing loans greater than £2.5 million are revalued every three years. The current indexed value of the property is a component of the ECL provisioning calculation. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 20 Commercial real estate valuations – NWB Group has an actively managed panel of chartered surveying firms that cover the spectrum of geography and property sectors in which NWB Group takes collateral. Suitable RICS registered valuers for particular assets are contracted through a service agreement to ensure consistency of quality and advice. In the UK, an independent third-party market indexation is applied to update external valuations for commercial property once they are more than a year old. For loan obligations in excess of £2.5 million and where the charged property has a book value in excess of £0.5 million, a formal valuation review is typically commissioned at least every three years. Assessment and monitoring Practices for credit stewardship – including credit assessment, approval and monitoring as well as the identification and management of problem debts – differ between the Personal and Non-Personal portfolios. Personal Personal customers are served through a lending approach that entails offering a large number of small-value loans. To ensure that these lending decisions are made consistently, NWB Group analyses internal credit information as well as external data supplied by credit reference agencies (including historical debt servicing behaviour of customers with respect to both NWB Group and other lenders). NWB Group then sets its lending rules, accordingly, developing different rules for different products. The process is then largely automated, with each customer receiving an individual credit score that reflects both internal and external behaviours and this score is compared with the lending rules set. For relatively high-value, complex personal loans, including some residential mortgage lending, specialist credit managers make the final lending decisions. These decisions are made within specified delegated authority limits that are issued dependent on the experience of the individual. Underwriting standards and portfolio performance are monitored on an ongoing basis to ensure they remain adequate in the current market environment and are not weakened materially to sustain growth. The actual performance of each portfolio is tracked relative to operational limits. The limits apply to a range of credit risk-related measures including projected credit default rates across products and the loan-to-value (LTV) ratio of the mortgage portfolios. Where operational limits identify areas of concern management action is taken to adjust credit or business strategy. Non-Personal Non-Personal customers, including corporates, banks and other financial institutions are typically managed on an individual basis. Customers are aggregated as a single risk when sufficiently interconnected to the extent that a failure of one could lead to the failure of another. A credit assessment is carried out before credit facilities are made available to customers. The assessment process is dependent on the complexity of the transaction. Credit approvals are subject to environmental, social and governance risk policies which restrict exposure to certain highly carbon intensive industries as well as those with potentially heightened reputational impacts. Customer specific climate risk commentary is now mandatory. For lower-risk transactions below specific thresholds, credit decisions can be approved through a combination of fully automated or relationship manager self-sanctioning within the business. This process is facilitated through an auto-decision making system, which utilises scorecards, strategies and policy rules. For other transactions, both business approval and credit approval are required. The joint business and credit approvers act within a delegated approval authority under the Wholesale Credit Authorities policy. The level of delegated authority held by approvers is dependent on their experience and expertise with only a small number of senior executives holding the highest approval authority. Transactional acceptance standards provide detailed transactional lending and risk acceptance metrics and structuring guidance. As such, these standards provide a mechanism to manage risk appetite at the customer/transaction level and are supplementary to the established credit risk appetite. Credit quality, and loss given default (LGD) are reviewed annually. The review process assesses borrower performance, the adequacy of security, compliance with terms and conditions, and refinancing risk. Problem debt management Personal Early problem identification Pre-emptive triggers are in place to help identify customers that may be at risk of being in financial difficulty. These triggers are both internal, using NWB Group’s data, and external using information from credit reference agencies. Proactive contact is then made with the customer to establish if they require help with managing their finances. By adopting this approach, the aim is to prevent a customer’s financial position deteriorating. Personal customers experiencing financial difficulty are managed by the Collections team. If the Collections team is unable to provide appropriate support after discussing suitable options with the customer, management of that customer moves to the Recoveries team. If at any point in the collections and recoveries process, the customer is identified as being potentially vulnerable, the customer will be supported to ensure they receive appropriate support for their circumstances. In July 2023, Mortgage Charter support was introduced for residential mortgage customers. Mortgage Charter support includes temporary interest only or term extensions at the customer’s request. A request for Mortgage Charter does not, of itself, trigger transfer to a specialist team. Collections When a customer exceeds an agreed limit or misses a regular monthly payment the customer is contacted by NWB Group and requested to remedy the position. If the situation is not resolved then, where appropriate, the Collections team will become involved and the customer will be supported by skilled debt management staff who endeavour to provide customers with bespoke solutions. Solutions include short-term account restructuring, refinance loans and forbearance which can include interest suspension and ‘breathing space’. All treatments available to customers experiencing financial difficulties are reviewed to ensure they remain appropriate for customers impacted by current economic conditions. In the event that an affordable and sustainable agreement with a customer cannot be reached, the debt will transition to the Recoveries team. For provisioning purposes, under IFRS 9, exposure to customers managed by the Collections team is categorised as Stage 2 and subject to a lifetime loss assessment, unless it is 90 days past due or has triggered any other unlikeliness to pay indicators, in which case it is categorised as Stage 3. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 21 Recoveries The Recoveries team will issue a notice of intention to default to the customer and, if appropriate, a formal demand, while also registering the account with credit reference agencies where appropriate. Following this, the customer’s debt may then be placed with a third-party debt collection agency, or alternatively a solicitor, in order to agree an affordable repayment plan with the customer. An option that may also be considered, is the sale of unsecured debt. Exposures subject to formal debt recovery are defaulted and, under IFRS 9, categorised as Stage 3. Non-Personal Early problem identification Each segment and sector have defined early warning indicators to identify customers experiencing financial difficulty, and to increase monitoring if needed. Early warning indicators may be internal, such as a customer’s bank account activity, or external, such as a publicly-listed customer’s share price. If early warning indicators show a customer is experiencing potential or actual difficulty, or if relationship managers or credit officers identify other signs of financial difficulty, they may decide to classify the customer within the Wholesale Problem Debt Management framework. There is an equivalent process for Business Banking customers, with problem debt cases reallocated to increased monitoring and support under a Portfolio Management Relationship team or the Financial Health and Support Team. Broader macro-economic trends including commodity prices, foreign exchange rates and consumer and government spend are also tracked, helping inform decisions on sector risk appetite. Customer level early warning indicators are regularly reviewed to ensure alignment with prevailing economic conditions, ensuring both the volume and focus of alerts is aligned to the point-in-time risk within each sector. The Wholesale Problem Debt Management framework This framework focuses on Non-Personal customers (excluding business banking) to provide early identification of credit deterioration, support intelligent risk-taking, ensure fair and consistent customer outcomes and provide key insights into Non- Personal lending portfolios. Expert judgement is applied by experienced credit risk officers to classify cases into categories that reflect progressively deteriorating credit risk to NWB Group. There are two classifications in the framework that apply to non- defaulted customers who are in financial stress – Heightened Monitoring and Risk of Credit Loss. For the purposes of provisioning, all exposures categorised as Heightened Monitoring or Risk of Credit Loss are categorised as Stage 2 and subject to a lifetime loss assessment. The framework also applies to those customers that have met NWB Group’s default criteria (AQ10 exposures). Defaulted exposures are categorised as Stage 3 impaired for provisioning purposes. Heightened Monitoring customers are performing customers that have met certain characteristics, which have led to significant credit deterioration. Collectively, characteristics reflect circumstances that may affect the customer’s ability to meet repayment obligations. Characteristics include trading issues, covenant breaches, material PD downgrades and past due facilities. Heightened Monitoring customers require pre-emptive actions (outside the customer’s normal trading patterns) to return or maintain their facilities within NWB Group’s current risk appetite. Risk of Credit Loss customers are performing customers that have met the criteria for Heightened Monitoring and also pose a risk of credit loss to NWB Group in the next 12 months should mitigating action not be taken or not be successful. Once classified as either Heightened Monitoring or Risk of Credit Loss, a number of mandatory actions are taken in accordance with policies. Actions include a review of the customer’s credit grade, facility and security documentation and the valuation of security. Depending on the severity of the financial difficulty and the size of the exposure, the customer relationship strategy is reassessed by credit officers, by specialist credit risk or relationship management units in the relevant business, or by Restructuring. Agreed customer management strategies are regularly monitored by both the business and credit teams. The largest Risk of Credit Loss exposures are regularly reviewed by a Problem Debt Case Review forum. The forum members are experienced credit, business and restructuring specialists. The purpose of the forum is to review and challenge the strategies undertaken for customers that pose the largest risk of credit loss to NWB Group. Appropriate corrective action is taken when circumstances emerge that may affect the customer’s ability to service its debt. Corrective actions may include granting a customer various types of concessions. Any decision to approve a concession will be a function of specific appetite, the credit quality of the customer, the market environment and the loan structure and security. All customers granted forbearance are classified Heightened Monitoring as a minimum. Other potential outcomes of the relationship review are to: return the customer to a satisfactory status, offer additional lending and continue monitoring, transfer the relationship to Restructuring if appropriate, or exit the relationship. The Wholesale Problem Debt Management framework does not apply to problem debt management for business banking customers. These customers are, where necessary, managed by specialist problem debt management teams, depending on the size of exposure or by the business banking recoveries team where a loan has been impaired. Restructuring Where customers have lending exposure above £1 million, and meet specific referral criteria, relationships are supported by the Restructuring team. Restructuring works with corporate and commercial customers in financial difficulty to help them understand their options and how their restructuring or repayment strategies can be delivered. Helping viable customers return to financial health and restoring a normal banking relationship is always the preferred outcome, however, where this is not possible, NWB Group will work with customers to achieve a solvent outcome. Throughout this period, the mainstream relationship manager will remain an integral part of the customer relationship. Insolvency is considered as a last resort and if deemed necessary, NWB Group will work to recover its capital in a fair and efficient manner, while upholding the fair treatment of customers and NWB Group’s core values. Customer Lending Support With effect from 1 January 2025, Customer Lending Support, a new centre of expertise, was established to support Non-Personal customers in financial difficulty. Customer Lending Support brings together Restructuring, Business Banking, International Retail and Business Banking Northern Ireland teams who support Non- Personal customers in financial difficulty. Collections activity within Commercial Mid-Market will also transfer to Customer Lending Support. Forbearance (audited) Forbearance takes place when a concession is made on the contractual terms of a loan/debt in response to a customer’s financial difficulties. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 22 The aim of forbearance is to support and restore the customer to financial health while minimising risk. To ensure that forbearance is appropriate for the needs of the customer, minimum standards are applied when assessing, recording, monitoring and reporting of forbearance. A credit exposure may be forborne more than once, generally where a temporary concession has been granted and circumstances warrant another temporary or permanent revision of the loan’s terms. Loans are reported as forborne until they meet the exit criteria as detailed in the appropriate regulatory guidance. These include being classified as performing for two years since the last forbearance event, making regular repayments and the loan/debt being less than 30 days past due. Types of forbearance Personal In the Personal portfolio, forbearance may involve payment concessions, loan rescheduling (including extensions in contractual maturity), charging simple interest and capitalisation of arrears. Forbearance support is provided for both mortgages and unsecured lending. Non-Personal In the Non-Personal portfolio, forbearance may involve covenant waivers, amendments to margins, payment concessions and loan rescheduling (including extensions in contractual maturity), capitalisation of arrears, and debt forgiveness or debt-for-equity swaps. Monitoring of forbearance Personal For Personal portfolios, forborne loans are separated and regularly monitored and reported while the forbearance strategy is implemented, until they exit forbearance. Non-Personal In the Non-Personal portfolio, customer PDs and facility LGDs are reassessed prior to finalising any forbearance arrangement. The ultimate outcome of a forbearance strategy is highly dependent on the co-operation of the borrower and a viable business or repayment outcome. Where forbearance is no longer appropriate, NWB Group will consider other options such as demanding repayment of facilities, and in the event repayment does not take place, the enforcement of security, insolvency proceedings or both, although these are options of last resort. Provisioning for forbearance (audited) Personal The methodology used for provisioning in respect of Personal forborne loans will differ depending on whether the loans are performing or non-performing and which business is managing them due to local market conditions. Granting forbearance will only change the arrears status of the loan in specific circumstances, which can include capitalisation of principal and interest in arrears, where the loan may be returned to the performing book if the customer has demonstrated an ability to meet regular payments and is likely to continue to do so. The loan would continue to be reported as forborne until it meets the exit criteria set out by the appropriate regulatory guidance. For ECL provisioning, all forborne but performing exposures are categorised as Stage 2 and are subject to a lifetime loss provisioning assessment. Where the forbearance treatment includes the cessation of interest on the customer balance (i.e. non-accrual), this will be treated as a Stage 3 default. For non-performing forborne loans, the Stage 3 loss assessment process is the same as for non-forborne loans . Non-Personal Provisions for forborne loans are assessed in accordance with normal provisioning policies. The customer’s financial position and prospects – as well as the likely effect of the forbearance, including any concessions granted, and revised PD or LGD gradings – are considered in order to establish whether an impairment provision increase is required. Non-Personal loans granted forbearance are individually credit assessed in most cases. Performing loans subject to forbearance treatment are categorised as Stage 2 and subject to a lifetime loss assessment. In line with regulatory guidance, forbearance may lead to a customer being classified as non-performing. In the case of non-performing forborne loans, an individual loan impairment provision assessment generally takes place prior to forbearance being granted. The amount of the loan impairment provision may change once the terms of the forbearance are known, resulting in an additional provision charge or a release of the provision in the period the forbearance is granted. The transfer of Non-Personal loans from impaired to performing status follows assessment by relationship managers and credit. When no further losses are anticipated and the customer is expected to meet the loan’s revised terms, any provision is written-off or released and the balance of the loan can be returned to performing status once the exit criteria, as set out by regulatory guidance, are met. Refer to pages 43 and 45 for further details on Non-Personal and Personal forbearance. Credit grading models Credit grading models is the collective term used to describe all models, frameworks and methodologies used to calculate PD, exposure at default (EAD), LGD, maturity and the production of credit grades. Credit grading models are designed to provide:  An assessment of customer and transaction characteristics.  A meaningful differentiation of credit risk.  Accurate internal default rate, loss and exposure estimates that are used in the capital calculation or wider risk management purposes. Impairment, provisioning and write-offs (audited) In the overall assessment of credit risk, impairment provisioning and write-offs are used as key indicators of credit quality. NWB Group’s IFRS 9 provisioning models, which use existing internal ratings based (IRB) models as a starting point, incorporate term structures and economic forecasts. Regulatory conservatism within the IRB models has been removed as appropriate to comply with the IFRS 9 requirement for unbiased ECL estimates. Five key areas may materially influence the measurement of credit impairment under IFRS 9 – two of these relate to model build and three relate to model application: Model build:  The determination of economic indicators that have most influence on credit loss for each portfolio and the severity of impact (this leverages existing stress testing models which are reviewed annually).  The build of term structures to extend the determination of the risk of loss beyond 12 months that will influence the impact of lifetime loss for exposures in Stage 2. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 23 Model application:  The assessment of the SICR and the formation of a framework capable of consistent application.  The determination of asset lifetimes that reflect behavioural characteristics while also representing management actions and processes (using historical data and experience).  The choice of forward-looking economic scenarios and their respective probability weights. For accounting policy information, refer to Accounting policy 2.3. IFRS 9 ECL model design principles (audited) Modelling of ECL for IFRS 9 follows the conventional approach to divide the estimation of credit losses into its component parts of PD, LGD and EAD. To meet IFRS 9 requirements, the PD, LGD and EAD parameters differ from their Pillar 1 IRB counterparts in the following aspects:  Unbiased – conservatism has been removed from IFRS 9 parameters to produce unbiased estimates.  Point-in-time – IFRS 9 parameters reflect actual economic conditions at the reporting date instead of long-run average or downturn conditions.  Economic forecasts – IFRS 9 PD estimates and, where appropriate, EAD and LGD estimates reflect forward-looking economic conditions.  Lifetime measurement – IFRS 9 PD, LGD and EAD are provided as multi-period term structures up to exposure lifetimes instead of over a fixed one-year horizon. IFRS 9 requires that, at each reporting date, an entity shall assess whether the credit risk on an account has increased significantly since initial recognition. Part of this assessment requires a comparison to be made between the current lifetime PD (i.e. the PD over the remaining lifetime at the reporting date) and the equivalent lifetime PD as determined at the date of initial recognition. For assets originated before IFRS 9 was introduced, comparable lifetime origination PDs did not exist. These have been retrospectively created using the relevant model inputs applicable at initial recognition. PD estimates Personal models Personal PD models follow a discrete multi-horizon survival approach, predicting quarterly PDs up to lifetime at account level, with a key driver being scores from related IRB PD models. Forward-looking economic information is brought in by economic response models, which leverage the existing stress test model suite. The current suite of PD models was introduced in 2022 replacing the previous, first-generation models to remediate a range of model weaknesses. Non-Personal models Non-Personal PD models use a point-in-time/through-the-cycle framework to convert one-year regulatory PDs into point-in-time estimates that reflect economic conditions at the reporting date. The framework utilises credit cycle indices (CCIs) for a comprehensive set of region/industry segments. Further detail on CCIs is provided in the Economic loss drivers section. One year PDs are extended to lifetime PDs using a conditional transition matrix approach and economic forecasts. LGD estimates The general approach for the IFRS 9 LGD models is to leverage corresponding IRB LGD models with bespoke adjustments to ensure estimates are unbiased and, where relevant, include economic forecasts. Personal Economic forecasts are incorporated for the secured portfolios, where changes in property prices can be readily accommodated. Analysis has shown minimal impact of economic conditions on LGDs for the other Personal portfolios. Non-Personal Economic forecasts are incorporated into LGD estimates using the existing point-in-time/through-the-cycle framework. For low- default portfolios, including sovereigns and banks, loss data is too scarce to substantiate estimates that vary with economic conditions. Consequently, for these portfolios, LGD estimates are assumed to be constant throughout the projection horizon. EAD estimates Personal The IFRS 9 Personal modelling approach for EAD is dependent on product type.  Revolving products use the existing IRB models as a basis, with appropriate adjustments incorporating a term structure based on time to default.  Amortising products use an amortising schedule, where a formula is used to calculate the expected balance based on remaining terms and interest rates.  Analysis has indicated that there is minimal impact on EAD arising from changes in the economy for all Personal portfolios except mortgages. Therefore, forward-looking information is only incorporated in the mortgage EAD model (through forecast changes in interest rates). Non-Personal For Non-Personal, EAD values are projected using product specific credit conversion factors (CCFs), closely following the product segmentation and approach of the respective IRB model. The CCFs are estimated over multi-year time horizons and contain no regulatory conservatism or downturn assumptions. No explicit economic forecasts are incorporated, on the basis of analysis showing the movements in CCFs is mainly attributable to changes in exposure management practices rather than economic conditions. Governance and post model adjustments (audited) The IFRS 9 PD, EAD and LGD models are subject to NatWest Group’s model risk policy that stipulates periodic model monitoring, periodic re-validation and defines approval procedures and authorities according to model materiality. Various post model adjustments were applied where management judged they were necessary to ensure an adequate level of overall ECL provision. All post model adjustments were subject to review, challenge and approval through model or provisioning committees. Post model adjustments will remain a key focus area of NWB Group’s ongoing ECL adequacy assessment process. A holistic framework has been established including reviewing a range of economic data, external benchmark information and portfolio performance trends with a particular focus on segments of the portfolio (both Personal and Non-Personal) that are likely to be more susceptible to high inflation, high interest rates and supply chain disruption. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 24 ECL post model adjustments (audited) The table below shows ECL post model adjustments. Retail Banking Private Commercial & Central items Mortgages Other Banking Institutional & other Total 2024 £m £m £m £m £m £m Deferred model calibrations - - 1 14 - 15 Economic uncertainty 83 19 8 137 - 247 Other adjustments - - - 15 - 15 Total 83 19 9 166 - 277 Of which: - Stage 1 54 8 5 69 - 136 - Stage 2 24 11 4 96 - 135 - Stage 3 5 - - 1 - 6 2023 Deferred model calibrations - - 1 14 - 15 Economic uncertainty 109 31 13 191 3 347 Other adjustments 1 - - 6 - 7 Total 110 31 14 211 3 369 Of which: - Stage 1 72 11 6 83 - 172 - Stage 2 29 20 8 124 3 184 - Stage 3 9 - - 4 - 13 Post model adjustments decreased since 31 December 2023, with notable shifts in all categories.  Retail Banking – The post model adjustments for economic uncertainty decreased to £102 million at 31 December 2024 (2023 – £140 million). This reduction primarily reflected a revision to the cost of living post model adjustment to £97 million (2023 – £130 million), reflecting enhancements to the assessment approach, supported by back-testing of default outcomes for higher risk segments. The cost of living post model adjustment captures the risk on segments in the Retail Banking portfolio that are more susceptible to the effects of cost of living rises. It focuses on key affordability lenses, including lower income customers in fuel poverty, over- indebted borrowers and customers who remain vulnerable to higher mortgage rates.  Commercial & Institutional – The post model adjustment for economic uncertainty decreased to £137 million (2023 – £191 million). The inflation, supply chain and liquidity post model adjustment of £114 million (2023 – £153 million) was maintained for lending prior to 1 January 2024 being a sector level downgrade applied to the sectors that are considered most at risk from the current headwinds. A further £23 million (2023 – £38 million) remains for customers that utilised government support schemes, this adjustment is reducing as customers default or repay.  The £14 million (2023 – £14 million) judgemental overlay for deferred model calibrations relates to refinance risk, with the existing mechanistic modelling approach not fully capturing the risk on deteriorated exposures.  The £15 million (2023 – £6 million) other post model adjustment was to mitigate the effect of operational timing delays in the identification and flagging of a SICR with the increase due to a small number of large corporate exposures moving quickly from Stage 1 into default. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 25 SICR (audited) Exposures that are considered significantly credit deteriorated since initial recognition are classified in Stage 2 and assessed for lifetime ECL measurement (exposures not considered deteriorated carry a 12 month ECL). NWB Group has adopted a framework to identify deterioration based primarily on relative movements in lifetime PD supported by additional qualitative backstops. The principles applied are consistent across NWB Group and align to credit risk management practices, where appropriate. The framework comprises the following elements: IFRS 9 lifetime PD assessment (the primary driver) – on  modelled portfolios, the assessment is based on the relative deterioration in forward-looking lifetime PD and is assessed monthly. To assess whether credit deterioration has occurred, the residual lifetime PD at balance sheet date (which PD is established at date of initial recognition (DOIR)) is compared to the current PD. If the current lifetime PD exceeds the residual origination PD by more than a threshold amount, deterioration is assumed to have occurred and the exposure transferred into Stage 2 for a lifetime loss assessment. For Non-Personal, a doubling of PD would indicate a SICR subject to a minimum PD uplift of 0.1%. For Personal portfolios and SME Retail, the criteria vary by risk band, with lower risk exposures needing to deteriorate more than higher risk exposures, as outlined in the following table: PD bandings (based on residual lifetime Personal PD calculated at PD deterioration risk bands DOIR) threshold criteria A <0.762% PD@DOIR + 1% B <4.306% PD@DOIR + 3% C >=4.306% 1.7 x PD@DOIR Qualitative high-risk backstops – the PD assessment is  complemented with the use of qualitative high-risk backstops to further inform whether significant deterioration in lifetime risk of default has occurred. The qualitative high-risk backstop assessment includes the use of the mandatory 30+ days past due backstop, as prescribed by IFRS 9 guidance, and other features such as forbearance support, Non- Personal exposures managed within the Wholesale Problem Debt Management framework, and adverse credit bureau results for Personal customers. Persistence (Personal and SME Retail customers only) – the  persistence rule ensures that accounts which have met the criteria for PD-driven deterioration are still considered to be significantly deteriorated for three months thereafter. This additional rule enhances the timeliness of capture in Stage 2. The persistence rule is applied to PD-driven deterioration only. The criteria are based on a significant amount of empirical analysis and seek to meet three key objectives: Criteria effectiveness – the criteria should be effective in  identifying significant credit deterioration and prospective default population. Stage 2 stability – the criteria should not introduce  unnecessary volatility in the Stage 2 population. Portfolio analysis – the criteria should produce results which  are intuitive when reported as part of the wider credit portfolio. Monitoring the effect on relative PD deterioration when originating new lending at times of weaker economic outlook (therefore, higher PDs at initial recognition) is important to ensure SICR criteria remains effective. Asset lifetimes (audited) The choice of initial recognition and asset duration is another critical judgement in determining the quantum of lifetime losses that apply. The date of initial recognition reflects the date that a  transaction (or account) was first recognised on the balance sheet; the PD recorded at that time provides the baseline used for subsequent determination of SICR as detailed above. For asset duration, the approach applied (in line with IFRS 9  requirements) is: Term lending – the contractual maturity date, reduced for  behavioural trends where appropriate (such as, expected prepayment and amortisation). Revolving facilities – for Personal portfolios (except credit  cards), asset duration is based on behavioural life and this is normally greater than contractual life (which would typically be overnight). For the Non-Personal portfolios, asset duration is based on annual customer review schedules and will be set to the next review date. In the case of credit cards, the most significant judgement is to reflect the operational practice of card reissuance and the associated credit assessment as enabling a formal re-origination trigger. As a consequence, a capped lifetime approach of up to 36 months is used on credit card balances. If the approach was uncapped the ECL impact is estimated at approximately £58 million (2023 – £82 million). However, credit card balances originated under the 0% balance transfer product and representing approximately 51% (2023 – 40%) of performing card balances, have their ECL calculated on a behavioural lifetime approach as opposed to being capped at a maximum of three years. The capped approach reflects NWB Group’s practice of a credit- based review of customers prior to credit card issuance and complies with IFRS 9. Benchmarking information indicates that peer UK banks use behavioural approaches in the main for credit card portfolios with average durations between three and ten years. Across Europe, durations are shorter and are, in some cases, as low as one year. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 26 Economic loss drivers (audited) Introduction The portfolio segmentation and selection of economic loss drivers for IFRS 9 follows the approach used in stress testing. The stress models for each portfolio segment (defined by product or asset class and where relevant, industry sector and region) are based on a selected, small number of economic variables, that best explain the movements in portfolio loss rates. The process to select economic loss drivers involves empirical analysis and expert judgement. The most significant economic loss drivers for material portfolios are shown in the table below: Portfolio Economic loss drivers Personal Unemployment rate, sterling swap rate, mortgages house price index, real wage Personal Unemployment rate, sterling swap rate, unsecured real wage Corporates Stock price index, gross domestic product (GDP) Commercial real Stock price index, commercial property estate price index, GDP Economic scenarios At 31 December 2024, the range of anticipated future economic conditions was defined by a set of four internally developed scenarios and their respective probabilities. In addition to the base case, they comprised upside, downside, and extreme downside scenarios. The scenarios primarily reflected the current risks faced by the economy. This approach was similar to that used at 31 December 2023. For 31 December 2024, the four scenarios were deemed appropriate in capturing the uncertainty in economic forecasts and the non-linearity in outcomes under different scenarios. These four scenarios were developed to provide sufficient coverage across potential rises in unemployment, inflation, asset price declines and the degree of permanent damage to the economy, around which there remains pronounced levels of uncertainty. Since 31 December 2023, the economic outlook has evolved. The economy came out of post-COVID-19 stagnation with an upswing in the first half of 2024 as household income recovered. The growth lost momentum in the second half of 2024 and the outlook remains that of moderate growth. Inflation declined over the year, although the progress is slower than expected and inflation is likely to take longer to reach the target of 2%. As a result, rates are expected to remain higher-for-longer than previously expected. The unemployment rate increased modestly but it is underpinned by a still resilient labour market. There was emerging risk to the labour market due to higher tax burdens, but the impact is likely to be moderate. House prices were previously assumed to decline in 2024, but they performed better than expected. However, the higher interest rate environment poses a risk to the recovery. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 27 Economic loss drivers (audited) Headline macro variables: what are the risks and where are they captured? Extreme Mini narratives – potential developments, vulnerabilities and risks Upside Base case Downside downside Outperformance sustained – economy remains close to H1 2024 pace on strong consumer Steady growth – staying close to trend pace from H2 2024 and beyond Growth Stalling – 2024 strength proves fleeting, lagged effect of higher rates and cautious consumer stalls the rebound Extreme stress – extreme fall in GDP, with policy support to facilitate sharp recovery Close to deflation – inflationary pressures diminish amidst pronounced weakness in demand Battle won – continued downward drift in services inflation, ensuring 2% target is Inflation met on sustained basis Sticky – strong growth and/or wage policies and/or interest rate cuts keep services inflation well above target Structural factors – sustained bouts of energy, food and goods price inflation on geopolitics/deglobalisation Tighter, still – job growth rebounds strongly, pushing unemployment back down to sub-3.5% Labour Cooling continues – gradual loosening prompts a gentle rise in unemployment (but market remains low), job growth recovers Job shedding – prolonged weakness in economy prompts redundancies, reduced hours, building slack Depression – unemployment hits levels close to previous peaks amid severe stress Limited cuts – higher growth and inflation keeps the MPC cautious Rates Steady – approximately one cut per quarter short- Mid-cycle quickening – sharp declines through 2025 to support recovery term Sharp drop – drastic easing in policy to support a sharp deterioration in the economy Rates Above consensus – 4% long- Middle – 3-3.5% term Close to 2010s – 1-2%/2.5% Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 28 Main macroeconomic variables The main macroeconomic variables for each of the four scenarios used for ECL modelling are set out in the table below. 2024 2023 Extreme Weighted Extreme Weighted Upside Base case Downside downside average Upside Base case Downside downside average Five-year summary % % % % % % % % % % GDP 2.0 1.3 0.5 (0.2) 1.1 1.8 1.0 0.5 (0.3) 0.9 Unemployment rate 3.6 4.3 5.0 6.7 4.6 3.5 4.6 5.2 6.8 4.8 House price index 5.8 3.5 0.8 (4.3) 2.7 3.9 0.3 (0.4) (5.7) 0.3 Commercial real estate price 5.4 1.2 (1.0) (5.7) 1.1 3.1 (0.2) (2.0) (6.8) (0.6) Consumer price index 2.4 2.2 3.5 1.6 2.4 1.7 2.6 5.2 1.8 2.8 Bank of England base rate 4.4 4.0 3.0 1.6 3.6 3.8 3.7 5.6 2.9 4.0 Stock price index 6.3 5.0 3.4 1.1 4.5 4.8 3.3 1.2 (0.4) 2.8 World GDP 3.8 3.2 2.5 1.6 3.0 3.7 3.2 2.7 1.8 3.0 Probability weight 23.2 45.0 19.1 12.7 21.2 45.0 20.4 13.4 (1) The five-year summary runs from 2024-28 for 31 December 2024 and from 2023-27 for 31 December 2023. (2) The table shows compound annual growth rate (CAGR) for GDP, average levels for the unemployment rate and Bank of England base rate and Q4 to Q4 CAGR for other parameters. Climate transition Since 2023, NatWest Group has included explicit assumptions about changes in transition policy, expressed as an additional implicit sectoral carbon price, in the base case macroeconomic scenario. This approach has been used for financial planning and IFRS 9 reporting ever since. In 2024, NatWest Group refined its approach. Instead of applying the economy-wide carbon price from an external scenario used in 2023, NatWest Group calculated the expected implicit carbon prices associated with specific climate transition policies. NatWest Group individually assessed 46 active and potential transition policies that had a significant impact on the cost of emissions and converted them into equivalent sectoral carbon prices. This was calculated as the cost per tonne of the emissions (CO2e) abated as a result of each policy. NatWest Group estimated that the weighted average carbon price associated with the policies assessed will increase from £73 per tonne in 2024 to £123 per tonne in 2029. Sectoral carbon prices feed into the climate risk macro model. The model has been developed and improved over the past few years to enable NatWest Group to estimate the impact of carbon prices on a macroeconomic scenario. UK government policies which are estimated to have the largest impact on sectoral carbon prices are:  Emissions Trading Scheme  Climate Change Levy  Renewables Obligation  VAT on domestic energy This analysis presents a very narrow view of climate transition impact from 46 analysed policies. It only covers base case macroeconomic scenario and does not include physical impacts. NatWest Group and its customers have a dependency on timely and appropriate government policies to provide the necessary impetus for technology development and customer behaviour changes, to enable the UK’s successful transition to net zero. Policy delays and the risks outlined in the UK CCC 2022, 2023 and 2024 Progress Reports, if not adequately addressed in a timely manner, put at risk the UK’s net zero transition and in turn, that of NatWest Group and its customers. Probability weightings of scenarios NWB Group’s quantitative approach to IFRS 9 multiple economic scenarios (MES) involves selecting a suitable set of discrete scenarios to characterise the distribution of risks in the economic outlook and assigning appropriate probability weights. This quantitative approach is used for 31 December 2024. The approach involves comparing UK GDP paths for NWB Group’s scenarios against a set of 1,000 model runs, following which, a percentile in the distribution is established that most closely corresponded to the scenario. The probability weight for base case is set first based on judgement, while probability weights for the alternate scenarios are assigned based on these percentiles scores. The assigned probability weights were judged to be aligned with the subjective assessment of balance of the risks in the economy. The weights were marginally less downside skewed compared to those used at 31 December 2023. The downside risks associated with a materially high inflation have reduced, with inflation lower at the end of 2024 compared to a year ago. However, the economic outlook is still subject to considerable uncertainty especially with respect to persistence of inflation, restrictive trade policies and various geopolitical flashpoints. Given that backdrop, NWB Group judges it appropriate that downside-biased scenarios have higher combined probability weights than the upside-biased scenario. It presents good coverage to the range of outcomes assumed in the scenarios, including the potential for a robust recovery on the upside and exceptionally challenging outcomes on the downside. A 23.2% weighting was applied to the upside scenario, a 45.0% weighting applied to the base case scenario, a 19.1% weighting applied to the downside scenario and a 12.7% weighting applied to the extreme downside scenario. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 29 Economic loss drivers UK gross domestic product (£bn) Q1 2024 Q1 2025 Q1 2026 Q1 2027 Q1 2028 Q1 2029 2000 2100 2200 2300 2400 2500 2600 2700 2800 2900 3000 Upside Base case Downside Extreme downside Bank of England base rate (%) Q1 2024 Q1 2025 Q1 2026 Q1 2027 Q1 2028 Q1 2029 0 1 2 3 4 5 6 Upside Base case Downside Extreme downside UK unemployment rate (%) Q1 2024 Q1 2025 Q1 2026 Q1 2027 Q1 2028 Q1 2029 0 1 2 3 4 5 6 7 8 9 Upside Base case Downside Extreme downside Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 30 Economic loss drivers (audited) Annual figures GDP - annual growth Consumer price index - four quarter change Extreme Weighted Extreme Weighted Upside Base case Downside downside average Upside Base case Downside downside average % % % % % % % % % % 2024 0.9 0.9 0.9 0.9 0.9 2024 2.4 2.4 2.4 2.4 2.4 2025 2.0 1.4 0.4 (4.1) 0.6 2025 2.9 2.3 5.8 0.6 2.9 2026 3.2 1.5 (0.5) (0.3) 1.3 2026 2.4 2.1 4.2 1.1 2.4 2027 2.3 1.4 0.2 1.4 1.4 2027 2.1 2.0 2.6 1.8 2.1 2028 1.6 1.4 1.3 1.4 1.4 2028 2.0 2.0 2.4 2.0 2.1 2029 1.6 1.4 1.7 1.4 1.5 2029 2.0 2.0 2.5 2.0 2.1 Unemployment rate - annual average Bank of England base rate - annual average Extreme Weighted Extreme Weighted Upside Base case Downside downside average Upside Base case Downside downside average % % % % % % % % % % 2024 4.2 4.2 4.2 4.2 4.2 2024 5.11 5.11 5.11 5.11 5.11 2025 3.9 4.4 4.8 5.4 4.5 2025 4.63 4.21 3.42 1.40 3.80 2026 3.3 4.4 5.5 8.0 4.8 2026 4.02 3.52 2.10 0.18 2.94 2027 3.3 4.3 5.5 8.3 4.8 2027 4.00 3.50 2.00 0.40 2.94 2028 3.4 4.3 5.3 7.6 4.7 2028 4.00 3.50 2.15 1.03 3.04 2029 3.4 4.2 5.0 6.9 4.5 2029 4.00 3.50 2.50 1.83 3.21 House price index - four quarter change Stock price index - four quarter change Extreme Weighted Extreme Weighted Upside Base case Downside downside average Upside Base case Downside downside average % % % % % % % % % % 2024 3.5 3.5 3.5 3.5 3.5 2024 11.6 11.6 11.6 11.6 11.6 2025 7.8 3.5 (1.2) (7.6) 2.2 2025 8.1 3.4 (10.5) (35.0) (3.0) 2026 7.2 3.4 (2.8) (14.7) 1.1 2026 5.1 3.4 5.8 15.1 5.3 2027 5.1 3.4 0.1 (8.0) 2.2 2027 3.5 3.4 5.8 13.1 4.8 2028 5.4 3.4 4.4 6.9 4.4 2028 3.5 3.4 5.8 11.6 4.7 2029 5.6 3.4 4.2 6.3 4.4 2029 3.0 3.4 5.8 10.4 4.5 Commercial real estate price - four quarter change Extreme Weighted Upside Base case Downside downside average % % % % % 2024 (0.9) (0.9) (0.9) (0.9) (0.9) 2025 14.1 2.4 (6.8) (23.7) 0.1 2026 4.4 1.5 (2.5) (12.7) 0.2 2027 5.5 1.4 2.8 6.7 3.3 2028 4.2 1.5 2.6 5.7 2.8 2029 2.7 1.4 2.5 5.4 2.3 Worst points 2024 2023 Extreme Weighted Extreme Weighted Downside downside average Downside downside average % Quarter % Quarter % % Quarter % Quarter % GDP - Q1 2024 (4.1) Q4 2025 - (1.2) Q3 2024 (4.5) Q4 2024 0.3 Unemployment rate - peak 5.6 Q4 2026 8.5 Q1 2027 4.9 5.8 Q1 2025 8.5 Q2 2025 5.2 House price index (1.9) Q2 2027 (25.6) Q3 2027 - (12.5) Q4 2025 (31.7) Q2 2026 (6.5) Commercial real estate price (10.5) Q2 2026 (35.0) Q3 2026 (1.8) (16.6) Q1 2025 (39.9) Q3 2025 (10.2) Consumer price index - highest four quarter change 6.1 Q1 2026 3.5 Q1 2024 3.5 10.3 Q1 2023 10.3 Q1 2023 10.3 Bank of England base rate - extreme level 2.0 Q1 2024 0.1 Q1 2024 2.9 6.5 Q4 2024 5.3 Q4 2023 5.3 Stock price index (0.2) Q4 2025 (27.4) Q4 2025 - (14.3) Q4 2024 (39.3) Q4 2024 (2.4) (1) The figures show falls relative to the starting period for GDP, house price index, commercial real estate price and stock price index. For unemployment rate, it shows highest value through the scenario horizon. For consumer price index, it shows highest annual percentage change. For Bank of England base rate, it shows highest or lowest value through the horizon. The calculations are performed over five years, with a starting point of Q4 2023 for 31 December 2024 scenarios and Q4 2022 for 31 December 2023 scenarios. Risk and capital management continued NWB Group Annual Report and Accounts 2024 31 Credit risk continued Measurement uncertainty and ECL sensitivity analysis (audited) The recognition and measurement of ECL is complex and involves the use of significant judgement and estimation, particularly in times of economic volatility and uncertainty. This includes the formulation and incorporation of multiple forward- looking economic conditions into ECL to meet the measurement objective of IFRS 9. The ECL provision is sensitive to the model inputs and economic assumptions underlying the estimate. The impact arising from the base case, upside, downside and extreme downside scenarios was simulated. In the simulations, NWB Group has assumed that the economic macro variables associated with these scenarios replace the existing base case economic assumptions, giving them a 100% probability weighting and therefore serving as a single economic scenario. These scenarios were applied to all modelled portfolios in the analysis below, with the simulation impacting both PDs and LGDs. Post model adjustments included in the ECL estimates that were modelled were sensitised in line with the modelled ECL movements, but those that were judgemental in nature, primarily those for deferred model calibrations and economic uncertainty, were not (refer to the Governance and post model adjustments section) on the basis these would be re-evaluated by management through ECL governance for any new economic scenario outlook and not be subject to an automated calculation. As expected, the scenarios create differing impacts on ECL by portfolio and the impacts are deemed reasonable. In this simulation, it is assumed that existing modelled relationships between key economic variables and loss drivers hold, but in practice other factors would also have an impact, for example, potential customer behaviour changes and policy changes by lenders that might impact on the wider availability of credit. The focus of the simulations is on ECL provisioning requirements on performing exposures in Stage 1 and Stage 2. The simulations are run on a stand-alone basis and are independent of each other; the potential ECL impacts reflect the simulated impact at 31 December 2024. Scenario impacts on SICR should be considered when evaluating the ECL movements of Stage 1 and Stage 2. In all scenarios the total exposure was the same but exposure by stage varied in each scenario. Stage 3 provisions are not subject to the same level of measurement uncertainty – default is an observed event as at the balance sheet date. Stage 3 provisions therefore were not considered in this analysis. NWB Group’s core criterion to identify a SICR is founded on PD deterioration. Under the simulations, PDs change and result in exposures moving between Stage 1 and Stage 2 contributing to the ECL impact. Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 32 Measurement uncertainty and ECL sensitivity analysis (audited) Moderate upside Moderate Downside Extreme downside 2024 Actual Base scenario scenario scenario scenario Stage 1 modelled loans (£m) Retail Banking - mortgages 160,633 162,309 164,921 156,221 147,039 Retail Banking - unsecured 8,506 8,688 9,022 8,152 7,377 Non-personal - property 19,658 19,726 19,833 19,542 16,915 Non-personal - non-property 82,895 83,427 83,745 82,330 68,742 271,692 274,150 277,521 266,245 240,073 Stage 1 modelled ECL (£m) Retail Banking - mortgages 65 66 67 58 48 Retail Banking - unsecured 173 179 178 168 156 Non-personal - property 64 51 46 67 127 Non-personal - non-property 158 144 140 160 231 460 440 431 453 562 Stage 1 coverage Retail Banking - mortgages 0.04% 0.04% 0.04% 0.04% 0.03% Retail Banking - unsecured 2.03% 2.06% 1.97% 2.06% 2.11% Non-personal - property 0.33% 0.26% 0.23% 0.34% 0.75% Non-personal - non-property 0.19% 0.17% 0.17% 0.19% 0.34% 0.17% 0.16% 0.16% 0.17% 0.23% Stage 2 modelled loans (£m) Retail Banking - mortgages 19,141 17,465 14,853 23,553 32,735 Retail Banking - unsecured 2,956 2,774 2,440 3,310 4,085 Non-personal - property 2,162 2,094 1,987 2,278 4,905 Non-personal - non-property 11,461 10,929 10,611 12,026 25,614 35,720 33,262 29,891 41,167 67,339 Stage 2 modelled ECL (£m) Retail Banking - mortgages 55 49 41 68 111 Retail Banking - unsecured 314 296 255 346 454 Non-personal - property 44 38 34 47 139 Non-personal - non-property 243 213 194 260 537 656 596 524 721 1,241 Stage 2 coverage Retail Banking - mortgages 0.29% 0.28% 0.28% 0.29% 0.34% Retail Banking - unsecured 10.62% 10.67% 10.45% 10.45% 11.11% Non-personal - property 2.04% 1.81% 1.71% 2.06% 2.83% Non-personal - non-property 2.12% 1.95% 1.83% 2.16% 2.10% 1.84% 1.79% 1.75% 1.75% 1.84% Stage 1 and Stage 2 modelled loans (£m) Retail Banking - mortgages 179,774 179,774 179,774 179,774 179,774 Retail Banking - unsecured 11,462 11,462 11,462 11,462 11,462 Non-personal - property 21,820 21,820 21,820 21,820 21,820 Non-personal - non-property 94,356 94,356 94,356 94,356 94,356 307,412 307,412 307,412 307,412 307,412 Stage 1 and Stage 2 modelled ECL (£m) Retail Banking - mortgages 120 115 108 126 159 Retail Banking - unsecured 487 475 433 514 610 Non-personal - property 108 89 80 114 266 Non-personal - non-property 401 357 334 420 768 1,116 1,036 955 1,174 1,803 Stage 1 and Stage 2 coverage Retail Banking - mortgages 0.07% 0.06% 0.06% 0.07% 0.09% Retail Banking - unsecured 4.25% 4.14% 3.78% 4.48% 5.32% Non-personal - property 0.49% 0.41% 0.37% 0.52% 1.22% Non-personal - non-property 0.42% 0.38% 0.35% 0.45% 0.81% 0.36% 0.34% 0.31% 0.38% 0.59% Reconciliation to Stage 1 and Stage 2 ECL (£m) ECL on modelled exposures 1,116 1,036 955 1,174 1,803 ECL on non-modelled exposures 33 33 33 33 33 Total Stage 1 and Stage 2 ECL (£m) 1,149 1,069 988 1,207 1,836 Variance to actual total Stage 1 and Stage 2 ECL (£m) (80) (161) 58 687 Risk and capital management continued Credit risk continued NWB Group Annual Report and Accounts 2024 33 Measurement uncertainty and ECL sensitivity analysis continued (audited) Moderate upside Moderate downside Extreme downside 2024 Actual Base scenario scenario scenario scenario Reconciliation to Stage 1 and Stage 2 flow exposures (£m) Modelled loans 307,412 307,412 307,412 307,412 307,412 Non-modelled loans 18,705 18,705 18,705 18,705 18,705 Other asset classes 79,525 79,525 79,525 79,525 79,525 (1) Variations in future undrawn exposure values across the scenarios are modelled, however the exposure position reported is that used to calculate modelled ECL as at 31 December 2024 and therefore does not include variation in future undrawn exposure values. (2) Reflects ECL for all modelled exposure in scope for IFRS 9. The analysis excludes non-modelled portfolios and exposure relating to bonds and cash. (3) All simulations are run on a stand-alone basis and are independent of each other, with the potential ECL impact reflecting the simulated impact as at 31 December 2024. The simulations change the composition of Stage 1 and Stage 2 exposure but total exposure was unchanged under each scenario as the loan population was static. (4) Refer to the Economic loss drivers section for details of economic scenarios. (5) Refer to the NWB Group 2023 Annual Report and Accounts for 2023 comparatives . Measurement uncertainty and ECL adequacy (audited)  If the economics were as negative as observed in the extreme downside (i.e. 100% probability weighting), total Stage 1 and Stage 2 ECL was simulated to increase by £0.7 billion (approximately 60%). In this scenario, Stage 2 exposure increased significantly and was the key driver of the simulated ECL rise. The movement in Stage 2 balances in the other simulations was less significant.  In the Non-Personal portfolio, there was a significant increase in ECL under the extreme downside scenario. The Non- Personal property ECL increase was mainly due to commercial real estate prices which showed negative growth until 2026 and significant deterioration in the stock index. The non-property increase was mainly due to GDP contraction and significant deterioration in the stock index.  Given the continued economic uncertainty, NWB Group utilised a framework of quantitative and qualitative measures to support the levels of ECL coverage. This included economic data, credit performance insights and problem debt trends. This was particularly important for consideration of post model adjustments.  As the effects of these economic risks evolve into 2025, there is a risk of further credit deterioration. However, the income statement effect of this should be mitigated by the forward- looking provisions retained on the balance sheet at 31 December 2024.  There are a number of key factors that could drive further downside to impairments, through deteriorating economic and credit metrics and increased stage migration as credit risk increases for more customers. Such factors which could impact the IFRS 9 models, include an adverse deterioration in unemployment, GDP and stock price index in which NWB Group operates. Risk and capital management continued NWB Group Annual Report and Accounts 2024 34 Credit risk – Banking activities Introduction This section details the credit risk profile of NWB Group’s banking activities. Refer to Accounting policy 2.3 and Note 13 to the financial statements for policies and critical judgements relating to impairment loss determination. Financial instruments within the scope of the IFRS 9 ECL framework (audited) Refer to Note 9 to the financial statements for balance sheet analysis of financial assets that are classified as amortised cost or fair value through other comprehensive income (FVOCI), the starting point for IFRS 9 ECL framework assessment. 31 December 2024 31 December 2023 Gross ECL Net Gross ECL Net £bn £bn £bn £bn £bn £bn Balance sheet total gross amortised cost and FVOCI 412.3 404.4 In scope of IFRS 9 ECL framework 412.2 404.2 % in scope 100% 100% Loans to customers - in scope - amortised cost 335.1 2.7 332.4 321.6 2.9 318.7 Loans to customers - in scope - FVOCI - - - - - - Loans to banks - in scope - amortised cost 3.4 - 3.4 3.3 - 3.3 Total loans - in scope 338.5 2.7 335.8 324.9 2.9 322.0 Stage 1 298.2 0.5 297.7 288.8 0.6 288.2 Stage 2 35.5 0.6 34.9 31.7 0.8 30.9 Stage 3 4.8 1.6 3.2 4.4 1.5 2.9 Other financial assets - in scope - amortised cost 44.3 - 44.3 55.8 - 55.8 Other financial assets - in scope - FVOCI 29.4 - 29.4 23.5 - 23.5 Total other financial assets - in scope 73.7 - 73.7 79.3 - 79.3 Stage 1 72.9 - 72.9 78.2 - 78.2 Stage 2 0.8 - 0.8 1.1 - 1.1 Stage 3 - - - - - - Out of scope of IFRS 9 ECL framework 0.1 na 0.1 0.2 na 0.2 Loans to customers - out of scope - amortised cost (0.4) na (0.4) (0.3) na (0.3) Loans to banks - out of scope - amortised cost - na - - na - Other financial assets - out of scope - amortised cost 0.6 na 0.6 0.5 na 0.5 Other financial assets - out of scope - FVOCI (0.1) na (0.1) - na - na = not applicable The assets outside the scope of IFRS 9 ECL framework were as follows:  Settlement balances, items in the course of collection, cash balances and other non-credit risk assets of £0.7 billion (2023 – £0.6 billion). These were assessed as having no ECL unless there was evidence that they were defaulted.  Fair value adjustments on loans hedged by interest rate swaps, where the underlying loan was within the IFRS 9 ECL scope of £(0.4) billion (2023 – £(0.4) billion). In scope assets also include an additional £3.1 billion (2023 – £1.8 billion) of inter-group assets not shown in table above. Contingent liabilities and commitments Total contingent liabilities (including financial guarantees) and commitments within IFRS 9 ECL scope of £96.7 billion (2023 – £87.9 billion) comprised Stage 1 £88.3 billion (2023 – £79.2 billion); Stage 2 £7.7 billion (2023 – £8.2 billion); and Stage 3 £0.7 billion (2023 – £0.5 billion). Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 35 Segment analysis – portfolio summary (audited) The table below shows gross loans and ECL, by segment and stage, within the scope of the IFRS 9 ECL framework. Retail Private Commercial & Central items Banking Banking Institutional & other Total 2024 £m £m £m £m £m Loans - amortised cost and FVOCI Stage 1 172,211 17,155 74,002 34,841 298,209 Stage 2 21,902 844 12,722 49 35,517 Stage 3 2,658 322 1,818 - 4,798 Inter-group (1) 3,130 3,130 196,771 18,321 88,542 38,020 341,654 ECL provisions (2) Stage 1 245 16 211 10 482 Stage 2 370 11 285 1 667 Stage 3 844 37 718 - 1,599 Inter-group 2 2 1,459 64 1,214 13 2,750 ECL provisions coverage (3) Stage 1 (%) 0.14 0.09 0.29 0.03 0.16 Stage 2 (%) 1.69 1.30 2.24 2.04 1.88 Stage 3 (%) 31.75 11.49 39.49 nm 33.33 Inter-group (%) 0.06 0.06 0.74 0.35 1.37 0.04 0.81 Impairment (releases)/losses ECL (release)/charge (4) Stage 1 (174) (10) (159) (12) (355) Stage 2 246 (1) 78 2 325 Stage 3 178 - 198 - 376 Inter-group 1 1 250 (11) 117 (9) 347 Amounts written-off 356 - 193 - 549 For the notes to this table refer to the following page. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 36 Segment analysis – portfolio summary (audited) Commercial & Retail Private Institutional Central items Banking Banking & other Total 2023 £m £m £m £m £m Loans - amortised cost and FVOCI Stage 1 170,668 17,565 71,748 28,791 288,772 Stage 2 18,690 906 12,131 - 31,727 Stage 3 2,480 258 1,667 - 4,405 Inter-group (1) 1,809 1,809 191,838 18,729 85,546 30,600 326,713 ECL provisions (2) Stage 1 267 20 262 17 566 Stage 2 422 20 349 3 794 Stage 3 869 33 610 - 1,512 Inter-group 1 1 1,558 73 1,221 21 2,873 ECL provisions coverage (3) Stage 1 (%) 0.16 0.11 0.37 0.10 0.20 Stage 2 (%) 2.26 2.21 2.88 nm 2.50 Stage 3 (%) 35.04 12.79 36.59 nm 34.32 Inter-group (%) 0.06 0.06 0.81 0.39 1.43 0.07 0.88 Impairment (releases)/losses ECL (release)/charge (4) Stage 1 (142) (9) (171) 3 (319) Stage 2 379 15 135 - 529 Stage 3 173 7 118 (1) 297 Inter-group (3) (3) 410 13 82 (1) 504 Amounts written-off 143 2 90 - 235 (1) NWB Group's intercompany assets are classified in Stage 1. (2) Includes £4 million (2023 – £8 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 loans and total ECL provisions, including ECL for other (non- loan) assets and unutilised exposure. Some segments with a high proportion of debt securities or unutilised exposure may result in a not meaningful (nm) coverage ratio. (4) Includes a £10 million charge (2023 – £10 million charge) related to other financial assets, of which a £4 million charge (2023 – £6 million charge) related to assets classified as FVOCI, and includes a £3 million release (2023 – £2 million release) related to contingent liabilities. (5) The table shows gross loans only and excludes amounts that are outside the scope of the ECL framework. Refer to the Financial instruments within the scope of the IFRS 9 ECL framework section for further details. Other financial assets within the scope of the IFRS 9 ECL framework were cash and balances at central banks totalling £34.6 billion (2023 – £47.8 billion) and debt securities of £39.1 billion (2023 – £31.5 billion). (6) The stage allocation of the ECL charge was aligned to the stage transition approach that underpins the analysis in the Flow statement section. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 37 Segmental loans and impairment metrics (audited) The table below shows gross loans and ECL provisions, by segment and stage, within the scope of the ECL framework. Gross loans ECL provisions ECL Total (release)/ Amounts Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total charge written-off 2024 £m £m £m £m £m £m £m £m £m £m Retail Banking 172,211 21,902 2,658 196,771 245 370 844 1,459 250 356 Private Banking 17,155 844 322 18,321 16 11 37 64 (11) - Personal 13,726 352 251 14,329 3 1 20 24 1 - Non-personal 3,429 492 71 3,992 13 10 17 40 (12) - Commercial & Institutional 74,002 12,722 1,818 88,542 211 285 718 1,214 117 193 Central items & other 34,841 49 - 34,890 10 1 - 11 (10) - Total loans 298,209 35,517 4,798 338,524 482 667 1,599 2,748 346 549 Of which: Personal 185,937 22,254 2,909 211,100 248 371 864 1,483 251 356 Non-personal 112,272 13,263 1,889 127,424 234 296 735 1,265 95 193 2023 Retail Banking 170,668 18,690 2,480 191,838 267 422 869 1,558 410 143 Private Banking 17,565 906 258 18,729 20 20 33 73 13 2 Personal 14,296 255 209 14,760 3 2 20 25 (3) 2 Non-personal 3,269 651 49 3,969 17 18 13 48 16 - Commercial & Institutional 71,748 12,131 1,667 85,546 262 349 610 1,221 82 90 Central items & other 28,791 - - 28,791 17 3 - 20 2 - Total loans 288,772 31,727 4,405 324,904 566 794 1,512 2,872 507 235 Of which: Personal 184,964 18,945 2,689 206,598 270 424 889 1,583 407 145 Non-personal 103,808 12,782 1,716 118,306 296 370 623 1,289 100 90  Retail Banking – Loans to customers increased during the year as a result of continued growth in mortgages, including the Metro Bank portfolio acquisition and credit card lending. Arrears balances increased during 2024, however, this was in line with expectations and wider-industry trends following periods of balance growth and normalisation since COVID-19. Arrears inflow rates remained stable. The reduction in good book ECL coverage in 2024 was primarily driven by unsecured PD modelling updates, alongside reductions in economic uncertainty post model adjustments and stable underlying portfolio performance. Post model adjustments to capture increased affordability pressures on customers due to high inflation and interest rates decreased during the year reflecting a revision of the assessment approach, supported by back-testing of default outcomes. Underpinned by good book ECL coverage dynamics, total ECL coverage decreased during the year and was further amplified by 2024 debt sale activity on unsecured portfolios. Flow rates into Stage 3 reduced during H1 2024 and remained consistent across H2 2024.  Commercial & Institutional – The growth in exposure in Commercial & Institutional was driven by corporate and non-bank financial institutions sectors, aligned to customer strategy. Portfolio performance remained stable with a small reduction in total ECL. Stage 1 and Stage 2 ECL, along with ECL coverage, decreased due to reductions in post model adjustments, net improvements in economic scenarios and weightings. Stage 3 ECL increased due to a small number of large counterparties, but the total number of individual defaults remained low. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 38 Sector analysis – portfolio summary (audited) The table below shows financial assets and off-balance sheet exposures gross of ECL and related ECL provisions, impairment and past due by sector, asset quality and geographical region. Personal Non-personal Total Credit Other Corporate Mortgages (1) cards personal Total & other FI Sovereign Total 2024 £m £m £m £m £m £m £m £m £m Loans by geography 197,089 5,935 8,076 211,100 87,248 39,647 529 127,424 338,524 - UK 197,089 5,935 8,076 211,100 77,181 30,358 218 107,757 318,857 - Other Europe - - - - 4,553 5,915 31 10,499 10,499 - RoW - - - - 5,514 3,374 280 9,168 9,168 Loans by stage and asset quality (2) 197,089 5,935 8,076 211,100 87,248 39,647 529 127,424 338,524 Stage 1 175,823 4,136 5,978 185,937 73,214 38,683 375 112,272 298,209 - AQ1 1,141 - 127 1,268 545 1,312 31 1,888 3,156 - AQ2 1,797 - 110 1,907 3,274 29,815 212 33,301 35,208 - AQ3 6,016 10 107 6,133 8,437 241 5 8,683 14,816 - AQ4 89,539 106 312 89,957 16,274 4,865 - 21,139 111,096 - AQ5 67,275 1,083 483 68,841 25,779 1,504 - 27,283 96,124 - AQ6 3,691 1,195 2,353 7,239 12,880 770 - 13,650 20,889 - AQ7 5,924 1,515 2,096 9,535 5,650 173 - 5,823 15,358 - AQ8 253 205 341 799 345 3 127 475 1,274 - AQ9 187 22 49 258 30 - - 30 288 Stage 2 19,214 1,652 1,388 22,254 12,222 908 133 13,263 35,517 - AQ1 11 - 5 16 - - - - 16 - AQ2 10 - - 10 46 - - 46 56 - AQ3 101 - 10 111 - - - - 111 - AQ4 7,410 - 97 7,507 1,911 49 - 1,960 9,467 - AQ5 8,653 51 87 8,791 1,683 712 - 2,395 11,186 - AQ6 865 147 298 1,310 2,801 6 - 2,807 4,117 - AQ7 724 917 451 2,092 4,232 76 - 4,308 6,400 - AQ8 577 463 320 1,360 1,324 64 - 1,388 2,748 - AQ9 863 74 120 1,057 225 1 133 359 1,416 Stage 3 2,052 147 710 2,909 1,812 56 21 1,889 4,798 - AQ10 2,052 147 710 2,909 1,812 56 21 1,889 4,798 Loans past due analysis 197,089 5,935 8,076 211,100 87,248 39,647 529 127,424 338,524 - Not past due 194,515 5,760 7,347 207,622 83,898 39,580 511 123,989 331,611 - Past due 1-30 days 1,198 42 57 1,297 2,307 16 - 2,323 3,620 - Past due 31-89 days 486 43 82 611 271 1 18 290 901 - Past due 90-180 days 345 34 80 459 121 49 - 170 629 - Past due >180 days 545 56 510 1,111 651 1 - 652 1,763 Loans - Stage 2 19,214 1,652 1,388 22,254 12,222 908 133 13,263 35,517 - Not past due 18,262 1,598 1,305 21,165 11,433 904 133 12,470 33,635 - Past due 1-30 days 732 26 30 788 555 3 - 558 1,346 - Past due 31-89 days 220 28 53 301 234 1 - 235 536 For the notes to this table refer to page 41. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 39 Sector analysis – portfolio summary (audited) Personal Non-personal Total Credit Other Corporate Mortgages (1) cards personal Total & other FI Sovereign Total 2024 £m £m £m £m £m £m £m £m £m Weighted average life (3) - ECL measurement (years) 8 4 6 6 6 2 2 6 6 Weighted average 12 months PDs (3) - IFRS 9 (%) 0.50 3.23 4.67 0.72 1.34 0.18 13.27 1.03 0.83 - Basel (%) 0.66 3.67 3.28 0.83 1.20 0.16 13.27 0.92 0.86 ECL provisions by geography 357 323 803 1,483 1,191 60 14 1,265 2,748 - UK 357 323 803 1,483 1,054 21 7 1,082 2,565 - Other Europe - - - - 94 2 - 96 96 - RoW - - - - 43 37 7 87 87 ECL provisions by stage 357 323 803 1,483 1,191 60 14 1,265 2,748 - Stage 1 73 66 109 248 213 14 7 234 482 - Stage 2 56 159 156 371 286 8 2 296 667 - Stage 3 228 98 538 864 692 38 5 735 1,599 ECL provisions coverage (%) 0.18 5.44 9.94 0.70 1.37 0.15 2.65 0.99 0.81 - Stage 1 (%) 0.04 1.60 1.82 0.13 0.29 0.04 1.87 0.21 0.16 - Stage 2 (%) 0.29 9.62 11.24 1.67 2.34 0.88 1.50 2.23 1.88 - Stage 3 (%) 11.11 66.67 75.77 29.70 38.19 67.86 23.81 38.91 33.33 ECL charge/(release) - third party 13 106 132 251 72 22 1 95 346 Amounts written-off 12 84 260 356 193 - - 193 549 Other financial assets by asset quality (2) - - - - 3,481 16,237 53,934 73,652 73,652 - AQ1-AQ4 - - - - 3,481 16,187 53,934 73,602 73,602 - AQ5-AQ8 - - - - - 50 - 50 50 Off-balance sheet 11,799 16,655 6,541 34,995 57,208 4,338 145 61,691 96,686 Loan commitments 11,799 16,655 6,500 34,954 54,854 3,757 145 58,756 93,710 Financial guarantees - - 41 41 2,354 581 - 2,935 2,976 Off-balance sheet by asset quality (2) 11,799 16,655 6,541 34,995 57,208 4,338 145 61,691 96,686 - AQ1-AQ4 11,286 456 5,502 17,244 33,821 3,231 60 37,112 54,356 - AQ5-AQ8 505 15,914 1,000 17,419 23,039 1,058 22 24,119 41,538 - AQ9 1 10 17 28 15 - 63 78 106 - AQ10 7 275 22 304 333 49 - 382 686 For the notes to this table refer to page 41 . Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 40 Sector analysis – portfolio summary (audited) Personal Non-personal Total Credit Other Corporate Mortgages (1) cards personal Total & other FI Sovereign Total 2023 £m £m £m £m £m £m £m £m £m Loans by geography 193,810 4,865 7,923 206,598 84,221 32,511 1,574 118,306 324,904 - UK 193,810 4,865 7,923 206,598 75,088 29,739 1,392 106,219 312,817 - Other Europe - - - - 4,702 599 37 5,338 5,338 - RoW - - - - 4,431 2,173 145 6,749 6,749 Loans by stage and asset quality (2) 193,810 4,865 7,923 206,598 84,221 32,511 1,574 118,306 324,904 Stage 1 176,085 3,115 5,764 184,964 69,945 32,311 1,552 103,808 288,772 - AQ1 1,264 - 135 1,399 877 644 37 1,558 2,957 - AQ2 1,564 - 133 1,697 3,411 15,845 1,387 20,643 22,340 - AQ3 3,169 4 98 3,271 7,778 7,059 5 14,842 18,113 - AQ4 97,273 104 364 97,741 15,987 6,464 - 22,451 120,192 - AQ5 63,483 859 345 64,687 24,225 1,334 - 25,559 90,246 - AQ6 4,429 1,185 3,029 8,643 11,281 722 - 12,003 20,646 - AQ7 4,445 904 1,184 6,533 5,853 235 - 6,088 12,621 - AQ8 307 53 438 798 492 7 123 622 1,420 - AQ9 151 6 38 195 41 1 - 42 237 Stage 2 15,951 1,640 1,354 18,945 12,593 189 - 12,782 31,727 - AQ1 17 - - 17 20 - - 20 37 - AQ2 12 - - 12 49 - - 49 61 - AQ3 44 - 4 48 60 - - 60 108 - AQ4 6,603 - 126 6,729 852 13 - 865 7,594 - AQ5 6,567 78 92 6,737 2,373 75 - 2,448 9,185 - AQ6 995 333 424 1,752 3,624 6 - 3,630 5,382 - AQ7 599 973 268 1,840 3,980 68 - 4,048 5,888 - AQ8 503 210 345 1,058 1,365 20 - 1,385 2,443 - AQ9 611 46 95 752 270 7 - 277 1,029 Stage 3 1,774 110 805 2,689 1,683 11 22 1,716 4,405 - AQ10 1,774 110 805 2,689 1,683 11 22 1,716 4,405 Loans past due analysis 193,810 4,865 7,923 206,598 84,221 32,511 1,574 118,306 324,904 - Not past due 191,498 4,738 7,085 203,321 80,741 32,486 1,574 114,801 318,122 - Past due 1-30 days 984 33 59 1,076 2,280 17 - 2,297 3,373 - Past due 31-89 days 422 31 94 547 498 3 - 501 1,048 - Past due 90-180 days 363 26 85 474 79 2 - 81 555 - Past due >180 days 543 37 600 1,180 623 3 - 626 1,806 Loans - Stage 2 15,951 1,640 1,354 18,945 12,593 189 - 12,782 31,727 - Not past due 15,080 1,599 1,267 17,946 11,728 183 - 11,911 29,857 - Past due 1-30 days 639 21 33 693 517 5 - 522 1,215 - Past due 31-89 days 232 20 54 306 348 1 - 349 655 For the notes to this table refer to the following page. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 41 Sector analysis – portfolio summary (audited) Personal Non-personal Total Credit Other Corporate Mortgages (1) cards personal Total & other FI Sovereign Total 2023 £m £m £m £m £m £m £m £m £m Weighted average life (3) - ECL measurement (years) 9 4 6 6 6 2 - 6 6 Weighted average 12 months PDs (3) - IFRS 9 (%) 0.48 3.46 5.33 0.71 1.65 0.21 0.61 1.24 0.90 - Basel (%) 0.64 3.36 3.24 0.80 1.24 0.19 0.61 0.94 0.85 ECL provisions by geography 321 299 963 1,583 1,246 33 10 1,289 2,872 - UK 321 299 963 1,583 1,071 19 7 1,097 2,680 - Other Europe - - - - 135 6 - 141 141 - RoW - - - - 40 8 3 51 51 ECL provisions by stage 321 299 963 1,583 1,246 33 10 1,289 2,872 - Stage 1 83 59 128 270 267 22 7 296 566 - Stage 2 55 167 202 424 361 8 1 370 794 - Stage 3 183 73 633 889 618 3 2 623 1,512 ECL provisions coverage (%) 0.17 6.15 12.15 0.77 1.48 0.10 0.64 1.09 0.88 - Stage 1 (%) 0.05 1.89 2.22 0.15 0.38 0.07 0.45 0.29 0.20 - Stage 2 (%) 0.34 10.18 14.92 2.24 2.87 4.23 NM 2.89 2.50 - Stage 3 (%) 10.32 66.36 78.63 33.06 36.72 27.27 9.09 36.31 34.32 ECL (release)/charge - third party 36 161 210 407 106 (4) (2) 100 507 Amounts written-off 19 54 72 145 90 - - 90 235 Other financial assets by asset quality (2) - - - - 2,606 14,339 62,352 79,297 79,297 - AQ1-AQ4 - - - - 2,606 13,957 62,352 78,915 78,915 - AQ5-AQ8 - - - - - 382 - 382 382 Off-balance sheet 7,537 13,862 6,990 28,389 55,135 4,246 122 59,503 87,892 - Loan commitments 7,537 13,862 6,945 28,344 52,945 3,928 122 56,995 85,339 - Financial guarantees - - 45 45 2,190 318 - 2,508 2,553 Off-balance sheet by asset quality (2) 7,537 13,862 6,990 28,389 55,135 4,246 122 59,503 87,892 - AQ1-AQ4 7,134 388 6,129 13,651 33,011 3,244 60 36,315 49,966 - AQ5-AQ8 389 13,223 837 14,449 21,890 999 45 22,934 37,383 - AQ9 7 5 4 16 14 - - 14 30 - AQ10 7 246 20 273 220 3 17 240 513 (1) Includes a portion of Private Banking lending secured against residential real estate, in line with ECL calculation methodology. Private Banking mortgages are reported in UK, reflecting the country of lending origination. (2) AQ bandings are based on Basel PDs and mapping is as follows: Internal asset quality band Probability of default range Indicative S&P rating AQ1 0% - 0.034% AAA to AA AQ2 0.034% - 0.048% AA to AA- AQ3 0.048% - 0.095% A+ to A AQ4 0.095% - 0.381% BBB+ to BBB- AQ5 0.381% - 1.076% BB+ to BB AQ6 1.076% - 2.153% BB- to B+ AQ7 2.153% - 6.089% B+ to B AQ8 6.089% - 17.222% B- to CCC+ AQ9 17.222% - 100% CCC to C AQ10 100% D £0.3 billion (2023 – £0.2 billion) of AQ10 Personal balances primarily relate to loan commitments, the drawdown of which is effectively prohibited. (3) Previously published sectors for the Non-personal portfolio have been re-presented to reflect internal sector reporting. Property is now included in corporate and other. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 42 Sector analysis – portfolio summary (audited) The table below shows gross loans and ECL by stage, for the Personal portfolio and Non-personal portfolio including the three largest borrowing sector clusters included in corporate and other. Loans - amortised cost and FVOCI Off-balance sheet ECL provisions Loan Contingent Stage 1 Stage 2 Stage 3 Total commitments liabilities Stage 1 Stage 2 Stage 3 Total 2024 £m £m £m £m £m £m £m £m £m £m Personal 185,937 22,254 2,909 211,100 34,954 41 248 371 864 1,483 Mortgages 175,823 19,214 2,052 197,089 11,799 - 73 56 228 357 Credit cards 4,136 1,652 147 5,935 16,655 - 66 159 98 323 Other personal 5,978 1,388 710 8,076 6,500 41 109 156 538 803 Non-personal 112,272 13,263 1,889 127,424 58,756 2,935 234 296 735 1,265 Financial institutions 38,683 908 56 39,647 3,757 581 14 8 38 60 Sovereign 375 133 21 529 145 - 7 2 5 14 Corporate & other 73,214 12,222 1,812 87,248 54,854 2,354 213 286 692 1,191 Of which: Mobility and logistics 11,840 2,275 111 14,226 7,173 451 23 34 42 99 Commercial real estate 12,138 871 243 13,252 4,794 65 54 18 78 150 Consumer Industries 9,407 2,557 382 12,346 8,810 439 37 75 159 271 Total 298,209 35,517 4,798 338,524 93,710 2,976 482 667 1,599 2,748 2023 Personal 184,964 18,945 2,689 206,598 28,344 45 270 424 889 1,583 Mortgages 176,085 15,951 1,774 193,810 7,537 - 83 55 183 321 Credit cards 3,115 1,640 110 4,865 13,862 - 59 167 73 299 Other personal 5,764 1,354 805 7,923 6,945 45 128 202 633 963 Non-personal 103,808 12,782 1,716 118,306 56,995 2,508 296 370 623 1,289 Financial institutions 32,311 189 11 32,511 3,928 318 22 8 3 33 Sovereign 1,552 - 22 1,574 122 - 7 1 2 10 Corporate & other 69,945 12,593 1,683 84,221 52,945 2,190 267 361 618 1,246 Of which: Mobility and logistics 11,804 1,828 102 13,734 6,800 340 30 35 38 103 Commercial real estate 10,659 1,210 216 12,085 4,891 45 61 34 59 154 Consumer Industries 8,638 3,452 467 12,557 8,038 525 50 96 194 340 Total 288,772 31,727 4,405 324,904 85,339 2,553 566 794 1,512 2,872 Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 43 Non-personal forbearance (audited) The table below shows Non-personal forbearance, Heightened Monitoring and Risk of Credit Loss by sector. The table shows current exposure but reflects risk transfers where there is a guarantee by another customer. Financial Corporate & other institutions Sovereign Total 2024 £m £m £m £m Forbearance (flow) 2,756 97 18 2,871 Forbearance (stock) 3,686 78 18 3,782 Heightened Monitoring and Risk of Credit Loss 5,148 119 1 5,268 2023 Forbearance (flow) 2,753 47 22 2,822 Forbearance (stock) 3,865 61 22 3,948 Heightened Monitoring and Risk of Credit Loss 4,205 167 - 4,372 Sector analysis – portfolio summary (audited)  Loans by geography and sector – In line with NWB Group’s strategic focus, exposures continued to be mainly in the UK.  Loans by stage – The increase in Stage 1 reflected the growth in Non-Personal lending, alongside continued growth in Personal unsecured portfolios. There was an increase in Stage 2 balances in 2024, driven by Personal, but noting that there was a significant proportion of mortgage cases in Stage 2, due to PD persistence only. The modest increase in Stage 3 balance was mainly due to a small number of large corporate customers, with Personal lending increases largely mitigated by debt sale activity on unsecured assets.  Loans – past due analysis – Within the Personal portfolio, arrears balances increased during 2024, however, this was in line with expectations following periods of balance growth and normalisation since COVID-19. Arrears inflow rates remained stable. In Non-Personal, past due composition was stable.  Weighted average 12 months PDs – Both IFRS 9 and Basel PDs remained broadly stable during the year. In the Personal portfolios, there was a notable reduction in unsecured IFRS 9 PDs due to modelling updates. In Non-Personal, some reductions were observed in IFRS 9 PDs in the corporate portfolios due to economic and portfolio improvements. PDs in sovereigns increased significantly due to new lending but all new lending is fully backed by government guarantees.  ECL provisions by stage and ECL provisions coverage – Overall provisions coverage reduced since 31 December 2023. In the performing book, this was mainly a result of stable portfolio performance, reduced economic uncertainty post model adjustments and PD reductions across a number of portfolios, primarily relating to modelling updates in Personal. Furthermore, Stage 3 and total book coverage reduced, supported by the 2024 debt sale activity on Personal unsecured portfolios.  ECL charge (excluding inter-group) – The full year impairment charge for 2024 primarily reflected stable default performance, alongside reduced PD levels and impairment releases driven by the reduction in economic uncertainty post model adjustments.  Other financial assets by asset quality – Consisting almost entirely of balances at central banks and debt securities held in the course of treasury related management activities, these assets were mainly within the AQ1-AQ4 bands.  Off-balance sheet exposures by asset quality – In Personal, undrawn exposures were reflective of available credit lines in credit cards and current accounts. Additionally, the mortgage portfolio had undrawn exposures, where a formal offer had been made to a customer but had not yet drawn down; the value increased in line with the pipeline of offers. There was also a legacy portfolio of flexible mortgages where a customer had the right and ability to draw down further funds. In Non-Personal, off-balance sheet exposures increased moderately, driven by loan commitments. Asset quality was mainly in the AQ1-AQ8 bandings.  Non-Personal problem debt – There was an increase in exposures during 2024 driven by corporate sectors, although volumes were flat. The framework is closely monitored and there were no material thematic concerns.  Non-Personal forbearance – Forbearance was lower at the end of 2024, compared to 2023. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 44 Credit risk enhancement and mitigation (audited) The table below shows exposures of modelled portfolios within the scope of the ECL framework and related credit risk enhancement and mitigation (CREM). Exposure post Maximum credit risk CREM by type CREM coverage CREM Gross exposure ECL Total Stage 3 Financial (1) Property Other (2) Total Stage 3 Total Stage 3 2024 £bn £bn £bn £bn £bn £bn £bn £bn £bn £bn £bn Financial assets Cash and balances at central banks 34.6 - 34.6 - - - - - - 34.6 - Loans - amortised cost (3) 338.5 2.7 335.8 3.2 41.1 227.7 22.1 290.9 2.7 44.9 0.5 Personal (4) 211.1 1.5 209.6 2.0 0.7 196.4 - 197.1 1.8 12.5 0.2 Non-personal (5) 127.4 1.2 126.2 1.2 40.4 31.3 22.1 93.8 0.9 32.4 0.3 Debt securities 39.1 - 39.1 - 0.1 - - 0.1 - 39.0 - Total financial assets 412.2 2.7 409.5 3.2 41.2 227.7 22.1 291.0 2.7 118.5 0.5 Contingent liabilities and commitments Personal (6,7) 35.0 - 35.0 0.3 0.9 1.8 - 2.7 - 32.3 0.3 Non-personal 61.7 - 61.7 0.4 2.0 5.3 4.5 11.8 - 49.9 0.4 Total off-balance sheet 96.7 - 96.7 0.7 2.9 7.1 4.5 14.5 - 82.2 0.7 Total exposure 508.9 2.7 506.2 3.9 44.1 234.8 26.6 305.5 2.7 200.7 1.2 2023 Financial assets Cash and balances at central banks 47.8 - 47.8 - - - - - - 47.8 - Loans - amortised cost (3) 324.9 2.9 322.0 2.9 33.4 222.2 18.8 274.4 2.5 47.6 0.4 Personal (4) 206.6 1.6 205.0 1.8 0.8 193.2 - 194.0 1.6 11.0 0.2 Non-personal 5) 118.3 1.3 117.0 1.1 32.6 29.0 18.8 80.4 0.9 36.6 0.2 Debt securities 31.5 - 31.5 - - - - - - 31.5 - Total financial assets 404.2 2.9 401.3 2.9 33.4 222.2 18.8 274.4 2.5 126.9 0.4 Contingent liabilities and commitments Personal (6,7) 28.4 - 28.4 0.3 0.8 1.8 - 2.6 - 25.8 0.3 Non-personal 59.5 - 59.5 0.2 1.0 4.5 3.7 9.1 - 50.4 0.2 Total off-balance sheet 87.9 - 87.9 0.5 1.8 6.3 3.7 11.7 - 76.2 0.5 Total exposure 492.1 2.9 489.2 3.4 35.2 228.5 22.5 286.1 2.5 203.1 0.9 (1) Includes cash and securities collateral. (2) Includes guarantees, charges over trade debtors, other asset finance related physical collateral as well as the amount by which credit risk exposure is reduced through netting arrangements, mainly cash management pooling, which give NWB Group a legal right to set off the financial asset against a financial liability due to the same counterparty. Any additional credit risk mitigation from a synthetic securitization is not included in the table above. (3) NWB Group holds collateral in respect of individual loans – amortised cost to banks and customers. This collateral includes mortgages over property (both personal and commercial); charges over business assets such as plant and equipment; inventories and trade debtors; and guarantees of lending from parties other than the borrower. NWB Group obtains collateral in the form of securities in reverse repurchase agreements. Collateral values are capped at the value of the loan. (4) Stage 3 mortgage exposures have relatively limited uncovered exposure reflecting the security held. On unsecured credit cards and other personal borrowing, the residual uncovered amount reflects historical experience of continued cash recovery post default through ongoing engagement with customers. (5) Stage 3 exposures post credit risk enhancement and mitigation in Non-Personal mainly represent enterprise value and the impact of written down collateral values; an individual assessment to determine ECL will consider multiple scenarios and in some instances allocate a probability weighting to a collateral value in excess of the written down value. (6) £0.3 billion (2023 – £0.2 billion) Personal Stage 3 balances primarily relate to loan commitments, the draw down of which is effectively prohibited. (7) The Personal gross exposure value includes £10.0 billion (2023 – £5.8 billion) in respect of pipeline mortgages where a committed offer has been made to a customer but where the funds have not yet been drawn down. When drawn down, the exposure would be covered by a security over the borrower’s property. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 45 Personal portfolio (audited) Disclosures in the Personal portfolio section include drawn exposure (gross of provisions). 2024 2023 Retail Private Retail Private Banking Banking Total Banking Banking Total Personal lending £m £m £m £m £m £m Mortgages 184,234 12,826 197,060 180,629 13,222 193,851 Of which: Owner occupied 166,557 11,348 177,905 163,114 11,629 174,743 Buy-to-let 17,677 1,478 19,155 17,515 1,593 19,108 Interest only 19,805 11,276 31,081 22,817 11,631 34,448 Mixed (1) 9,662 40 9,702 9,208 25 9,233 ECL provisions (2) 345 12 357 308 12 320 Other personal lending (3) 12,572 1,301 13,873 11,251 1,395 12,646 ECL provisions (2) 1,114 12 1,126 1,249 12 1,261 Total personal lending 196,806 14,127 210,933 191,880 14,617 206,497 Mortgage LTV ratios - Owner occupied 57% 59% 57% 56% 59% 56% - Stage 1 57% 59% 57% 56% 59% 56% - Stage 2 56% 61% 56% 55% 63% 55% - Stage 3 52% 64% 53% 49% 61% 50% - Buy-to-let 54% 60% 54% 53% 59% 54% - Stage 1 54% 60% 55% 53% 60% 54% - Stage 2 53% 57% 53% 50% 57% 50% - Stage 3 52% 56% 53% 51% 53% 51% Gross new mortgage lending 26,096 1,395 27,491 29,150 1,400 30,550 Of which: Owner occupied 24,961 1,266 26,227 27,222 1,267 28,489 LTV > 90% 864 - 864 1,132 - 1,132 Weighted average LTV (4) 70% 63% 70% 70% 65% 71% Buy-to-let 1,135 129 1,264 1,928 133 2,061 Weighted average LTV (4) 61% 62% 61% 58% 66% 58% Interest only 1,552 1,238 2,790 2,626 1,224 3,850 Mixed (1) 1,136 - 1,136 1,552 2 1,554 Mortgage forbearance Forbearance flow (5) 423 10 433 500 22 522 Forbearance stock 1,403 20 1,423 1,140 28 1,168 Current 1,035 9 1,044 782 10 792 1-3 months in arrears 125 9 134 97 2 99 >3 months in arrears 243 2 245 261 16 277 (1) Includes accounts which have an interest only sub-account and a capital and interest sub-account to provide a more comprehensive view of interest only exposures. (2) Retail Banking excludes a non-material amount of lending and provisions held on relatively small legacy portfolios. (3) Comprises unsecured lending except for Private Banking, which includes both secured and unsecured lending. It excludes loans that are commercial in nature. (4) New mortgage lending LTV reflects the LTV at the time of lending. (5) Forbearance flows only include an account once per year, although some accounts may be subject to multiple forbearance deals. Forbearance deals post default are excluded from these flows. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 46 Personal portfolio (audited) Mortgage LTV distribution by stage The table below shows gross mortgage lending and related ECL by LTV band for the Retail Banking portfolio. Mortgages ECL provisions ECL provisions coverage Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total 2024 £m £m £m £m £m £m £m £m % % % % ≤50% 58,257 7,173 865 66,295 19 14 102 135 - 0.2 11.8 0.2 >50% and ≤70% 59,790 7,225 724 67,739 28 21 76 125 - 0.3 10.5 0.2 >70% and ≤80% 24,638 2,298 160 27,096 13 8 18 39 0.1 0.3 11.3 0.1 >80% and ≤90% 16,505 1,718 79 18,302 9 9 11 29 0.1 0.5 13.9 0.2 >90% and ≤100% 4,051 506 25 4,582 2 3 5 10 - 0.6 20.0 0.2 >100% 13 4 11 28 - - 5 5 - - 45.5 17.9 Total with LTVs 163,254 18,924 1,864 184,042 71 55 217 343 - 0.3 11.6 0.2 Other 190 1 1 192 2 - - 2 1.1 - - 1.0 Total 163,444 18,925 1,865 184,234 73 55 217 345 - 0.3 11.6 0.2 2023 ≤50% 61,263 6,230 832 68,325 24 16 88 128 - 0.3 10.6 0.2 >50% and ≤70% 63,356 6,478 629 70,463 34 24 58 116 0.1 0.4 9.2 0.2 >70% and ≤80% 22,141 1,580 100 23,821 13 7 11 31 0.1 0.4 11.0 0.1 >80% and ≤90% 13,330 1,097 43 14,470 9 6 5 20 0.1 0.6 11.6 0.1 >90% and ≤100% 2,968 361 11 3,340 2 2 2 6 0.1 0.6 18.2 0.2 >100% 21 6 9 36 - - 4 4 - - 44.4 11.1 Total with LTVs 163,079 15,752 1,624 180,455 82 55 168 305 0.1 0.4 10.3 0.2 Other 172 - 2 174 1 - 1 2 0.6 - 50.0 1.2 Total 163,251 15,752 1,626 180,629 83 55 169 307 0.1 0.4 10.4 0.2  Mortgage balances increased during 2024 as a result of the Metro Bank mortgage portfolio acquisition. Unsecured lending grew overall, driven by growth in credit cards, prime quality whole of market lending and balance transfer segments.  The proportion of overall interest-only mortgage balances decreased in 2024. Higher levels of interest-only at the 2023 year end were driven by the implementation of the Mortgage Charter. However, applications for Mortgage Charter support decreased during 2024 and customers have rolled-off from interest-only periods.  Portfolios and new business were closely monitored against agreed operating limits. These included loan-to-value ratios, buy-to-let concentrations, new-build concentrations and credit quality. Lending criteria, affordability calculations and assumptions for new lending were adjusted during the year, to maintain credit quality in line with appetite and to ensure customers are assessed fairly as economic conditions change. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 47 Personal portfolio (audited) Mortgage LTV distribution by region The table below shows gross mortgage lending by LTV band for Retail Banking, by geographical region. Weighted ≤50% 50%≤80% 80%≤100% >100% Total average LTV Other Total 2024 £m £m £m £m £m % £m £m South East 12,768 18,742 4,496 1 36,007 57 2 36,009 Greater London 13,002 18,254 3,377 1 34,634 55 3 34,637 Scotland 2,780 4,486 1,381 - 8,647 59 1 8,648 North West 6,469 7,937 1,858 1 16,265 55 1 16,266 South West 6,197 8,334 2,049 1 16,581 56 1 16,582 West Midlands 4,983 6,835 1,677 - 13,495 56 1 13,496 East of England 7,256 11,563 3,202 2 22,023 58 1 22,024 Rest of the UK 12,840 18,685 4,843 22 36,390 57 182 36,572 Total 66,295 94,836 22,883 28 184,042 57 192 184,234 2023 South East 13,612 18,238 3,094 1 34,945 55 2 34,947 Greater London 13,548 17,720 2,353 1 33,622 54 3 33,625 Scotland 2,745 4,458 1,216 - 8,419 58 1 8,420 North West 6,150 8,164 1,849 2 16,165 56 - 16,165 South West 6,845 8,166 1,372 - 16,383 54 1 16,384 West Midlands 4,933 6,904 1,394 - 13,231 56 1 13,232 East of England 7,953 11,631 2,198 - 21,782 56 2 21,784 Rest of the UK 12,538 19,003 4,334 32 35,907 57 165 36,072 Total 68,324 94,284 17,810 36 180,454 55 175 180,629 Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 48 Commercial real estate (audited) CRE LTV distribution by stage The table below shows CRE gross loans and related ECL by LTV band. Gross loans ECL provisions ECL provisions coverage Stage 2 Stage 3 Total Stage 2 Stage 3 Total Stage 2 Stage 3 Total 2024 £m £m £m £m £m £m £m £m % % % % ≤50% 4,963 192 32 5,187 19 4 5 28 0.4 2.1 15.6 0.5 >50% and ≤70% 3,409 208 51 3,668 18 5 10 33 0.5 2.4 19.6 0.9 >70% and ≤100% 208 53 27 288 1 2 10 13 0.5 3.8 37.0 4.5 >100% 125 4 74 203 1 - 25 26 0.8 - 33.8 12.8 Total with LTVs 8,705 457 184 9,346 39 11 50 100 0.4 2.4 27.2 1.1 Total portfolio average LTV 48% 54% 81% 49% - - - - - - - - Other Investment (1) 1,812 293 31 2,136 5 4 12 21 0.3 1.4 38.7 1.0 Investment 10,517 750 215 11,482 44 15 62 121 0.4 2.0 28.8 1.1 Development and other (2) 1,621 121 28 1,770 10 3 16 29 0.6 2.5 57.1 1.6 Total 12,138 871 243 13,252 54 18 78 150 0.4 2.1 32.1 1.1 2023 ≤50% 4,748 304 40 5,092 26 8 6 40 0.6 2.6 15.0 0.8 >50% and ≤70% 2,231 398 64 2,693 15 13 12 40 0.7 3.3 18.8 1.5 >70% and ≤100% 239 24 30 293 1 1 5 7 0.4 4.2 16.7 2.4 >100% 140 6 16 162 1 1 9 11 0.7 16.7 56.3 6.8 Total with LTVs 7,358 732 150 8,240 43 23 32 98 0.6 3.1 21.3 1.2 Total portfolio average LTV 46% 53% 66% 47% - - - - - - - - Other Investment(1 ) 1,790 294 32 2,116 7 5 11 23 0.4 1.7 34.4 1.1 Investment 9,148 1,026 182 10,356 50 28 43 121 0.6 2.7 23.6 1.2 Development and other (2) 1,511 184 34 1,729 11 6 16 33 0.7 3.3 47.1 1.9 Total 10,659 1,210 216 12,085 61 34 59 154 0.6 2.8 27.3 1.3 (1) Relates mainly to business banking and unsecured corporate lending. (2) Relates to the development of commercial and residential properties. Along with CRE activities that are not strictly investment or development. LTV is not a meaningful measure for this type of lending activity.  The majority of the CRE portfolio was located and managed in the UK. Business appetite and strategy was aligned across NWB Group. Lending appetite is subject to regular review.  While the real estate investment market was subdued through much of 2024, the portfolio remained resilient and there was moderate growth.  Credit quality remained stable with very limited instances of specific cases deteriorating. Challenges persist in parts of the office sub-sector, but NWB Group remains comfortable with exposures held in this sub-sector. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 49 Flow statements (audited) The flow statements that follow show the main ECL and related income statement movements. They also show the changes in ECL as well as the changes in related financial assets used in determining ECL. Due to differences in scope, exposures may differ from those reported in other tables, principally in relation to exposures in Stage 1 and Stage 2. These differences do not have a material ECL effect. Other points to note:  Financial assets include treasury liquidity portfolios, comprising balances at central banks and debt securities, as well as loans. Both modelled and non-modelled portfolios are included.  Stage transfers (for example, exposures moving from Stage 1 into Stage 2) are a key feature of the ECL movements, with the net re-measurement cost of transitioning to a worse stage being a primary driver of income statement charges. Similarly, there is an ECL benefit for accounts improving stage.  Changes in risk parameters shows the reassessment of the ECL within a given stage, including any ECL overlays and residual income statement gains or losses at the point of write-off or accounting write-down.  Other (P&L only items) includes any subsequent changes in the value of written-down assets (for example, fortuitous recoveries) along with other direct write-off items such as direct recovery costs. Other (P&L only items) affects the income statement but does not affect balance sheet ECL movements.  Amounts written-off represent the gross asset written-down against accounts with ECL, including the net asset write-down for any debt sale activity.  There were some flows from Stage 1 into Stage 3 including transfers due to unexpected default events with a post model adjustment in place for Commercial & Institutional to account for this risk.  The effect of any change in post model adjustments during the year is typically reported under changes in risk parameters, as are any effects arising from changes to the underlying models. Refer to the section on Governance and post model adjustments for further details.  All movements are captured monthly and aggregated. Interest suspended post default is included within Stage 3 ECL with the movement in the value of suspended interest during the year reported under currency translation and other adjustments. Stage 1 Stage 2 Stage 3 Total Financial Financial Financial Financial assets ECL assets ECL assets ECL assets ECL NWB Group total £m £m £m £m £m £m £m £m At 1 January 2024 361,888 566 33,756 794 4,440 1,512 400,084 2,872 Currency translation and other adjustments (628) (1) (29) - 120 166 (537) 165 Inter-Group transfers - - - - 1 - 1 - Transfers from Stage 1 to Stage 2 (35,855) (198) 35,855 198 - - - - Transfers from Stage 2 to Stage 1 23,814 461 (23,814) (461) - - - - Transfers to Stage 3 (209) (3) (3,001) (226) 3,210 229 - - Transfers from Stage 3 262 15 636 28 (898) (43) - - Net re-measurement of ECL on stage transfer (325) 562 288 525 Changes in risk parameters (164) (91) 238 (17) Other changes in net exposure 19,189 131 (6,221) (136) (1,567) (129) 11,401 (134) Other (P&L only items) 3 (10) (21) (28) Income statement (releases)/charges (355) 325 376 346 Amounts written-off - - (1) (1) (548) (548) (549) (549) Unwinding of discount - - (114) (114) At 31 December 2024 368,461 482 37,181 667 4,758 1,599 410,400 2,748 Net carrying amount 367,979 36,514 3,159 407,652 At 1 January 2023 359,432 506 39,087 813 3,862 1,262 402,381 2,581 2023 movements 2,456 60 (5,331) (19) 578 250 (2,297) 291 At 31 December 2023 361,888 566 33,756 794 4,440 1,512 400,084 2,872 Net carrying amount 361,322 32,962 2,928 397,212 Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 50 Flow statements (audited) Stage 1 Stage 2 Stage 3 Total Financial Financial Financial Financial assets ECL assets ECL assets ECL assets ECL Retail Banking - mortgages £m £m £m £m £m £m £m £m At 1 January 2024 163,974 83 15,942 55 1,600 171 181,516 309 Currency translation and other adjustments - - - - 81 79 81 79 Transfers from Stage 1 to Stage 2 (17,808) (19) 17,808 19 - - - - Transfers from Stage 2 to Stage 1 11,561 22 (11,561) (22) - - - - Transfers to Stage 3 (45) - (919) (7) 964 7 - - Transfers from Stage 3 43 1 313 4 (356) (5) - - Net re-measurement of ECL on stage transfer (12) 26 5 19 Changes in risk parameters 3 (14) 76 65 Other changes in net exposure 5,140 (5) (2,431) (6) (421) (54) 2,288 (65) Other (P&L only items) - (1) (8) (9) Income statement (releases)/charges (14) 5 19 10 Amounts written-off - - - - (11) (11) (11) (11) Unwinding of discount - - (51) (51) At 31 December 2024 162,865 73 19,152 55 1,857 217 183,874 345 Net carrying amount 162,792 19,097 1,640 183,529 At 1 January 2023 153,791 74 16,557 55 1,321 139 171,669 268 2023 movements 10,183 9 (615) - 279 32 9,847 41 At 31 December 2023 163,974 83 15,942 55 1,600 171 181,516 309 Net carrying amount 163,891 15,887 1,429 181,207  ECL coverage for mortgages remained stable overall during 2024, with growth in Stage 3 ECL partly offset by a reduction in good book ECL, primarily driven by the reduction in economic uncertainty post model adjustment levels. PDs remained broadly flat with the effect of the modest increase in arrears levels being offset by the impact of improved economics since 2023 and stable portfolio performance overall.  The decrease in Stage 1 ECL was also driven by the cost of living post model adjustment reduction. Refer to the Governance and post model adjustments section for further details.  The Stage 3 inflows remained broadly stable, albeit with signs of an upward drift in default rates, reflecting slightly poorer arrears performance on mortgages recently rolled-off onto higher product rates. The increase in Stage 3 ECL primarily reflected increases in ECL for post-default interest.  There were net flows into Stage 2 from Stage 1 in line with a modest upward trend in arrears.  The relatively small ECL cost for net re-measurement on transfer into Stage 3 included the effect of risk targeted ECL adjustments, when previously in the good book. Refer to the Governance and post model adjustments section for further details.  Write-off occurs once the repossessed property has been sold and there is a residual shortfall balance remaining outstanding. This would typically be within five years from default but can be longer. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 51 Flow statements (audited) Stage 1 Stage 2 Stage 3 Total Financial Financial Financial Financial assets ECL assets ECL assets ECL assets ECL Retail Banking - credit cards £m £m £m £m £m £m £m £m At 1 January 2024 2,869 58 1,656 166 117 73 4,642 297 Currency translation and other adjustments - 1 - 1 3 3 3 5 Transfers from Stage 1 to Stage 2 (1,620) (36) 1,620 36 - - - - Transfers from Stage 2 to Stage 1 1,068 77 (1,068) (77) - - - - Transfers to Stage 3 (20) (1) (131) (48) 151 49 - - Transfers from Stage 3 2 1 7 3 (9) (4) - - Net re-measurement of ECL on stage transfer (48) 144 40 136 Changes in risk parameters (3) (12) 29 14 Other changes in net exposure 1,577 17 (368) (54) (44) (1) 1,165 (38) Other (P&L only items) - - (7) (7) Income statement (releases)/charges (34) 78 61 105 Amounts written-off - - - - (84) (84) (84) (84) Unwinding of discount - - (7) (7) At 31 December 2024 3,876 66 1,716 159 134 98 5,726 323 Net carrying amount 3,810 1,557 36 5,403 At 1 January 2023 2,420 47 855 91 88 57 3,363 195 2023 movements 449 11 801 75 29 16 1,279 102 At 31 December 2023 2,869 58 1,656 166 117 73 4,642 297 Net carrying amount 2,811 1,490 44 4,345  Overall ECL for cards remained broadly in-line with 2023, with portfolio growth mitigated by stable portfolio performance, lower PD levels and a reduction in economic uncertainty post model adjustment levels.  Credit card balances continued to grow during the year, in line with industry trends in the UK, reflecting strong customer demand, while sustaining robust risk appetite.  While portfolio performance remained stable, a net flow into Stage 2 from Stage 1 was observed, with the typical maturation of lending after a period of strong growth in recent years. The staging ECL uplift was offset by modelling updates in PDs and LGDs.  Flow rates into Stage 3 showed modest improvement in 2024 in comparison to 2023, in line with broader portfolio performance.  Charge-off (analogous to partial write-off) typically occurs after 12 missed payments. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 52 Flow statements (audited) Stage 1 Stage 2 Stage 3 Total Financial Financial Financial Financial assets ECL assets ECL assets ECL assets ECL Retail Banking - other personal unsecured £m £m £m £m £m £m £m £m At 1 January 2024 4,247 126 1,371 201 796 625 6,414 952 Currency translation and other adjustments - (1) - - 18 19 18 18 Transfers from Stage 1 to Stage 2 (1,836) (90) 1,836 90 - - - - Transfers from Stage 2 to Stage 1 1,409 197 (1,409) (197) - - - - Transfers to Stage 3 (56) (2) (255) (108) 311 110 - - Transfers from Stage 3 7 2 20 8 (27) (10) - - Net re-measurement of ECL on stage transfer (138) 231 23 116 Changes in risk parameters (58) (34) 89 (3) Other changes in net exposure 771 70 (326) (34) (150) (38) 295 (2) Other (P&L only items) - - 24 24 Income statement (releases)/charges (126) 163 98 135 Amounts written-off - - (1) (1) (260) (260) (261) (261) Unwinding of discount - - (29) (29) At 31 December 2024 4,542 106 1,236 156 688 529 6,466 791 Net carrying amount 4,436 1,080 159 5,675 At 1 January 2023 3,813 92 1,666 225 638 516 6,117 833 2023 movements 434 34 (295) (24) 158 109 297 119 At 31 December 2023 4,247 126 1,371 201 796 625 6,414 952 Net carrying amount 4,121 1,170 171 5,462  Total ECL decreased, mainly in Stage 3, due to the reduction of balances from debt sale activity on Personal unsecured portfolios.  Stable portfolio performance was observed during the year. PD modelling updates coupled with LGD modelling updates were reflected in the performing book ECL, with coverage levels showing a modest reduction since the prior period.  Flow rates into Stage 3 reduced for the year, in line with broader portfolio performance.  Unsecured retail performing balances grew steadily in 2024, largely in line with industry trends.  Write-off occurs once recovery activity with the customer has been concluded or there are no further recoveries expected, but no later than six years after default. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 53 Flow statements (audited) Stage 1 Stage 2 Stage 3 Total Financial Financial Financial Financial assets ECL assets ECL assets ECL assets ECL Commercial & Institutional total £m £m £m £m £m £m £m £m At 1 January 2024 71,897 262 13,062 349 1,657 610 86,616 1,221 Currency translation and other adjustments (125) (1) (29) - 17 60 (137) 59 Inter-group transfers - - - - 1 - 1 - Transfers from Stage 1 to Stage 2 (13,094) (50) 13,094 50 - - - - Transfers from Stage 2 to Stage 1 8,427 150 (8,427) (150) - - - - Transfers to Stage 3 (76) - (1,491) (62) 1,567 62 - - Transfers from Stage 3 167 12 275 12 (442) (24) - - Net re-measurement of ECL on stage transfer (117) 149 222 254 Changes in risk parameters (87) (24) 43 (68) Other changes in net exposure 7,193 42 (2,911) (39) (857) (37) 3,425 (34) Other (P&L only items) 3 (8) (30) (35) Income statement (releases)/charges (159) 78 198 117 Amounts written-off - - - - (193) (193) (193) (193) Unwinding of discount - - (25) (25) At 31 December 2024 74,389 211 13,573 285 1,750 718 89,712 1,214 Net carrying amount 74,178 13,288 1,032 88,498 At 1 January 2023 63,844 259 18,360 419 1,567 524 83,771 1,202 2023 movements 8,053 3 (5,298) (70) 90 86 2,845 19 At 31 December 2023 71,897 262 13,062 349 1,657 610 86,616 1,221 Net carrying amount 71,635 12,713 1,047 85,395  The growth in exposures was mainly driven by non-bank financial institutions.  Stage 1 and Stage 2 ECL reduced, reflecting a combination of stable portfolio performance, reductions in post model adjustments and net improvements in economic scenarios.  Stage 3 ECL increased due to a small number of large counterparties, but in total, the number of individual defaults remained low. Flows into Stage 3 were consistent with 2023 and considerably below historical trends.  Write-offs levels continue to remain below historical trends.  Overall, impairment charges were low, with Stage 3 individual charges largely offset by performing book releases. Stage 1 Stage 2 Stage 3 Total Financial Financial Financial Financial assets ECL assets ECL assets ECL assets ECL Commercial & Institutional - corporate £m £m £m £m £m £m £m £m At 1 January 2024 49,945 185 10,287 281 1,213 484 61,445 950 Currency translation and other adjustments (75) (1) (30) - 16 50 (89) 49 Inter-group transfers 66 1 28 2 3 - 97 3 Transfers from Stage 1 to Stage 2 (9,759) (39) 9,759 39 - - - - Transfers from Stage 2 to Stage 1 6,646 120 (6,646) (120) - - - - Transfers to Stage 3 (70) - (1,205) (44) 1,275 44 - - Transfers from Stage 3 139 9 236 9 (375) (18) - - Net re-measurement of ECL on stage transfer (94) 120 172 198 Changes in risk parameters (61) (22) 34 (49) Other changes in net exposure 3,624 23 (2,347) (32) (632) (31) 645 (40) Other (P&L only items) 3 (9) (28) (34) Income statement (releases)/charges (129) 57 147 75 Amounts written-off - - - - (179) (179) (179) (179) Unwinding of discount - - (20) (20) At 31 December 2024 50,516 143 10,082 233 1,321 536 61,919 912 Net carrying amount 50,373 9,849 785 61,007  There was modest exposure growth, with increased new lending largely offset by repayments.  Stage 1 and Stage 2 ECL reduced, reflecting a combination of stable portfolio performance, reductions in post model adjustments and net improvements in economic scenarios.  Stage 3 ECL increased due to charges on a small number of large counterparties, partially offset by write-offs.  Overall, impairment charges were low, with Stage 3 individual charges largely offset by performing book releases. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 54 Flow statements (audited) Stage 1 Stage 2 Stage 3 Total Financial Financial Financial Financial assets ECL assets ECL assets ECL assets ECL Commercial & Institutional - property £m £m £m £m £m £m £m £m At 1 January 2024 16,667 66 2,141 63 395 119 19,203 248 Currency translation and other adjustments (8) (1) (1) (1) 1 5 (8) 3 Inter-group transfers (15) - (45) (2) (2) (1) (62) (3) Transfers from Stage 1 to Stage 2 (2,044) (9) 2,044 9 - - - - Transfers from Stage 2 to Stage 1 1,553 28 (1,553) (28) - - - - Transfers to Stage 3 (6) - (222) (11) 228 11 - - Transfers from Stage 3 25 2 38 3 (63) (5) - - Net re-measurement of ECL on stage transfer (21) 25 20 24 Changes in risk parameters (25) (7) 13 (19) Other changes in net exposure 2,354 18 (278) (7) (189) (6) 1,887 5 Other (P&L only items) - - (1) (1) Income statement (releases)/charges (28) 11 26 9 Amounts written-off - - - - (13) (13) (13) (13) Unwinding of discount - - (4) (4) At 31 December 2024 18,526 58 2,124 44 357 139 21,007 241 Net carrying amount 18,468 2,080 218 20,766  Stage 1 and Stage 2 ECL reduced, reflecting a combination of stable portfolio performance, reductions in post model adjustments and net improvements in economic scenarios.  Stage 3 ECL increased due to charges on a small number of large counterparties, partially offset by write-offs.  Overall, impairment charges were low, with Stage 3 individual charges largely offset by performing book releases. Stage 1 Stage 2 Stage 3 Total Financial Financial Financial Financial assets ECL assets ECL assets ECL assets ECL Commercial & Institutional - other £m £m £m £m £m £m £m £m At 1 January 2024 5,285 11 634 5 49 7 5,968 23 Currency translation and other adjustments (41) - 2 - (1) 4 (40) 4 Inter-group transfers (52) - 17 - - - (35) - Transfers from Stage 1 to Stage 2 (1,291) (1) 1,291 1 - - - - Transfers from Stage 2 to Stage 1 227 2 (227) (2) - - - - Transfers to Stage 3 - - (64) (6) 64 6 - - Transfers from Stage 3 3 - - - (3) - - - Net re-measurement of ECL on stage transfer (2) 4 30 32 Changes in risk parameters (2) 6 (4) - Other changes in net exposure 1,216 2 (286) - (37) - 893 2 Other (P&L only items) - - (1) (1) Income statement (releases)/charges (2) 10 25 33 Amounts written-off - - - - - - - - Unwinding of discount - - - - At 31 December 2024 5,347 10 1,367 8 72 43 6,786 61 Net carrying amount 5,337 1,359 29 6,725  Stage 3 ECL increased due to charges on a small number of large counterparties. Risk and capital management continued Credit risk – Banking activities continued NWB Group Annual Report and Accounts 2024 55 Stage 2 decomposition by a significant increase in credit risk trigger UK mortgages Credit cards Other Total 2024 £m % £m % £m % £m % Personal trigger (1) PD movement 13,175 68.6 1,198 72.5 680 49.1 15,053 67.6 PD persistence 3,676 19.1 357 21.6 325 23.4 4,358 19.6 Adverse credit bureau recorded with credit reference agency 798 4.2 58 3.5 98 7.1 954 4.3 Forbearance support provided 158 0.8 - - 7 0.5 165 0.7 Customers in collections 153 0.8 3 0.2 2 0.1 158 0.7 Collective SICR and other reasons (2) 1,195 6.2 36 2.2 274 19.7 1,505 6.8 Days past due >30 59 0.3 - - 2 0.1 61 0.3 19,214 100 1,652 100 1,388 100 22,254 100 2023 Personal trigger (1) PD movement 11,583 72.5 1,191 72.6 715 52.8 13,489 71.2 PD persistence 2,115 13.3 390 23.8 306 22.6 2,811 14.8 Adverse credit bureau recorded with credit reference agency 877 5.5 40 2.4 82 6.1 999 5.3 Forbearance support provided 110 0.7 - - 9 0.7 119 0.6 Customers in collections 158 1.0 1 0.1 7 0.5 166 0.9 Collective SICR and other reasons (2) 1,017 6.4 18 1.1 228 16.8 1,263 6.7 Days past due >30 91 0.6 - - 7 0.5 98 0.5 15,951 100 1,640 100 1,354 100 18,945 100 For the notes to this table refer to the following page.  The level of PD driven deterioration increased across the mortgage portfolio throughout 2024, reflecting modest increases in the early arrears level. However, the year end economic scenarios update resulted in a reduction in PD levels and a further build up in PD persistence levels.  Modelling updates in the unsecured portfolios at both Q1 and year end, resulted in reduced in-lifetime PDs, driving a segment of lower risk cases out of PD deterioration.  Higher risk mortgage customers who utilised the new Mortgage Charter measures continue to be collectively migrated into Stage 2 and were captured in the collective SICR and other reasons category.  Accounts that were less than 30 days past due continued to represent the vast majority of the Stage 2 population Risk and capital management continued Credit risk – Banking activities continued Stage 2 decomposition by a significant increase in credit risk trigger NWB Group Annual Report and Accounts 2024 56 Corporate & other FI Other Total 2024 £m % £m % £m % £m % £m % Non-personal trigger (1) PD movement 10,031 82.0 766 84.5 - - 10,797 81.3 PD persistence 257 2.1 2 0.2 - - 259 2.0 Heightened Monitoring and Risk of Credit Loss 1,327 10.9 73 8.0 133 100.0 1,533 11.5 Forbearance support provided 193 1.6 - - - - 193 1.5 Customers in collections 25 0.2 - - - - 25 0.2 Collective SICR and other reasons (2) 338 2.8 54 5.9 - - 392 3.0 Days past due >30 51 0.4 13 1.4 - - 64 0.5 12,222 100.0 908 100.0 133 100.0 13,263 100.0 2023 Non-personal trigger (1) PD movement 8,111 64.5 58 30.7 8,169 63.9 PD persistence 879 7.0 9 4.8 888 6.9 Heightened Monitoring and Risk of Credit Loss 2,511 19.9 118 62.4 2,629 20.6 Forbearance support provided 354 2.8 - - 354 2.8 Customers in collections 24 0.2 - - 24 0.2 Collective SICR and other reasons (2) 446 3.5 4 2.1 450 3.5 Days past due >30 268 2.1 - - 268 2.1 12,593 100 189 100 12,782 100 (1) The table is prepared on a hierarchical basis from top to bottom, for example, accounts with PD deterioration may also trigger backstop(s) but are only reported under PD deterioration. (2) Includes cases where a PD assessment cannot be made and accounts where the PD has deteriorated beyond a prescribed backstop threshold aligned to risk management practices.  PD deterioration continued to be the primary trigger of migration of exposures from Stage 1 into Stage 2. There was an increase in cases triggering PD deterioration partially due to additional sectors included in economic uncertainty post model adjustments.  Heightened Monitoring and Risk of Credit Loss remained an important backstop indicator of a SICR. The exposures captured by Heighted Monitoring or Risk of Credit Loss decreased over the period, due to the increase in PD deterioration.  PD persistence related to the SME Retail portfolio only, with reductions due to some stable portfolio performance and net improvements in economic scenarios and weightings. Risk and capital management continued NWB Group Annual Report and Accounts 2024 57 Capital, liquidity and funding risk NWH 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 its capital, liquidity and funding risks. The framework ensures the tools and capability are in place to facilitate the management and mitigation of risk ensuring the Group operates within its regulatory requirements and risk appetite. Definitions (audited) Regulatory capital consists of reserves and instruments issued that are available, have a degree of permanency and are capable of absorbing losses. A number of strict conditions set by regulators must be satisfied to be eligible as capital. Capital risk is the inability to conduct business in base or stress conditions on a risk or leverage basis due to insufficient qualifying capital as well as the failure to assess, monitor, plan and manage capital adequacy requirements. Liquidity consists of assets that can be readily converted to cash within a short timeframe at a reliable value. Liquidity risk is defined as the risk that the Group or any of its subsidiaries or branches cannot meet it’s actual or potential financial obligations in a timely manner as they fall due in the short term. Funding consists of on-balance sheet liabilities that are used to provide cash to finance assets. Funding risk is the current or prospective risk that the Group or its subsidiaries or branches cannot meet financial obligations as they fall due in the medium to long term, either at all or without increasing funding costs unacceptably. Liquidity and funding risks arise in a number of ways, including through the maturity transformation role that banks perform. The risks are dependent on factors such as:  Maturity profile;  Composition of sources and uses of funding;  The quality and size of the liquidity portfolio;  Wholesale market conditions; and  Depositor and investor behaviour Sources of risk (audited) Capital The eligibility of instruments and financial resources as regulatory capital is laid down by applicable regulation. Capital is categorised by applicable regulation under two tiers (Tier 1 and Tier 2) according to the ability to absorb losses on either a going or gone concern basis, degree of permanency and the ranking of absorbing losses. There are three broad categories of capital across these two tiers:  CET1 capital - CET1 capital must be perpetual and capable of unrestricted and immediate use to cover risks or losses as soon as these occur. This includes ordinary shares issued and retained earnings.  Additional Tier 1 (AT1) capital - This is the second type of loss absorbing capital and must be capable of absorbing losses on a going concern basis. These instruments are either written down or converted into CET1 capital when the CET1 ratio falls below a pre-specified level.  Tier 2 capital - Tier 2 capital is the bank entities’ supplementary capital and provides loss absorption on a gone concern basis. Tier 2 capital absorbs losses after Tier capital. It typically consists of subordinated debt securities which must have a minimum of five years to maturity at all times to be fully recognised for regulatory purposes. Minimum requirement for own funds and eligible liabilities (MREL) In addition to capital, other specific loss absorbing instruments, including senior notes and Tier 2 capital instruments with certain qualifying criteria issued by NWB Plc, may be used to cover certain gone concern capital requirements which, is referred to as MREL. Gone concern refers to the situation in which resources must be available to enable an orderly resolution, in the event that the Bank of England (BoE) deems that NWB Plc has failed or is likely to fail. Liquidity Liquidity risk within NWB Plc is managed as part of the UK Domestic Liquidity Sub-Group (UK DoLSub), which is regulated by the PRA and comprises of NWH Group’s three licensed deposit taking UK banks: National Westminster Bank Plc, The Royal Bank of Scotland plc and Coutts & Company. NWH Group maintains a prudent approach to the definition of liquidity portfolio to ensure it is available when and where required, taking into account regulatory, legal and other constraints. Liquidity portfolio is divided into primary and secondary liquidity as follows:  Primary liquidity is LCR eligible assets and includes cash and balances at central banks, Treasury bills and high quality government securities.  Secondary liquidity is assets eligible as collateral for local central bank liquidity facilities. These assets include own- issued securitisations or loans that are retained on balance sheet and pre-positioned with a central bank so that they may be converted into additional sources of liquidity at very short notice. Funding Funding risk within NWB Plc is managed as part of the UK DoLSub allowing regulatory metrics and internally defined views to be met as a single consolidated group. NWB Plc maintains a diversified set of funding sources, including customer deposits, wholesale deposits and term debt issuance. NWB Plc also retains access to central bank funding facilities. For further details on capital constituents and the regulatory framework covering capital, liquidity and funding requirements, refer to the NatWest Holdings Group and NWB Plc Pillar 3 Reports 2024. Managing capital requirements: regulated entities In line with paragraph 135 of IAS 1 ‘Presentation of Financial Statements’, NWB Group manages capital having regard to regulatory requirements. Regulatory capital is monitored and reported on an individual regulated bank legal entity basis (‘bank entities’), as relevant in the jurisdiction for large subsidiaries of NatWest Group. NatWest Group itself is monitored and reported on a consolidated basis. Risk and capital management continued Capital, liquidity and funding risk continued NWB Group Annual Report and Accounts 2024 58 Capital risk management Capital management is the process by which the NWB Plc entities ensure that they have sufficient capital and other loss-absorbing instruments to operate effectively including meeting minimum regulatory requirements, operating within Board-approved risk appetite, maintaining credit ratings and supporting strategic goals. Capital management is critical in supporting the bank entities’ businesses and is also considered at NWB Plc level. It is enacted through a NatWest Group-wide end to end framework. Capital planning is integrated into NWB Plc’s wider annual budgeting process and is assessed and updated at least monthly. This is summarised below. Other elements of capital management, including risk appetite and stress testing, are set out on pages 14 and 15. Capital planning is one of the tools that NWB Plc uses to monitor and manage capital risk on a going and gone concern basis, including the risk of excessive leverage . Liquidity risk management NWH Group manages its liquidity risk taking into account regulatory, legal and other constraints to ensure sufficient liquidity is available where required to cover liquidity stresses. The size of the liquidity portfolio held in the UK DoLSub is determined by referencing NWH Group’s liquidity risk appetite. NWH Group retains a prudent approach to setting the composition of the liquidity portfolio, which is subject to internal policies and limits over quality of counterparty, maturity mix and currency mix. NWB Plc manages the majority of the UK DoLSub’s liquidity portfolio under the responsibility of the NatWest Group Treasurer. Funding risk management NWB Plc manages funding risk through a comprehensive framework which measures and monitors the funding risk on the balance sheet. The asset and liability types broadly match. Customer deposits provide more funding than customer loans utilise . Produce  Capital plans are produced for NWB Plc, its capital plans key operating entities and its businesses over a five year planning horizon under expected and stress conditions. Stressed capital plans are produced to support internal stress testing in the ICAAP for regulatory purposes.  Shorter term forecasts are developed frequently in response to actual performance, changes in internal and external business environment and to manage risks and opportunities. Assess  Capital plans are developed to maintain capital capital of sufficient quantity and quality to Adequacy support NWB Plc’s business, its subsidiaries and strategic plans over the planning horizon within approved risk appetite, as determined via stress testing, and minimum regulatory requirements.  Capital resources and capital requirements are assessed across a defined planning horizon.  Impact assessment captures input from across NWB Plc including from businesses. Inform capital  Capital planning informs potential capital actions actions including redemptions, dividends and new issuance.  Decisions on capital actions will be influenced by strategic and regulatory requirements, risk appetite, costs and prevailing market conditions.  As part of capital planning, NWB Plc will monitor its portfolio of issued capital securities and assess the optimal blend and most cost effective means of financing. Risk and capital management continued Capital, liquidity and funding risk continued NWB Group Annual Report and Accounts 2024 59 Key points CET1 ratio 11.4% (2023 - 11.6%) RWAs £124.5bn (2023 - £121.7bn) The CET1 ratio decreased by 20 basis points to 11.4%. The decrease in the CET1 ratio was due to a £2.8 billion increase in RWAs partially offset by a £0.1 billion increase in CET1 capital. The CET1 capital increase was mainly driven by an attributable profit in the period of £3.4 billion partially offset by:  interim dividend paid of £1.6 billion;  foreseeable dividend of £1.6 billion;  a decrease in the IFRS 9 transitional adjustment of £0.1 billion; and  other movements on reserves and regulatory adjustments of £0.1 billion. Total RWAs increased by £2.8 billion to £124.5 billion mainly reflecting:  an increase in credit risk RWAs of £1.2 billion, primarily driven by the £0.9 billion Metro Bank mortgage portfolio acquisition, increased lending and an uplift in IRB temporary model adjustment’s in Retail Banking and an increase in drawdowns and new facilities within Commercial & Institutional. Increases were partially offset by active RWA management and improved risk metrics.  an increase in operational risk RWAs of £1.6 billion following the annual recalculation. UK leverage ratio 4.4% (2023 - 4.5%) The leverage ratio decreased by 10 basis points to 4.4%. The decrease in the leverage ratio was driven by a £30.1 billion increase in leverage exposure partially offset by a £0.9 billion increase in Tier 1 capital. The key drivers in the leverage exposure were an increase in other financial assets and other off balance sheet items. (1) The liquidity disclosures completed at UK Domestic Liquidity Subgroup (UK DoLSub) level are published in the NatWest Holdings Group 2024 Annual Report and Accounts. The UK DoLSub waiver allows NWB Plc, RBS plc and Coutts & Co to manage liquidity as a single sub-group rather than at an entity level. Risk and capital management continued Capital, liquidity and funding risk continued NWB Group Annual Report and Accounts 2024 60 Minimum requirements Capital adequacy ratios NWB Plc is subject to minimum capital requirements relative to RWAs. The table below summarises the minimum Pillar 1 capital requirements and additional capital buffers that the entity is expected to have to meet. Type CET1 Total Tier 1 Total capital Minimum capital requirements 4.5% 6.0% 8.0% Capital conservation buffer 2.5% 2.5% 2.5% Countercyclical capital buffer (1) 1.8% 1.8% 1.8% Total (2) 8.8% 10.3% 12.3% (1) The UK countercyclical buffer (CCyB) rate is currently being maintained at 2%. This may vary in either direction in the future subject to how risks develop. Foreign exposure may be subject to different CCyB rates depending on the rate set in those jurisdictions. Leverage ratio The table below summarises the minimum ratios of capital to leverage exposure under the binding PRA UK leverage framework applicable for NWB Plc. Type CET1 Total Tier 1 Minimum ratio 2.44% 3.25% Countercyclical leverage ratio buffer (1) 0.6% 0.6% Total 3.04% 3.85% (1) The countercyclical leverage ratio buffer is set at 35% of NWB Plc’s CCyB. Liquidity and funding ratios The table below summarises the minimum requirements for key liquidity and funding metrics under the PRA framework. NWB Plc is a member of the UK DoLSub. Type Liquidity Coverage Ratio (LCR) 100% Net Stable Funding Ratio (NSFR) 100% Measurement Capital, RWAs and leverage (1) The table below sets out the key capital and leverage ratios on a PRA transitional basis in respect to ECL provisions. 2024 2023 Capital adequacy ratios % % CET1 (1) 11.4 11.6 Tier 1 13.9 13.4 Total 16.6 16.3 Capital £m £m CET1 (1) 14,181 14,082 Tier 1 17,258 16,360 Total 20,629 19,798 Risk-weighted assets Credit risk 107,922 106,696 Counterparty credit risk 606 713 Market risk 71 12 Operational risk 15,923 14,319 Total RWAs 124,522 121,740 Leverage Tier 1 capital (£m) 17,258 16,360 Leverage exposure (£m) (2) 390,032 359,897 Leverage ratio (%) (1) 4.4 4.5 (1) Includes an IFRS 9 transitional adjustment of £35 million (2023 - £0.2 billion). Excluding this adjustment, the CET1 ratio would be 11.4% (2023 – 11.4%) and the leverage ratio would be 4.4% (2023 – 4.5%). The IFRS 9 transitional capital rules in respect to ECL provisions will no longer apply from 1 January 2025. (2) Leverage exposure is broadly aligned to the accounting value of on and off-balance sheet exposures albeit subject to specific adjustments for derivatives, securities financing positions and off-balance sheet exposures. Risk and capital management continued Capital, liquidity and funding risk continued NWB Group Annual Report and Accounts 2024 61 Liquidity key metrics Liquidity within NWB Plc is managed and regulated as part of the UK DoLSub. The UK DoLSub level is published in the NatWest Holdings Group 2024 Annual Report and Accounts. Leverage exposure The leverage metrics for UK entities are calculated in accordance with the Leverage ratio (CRR) part of the PRA Rulebook. 2024 2023 Leverage £m £m Cash and balances at central banks 35,083 48,238 Derivatives 2,892 3,213 Financial assets 375,877 351,948 Other assets 8,023 8,350 Total assets 421,875 411,749 Derivatives - netting and variation margin (2,016) (3,212) - potential future exposures 1,612 1,537 Securities financing transactions gross up 1,179 383 Undrawn commitments 36,386 29,632 Regulatory deductions and other adjustments (3,074) (3,015) Exclusion of core UK-group exposure (29,951) (26,753) Claims on central banks (33,978) (47,297) Exclusion of bounce back loans (2,001) (3,127) Leverage exposure 390,032 359,897 Liquidity portfolio The UK DoLSub liquidity portfolio composition is published in the NatWest Holdings Group 2024 Annual Report and Accounts. Risk and capital management continued Capital, liquidity and funding risk continued NWB Group Annual Report and Accounts 2024 62 Funding sources (audited) 2024 2023 Short-term Long-term Short-term Long-term less than 1 more than 1 less than 1 more than 1 year year Total year year Total £m £m £m £m £m £m Bank deposits Repos 9,479 - 9,479 2,632 - 2,632 Other bank deposits 7,101 8,200 15,301 3,420 12,000 15,420 16,580 8,200 24,780 6,052 12,000 18,052 Customer deposits Repos 842 - 842 10,427 - 10,427 Personal 187,295 1,981 189,276 173,558 5,349 178,907 Corporate 107,185 43 107,228 107,046 22 107,068 Non-bank financial institutions 20,940 4 20,944 17,348 2 17,350 316,262 2,028 318,290 308,379 5,373 313,752 Other financial liabilities (1) Customer deposits including repos 250 - 250 Debt securities in issue Commercial papers and certificates of deposit 2,623 - 2,623 6,009 - 6,009 Covered bonds - 749 749 2,122 - 2,122 Securitisations 295 880 1,175 - 863 863 3,168 1,629 4,797 8,131 863 8,994 Subordinated liabilities 2 120 122 2 120 122 Amounts due to holding company and fellow subsidiaries (2) Bank and customer deposits 37,298 - 37,298 36,789 - 36,789 MREL 80 6,556 6,636 1,240 5,308 6,548 Subordinated liabilities 543 3,105 3,648 618 3,018 3,636 37,921 9,661 47,582 38,647 8,326 46,973 Total funding 373,933 21,638 395,571 361,211 26,682 387,893 Of which: available in resolution (3) 10,284 10,184 (1) Excludes settlement balances of nil (2023 – £4 million) and derivative cash collateral of £202 million (2023 – £13 million). (2) Amounts due to holding companies and fellow subsidiaries relating to non-financial instruments of £142 million (2023 - £279 million) have been excluded from the table. (3) Eligible liabilities (as defined in the Banking Act 2009 as amended from time to time) that meet the eligibility criteria set out in the regulations, rules, policies, guidelines, or statements of the Bank of England including the Statement of Policy published by the Bank of England in December 2021 (updating June 2018). Risk and capital management continued Capital, liquidity and funding risk continued NWB Group Annual Report and Accounts 2024 63 Contractual maturity (audited) The table shows the residual maturity of third party financial instruments, based on contractual date of maturity of NWB Group’s banking activities, including third party and intercompany hedging derivatives. Mandatory fair value through profit or loss (MFVTPL) assets and held-for-trading (HFT) liabilities have been excluded from the maturity analysis and are shown in total in the table below. Banking activities Less than 1 1-3 3-6 6 months 1-3 3-5 More than MFVTPL month months months -1 year Subtotal years years 5 years Total and HFT Total 2024 £m £m £m £m £m £m £m £m £m £m £m Cash and balances at central banks 35,095 - - - 35,095 - - - 35,095 - 35,095 Derivatives 9 29 75 80 193 126 34 6 359 2,515 2,874 Loans to banks - amortised cost 2,128 377 253 16 2,774 515 1 136 3,426 - 3,426 Loans to customers - amortised cost (1) 36,054 13,672 11,155 14,835 75,716 46,721 35,241 177,033 334,711 - 334,711 Personal 4,920 1,957 2,684 5,279 14,840 21,071 18,461 156,107 210,479 - 210,479 Corporate 14,861 3,369 2,866 6,183 27,279 24,214 16,280 20,045 87,818 - 87,818 Non-bank financial institutions 16,273 8,346 5,605 3,373 33,597 1,436 500 881 36,414 - 36,414 Other financial assets 2,370 2,640 1,221 4,536 10,767 10,870 8,822 8,578 39,037 534 39,571 Total financial assets 75,656 16,718 12,704 19,467 124,545 58,232 44,098 185,753 412,628 3,049 415,677 2023 Total financial assets 79,349 17,358 13,761 17,209 127,677 53,461 44,424 179,329 404,891 3,111 408,002 2024 Bank deposits excluding repos 3,300 - - 3,801 7,101 8,200 - - 15,301 - 15,301 Bank repos 9,479 - - - 9,479 - - - 9,479 - 9,479 Customer repos 842 - - - 842 - - - 842 - 842 Customer deposits excluding repos 278,072 11,439 12,072 13,837 315,420 2,015 13 - 317,448 - 317,448 Personal 164,831 4,175 6,128 12,161 187,295 1,980 1 - 189,276 - 189,276 Corporate 93,478 6,484 5,675 1,548 107,185 33 10 - 107,228 - 107,228 Non-bank financial institutions 19,763 780 269 128 20,940 2 2 - 20,944 - 20,944 Derivatives - 19 28 8 55 108 60 32 255 922 1,177 Other financial liabilities 693 928 975 572 3,168 7 749 873 4,797 202 4,999 CPs and CDs 693 928 975 27 2,623 - - - 2,623 - 2,623 Covered bonds - - - - - - 749 - 749 - 749 Securitisations - - - 295 295 7 - 873 1,175 - 1,175 Bank deposits - - - - - - - - - 168 168 Customer deposits including repos - - - 250 250 - - - 250 34 284 Settlement balances - - - - - - - - - - - Subordinated liabilities - - 2 - 2 - - 120 122 - 122 Notes in circulation 935 - - - 935 - - - 935 - 935 Lease liabilities 8 12 17 35 72 112 67 239 490 - 490 Total financial liabilities 293,329 12,398 13,094 18,253 337,074 10,442 889 1,264 349,669 1,124 350,793 2023 Total financial liabilities 283,487 11,358 15,714 12,935 323,494 9,739 8,799 615 342,647 1,327 343,974 (1) Loans to customers excludes £2,698 million (2023 - £2,794 million) of impairment provisions. Risk and capital management continued Capital, liquidity and funding risk continued NWB Group Annual Report and Accounts 2024 64 NWB Group categorises its assets into four broad groups, those that are: Encumbrance (audited)  Already encumbered and used to support funding currently in NWB Group evaluates the extent to which assets can be place through own-asset securitisations, covered bonds and financed in a secured form (encumbrance), but certain asset securities repurchase agreements. types lend themselves more readily to encumbrance. The typical  Pre-positioned with central banks as part of funding schemes characteristics that support encumbrance are an ability to pledge and those encumbered under such schemes. those assets to another counterparty or entity through operation  Ring-fenced to meet regulatory requirements, where NWB of law without necessarily requiring prior notification, Group has in place an operational continuity in resolution homogeneity, predictable and measurable cash flows, and a (OCIR) investment mandate wherein the PRA requires critical consistent and uniform underwriting and collection process. Retail service providers to hold segregated liquidity buffers covering assets including residential mortgages and credit card receivables at least 50% of their annual fixed overheads. display many of these features.  Unencumbered. In this category, NWB Group has in place an enablement programme which seeks to identify assets capable of being encumbered and to identify the actions to facilitate such encumbrance whilst not affecting customer relationships or servicing. Balance sheet encumbrance - third party Encumbered as a result of transactions with counterparties Unencumbered assets not pre-positioned other than central banks with central banks Collateral ring- fenced to meet Pre-positioned regulatory SFT, requirement Covered Derivatives & & encumbered fenced to meet Readily Other Cannot be Total bonds other Total assets held at regulatory available available used third (1) central banks requirement (2) (3) Total party 2024 £bn £bn £bn £bn £bn £bn £bn £bn £bn £bn Cash and balances at central banks - 2.5 2.5 - - 32.6 - - 32.6 35.1 Derivatives 2.9 2.9 2.9 Loans to banks - amortised cost - 0.1 0.1 - - 1.7 0.2 1.4 3.3 3.4 Loans to customers - amortised cost (5) 8.3 - 8.3 87.8 - 100.5 84.5 50.9 235.9 332.0 Other financial assets (6) - 9.5 9.5 - 1.8 26.4 0.2 1.7 28.3 39.6 Intangible assets 1.9 1.9 1.9 Other assets - - - - - - 2.2 3.5 5.7 5.7 Total assets 8.3 12.1 20.4 87.8 1.8 161.2 87.1 62.3 310.6 420.6 Amounts due from holding company and fellow subsidiaries 3.7 424.3 2023 Total assets 9.8 10.6 20.4 104.0 1.9 147.5 85.7 53.7 286.9 413.2 Amounts due from holding company and fellow subsidiaries 2.3 415.5 (1) Repos and other secured deposits, cash, coin and nostro balance held with the Bank of England as collateral against deposits and notes in circulation are included here rather than within those positioned at the central bank as they are part of normal banking operations. Securities financing transactions (SFT) include collateral given to secure derivative liabilities. (2) Other assets that are capable of being encumbered are those assets on the balance sheet that are available for funding and collateral purposes but are not readily realisable in their current form. These assets include loans that could be prepositioned with central banks but have not been subject to internal and external documentation review and diligence work. (3) Cannot be used includes: a. Derivatives, reverse repurchase agreements and trading related settlement balances. b. Non-financial assets such as intangibles, prepayments and deferred tax. c. Loans that are not encumbered and cannot be pre-positioned with central banks based on criteria set by the central banks, including those relating to date of origination and level of documentation. d. Non-recourse invoice financing balances and certain shipping loans whose terms and structure prohibit their use as collateral. (4) In accordance with market practice, NWB Group employs securities recognised on the balance sheet, and securities received under reverse repo transactions as collateral for repos. (5) The pre-positioned and encumbered assets held at central banks of £87.8 billion includes the encumbered residential mortgages of £19.0 billion. £88.0 billion of residential UK mortgages are included in £100.5 billion readily available loans to customers. (6) Other financial assets under SFT, derivatives and other include £0.5 billion of debt securities under the continuing control of NWB Plc. This follows the agreement between NWB Plc and the Group Pension Fund to establish a bankruptcy remote reservoir trust to hold these assets. Refer to Note 5 for additional information. Risk and capital management continued NWB Group Annual Report and Accounts 2024 65 Non-traded market risk Definition (audited) Non-traded market risk is the risk to the value of assets or liabilities outside the trading book, or the risk to income, that arises from changes in market prices such as interest rates, foreign exchange rates and equity prices, or from changes in managed rates. Sources of risk (audited) Non-traded market risk exists in all balance-sheet exposure that makes reference to market risk factors, when customer behaviour could impact the size and timing of the repricing or maturity of future cash flows, or when valuation of assets and liabilities is driven by market risk factors such as interest rates or foreign exchange rates. The key sources of NWB Group’s non-traded market risk are interest rate risk, credit spread risk and foreign exchange risk. Key developments in 2024  In the UK, the Bank of England base rate fell to 4.75% at 31 December 2024 from 5.25% at 31 December 2023 as inflation pressures eased. However, the five-year sterling overnight index interest rate swap rate rose to 4.04% at 31 December 2024 from 3.38% at 31 December 2023. The corresponding ten-year rate also rose to 4.09% from 3.29%. The movement in swap rates reflects market expectations about the level of the UK base rate in the medium term, with expectations for UK base rate being slightly higher at 31 December 2024 than at 31 December 2023.  Overall, non-traded market risk VaR decreased in 2024, on both an average and period-end basis. It was driven by a reduction in interest rate risk reflecting action taken to manage down interest rate repricing mismatches across customer products. Credit spread VaR increased significantly in H2 2023 and continued to rise on average into 2024 due to relatively stable higher bond holdings in the liquidity portfolio throughout 2024. Pipeline VaR increased on an average basis, reflecting small changes in the approach to mortgage pipeline risk management during the year which were complete by year-end.  NWB Group’s structural hedge notional fell to £146 billion at 31 December 2024 from £156 billion at 31 December 2023.  Overall, the sensitivity of net interest earnings increased year on year. The main contributors to the increase in sensitivity were higher volumes of managed-margin deposits and current accounts. Governance (audited) Responsibility for identifying, measuring, monitoring and controlling market risk arising from non-trading activities lies with the relevant business. Oversight is provided by the independent Risk function. Risk positions are reported regularly to the NatWest Holdings Executive Risk Committee and the NatWest Holdings Board Risk Committee, as well as to the NatWest Holdings Asset & Liability Management Committee. Market risk policy statements set out the governance and risk management framework. Risk appetite NWB Group’s qualitative appetite is set out in the non-traded market risk appetite statement. Its quantitative appetite is expressed in terms of exposure limits. NWB Group’s limit framework comprises value-at-risk (VaR), stressed value-at-risk (SVaR), sensitivities and earnings-at-risk limits. The limits are reviewed to reflect changes in risk appetite, business plans, portfolio composition and the market and economic environments. To ensure approved limits are not breached and that NWB Group remains within its risk appetite, triggers have been set such that if exposures exceed a specified level, action plans are developed and implemented. The risk appetite statements and associated measures are reviewed at least annually by the relevant legal entity board on the relevant board risk committee’s recommendation to ensure they remain appropriate and aligned to strategy. For further information on risk appetite and risk controls, refer to pages 14 and 15. Measurement Non-traded internal VaR (1-day 99%) The following table shows one-day internal banking book VaR at a 99% confidence level, split by risk type. VaR values for each year are calculated based on one-day values for each of the 12 month-end reporting dates. VaR metrics are explained on page 66. Each of the key risk types are discussed in greater detail in their individual sub-sections following this table. 2024 2023 Average Maximum Minimum Period end Average Maximum Minimum Period end £m £m £m £m £m £m £m £m Interest rate 18.5 29.7 4.3 4.3 39.6 66.5 26.7 26.7 Credit spread 43.9 47.9 39.9 43.2 27.8 45.9 17.8 45.9 Structural foreign exchange risk 16.5 22.7 11.6 11.6 24.6 26.0 22.1 22.1 Equity 2.5 4.2 0.1 0.9 0.1 0.2 0.1 0.1 Pipeline risk (1) 7.9 15.0 3.6 4.4 3.1 6.5 1.6 6.5 Diversification (2) (35.3) (18.1) (35.6) (30.5) Total 54.0 68.6 44.5 46.3 59.6 83.5 45.7 70.8 (1) Pipeline risk is the risk of loss arising from personal customers owning an option to draw down a loan – typically a mortgage – at a committed rate, where interest rate changes may result in greater or fewer customers than anticipated taking up the committed offer. (2) NWB Group benefits from diversification across various financial instrument types, currencies and markets. The extent of the diversification benefit depends on the correlation between the assets and risk factors in the portfolio at a particular time. The diversification factor is the sum of the VaR on individual risk types less the total portfolio VaR.  For VaR commentary, refer to Key developments in 2024 above. Risk and capital management continued Non-traded market risk continued NWB Group Annual Report and Accounts 2024 66 Interest rate risk Non-traded interest rate risk (NTIRR) arises from the provision to customers of a range of banking products with differing interest rate characteristics. When aggregated, these products form portfolios of assets and liabilities with varying degrees of sensitivity to changes in market interest rates. Mismatches can give rise to volatility in net interest income as interest rates vary. NTIRR comprises the following three primary risk types:  Gap risk – arises from the timing of rate changes in non- trading book instruments. The extent of gap risk depends on whether changes to the term structure of interest rates occur consistently across the yield curve (parallel risk) or differentially by period (non-parallel risk).  Basis risk – captures the impact of relative changes in interest rates for financial instruments that have similar tenors but are priced using different interest rate indices, or on the same interest rate indices but with different tenors.  Option risk – arises from option derivative positions or from optional elements embedded in assets, liabilities and/or off- balance sheet items, where NWB Group or its customer can alter the level and timing of their cash flows. Option risk also includes pipeline risk. To manage exposures within its risk appetite, NWB Group aggregates its interest rate positions and hedges its residual exposure, primarily with interest rate swaps. Structural hedging aims to reduce gap risk and the sensitivity of earnings to interest rate shocks. It also provides some protection against prolonged periods of falling rates. Structural hedging is explained in greater detail below, followed by information on how NWB Group measures NTIRR from both an economic value-based and an earnings-based perspective. Structural hedging NWB Group has a significant pool of stable, non and low interest- bearing liabilities, principally comprising current accounts and savings, in addition to its equity and reserves. A proportion of these balances are hedged, either by offsetting the positions against fixed-rate assets (such as fixed-rate mortgages) or by hedging positions externally using interest rate swaps, which are generally booked as cash-flow hedges of floating-rate assets, in order to reduce income volatility and provide a revenue stream in net interest income. Hence, the structural hedge is one component of a larger interest rate risk management programme. At 31 December 2024, NWB Group’s structural hedge had a notional of £146 billion (compared to £156 billion at 31 December 2023) with an average life of 2.5 to 3 years. Interest rate risk measurement NTIRR can be measured from either an economic value-based or earnings-based perspective, or a combination of the two. Value- based approaches measure the change in value of the balance sheet assets and liabilities including all cash flows. Earnings-based approaches measure the potential impact on the income statement of changes in interest rates over a defined horizon, generally one to three years. NWB Group uses VaR as its value-based approach and sensitivity of net interest earnings as its earnings-based approach. These two approaches provide complementary views of the impact of interest rate risk on the balance sheet at a point in time. The scenarios employed in the net interest earnings sensitivity approach may incorporate assumptions about how NWB Group and its customers will respond to a change in the level of interest rates. In contrast, the VaR approach measures the sensitivity of the balance sheet at a point in time. Capturing all cash flows, VaR also highlights the impact of duration and repricing risks beyond the one-to-three-year period shown in earnings sensitivity calculations . Value-at-risk VaR is a statistical estimate of the potential change in the market value of a portfolio (and, thus, the impact on the income statement) over a specified time horizon at a given confidence level. NWB Group’s standard VaR metrics – which assume a time horizon of one trading day and a confidence level of 99% – are based on interest rate repricing gaps at the reporting date. Daily rate moves are modelled using observations from the last 500 business days. These incorporate customer products plus associated funding and hedging transactions as well as non- financial assets and liabilities. Behavioural assumptions are applied as appropriate. The non-traded interest rate risk VaR metrics for NWB Group’s retail and commercial banking activities are included in the banking book VaR table above. The VaR captures the risk resulting from mismatches in the repricing dates of assets and liabilities. It also includes any mismatch between the maturity profile of external hedges and NWB Group’s target maturity profile for the hedge. Sensitivity of net interest earnings Net interest earnings are sensitive to changes in the level of interest rates, mainly because maturing structural hedges are replaced at higher or lower rates and changes to coupons on managed rate customer products do not always match changes in market rates of interest or central bank policy rates. Earnings sensitivity is derived from a market-implied forward rate curve, which will incorporate expected changes in central bank policy rates such as the Bank of England base rate. A simple scenario is shown that projects forward earnings over a 12-month period based on the 31 December 2024 balance sheet. An earnings projection is derived from the market-implied rate, which is then subjected to interest rate shocks. The difference between the market-implied projection and the shock gives an indication of underlying sensitivity to interest rate movements. Risk and capital management continued Non-traded market risk continued NWB Group Annual Report and Accounts 2024 67 The sensitivity of net interest earnings table below shows the expected impact of immediate upward or downward changes of 25 basis points and 100 basis points to all interest rates. Reported sensitivities should not be considered a forecast of future performance in these rate scenarios. Actions that could reduce interest earnings sensitivity include changes in pricing strategies on customer loans and deposits as well as hedging. Management action may also be taken to stabilise total income also taking into account non-interest income. 2024 2023 +25 basis -25 basis +100 basis -100 basis +25 basis -25 basis +100 basis -100 basis points points points points points points points points Shifts in yield curve £m £m £m £m £m £m £m £m 12-month interest earnings sensitivity 117 (138) 465 (578) 116 (118) 439 (491) (1) Earnings sensitivity considers only the main drivers, namely structural hedging and margin management.  The overall sensitivity of net interest income earnings in all scenarios mainly reflects managed-margin deposits and the impact of higher or lower rates on structural hedge income. Sensitivity of fair value through other comprehensive income (FVOCI) portfolios and cash flow hedging reserves to interest rate movements. NWB Group holds most of the bonds in its liquidity portfolio at fair value and the bonds are generally classified as FVOCI for accounting purposes Valuation changes arising from unexpected movements in market rates are initially recognised in FVOCI reserves. Interest rate swaps are used to implement the structural hedging programme and also hedging of some personal and commercial lending portfolios, primarily fixed-rate mortgages. Generally, these swaps are booked in cash flow hedge accounting relationships. Changes in the valuation of swaps that are in effective cash flow hedge accounting relationships are recognised in cash flow hedge reserves. The table below shows the sensitivity of bonds initially classified as FVOCI and swaps subject to cash flow hedge accounting to a parallel shift in all rates. Valuation changes affecting interest rate swaps that hedge bonds in the liquidity portfolio are also included. Where FVOCI bonds and swaps are booked in fair value hedge accounting relationships, the valuation change affecting both instruments would be recognised in the income statement. Cash flow hedges are assumed to be fully effective. The effectiveness of cash flow and fair value hedge relationships is monitored and regularly tested in accordance with IFRS requirements. Note also that valuation changes affecting the cash flow hedge reserve affect tangible net asset value, but would not be expected to affect CET1 capital. The movement in cash flow hedge reserves in 2024 is shown in the statement of changes in equity on page 100. 2024 2023 +25 -25 +100 -100 +25 -25 +100 -100 basis basis basis basis basis basis basis basis points points points points points points points points Parallel shifts in yield curve £m £m £m £m £m £m £m £m FVOCI reserves (6) 6 (26) 20 - - (4) (6) Cash flow hedge reserves (20) 22 (68) 98 9 (9) 38 (32) Total (26) 28 (94) 118 9 (9) 34 (38) Risk and capital management continued Non-traded market risk continued NWB Group Annual Report and Accounts 2024 68 Credit spread risk Credit spread risk arises from the potential adverse economic impact of a change in the spread between bond yields and swap rates, where the bond portfolios are accounted at fair value through other comprehensive income. NWB Group’s bond portfolios primarily comprise high-quality securities maintained as a liquidity buffer to ensure it can continue to meet its obligations in the event that access to wholesale funding markets is restricted. Additionally, other high-quality bond portfolios are held for collateral purposes and to support payment systems. Credit spread risk is monitored daily through sensitivities and VaR measures. The dealing authorities in place for the bond portfolios further mitigate the risk by imposing constraints by duration, asset class and credit rating. Exposures and limit utilisations are reported to senior management on a regular basis. Foreign exchange risk Non-traded foreign exchange risk arises from three main sources:  Structural foreign exchange rate risk – arises from the capital deployed in foreign subsidiaries, branches and joint arrangements and related currency funding where it differs from sterling.  Non-trading book foreign exchange rate risk – arises from customer transactions and profits and losses that are in a currency other than the functional currency.  Forecast earnings or costs in foreign currencies – NWB Group hedges forward some forecast foreign currency expenses. Structural foreign exchange exposures arise from investments in foreign subsidiaries, branches and associates and their related currency funding. These exposures are assessed and managed to predefined risk appetite levels under delegated authority agreed by the CFO with support from the Asset & Liability Management Committee. NatWest Group seeks to limit the potential volatility impact on its CET1 ratio from exchange rate movements by maintaining a structural open currency position. Gains or losses arising from the retranslation of net investments in overseas operations are recognised in equity reserves and reduce the sensitivity of capital ratios to foreign exchange rate movements primarily arising from the retranslation of non-sterling denominated RWAs. Sensitivity is minimised where, for a given currency, the ratio of the structural open position to RWAs equals the CET1 ratio. The sensitivity of the NatWest Group ratio to exchange rates is monitored monthly and reported to the Asset & Liability Management Committee at least quarterly. NWB Plc also monitors the sensitivity of its CET1 ratio to exchange rate movements against a risk limit monthly. Foreign exchange exposures arising from customer transactions are sold down by businesses on a regular basis in line with NatWest Group policy. Foreign exchange risk The table below shows structural foreign currency exposures. 2024 2023 Net investments Structural foreign Net investments Structural foreign in foreign Net investment currency in foreign Net investment currency operations hedges exposures operations hedges exposures £m £m £m £m £m £m Euro 708 (444) 264 737 (487) 250 Other non-sterling 380 (139) 241 417 (145) 272 Total 1,088 (583) 505 1,154 (632) 522 . Risk and capital management continued NWB Group Annual Report and Accounts 2024 69 Pension risk Definition Pension risk is defined as the inability to meet contractual obligations and other liabilities to the established employee or related company pension scheme. Sources of risk NWB Group has exposure to pension risk through its defined benefit schemes worldwide. The Main section of The NatWest Group Pension Fund (the Main section) is the largest source of pension risk as NatWest Bank Plc is the principal employer to the Main section with £29.5 billion of assets and £24.5 billion of liabilities at 31 December 2024 (2023 – £33.6 billion of assets and £26.5 billion of liabilities). Refer to Note 5 to the consolidated financial statements, for further details on NWB Group’s pension obligations, including sensitivities to the main risk factors. Pension scheme liabilities vary with changes in long-term interest rates and inflation as well as with pensionable salaries, the longevity of scheme members and legislation. During 2024, the Trustee of NWB Group’s largest scheme (the Main section of the NatWest Group Pension Fund) completed buy- in transactions with a third-party insurer (buy-in asset valued at £8.0 billion under IAS 19, covering around a third of the defined benefit obligation attributable to the Main section). Under the buy- in insurance contracts, the insurer makes payments to the scheme to cover pension benefits paid to members. As a result, the insured portion of the scheme is protected against all material longevity and investment risks. These risks have been replaced with the risk that the insurer defaults on payments due to the scheme. The uninsured scheme assets continue to vary with changes in interest rates, inflation expectations, credit spreads, exchange rates, and equity and property prices. NWB Group is therefore still exposed to the risk that the schemes’ assets, together with future returns and additional future contributions, are estimated to be insufficient to meet liabilities as they fall due. In such circumstances, NWB Group could be obliged (or might choose) to make additional contributions to the schemes or be required to hold additional capital to mitigate this risk. During 2024, the Court of Appeal upheld the initial High Court ruling in respect of Virgin Media v NTL Pension Trustees II Limited (and others), calling into question the validity of rule amendments made to defined benefit pension schemes contracted-out on a Reference Scheme Test basis between 6 April 1997 and 5 April 2016. Amendments to these pension schemes over this time required confirmation from the Scheme Actuary that the Reference Scheme Test would continue to be met. In the absence of such a confirmation, the Rule amendment would be void. There were no other developments on this matter as further disclosed in Note 5 to the consolidated financial statements since last year and it will be kept under review. Key developments in 2024  As mentioned previously, during the year, the Trustee of the Main section of the NatWest Group Pension Fund completed partial buy-in transactions, passing longevity and investment risk for the insured portion of the scheme to an insurer.  The 31 December 2023 triennial valuation for the Main section was completed during 2024 with no requirement for any deficit contributions. Given the strong funding level, it was also agreed that employer future service contributions would cease from 1 January 2025. Contributions in respect of administrative expenses will continue. Governance Chaired by the Chief Financial Officer, the NatWest Group Asset & Liability Management Committee is a key component of NatWest Group’s approach to managing pension risk. It considers the pension impact of the capital plan for NatWest Group and reviews the performance of NatWest Group’s material pension funds (including those sponsored by NWB Group) and other issues material to NatWest Group’s pension strategy. It also considers investment strategy proposals from the Trustee of the Main section. The NatWest Group Board reviews and as appropriate approves any material pension strategy proposals. Risk appetite Pension risk appetite is approved by the Board. NWB Group maintains an independent view of the risk inherent in its pension funds. NWB Group has a pension risk appetite statement incorporating defined metrics against which risk is measured that is reviewed at least annually by the Board on the Board Risk Committee’s recommendation to ensure they remain appropriate and aligned to strategy. Policies and standards are in place to provide formal controls for pension risk reporting, modelling, governance and stress testing. A pension risk policy, which sits within the enterprise-wide risk management framework, is also in place and is subject to associated framework controls. Performance against risk appetite is reported regularly to the Executive Risk Committee, the Board Risk Committee, and the Board. Relevant pension risk matters are escalated through the Executive Risk Committee, Asset & Liability Management Committee and Board Risk Committee as appropriate and to the Board as applicable. Monitoring and measurement Pension risk is monitored by the NWH Group Executive Risk Committee and the NatWest Group Board Risk Committee, whilst the NatWest Group Asset & Liability Management Committee receives updates on the performance of NatWest Group’s material pension funds. Relevant pension risk matters are escalated to the Board as applicable. NatWest Group also undertakes stress tests on its material defined benefit pension schemes each year. These tests are also used to satisfy the requests of regulatory bodies such as the Bank of England. The stress testing framework includes pension risk capital calculations for the purposes of the Internal Capital Adequacy Assessment Process as well as additional stress tests for a number of internal management purposes. The results of the stress tests and their consequential impact on NWB Group’s balance sheet, income statement and capital position are incorporated into NWB Group’s and the overall NatWest Group stress test results. NatWest Bank Plc (a subsidiary of NatWest Group) is the principal employer of the Main section and could be required to fund any deficit that arises. The financial strength of the third-party insurer is monitored on a periodic basis by the Trustee and NatWest Group. Mitigation The Main section is now well protected against interest rate and inflation risks following risk mitigation measures taken by the Trustee in recent years. This includes buy-in transactions completed during 2024, resulting in a low investment risk for the scheme. If, in an extreme scenario, the insurer was unable to make payments due to the scheme under the buy-in insurance contracts, NWB Group would continue to be responsible for financially supporting the scheme to meet pension benefits. However, there are strong mitigations in place against this risk, in particular the insurance regulatory regime. Risk and capital management continued NWB Group Annual Report and Accounts 2024 70 Pension risk continued The potential impact of climate change is one of the factors considered in managing the assets of the Main section. The Trustee monitors the risk to its investments from changes in the global economy and invests, where return justifies the risk, in sectors that reduce the world’s reliance on fossil fuels, or that may otherwise promote environmental benefits. Further details regarding the Main section Trustee’s approach to managing climate change risk can be found in its Responsible Ownership Policy, its net zero commitment and its climate disclosures produced on an annual basis, as required by The Occupational Pension Schemes (Climate Change Governance and Reporting) Regulations 2021. Compliance and conduct risk Definition Compliance risk is the risk that NWB Group fails to observe the letter and spirit of all relevant laws, codes, rules, regulations and standards of good market practice. Conduct risk is the risk of inappropriate behaviour towards customers, or in the markets in which NWB Group operates, which leads to poor or inappropriate customer outcomes. The consequences of failing to meet compliance and/or conduct responsibilities can be significant and could result, for example, in legal action, regulatory enforcement, material financial loss and/or reputational damage. Sources of risk Compliance and conduct risks exist across all stages of NWB Group’s relationships with its customers and arise from a variety of activities including product design, marketing and sales, complaint handling, staff training, and handling of confidential inside information. As set out in Note 25 to the financial statements, members of NatWest Group are party to legal proceedings and are subject to investigation and other regulatory action in the UK, the US and other jurisdictions. Key developments in 2024  Further enhancements were made to the compliance and conduct framework, with the risk toolkits, risk standards and regulatory compliance operational policy framework being embedded throughout the year. Business areas also completed self-assessments against the Conduct Risk policy and Regulatory Compliance Risk policy to ensure risks are being measured and managed accurately and effectively.  The NatWest Group-wide programme continued to make significant progress, with the second phase of Consumer Duty rules having come into force on 31 July 2024. Activity is now centred around embedding the requirements of the Duty, utilising improved data and analysis for reporting on good customer outcomes, and ensuring a consistent NatWest Group-wide approach to customer communications.  The FCA Access To Cash Sourcebook (ATCS) was published in July 2024, with an implementation date of 18 September 2024. Following its publication, the branch closure programme paused its ongoing closures to conduct a comprehensive assessment of cash access services in any affected local areas. This included notifying impacted customers and, where necessary, completing additional actions before the closures took effect. Future proposed closures will be evaluated in accordance with ATCS requirements. Governance NWB Group defines appropriate standards of compliance and conduct and ensures adherence to those standards through its risk management framework. To support ongoing oversight of the management of the compliance and conduct risk profile, there are a number of committees in place. These include a Consumer Duty Executive Steering Group and conflicts of interest fora across both the first and second lines of defence. Relevant compliance and conduct matters are escalated through the Executive Risk Committee and Board Risk Committee and to the Board as applicable. Risk appetite Regulatory compliance risk appetite and conduct risk appetite are approved by the Board. The risk appetite statement and associated measures for compliance and conduct risks are approved at least annually by the Board on the Board Risk Committee’s recommendation to ensure they remain appropriate and aligned to strategy. Risk appetite statements articulate the levels of risk that legal entities, businesses and functions work within when pursuing their strategic objectives and business plans. A range of controls is operated to ensure the business delivers good customer outcomes and is conducted in accordance with legal and regulatory requirements. A suite of risk policies, risk standards and regulatory compliance operational policies addressing compliance and conduct risks set appropriate standards across NWB Group. Examples of these include those relating to product mis-selling, customers in vulnerable situations, complaints management, cross-border activities and market abuse. Continuous monitoring and targeted assurance are carried out as appropriate. Performance against risk appetite is reported regularly to the Executive Risk Committee, the Board Risk Committee, and the Board. Relevant compliance and conduct risk matters are escalated through the Executive Risk Committee and Board Risk Committee and to the Board as applicable. Monitoring and measurement Compliance and conduct risks are measured and managed through continuous assessment and regular reporting to NWB Group’s senior risk committees and at Board level. The compliance and conduct risk framework facilitates the consistent monitoring and measurement of compliance with laws and regulations and the delivery of consistently good customer outcomes. The first line of defence is responsible for effective risk identification, reporting and monitoring, with oversight, challenge and review by the second line. Compliance and conduct risk management is also integrated into NWB Group’s strategic planning cycle. Mitigation Activity to mitigate the most material compliance and conduct risks is carried out across NWB Group with specific areas of focus in the customer-facing businesses and legal entities. Examples of mitigation include consideration of customer needs in business and product planning, targeted training, conflicts of interest management, market conduct surveillance, complaints management, mapping of priority regulatory requirements and independent monitoring activity. Internal policies help support a strong customer focus across NWB Group. Risk and capital management continued NWB Group Annual Report and Accounts 2024 71 Financial crime risk Definition Financial crime risk is the risk that NWB Group's products, services, employees and/or third parties are intentionally or unintentionally used to facilitate financial crime in the form of money laundering, terrorist financing, bribery and corruption, sanctions and tax evasion, as well as external or internal fraud. Sources of risk Financial crime risk may be present if NWB Group’s customers, employees or third parties undertake or facilitate financial crime, or if NWB Group’s products or services are used intentionally or unintentionally to facilitate such crime. Financial crime risk is an inherent risk across all lines of business. Key developments in 2024  Continued significant investment was made to support the delivery of a multi-year transformation plan across financial crime risk management.  Enhancements were made to technology, data quality, and data analytics to improve the effectiveness of systems used to monitor customers and transactions.  Financial crime roadshows and events were held throughout the year to further embed financial crime risk management culture and behaviours.  There was active participation in public/private partnerships including the Joint Money Laundering Intelligence Taskforce and Data Fusion. In 2024, NatWest Group (together with seven other UK Banks) shared datasets with the National Crime Agency (NCA) and seconded staff to the NCA to form a joint public/private intelligence team to work on the resulting risks identified, for reporting to law enforcement. This is a joint project, governed equally by the banks and the NCA, that has directly advanced high priority organised crime investigations and identified new criminal networks exploiting the UK’s financial system. Governance The Financial Crime Executive Steering Group, which is jointly chaired by the NatWest Group Chief Risk Officer and the Group Chief Information Officer, is the core governance committee for financial crime risk (excluding fraud). It oversees financial crime risk management, operational performance, and transformation matters including decision-making and escalations to the Executive Risk Committee, Board Risk Committee and NatWest Group Executive Committee. The Fraud Executive Steering Group, which is chaired by the Chief Information Officer, is the core governance committee for fraud. It oversees fraud risk management, operational performance, and investment matters including decision-making and escalations to relevant senior committees. Risk appetite The risk appetite statements and associated measures for financial crime risks are reviewed and approved at least annually by the relevant legal entity board on the relevant board risk committee’s recommendation to ensure they remain appropriate and aligned to strategy. There is no appetite to operate in an environment where systems and controls do not enable the effective identification, assessment, monitoring, management and mitigation of financial crime risk. NWB Group’s systems and controls must be comprehensive and proportionate to the nature, scale and complexity of its businesses. NWB Group operates a framework with preventative and detective controls designed to mitigate the risk that it could facilitate financial crime. These controls are supported by a suite of policies, procedures and guidance to ensure they operate effectively. Performance against risk appetite is reported regularly to the Executive Risk Committee, the Board Risk Committee, and the Board. Relevant financial crime risk matters are escalated through the Executive Risk Committee and Board Risk Committee and to the Board as applicable. Monitoring and measurement Financial crime risks are identified and reported through continuous risk management and regular reporting to NWB Group’s senior risk committees and the NatWest Group Board Risk Committee. Quantitative and qualitative data is reviewed and assessed to measure whether financial crime risk is within risk appetite. Mitigation Through the financial crime framework, relevant policies, systems, processes and controls are used to mitigate and manage financial crime risk. This includes the use of dedicated screening and monitoring systems and controls to identify people, organisations, transactions and behaviours that may require further investigation or other actions. Centralised expertise is available to detect and disrupt threats to NWB Group and its customers. Intelligence is shared with law enforcement, regulators and government bodies to strengthen national and international defences against those who would misuse the financial system for criminal motives . Climate and nature risk Definition Climate and nature risk is the threat of financial loss or adverse non-financial impacts associated with climate change and nature loss respectively and the political, economic and environmental responses to it. Sources of risk Physical risks may arise from climate events such as heatwaves, droughts, floods, storms and nature-related events such as land or air pollution. They can potentially result in financial losses, impairing asset values and the creditworthiness of borrowers. NatWest Group could be exposed to physical risks directly by the effects on its property portfolio and, indirectly, by the impacts on the wider economy as well as on the property, business interests and supply chains of its customers. Transition risks may arise from the process of adjustment towards a low-carbon, nature restored economy. Changes in policy, technology and sentiment could prompt reassessment of customers’ financial risk and may lead to falls in the value of a large range of assets. NatWest Group could be exposed to transition risks directly through the costs of adaptation of its own operations as well as supply chain disruption leading to financial impacts. Potential indirect effects include the impact on the wider economy, including on customers, which may erode NatWest Group’s competitiveness and profitability, as well as threaten reputational damage. Liability risks may arise should stakeholders consider NatWest Group’s climate and nature risk management practices and disclosures insufficient, and responsible for or attributable to, stakeholders’ losses. On the other hand, liability risks may also arise where some jurisdictions believe financial institutions have taken their sustainability-related initiatives too far, with some imposing sanctions in these circumstances. Risk and capital management continued NWB Group Annual Report and Accounts 2024 72 Climate and nature risk continued As climate and nature risk is both a principal risk within NatWest Group’s EWRMF, and a cross cutting risk, which impacts other principal risks, NatWest Group periodically refreshes its assessment of the relative impact of climate-related risk factors to other principal risks, where NatWest Group’s exposure to a principal risk could be taken outside of appetite due to climate-related risk factors. In identifying climate-related risks and opportunities to NatWest Group, the period in which each is likely to occur, was assessed. Risks and opportunities deemed material to the five-year financial planning cycle were viewed as short-term. Aligned with the guidance of the Science Based Targets initiative for financial institutions, long-term was defined as beyond 15 years, while medium-term was defined as within the next five to 15 years (1) . (1) NatWest Group’s climate transition planning uses different time frames than those used in financial reporting. Accordingly, the references to ‘short’, ‘medium’ and ‘long-term’ in climate reporting are not indicative of the meaning of similar terms used in NatWest Group’s other disclosures. The outcome of the latest assessment of the relative impact of climate-related risk factors to other principal risks is included in the table that follows. All principal risks in the table were identified as potentially impacted by climate risk, over short, medium and long- term time horizons. Identification and Risk type Risks to NatWest Group Drivers assessment Credit risk From the adverse impact on future credit worthiness Physical: acute, chronic (1) Scenario analysis of customers due to climate change risk factors impacting asset valuation, income and costs, for Transition: government policy Portfolio level example, from increased flooding events. Mitigants and legislation, market, assessments include the use of operational limits in the residential technology, reputation mortgage portfolio (refer to page 60 of the NatWest Group plc 2024 Sustainability Report) and the inclusion Transaction level of climate considerations in sector strategy within the assessments commercial portfolio. Compliance Due to the need for NatWest Group to ‘observe the Physical: acute, chronic (1) Transaction level risk letter and spirit’ of all applicable laws and regulations assessments relating to climate. Mitigants include the introduction of Transition: government policy an environmental, social and governance regulatory and legislation, market, compliance operational policy to give guidance on technology, reputation relevant regulatory expectations. Liability: greenwashing Conduct risk Due to poor customer outcomes arising from the Transition: government policy Scenario analysis impacts of climate change including changes to and legislation, market, financial stability or general wellbeing, which will either technology, reputation be supported or exacerbated by NatWest Group’s Transaction level conduct. Mitigants include additional checks on assessments sustainability claims and applying product flaw controls. Liability: greenwashing Operational Due to the increased likelihood and potential impact of Physical: acute, chronic (1) Scenario analysis risk business disruption or arising from new and changing policy standards. Mitigants include resilience and Transition: government policy Transaction level disclosure controls. and legislation, market, assessments technology, reputation Reputational Due to the risk of damage to NatWest Group’s Transition: government policy Portfolio level risk reputation arising from perceived impact on climate and legislation, market, assessments change or adequacy of actions taken in response technology, reputation when compared against ambitions and progress made by peers. Mitigants include the environmental, social Transaction level and ethical risk framework. Liability: greenwashing assessments (1) Acute - event-driven such as increased severity of extreme weather events (for example, storms, droughts, floods, and fires) or water, land or air pollution. Chronic – longer-term shifts in precipitation and temperature and increased variability in weather patterns (for example, sea level rise) or biodiversity loss. Risk and capital management continued NWB Group Annual Report and Accounts 2024 73 Climate and nature risk continued Key developments in 2024 The effective management of climate and nature risk requires the full integration of climate-related risk factors into strategic planning, transactions and decision-making. The approach has evolved since 2021 alongside NatWest Group’s ongoing, multi- year progressive pathway to mature climate risk management capabilities, and in 2024:  NatWest Group continued to enhance its in-house climate risk modelling capabilities, supporting the integration of climate risk within its capital adequacy (ICAAP), impairment (IFRS 9) and risk management processes.  NatWest Group partnered with climate experts from the University of Exeter to create bespoke climate risk scenario narratives that explore the range of physical and transition risks which could impact NatWest Group and its customers over the next five to ten years. These narratives are being used to inform the scenarios used by NatWest Group for a range of processes, as well as to enhance the overall understanding of the scale and complexity of near-term climate risks. Further details of the outcomes of NatWest Group’s latest climate-related scenario analysis can be found in the NatWest Group plc 2024 Sustainability Report.  NatWest Group began to roll-out Climate Decisioning Framework (CDF) tools. These comprise climate risk scorecards and climate transition plan assessment tools. The roll-out was completed on a test and learn basis and the scorecard outputs do not drive credit risk decision-making as yet.  In January 2024, the scope of the climate risk policy was expanded to recognise nature-related risks beyond climate change. NatWest Group’s capability to manage climate risks is more mature than its capability to manage nature-related risks.  Building on activity in 2023, NatWest Group enhanced its understanding of nature risks by completing a pilot Locate, Evaluate, Assess and Prepare (LEAP) assessment as recommended by the Taskforce on Nature-related Financial Disclosures. The pilot focused on a deep dive of three sectors in the Non-Personal portfolio. Governance The NatWest Group Board is responsible for monitoring and overseeing climate-related risk within NatWest Group’s overall business strategy and risk appetite. Risk appetite statements and associated measures are reviewed and approved at least annually by the relevant legal entity board on the relevant board risk committee’s recommendation to ensure they remain appropriate and aligned to strategy. The Chief Risk Officer shares accountability with the Chief Executive Officer under the Senior Managers Regime for identifying and managing the financial risks arising from climate change. This includes ensuring that the financial risks from climate change are adequately reflected in risk management frameworks and policies, and that NatWest Group can identify, measure, monitor, manage and report on its exposure to these risks. During 2024, the Group Executive Committee provided oversight of the latest iteration of NatWest Group’s climate transition plan, progression in establishing partnerships and opportunities including oversight of progress against the NatWest Group climate and sustainable funding and financing target and ensuring the effective management of climate-related risks. Work continued in 2024 to mature NatWest Group’s climate-related risk management capabilities. The Group Executive Committee will continue to supervise strategic implementation and delivery, supported by the Climate Centre of Excellence, segments and functions. Risk appetite Performance against risk appetite is reported regularly to the Group Executive Risk Committee, the Group Board Risk Committee, and the Group Board. Relevant climate and nature risk matters are escalated through the Executive Risk Committee and Board Risk Committee and to the Board as applicable. These risk appetite measures alongside additional segment- specific risk measures were used to inform climate risk reporting to senior risk management forums, linking risk management policies to NatWest Group’s strategic priorities. Monitoring and measurement NatWest Group continues to enhance its processes to effectively measure the potential size and scope of climate-related risks, through the three approaches detailed below. The approach to nature-related risks is not as mature as the approach to climate- related risks with the completion of the LEAP pilot being the first step in identifying and assessing nature-related risks. Scenario analysis NatWest Group focused on continuing to develop the capabilities to use scenario analysis to identify the most material climate risks for its customers, seeking to harness insights to inform risk management practices and support decision making. Scenario analysis allows NatWest Group to test a range of possible future climate pathways and understand the nature and magnitude of the risks they present. The purpose of scenario analysis is not to forecast the future but to understand and prepare to manage risks that could arise. NatWest Group recognises a number of potential key use cases for climate scenario analysis, including, but not restricted to, the following:  Regulatory stress testing requirements.  Portfolio management.  Strategic decision-making, capital adequacy and provisioning. There are various challenges with climate scenario analysis, including in relation to the immaturity of modelling techniques (for example, not picking up tipping points such as the slow down/potential collapse of the Atlantic meridional overturning circulation (AMOC)) and limitations surrounding data on climate- related risks. In addition, there is significant uncertainty as to how the climate will evolve over time, how and when governments, regulators, businesses, investors and customers respond and how those responses impact the economy, asset valuations, economic systems, policy and wider society. These risks and uncertainties, coupled with significantly long timeframes, make the outputs of climate-related risk modelling with respect to the potential use cases identified inherently more uncertain than outputs modelled for traditional financial planning cycles based on historical financial information. Portfolio level assessment NatWest Group uses a number of tools to undertake portfolio level assessments including operational limits in retail credit risk, stress analysis in market risk and heightened climate-related risk sector assessment in Non-Personal credit risk. The latter seeks to identify sectors that are likely to see increased credit risks for NatWest Group because of climate-related factors, over a ten to 15-year horizon. A breakdown is included in the NatWest Group plc 2024 Sustainability Report. Risk and capital management continued NWB Group Annual Report and Accounts 2024 74 Climate and nature risk continued NatWest Group also regularly considers the potential impact of existing and emerging regulatory requirements related to climate change at NatWest Group and subsidiary level, through external horizon scanning and monitoring of emerging regulatory requirements. Transaction level assessment Assessments are undertaken which consider anti-greenwashing factors within NatWest Group’s marketing and communications processes. NatWest Group’s suppliers are encouraged to undertake assessments which aim to improve sustainability performance. Within the Non-Personal credit portfolio, NatWest Group uses its initial suite of climate risk scorecards and CDF tools to engage with its customers to support them in better understanding climate-related risks for their business and conduct climate transition plan assessments. In 2024, CDF tools were rolled out on a phased test and learn basis focused on business areas covering large corporates, mid-corporates, commercial real estate, housing associations and some financial institutions customer segments. Through this process, NatWest Group continues to build capability among first and second line risk colleagues, and a culture where consideration of climate risk is part of the credit journey. Mitigation NatWest Group manages and mitigates climate-related risk in the Non-Personal portfolio through:  Top-down portfolio assessments, including incorporating climate factors in the overall sector strategy, updating the environmental, social and ethical risk acceptance criteria in response to potential climate-related risks and applying climate-enhanced transaction acceptance standards.  Bottom-up transaction assessments, including ensuring enhanced oversight for the largest lending climate transactions and use of qualitative climate risk scorecards, to provide a consistent and structured approach for understanding customer-specific exposure to climate-related risks. During 2024, Commercial & Institutional continued to enhance pricing frameworks to embed climate considerations. These enable NatWest Group to support businesses to help address the climate challenge and to encourage Commercial & Institutional customers towards more sustainable, transition-aligned transactions. In the residential mortgage portfolio, lending limits were applied based on climate characteristics, including: (i) exposure to EPC A and B rated properties, (ii) buy-to-let properties with potential EPC between D and G and (iii) flats, new builds and buy-to-let properties at high or very high risk of flood. Additionally, the credit policies do not allow buy-to-let mortgages to properties with an EPC rating between F and G. Limits are continually reviewed to reflect new flood risk data, risk profile and market conditions. NatWest Group continues to participate in a number of industry forums to help shape the financial service industry’s response to the challenges posed by climate risk, including scenario analysis. An example is the Climate Financial Risk Forum, established by the PRA and the FCA. NatWest Group also continues to engage actively with academia to ensure best practice and the latest thinking on climate risks is considered within NatWest Group’s work. For example, the work with University of Exeter as described previously. Operational risk Definition Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems, or external events. It arises from day-to-day operations and is relevant to every aspect of the business. Sources of risk Operational risk may arise from a failure to manage operations, systems, processes, transactions and assets appropriately. This includes human error, an inability to deliver change adequately or on time, the non-availability of technology services, or the loss of customer data. It also includes systems failure, theft of NWB Group property, information loss, the impact of natural or man- made disasters and the threat of cyberattacks. Operational risk can also arise from a failure to account for changes in law or regulations or to take appropriate measures to protect assets. Key developments in 2024  The continued embedding of the enhanced risk and control self-assessment approach with a focus on material operational risks and controls across key end-to-end processes.  An enhanced approach to introduce a single risk and control performance assessment has been developed and tested during 2024. This will replace the current Control Environment Certification (CEC) approach from 2025.  The automation of data-led insights into the operational risk profile to proactively drive management of the risks and oversight thereof.  The embedding of robust operational risk appetite measures which provide comprehensive coverage of the key operational risks.  The introduction of an effective and well-defined approach to leverage artificial intelligence to enhance controls articulation and manage controls data quality on an ongoing basis. Governance The risk governance arrangements in place for operational risk are aligned to the requirements set out in the NatWest Group Board approved enterprise-wide risk management framework and are consistent with achieving safety, soundness and sustainable risk outcomes. Aligned to this, a strong operational risk management oversight function is vital to support NWB Group’s ambitions to serve its customers better. Improved management of operational risk against defined risk appetite is vital for stability and reputational integrity. To support ongoing oversight of the management of the operational risk profile an Operational Risk Executive Steering Committee is in place. This forum ensures all material operational risks are monitored and managed within appetite. The NatWest Group Board Risk Committee and NatWest Group Board receives regular updates on the outputs of the Operational Risk Executive Steering Committee as necessary. Risk appetite Operational risk appetite is approved by the relevant legal entity board and supports effective management of all operational risks. It expresses the level and types of operational risk NWB Group is willing to accept to achieve its strategic objectives and business plans. NatWest Group’s operational risk appetite quantitative and qualitative statements encompass the full range of operational risks faced by its legal entities, businesses, and functions. The risk appetite statement and associated measures for operational risk are reviewed and approved at least annually by the relevant legal entity board on the relevant board risk committee’s recommendation to ensure they remain appropriate and aligned to strategy. Risk and capital management continued NWB Group Annual Report and Accounts 2024 75 Operational risk continued Performance against risk appetite is reported regularly to the Executive Risk Committee, the Board Risk Committee, and the Board. Relevant financial crime risk matters are escalated through the Executive Risk Committee and Board Risk Committee and to the Board as applicable. For more information, refer to the Governance and remuneration section. Mitigation Risks are mitigated by applying key preventative and detective controls. This is an integral step in the risk self-assessment methodology which is used to determine residual risk exposure. Control owners are accountable for the design, execution, performance, and maintenance of key controls. Key controls are regularly assessed for adequacy and tested for effectiveness. The results are monitored and, where a material change in performance is identified, the associated risk is re-evaluated. All residual risks that exceed the target appetite position are subject to action plans to bring them within appetite. Supporting our understanding of control is the CEC process. This is a bi-annual process, which requires senior members of the executive and management to assess the adequacy and effectiveness of their internal control frameworks which supports certification that their business or function is compliant with the Internal Control over Financial Reporting (Sarbanes-Oxley Section 404) regulatory requirements and with the requirements of the UK Corporate Governance Code section on Risk Management and Internal Controls. CEC covers material risks and the underlying key controls, including financial, operational and compliance controls, as well as supporting risk management frameworks. The CEC outcomes, including forward-looking assessments for the next two half- yearly cycles and progress on control environment improvements, are reported to the NatWest Group Audit Committee and NatWest Group Board Risk Committee. They are also shared with external auditors. Monitoring and measurement Operational risk is measured and managed through continuous assessment and regular reporting to NatWest Group’s senior risk committees and at Board-level. Risk and control self-assessments are used across business areas and support functions to identify and assess material non-financial risks (including operational risks, financial crime and conduct risks) and key controls. All risks and controls are mapped to NatWest Group’s risk directory. Risk assessments are refreshed at least every two years or sooner in response to internal and external events to ensure they remain relevant and that they capture any emerging risks. NWB uses the standardised approach to calculate its Pillar 1 operational risk capital requirement. This is based on multiplying three years’ average historical gross income by coefficients set by the regulator based on business line. As part of the wider Internal Capital Adequacy Assessment Process an operational risk economic capital model is used to assess Pillar 2A, which is a risk-sensitive add-on to Pillar 1. The model uses historical loss data (internal and external) and forward-looking scenario analysis to provide a risk-sensitive view of NWB Group’s Pillar 2A capital requirement. Scenario analysis is used to assess how severe but plausible operational risks will affect NWB Group. It provides a forward- looking basis for evaluating and managing operational risk exposures. Refer to the Capital, liquidity and funding risk section for the operational risk capital requirement figures. Operational resilience and cybersecurity NWB Group manages and monitors operational resilience through its enhanced risk and control self-assessment methodology. This is underpinned by setting and monitoring of forward-looking risk indicators and performance metrics for the operational resilience of important business services. Significant progress has been made in meeting regulatory expectations for operational resilience, with involvement in a number of industry-wide operational resilience forums. This enables a cross-sector view of the operational resilience risk profile and the pace of ongoing innovation and change, both internally and externally. NatWest Group operates layered security controls and its architecture is designed to provide inherent protection against threats. This approach avoids reliance on any one type or method of security control. Minimum security control requirements are set out in key risk policies (1) , standards, processes and procedures. Throughout 2024, NatWest Group continued to monitor and manage the threat landscape focusing on:  Initial access brokers and nation states – increasingly sophisticated attacks from ransomware gangs and ongoing challenges given the geopolitical tensions that are increasing the likelihood of disruptive cyberattacks.  Developments in innovation and technology, assessing the inherent risk and developing appropriate response to mitigate associated risks, for example, artificial intelligence and cloud adoption. As cyberattacks evolve, NatWest Group continues to invest in additional capability designed to defend against emerging risks. (1) Risk policies are in place for each principal risk and define, at a high level, the cascade of qualitative expectations, guidance and standards that stipulate the nature and extent of permissible risk-taking. They are consistently applied across NatWest Group and subsidiary legal entities and form part of the qualitative expression of risk appetite for each principal risk. Event and loss data management The operational risk event and loss data management process ensures NWB Group captures and records operational risk events with financial and non-financial impacts that meet defined criteria. Loss data is used for internal, regulatory and industry reporting and is included in capital modelling when calculating economic capital for operational risk. The most serious events are escalated in a simple, standardised process to all senior management, by way of an early event escalation process. NWB Group has not experienced a material cybersecurity breach or associated material loss in the last three years. All financial impacts and recoveries associated with an operational risk event are reported against the date they were recorded in NatWest Group’s financial accounts. A single event can result in multiple losses (or recoveries) that may take time to crystallise. Losses and recoveries with a financial accounting date in 2024 may relate to events that occurred, or were identified in, prior years. NatWest Group purchases insurance, against specific losses, including cyberattacks, and to comply with statutory or contractual requirements. Risk and capital management continued NWB Group Annual Report and Accounts 2024 76 Model risk Definition Model risk is the potential for adverse consequences from model errors or the inappropriate use of modelled outputs to inform business decisions. A model is defined as a quantitative method, system, or approach that applies statistical, economic, financial, accounting, mathematical or data science theories, techniques and assumptions to process input data into estimates. Sources of risk NWB Group uses a variety of models in the course of its business activities. Examples include the use of model outputs to support customer decisioning, measuring and assessing risk exposures (including credit, market, and climate risk), calculating regulatory capital and liquidity requirements and automation of operational processes. Model applications may give rise to different risks depending on the business in which they are used. Model risk is therefore assessed separately for each business segment in addition to the overall assessment made for NWB Group. Key developments in 2024  NWH Group remained within model risk appetite throughout 2024.  The Model Risk Management Enhancement Programme was set up to support NatWest Group’s response to the PRA’s Supervisory Statement 1/23 (SS1/23). A self-assessment against SS1/23 was completed, reviewed by the Board and submitted to the PRA. Effort was focused on implementing an enhanced model risk management framework, including an expanded model identification exercise and roll-out of a new model tiering approach.  Model inventory design changes were carefully delivered to support the implementation of framework enhancements. Focus also continued on improving the completeness and accuracy of model risk data contained within the inventory through enhanced oversight metrics and targeted remediation work. Governance A governance framework is in place to ensure policies and processes relating to models are appropriate and effective. Two roles are key to this – model risk owners and model validation leads. Model risk owners are responsible for model approval and ongoing performance monitoring. Model validation leads, in the second line of defence, are responsible for oversight, including ensuring that models are independently validated prior to use and on an ongoing basis aligned to the model’s tier. Business and function model management committees are used to escalate model risk matters to senior management where required. The NatWest Group Model Risk Oversight Committee further enhances model risk governance by providing a platform for executive level discussion on emerging model risks, identification of systemic risks and the evolution of model risk management practices. NWB Group is considered in scope of the NatWest Group Model Risk Oversight Committee. Risk appetite Model risk appetite is approved by the relevant legal entity board. It is set in order to limit the level of model risk that NWB Group is willing to accept in the course of its business activities. The model risk appetite statement and associated measures are reviewed and approved by the relevant legal entity board on the relevant board risk committee’s recommendation at least annually to ensure they remain appropriate and aligned to strategy. Business areas are responsible for monitoring performance against appetite and remediating models outside appetite. Performance against risk appetite is reported regularly to the Executive Risk Committee, the Board Risk Committee, and the Board. Relevant model risk matters are escalated through the Executive Risk Committee and Board Risk Committee and to the Board as applicable. Monitoring and measurement Model risk is measured and managed through continuous assessment and regular reporting to NatWest Group’s senior risk committees and at NatWest Board level. Policies, toolkits and model standards related to the development, validation, approval, implementation, use and ongoing monitoring of models are in place to ensure adequate control across the lifecycle of an individual model. All models developed for use are assigned a model tier, based on the model’s materiality and complexity. Risk based model tiering is used to prioritise risk management activities throughout the model lifecycle, and to identify and classify those models which pose the highest risk to NWB Group’s business activities, safety and/or soundness. Validation of material models is conducted by an independent risk function comprising of skilled, well-informed subject matter experts. This is completed for new models or material amendments to existing models and as part of an ongoing periodic programme to assess model performance. The frequency of periodic revalidation is aligned to the tier of the model. The independent validation focuses on a variety of model features, including model inputs, model processing, model outputs, the implementation of the model and the quality of the ongoing performance monitoring. Independent validation also focuses on the quality and accuracy of the development documentation and the model’s compliance with regulation. The model materiality combined with the validation rating provides the basis for model risk appetite measures and enables model risk to be robustly monitored and managed across NWB Group. Ongoing performance monitoring is conducted by model owners and overseen by the model validators to ensure parameter estimates and model constructs remain fit for purpose, model assumptions remain valid and that models are being used consistently with their intended purpose. This allows timely action to be taken to remediate poor model performance and/or any control gaps or weaknesses. Mitigation By their nature – as approximations of reality – model risk is inherent in the use of models. It is managed by refining or redeveloping models where appropriate – due to changes in market conditions, business assumptions or processes – and by applying adjustments to model outputs (either quantitative or based on expert opinion). Enhancements may also be made to the process within which the model output is used in order to further limit risk levels . Risk and capital management continued NWB Group Annual Report and Accounts 2024 77 Reputational risk Definition Reputational risk is defined as the risk of damage to stakeholder trust due to negative consequences arising from internal actions or external events. Sources of risk The three primary drivers of reputational risk are: failure in internal risk management systems, processes or culture; NWB Group’s actions materially conflicting with stakeholder expectations; and contagion (when NWB Group’s reputation is damaged by failures in key sectors including NWB Group’s supply chain or other partnerships). Key developments in 2024  Reputational risk assessment guidance was updated. Colleagues in relevant roles received updated training on key aspects of the policy and framework.  Enhancements were made to the environmental, social and ethical (ESE) risk framework, including implementation of the ESE human rights risk acceptance criteria. Governance A reputational risk policy supports reputational risk management across NWB Group. Reputational risk registers are used to manage reputational risks identified within relevant business areas. These are reported to the relevant business risk committee. Material reputational risks to NWB Group are escalated via the NatWest Group reputational risk register which is reported at every meeting of the NatWest Group Reputational Risk Committee. The NatWest Group Reputational Risk Committee also opines on matters that represent material reputational risks. The NatWest Group Executive and the NatWest Group Board Risk Committees oversee the identification and reporting of reputational risk. Risk appetite NWB Group manages and articulates its appetite for reputational risk through a qualitative reputational risk appetite statement and associated quantitative measures which are approved at least annually by the NatWest Group Board on the NatWest Group Risk Committee’s recommendation to ensure they remain appropriate and aligned to strategy. NatWest Group seeks to identify, measure and manage risk aligned to stakeholder trust. However, reputational risk is inherent in NatWest Group’s operating environment and public trust is a specific factor in setting reputational risk appetite. Monitoring and measurement Relevant internal and external factors are monitored through regular reporting via reputational risk registers at business or legal entity level. They are escalated, where appropriate, to the relevant business risk committee and where material, to the NatWest Group Reputational Risk Committee. Additional principal risk indicators for material risks being monitored are also reported to the NatWest Group Reputational Risk Committee and to the Executive and Board Risk Committees. Mitigation Standards of conduct are in place across NWB Group requiring strict adherence to policies, procedures and ways of working to ensure business is transacted in a way that meets – or exceeds – stakeholder expectations. External events that could cause reputational damage are identified and mitigated through NWB Group’s top and emerging risks process (where sufficiently material) as well as through the NatWest Group and business level reputational risk registers. NWB Group Annual Report and Accounts 2024 78 Report of the directors The directors present their report together with the audited accounts for the year ended 31 December 2024. Other information incorporated into this report by reference can be found at: Page/Note Stakeholder engagement and s.172(1) statement 3 Board of directors and secretary 4 Financial review 7 Segmental analysis Note 4 Share capital and reserves Note 22 Post balance sheet events Note 35 NWB Group structure National Westminster Bank Plc (‘NWB Plc’) is a wholly-owned subsidiary of NatWest Holdings Limited (‘NWH Ltd’ or ‘the intermediate holding company’). NatWest Bank Group (‘NWB Group’) comprises NWB Plc and its subsidiary and associated undertakings. NatWest Holdings Group (‘NWH Group’) comprises NWH Ltd and its subsidiary and associated undertakings. NatWest Group plc is ‘the ultimate holding company’. The term ‘NatWest Group’ comprises NatWest Group plc and its subsidiary and associated undertakings. NatWest Group plc is incorporated in the United Kingdom and has its registered office at 36 St Andrew Square, Edinburgh, EH2 2YB. Details of NWB Plc’s principal subsidiary undertakings and their activities are shown in Note 14 on the accounts. A full list of NWB Plc’s related undertakings is shown in Note 36 on the accounts. The financial statements of NatWest Group plc can be obtained from Corporate Governance, Gogarburn, Edinburgh, EH12 1HQ, the Registrar of Companies or at natwestgroup.com. Activities NWB Group is engaged principally in providing a wide range of banking and other financial services. Results and dividends The profit attributable to the ordinary shareholders of NWB Plc for the year ended 31 December 2024 was £3,237 million compared with a profit of £3,368 million for the year ended 31 December 2023, as set out in the consolidated income statement on page 98. No ordinary shares were issued during 2024 or 2023. In 2024, NWB Plc paid an ordinary dividend of £2.5 billion to NWH Ltd (2023 – £1.7 billion). Employees At 31 December 2024, NWB Group employed 55,700 people (excluding temporary staff). Details of related costs are included in Note 3 on the consolidated accounts. NWB Plc employs the majority of NWB Group UK customer-facing staff, with costs recharged. NWB Plc also provides the majority of shared services (including technology) and operational processes under Intra- Group Agreements. References to ‘colleagues’ in this report mean all permanent employees and, in some instances, members of the wider workforce e.g. temporary employees and agency workers. Corporate governance statement For the financial year ended 31 December 2024 NWB Plc has again chosen to report against the Wates Corporate Governance Principles for Large Private Companies (the Wates Principles), published by the Financial Reporting Council (FRC) in December 2018 and available on the FRC website. The disclosures below explain how NWB Plc has applied the Wates Principles in the context of its corporate governance arrangements. 1. Purpose and leadership The Board reviews and sets the strategic direction of the NWH Group and, as appropriate, the strategies for each of its businesses, within the parameters set by the NatWest Group plc Board. The Board also oversees the execution of NWH Group strategy and holds executive management to account for its delivery. In 2024 the Board held three dedicated sessions to consider the future strategy of NatWest Group, as it related to NWH Sub Group, considering proposals by management and the resources required for successful implementation. At the first session, macro-level matters were considered, such as customers’ evolving needs, the current and potential competitive landscape, and the importance of the right business mix and the key role an agile and future-fit technology platform would play in delivery. The important role of organisational culture was also discussed. The external environment and risk landscape were also considered. The second and third sessions were focused on delivery of the strategy. Following these sessions and discussion at scheduled Board meetings, the Board confirmed support for the strategy, centred around the three strategic priorities of disciplined growth, bank-wide simplification and active balance sheet and risk management. Further information on NatWest Group’s progress against its strategy can be found in the NatWest Group plc 2024 Annual Report and Accounts. In conjunction with the NatWest Group plc Board, the NWB Plc Board reviewed the bank’s purpose in 2024. Discussions were informed by a variety of factors including current market practices, directors’ personal reflections and the output of engagement with internal and external stakeholders (including focus groups and in-depth interviews with samples of colleagues and customers). The Board also considered illustrative examples of the purpose and communication strategies for different stakeholder groups. The final purpose statement (The bank that turns possibilities into progress) was approved by the Board in September 2024. Colleague sentiment towards the refreshed purpose was also observed by the Board via the Colleague Advisory Panel meetings, which are chaired by Roisin Donnelly who reports on each meeting to the Board. The Board assesses and monitors culture in several ways, as described below.  Culture assessment reports which includes a wide range of metrics and assesses culture based on the NatWest Group culture assessment framework. The framework is aligned to both performance culture drivers and ethics, conduct and compliance. In December, the format of the report was reviewed by the Board and an evolved assessment framework was agreed which will be implemented in Board reporting from January 2025.  Our View colleague engagement survey results which provide insights from the surveys conducted in April and September are provided to the Board bi-annually. Colleagues responded to questions across the whole colleague experience including wellbeing, building capability, leadership and ethics and Report of the directors continued NWB Group Annual Report and Accounts 2024 79 integrity. Strong results were noted, with targeted action plans in place to drive improvements.  Colleague Advisory Panel reports which, in 2024, provided feedback on discussions from meetings held in May and November. Topics included executive remuneration and the wider workforce, the new performance management system Beyond, NatWest Group’s evolving purpose and responsible AI.  As part of the Board strategy sessions careful consideration was given to the cultural shift required to deliver the renewed strategy. External case studies of cultural transformation informed discussions.  The impact on culture of the refreshed purpose was a key consideration by the Board. It reviewed the output of research undertaken with colleagues on the proposed purpose statement and management’s planned approach to embed the new purpose in the bank’s culture. A refreshed core behaviours framework will be rolled out during 2025. Proposals will be presented to the Board following collaboration with internal and external stakeholders. The activities described above have supported the Board in meeting the Wates Principle 1 requirement to ensure that purpose, values, strategy and culture are aligned, within the wider NatWest Group governance structure. 2. Board composition As at the date of publication of this report, the Board has 14 directors comprising the Chair, two executive directors and 11 independent non-executive directors, one of whom is the Senior Independent Director. The names of the current directors and secretary are shown on page 4. Their biographies are available at natwestgroup.com (NatWest Holdings Limited section). Chair, CEO and Senior Independent Director The role of the Chair is to lead the Board and ensure its overall effectiveness. This is distinct and separate from that of the CEO who manages the business day-to-day. The Senior Independent Director acts as a sounding board for the Chair and as an intermediary for other directors when necessary. Balance and diversity The Board is structured to ensure that the directors provide NWB Plc with the appropriate balance of skills, experience, knowledge and diversity, as well as independence. Board committees also comprise directors with a variety of skills and experience so that no undue reliance is placed on any one individual. The Nominations Committee is responsible for considering and making recommendations to the Board in respect of Board appointments and membership and chairing of Board committees. The Nominations Committee reviews the structure, size and composition of the Board, and makes recommendations to the Board in relation to any necessary changes, having regard to the overall balance of skills, knowledge, experience and diversity on the Board, the length of service of the Board as a whole; and the requirement to keep membership regularly refreshed. The Nominations Committee considers Board composition and succession planning at least annually. The NatWest Group plc Group Nominations and Governance Committee (Group N&G) also approves all appointments to the Board, reflecting NWB Plc’s position as a subsidiary within NatWest Group. Board recruitment continued to be a principal area of focus in 2024. Paul Thwaite became permanent CEO on 16 February 2024 and Rick Haythornthwaite, having joined the Board as a non-executive director on 8 January 2024, assumed the Chair role on 15 April after Howard Davies stepped down. The Board approved the appointment of Geeta Gopalan in February 2024 and she joined on 1 July 2024. During 2024 the Nominations Committee’s membership supported comprehensive candidate searches with diversity and inclusion considerations factored into all search criteria. During 2024 the Nominations Committee’s membership supported comprehensive candidate searches with diversity and inclusion considerations factored into all search criteria. During the search processes, the Nominations Committee held several discussions on potential candidates, assessing the credentials of each candidate against the qualities and capabilities set out in the role specifications agreed by the Nominations Committee. Following a rigorous process, the Nominations Committee, in conjunction with Group N&G, recommended and the Board approved Gill Whitehead’s appointment as a non-executive director. The Nominations Committee, in conjunction with Group N&G, continues to oversee further recruitment activity in respect of the Board of NWB Plc. In addition, Jan Cargill will be stepping down as Company Secretary on 14 February 2025 and Gary Moore will be appointed as her successor on this date. In December 2024, the Nominations Committee, in conjunction with Group N&G, reviewed and the Board approved, an enhanced version of the NatWest Group plc and NWH Sub Group Board skills matrix. The NatWest Group plc and NWH Sub Group Boards conducted a comprehensive Board skills assessment using the Board Outlook platform. This process evaluated the collective expertise and capabilities of the Boards against the organisation’s strategic priorities and governance needs, and the resulting data and analysis underpins the succession planning process. By identifying critical and general skills areas, this enhanced skills assessment approach has provided valuable insights into the Boards’ strengths and opportunities for consideration by the Nominations Committee, Group N&G and the Boards. The findings, as reflected in the 2024 Board skills matrix, will help to ensure that the Board remains well-equipped to navigate complex challenges, deliver on long-term value creation and uphold the highest standards of governance. The Board operates a boardroom inclusion policy which reflects NatWest Group’s values, its inclusion guidelines and relevant legal or voluntary code requirements. The boardroom inclusion policy aims to promote diversity and inclusion in the composition of the Boards and Board committees of NatWest Group plc, NWH Ltd, NWB Plc and RBS plc and in the nominations and appointments process. A copy of the policy is available at natwestgroup.com. The boardroom inclusion policy ensures that the Board, and any committee to which it delegates nomination responsibilities, follows an inclusive process when making nomination decisions. That includes ensuring that the nomination process is based on the principles of fairness, respect and inclusion, that all nominations and appointments are based on individual competence, skills and expertise measured against identified objective criteria without bias, prejudice or discrimination, and that searches for Board candidates are conducted with due regard to the benefits of diversity and inclusion. The policy includes targets which aspire to meet those set out in the UK Listing Rules along with the recommendations of the FTSE Women Leaders Review and the Parker Review. Report of the directors continued NWB Group Annual Report and Accounts 2024 80 As at 31 December 2024 :  NWB Plc met the FTSE Women Leaders Review voluntary target of 40% women’s representation on boards by the end of 2025, with 46% of the Board being women;  with a woman as CFO, NWB Plc met the FTSE Women Leaders Review recommendation that companies should have at least one woman in the Chair or Senior Independent Director roles on the board and/or one woman in the Chief Executive Officer or Finance Director role by the end of 2025; and  the company met the recommendation of the Parker Review with two members of the Board being from an ethnic minority background. Changes since 1 January 2025: Gill Whitehead joined the Board on 8 January 2025 as an independent non-executive director. Gill’s appointment to the Board means women’s representation as at the date of this report is 50%. The boardroom inclusion policy also acknowledges NatWest Group’s ambition to have gender balance in the global top three levels (CEO-3 and above) by 2030, and progress against this ambition is set out on page 42 of the NatWest Group plc 2024 Annual Report and Accounts (Strategic report). Size and structure NWH Ltd is the holding company for NatWest Group’s ring- fenced operations, which include the Retail and Private Banking segments and certain aspects of the Commercial & Institutional business. A common board structure is operated such that directors of NWH Ltd are also directors of RBS plc and NWB Plc. Known collectively as the NWH Sub Group, the boards of these three entities meet concurrently. An integral part of NatWest Group’s governance arrangements is the appointment of three double independent non-executive directors (DINEDs) to the Boards and Board committees, of the NWH Sub Group. They are Francesca Barnes, Ian Cormack and Mark Rennison. The DINEDs are independent in two respects: (i) independent of management as non-executives; and (ii) independent of the rest of NatWest Group by virtue of their NWH Sub Group only directorships. They attend NatWest Group plc Board and relevant Board committee meetings as observers. The DINEDs play a critical role in NatWest Group’s ring-fencing governance structure, and are responsible for exercising appropriate oversight of the independence and effectiveness of the NWH Sub Group’s governance arrangements, including the ability of each board to take decisions independently. The DINEDs also have an enhanced role in managing any material conflicts which may arise between the interests of NWB Plc and other members of NatWest Group. The governance arrangements for the Boards and Board committees of NatWest Group plc and the NWH Sub Group have been designed to enable NatWest Group plc to exercise appropriate oversight and to ensure that, as far as is reasonably practicable, the NWH Sub Group is able to take decisions independently of the wider Group. Independence The independent non-executive directors combine broad business and commercial experience with independent and objective judgement. They provide constructive challenge, strategic guidance, and specialist advice to the executive directors and the executive management team and hold management to account. The balance between non-executive and executive directors enables the Board to provide clear and effective leadership across NWH Group’s business activities and ensures no one individual or small group of individuals dominates the Board’s decision-making. Non-executive director independence and individual directors’ continuing contribution to the company are considered by the Board, with support from the Nominations Committee, at least annually and when new non-executive directors are appointed. The Board considers that the Chair, Rick Haythornthwaite, was independent on appointment and that all current non-executive directors are independent. Enhancing directors’ skills and knowledge The Chief Governance Officer and Company Secretary supports directors in their training and development via a comprehensive induction programme when they join the Board and an ongoing annual schedule of training sessions and deep dives into areas of interest and relevance. These are designed to support directors’ professional development, deepen their knowledge of the business or specific areas of interest or offer specialised training on relevant matters. During 2024 the Board undertook several training sessions on a range of relevant topics. These included liquidity and funding; model risk management; digital assets; financial crime; diversity, equity and inclusion; and climate. These training sessions enabled the directors to deepen their understanding on these topics and informed their decision-making. All directors were invited to training and deep dive sessions held at the committee level. Directors undertake the training they consider necessary to assist them in carrying out their duties and responsibilities and the non-executive directors discuss their training and professional development with the Chair at least annually. Each new director receives a formal induction programme on joining the Board, which is co-ordinated by the Chief Governance Officer and Company Secretary and tailored to suit the requirements of the individual concerned. This includes visits to NWH Group’s major businesses and functions and meetings with directors and senior management. Meetings with external auditors, counsel and stakeholders are also arranged as appropriate. Geeta Gopalan joined the Board on 1 July 2024 and further information on Geeta’s induction can be found on page 94 of the NatWest Group plc 2024 Annual Report and Accounts. In March 2024 the Board spent a week visiting the bank’s operations in India. Time was split between Gurugram and Bengaluru, and in both locations a series of meetings were held with a variety of internal and external stakeholders. The programme included a focus on colleague engagement, and directors met individuals and teams from Finance, Digital X and People, who support colleagues across the bank to deliver for our customers. From an external perspective, the Board met with current suppliers and customers as well as representatives of emerging businesses in India and leaders of other large businesses based in the country. The Board also undertook a variety of community engagement sessions during its time in India. These included spending time at the Vidya School in Gurugram (which provides high quality public-school education to under-privileged children) and the ‘I am Gurgaon’ project in the city (which is seeking to improve the local ecosystem and reduce the risk of flooding). Directors also participated in a Climate Action Roadshow which showcased active environmental projects supported by colleagues, and included contributions from non-government organisations and beneficiaries of the projects. Following the visit, the Board discussed with management the insights gained during the trip and how these could inform future decision making. External appointments and time commitment The Board monitors the commitments of the Chair and directors and is satisfied that they are able to allocate sufficient time to enable them to discharge their duties and responsibilities effectively. Any additional external appointments require prior Board approval. Report of the directors continued NWB Group Annual Report and Accounts 2024 81 The Wates Principles emphasises the importance of ensuring directors have sufficient time to meet their board responsibilities. Before any appointment, significant commitments are disclosed with an indication of the time involved. After appointment to the Board, any new external appointments require prior Board approval. Time commitment is also considered during non- executive directors’ year end review meetings with the Chair, in the context of directors’ performance and contribution to the Board. Board papers relating to new director appointments or proposed additional external appointments for existing directors include details of the individual’s full portfolio and anticipated time commitment for the external role(s) under consideration (e.g. Committee Chair roles). They also include a reminder of applicable Capital Requirements Directive limits on the number of directorships which may be held. During 2024 the Board approved the appointments of Geeta Gopalan and Gill Whitehead to the Board and additional external appointments taken on by Stuart Lewis, Mark Seligman, Roisin Donnelly and Lena Wilson were also approved. In each case, the Board noted there would be no material impact on the time commitment required for their respective NWH Group roles and authorised any situational conflicts of interest which had been notified, under the process described below. Board effectiveness review An evaluation of the performance of the Board, its committees, the Chair and individual directors usually takes place annually. The evaluation is externally facilitated every three years, with internal evaluations in the intervening years. In 2023 the Board decided to defer the internal evaluation of Board and committee effectiveness due in Q4 2023 until 2024, given the July 2023 change in Group CEO and upcoming Chair succession. The most recent external evaluation of Board and committee effectiveness was conducted in 2021, and therefore the 2024 process was due to be conducted externally. In June 2024, the Nominations Committee, in conjunction with Group N&G (the nominations committees), agreed a shortlist of potential external facilitators for the 2024 Board effectiveness review. Following a competitive tender process the nominations committees recommended, and the Board approved, the appointment of Boardroom Review Limited (BRL) noting their deep expertise and established track record in the field. BRL has no other connection with NatWest Group. Key findings were consistent across NatWest Group plc and the NWH Sub Group and an overview of findings and proposed next steps arising from the 2024 Board effectiveness review can be found on pages 103 to 105 of the NatWest Group plc 2024 Annual Report and Accounts. At the December Board meeting, the Chair undertook to develop and consult on proposals for further Board consideration and implementation from Q1 2025. The Chair met each non-executive director individually to discuss their performance, continuing professional development and contribution to the company’s long-term sustainable success. The Chair also shared peer feedback collated as part of the review process. Separately, the Senior Independent Director, together with the Senior Independent Director of the NWH Sub Group, sought feedback on the Chair’s performance from the non-executive directors, executive directors and other key internal and external stakeholders and discussed it with the Chair. This included peer feedback collated as part of the review process. These reviews concluded that each non-executive director and the Chair continue to contribute positively to the long-term sustainable success of the company. 3. Director responsibilities Board policies and processes are set out in our non-executive director handbook, which operates as a consolidated governance support manual for non-executive directors of NatWest Group plc and the NWH Sub Group. Accountability All directors receive guidance on their statutory duties under the Companies Act 2006 and are supported in the discharge of their duties by the Chief Governance Officer and Company Secretary. Each director has a role profile which clearly articulates their responsibilities and accountabilities, and any additional regulatory responsibilities and accountabilities are set out in their statement of responsibilities. NatWest Group also produces and maintains a document called ‘Our Governance’ which sets out the governance, systems and controls applicable to NatWest Group plc and the NWH Sub Group. Our Governance is made available to all directors and is reviewed and approved by the Board. Conflicts of interest The directors’ conflicts of interest policy sets out procedures to ensure that the Board’s management of conflicts of interest and its powers for authorising certain conflicts are operating effectively. This includes the management of conflicts that may arise during Board decisions where the interests of NWB Plc conflict with the interests of other members of NatWest Group. Directors are required to notify the Board of any situational or transactional conflict of interest and to update the Board with any changes to the facts and circumstances surrounding such conflicts. Situational conflicts can be authorised by the Board in accordance with the Companies Act 2006 and the company’s Articles of Association. The Board considers each request for authorisation on a case by case basis and has the power to impose conditions or limitations on any authorisation granted as part of the process. Details of all directors’ conflicts of interest are recorded in a register which is maintained by the Chief Governance Officer and Company Secretary and reviewed annually by the Board. The Board The Board is the main decision-making forum for NWB Plc. The Board is collectively responsible for the long-term success of NWB Plc and the delivery of sustainable value to its shareholders. The Board’s role is to provide leadership of NWB Plc and NWH Group, with particular focus on customers and employees. It sets and oversees the strategic direction of the NWH Group. It reviews and approves the NWB Plc risk management framework (including the risk appetite framework as a component thereof (‘Risk Appetite Framework’)) and risk appetite for principal risks in accordance with the Risk Appetite Framework; and it monitors performance against risk appetite for NWB Plc. It considers any material risks and approves, as appropriate, recommended actions escalated by the NatWest Holdings Board Risk Committee. It approves NWB Plc’s key financial objectives and keeps the capital and liquidity positions of NWB Plc under review. The Board’s terms of reference include a formal schedule of matters specifically reserved for the Board’s decision and are reviewed at least annually. An internal review confirmed the Board had fulfilled its remit as set out in its terms of reference during 2024. There were eight scheduled Board meetings during 2024. Additional ad hoc meetings of the Board and some of its committees were held throughout the year to receive updates Report of the directors continued NWB Group Annual Report and Accounts 2024 82 and deal with time-critical matters. There were five additional Board meetings held in 2024. There were also three strategy sessions with executive management in 2024, including one ad hoc. When directors are unable to attend meetings convened at short notice, they receive the papers and have the opportunity to provide their feedback in advance. At each scheduled Board meeting the directors receive reports from the Chair, Board committee Chairs, CEO, CFO, Chief Risk Officer and other members of the executive management team, as appropriate. Business reviews from the CEOs of the Retail Banking, Private Banking and Commercial & Institutional businesses included updates on progress against strategy and spotlights on current topics including business strategies, customer trends and trading outlook. In addition to the business CEOs, a number of other senior executives attended Board meetings throughout the year to present reports to the Board. This provided the Board with an opportunity to engage directly with management on key issues and supported succession planning. The Board also welcomed external presenters and advisers to Board meetings, who provided useful insights and perspectives. The Board and Group Executive Committee (ExCo) operating rhythm continues to support a proactive and transparent agenda planning and paper preparation process. This process includes the following elements:  Pre- and Post- Board meeting: the Chair, CEO, CFO and Company Secretary meet in advance of each Board meeting to reflect on the previous meeting and discuss the agenda structure, key items for consideration and guest presenters for the following meeting.  Executive level meetings: executive review of papers prior to consideration by the Board and Board committees ensures a consistent and coordinated approach.  Board meeting: at the end of each Board meeting directors have an opportunity to provide feedback on the quality of papers and any areas for future focus. Having non-executive directors on multiple Board committees supports effective governance by strengthening co-ordination and alignment on shared areas of focus, particularly in relation to audit, risk and remuneration matters. Board committee members also work together to enhance their knowledge and understanding of the business through business visits and teach-ins. In 2024 these included joint Audit and Risk Committee visits to the Risk, Internal Audit and Finance functions and an Audit Committee and Sustainable Banking Committee Financed Emissions teach-in. Board Committees The Board has established a number of Board committees with particular responsibilities. The Audit, Risk, Performance & Remuneration, and Nominations Committees of NWH Ltd operate as committees of each of NWH Ltd, NWB Plc and RBS plc, with meetings running concurrently. As at the date of this report: The Audit Committee comprises six independent non-executive director members, one of whom is the Board Risk Committee Chair and two of whom are DINEDs. The committee assists the Board in discharging its responsibilities in relation to accounting policies, internal control, and financial reporting functions, including consideration of any relevant non-financial disclosures or related controls which may impact the financial statements. It also reviews accounting reporting and regulatory compliance standards of internal controls, and monitors processes for internal audit and external audit. The Board Risk Committee comprises eight independent non- executive directors, one of whom is the Chair of the Audit Committee and three of whom are DINEDs. It provides oversight and advice to the Board in relation to current and potential future risk exposures, future risk profile, and the approval and effectiveness of NWB Plc’s Risk Management Framework and internal controls required to manage risk. The Performance and Remuneration Committee (RemCo) comprises five independent non-executive directors, two of whom are DINEDs. It assists the NatWest Group plc Performance and Remuneration Committee with the oversight and implementation of NatWest Group’s remuneration policy and also considers and makes recommendations on remuneration arrangements for senior executives of NWB Plc. The Nominations Committee comprises the Chair, Senior Independent Director and four further independent non-executive director members. It is responsible for assisting the Board in the formal selection and appointment of directors. It reviews the structure, size and composition of the Board, and membership and chairing of Board Committees. Executive Committee The Executive Committee comprises NWB Plc’s most senior executives and supports the CEO in managing NWH Group’s business. Decisions at all executive level committees, including the Executive Committee, are made under individual accountability where decision making authority lies with an individual (who usually chairs committee meetings) and committee members support the relevant individual in discharging their accountabilities. These committees provide a forum for debate and challenge of the key issues set out in their terms of reference with the role of members being to provide input, support and challenge the decision maker including whether to recommend matters to Board committees and the Board. ExCo considers the delivery of strategy, financials, risk and customer, colleague and operational issues affecting NWH Group. Members of the executive management team also have individual accountabilities for their respective areas of responsibility and have committees to support them in discharging these accountabilities. Integrity of information All directors receive accurate, timely and clear information on all relevant matters and have access to the advice and services of the Chief Governance Officer and Company Secretary. External advice is provided to the Board as required. In addition, all directors are able, if necessary, to obtain independent professional advice at NWB Plc’s expense. 4. Opportunity and risk The role of the Board is to promote the long-term sustainable success of NWB Plc. The Board held three dedicated strategy sessions with the executive management team in 2024, and additional strategy updates to the Board during 2024. Within the context of a wider discussion at NatWest Group level, this provided an opportunity for the Board to assess opportunities and risks to the future success of the business, the sustainability of the business model and how its governance contributes to the delivery of its strategy. The Board reviews the effectiveness of the risk management and internal control systems – including the nature and extent of the risks taken in pursuit of strategic objectives. The Board also reviews and approves risk appetite for NWB Plc’s principal risks in accordance with the NatWest Group risk appetite framework; monitors performance against risk appetite for NWB Plc; and considers any material risks and approves, as appropriate, recommended actions escalated by the Board Risk Committee. Report of the directors continued NWB Group Annual Report and Accounts 2024 83 NWB Plc’s risk strategy is informed and shaped by an understanding of the risk landscape including the principal risks it takes in carrying out business activities as well as the risks and uncertainties arising from the external economic, political and regulatory environments. NWB Plc operates within NatWest Group’s integrated enterprise- wide risk management framework. This is centred around the embedding of a strong risk culture and is designed to ensure the tools and capability are in place to facilitate sound risk management and decision-making. As part of the enterprise- wide framework NWB Plc complies with NatWest Group’s risk appetite framework, which is approved annually by the NatWest Group plc Board. NatWest Group’s risk appetite is set in line with overall strategy. Further information on NatWest Group’s integrated enterprise- wide risk management framework including risk culture, risk appetite, risk identification, risk measurement and risk mitigation, as well as NWB Plc risk governance, can be found in the risk and capital management section of this report (pages 10 to 77). 5. Remuneration The NatWest Group remuneration policy provides a consistent policy across all NatWest Group companies and ensures compliance with regulatory requirements. The remuneration policy is aligned with the business strategy, objectives, values and long-term interests of NWB Plc. The policy supports a culture where individuals are rewarded for delivering sustained performance in line with risk appetite and for demonstrating the right conduct and behaviours. The RemCo reviews remuneration for executives of NWH Ltd and considers reports on the wider workforce including annual pay outcomes and diversity information. The RemCo helps to ensure that the remuneration policies, procedures and practices being applied are appropriate for NWB Plc. Executive remuneration structures incentivise individuals to deliver sustainable performance based on strategic objectives for NatWest Group and the relevant business area. Performance is assessed against a balanced scorecard of financial and non- financial measures and variable pay is subject to deferral as well as malus and clawback provisions to ensure rewards are justified in the long-term. We launched our new performance management framework Beyond in January 2024, shifting the focus from pay decisions based on ratings to data-driven reward decisions. Colleague goals remain set against a balanced scorecard of measures to support business strategy and strategic purpose. NatWest Group continues to pay colleagues fairly for the work they do, supported by simple and transparent pay structures in line with industry best practices. NatWest Group keeps policies and processes under review to ensure it does so. Following targeted action in 2022 and 2023 to support our colleagues through the cost-of-living crisis, we continued to focus on rewarding colleagues in a fair, sustainable and transparent way during 2024. NatWest Group has been an accredited Living Wage Employer in the UK since 2014 and sets pay levels above the real living wage rates. In 2023 we were certified as a Global Living wage employer, recognising that our rates of pay for our colleagues outside the UK are at or above the living wage threshold as defined by the Fair Wage Network. We are currently going through the re-certification process. NatWest Group helps colleagues to have an awareness of the financial and economic factors affecting its performance through quarterly ‘Results Explained’ communications and Workplace Live events with the Group CEO and Group CFO. Further information on the remuneration policy, pay ratios and employee share plans can be found in the Directors’ remuneration report of the NatWest Group plc 2024 Annual Report and Accounts. Gender and Ethnicity Pay Gap information can be found in the Strategic report section of the NatWest Group plc 2024 Annual Report and Accounts and at natwestgroup.com, along with the steps being taken to build an inclusive and engaged workforce. 6. Stakeholder relationships and engagement In February 2024 the Board approved its annual objectives and confirmed the Board’s key stakeholder groups – investors, customers, colleagues, communities, regulators and suppliers. The Board’s agenda and engagement plans were structured to enhance the Board’s understanding of these stakeholders’ views and interests. This in turn has informed Board discussions and decision-making. For further information on stakeholder engagement activities undertaken within NatWest Group which impacted NWH Group, refer to page 32 to 33 and pages 99 to 101 of the NatWest Group plc 2024 Annual Report and Accounts, and below under Additional colleague-related disclosures (workforce engagement including the Colleague Advisory Panel). Engagement with Colleagues, Suppliers, Customers and Others For further details on the Board’s engagement with colleagues, customers, suppliers and others, and how these stakeholders’ interests have influenced Board discussions and principal decisions, refer to page 3 of the Strategic report which includes a section 172(1) statement and signposts to further information contained in the NatWest Group plc 2024 Annual Report and Accounts. Additional colleague-related disclosures Informing and consulting colleagues NatWest Group listens to our colleagues and uses this insight to attract, engage and retain the best talent for the future. In 2024, our colleague listening strategy included: regular colleague opinion surveys; a Colleague Advisory Panel (CAP) connected directly with our Board; the Colleague Experience Squad, which provided feedback on colleague products and services; and Engage, our social media platform. We also track metrics and key performance indicators, which we can benchmark with sector and high-performing comparisons. Over 50,000 colleagues (82% participant rate) across all countries and levels participated in our September 2024 Our View colleague engagement survey. (1) Our results from our September 2024 colleague engagement survey remained steady and we maintained the strong position held in 2023. Across all comparable categories, NatWest Group remains in the top quartile, sitting an average of eight percentage points above the Global Financial Services Norm (GFSN) benchmark. While purposeful leadership has improved, we have work to do in relation to building capability, relating to the longer-term future focused development of colleagues, which has fallen back slightly since 2023 and despite improvements in experimentation; simplification, collaboration, and efficiency remain flat. Regular interactions with employee representatives such as trade unions, elected employee bodies and work councils are a vital means of transparency and engagement for NatWest Group. These sessions are frequently used to discuss developments and updates on the progress of strategic priorities. NatWest Group is also committed to respecting employees’ rights of freedom of association across all its business. In addition, the CAP continues to be an effective way to strengthen colleague voice, by enabling two-way discussions on topics important to them. By connecting colleagues directly with the Board, this deepens our understanding of colleague sentiment. (1) NatWest Group Our View results exclude Ulster Bank RoI. Report of the directors continued NWB Group Annual Report and Accounts 2024 84 The CAP is chaired by Roisin Donnelly, one of our non-executive directors, and she is joined by at least two additional Board members in every CAP meeting. CAP membership is refreshed regularly, and it currently comprises 28 colleagues who are self- nominated and are representative of the bank’s population e.g., business area, grade, location and working pattern. Following each meeting, a report summarising the main points discussed is presented at the next Board meeting. Ms Donnelly then updates CAP members with feedback from the Board discussion. In 2024, CAP meetings were held in May and November. Topics are either chosen by CAP or are requested by Board, and in 2024 have included our purpose, our performance management approach Beyond, responsible artificial intelligence and our standing annual item: executive and wider workforce remuneration. Employment for colleagues with disabilities and long-term conditions NatWest Group makes workplace adjustments to support colleagues with disabilities and long-term conditions to succeed. If a colleague develops a disability or long-term condition, NatWest Group will, wherever possible, make adjustments to support them in their existing job or re-deploy them to a more suitable alternative job. The NatWest Group Careers site gives comprehensive insights into NatWest Group jobs, culture, locations, and application processes. It also hosts a variety of blog content to portray stories of what it is like to work at NatWest Group. The company also makes sure that candidates can easily request reasonable adjustments to support at any stage of the recruitment process. Internal control over financial reporting The internal controls over financial reporting for NWH Group are managed at NatWest Group level. Any deficiencies identified are reported to Group Audit Committee along with management’s remediation plans. NatWest Group's auditors have audited the effectiveness of NatWest Group's internal control over financial reporting and have given an unqualified opinion. Directors’ interests Where directors of NWB Plc are also directors of NatWest Group plc, their interests in the shares of the ultimate holding company at 31 December 2024 are shown in the Corporate governance, Annual report on remuneration section of the NatWest Group plc 2024 Annual Report and Accounts. None of the directors held an interest in the loan capital of the ultimate holding company or in the shares or loan capital of NWB Plc or any of its subsidiaries, during the period from 1 January 2024 to 13 February 2025. Directors' indemnities In terms of section 236 of the Companies Act 2006 (the ‘Companies Act’), Qualifying Third Party Indemnity Provisions have been issued by the ultimate holding company to its directors, members of NWB Plc’s Executive Committee, individuals authorised by the PRA/FCA and certain directors and/or officers of NatWest Group’s subsidiaries and trustees of NatWest Group’s pension scheme. Going concern NWB Group’s business activities and financial position, the factors likely to affect its future development and performance and its objectives and policies in managing the financial risks to which it is exposed, and its capital are discussed in the Business review. NWB Group’s regulatory capital resources and significant developments in 2024, and anticipated future developments are detailed in the Capital, liquidity and funding section on pages 57 to 64. This section also describes NWB Group’s funding and liquidity profile, including changes in key metrics and the build-up of liquidity reserves. The directors have prepared the financial statements on a going concern basis after assessing the principal risks, forecasts, projections and other relevant evidence over the twelve months from the date the financial statements are approved. Political donations During 2024, no political donations were made in the UK or EU, nor any political expenditure incurred in the UK or EU. Directors’ disclosure to auditors Each of the directors at the date of approval of this report confirms that: (a) so far as the director is aware, there is no relevant audit information of which NWB Plc’s auditors are unaware; and (b) the director has taken all the steps that he/she ought to have taken as a director to make himself/herself aware of any relevant audit information and to establish that NWB Plc’s auditors are aware of that information. This confirmation is given and should be interpreted in accordance with the provisions of section 418 of the Companies Act. Auditors Ernst & Young LLP (EY LLP) are NWB Plc’s auditors and have indicated their willingness to continue in office. A resolution to re- appoint EY LLP as NWB Plc’s auditors will be proposed at the forthcoming Annual General Meeting. By order of the Board Jan Cargill Chief Governance Officer and Company Secretary 13 February 2025 National Westminster Bank Plc Is registered in England No. 929027 Statement of directors’ responsibilities NWB Group Annual Report and Accounts 2024 85 This statement should be read in conjunction with the responsibilities of the auditor set out in their report on pages 87 to 97. The directors are responsible for the preparation of the Annual Report and Accounts. The directors are required to prepare Group financial statements, and as permitted by the Companies Act 2006 have elected to prepare company financial statements, for each financial year in accordance with UK adopted International Accounting Standards. They are responsible for preparing financial statements that present fairly the financial position, financial performance and cash flows of NWB Group and NWB Plc. In preparing those financial statements, the directors are required to:  select suitable accounting policies and then apply them consistently;  make judgements and estimates that are reasonable, relevant and reliable; and  state whether applicable accounting standards have been followed, subject to any material departures disclosed and explained in the financial statements;  prepare the financial statements on a going concern basis unless it is inappropriate to presume that the company and Group will continue in business. The directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial position of NWB Group and to enable them to ensure that the Annual Report and Accounts complies with the Companies Act 2006. They are also responsible for safeguarding the assets of NWB Plc and NWB Group and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. Under applicable law and regulations, the directors are also responsible for preparing a Strategic report and Directors’ report, that comply with that law and those regulations. The directors are responsible for the maintenance and integrity of the corporate and financial information included on the company’s website. The directors confirm that to the best of their knowledge:  the financial statements, prepared in accordance with UK adopted International Accounting Standards, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Bank and the undertakings included in the consolidation taken as a whole; and  the Strategic report and Directors’ report (incorporating the Financial review) includes a fair review of the development and performance of the business and the position of the Bank and the undertakings included in the consolidation taken as a whole, together with a description of the principal risks and uncertainties that they face. By order of the Board Richard Haythornthwaite John-Paul Thwaite Katie Murray Chair Chief Executive Officer Chief Financial Officer 13 February 2025 Board of directors Chair Executive directors Non-executive directors Richard Haythornthwaite John-Paul Thwaite Katie Murray Francesca Barnes Ian Cormack Roisin Donnelly Patrick Flynn Geeta Gopalan Yasmin Jetha Stuart Lewis Mark Rennison Mark Seligman Gillian Whitehead Lena Wilson Financial statements NWB Group Annual Report and Accounts 2024 86 Page Independent auditor’s report 87 Consolidated income statement 98 Consolidated statement of comprehensive income 98 Balance sheet 99 Statement of changes in equity 100 Cash flow statement 102 Accounting policies 103 Notes to the financial statements 1 Net interest income 109 2 Non-interest income 109 3 Operating expenses 110 4 Segmental analysis 112 5 Pensions 115 6 Auditor’s remuneration 121 7 Tax 121 8 Profit/(loss) dealt with in the accounts of the Bank 123 9 Financial instruments - classification 124 10 Financial instruments - valuation 128 11 Financial instruments - maturity analysis 137 12 Derivatives 140 13 Loan impairment provisions 148 14 Investment in Group undertakings 149 15 Other financial assets 150 16 Other assets 150 17 Intangible assets 151 18 Property, plant and equipment 152 19 Other financial liabilities 153 20 Subordinated liabilities 154 21 Other liabilities 155 22 Share capital and reserves 156 23 Structured entities 157 24 Asset transfers 158 25 Capital resources 159 26 Memorandum items 160 27 Analysis of the net investment in business interests and intangible assets 162 28 Non-cash and other items 163 29 Analysis of changes in financing during the year 164 30 Analysis of cash and cash equivalents 164 31 Directors’ and key management remuneration 165 32 Transactions with directors and key management 165 33 Related parties 166 34 Ultimate holding company 168 35 Post balance sheet events 168 36 Related undertakings 169 Independent auditors’ report to the members of National Westminster Bank Plc NWB Group Annual Report and Accounts 2024 87 Opinion In our opinion:  the financial statements of National Westminster Bank Plc’s (the ‘Bank’) and its subsidiaries (together the ‘Group’) give a true and fair view of the state of the Group’s and of the Bank’s affairs as at 31 December 2024 and of the Group’s profit for the year then ended;  the Group financial statements have been properly prepared in accordance with UK adopted International Accounting Standards (IAS) and International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB);  the Bank financial statements have been properly prepared in accordance with UK adopted IAS as applied in accordance with section 408 of the Companies Act 2006; and  the financial statements have been prepared in accordance with the requirements of the Companies Act 2006. We have audited the financial statements of the Group and the Bank for the year ended 31 December 2024 which comprise: Group Bank  Consolidated balance sheet as at 31 December 2024;  Consolidated income statement for the year then ended;  Consolidated statement of comprehensive income for the year then ended;  Consolidated statement of changes in equity for the year then ended;  Consolidated cash flow statement for the year then ended;  Accounting policies;  Related Notes 1 to 36 to the financial statements; and  Risk and capital management section of the Strategic report identified as ‘audited’.  Balance sheet as at 31 December 2024;  Statement of changes in equity for the year then ended;  Cash flow statement for the year then ended;  Accounting policies; and  Related Notes 5, 7-22 and 24-36 to the financial statements. The financial reporting framework that has been applied in their preparation is applicable law and UK adopted IAS, IFRS as issued by the IASB, and as regards to the Bank financial statements, as applied in accordance with section 408 of the Companies Act 2006. Basis for opinion We conducted our audit in accordance with International Standards on Auditing (UK) (ISAs (UK)) and applicable law. Our responsibilities under those standards are further described in the Auditor’s responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Independence We are independent of the Group and the Bank in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, including the FRC’s Ethical Standard as applied to listed public interest entities, and we have fulfilled our other ethical responsibilities in accordance with these requirements. The non-audit services prohibited by the FRC’s Ethical Standard were not provided to the Group or the Bank and we remain independent of the Group and the Bank in conducting the audit. Conclusions relating to going concern In auditing the financial statements, we have concluded that the directors’ use of the going concern basis of accounting in the preparation of the financial statements is appropriate. Our evaluation of the directors’ assessment of the Group and the Bank’s ability to continue to adopt the going concern basis of accounting included:  In conjunction with our walkthrough of the Group’s financial close process, we confirmed our understanding of management’s going concern assessment process and engaged with management early to ensure all key factors were considered in their assessment;  We evaluated management’s going concern assessment which included assessing their evaluation of long-term business and strategic plans, capital adequacy, liquidity, and funding positions. Management also assessed these positions considering internal stress tests which included consideration of principal and emerging risks. The Group’s risk profile and risk management practices were considered including capital risk, liquidity and funding risk, credit risk, non-traded market risk, pension risk, compliance and conduct risk, financial crime risk, climate risk, operational risk, model risk, and reputational risk;  With the involvement of specialists, we evaluated management's assessment by considering the Group's ability to continue in operation and meet its liabilities under different scenarios including the impact of the Group's strategic plans, and the current uncertain geopolitical and economic outlook;  Considered the results of the Group’s stress testing; and  We reviewed the Group’s going concern disclosures included in the annual report for conformity with the reporting standards. Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the Group and the Bank’s ability to continue as a going concern over the twelve months from the date when the financial statements are authorised for issue. Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 88 Our responsibilities and the responsibilities of the directors with respect to going concern are described in the relevant sections of this report. However, because not all future events or conditions can be predicted, this statement is not a guarantee as to the Group and the Bank’s ability to continue as a going concern. Overview of our audit approach Audit scope  We performed an audit of the complete financial information of two components and audit procedures on specific balances for a further two components.  We performed central procedures for certain audit areas and balances as outlined in the Tailoring the scope section of our report. Key audit matters  Expected credit loss provisions  Pension valuation and net pension balance  IT access management  Recognition and impairment of investments in group undertakings in the Bank’s financial statements Materiality  Overall Group materiality of £237 million which represents 5% of profit before tax of the Group of £4,663 million (2023 - £4,789 million) adjusted for non-recurring conduct and litigation costs.  Bank materiality of £216 million (2023 - £181 million), which is 1% (2023 - 0.8%) of equity of the Bank. An overview of the scope of the Bank and Group audits Tailoring the scope In the current year our audit scoping has been updated to reflect the new requirements of ISA (UK) 600 (Revised). We have followed a risk-based approach when developing our audit approach to obtain sufficient appropriate audit evidence on which to base our audit opinion. We performed risk assessment procedures, with input from our component audit teams, to identify and assess risks of material misstatement of the Group financial statements and identified significant accounts and disclosures. When identifying components at which audit work needed to be performed to respond to the identified risks of material misstatement of the Group financial statements, we considered our understanding of the Group and its business environment, the potential impact of climate change, the applicable financial framework, the Group’s system of internal control at the entity level, the existence of centralised processes, applications and any relevant internal audit results. The scoping for the current year is as follows: Component Scope Key locations Retail Banking Full United Kingdom Commercial & Institutional Full United Kingdom Private Banking Specific United Kingdom Digital X Specific United Kingdom We determined that centralised audit procedures can be performed across the identified components in the following audit areas: financial control and reporting; modelled expected credit loss provisions; pensions, recognition and impairment of investment in subsidiaries, information technology; provisions for customer redress, litigation and other regulatory matters; and taxation. We identified all four components as individually relevant to the Group due to relevant events and conditions underlying the identified risks of material misstatement of the group financial statements being associated with the reporting components or a pervasive risk of material misstatement of the group financial statements or a significant risk or an area of higher assessed risk of material misstatement of the group financial statements being associated with the components. For those individually relevant components, we identified the significant accounts where audit work needed to be performed at these components by applying professional judgement, having considered the group significant accounts on which centralised procedures will be performed, the reasons for identifying the financial reporting component as an individually relevant component and the size of the component’s account balance relative to the group significant financial statement account balance. We then considered whether the remaining group significant account balances not yet subject to audit procedures, in aggregate, could give rise to a risk of material misstatement of the group financial statements. We did not identify additional scope required as we assessed the residual risk to not be material. Having identified the components for which work will be performed, we determined the scope to assign to each component. Our scoping to address the risk of material misstatement for each key audit matter is included in the Key audit matters section of our report. The table below illustrates the coverage obtained from the work performed by our audit teams. We considered total assets, total equity and total income to verify we had appropriate overall coverage. Full scope (1) Specific scope (2) Specified procedures (3) Total assets 83% 16% 0% Total equity 78% 22% 0% Total income 77% 20% 0% (1) Full scope: audit procedures on all significant accounts. (2) Specific scope: audit procedures on selected accounts. (3) Specified procedures: audit procedures as designed by the Group audit team. Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 89 The audit scope of the specific scope components may not have included testing of all significant accounts within the components. However, the testing will have contributed to the total coverage of significant accounts tested for the overall Group. Involvement with component audit teams In establishing our overall approach to the Group audit, we determined the type of work that needed to be undertaken at each of the components by us, as the Group audit engagement team, or by component audit teams operating under our instruction. The Group audit engagement team interacted regularly with the component audit teams where appropriate throughout the course of the audit, which included holding planning meetings, maintaining regular communications on the status of the audits, reviewing key working papers and taking responsibility for the scope and direction of the audit process. The Group audit team continued to follow a programme of oversight that has been designed to ensure that the Senior Statutory Auditor, or another Group audit partner, has ongoing interactions with all in scope locations, including those outside the United Kingdom. The Group audit team interacted regularly with the component audit teams and maintained a continuous and open dialogue, as well as holding formal closing meetings quarterly, to ensure that the Group audit team were fully aware of their progress and results of their procedures. The Group audit team also reviewed key working papers and were responsible for the scope and direction of the audit process. Where relevant, the section on key audit matters details the level of involvement we had with component auditors to enable us to determine that sufficient audit evidence had been obtained as a basis for our opinion on the Group as a whole. This, together with the additional procedures performed at Group level, gave us appropriate evidence for our opinion on the Group financial statements. Climate change Stakeholders are increasingly interested in how climate change will impact the Group. The Group has determined that the most significant future impacts from climate change on its operations will be from credit risk, operational risk and reputational risk. These are explained in the Climate and nature risk section within the Risk and capital management section in the Strategic Report, which forms part of the “Other information,” rather than the audited financial statements. Our procedures on these unaudited disclosures therefore consisted solely of considering whether they are materially inconsistent with the financial statements, or our knowledge obtained in the course of the audit or otherwise appear to be materially misstated, in line with our responsibilities on “Other information”. In planning and performing our audit we assessed the potential impacts of climate change on the Group’s business and any consequential material impact on its financial statements. The Group has explained in Accounting policies how they have reflected the impact of climate change in their financial statements, and the significant judgements and estimates relating to climate change. The Group notes that many of the impacts will be longer term in nature, with an inherent level of uncertainty, and have limited effect on accounting judgements and estimates for the current period under the requirements of UK adopted IAS and IFRS as issued by the IASB. The Group has also explained within the Credit Risk section within the Risk and capital management section, their approach to quantifying the impact of climate transition policy within macroeconomic variables used in the calculation of expected credit losses. Our audit effort in considering the impact of climate change on the financial statements was focused on evaluating the Group’s assessment of the impact of climate risk, their climate commitments and the significant judgements and estimates disclosed in Accounting policies, and whether these have been appropriately reflected in the asset values where these are impacted by future cash flows, and in the timing and nature of liabilities recognised following the requirements of UK adopted IAS and IFRS as issued by the IASB. As part of this evaluation, we performed our own risk assessment, supported by our climate change and economic specialists, to determine the risk of material misstatement in the financial statements from climate change which needed to be considered in our audit. We also evaluated the Directors’ considerations of climate change risks in their assessment of going concern and associated disclosures. Based on our work, whilst we have not identified the impact of climate change on the financial statements to be a standalone key audit matter, we have considered the impact within the key audit matter for expected credit loss provisions and Recognition and impairment of investments in group undertakings in the Bank’s financial statements. Details of our procedures and findings are included in our explanation of key audit matters below. Key audit matters Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial statements of the current period and include the most significant assessed risks of material misstatement (whether or not due to fraud) that we identified. These matters included those which had the greatest effect on: the overall audit strategy, the allocation of resources in the audit; and directing the efforts of the engagement team. These matters were addressed in the context of our audit of the financial statements as a whole, and in our opinion thereon, and we do not provide a separate opinion on these matters. Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 90 Risk Our response to the risk Expected credit loss (ECL) provisions At 31 December 2024 the Group reported total gross loans – amortised cost and fair value through other comprehensive income (FVOCI) of £341.7 billion (2023 - £326.7 billion) and £2.8 billion of expected credit losses (ECL) (2023 - £2.9 billion). Management’s judgements and estimates are especially subjective due to significant uncertainty associated with the assumptions used. These include the impacts of continuing uncertain geopolitical and economic outlook. Aspects with increased complexity and judgements in respect of the timing and measurement of ECL include:  Staging – Completeness and accuracy of allocation of assets into stage 1, 2 and 3 using criteria in accordance with IFRS 9.  Models and model assumptions – Appropriateness of accounting interpretations, modelling assumptions and data used to calculate the ECL, including Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD). There is also complexity in assessing the adequacy of model performance in the current and forecasted economic environment.  Economic scenarios - Inputs, assumptions and weightings used to estimate the impact of multiple economic scenarios truly reflect the current macro-economic environment and are incorporated in the ECL appropriately as at 31 December 2024.  Post-model adjustments (PMAs ) - Completeness and valuation of post-model adjustments which represent approximately 10% of total ECL (2023 - 13%), including adjustments required to address the limitation of models to adequately incorporate the risks of inflation, elevated interest rates, and other geopolitical and economic uncertainties, and the identification of vulnerable customers with higher risks of defaults than currently reflected; and Controls testing - We evaluated the design and operating effectiveness of controls over the ECL process, including those over management’s judgements and estimates. These controls, among others, covered:  the staging of assets per management’s criteria, and their monitoring of stage effectiveness  model governance including development, monitoring and independent validation  input data accuracy and completeness  credit monitoring  the review and challenge of multiple economic scenarios approved  the governance and management review of post-model adjustments; and  the assessment and approval of individual provisions. Overall assessment - We performed an overall assessment of the ECL provision levels by stage to determine if they were reasonable by performing peer benchmarking and sensitivity analysis, to assess the impact of changing selected key assumptions on the ECL provision, taking into consideration the current macroeconomic environment. Staging - We evaluated the criteria used to allocate a financial asset to stage 1, 2 or 3 in accordance with IFRS 9. We recalculated the staging of the complete population of assets based on management’s criteria and performed sensitivity analysis to assess the impact of different criteria on the ECL and the impact of selected collective staging downgrades to industries, geographic regions and high-risk populations that are exposed to recent economic, political or climate change stresses. On the non-personal portfolio, we tested credit monitoring which drives the probability of default estimates used in the staging calculation, we recalculated the risk ratings for a sample of performing loans and focused our testing on high-risk industries, such as commercial real estate, telecommunications, private markets, automotive, health, power utilities, retail and leisure. Models and model assumptions - We selected a sample of models based on both quantitative and qualitative factors. We involved EY modelling specialists to test the assumptions, inputs, methodology and model build. This included a combination of assessing model design and formulae, alternative modelling techniques, recalculating the PD, LGD and EAD, and implementation of new models during the year. We also considered the results of the Group’s internal model monitoring and validation results. To evaluate data quality, we agreed a sample of key data points to source systems, including data used to run the models and historic loss data to monitor models. We also tested the ECL data reconciliations from the calculation engine through to the general ledger and disclosures. Economic scenarios - We involved EY economic specialists to assist us in evaluating the base case and alternative economic scenarios, including evaluating probability weights. This assessment included the impacts of the current geopolitical and economic environment, as well as the impacts of climate change on the economic variables. We assessed whether forecasted macroeconomic variables such as GDP, unemployment rate, Consumer Price Index, UK Stock Price Index, Bank of England base rates and the House Price Index were appropriate. With the support of our credit modelling specialists, we evaluated the correlation and translation of the macroeconomic factors, including the impacts of alternative paths or weights to ECL. Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 91 Risk Our response to the risk Expected credit loss (ECL) provisions continued  Individual provisions - Measurement of individual provisions including the assessment of multiple scenarios and probability weights, the impact of the current uncertain geopolitical and economic outlook on exit or recovery strategies, collateral valuations, and time to collect. Post-Model Adjustments (PMAs) – We, along with our modelling and economic specialists, tested the appropriateness, adequacy and completeness of the PMAs held at year end in response to model and data limitations. This included challenging management’s identification of retail customers vulnerable to price and rate increases, commercial sub-sectors susceptible to inflation and liquidity challenges, loss given default assumptions, and time to collect. We have also challenged the continued recognition of PMAs from previous years, by checking the latest default trends in specific cohorts. We also assessed the use of PMAs against the risk of double counting of either certain portfolios/customers or identified risks. Individual provisions - We recalculated and challenged the scenarios, assumptions, and cash flows for a sample of individual provisions including the alternative scenarios and probability weights assigned, involving EY valuation specialists where appropriate. The samples considered higher risk sectors, such as commercial real estate, telecommunications, automotive, health, power utilities, retail and leisure. We considered the impact of the current geopolitical and economic outlook and climate change had on collateral valuations and time to collect as well as whether planned exit strategies remained viable. How we scoped our audit to respond to the risk and involvement with component teams We performed centralised procedures, full scope and specific scope audit procedures over this risk, which covered 100% of the risk amount. The majority of audit procedures were undertaken by the Group audit team for the components, with component audit teams supporting and reporting on the following audit procedures: − Specific key data testing impacting the ECL calculation, and the credit risk disclosures; − Procedures over the valuation of a sample of individual provisions for cases managed outside of central restructuring; and − Procedures over the valuation of a sample of individual loans not identified as impaired. The Group audit team’s involvement with the component teams and procedures performed included:  Risk assessment procedures and determining the type and extent of work to be undertaken at each of the components;  Regular interactions throughout the course of the audit, including planning meetings, maintaining regular communications on the status, and meetings on results and conclusions; and  Reviewing key working papers and taking responsibility for the scope and direction of the audit process. Key observations communicated to the NatWest Holdings (NWH) Group Audit Committee (1) We are satisfied that the ECL provisions were reasonable and recognised in accordance with IFRS 9. We highlighted the following matters to the NWH Group Audit Committee that contributed to our overall conclusion:  Effectiveness of the overall control environment, including the compensating controls identified by management, where deficiencies were identified.  Results of our testing of models, model assumptions, the key data elements used for ECL calculation, including the reasonableness of the macroeconomic variables, scenarios and weightings used.  Accuracy of staging and the reasonableness of management’s staging criteria, and our independent sensitivity analysis on the staging criteria to assess appropriateness.  Reasonableness and adequacy of the post-model adjustments recorded to reflect risk in the portfolios.  Individually assessed impairments, the overall reasonableness of the provisions, including assumptions applied. Relevant references in the Annual Report and Accounts Credit Risk section of the Risk and capital management section identified as ‘audited’ Accounting policies Note 13 to the financial statements (1) The NWH Group Audit Committee covers the ring-fenced bank legal entities of NatWest Group plc, including National Westminster Bank Plc. Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 92 Risk Our response to the risk Pension valuation and net pension balance The Group operates a number of defined benefit schemes which in aggregate are significant in the context of the overall balance sheet. At 31 December 2024, the Group reported a net pension liability of £37 million (2023 - £32 million) comprising £4 million of schemes in surplus and £41 million of schemes in deficit (2023 - £5 million and £37 million, respectively). The net pension balance is sensitive to changes in the key judgements and estimates, including the effects of the current uncertain geopolitical and economic outlook and associated market volatility, which include: Assumptions - Actuarial assumptions and inputs including discount rate, inflation, pension payments and longevity to determine the valuation of retirement benefit liabilities; Valuations - Pricing inputs and calibrations for illiquid or complex model-dependent valuations of certain investments held by the schemes; Funding – the pension schemes have adequate liquidity to cover for any shortfall in derivative asset prices as a result of current economic conditions; and Augmentation cap - Quantification of trustees’ rights to unilaterally augment benefits (Augmentation cap) to determine the recognition of surplus. Controls testing - We evaluated the design and operating effectiveness of controls over the defined benefit obligation process including the setting of actuarial assumptions, the data inputs used in the actuarial calculation and the measurement of the fair value of the schemes’ assets. Assumptions - We involved our actuarial specialists to evaluate the actuarial assumptions used to calculate the defined benefit obligation by comparing them to ranges independently developed from third party sources and market practice. We assessed the impact on pension liabilities due to changes in financial, demographic and longevity assumptions over the year, and whether these were supported by objective external evidence and rationales, including the effects of current uncertain geopolitical and economic outlook, including market volatility. Valuations - We tested the fair value of scheme assets by independently calculating the fair value for a sample of the assets held. Our sample included cash, equity and debt instruments, derivative financial instruments, and illiquid assets. We involved our valuation specialists to assess the appropriateness of management’s valuation methodology used in the valuation of the complex, illiquid and buy-in insurance assets including the judgements made in the determining significant assumptions used. We independently re-priced illiquid and complex assets that had been valued using unobservable market inputs, using alternative pricing sources where available, to evaluate management’s valuations. Funding – We assessed whether the pension schemes have adequate funding to cover for any shortfall in derivative asset prices given the current economic conditions. Augmentation cap and equalisation adjustments - We involved our actuarial specialists to assess the estimation of the Augmentation cap including the inputs used in the calculation. We also assessed the methodology and judgements made in calculating these estimates and the associated accounting treatment in accordance with IAS 19 and IFRIC 14. Disclosure - We assessed the adequacy of the disclosures made in the financial statements, including the appropriateness of the assumptions, sensitivities and disclosures over investment strategy and risk management. How we scoped our audit to respond to the risk and involvement with component teams We performed full scope audit procedures over this risk, undertaken by the Group audit team, which covered 100% of the risk amount. Key observations communicated to the NWH Group Audit Committee We are satisfied that the valuation and disclosure of the net pension balance are reasonable and in accordance with IFRS. We highlighted the following matters to the NWH Group Audit Committee:  Our benchmarking of key actuarial assumptions including the discount rate, inflation, longevity and pension payments concluded that assumptions were within a reasonable range.  No material differences were identified from our testing including our independent valuation testing for a sample of pension assets.  Management’s accounting for the buy-in transactions during the year was appropriate.  Management’s estimate of the impact of the augmentation cap was reasonable and the methodology consistent with IAS 19 and IFRIC 14. Relevant references in the Annual Report and Accounts Accounting policies Note 5 to the financial statements Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 93 Risk Our response to the risk IT access management The IT environment is complex and pervasive to the operations of the Group due to the large volume of transactions processed in numerous locations daily, with extensive reliance on automated controls. Appropriate IT controls are required to ensure that applications process data as expected and that changes are made in an appropriate manner. This risk is also impacted by the growing dependency on third parties, increasing use of cloud platforms, decommissioning of legacy systems, and migration to new systems. Such controls contribute to mitigating the risk of potential fraud or errors as a result of changes to applications and data. The Group has implemented user access management controls across IT applications, databases and operating systems. We have identified user access-related deficiencies in the past and similar thematic issues have been noted in the current year, and thus the risk of inappropriate access remains. We evaluated the design and operating effectiveness of IT general controls over the applications, operating systems and databases that are relevant to financial reporting. We tested user access by assessing the controls in place for in-scope applications, in particular testing the addition and periodic recertification of users’ access. We continue to focus on key controls enforced by the Group’s user access management tools, including ensuring the completeness of user data, automated identification of movers and leavers and the adequacy of the overall control environment in addressing access-related IT risks to financial reporting. There have been no significant changes in the suite of access management controls operated by the Group in the current year. For systems outsourced to third party service providers, we tested IT general controls through evaluating the relevant Service Organisation Controls (“SOC”) reports (where available). This included assessing the timing of the reporting, the controls tested by the service auditor and whether they addressed relevant IT risks. We also tested required complementary user entity controls performed by management. Where a SOC report was not available, we identified and reviewed compensating business controls to address risks to financial reporting. Several systems have been migrated to a cloud-hosted infrastructure model, however access management processes and controls remained in-house, and they formed part of our testing. Where control deficiencies were identified, we tested remediation activities performed by management and/or compensating controls in place and assessed the impact, of any residual risk over financial statement reporting. We also performed a further aggregation analysis of access management deficiencies identified by EY, management, and Internal Audit to consider the pervasiveness of findings identified, and the impact on our overall approach to access management testing. We noted that no further changes to our approach were required. How we scoped our audit to respond to the risk and involvement with component teams All audit work performed to address this risk was undertaken by the Group audit team. Key observations communicated to the NWH Group Audit Committee Based on our testing procedures, including validating management’s remediation activities, and testing of compensating controls, we are satisfied that reliance can be placed upon IT controls impacting material financial reporting systems. The following matters were reported to the NWH Group Audit Committee:  Overall, in combination with compensating controls, we are satisfied that the Group’s overall IT control environment appropriately supports the financial reporting process.  While improvements have been made to further standardise IT access management processes and controls, there are still IT applications relevant to financial reporting which make use of bespoke tools and/or processes to perform access- related controls. Control deficiencies continued to be observed in these areas, which led to an increase in the overall number of reported IT control deficiencies requiring remediation by management. Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 94 Risk Our response to the risk Recognition and impairment of investments in group undertakings in the Bank’s accounts. At 31 December 2024 the Bank reported investments in group undertakings of £2.5 billion (2023 - £2.6 billion). Management assessed investments in subsidiaries of the Bank, as at 31 December 2024, for indicators of impairment or that impairment charges recognised in prior periods should be reversed in accordance with IAS 36. Where indicators have been identified, management assess any asset impairment based upon value in use. As a result of the assessment management concluded that in the Bank’s accounts the carrying amount investments in group undertakings is recoverable. These estimates are based on the five-year revenue and cost forecasts and the output of a subsequent value in use computation, within which we identify the following key judgements / estimates:  Profitability estimates  Macroeconomic assumptions;  Capital forecasts; and  Modelling assumptions and inputs (including discount rate and long-term growth rate). Controls testing - We evaluated the design and operating effectiveness of controls over the key judgemental inputs (macroeconomic assumptions including interest rates, business forecasts and capital). In addition, we have assessed the controls over the methodology, models and methods utilised in the Value in Use (VIU) calculation. Assumption and model testing:  Tested the mathematical accuracy of the models and calculations utilised in the VIU computation.  Challenged the reasonableness and achievability of management forecasts from a combination of historical performance, benchmarking with external data and evaluating underlying business strategies.  Engaged specialists to evaluate the appropriateness of significant assumptions (macroeconomic, modelling assumptions and inputs).  Assessed the sensitivity of the VIU to reasonable variations in significant assumptions, both individually and in aggregate. Disclosure - We challenged and verified the adequacy of the information disclosed in the Bank’s annual accounts in accordance with applicable standards and regulations. How we scoped our audit to respond to the risk and involvement with component teams Procedures performed to respond to this risk were undertaken by the Group audit team, which covered 100% of the risk amount pertaining to the Bank. Key observations communicated to the NWH Group Audit Committee  We are satisfied that the carrying value of investments in group undertakings in the Bank’s accounts were reasonable and recognised in accordance with IFRS. We highlighted the following matters to the NWH Group Audit Committee that contributed to our overall conclusion:  Effectiveness of the overall control environment, including management’s identification of compensating controls where deficiencies were identified;  Reasonableness of the methodologies, judgements and assumptions used by management to conclude upon the recognition of the related balances;  Management's approach to estimating the recoverable amounts for the subsidiaries of the Group is reasonable. Relevant references in the Annual Report and Accounts Accounting policies Note 14 to the financial statements In the prior year, our auditor’s report included a key audit matter in relation to provisions for customer redress, litigation and other regulatory matters. We did not consider this to be a key audit matter in the current year due to the resolution of several matters, reducing the assessed risk and audit effort. Further, we have refined one of the key audit matters in the current year, to now exclude the recognition of deferred tax assets due to the reduced sensitivity of the recognised asset to the underlying forecast. Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 95 Our application of materiality We apply the concept of materiality in planning and performing the audit, in evaluating the effect of identified misstatements on the audit and in forming our audit opinion. Materiality The magnitude of an omission or misstatement that, individually or in the aggregate, could reasonably be expected to influence the economic decisions of the users of the financial statements. Materiality provides a basis for determining the nature and extent of our audit procedures. We determined materiality for the Group to be £237 million (2023 - £246 million), which is 5% (2023 - 5%) of profit before tax of the Group of £4,663 million (2023 - £4,789 million) adjusted for non-recurring conduct and litigation costs. We believe removing these non- recurring charges reflects the most useful measure for users of the financial statements and is consistent with the prior year. The 5% basis used for Group materiality is consistent with the wider industry and is the standard for listed and regulated entities. We determined materiality for the Bank to be £216 million (2023 - £181 million), which is 1% (2023 - 0.8%) of equity of the Bank. We believe this reflects the most useful measure for users of the financial statements as the Bank’s primary purpose is to act as a holding company with investments in the Group’s subsidiaries, not to generate operating profits and therefore a profit-based measure is not relevant. Performance materiality The application of materiality at the individual account or balance level. It is set at an amount to reduce to an appropriately low level the probability that the aggregate of uncorrected and undetected misstatements exceeds materiality. On the basis of our risk assessments, together with our assessment of the Group’s overall control environment, our judgement was that performance materiality was 75% (2023 - 75%) of our planning materiality, namely £178 million (2023 - £185 million). We have based the percentage of performance materiality on a number of considerations, including the number and amount of identified misstatements, the effectiveness of the control environment and other factors affecting the entity and its financial reporting. Audit work was undertaken at component teams for the purpose of responding to the assessed risks of material misstatement of the group financial statements. The performance materiality set for each component is based on the relative scale and risk of the component to the Group as a whole and our assessment of the risk of misstatement at that component. In the current year, the range of performance materiality allocated to components was £68 million to £159 million (2023 - £102 million to £162 million). Reporting threshold An amount below which identified misstatements are considered as being clearly trivial. We agreed with the NWH Audit Committee that we would report to them all uncorrected audit differences in excess of £12 million (2023 - £12 million), which is set at 5% of planning materiality, as well as differences below that threshold that, in our view, warranted reporting on qualitative grounds. We evaluate any uncorrected misstatements against both the quantitative measures of materiality discussed above and in light of other relevant qualitative considerations in forming our opinion. Other information The other information comprises the information included in the Annual Report and Accounts, including the Strategic report, Report of the directors, Statement of directors’ responsibilities, Risk factors, and Forward-looking statements, other than the financial statements and our auditor’s report thereon. The directors are responsible for the other information contained within the annual report. Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in this report, we do not express any form of assurance conclusion thereon. Our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the course of the audit or otherwise appears to be materially misstated. If we identify such material inconsistencies or apparent material misstatements, we are required to determine whether this gives rise to a material misstatement in the financial statements themselves. If, based on the work we have performed, we conclude that there is a material misstatement of the other information, we are required to report that fact. We have nothing to report in this regard. Opinions on other matters prescribed by the Companies Act 2006 In our opinion, based on the work undertaken in the course of the audit:  the information given in the Strategic report and the Report of the directors for the financial year for which the financial statements are prepared is consistent with the financial statements; and  the Strategic report and Report of the directors have been prepared in accordance with applicable legal requirements; Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 96 Matters on which we are required to report by exception In the light of the knowledge and understanding of the Group and the Bank and its environment obtained in the course of the audit, we have not identified material misstatements in the Strategic report or the Report of the directors. We have nothing to report in respect of the following matters in relation to which the Companies Act 2006 requires us to report to you if, in our opinion:  adequate accounting records have not been kept by the Bank, or returns adequate for our audit have not been received from branches not visited by us; or  the Bank financial statements are not in agreement with the accounting records and returns; or  certain disclosures of directors’ remuneration specified by law are not made; or  we have not received all the information and explanations we require for our audit. Responsibilities of directors As explained more fully in the Statement of directors’ responsibilities, the directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view, and for such internal control as the directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the directors are responsible for assessing the Group and Bank’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the Group or the Bank or to cease operations, or have no realistic alternative but to do so. Auditor’s responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. Explanation as to what extent the audit was considered capable of detecting irregularities, including fraud Irregularities, including fraud, are instances of non-compliance with laws and regulations. We design procedures in line with our responsibilities, outlined above, to detect irregularities, including fraud. The risk of not detecting a material misstatement due to fraud is higher than the risk of not detecting one resulting from error, as fraud may involve deliberate concealment by, for example, forgery or intentional misrepresentations, or through collusion. The extent to which our procedures are capable of detecting irregularities, including fraud is detailed below. However, the primary responsibility for the prevention and detection of fraud rests with both those charged with governance of the company and management.  We obtained an understanding of the legal and regulatory frameworks that are applicable to the Group and determined that the most significant are the regulations, licence conditions and supervisory requirements of the Prudential Regulation Authority (PRA) and the Financial Conduct Authority (FCA); and Companies Act 2006.  We understood how the Group is complying with those frameworks by making inquiries of management, internal audit and those responsible for legal and compliance matters. We also reviewed correspondence between the Group and banking regulatory bodies in relevant jurisdictions; reviewed minutes of the NWH Board and Risk Committees; and gained an understanding of the Group’s governance framework.  Conducted a review of correspondence with (and reports from) the banking regulators in relevant jurisdictions, including the PRA and the FCA.  Carried out an assessment of matters reported on the Group’s whistleblowing programmes where these related to the financial statements.  We assessed the susceptibility of the Group’s financial statements to material misstatement, including how fraud might occur by considering the controls established to address risks identified to prevent or detect fraud. We also assessed the risks of fraud in our key audit matters. Our procedures over our key audit matters and other significant accounting estimates included challenging management on the assumptions and judgements made in determining these estimates.  We designed our audit procedures to identify non-compliance with such laws and regulations. Our procedures involved inquiries of internal and external legal counsel, executive management, internal audit and reading reports of reviews performed by external legal counsel. We also tested controls and performed procedures to respond to any financial statement impacts of non-compliance with laws and regulations. These procedures were performed by both the Group audit team and component audit teams with oversight from the Group audit team.  Identified and tested journal entries, including those posted with certain descriptions or unusual characteristics, backdated journals or posted by infrequent and unexpected users.  The Group operates in the banking industry which is a highly regulated environment. As such, the Senior Statutory Auditor considered the experience and expertise of the engagement team to ensure that the team had the appropriate competence and capabilities, involving specialists where appropriate. Independent auditors’ report to the members of National Westminster Bank Plc continued NWB Group Annual Report and Accounts 2024 97 A further description of our responsibilities for the audit of the financial statements is located on the Financial Reporting Council’s website at https://www.frc.org.uk/auditorsresponsibilities. This description forms part of our auditor’s report. Other matters we are required to address  Following the recommendation from the NWH Group Audit Committee, we were appointed by the Group at its annual general meeting on 4 May 2016 to audit the financial statements of the Group for the year ending 31 December 2016 and subsequent financial periods.  The period of total uninterrupted engagement including previous renewals and reappointments is 9 years, covering periods from our appointment through 31 December 2024.  The audit opinion is consistent with the additional report to the NWH Group Audit Committee. Use of our report This report is made solely to the company’s members, as a body, in accordance with Chapter 3 of Part 16 of the Companies Act 2006. Our audit work has been undertaken so that we might state to the company’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the company and the company’s members as a body, for our audit work, for this report, or for the opinions we have formed. Javier Faiz (Senior statutory auditor) for and on behalf of Ernst & Young LLP, Statutory Auditor London, United Kingdom 13 February 2025 Consolidated income statement For the year ended 31 December 2024 NWB Group Annual Report and Accounts 2024 98 2024 2023 Note £m £m Interest receivable 18,100 14,764 Interest payable (9,892) (6,741) Net interest income 1 8,208 8,023 Fees and commissions receivable 2,276 2,177 Fees and commissions payable (542) (508) Other operating income 2,031 2,394 Non-interest income 2 3,765 4,063 Total income 11,973 12,086 Staff costs (3,301) (3,109) Premises and equipment (1,099) (1,039) Other administrative expenses (1,576) (1,768) Depreciation and amortisation (987) (877) Operating expenses 3 (6,963) (6,793) Profit before impairment losses 5,010 5,293 Impairment losses 13 (347) (504) Operating profit before tax 4,663 4,789 Tax charge 7 (1,238) (1,280) Profit for the year 3,425 3,509 Attributable to: Ordinary shareholders 3,237 3,368 Paid-in equity holders 194 142 Non-controlling interests (6) (1) 3,425 3,509 Consolidated statement of comprehensive income For the year ended 31 December 2024 2024 2023 £m £m Profit for the year 3,425 3,509 Items that do not qualify for reclassification Remeasurement of retirement benefit schemes (150) (147) Tax 39 40 (111) (107) Items that do qualify for reclassification FVOCI financial assets (28) 43 Cash flow hedges (1) 405 (290) Currency translation (18) (17) Tax (107) 73 252 (191) Other comprehensive income/(loss) after tax 141 (298) Total comprehensive income for the year 3,566 3,211 Attributable to: Ordinary shareholders 3,377 3,070 Paid-in equity holders 194 142 Non-controlling interests (5) (1) 3,566 3,211 (1) Refer to footnotes 2 and 3 of the Statement in changes in equity. Balance sheet As at 31 December 2024 NWB Group Annual Report and Accounts 2024 99 NWB Group NWB Plc 2024 2023 2024 2023 Note £m £m £m £m Assets Cash and balances at central banks 9 35,095 48,259 35,083 48,238 Derivatives 12 2,874 3,184 2,892 3,213 Loans to banks - amortised cost 9 3,426 3,355 3,148 3,043 Loans to customers - amortised cost 9 332,013 318,466 297,548 284,314 Amounts due from holding companies and fellow subsidiaries 9 3,736 2,311 36,383 33,499 Securities subject to repurchase agreements 8,984 6,469 8,984 6,469 Other financial assets excluding securities subject to repurchase agreements 30,587 25,475 29,814 24,623 Other financial assets 15 39,571 31,944 38,798 31,092 Investment in group undertakings 14 - - 2,520 2,615 Other assets 16 7,594 7,949 5,503 5,735 Total assets 424,309 415,468 421,875 411,749 Liabilities Bank deposits 9 24,780 18,052 24,778 18,052 Customer deposits 9 318,290 313,752 275,972 276,202 Amounts due to holding companies and fellow subsidiaries 9 47,724 47,252 90,925 84,174 Derivatives 12 1,177 1,718 1,323 2,014 Other financial liabilities 19 4,999 9,011 3,824 8,147 Subordinated liabilities 20 122 122 119 119 Notes in circulation 935 806 935 806 Other liabilities 21 3,164 3,325 2,390 2,534 Total liabilities 401,191 394,038 400,266 392,048 Owners' equity 22 23,093 21,395 21,609 19,701 Non-controlling interests 25 35 - - Total equity 23,118 21,430 21,609 19,701 Total liabilities and equity 424,309 415,468 421,875 411,749 Owners’ equity of NWB Plc as at 31 December 2024 includes the profit for the year of £3,613 million (2023 - £3,625 million). The accounts were approved by the Board of directors on 13 February 2025 and signed on its behalf by: Richard Haythornthwaite John-Paul Thwaite Katie Murray National Westminster Bank Plc Chair Chief Executive Officer Chief Financial Officer Registration No. 929027 Statement of changes in equity For the year ended 31 December 2024 NWB Group Annual Report and Accounts 2024 100 NWB Group NWB Plc 2024 2023 2024 2023 Note £m £m £m £m Called-up share capital - at 1 January and 31 December 22 1,678 1,678 1,678 1,678 Paid-in equity - at 1 January 2,518 2,518 2,518 2,518 Issued 799 - 799 - At 31 December 22 3,317 2,518 3,317 2,518 Share premium account - at 1 January and 31 December 2,225 2,225 2,225 2,225 Merger reserve - at 1 January 28 77 - (2) Amortisation (18) (49) - 2 At 31 December 10 28 - - FVOCI reserve - at 1 January (41) (76) (52) (76) Unrealised losses (46) - (52) (11) Realised losses 18 43 32 43 Tax 6 (8) 6 (8) At 31 December (63) (41) (66) (52) Cash flow hedging reserve - at 1 January (600) (391) (601) (393) Amount recognised in equity (2) 119 (180) 125 (180) Amount transferred from equity to earnings (3) 286 (110) 283 (109) Tax (113) 81 (114) 81 At 31 December (308) (600) (307) (601) Foreign exchange reserve - at 1 January (104) (87) (18) (18) Retranslation of net assets (44) (31) (28) (12) Foreign currency gains on hedges of net assets 25 14 16 12 At 31 December (123) (104) (30) (18) Capital redemption reserve - at 1 January and 31 December 820 820 820 820 Retained earnings - at 1 January 14,871 13,302 13,131 11,491 Profit attributable to ordinary shareholders and other equity owners 3,431 3,510 3,613 3,625 Paid-in equity dividends paid (194) (142) (194) (142) Ordinary dividends paid (2,516) (1,738) (2,516) (1,738) Remeasurement of the retirement benefit schemes - gross (150) (147) (139) (139) - tax 39 40 39 39 Shares issued under employee share schemes - gross 16 - 16 - - tax 6 - 6 - Share-based payments - gross (5) 10 (5) 10 - tax 21 (13) 21 (13) Amortisation of merger reserve 18 49 - (2) At 31 December 15,537 14,871 13,972 13,131 For the notes to this table refer to the following page. Statement of changes in equity for the year ended 31 December 2024 continued NWB Group Annual Report and Accounts 2024 101 NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Owners' equity at 31 December 23,093 21,395 21,609 19,701 Non-controlling interests - at 1 January 35 10 - - Currency translation adjustments and other movements 1 - - - Loss attributable to non-controlling interests (6) (1) - - Dividends paid (5) (5) - - Acquisition of subsidiary - 31 - - At 31 December 25 35 - - Total equity at 31 December 23,118 21,430 21,609 19,701 Attributable to: Ordinary shareholders 19,776 18,877 18,292 17,183 Paid-in equity holders 3,317 2,518 3,317 2,518 Non-controlling interests 25 35 - - 23,118 21,430 21,609 19,701 (1) The total distributable reserves for NWB Plc is £13,569 million (2023 – £12,460 million). Refer to Note 22 for additional information. (2) The change in the cash flow hedging reserve is driven by realised accrued interest transferred into the income statement and an increase in swap rates in the year. The portfolio of hedging instruments are predominantly pay fixed swaps. (3) As referred to in Note 12, the amount transferred from equity to the income statement is mostly recorded within net interest income mainly within loans to banks and customers – amortised cost, balances at central banks and customer deposits. Cash flow statement For the year ended 31 December 2024 NWB Group Annual Report and Accounts 2024 102 NWB Group NWB Plc 2024 2023 2024 2023 Note £m £m £m £m Cash flows from operating activities Operating profit before tax 4,663 4,789 4,680 4,705 Adjustments for: Non-cash and other items 28 2,174 1,329 1,424 396 Changes in operating assets and liabilities 28 (5,981) (10,132) (7,007) (8,999) Income taxes paid (1,186) (780) (993) (484) Net cash flows from operating activities (1,2) (330) (4,794) (1,896) (4,382) Cash flows from investing activities Sale and maturity of other financial assets 34,959 18,254 33,860 17,887 Purchase of other financial assets (42,561) (35,090) (41,551) (34,249) Income received on other financial assets 798 450 768 435 Net movement in business interests and intangible assets 27 (2,883) (724) (2,861) (1,188) Dividends received from subsidiaries - - 553 617 Sale of property, plant and equipment 183 92 101 34 Purchase of property, plant and equipment (452) (787) (252) (544) Net cash flows from investing activities (9,956) (17,805) (9,382) (17,008) Cash flows from financing activities Issue of paid-in equity 799 - 799 - Issue of subordinated liabilities 600 1,263 600 1,263 Redemption of subordinated liabilities (579) (539) (579) (539) Interest paid on subordinated liabilities (184) (145) (159) (120) Issue of MRELs 1,187 441 927 441 Maturity and redemption of MRELs (1,190) (157) (930) (107) Interest paid on MRELs (247) (293) (215) (261) Dividends paid (2,715) (1,885) (2,710) (1,880) Net cash flows from financing activities (2,329) (1,315) (2,267) (1,203) Effects of exchange rate changes on cash and cash equivalents (256) (403) (259) (397) Net decrease in cash and cash equivalents (12,871) (24,317) (13,804) (22,990) Cash and cash equivalents at 1 January 52,001 76,318 52,482 75,472 Cash and cash equivalents at 31 December 30 39,130 52,001 38,678 52,482 (1) NWB Group includes interest received of £17,968 million (2023 - £14,320 million) and interest paid of £9,807 million (2023 - £6,043 million), and NWB Plc includes interest received of £17,094 million (2023 – £13,338 million) and interest paid of £9,581 million (2023 - £6,259 million). (2) The total cash outflow for leases for NWB Group was £78 million (2023 - £100 million) and for NWB Plc £66 million (2023 - £89 million). This included payment of principal for NWB Group of £63 million (2023 - £84 million) and NWB Plc of £58 million (2023 - £76 million). These amounts are included in operating activities in the cash flow statement. . Accounting policies 1. Presentation of financial statements National Westminster Bank Plc (NWB Plc) is incorporated in the UK and registered in England and Wales. The financial statements are presented in the functional currency, pounds sterling. The audited financial statements include these accounting policies, the accompanying notes to the financial statements on pages 109 to 172 and the audited sections of the Risk and capital management section on pages 10 to 77 which together from an integral part of the primary financial statements. The directors have prepared the financial statements on a going concern basis after assessing the principal risks, forecasts, projections and other relevant evidence over the twelve months from the date the financial statements are approved (refer to the Report of the directors) and in accordance with UK-adopted International Accounting Standards (IAS), and International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB). The critical and material accounting policies and related judgements are set out below. The financial statements are presented on an historical cost basis except for certain financial instruments and investment properties which are stated at fair value. The effect of the amendments to IFRS effective from 1 January 2024 on our financial statements was immaterial. We have applied the exception from the accounting requirements for deferred taxes in IAS 12 Income taxes in respect of Pillar 2 income taxes issued by the IASB in May 2023. Accordingly, we have not recognised or disclosed information about deferred tax assets and liabilities related to Pillar 2 income taxes. Our consolidated financial statements incorporate the results of NWB Plc and the entities it controls. Control arises when we have the power to direct the activities of an entity so as to affect the return from the entity. Control is assessed by reference to our ability to enforce our will on the other entity, typically through voting rights. The consolidated financial statements are prepared under consistent accounting policies. On the acquisition of a business from a NatWest Group company, the assets, liabilities and IFRS reserves, such as the cash flow hedging reserve, are recognised at their inherited values taken from the consolidated financial statements of NatWest Group plc and include the accounting history since initial recognition. The acquirer recognises, in merger reserve, any difference between the consideration paid and the net items recognised at inherited values. We apply accounting for associates and joint arrangements to entities where we have significant influence, but not control, over the operating and financial policies. We assess significant influence by reference to a presumption of voting rights of more than 20%, but less than 50%, supplemented by a qualitative assessment of substantive rights which include representation at the Board of Directors and significant exchange of managerial personnel or technology amongst others. Investments in associates and joint ventures are recorded upon initial recognition at cost and increased or decreased each period by the share of the subsequent levels of profit or loss. Other changes in equity are considered in line with their nature. How Climate risk affects our accounting judgements and estimates Business planning Key financial estimates are based on management's latest five- year revenue and cost forecasts. The outputs from this forecast affect forward-looking accounting estimates. Measurement of deferred tax and expected credit losses (ECL) are highly sensitive to reasonably possible changes in those anticipated conditions. In 2024, our scenario planning was enhanced by the further integration of NatWest Group’s climate transition plan, including the assessment of climate-related risks and opportunities. Our Climate transition plan includes an assessment of: changes in products, services and business operations  to support customer transition towards net zero; financial impacts of supporting customer transition,  including investment required. The linkage between our financial plan and our Climate transition plan will continue to be developed and refreshed annually as part of the financial planning cycle; the climate impact of policies, using the UK Climate  Change Committee (UK CCC) Balanced Net Zero (BNZ) pathway scenario, aligned with the UK’s Sixth Carbon Budget. In addition, we have used the credibility ratings for sectoral policies provided by the UK CCC 2023 Progress Report, published in July, to the Parliament to develop a BNZ adjusted pathway to reflect estimated time delays of these policies. There remains considerable uncertainty regarding this policy response, including the effect of wider geo-political uncertainty on governmental ambitions regarding climate transition and the effect of decarbonisation on wider economic growth, technology development and customer behaviours. Information used in other accounting estimates We make use of reasonable and supportable information to make accounting judgements and estimates. This includes information about the observable effects of the physical and transition risks of climate change on the current creditworthiness of borrowers, asset values and market indicators. Many of the effects arising from climate change will be longer term in nature, with an inherent level of uncertainty, and have limited effect on accounting judgements and estimates for the current period. Some physical and transition risks can manifest in the shorter term. The following items represent the most significant effects: The classification of financial instruments linked to climate, or  other sustainability indicators. Consideration is given to whether the effect of climate-related terms prevent the instrument cashflows being solely payments of principal and interest. The use of market indicators as inputs to fair value is  assumed to include current information and knowledge regarding the effect of climate risk. Effect of climate change in the estimation of ECL We are monitoring the effect of the physical and transition consequences of climate change on our experience of loan loss. We use available information regarding the effect of climate transition policy largely driven by carbon prices as an adjustment to macroeconomic factors that are used as inputs to the models that generate PD and LGD outcomes, which are key inputs to the ECL calculation. The determination of whether specific loss drivers and climate events generate specific losses is ongoing and is necessary to determine how sensitive changes in ECL could be to climate inputs. Future cashflows are discounted, so long-dated cashflows are less likely to affect current expectations on credit loss. Our assessment of sector-specific risks, and whether additional adjustments are required, includes expectations of the ability of those sectors to meet their financing needs in the market. Changes in credit stewardship and credit risk appetite that stem from climate transition policies may directly affect our positions NWB Group Annual Report and Accounts 2024 103 ccounting policies continued A NWB Group Annual Report and Accounts 2024 104 2. Critical accounting policies The judgements and assumptions involved in our accounting policies that are considered by the Board to be the most important to the portrayal of our financial condition are noted below. The use of estimates, assumptions or models that differ from those adopted by us would affect our reported results. Management’s consideration of uncertainty is outlined in the relevant sections, including the ECL estimate in the Risk and capital management section. Information used for significant estimate Further Policy Judgement Estimate information Deferred tax Determination of whether sufficient sustainable Our estimates are based on the five-year Note 7 taxable profits will be generated in future years revenue and cost forecasts (which inherent to recover the deferred tax asset. uncertainties). Fair value – Classification of a fair value instrument as level 3, Estimation of the fair value, where it is Note 10 financial where the valuation is driven by unobservable reasonably possible to have alternative instruments inputs. assumptions in determining the FV. Loan Definition of default against which to apply PD, ECL estimates contain a number of Note 13 impairment LGD and EAD models. Selection of multiple measurement uncertainties (such as the provisions economic scenarios. weighting of multiple economic scenarios) and Criteria for a significant increase in credit risk. disclosures include sensitivities to show the Identification of risks not captured by the models. impact on other reasonably possible scenarios. Investment in Our estimates are based on the five-year Note 14 Group revenue and cost forecasts (which include undertakings inherent uncertainties). (parent Long term growth rate and discount rate are company subject to uncertain factors. only) Changes in judgements and assumptions could result in a material adjustment to those estimates in future reporting periods. 2.1. Deferred tax Deferred tax is the estimated tax expected to be payable or recoverable in respect of temporary differences between the carrying amount of an asset or liability for accounting purposes and the carrying amount for tax purposes in the future. Deferred tax liabilities are generally recognised for all taxable temporary differences and deferred tax assets are recognised to the extent their recovery is probable. Deferred tax is calculated using tax rates expected to apply in the periods when the assets will be realised or the liabilities settled, based on tax rates and laws enacted, or substantively enacted, at the balance sheet date. Deferred tax asset recoverability is based on the level of supporting eligible and available deferred tax liabilities we have and of our future taxable profits. These future taxable profits are based on our five-year revenue and cost forecasts and the expectation of long-term economic growth beyond this period. The five-year forecast takes account of management’s current expectations of competitiveness and profitability. The long-term growth rate reflects external indicators which will include market expectations on climate risk. We do not consider any additional adjustments to this indicator. 2.2. Fair value – financial instruments We measure financial instruments at fair value when they are classified as mandatory fair value through profit or loss; held-for- trading; designated fair value through profit or loss and fair value through other comprehensive income and they are recognised in the financial statements at fair value. All derivatives are measured at fair value. We manage some portfolios of financial assets and financial liabilities based on our net exposure to either market or credit risk. In these cases, the fair value is derived from the net risk exposure of that portfolio with portfolio level adjustments applied to incorporate bid-offer spreads, counterparty credit risk, and funding costs (refer to ‘Valuation Adjustments’). Where the market for a financial instrument is not active, fair value is established using a valuation technique. These valuation techniques involve a degree of estimation, the extent of which depends on the instrument’s complexity and the availability of market-based data. The complexity and uncertainty in the financial instrument’s fair value is categorised using the fair value hierarchy. The use of market indicators as inputs to fair value is assumed to include current information and knowledge regarding the effect of climate risk. 2.3. Loan impairment provisions: ECL At each balance sheet date each financial asset or portfolio of financial assets measured at amortised cost or at fair value through other comprehensive income, issued financial guarantee and loan commitment (other than those classified as held for trading) is assessed for impairment. Any change in impairment is reported in the income statement. Loss allowances are forward-looking, based on 12-month ECL where there has not been a significant increase in credit risk rating, otherwise allowances are based on lifetime expected losses. ECL is a probability-weighted estimate of credit losses. The probability is determined by the risk of default which is applied to the cash flow estimates. In the absence of a change in credit rating, allowances are recognised when there is a reduction in the net present value of expected cash flows. Following a significant increase in credit risk, ECL is adjusted from 12 months to lifetime. This will lead to a higher impairment charge. The measurement of ECL considers the ability of borrowers to make payments as they fall due. Future cashflows are discounted, so long dated cashflows are less likely to affect current expectations on credit loss. Our assessment of sector specific risks, and whether additional adjustments are required, include expectations of the ability of those sectors to meet their financing needs in the market. Accounting policies continued 2. Critical accounting policies continued NWB Group Annual Report and Accounts 2024 105 Changes in credit stewardship and credit risk appetite that stem from climate transition policies may directly affect our positions. Judgement is exercised as follows:  Non-modelled portfolios – use a standardised capital requirement under Basel II. Under IFRS 9, they have bespoke treatments for the identification of significant increase in credit risk. Benchmark PDs, EADs and LGDs are reviewed annually for appropriateness. The ECL calculation is based on expected future cash flows, which is typically applied at a portfolio level.  Multiple economic scenarios (MES) – the central, or base, scenario is most critical to the ECL calculation, independent of the method used to generate a range of alternative outcomes and their probabilities.  Significant increase in credit risk - IFRS 9 requires that at each reporting date, an entity shall assess whether the credit risk on an account has increased significantly since initial recognition. Part of this assessment requires a comparison to be made between the current lifetime PD (i.e. the current probability of default over the remaining lifetime) with the equivalent lifetime PD as determined at the date of initial recognition. On restructuring where a financial asset is not derecognised, the revised cash flows are used in re-estimating the credit loss. Where restructuring causes derecognition of the original financial asset, the fair value of the replacement asset is used as the closing cash flow of the original asset. Where, in the course of the orderly realisation of a loan, it is exchanged for equity shares or property, the exchange is accounted for as the sale of the loan and the acquisition of equity securities or investment property. Where our acquired interest is in equity shares, relevant polices for control, associates and joint ventures apply. Impaired financial assets are written off and therefore derecognised from the balance sheet when we conclude that there is no longer any realistic prospect of recovery of part, or all, of the loan. For financial assets that are individually assessed for impairment, the timing of the write-off is determined on a case- by-case basis. Such financial assets are reviewed regularly and write-off will be prompted by bankruptcy, insolvency, re- negotiation, and similar events. The typical time frames from initial impairment to write-off for our collectively assessed portfolios are:  Retail mortgages - write-off usually occurs within five years, or earlier, when an account is closed, but can be longer where the customer engages constructively,  Credit cards - the irrecoverable amount is typically written off after twelve arrears cycles or at four years post default any remaining amounts outstanding are written off,  Overdrafts and other unsecured loans - write-off occurs within six years,  Commercial loans - write-offs are determined in the light of individual circumstances; and uncollateralised impaired business loans are generally written off within five years. 2.4. Investment in Group undertakings Our investments in Group undertakings (subsidiaries) are stated at cost less any impairment. 3. Material accounting polices 3.1. Revenue recognition Interest receivable and payable are recognised in the income statement using the effective interest rate method for all financial instruments measured at amortised cost; debt instruments measured as fair value through other comprehensive income; and the effective part of any related accounting hedging instruments. Finance lease income is recognised at a constant periodic rate of return before tax on the net investment on the lease. Other interest relating to financial instruments measured at fair value is recognised as part of the movement in fair value and is reported in other operating income. Fees in respect of services are recognised as the right to consideration accrues through the performance of each distinct service obligation to the customer. The arrangements are generally contractual and the cost of providing the service is incurred as the service is rendered. The price is usually fixed and always determinable. 3.2. Staff costs Employee costs, such as salaries, paid absences, and other benefits are recognised over the period in which the employees provide the related services to us. Employees may receive variable compensation in cash, in deferred cash or debt instruments of NatWest Group or in ordinary shares of NatWest Group plc subject to deferral, clawback and forfeiture criteria. We operate a number of share-based compensation schemes under which we grant awards of NatWest Group plc shares and share options to our employees. Such awards are subject to vesting conditions. Variable compensation that is settled in cash or debt instruments is charged to the income statement on a straight-line basis over the period during which services are provided, taking account of forfeiture and clawback criteria. The value of employee services received in exchange for NatWest Group plc shares and share options is recognised as an expense over the vesting period, subject to deferral, clawback, cancelation and forfeiture criteria with a corresponding increase in equity. The fair value of shares granted is the market price adjusted for the expected effect of dividends as employees are not entitled to dividends until shares are vested. The fair value of options granted is determined using option pricing models to estimate the numbers of shares likely to vest. These consider the exercise price of the option, the current share price, the risk-free interest rate, the expected volatility of the share price over the life of the option and other relevant factors such as the dividend yield. Defined contribution pension scheme A scheme where we pay fixed contributions and; there is no legal or constructive obligation to pay further contributions or benefits. Contributions are recognised in the income statement as employee service costs accrue. Defined benefit pension scheme A scheme that defines the benefit an employee will receive on retirement and is dependent on one or more factors such as age, salary, and years of service. The net of the recognisable scheme assets and obligations is reported on the balance sheet in other assets or other liabilities. The defined benefit obligation is measured on an actuarial basis. The charge to the income statement for pension costs (mainly the service cost and the net interest on the net defined benefit asset or liability) is recognised in operating expenses. Actuarial gains and losses (i.e. gains and/or losses on re- measuring the net defined benefit asset or liability) due to changes in actuarial measurement assumptions are recognised in other comprehensive income in full in the period in which they arise and not subject to recycling to the income statement. Accounting policies continued 3. Material accounting polices continued NWB Group Annual Report and Accounts 2024 106 The difference between scheme assets and scheme liabilities, the net defined benefit asset or liability, is recognised on the balance sheet if the criteria of the asset ceiling test are met. This requires the net defined benefit surplus to be limited to the present value of any economic benefits available to us in the form of refunds from the plan or reduced contributions to it. We will recognise a liability where a minimum funding requirement exists for any of our defined benefit pension schemes. This reflects agreed minimum funding and the availability of a net surplus as described above. When estimating the liability for minimum funding requirements we only include contributions that are substantively or contractually agreed and do not include contingent and discretionary features, including dividend-linked contributions or contributions subject to contingent events requiring future verification. We recognise a net defined benefit asset when the net defined benefit surplus can generate a benefit in the form of a refund or reduction in future contributions to the plan. The net benefit pension asset is recognised at the present value of the benefits that will be available to us excluding interest and the effect of the asset ceiling (if any), excluding interest. Changes in the present value of the net benefit pension asset are recognised immediately in other comprehensive income. In instances where Trustees have the ability to declare augmented benefits to participants, we do not recognise a defined benefit pension asset and record the surplus immediately in other comprehensive income. 3.3. Intangible assets Intangible assets are identifiable non-monetary assets without physical substance acquired or developed by us, and are stated at cost less accumulated amortisation and impairment losses. Amortisation is a method to spread the cost of such assets over time in the income statement. This is charged to the income statement over the assets' estimated useful economic lives using methods that best reflect the pattern of economic benefits. The estimated useful economic lives are: Computer software 3 to 10 years Other acquired intangibles 3 to 5 years Direct costs relating to the development of internal-use computer software are reported on the balance sheet after technical feasibility and economic viability have been established. These direct costs include payroll, the costs of materials and services, and directly attributable overheads. Capitalisation of costs ceases when the software can operate as intended. During and after development, accumulated costs are reviewed for impairment against the benefits that the software is expected to generate. Costs incurred prior to the establishment of technical feasibility and economic viability are expensed to the income statement as incurred, as are all training costs and general overheads. The costs of licences to use computer software that are expected to generate economic benefits beyond three years are also reported on the balance sheet. Goodwill on the acquisition of a subsidiary is the excess of the fair value of the consideration paid, the fair value of any existing interest in the subsidiary and the amount of any non-controlling interest measured either at fair value or at its share of the subsidiary’s net assets over the net fair value of the subsidiary’s identifiable assets, liabilities, and contingent liabilities. Goodwill is measured at initial cost less any subsequent impairment losses. The gain or loss on the disposal of a subsidiary includes the carrying value of any related goodwill. 3.4. Impairment of non-financial assets Goodwill is tested for impairment annually or more frequently if events or changes in circumstances indicate that it might be impaired At each balance sheet date, we assess whether there is any indication that other intangible assets or property, plant and equipment are impaired. If any such indication exists, we estimate the recoverable amount of the asset and compare it to its balance sheet value to calculate if an impairment loss should be recognised in the income statement. A reversal of an impairment loss on other intangible assets or property, plant and equipment is recognised in the income statement provided the increased carrying value is not greater than it would have been had no impairment loss been recognised. The recoverable amount of an asset that does not generate cash flows that are independent from those of other assets or groups of assets, is determined as part of the cash-generating unit to which the asset belongs. A cash-generating unit is the smallest identifiable group of assets that generates cash inflows that are largely independent of the cash inflows from other assets or groups of assets . 3.5. Property, plant and equipment & investment property Items of property, plant and equipment except investment property are stated at cost less accumulated depreciation and impairment losses. Where an item of property, plant and equipment comprises major components having different useful lives, these are accounted for separately. Depreciation is charged to profit or loss on a straight-line basis so as to write-off the depreciable amount of property, plant and equipment (including assets owned and let on operating leases) over their estimated useful lives. The depreciable amount is the cost of an asset less its residual value. Freehold land is not depreciated. The estimated useful lives of our property, plant and equipment are: Freehold buildings 50 years Long leasehold property (leases with more than 50 years to run) 50 years Short leaseholds unexpired period of lease Property adaptation costs 10 to 15 years Computer equipment up to 5 years Other equipment 4 to 15 years The residual value and useful life of property, plant and equipment are reviewed at each balance sheet date and updated for any changes to previous estimates. Investment property comprises freehold and leasehold properties that are held to earn rentals or for capital appreciation or both. Investment property is not depreciated but is stated at fair value. Fair value is based on current prices for similar properties in the same location and condition. Any gain or loss arising from a change in fair value is recognised in profit or loss. Rental income from investment property is recognised on a straight-line basis over the term of the lease in Other operating income. Lease incentives granted are recognised as an integral part of the total rental income. 3.6. Foreign currencies Foreign exchange differences arising on the settlement of foreign currency transactions and from the translation of monetary assets and liabilities are reported in income from trading activities except for differences arising on cash flow hedges and hedges of net investments in foreign operations. Accounting policies continued 3. Material accounting polices continued NWB Group Annual Report and Accounts 2024 107 Non-monetary items denominated in foreign currencies that are stated at fair value are translated into the functional currency at the foreign exchange rates ruling at the dates the values are determined. Translation differences are recognised in the income statement except for differences arising on non-monetary financial assets classified as fair value through other comprehensive income. Income and expenses of foreign subsidiaries and branches are translated into sterling at average exchange rates unless these do not approximate the foreign exchange rates ruling at the dates of the transactions. Foreign exchange differences arising on the translation of a foreign operation are recognised in other comprehensive income. The amount accumulated in equity is reclassified from equity to the income statement on disposal of a foreign operation. 3.7. Tax Tax encompassing current tax and deferred tax is recognised in the income statement except when taxable items are recognised in other comprehensive income or equity. Tax consequences arising from servicing financial instruments classified as equity are recognised in the income statement. Accounting for taxes is judgemental and carries a degree of uncertainty because tax law is subject to interpretation, which might be questioned by the relevant tax authority. We recognise the most likely current and deferred tax liability or asset, assessed for uncertainty using consistent judgements and estimates. Current and deferred tax assets are only recognised where their recovery is deemed probable, and current and deferred tax liabilities are recognised at the amount that represents the best estimate of the probable outcome having regard to their acceptance by the tax authorities. 3.8. Financial instruments Financial instruments are measured at fair value on initial recognition on the balance sheet. Monetary financial assets are classified into one of the following subsequent measurement categories (subject to business model assessment and review of contractual cash flow for the purposes of sole payments of principal and interest where applicable):  amortised cost measured at cost using the effective interest rate method, less any impairment allowance;  fair value through other comprehensive income (FVOCI) measured at fair value, using the effective interest rate method and changes in fair value through other comprehensive income;  mandatory fair value through profit or loss (MFVTPL) measured at fair value and changes in fair value reported in the income statement; or  designated at fair value through profit or loss (DFV) measured at fair value and changes in fair value reported in the income statement. Classification by business model reflects how we manage our financial assets to generate cash flows. A business model assessment helps to ascertain the measurement approach depending on whether cash flows result from holding financial assets to collect the contractual cash flows, from selling those financial assets, or both. Business model assessment of assets is made at portfolio level, being the level at which they are managed to achieve a predefined business objective. This is expected to result in the most consistent classification of assets because it aligns with the stated objectives for the portfolio, its risk management, manager’s remuneration and the ability to monitor sales of assets from a portfolio. When a significant change to our business is communicated to external parties, we reassess our business model for managing those financial assets. We reclassify financial assets if we have a significant change to the business model. A reclassification is applied prospectively from the reclassification date. The contractual terms of a financial asset; any leverage features; prepayment and extension terms; and discounts or penalties to interest rates that are part of meeting environmental, social and governance targets as well as other contingent and leverage features, non-recourse arrangements and features that could modify the timing and/or amount of the contractual cash flows that might reset the effective rate of interest; are considered in determining whether cash flows are solely payments of principal and interest. Certain financial assets may be designated at fair value through profit or loss (DFV) upon initial recognition if such designation eliminates, or significantly reduces, accounting mismatch . Equity shares are measured at fair value through profit or loss unless specifically elected as at fair value through other comprehensive income (FVOCI). Upon disposal, the cumulative gains or losses in fair value through other comprehensive income reserve are recycled to the income statement for monetary assets and for non-monetary assets (equity shares) the cumulative gains or losses are transferred directly to retained earnings. Regular way purchases and sales of financial assets classified as amortised cost are recognised on the settlement date; all other regular way transactions in financial assets are recognised on the trade date. Financial liabilities are classified into one of following measurement categories:  amortised cost measured at cost using the effective interest rate method;  held for trading measured at fair value and changes in fair value reported in income statement; or  designated at fair value through profit or loss measured at fair value and changes in fair value reported in the income statement except changes in fair value attributable to the credit risk component recognised in other comprehensive income when no accounting mismatch occurs. 3.9. Netting Financial assets and financial liabilities are offset, and the net amount presented on the balance sheet when, and only when, we currently have a legally enforceable right to set off the recognised amounts and we intend either to settle on a net basis or to realise the asset and settle the liability simultaneously. We are party to a number of arrangements, including master netting agreements, that give us the right to offset financial assets and financial liabilities, but where we do not intend to settle the amounts net or simultaneously, the assets and liabilities concerned are presented separately on the balance sheet. 3.10. Capital instruments We classify a financial instrument that we issue as a financial liability if it is a contractual obligation to deliver cash or another financial asset, or to exchange financial assets or financial liabilities on potentially unfavourable terms and as equity if we evidence a residual interest in our assets after the deduction of liabilities. Incremental costs and related tax that are directly attributable to an equity transaction are deducted from equity. Accounting policies continued 3. Material accounting polices continued NWB Group Annual Report and Accounts 2024 108 3.11. Derivatives and hedging Derivatives are reported on the balance sheet at fair value. We use derivatives to manage our own risk such as interest rate, foreign exchange, or credit risk or in certain customer transactions. Not all derivatives used to manage risk are in hedge accounting relationships (an IFRS method to reduce accounting mismatch from changes in the fair value of the derivatives reported in the income statement). Gains and losses arising from changes in the fair value of derivatives that are not in hedge relationships and derivatives that are managed together with financial instruments designated at fair value are included in Other operating income. Hedge accounting Hedge accounting relationships are designated and documented at inception in line with the requirements of IAS 39 Financial instruments – Recognition and Measurement. The documentation identifies the hedged item, the hedging instrument and details of the risk that is being hedged and the way in which effectiveness will be assessed at inception and during the period of the hedge. When designating a hedging relationship, we consider: the economic relationship between the hedged item (including the risk being hedged) and the hedging instrument; the nature of the risk; the risk management objective and strategy for undertaking the hedge; and the appropriateness of the method that will be used to assess hedge effectiveness. Designated hedging relationships must be expected to be highly effective both on a prospective and retrospective basis. This is assessed using regression techniques which model the degree of offsetting between the changes in fair value or cash flows attributable to the hedged risk and the changes in fair value of the designated hedging derivatives. Ineffectiveness is measured based on actual levels of offsetting and recognised in the income statement. We enter into three types of hedge accounting relationships. Fair value hedg e - the gain or loss on the hedging instrument and the hedged item attributable to the hedged risk is recognised in the income statement. Where the hedged item is measured at amortised cost, the balance sheet amount of the hedged item is also adjusted. Cash flow hedge - the effective portion of the designated hedge relationship is recognised in other comprehensive income and the ineffective portion in the income statement. When the hedged item (forecasted cash flows) results in the recognition of a financial asset or financial liability, the cumulative gain or loss is reclassified from equity to the income statement in the same periods in which the hedged forecasted cash flows affect the income statement. Hedge of net investment in a foreign operation - in the hedge of a net investment in a foreign operation, the effective portion of the designated hedge relationship is recognised in other comprehensive income. Any ineffective portion is recognised in profit or loss. Non-derivative financial liabilities as well as derivatives may be designated as a hedging instrument in a net investment hedge. Discontinuation of hedge accounting Hedge accounting is discontinued if the hedge no longer meets the criteria for hedge accounting i.e. the hedge is not highly effective in offsetting changes in fair value or cash flows attributable to the hedged risk, consistent with the documented risk management strategy; the hedging instrument expires or is sold, terminated or exercised; or if hedge designation is revoked. For fair value hedging any cumulative adjustment is amortised to the income statement over the life of the hedged item. Where the hedge item is no longer on the balance sheet the adjustment to the hedged item is reported in the income statement. For cash flow hedging the cumulative unrealised gain or loss is reclassified from equity to the income statement when the hedged cash flows occur or, if the forecast transaction results in the recognition of a financial asset or financial liability, when the hedged forecast cash flows affect the income statement. Where a forecast transaction is no longer expected to occur, the cumulative unrealised gain or loss is reclassified from equity to the income statement immediately. For net investment hedging on disposal or partial disposal of a foreign operation, the amount accumulated in equity is reclassified from equity to the income statement. 3.12. Provisions for liabilities and charges We recognise a provision for a present obligation resulting from a past event when it is more likely than not that we will be required to pay to settle the obligation and the amount of the obligation can be estimated reliably. Provision is made for restructuring costs, including the costs of redundancy, when we have a constructive obligation. An obligation exists when we have a detailed formal plan for the restructuring and have raised a valid expectation in those affected either by starting to implement the plan or by announcing its main features. We recognise any onerous cost of the present obligation under a contract as a provision. An onerous cost is the unavoidable cost of meeting our contractual obligations that exceed the expected economic benefits. When we intend to vacate a leasehold property or right of use asset, the asset would be tested for impairment and a provision may be recognised for the ancillary contractual occupancy costs. 4. Future accounting developments International Financial Reporting Standards Effective 1 January 2026  Amendments to the Classification and Measurement of Financial Instruments (Amendments to IFRS 9 and IFRS 7 – Issued May 2024) Effective 1 January 2027  Presentation and Disclosures in Financial Statements (IFRS 18 – Issued April 2024)  Subsidiaries without Public Accountability (IFRS 19 – Issued May 2024) We are assessing the effect of adopting these accounting developments on our financial statements. NWB Group Annual Report and Accounts 2024 109 Notes to the financial statements 1 Net interest income 2024 2023 £m £m Balances at central banks and loans to banks - amortised cost 1,709 1,272 Loans to customers - amortised cost 14,620 12,394 Amounts due from holding companies and fellow subsidiaries 97 133 Other financial assets 1,674 965 Interest receivable 18,100 14,764 Bank deposits 1,254 849 Customer deposits 5,612 3,042 Amounts due to holding companies and fellow subsidiaries 2,481 2,262 Other financial liabilities 534 576 Subordinated liabilities 11 12 Interest payable 9,892 6,741 Net interest income 8,208 8,023 Interest income on financial instruments measured at amortised cost and debt instruments classified as FVOCI is measured using the effective interest rate method, which allocates the interest income or interest expense over the expected life of the asset or liability at the rate that exactly discounts all estimated future cash flows to equal the instrument's initial carrying amount. Calculation of the effective interest rate takes into account fees payable or receivable that are an integral part of the instrument's yield, premiums or discounts on acquisition or issue, early redemption fees and transaction costs. All contractual terms of a financial instrument are considered when estimating future cash flows. Included in interest receivable is finance lease income of £545 million (2023 - £480 million) which is recognised at a constant periodic rate of return before tax on the net investment. For accounting policy information refer to Accounting policy 3.1 2 Non-interest income 2024 2023 £m £m Net fees and commissions (1) 1,734 1,669 Other operating income Gain on redemption of own debt - 234 Operating leases and other rental income 231 237 Changes in fair value of other financial assets held at mandatory fair value through profit or loss (2) 15 1 Hedge ineffectiveness (21) 23 Net income from economic hedging (3) 284 468 Gain on disposal of amortised cost assets 7 7 Loss on disposal of fair value through other comprehensive income assets (18) (43) Profit/(loss) on sale of property, plant and equipment 26 (50) Share of loss of associated entities (2) (3) Service charges (4) 1,478 1,542 Other income 31 (22) 2,031 2,394 Non-interest income 3,765 4,063 (1) Refer to Note 4 for further analysis. (2) Includes instruments that have failed solely payment of principal and interest testing under IFRS 9. (3) Includes fair value changes on derivatives not designated in a hedge accounting relationship, and gains and losses from structural hedges. (4) Income from recharging shared services to other NatWest Group subsidiaries. For accounting policy information refer to Accounting policies 3.1 and 3.6 Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 110 3 Operating expenses 2024 2023 £m £m Wages, salaries and other staff costs 2,598 2,407 Temporary and contract costs 125 163 Social security costs 306 289 Pension costs 272 250 - defined benefit schemes (Note 5) 80 89 - defined contribution schemes 192 161 Staff costs 3,301 3,109 Premises and equipment 1,099 1,039 Depreciation and amortisation (1) 987 877 Other administrative expenses (2) 1,576 1,768 Administrative expenses 3,662 3,684 6,963 6,793 (1) Includes depreciation on right of use assets of £84 million (2023 - £86 million). (2) Includes redress and litigation costs. Further details are provided in Note 21. NWB Group provides shared services to NatWest Group. Costs incurred are recovered through legal entity recharging, recorded in Other operating income. For accounting policy information refer to Accounting policies 3.2, 3.3, 3.4 and 3.5. The average number of persons employed during the year, rounded to the nearest hundred and excluding temporary staff, was 55,700 (2023 – 55,900). The number of persons employed, rounded to the nearest hundred and excluding temporary staff, at 31 December 2024, was as follows: 2024 2023 Retail Banking 12,200 13,400 Commercial & Institutional 8,800 8,800 Private Banking 2,200 2,400 Central items & other 31,600 32,000 Total 54,800 56,600 UK 36,000 37,800 India 17,600 16,900 Poland 800 1,500 Rest of the World 400 400 Total 54,800 56,600 Notes to the financial statements continued 3 Operating expenses continued NWB Group Annual Report and Accounts 2024 111 Share-based payments NWB Group grants share-based awards to employees principally on the following bases: Award plan Eligible employees Nature of award Vesting conditions (1) Settlement Sharesave UK, Channel Islands, Option to buy shares under Continuing employment or 2025 to 2029 Gibraltar, Isle of Man, employee savings plan leavers in certain circumstances Poland and India. Deferred performance All Awards of ordinary shares Continuing employment or 2025 to 2032 awards and conditional shares leavers in certain circumstances Long-term incentives (2,3) Senior employees Awards of ordinary shares Continuing employment or 2025 to 2031 and conditional shares leavers in certain circumstances and/or satisfaction of the pre- vest assessment and underpins Sharing in Success All Awards of ordinary shares Future continuing employment 2025 and conditional shares and achievement of pre-defined measures. (1) All awards are subject to discretion of Remuneration Committee. (2) Long-term incentives include buy-out awards offered to compensate certain new hires for the loss of forfeited awards from their previous employment. Existing long-term incentives vest over 3 to 7 years. (3) The existing Restricted Share Plan scheme would be replaced by Performance Share Plan in 2025. The fair value of Sharesave options granted in 2024 was determined using a pricing model that included: expected volatility of shares determined at the grant date based on historical volatility over a period of up to five years; expected option lives that equal the vesting period; estimated dividend yield on equity shares; and risk-free interest rates determined from UK gilts with terms matching the expected lives of the options. The exercise price of options and the fair value on granting awards of fully paid shares is the average market price over the five trading days (three trading days for Sharesave) preceding grant date. When estimating the fair value of the award, the number of shares granted, and the prevailing share price (as defined in the NatWest Group ARA on page 151) are used. The fair value of the award is recognised as services are provided over the vesting period. Bonus awards The following tables analyse NWB Group's bonus awards. 2024 2023 Change £m £m March awards (1) 56 38 47% Deferred cash awards 226 181 25% Deferred share awards 29 26 12% Total deferred bonus awards 255 207 23% Total bonus awards (2) 311 245 27% Reconciliation of bonus awards to income statement charge 2024 2023 £m £m Bonus awarded 311 245 Less: deferral of charge for amounts awarded in current year (93) (74) Income statement charge for amounts awarded in current year 218 171 Add: current year charge for amounts deferred from prior years 70 76 Less: forfeiture of amounts deferred from prior years (2) (2) Income statement charge for amounts deferred from prior years 68 74 Income statement charge for bonus awards (2) 286 245 (1) March cash awards are limited to £2,000 for all employees. (2) Excludes other performance-related compensation. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 112 4 Segmental analysis Reportable operating segments NWB Plc is organised into the following reportable segments: Retail Banking, Private Banking, Commercial & Institutional and Central items & other. Retail Banking serves personal customers in the UK and includes Ulster Bank customers in Northern Ireland. Private Banking serves UK-connected high net worth individuals and their business interests. Commercial & Institutional consists of customer businesses reported under Business Banking, Commercial Mid-market and Corporate & Institutions, supporting our customers across the full non-personal customer lifecycle, both domestically and internationally. Central items & other includes corporate functions such as treasury, finance, risk management, compliance, legal, communications and human resources. NWB Plc is the main service provider of shared services and treasury activities for NatWest Group. The services are mainly provided to NWH Group, however, in certain instances where permitted, services are also provided to the wider NatWest Group including the non ring-fenced business. Retail Private Commercial & Central items Banking Banking Institutional & other Total 2024 £m £m £m £m £m Net interest income 4,472 619 3,342 (225) 8,208 Net fees and commissions 313 285 1,132 4 1,734 Other operating income 99 34 314 1,584 2,031 Total income 4,884 938 4,788 1,363 11,973 Depreciation and amortisation (1) (1) (117) (868) (987) Other operating expenses (2,444) (699) (2,229) (604) (5,976) Impairment (losses)/releases (250) 11 (117) 9 (347) Operating profit/(loss) 2,189 249 2,325 (100) 4,663 2023 Net interest income 4,595 709 2,955 (236) 8,023 Net fees and commissions 327 245 1,096 1 1,669 Other operating income 109 31 314 1,940 2,394 Total income 5,031 985 4,365 1,705 12,086 Depreciation and amortisation - - (124) (753) (877) Other operating expenses (2,311) (615) (2,191) (799) (5,916) Impairment (losses)/releases (410) (13) (82) 1 (504) Operating profit 2,310 357 1,968 154 4,789 Total revenue (1) Retail Private Commercial & Central items Banking Banking Institutional & other Total 2024 £m £m £m £m £m External 8,215 1,256 7,037 5,899 22,407 Inter-segment (2) 100 1,529 (1,369) (260) - Total 8,315 2,785 5,668 5,639 22,407 2023 External 6,565 1,156 6,440 5,174 19,335 Inter-segment (2) (187) 998 (1,558) 747 - Total 6,378 2,154 4,882 5,921 19,335 Total income Retail Private Commercial & Central items Banking Banking Institutional & other Total 2024 £m £m £m £m £m External 4,725 6 4,477 2,765 11,973 Inter-segment (2) 159 932 311 (1,402) - Total 4,884 938 4,788 1,363 11,973 2023 External 4,172 324 4,652 2,938 12,086 Inter-segment (2) 859 661 (287) (1,233) - Total 5,031 985 4,365 1,705 12,086 For the notes to this table refer to page 114. Notes to the financial statements continued 4 Segmental analysis continued NWB Group Annual Report and Accounts 2024 113 Analysis of net fees and commissions Retail Private Commercial & Central items Banking Banking Institutional & other Total 2024 £m £m £m £m £m Fees and commissions receivable - Payment services 261 37 538 - 836 - Credit and debit card fees 327 13 199 4 543 - Lending and financing 16 5 512 - 533 - Brokerage 27 9 - - 36 - Investment management, trustee and fiduciary services 2 230 1 - 233 - Underwriting fees - - - - - - Other 8 11 70 6 95 Total 641 305 1,320 10 2,276 Fees and commissions payable (328) (20) (188) (6) (542) Net fees and commissions 313 285 1,132 4 1,734 2023 Fees and commissions receivable - Payment services 263 32 518 - 813 - Credit and debit card fees 323 13 197 - 533 - Lending and financing 12 5 489 - 506 - Brokerage 27 6 - - 33 - Investment management, trustee and fiduciary services 2 205 - - 207 - Underwriting fees - - 1 - 1 - Other 4 5 60 15 84 Total 631 266 1,265 15 2,177 Fees and commissions payable (304) (21) (169) (14) (508) Net fees and commissions 327 245 1,096 1 1,669 Retail Private Commercial & Central items Banking Banking Institutional & other Total 2024 £m £m £m £m £m Assets 199,579 18,916 92,653 113,161 424,309 Liabilities 159,989 42,603 127,878 70,721 401,191 2023 Assets 194,488 19,284 89,783 111,913 415,468 Liabilities 154,083 37,816 123,084 79,055 394,038 For the notes to this table refer to the following page. Notes to the financial statements continued 4 Segmental analysis continued NWB Group Annual Report and Accounts 2024 114 Geographical segments The geographical analysis in the tables below has been compiled on the basis of location of office where the transactions are recorded. UK RoW Total 2024 £m £m £m Total revenue (1) 21,582 825 22,407 Interest receivable 18,060 40 18,100 Interest payable (9,864) (28) (9,892) Net fees and commissions 1,733 1 1,734 Other operating income 1,247 784 2,031 Total income 11,176 797 11,973 Operating profit before tax 4,557 106 4,663 Total assets 416,005 8,304 424,309 Total liabilities 399,996 1,195 401,191 Contingent liabilities and commitments (3) 96,204 444 96,648 Cost to acquire property, plant and equipment and intangible assets 1,015 126 1,141 2023 Total revenue (1) 18,591 744 19,335 Interest receivable 14,725 39 14,764 Interest payable (6,717) (24) (6,741) Net fees and commissions 1,668 1 1,669 Other operating income 1,689 705 2,394 Total income 11,365 721 12,086 Operating profit before tax 4,668 121 4,789 Total assets 407,211 8,257 415,468 Total liabilities 392,940 1,098 394,038 Contingent liabilities and commitments (3) 87,465 371 87,836 Cost to acquire property, plant and equipment and intangible assets 1,527 92 1,619 (1) Total revenue comprises interest receivable, fees and commissions receivable and other operating income. (2) Revenue and income from transactions between segments of the group are reported as inter-segment in both the current and comparative information. (3) Refer to Note 26 Memorandum items – Contingent liabilities and commitments. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 115 5 Pensions Defined contribution schemes NWB Group sponsors a number of defined contribution pension schemes in different territories, which new employees are offered the opportunity to join. Defined benefit schemes NWB Group sponsors a number of pension schemes in the UK and overseas, including the Main section of the NatWest Group Pension Fund (the Main section) which operates under UK trust law and is managed and administered on behalf of its members in accordance with the terms of the trust deed, the scheme rules and UK legislation. Pension fund trustees are appointed to operate each fund and ensure benefits are paid in accordance with the scheme rules and national law. The trustees are the legal owner of a scheme’s assets, and have a duty to act in the best interests of all scheme members. The schemes generally provide a pension of one-sixtieth of final pensionable salary for each year of service prior to retirement up to a maximum of 40 years and are contributory for current members. These have been closed to new entrants for over ten years, although active members continue to build up additional pension benefits, currently subject to 2% maximum annual salary inflation, while they remain employed by NWB Group. The Main section corporate trustee is NatWest Pension Trustee Limited (the Trustee), a wholly owned subsidiary of NWB Plc, Principal Employer of the Main section. The Board of the Trustee includes member trustee directors selected from eligible active staff, deferred and pensioner members who apply and trustee directors appointed by NatWest Group. Under UK legislation, a defined benefit pension scheme is required to meet the statutory funding objective of having sufficient and appropriate assets to cover its liabilities (the pensions that have been promised to members). Similar governance principles apply to NWB Group’s other pension schemes. For accounting policy information refer to Accounting policy 3.2. Investment strategy The assets of the Main section represent 97% of all plan assets at 31 December 2024 (2023 - 97%) and are invested as shown below. The profile of the non-insured assets is typical of the non- insured assets held by other group schemes. Within the non-insured portfolio the Main section employs physical, derivative and non-derivatives instruments to achieve a desired asset class exposure and to reduce the section’s interest rate, inflation and currency risk. This means that the net funding position is considerably less sensitive to changes in market conditions than the value of the assets or liabilities in isolation. In particular, movements in interest rates and inflation are substantially hedged by the Trustee. During 2024, the Trustee completed buy-in insurance transactions for the Main section of the Group Pension Fund. Each transaction saw an upfront premium paid to an insurer in exchange for a buy- in insurance contract. The contracts provide a stream of cashflows to the Trustee replicating payments due to members, thereby passing material demographic and market risk to the insurer. At 31 December 2024, the Main section included buy-in insurance contracts covering around a third of the liabilities. The premium for each transaction was determined by the insurer using its pricing basis. Under IAS 19, the value placed on this asset mirrors the valuation of the defined benefit obligations covered, incorporating an assessment of credit risk. Since the insurer’s pricing basis is more conservative than the best-estimate valuation under IAS 19, a material asset loss arises at the outset. However, the asset loss is offset by a corresponding movement in the asset ceiling, meaning the net balance sheet and OCI impacts are neutral. Once the contract has been established, the value of the buy-in insurance contracts will move in line with movements in the defined benefit obligations covered, protecting the scheme against demographic and market risk. Notes to the financial statements continued 5 Pensions continued NWB Group Annual Report and Accounts 2024 116 2024 2023 Major classes of plan assets as a percentage of Quoted Unquoted Total Quoted Unquoted Total total plan assets of the Main section % % % % % % Equities 0.1 6.6 6.7 0.1 6.7 6.8 Index linked bonds 23.6 - 23.6 36.7 - 36.7 Government bonds 9.9 - 9.9 13.3 - 13.3 Corporate and other bonds 14.4 4.1 18.5 19.2 6.4 25.6 Real estate - 2.4 2.4 - 4.5 4.5 Derivatives - 0.1 0.1 - 2.7 2.7 Buy-in insurance contracts - 27.0 27.0 - - - Cash and other assets - 11.8 11.8 - 10.4 10.4 48.0 52.0 100.0 69.3 30.7 100.0 The Main section's holdings of derivative instruments are summarised in the table below: 2024 2023 Notional Fair value Notional Fair value amounts Assets Liabilities amounts Assets Liabilities £bn £m £m £bn £m £m Inflation rate swaps 24 1,548 812 29 1,929 940 Interest rate swaps 57 3,096 3,763 52 3,121 3,394 Currency forwards 8 60 130 13 235 34 Equity and bond put options - - - - - 4 Other 1 22 4 1 8 20 Swaps have been executed at prevailing market rates and within standard market bid/offer spreads with a number of counterparties, including NWB Plc. At 31 December 2024, the gross notional value of the swaps was £81 billion (2023 - £81 billion) and had a net positive fair value of £73 million (2023 - £714 million) against which the scheme had posted 85% collateral. The schemes do not invest directly in NWB Group but may have exposure to NWB Group through indirect holdings. The trustees of the respective UK schemes are responsible for ensuring that indirect investments in NWB Group do not exceed the regulatory limit of 5% of plan assets. Notes to the financial statements continued 5 Pensions continued NWB Group Annual Report and Accounts 2024 117 NWB Group NWB Plc Present Present value of Asset Net value of Asset Net defined ceiling pension defined ceiling/ pension Fair value of benefit / minimum asset/ Fair value of benefit minimum asset/ plan assets obligation (1) funding (2) (liability) plan assets obligation (1) funding (2) (liability) Changes in value of net pension asset/(liability) £m £m £m £m £m £m £m £m At 1 January 2023 34,957 (25,518) (9,467) (28) 34,815 (25,357) (9,467) (9) Currency translation and other adjustments - 1 - 1 - - - - Income statement - operating expenses 1,721 (1,338) (472) (89) 1,716 (1,308) (472) (64) Recognised in other comprehensive income (1,111) (1,776) 2,740 (147) (1,107) (1,772) 2,740 (139) Contributions by employer 228 3 - 231 203 - - 203 Contributions by plan participants and other scheme 18 (18) - - 25 (25) - - members Benefits paid (1,272) 1,272 - - (1,262) 1,262 - - At 1 January 2024 34,541 (27,374) (7,199) (32) 34,390 (27,200) (7,199) (9) Currency translation and other adjustments (5) 6 - 1 - - - - Income statement - other expenses Net interest expense 1,631 (1,283) (346) 2 1,625 (1,275) (346) 4 Current service cost - (87) - (87) - (76) - (76) Loss on curtailments or settlements - - - - - (1) - (1) Less, direct contributions from other scheme members - 6 - 6 - 17 - 17 Past service cost - (1) - (1) - (3) - (3) 1,631 (1,365) (346) (80) 1,625 (1,338) (346) (59) Other comprehensive income Return on plan assets excluding recognised interest income (3) (4,709) - - (4,709) (4,709) - - (4,709) Experience gains and losses - 8 - 8 - 12 - 12 Effect of changes in actuarial financial assumptions - 2,236 - 2,236 - 2,243 - 2,243 Effect of changes in actuarial demographic assumptions - (76) - (76) - (76) - (76) Asset ceiling adjustments (3) - - 2,391 2,391 - 2,391 2,391 (4,709) 2,168 2,391 (150) (4,709) 2,179 2,391 (139) Contributions by employer (4) 224 - - 224 199 - - 199 Contributions by plan participants and other scheme members 17 (17) - - 25 (25) - - Benefits paid (1,346) 1,346 - - (1,314) 1,314 - - At 31 December 2024 (5) 30,353 (25,236) (5,154) (37) 30,216 (25,070) (5,154) (8) (1) Defined benefit obligations are subject to annual valuation by independent actuaries. (2) NWB Group recognises the net pension scheme surplus or deficit as a net asset or liability. In doing so, the funded status is adjusted to reflect any schemes with a surplus that NWB Group may not be able to access, as well as any minimum funding requirement to pay in additional contributions. This is most relevant to the Main section, where the current surplus is not recognised as the trustees have rights over the use of the surplus. Other NWB Group schemes that this applies to include the Ulster Bank Pension Scheme (NI). (3) Buy-in transactions have had a significant, offsetting impact on the “Return on plan assets excluding income” and “Asset ceiling adjustments” line items recognised in OCI. (4) NWB Group expects to make contributions to the Main section of £39 million in 2025. (5) During 2024, the Court of Appeal upheld the initial High Court ruling in respect of Virgin Media v NTL Pension Trustees II Limited (and others), calling into question the validity of rule amendments made between 1997 and 2016. In 2023, a selection of amendments from the relevant period judged as material, were reviewed. While uncertainties remain, the review indicated the risk of a change in the defined benefit obligation (DBO) was remote, so no adjustment was made to the DBO value. This position is unchanged at year end. Notes to the financial statements continued 5 Pensions continued NWB Group Annual Report and Accounts 2024 118 All schemes 2024 2023 Amounts recognised on the balance sheet £m £m Fund asset at fair value 30,353 34,541 Present value of fund liabilities (25,236) (27,374) Funded status 5,117 7,167 Assets ceiling/minimum funding (5,154) (7,199) (37) (32) NWB Group NWB Plc 2024 2023 2024 2023 Net pension asset/(liability) comprises £m £m £m £m Net assets of schemes in surplus (Note 16) 4 5 - - Net liabilities of schemes in deficit ( Note 21) (41) (37) (8) (9) (37) (32) (8) (9) Funding and contributions by NWB Group In the UK, the trustees of defined benefit pension schemes are required to perform funding valuations every three years. The trustees and the sponsor, with the support of the Scheme Actuary, agree the assumptions used to value the liabilities and to determine future contribution requirements. The funding assumptions incorporate a margin for prudence over and above the expected cost of providing the benefits promised to members, taking into account the sponsor’s covenant and the investment strategy of the scheme. Similar arrangements apply in the other territories where NWB Group sponsors defined benefit pension schemes. A full triennial funding valuation of the Main section, effective 31 December 2023, was completed during financial year 2024. This triennial funding valuation determined the funding level to be 115%, pension liabilities to be £29 billion and the surplus to be £4 billion, all assessed on the agreed funding basis. The average cost of the future service of current members is 21.2% of salary before contributions from those members. Given the strong funding level, it was agreed that future service contributions would cease from 1 January 2025. The sponsor will continue to meet administrative expenses. The key assumptions used to determine the uninsured funding liabilities were the discount rate, which is determined based on fixed interest swap and gilt yields plus 0.64% per annum, and mortality assumptions, which result in life expectancies of 27.1/29.1 years for male/female pensioners who were age 60 and 28.5/30.6 years from age 60 for males/females who were age 40 at the valuation date. Accounting assumptions Placing a value on NWB Group’s defined benefit pension schemes’ liabilities requires NWB Group’s management to make a number of assumptions, with the support of independent actuaries. The ultimate cost of the defined benefit obligations depends upon actual future events and the assumptions made are unlikely to be exactly borne out in practice, meaning the final cost may be higher or lower than expected. Notes to the financial statements continued 5 Pensions continued NWB Group Annual Report and Accounts 2024 119 The most significant assumptions used for the Main section are shown below: Principal IAS 19 actuarial assumptions (1) 2024 2023 % % Discount rate 5.6 4.8 Inflation assumption (RPI) 3.2 3.1 Rate of increase in salaries 1.8 1.8 Rate of increase in deferred pensions 3.4 3.2 Rate of increase in pensions in payment 2.6 2.4 Lump sum conversion rate at retirement 18.0 18.0 Longevity at age 60: years years Current pensioners Males 26.5 26.8 Females 28.5 28.6 Future pensioners, currently aged 40 Males 27.5 27.7 Females 29.7 29.5 (1) The above financial assumptions are long-term assumptions set with reference to the period over which the obligations are expected to be settled. Discount rate The IAS 19 valuation uses a single discount rate set by reference to the yield on a basket of ‘high quality’ sterling corporate bonds. Significant judgement is required when setting the criteria for bonds to be included in the basket of bonds that is used to determine the discount rate used in the IAS 19 valuations. The criteria include issue size, quality of pricing and the exclusion of outliers. Judgement is also required in determining the shape of the yield curve at long durations: a constant credit spread relative to gilts is assumed. Sensitivity to the main assumptions is presented below. The weighted average duration of the Main section’s defined benefit obligation at 31 December 2024 is 13 years (2023 – 14 years). The chart below shows the projected benefit payment pattern for the Main section in nominal terms. These cashflows are based on the most recent formal actuarial valuation, effective 31 December 2023 . 0 200 400 600 800 1,000 1,200 1,400 1,600 1,800 2,000 2025 2027 2029 2031 2033 2035 2037 2039 2041 2043 2045 2047 2049 2051 2053 2055 2057 2059 2061 2063 2065 2067 2069 2071 2073 2075 2077 2079 2081 2083 2085 2087 2089 2091 2093 2095 Pensioner Non pensioner Expected Cashflows (£m) Year Notes to the financial statements continued 5 Pensions continued NWB Group Annual Report and Accounts 2024 120 The table below shows how the net pension asset of the Main section would change if the key assumptions used were changed independently. In practice the variables have a degree of correlation and do not move completely in isolation. (Decrease)/ (Decrease)/ Increase in net increase in increase in pension value of assets value of liabilities (obligations)/assets 2024 £m £m £m 0.5% increase in interest rates/discount rate (1,554) (1,529) (25) 0.25% increase in inflation 648 571 77 0.5% increase in credit spreads (4) (1,529) 1,525 Longevity increase of one year 295 832 (537) 0.25% additional rate of increase in pensions in payment 205 605 (400) Increase in equity values of 10% (1) 199 na 199 2023 0.5% increase in interest rates/discount rate (2,292) (1,746) (546) 0.25% increase in inflation 811 578 233 0.5% increase in credit spreads (12) (1,746) 1,734 Longevity increase of one year na 902 (902) 0.25% additional rate of increase in pensions in payment na 706 (706) Increase in equity values of 10% (1) 229 na 229 (1) Includes both quoted and private equity. The table below shows the combined change in defined benefit obligation from larger movements in these assumptions, assuming no changes in other assumptions Change in life expectancies - 2 years - 1 year No change + 1 year + 2 years 2024 £bn £bn £bn £bn £bn Change in credit spreads +50 bps (3.1) (2.3) (1.5) (0.7) - No change (1.7) (0.9) - 0.8 1.7 -50 bps (0.2) 0.7 1.7 2.5 3.4 Change in life expectancies - 2 years - 1 year No change + 1 year + 2 years 2023 £bn £bn £bn £bn £bn Change in credit spreads +50 bps (3.5) (2.6) (1.7) (0.9) (0.1) No change (1.9) (0.9) - 0.9 1.8 -50 bps - 1.0 2.0 2.9 3.9 The defined benefit obligation of the Main section is attributable to the different classes of scheme members in the following proportions: 2024 2023 Membership category % % Active members 6.9 7.5 Deferred members 40.7 41.9 Pensioners and dependants 52.4 50.6 100.0 100.0 The experience history of NWB Group schemes is shown below: NWB Group NWB Plc 2024 2023 2022 2021 2020 2024 2023 2022 2021 2020 History of defined benefit schemes £m £m £m £m £m £m £m £m £m £m Fair value of plan assets 30,353 34,541 34,957 53,531 52,819 30,216 34,390 34,815 53,381 51,323 Present value of defined benefit obligations (25,236) (27,374) (25,518) (43,326) (45,214) (25,070) (27,200) (25,357) (43,147) (43,883) Net surplus 5,117 7,167 9,439 10,205 7,605 5,146 7,190 9,458 10,234 7,440 Experience gains/(losses) on plan liabilities 8 (1,563) (2,042) 244 431 12 (1,559) (2,041) 245 427 Experience (losses)/gains on plan assets (4,709) (1,111) (18,757) 857 5,586 (4,709) (1,107) (18,736) 852 5,486 Actual return on plan assets (3,078) 610 (17,797) 1,592 6,549 (3,084) 609 (17,780) 1,579 6,422 Actual return on plan assets % (8.9%) 1.7% (33.2%) 3.0% 13.7% (9.0%) 1.7% (33.3%) 3.1% 13.8% Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 121 6 Auditor’s remuneration Amounts payable to NWB Group’s auditor for statutory audit and other services are set out below: 2024 2023 £m £m Fees payable for: - the audit of NWB Group’s annual accounts 11.0 11.4 - the audit of NWB Plc’s subsidiaries 2.7 2.8 - audit-related assurance services 0.9 0.8 Total audit and audit-related assurance service fees 14.6 15.0 Corporate finance services 0.1 0.1 Fees payable to the auditor for non-audit services are disclosed in the consolidated financial statements of NatWest Group plc. 7 Tax 2024 2023 £m £m Current tax Charge for the year (1,078) (1,108) Under provision in respect of prior years (117) (63) (1,195) (1,171) Deferred tax Charge for the year (255) (220) Increase in the carrying value of deferred tax assets in respect of UK losses 203 137 Over/(under) provision in respect of prior years 9 (26) Tax charge for the year (1,238) (1,280) Current tax for the year ended 31 December 2024 is based on rates of 25% for the standard rate of UK corporation tax and 3% for the UK banking surcharge. The actual tax charge differs from the expected tax charge, computed by applying the standard rate of UK corporation tax of 25% (2023 – 23.5%), as follows: 2024 2023 £m £m Expected tax charge (1,166) (1,125) Losses and temporary differences in period where no deferred tax asset recognised (2) (1) Foreign profits and losses taxed at other rates (5) (8) Items not allowed for tax: - losses on disposals and write-downs (2) - - UK bank levy (20) (19) - regulatory and legal actions (16) - - other disallowable items (36) (32) Non-taxable items 3 15 Taxable foreign exchange movements - (1) Increase in the carrying value of deferred tax assets in respect of: - UK losses (2) 203 137 Banking surcharge (131) (190) Tax on paid in equity dividends 42 33 Adjustments in respect of prior years (1) (2) (108) (89) Actual tax charge (1,238) (1,280) (1) Prior year tax adjustments incorporate refinements to tax computations made on submission and agreement with the tax authorities and adjustments to provisions in respect of uncertain tax positions. (2) Includes a net £61 million benefit from UK group relief and loss relief claims at higher tax rates (refer to the Deferred Tax section below for details of the recent changes in UK tax rates). Notes to the financial statements continued 7 Tax continued NWB Group Annual Report and Accounts 2024 122 Judgement: Tax contingencies NWB Group’s corporate income tax charge and its provisions for corporate income taxes necessarily involve a significant degree of estimation and judgement. The tax treatment of some transactions is uncertain and tax computations are yet to be agreed with the relevant tax authorities. NWB Group recognises anticipated tax liabilities based on all available evidence and, where appropriate, in the light of external advice. Any difference between the final outcome and the amounts provided will affect current and deferred income tax assets and charges in the period when the matter is resolved. For accounting policy information refer to Accounting policies 2.1 and 3.7. Deferred tax NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Deferred tax liability (83) (89) - - Deferred tax asset 808 981 792 966 Net deferred tax asset 725 892 792 966 Net deferred tax asset comprised: NWB Group Tax losses Accelerated Expense Financial carried Pension capital allowances provisions instruments (1) forward Other Total £m £m £m £m £m £m £m At 1 January 2023 67 162 56 227 445 30 987 Credit/(charge) to income statement 1 (29) (7) (6) (83) 15 (109) (Charge)/credit to other comprehensive (31) - - 73 - (13) 29 income Currency translation and other adjustments 1 (16) - - - - (15) At 31 December 2023 38 117 49 294 362 32 892 Credit/(charge) to income statement 2 30 13 (14) (29) (45) (43) (Charge)/credit to other comprehensive (29) - - (108) - 13 (124) income At 31 December 2024 11 147 62 172 333 - 725 NWB Plc Tax losses Accelerated Expense Financial carried Pension capital allowances provisions instruments (1) forward Other Total £m £m £m £m £m £m £m At 1 January 2023 65 283 50 231 445 30 1,104 (Charge)/credit to income statement - (70) (3) (10) (83) 15 (151) (Charge)/credit to other comprehensive (32) - - 73 - (13) 28 income Currency translation and other adjustments 1 (16) - - - - (15) At 31 December 2023 34 197 47 294 362 32 966 Credit/(charge) to income statement - 24 12 (10) (29) (43) (46) (Charge)/credit to other comprehensive (32) - - (108) - 13 (127) income Currency translation and other adjustments - - (1) - - - (1) At 31 December 2024 2 221 58 176 333 2 792 (1) The in-year movement predominantly relates to cash flow hedges. Deferred tax assets in respect of unused tax losses are recognised if the losses can be used to offset probable future taxable profits after taking into account the expected reversal of other temporary differences. Recognised deferred tax assets in respect of tax losses are analysed further below . 2024 2023 £m £m UK tax losses carried forward - NWB Plc 333 362 333 362 Notes to the financial statements continued 7 Tax continued NWB Group Annual Report and Accounts 2024 123 Critical accounting policy: Deferred tax The deferred tax assets of £808 million as at 31 December 2024 (2023 - £981 million) principally comprises losses which arose in the UK, and temporary differences. These deferred tax assets are recognised to the extent that it is probable that there will be future taxable profits to recover them. The main UK corporation tax increased from 19% to 25%, and the UK banking surcharge decreased from 8% to 3%, from 1 April 2023. Judgement - NWB Group has considered the carrying value of deferred tax assets and concluded that, based on management’s estimates, sufficient sustainable taxable profits will be generated in future years to recover recognised deferred tax assets. Estimate - These estimates are based on forecast performance for management’s detailed plans. They have regard to inherent uncertainties. UK tax losses Under UK tax rules, tax losses can be carried forward indefinitely. As the recognised tax losses in the Group arose prior to 1 April 2015, credit in future periods is given against 25% of profits at the main rate of UK corporation tax, excluding the Banking Surcharge rate introduced by The Finance (No. 2) Act 2015. National Westminster Bank Plc – A deferred tax asset of £333 million (2023 - £362 million) has been recognised in respect of losses of £1,333 million of total losses of £2,195 million carried forward at 31 December 2024. The losses arose principally as a result of significant impairment and conduct charges between 2009 and 2012 during challenging economic conditions in the UK banking sector. NWB Plc returned to tax profitability during 2015, and based on a seven year recovery period, expects the deferred tax asset to be utilised against future taxable profits by the end of 2031. Unrecognised deferred tax - Deferred tax assets of £237 million (2023 - £220 million) have not been recognised in respect of tax losses and other deductible temporary differences carried forward of £941 million (2023 - £881 million) in jurisdictions where doubt exists over the availability of future taxable profits. The tax losses and other deductible temporary differences carried forward have no expiry date. Deferred tax liabilities of £107 million (2023 - £104 million) on aggregate underlying temporary differences of £486 million (2023 - £463 million) have not been recognised in respect of retained earnings of overseas subsidiaries and held-over gains on the incorporation of certain overseas branches. Retained earnings of overseas subsidiaries are expected to be reinvested indefinitely or remitted to the UK free from further taxation. No taxation is expected to arise in the foreseeable future in respect of held-over gains on which deferred tax is not recognised. UK tax legislation largely exempts from UK tax overseas dividends received . 8 Profit/(loss) dealt with in the accounts of the NWB Plc As permitted by section 408(3) of the Companies Act 2006, no income statement for the Bank has been presented as a primary financial statement. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 124 9 Financial instruments – classification Judgement: classification of financial assets Classification of financial assets between amortised cost and fair value through other comprehensive income requires a degree of judgement in respect of business models and contractual cashflows.  The business model criteria is assessed at a portfolio level to determine whether assets are classified as held to collect or held to collect and sell. Information that is considered in determining the applicable business model includes: the portfolio’s policies and objectives; how the performance and risks of the portfolio are managed, evaluated and reported to management; and the frequency, volume and timing of sales in prior periods, sales expectation for future periods, and the reasons for sales.  The contractual cash flow characteristics of financial assets are assessed with reference to whether the cash flows represent solely payments of principal and interest (SPPI). A level of judgement is made in assessing terms that could change the contractual cash flows so that it would not meet the condition for SPPI, including contingent and leverage features, non-recourse arrangements and features that could modify the time value of money. We originate loans that include features that change the contractual cash flows based on the borrower meeting certain contractually specified environmental, social and governance (ESG) targets. These are known as ESG-linked (or sustainability- linked) loans. As part of the terms of these loans, the contractual interest rate is reduced or increased if the borrower meets (or fails to meet) specific targets linked to the activity of the borrower for example reducing carbon emissions, increase the level of diversity at Board level, or achieving a sustainable supply chain. ESG features are first assessed to ascertain whether the adjustment to the contractual cash flows results in a de minimis exposure to risks or volatility in those contractual cash flows. If this is the case the classification of the loan is not affected. If the effect of the ESG feature is assessed as being more than de minimis, we apply judgement to ensure that the ESG features do not generate compensation for risks that are not in line with a basic lending arrangement. This includes amongst other aspects a review of the consistency of the ESG targets with the asset or activity of the borrower, and consideration of the targets within our risk appetite. Some of these loans are an integral part of NatWest Group’s climate and sustainable funding and financing target. For accounting policy information refer to Accounting policies 3.8, 3.9 and 3.11. The following tables analyse NWB Group’s financial assets and liabilities in accordance with the categories of financial instruments in IFRS 9. NWB Group Amortised Other MFVTPL FVOCI cost assets Total Assets £m £m £m £m £m Cash and balances at central banks 35,095 35,095 Derivatives (1) 2,874 2,874 Loans to banks - amortised cost (2) 3,426 3,426 Loans to customers - amortised cost (3) 332,013 332,013 Amounts due from holding companies and fellow subsidiaries 78 3,128 530 3,736 Other financial assets 534 29,335 9,702 39,571 Other assets 7,594 7,594 31 December 2024 3,486 29,335 383,364 8,124 424,309 Cash and balances at central banks 48,259 48,259 Derivatives (1) 3,184 3,184 Loans to banks - amortised cost (2) 3,355 3,355 Loans to customers - amortised cost (3) 318,466 318,466 Amounts due from holding companies and fellow subsidiaries - 1,808 503 2,311 Other financial assets 453 23,495 7,996 31,944 Other assets 7,949 7,949 31 December 2023 3,637 23,495 379,884 8,452 415,468 For the notes to this table refer to the following page. Notes to the financial statements continued 9 Financial instruments – classification continued NWB Group Annual Report and Accounts 2024 125 Held-for- Amortised Other trading DFV cost liabilities Total Liabilities £m £m £m £m £m Bank deposits 24,780 24,780 Customer deposits 318,290 318,290 Amounts due to holding companies and fellow subsidiaries 27 47,555 142 47,724 Derivatives (1) 1,177 1,177 Other financial liabilities 202 250 4,547 4,999 Subordinated liabilities 122 122 Notes in circulation 935 935 Other liabilities (4) 528 2,636 3,164 31 December 2024 1,406 250 396,757 2,778 401,191 Bank deposits 18,052 18,052 Customer deposits 313,752 313,752 Amounts due to holding companies and fellow subsidiaries 17 46,956 279 47,252 Derivatives (1) 1,718 1,718 Other financial liabilities 13 - 8,998 9,011 Subordinated liabilities 122 122 Notes in circulation 806 806 Other liabilities (4) 569 2,756 3,325 31 December 2023 1,748 - 389,255 3,035 394,038 (1) Includes net hedging derivative assets of £360 million (2023 – £526 million) and net hedging derivative liabilities of £255 million (2023 - £405 million). (2) Includes items in the course of collection from other banks of £2 million (2023 - £26 million). (3) Includes finance lease receivables of £8,939 million (2023 - £8,664 million). (4) Includes lease liabilities of £490 million (2023 - £513 million), held at amortised cost. Additional information on finance lease receivables The following table shows the reconciliation of undiscounted finance lease receivables to net investment in finance leases which are presented under Loans to customers-amortised cost on the balance sheet. NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Amount receivable under finance leases Within 1 year 3,490 3,332 - 36 years 1 to 2 2,491 2,351 5 5 2 to 3 years 1,604 1,617 4 4 3 to 4 years 834 892 4 4 4 to 5 years 457 382 4 4 After 5 years 1,005 1,042 38 37 Total lease payments 9,881 9,616 55 90 Unguaranteed residual values 150 169 - - Future drawdowns (12) (12) - - Unearned income (988) (1,017) (6) (9) Present value of lease payments 9,031 8,756 49 81 Impairments (92) (92) (1) (1) Net investment in finance leases 8,939 8,664 48 80 Notes to the financial statements continued 9 Financial instruments - classification continued NWB Group Annual Report and Accounts 2024 126 The following tables analyse NWB Plc’s financial assets and liabilities in accordance with the categories of financial instruments in IFRS 9. NWB Plc MFVTPL FVOCI Amortised cost Other assets Total Assets £m £m £m £m £m Cash and balances at central banks 35,083 35,083 Derivatives (1) 2,892 2,892 Loans to banks - amortised cost (2) 3,148 3,148 Loans to customers - amortised cost (3) 297,548 297,548 Amounts due from holding companies and fellow 632 34,903 848 36,383 subsidiaries Other financial assets 534 28,836 9,428 38,798 Investment in group undertakings 2,520 2,520 Other assets 5,503 5,503 31 December 2024 4,058 28,836 380,110 8,871 421,875 Cash and balances at central banks 48,238 48,238 Derivatives (1) 3,213 3,213 Loans to banks - amortised cost (2) 3,043 3,043 Loans to customers - amortised cost (3) 284,314 284,314 Amounts due from holding companies and fellow subsidiaries 559 32,158 782 33,499 Other financial assets 453 23,013 7,626 31,092 Investment in group undertakings 2,615 2,615 Other assets 5,735 5,735 31 December 2023 4,225 23,013 375,379 9,132 411,749 Held-for- trading DFV Amortised cost Other liabilities Total Liabilities £m £m £m £m £m Bank deposits 24,778 24,778 Customer deposits 275,972 275,972 Amounts due to holding companies and fellow subsidiaries 27 270 90,401 227 90,925 Derivatives (1) 1,323 1,323 Other financial liabilities 202 250 3,372 3,824 Subordinated liabilities 119 119 Notes in circulation 935 935 Other liabilities (4) 403 1,987 2,390 31 December 2024 1,552 520 395,980 2,214 400,266 Bank deposits 18,052 18,052 Customer deposits 276,202 276,202 Amounts due to holding companies and fellow subsidiaries 17 268 83,524 365 84,174 Derivatives (1) 2,014 2,014 Other financial liabilities 13 - 8,134 8,147 Subordinated liabilities 119 119 Notes in circulation 806 806 Other liabilities (4) 480 2,054 2,534 31 December 2023 2,044 268 387,317 2,419 392,048 (1) Includes net hedging derivative assets of £358 million (2023 - £523 million) and net hedging derivative liabilities of £250 million (2023 - £398 million). (2) Includes items in the course of collection from other banks of £2 million (2023 - £26 million). (3) Includes finance lease receivables of £48 million (2023 - £80 million). (4) Includes lease liabilities of £366 million (2023 - £427 million), held at amortised cost. Notes to the financial statements continued 9 Financial instruments - classification continued NWB Group Annual Report and Accounts 2024 127 Financial instruments – financial assets and liabilities that can be offset The tables below present information on financial assets and liabilities that are offset on the balance sheet under IFRS or subject to enforceable master netting agreements together with financial collateral received or given . NWB Group Instruments which can be offset Potential for offset not recognised by IFRS Effect of Net amount after master netting effect of netting Instruments Balance Balance and similar Cash Securities agreements and outside netting sheet Gross IFRS offset sheet agreements collateral collateral related collateral agreements total 2024 £m £m £m £m £m £m £m £m £m Derivative assets 18,889 (16,019) 2,870 (881) (217) (676) 1,096 4 2,874 Derivative liabilities 19,455 (18,300) 1,155 (881) (80) - 194 22 1,177 Net position (1) (566) 2,281 1,715 - (137) (676) 902 (18) 1,697 Non trading reverse repos 40,845 (7,466) 33,379 - - (33,379) - - 33,379 Non trading repos 18,038 (7,466) 10,572 - - (10,572) - - 10,572 Net position 22,807 - 22,807 - - (22,807) - - 22,807 2023 Derivative assets 18,535 (15,355) 3,180 (1,405) (13) (324) 1,438 4 3,184 Derivative liabilities 20,325 (18,627) 1,698 (1,405) (198) - 95 20 1,718 Net position (1) (1,790) 3,272 1,482 - 185 (324) 1,343 (16) 1,466 Non trading reverse repos 34,682 (8,570) 26,112 - - (26,112) - - 26,112 Non trading repos 21,629 (8,570) 13,059 - - (13,059) - - 13,059 Net position 13,053 - 13,053 - - (13,053) - - 13,053 NWB Plc Instruments which can be offset Potential for offset not recognised by IFRS Effect of Net amount after master netting effect of netting Instruments Balance and similar Cash Securities agreements and outside netting Balance sheet Gross IFRS offset sheet agreements collateral collateral related collateral agreements total 2024 £m £m £m £m £m £m £m £m £m Derivative assets 18,896 (16,019) 2,877 (882) (217) (676) 1,102 15 2,892 Derivative liabilities 19,471 (18,300) 1,171 (882) (80) - 209 152 1,323 Net position (1) (575) 2,281 1,706 - (137) (676) 893 (137) 1,569 Non trading reverse repos 40,845 (7,466) 33,379 - - (33,379) - - 33,379 Non trading repos 18,038 (7,466) 10,572 - - (10,572) - - 10,572 Net position 22,807 - 22,807 - - (22,807) - - 22,807 2023 Derivative assets 18,551 (15,355) 3,196 (1,407) (13) (324) 1,452 17 3,213 Derivative liabilities 20,348 (18,627) 1,721 (1,407) (198) - 116 293 2,014 Net position (1) (1,797) 3,272 1,475 - 185 (324) 1,336 (276) 1,199 Non trading reverse repos 34,682 (8,570) 26,112 - - (26,112) - - 26,112 Non trading repos 21,629 (8,570) 13,059 - - (13,059) - - 13,059 Net position 13,053 - 13,053 - - (13,053) - - 13,053 (1) Within NWB Group and NWB Plc, the net IFRS offset balance of £2,281 million (2023 - £3,272 million) relates to variation margin netting reflected on other balance sheet lines. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 128 10 Financial instruments – valuation Page Financial instruments Critical accounting policy: Fair value 128 Valuation Fair value hierarchy (D) 128 Valuation techniques (D) 128 Inputs to valuation models (D) 129 Valuation control (D) 129 Key areas of judgement (D) 130 Assets and liabilities split by fair value hierarchy level (T) 130 Valuation adjustments Fair value adjustments made (T) 131 Funding valuation adjustments (FVA) (D) 131 Credit valuation adjustments (CVA) (D) 131 Bid-offer (D) 131 Product and deal specific (D) 131 Level 3 additional information Level 3 ranges of unobservable inputs (D) 131 Alternative assumptions (D) 132 Other considerations (D) 132 High and low range of fair value of level 3 assets and liabilities (T) 132 Movement in level 3 assets and liabilities over the reporting period (D) 133 Movement in level 3 assets and liabilities (T) 133 Fair value of financial instruments measured at amortised cost Fair value of financial instruments measured at amortised cost on the balance sheet (T) 134 (D) = Descriptive; (T) = Table Critical accounting policy: Fair value - financial instruments Financial instruments classified as mandatory fair value through profit or loss; held-for-trading; designated fair value through profit or loss and fair value through other comprehensive income are recognised in the financial statements at fair value. All derivatives are measured at fair value. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value measurement considers the characteristics of the asset or liability and the assumptions that a market participant would consider when pricing the asset or liability. NWB Group manages some portfolios of financial assets and financial liabilities based on its net exposure to either market or credit risk. In these cases, the fair value is derived from the net risk exposure of that portfolio with portfolio level adjustments applied to incorporate bid-offer spreads, counterparty credit risk, and funding costs (refer to Valuation Adjustments). Where the market for a financial instrument is not active, fair value is established using a valuation technique. These valuation techniques involve a degree of estimation, the extent of which depends on the instrument’s complexity and the availability of market-based data. The complexity and uncertainty in the financial instrument’s fair value is categorised using the fair value hierarchy. For accounting policy information refer to Accounting policies 2.2, 3.8 and 3.11. Valuation Fair value hierarchy Financial instruments carried at fair value have been classified under the fair value hierarchy. The classification ranges from level 1 to level 3, with more expert judgement and price uncertainty for those classified at level 3. The determination of an instrument’s level cannot be made at a global product level as a single product type can be in more than one level. For example, a single name corporate credit default swap could be in level 2 or level 3 depending on the level of market activity for the referenced entity. Level 1 - instruments valued using unadjusted quoted prices in active and liquid markets, for identical financial instruments. Examples include government bonds, listed equity shares and certain exchange-traded derivatives. Level 2 - instruments valued using valuation techniques that have observable inputs. Observable inputs are those that are readily available with limited adjustments required. Examples include most government agency securities, investment-grade corporate bonds, certain mortgage products – including collateralised loan obligations (CLOs), most bank loans, repos and reverse repos, state and municipal obligations, most notes issued, certain money market securities, loan commitments and most over the counter (OTC) derivatives. Level 3 - instruments valued using a valuation technique where at least one input which could have a significant effect on the instrument’s valuation, is not based on observable market data. Examples include non-derivative instruments which trade infrequently, certain syndicated and commercial mortgage loans, private equity, and derivatives with unobservable model inputs. Valuation techniques NWB Group derives the fair value of its instruments differently depending on whether the instrument is a non-modelled or a modelled product. Non-modelled products are valued directly from a price input, typically on a position-by-position basis. Examples include equities and most debt securities. Non-modelled products can fall into any fair value levelling hierarchy depending on the observable market activity, liquidity, and assessment of valuation uncertainty of the instruments. The assessment of fair value and the classification of the instrument to a fair value level is subject to the valuation controls discussed in the Valuation control section. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 129 10 Financial instruments – valuation continued Modelled products valued using a pricing model range in complexity from comparatively vanilla products such as interest rate swaps and options (e.g., interest rate caps and floors) through to more complex derivatives (e.g., balance guarantee swaps). For modelled products, the fair value is derived using the model and the appropriate model inputs or parameters, as opposed to from a cash price equivalent. Model inputs are taken either directly or indirectly from available data, where some inputs are also modelled. Fair value classification of modelled instruments is either level 2 or level 3, depending on the product/model combination, the observability and quality of input parameters and other factors. All these must be assessed to classify a position. The modelled product is assigned to the lowest fair value hierarchy level of any significant input used in that valuation. Most derivative instruments, for example vanilla interest rate swaps, foreign exchange swaps and liquid single name credit derivatives, are classified as level 2. This is because they are vanilla products valued using standard market models and with observable inputs. Level 2 products range from vanilla to more complex products, where more complex products remain classified as level 2 due to the materiality of any unobservable inputs. Inputs to valuation models When using valuation techniques, the fair value can be significantly affected by the choice of valuation model and underlying assumptions. Factors considered include the cashflow amounts and timing of those cash flows, and application of appropriate discount rates, incorporating both funding and credit risk. Values between and beyond available data points are obtained by interpolation and extrapolation. The principal inputs to these valuation techniques are as follows: Bond prices - quoted prices are generally available for government bonds, certain corporate securities, and some mortgage-related products. Credit spreads/margins - these reflect credit default swap levels or the return required over a benchmark rate or index to compensate for the referenced credit risk. Where available, these are derived from the price of credit default swaps or other credit- based instruments, such as debt securities. When direct prices are not available; credit spreads/margins are determined with reference to available prices of entities with similar characteristics. Interest rates - these are principally based on interest rate swap prices referencing benchmark interest rates. Benchmark rates include Interbank Offered Rates (IBOR) and overnight interest rates, including SONIA (Sterling Overnight Interbank Average Rate). Other quoted interest rates may also be used from both the bond, and futures markets. Foreign currency exchange rates - there are observable prices both for spot and forward contracts and futures in the world's major currencies. Equity and equity index prices - quoted prices are generally readily available for equity shares listed on the world's major stock exchanges and for major indices on such shares. Price volatilities and correlations - volatility is a measure of the tendency of a price to change with time. Correlation measures the degree which two or more prices or variables are observed to move together. Variables that move in the same direction show positive correlation; those that move in opposite directions are negatively correlated. Prepayment rates - rates used to reflect how fast a pool of assets prepay. The fair value of a financial instrument that can be prepaid by the issuer or borrower differs from that of an instrument that cannot be prepaid. When valuing prepayable instruments, the value of this prepayment option is considered. Recovery rates/loss given default - these are used as an input to valuation models and reserves for asset-backed securities and other credit products as an indicator of severity of losses on default. Recovery rates are primarily sourced from market data providers, the value of the underlying collateral, or inferred from observable credit spreads. Valuation control NWB Group's control environment for the determination of the fair value of financial instruments includes formalised procedures for the review and validation of fair values. The review of market prices and inputs is performed by an independent price verification (IPV) team. IPV is a key element of the control environment. Valuations are first performed by the business which entered into the transaction. These valuations are then reviewed by the IPV team, independent of those trading the financial instruments, in light of available pricing evidence. Independent pricing data is collated from a range of sources. Each source is reviewed for quality and the independent data applied in the IPV processes using a formalised input quality hierarchy. Consensus services are one source of independent data and encompass interest rate, currency, credit, and bond markets, providing comprehensive coverage of vanilla products and a wide selection of exotic products. Where measurement differences are identified through the IPV process these are grouped by the quality hierarchy of the independent data. If the size of the difference exceeds defined thresholds, an adjustment is made to bring the valuation to within the independently calculated fair value range. IPV takes place at least monthly, for all fair value financial instruments. The IPV control includes formalised reporting and escalation of any valuation differences in breach of established thresholds. The quality and completeness of the information gathered in the IPV process gives an indication as to the liquidity and valuation uncertainty of an instrument and forms part of the information considered when determining fair value hierarchy classifications. Initial fair value level classification of a financial instrument is carried out by the IPV team. These initial classifications are subject to senior management review. Particular attention is paid to instruments transferring from one level to another, new instrument classes or products, instruments where the transaction price is significantly different from the fair value and instruments where valuation uncertainty is high. Notes to the financial statements continued 10 Financial instruments – valuation continued NWB Group Annual Report and Accounts 2024 130 Valuation Committees are made up of valuation specialists and senior business representatives from various functions and oversee pricing, reserving and valuations issues. These committees meet monthly to review and ratify any methodology changes. The Executive Valuation Committee meets quarterly to address key material and subjective valuation issues, to review items escalated by Valuation Committees and to discuss other relevant industry matters. The Group model risk policy sets the policy for model documentation, testing and review. Governance of the model risk policy is carried out by the Group model risk oversight committee, which comprises model risk owners and independent model experts. All models are required to be independently validated in accordance with the Model Risk Policy. Key areas of judgement Over the years the business has simplified, with most products classified as level 1 or 2 of the fair value hierarchy. However, the diverse range of products historically traded by NWB Group means some products remain classified as level 3. Level 3 indicates a significant level of pricing uncertainty, where expert judgement is used. As such, extra disclosures are required in respect of level 3 instruments . In general, the degree of expert judgement used and hence valuation uncertainty depends on the degree of liquidity of an instrument or input. Where markets are liquid, little judgement is required. However, when the information regarding the liquidity in a particular market is not clear, a judgement may need to be made. For example, for an equity traded on an exchange, daily volumes of trading can be seen, but for an OTC derivative, assessing the liquidity of the market with no central exchange is more challenging. A key related matter is where a market moves from liquid to illiquid or vice versa. Where this movement is considered temporary, the fair value level is not changed. For example, if there is little market trading in a product on a reporting date but at the previous reporting date and during the intervening period the market has been liquid. In this case, the instrument will continue to be classified at the same level in the hierarchy. This is to provide consistency so that transfers between levels are driven by genuine changes in market liquidity and do not reflect short term or seasonal effects. Material movements between levels are reviewed quarterly by the business and IPV. The breadth and depth of the IPV data allows for a rules-based quality assessment to be made of market activity, liquidity, and pricing uncertainty, which assists with the process of allocation to an appropriate level. Where suitable independent pricing information is not readily available, the quality assessment will result in the instrument being assessed as level 3. The table below shows the assets and liabilities held by NWB Group split by fair value hierarchy level. Level 1 are considered the most liquid instruments, and level 3 the most illiquid, valued using expert judgement and so carrying the most significant price uncertainty. 2024 2023 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total £m £m £m £m £m £m £m £m Assets Derivatives Interest rate - 2,539 7 2,546 - 3,098 3 3,101 Foreign exchange - 328 - 328 - 83 - 83 Amounts due from holding companies and fellow subsidiaries - 78 - 78 - - - - Other financial assets Loans - 286 261 547 - 278 175 453 Securities 18,012 11,307 3 29,322 14,159 9,334 2 23,495 Total financial assets held at fair value 18,012 14,538 271 32,821 14,159 12,793 180 27,132 As % of total fair value assets 55% 44% 1% 52% 47% 1% Liabilities Derivatives Interest rate - 1,033 10 1,043 - 1,460 9 1,469 Foreign exchange - 124 - 124 - 249 - 249 Other - 10 - 10 - - - - Amounts due from holding companies and fellow subsidiaries - 27 - 27 - 17 - 17 Other financial liabilities Deposits - 452 - 452 - 13 - 13 Total financial liabilities held at fair value - 1,646 10 1,656 - 1,739 9 1,748 As % of total fair value liabilities - 99% 1% - 99% 1% (1) Transfers between levels are deemed to have occurred at the beginning of the quarter in which the instrument was transferred. Notes to the financial statements continued 10 Financial instruments – valuation continued NWB Group Annual Report and Accounts 2024 131 Valuation adjustments When valuing financial instruments in the trading book, adjustments are made to mid-market valuations to cover bid- offer spread, funding and credit risk. These adjustments are presented in the table below: 2024 2023 Adjustment £m £m Funding valuation adjustments 126 122 Credit valuation adjustments 1 - Bid-offer 25 14 Product and deal specific 1 - Total 153 136 Bid-offer increased during the year, primarily driven by bid-offer reserve taken on credit risk and additional liquidity reserves. Funding valuation adjustments (FVA) FVA represents an estimate of the adjustment that a market participant would make to incorporate funding costs and benefits that arise in relation to derivative exposures. FVA is calculated as a portfolio level adjustment and can result in either a funding charge (positive) or funding benefit (negative). Funding levels are applied to estimated potential future exposures. For uncollateralised derivatives, the exposure reflects the future valuation of the derivative. For collateralised derivatives, the exposure reflects the difference between the future valuation of the derivative and the level of collateral posted. Credit valuation adjustments (CVA) CVA represents an estimate of the adjustment to fair value that is made to incorporate the counterparty credit risk inherent in derivative exposures. The CVA is calculated on a portfolio basis reflecting an estimate of the amount a third party would charge to assume the credit risk. Collateral held under a credit support agreement is factored into the CVA calculation. In such cases where NWB Group holds collateral against counterparty exposures, CVA is held to the extent that residual risk remains. FVA and CVA are actively managed by a credit and market risk hedging process, and therefore movements in CVA and FVA are partially offset by trading revenue on the hedges. Bid-offer Fair value positions are required to be marked to exit, represented by bid (long positions) or offer (short positions) levels. Non-derivative positions are typically marked directly to bid or offer prices. However derivative exposures are adjusted to exit levels by taking bid-offer reserves calculated on a portfolio basis. The bid-offer approach is based on current market spreads and standard market bucketing of risk. Bid-offer spreads vary by maturity and risk type to reflect different spreads in the market. For positions where there is no observable quote, the bid-offer spreads are widened in comparison to proxies to reflect reduced liquidity or observability. Netting is applied on a portfolio basis to reflect the value at which NWB Group believes it could exit the net risk of the portfolio, rather than the sum of exit costs for each of the portfolio’s individual trades. This is applied where the asset and liability positions are managed as a portfolio for risk and reporting purposes. Product and deal specific On initial recognition of financial assets and liabilities valued using valuation techniques which have a significant dependence on information other than observable market data, any difference between the transaction price and that derived from the valuation technique is deferred. Such amounts are recognised in the income statement over the life of the transaction, when market data becomes observable, or when the transaction matures or is closed out as appropriate. Where system generated valuations do not accurately reflect market prices, manual valuation adjustments are applied either at a position or portfolio level. Manual adjustments are subject to the scrutiny of independent control teams and are subject to monthly review by senior management. Level 3 additional information For illiquid assets and liabilities, classified as level 3, additional information is provided on the valuation techniques used and price sensitivity of the products to those inputs. This is to enable the reader to gauge the level of uncertainty that arises from positions with significant unobservable inputs or modelling parameters. Level 3 ranges of unobservable inputs The table below provides additional information on level 3 instruments and inputs. This shows the valuation technique used for the fair value calculation, the unobservable input or inputs and input range. 2024 2023 Financial instrument Valuation technique Unobservable inputs Units Low High Low High Other financial assets Loans Price-based Price % 84 100 88 100 Derivative assets and liabilities Interest rate & FX derivatives Discount cash flow Conditional prepayment risk 4 % 5 3 5 (1) NWB Group does not have any material liabilities measured at fair value that are issued with an inseparable third party credit enhancement. Notes to the financial statements continued 10 Financial instruments: valuation continued NWB Group Annual Report and Accounts 2024 132 Level 3 sensitivities The level 3 sensitivities presented below are calculated at a trade or low-level portfolio basis rather than an overall portfolio basis. As individual sensitivities are aggregated with no reflection of the correlated nature between instruments, the overall portfolio sensitivity may not be accurately reflected. For example, some portfolios may be negatively correlated to others, where a downwards movement in one asset would produce an upwards movement in another. However, due to the additive presentation of the above figures this correlation impact cannot be displayed. As such, the actual potential downside sensitivity of the total portfolio may be less than the non-correlated sum of the additive figures as shown in the below table. Alternative assumptions Reasonably plausible alternative assumptions of unobservable inputs are determined based on a specified target level of certainty of 90%. Alternative assumptions are determined with reference to all available evidence including consideration of the following: quality of independent pricing information considering consistency between different sources, variation over time, perceived tradability or otherwise of available quotes; consensus service dispersion ranges; volume of trading activity and market bias (e.g. one-way inventory); day 1 profit or loss arising on new trades; number and nature of market participants; market conditions; modelling consistency in the market; size and nature of risk; length of holding of position; and market intelligence. Other considerations Whilst certain inputs used to calculate CVA and FVA are not based on observable market data, the uncertainty of these inputs is not considered to have a significant effect on the net valuation of the related derivative portfolios. As such, the fair value levelling of the derivative portfolios is not determined by CVA or FVA inputs. In addition, any fair value sensitivity driven by these inputs is not included in the level 3 sensitivities presented. The table below shows the high and low range of fair value of the level 3 assets and liabilities. This range incorporates the range of fair value inputs as described in the previous table. 2024 2023 Level 3 Favourable Unfavourable Level 3 Favourable Unfavourable £m £m £m £m £m £m Assets Derivatives Interest rate 7 - - 3 - - Other financial assets Loans 261 - (10) 175 - (10) Securities 3 - - 2 - - Total 271 - (10) 180 - (10) Liabilities Derivatives Interest rate 10 - - 9 - - Total 10 - - 9 - - 10 Financial instruments: valuation continued Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 133 Movement in level 3 assets and liabilities over the reporting period The following table shows the movement in level 3 assets and liabilities in the year. Other Other Other Other Derivatives trading financial Total Derivatives trading financial Total assets assets (2) assets (3) assets liabilities liabilities (2) liabilities liabilities 2024 £m £m £m £m £m £m £m £m At 1 January 3 - 176 179 9 - - 9 Amounts recorded in the income statement (1) 11 - 5 16 3 - - 3 Level 3 transfers in - - 45 45 - - - - Purchases/originations - - 37 37 - - - - Settlements/other decreases (7) - - (7) (2) - - (2) Foreign exchange and other - - 1 1 - - - - At 31 December 7 - 264 271 10 - - 10 Amounts recorded in the income statement in respect of balances held at period end - unrealised 4 - 5 9 1 - - 1 2023 At 1 January 20 - 50 70 7 - - 7 Amounts recorded in the income statement (1) (8) - (19) (27) 3 - - 3 Level 3 transfers in - - 23 23 - - - - Purchases/originations - - 122 122 - - - - Settlements/other decreases (8) - - (8) (2) - - (2) Foreign exchange and other (1) - 1 - 1 - - 1 At 31 December 3 - 177 180 9 - - 9 Amounts recorded in the income statement in respect of balances held at period end - unrealised (10) - (19) (29) 2 - - 2 (1) Net gains on trading assets and liabilities of £8 million (2023 – net losses £11 million) were recorded in income from trading activities. (2) Other trading assets and other trading liabilities comprise assets and liabilities held at fair value in trading portfolios. (3) Other financial assets comprise fair value through other comprehensive income, designated as at fair value through profit or loss and other fair value through profit or loss. Notes to the financial statements continued 10 Financial instruments: valuation continued NWB Group Annual Report and Accounts 2024 134 Fair value of financial instruments measured at amortised cost on the balance sheet The following table shows the carrying value and fair value of financial instruments measured at amortised cost on the balance sheet . NWB Group Items where fair Carrying Fair Fair value hierarchy level value approximates value value Level 1 Level 2 Level 3 carrying value 2024 £bn £bn £bn £bn £bn £bn Financial assets Cash and balances at central banks 35.1 35.1 - - - 35.1 Loans to banks 3.4 3.4 - 1.4 0.5 1.5 Loans to customers 332.0 327.9 - 31.8 296.1 - Amounts due from holding companies and fellow subsidiaries 3.1 3.2 - 2.0 1.2 - Other financial assets Securities 9.7 9.7 2.7 6.7 0.3 - 2023 Financial assets Cash and balances at central banks 48.3 48.3 - - - 48.3 Loans to banks 3.4 3.4 - 1.7 0.3 1.4 Loans to customers 318.5 310.7 - 25.9 284.8 - Amounts due from holding companies and fellow subsidiaries 1.8 1.8 - - 1.8 - Other financial assets Securities 8.0 8.0 1.9 5.7 0.4 - 2024 Financial liabilities Bank deposits 24.8 24.6 - 21.5 - 3.1 Customer deposits 318.3 318.1 - 19.9 26.6 271.6 Amounts due to holding companies - and fellow subsidiaries 47.6 47.8 - 39.8 3.3 4.7 Other financial liabilities Debt securities in issue 4.5 4.5 - 0.7 3.8 - Subordinated liabilities 0.1 0.2 - 0.2 - - Notes in circulation 0.9 0.9 - - - 0.9 2023 Financial liabilities Bank deposits 18.1 18.2 - 14.9 0.3 3.0 Customer deposits 313.8 313.4 - 26.8 27.1 259.5 Amounts due to holding companies - and fellow subsidiaries 47.0 47.0 - 29.8 12.6 4.6 Other financial liabilities Debt securities in issue 9.0 9.0 - 2.1 6.9 - Subordinated liabilities 0.1 0.2 - 0.2 - - Notes in circulation 0.8 0.8 - - - 0.8 Notes to the financial statements continued 10 Financial instruments: valuation continued Fair value of financial instruments measured at amortised cost on the balance sheet continued NWB Group Annual Report and Accounts 2024 135 NWB Plc Items where fair Carrying Fair Fair value hierarchy level value approximates value value Level 1 Level 2 Level 3 carrying value 2024 £bn £bn £bn £bn £bn £bn Financial assets Cash and balances at central banks 35.1 35.1 - - - 35.1 Loans to banks 3.1 3.1 - 1.4 0.2 1.5 Loans to customers 297.5 294.9 - 31.8 263.1 - Amounts due from holding companies and fellow subsidiaries 34.9 34.5 - 33.3 1.2 - Other financial assets Securities 9.4 9.4 2.7 6.7 - - 2023 Financial assets Cash and balances at central banks 48.2 48.2 - - - 48.2 Loans to banks 3.0 3.0 - 1.7 - 1.3 Loans to customers 284.3 277.8 - 25.8 252.0 - Amounts due from holding companies and fellow subsidiaries 32.2 31.8 - 24.1 7.7 - Other financial assets Securities 7.6 7.6 1.9 5.7 - - 2024 Financial liabilities Bank deposits 24.8 24.6 - 21.5 - 3.1 Customer deposits 276.0 275.8 - 19.9 16.0 239.9 Amounts due to holding companies and fellow subsidiaries 90.4 90.3 - 83.6 5.4 1.3 Other financial liabilities Debt securities in issue 3.4 3.4 - 0.8 2.6 - Subordinated liabilities 0.1 0.2 - 0.2 - - Notes in circulation 0.9 0.9 - - - 0.9 2023 Financial liabilities Bank deposits 18.1 18.2 - 14.9 0.3 3.0 Customer deposits 276.2 275.8 - 26.8 15.6 233.4 Amounts due to holding companies and fellow subsidiaries 83.5 83.1 - 44.0 38.0 1.1 Other financial liabilities Debt securities in issue 8.1 8.1 - 2.1 6.0 - Subordinated liabilities 0.1 0.2 - 0.2 - - Notes in circulation 0.8 0.8 - - - 0.8 Notes to the financial statements continued 10 Financial instruments: valuation continued Fair value of financial instruments measured at amortised cost on the balance sheet continued NWB Group Annual Report and Accounts 2024 136 The assumptions and methodologies underlying the calculation of fair values of financial instruments at the balance sheet date are as follows : Short-term financial instruments For certain short-term financial instruments: cash and balances at central banks, items in the course of collection from other banks, settlement balances, items in the course of transmission to other banks, customer demand deposits and notes in circulation, carrying value is deemed a reasonable approximation of fair value. Loans to banks and customers In estimating the fair value of net loans to customers and banks measured at amortised cost, NWB Group’s loans are segregated into appropriate portfolios reflecting the characteristics of the constituent loans. Two principal methods are used to estimate fair value: (a) Contractual cash flows are discounted using a market discount rate that incorporates the current spread for the borrower or where this is not observable, the spread for borrowers of a similar credit standing. This method is used for portfolios where counterparties have external ratings. (b) Expected cash flows (unadjusted for credit losses) are discounted at the current offer rate for the same or similar products. The current methodology caps all loan values at par rather than modelling clients’ option to repay loans early. This approach is adopted for lending portfolios in Retail Banking, Commercial & Institutional (SME loans) and Private Banking in order to reflect the homogeneous nature of these portfolios. Debt securities and subordinated liabilities Most debt securities are valued using quoted prices in active markets or from quoted prices of similar financial instruments in active markets. Fair values of the remaining population are determined using market standard valuation techniques, such as discounted cash flows, adjusting for own credit spreads where appropriate. Bank and customer deposits Fair values of deposits are estimated using discounted cash flow valuation techniques. Where required, methodologies can be revised as additional information and valuation inputs become available. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 137 11 Financial instruments - maturity analysis Remaining maturity The following table shows the residual maturity of financial instruments, based on contractual date of maturity. NWB Group 2024 2023 Less than 12 More than 12 Less than 12 More than 12 months months Total months months Total £m £m £m £m £m £m Assets Cash and balances at central banks 35,095 - 35,095 48,259 - 48,259 Derivatives 679 2,195 2,874 312 2,872 3,184 Loans to banks - amortised cost 2,774 652 3,426 3,091 264 3,355 Loans to customers - amortised cost 72,174 259,839 332,013 65,410 253,056 318,466 Amounts due from holding companies and fellow subsidiaries (1) 1,882 1,324 3,206 1,406 402 1,808 Other financial assets 10,806 28,765 39,571 8,458 23,486 31,944 Liabilities Bank deposits 16,580 8,200 24,780 6,052 12,000 18,052 Customer deposits 316,262 2,028 318,290 308,379 5,373 313,752 Derivatives 91 1,086 1,177 370 1,348 1,718 Amounts due to holding companies and fellow subsidiaries (2) 37,943 9,639 47,582 38,646 8,327 46,973 Other financial liabilities 3,370 1,629 4,999 8,148 863 9,011 Subordinated liabilities 2 120 122 2 120 122 Notes in circulation 935 - 935 806 - 806 Lease liabilities 72 418 490 77 436 513 NWB Plc 2024 2023 Less than 12 More than 12 Less than 12 More than 12 months months Total months months Total £m £m £m £m £m £m Assets Cash and balances at central banks 35,083 - 35,083 48,238 - 48,238 Derivatives 680 2,212 2,892 313 2,900 3,213 Loans to banks - amortised cost 2,506 642 3,148 2,793 250 3,043 Loans to customers - amortised cost 59,456 238,092 297,548 53,079 231,235 284,314 Amounts due from holding companies and fellow subsidiaries (1) 8,027 27,508 35,535 9,480 23,237 32,717 Other financial assets 10,040 28,758 38,798 7,607 23,485 31,092 Liabilities Bank deposits 16,578 8,200 24,778 6,052 12,000 18,052 Customer deposits 274,044 1,928 275,972 270,947 5,255 276,202 Amounts due to holding companies and fellow subsidiaries (2) 62,483 28,215 90,698 54,371 29,438 83,809 Derivatives 95 1,228 1,323 440 1,574 2,014 Other financial liabilities 3,075 749 3,824 8,147 - 8,147 Subordinated liabilities 2 117 119 2 117 119 Notes in circulation 935 - 935 806 - 806 Lease liabilities 61 305 366 66 361 427 (1) Amounts due from holding companies and fellow subsidiaries relating to non-financial instruments of £530 million (2023 - £503 million) for NWB Group and £848 million (2023 – £782 million) for NWB Plc have been excluded from the tables. (2) Amounts due to holding companies and fellow subsidiaries relating to non-financial instruments of £142 million (2023 - £279 million) for NWB Group and £227 million (2023 – £365 million) for NWB Plc have been excluded from the tables. Notes to the financial statements continued 11 Financial instruments - maturity analysis continued NWB Group Annual Report and Accounts 2024 138 Liabilities by contractual cash flows up to 20 years The tables below show the timing of cash outflows to settle financial liabilities, prepared on the following basis: Financial liabilities are included at the earliest date on which the counterparty can require repayment regardless of whether or not such early repayment results in a penalty. If repayment is triggered by, or is subject to, specific criteria such as market price hurdles being reached, the liability is included at the earliest possible date that conditions could be fulfilled without considering the probability of the conditions being met. For example, if a structured note automatically prepays then an equity index exceeds a certain level, the cash outflow will be included in the less than three months period whatever the level of the index at year end. The settlement date of debt securities issued by certain securitisation vehicles consolidated by the NWB Group depends on when cash flows are received from the securitised assets. Where these assets are prepayable, the timing of cash outflow relating to securities assumes that each asset will be prepaid at the earliest possible date. The principal amounts of financial liabilities that are repayable after 20 years or where the counterparty has no right to repayment of the principal are excluded from the table along with interest payments after 20 years. The maturity of guarantees and commitments is based on the earliest possible date they would be drawn in order to evaluate NWB Group’s liquidity position. Held-for-trading liabilities amounting to £1.2 billion (2023 - £1.3 billion) for the NWB Group and £1.3 billion (2023 - £1.6 billion) for the NWB Plc have been excluded from the tables. NWB Group 0-3 months 3-12 months 1-3 years 3-5 years 5-10 years 10-20 years 2024 £m £m £m £m £m £m Liabilities by contractual maturity up to 20 years Bank deposits 12,930 4,198 8,686 - - - Customer deposits 290,411 26,052 2,016 15 - - Amounts due to holding companies and fellow subsidiaries (1) 29,489 8,883 4,485 5,523 1,507 - Derivatives held for hedging 40 128 115 156 63 2 Other financial liabilities 1,651 1,594 84 798 202 670 Subordinated liabilities - 10 21 21 56 104 Notes in circulation 935 - - - - - Lease liabilities 18 51 141 71 125 85 335,474 40,916 15,548 6,584 1,953 861 Guarantees and commitments notional amount (2) Guarantees (3) 1,748 - - - - - Commitments (4) 92,515 - - - - - 94,263 - - - - - 2023 Liabilities by contractual maturity up to 20 years Bank deposits 5,965 738 4,833 8,307 - - Customer deposits 284,733 23,882 5,361 10 9 - Amounts due to holding companies and fellow subsidiaries (1) 32,260 6,846 3,279 4,740 1,840 - Derivatives held for hedging 71 149 308 149 86 11 Other financial liabilities 3,618 4,635 297 378 110 79 Subordinated liabilities - 10 21 21 55 104 Notes in circulation 806 - - - - - Lease liabilities 23 61 134 76 126 102 327,476 36,321 14,233 13,681 2,226 296 Guarantees and commitments notional amount (2) Guarantees (3) 1,370 - - - - - Commitments (4) 84,046 - - - - - 85,416 - - - - - For the notes to this table refer to the following page. Notes to the financial statements continued 11 Financial instruments - maturity analysis continued NWB Group Annual Report and Accounts 2024 139 NWB Plc 0-3 months 3-12 months 1-3 years 3-5 years 5-10 years 10-20 years 2024 £m £m £m £m £m £m Liabilities by contractual maturity up to 20 years Bank deposits 12,927 4,198 8,686 - - - Customer deposits 252,407 21,747 1,920 5 - - Amounts due to holding companies and fellow subsidiaries (1) 48,197 15,225 12,526 14,850 3,552 90 Derivatives held for hedging 39 125 115 155 62 2 Other financial liabilities 1,650 1,299 77 798 - - Subordinated liabilities - 10 21 21 52 104 Notes in circulation 935 - - - - - Lease liabilities 17 48 131 54 104 48 316,172 42,652 23,476 15,883 3,770 244 Guarantees and commitments notional amount (2) Guarantees (3) 1,729 - - - - - Commitments (4) 81,738 - - - - - 83,467 - - - - - 2023 Liabilities by contractual maturity up to 20 years Bank deposits 5,965 738 4,833 8,307 - - Customer deposits 251,691 19,361 5,248 1 9 - Amounts due to holding companies and fellow subsidiaries (1) 41,705 13,625 11,048 18,227 2,613 - Derivatives held for hedging 70 149 306 147 83 11 Other financial liabilities 3,619 4,635 - - - - Subordinated liabilities - 10 21 21 52 104 Notes in circulation 806 - - - - - Lease liabilities 18 53 124 71 118 86 303,874 38,571 21,580 26,774 2,875 201 Guarantees and commitments notional amount (2) Guarantees (3) 1,350 - - - - - Commitments (4) 74,091 - - - - - 75,441 - - - - - (1) Amounts due to holding companies and fellow subsidiaries relating to non-financial instruments have been excluded from the tables. (2) Refer to Note 26 Memorandum items – Contingent liabilities and commitments. (3) NWB Group is only called upon to satisfy a guarantee when the guaranteed party fails to meet its obligations. NWB Group expects most guarantees it provides to expire unused. (4) NWB Group has given commitments to provide funds to customers under undrawn formal facilities, credit lines and other commitments to lend subject to certain conditions being met by the counterparty. NWB does not expect all facilities to be drawn, and some may lapse before drawdown. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 140 12 Derivatives NWB Group uses derivatives to manage its own risk such as interest rate, foreign exchange, or credit risk or in certain customer transactions. NWB Group 2024 2023 Notional Assets Liabilities Notional Assets Liabilities £bn £m £m £bn £m £m Exchange rate contracts 25.9 328 124 19.7 83 249 Interest rate contracts 654.1 2,546 1,043 669.6 3,101 1,469 Credit derivatives 0.4 - 10 - - - Equity and commodity contracts 1.5 - - - - - Total 681.9 2,874 1,177 689.3 3,184 1,718 NWB Plc 2024 2023 Notional Assets Liabilities Notional Assets Liabilities £bn £m £m £bn £m £m Exchange rate contracts 26.0 329 124 20.9 83 271 Interest rate contracts 666.3 2,563 1,189 683.5 3,130 1,743 Credit derivatives 0.4 - 10 - - - Equity and commodity contracts 1.5 - - - - - Total 694.2 2,892 1,323 704.4 3,213 2,014 Hedge accounting using derivatives For accounting policy information refer to Accounting policies 2.2 and 3.11. Refer to Note 33 for amounts due from/to fellow NatWest Group subsidiaries. NWB Group applies hedge accounting to reduce the accounting mismatch caused in the income statement by using derivatives to hedge the following risks: interest rate, foreign exchange and the foreign exchange risk associated with net investment in foreign operations. NWB Group’s interest rate hedging relates to the management of NWB Group’s non-trading structural interest rate risk, caused by the mismatch between fixed interest rates and floating interest rates on its financial instruments. NWB Group manages this risk within approved limits. Residual risk positions are hedged with derivatives, principally interest rate swaps. Cash flow hedges of interest rate risk relate to exposures to the variability in future interest payments and receipts due to the movement of interest rates on forecast transactions and on financial assets and financial liabilities. This variability in cash flows is hedged by interest rate swaps, which convert variable cash flows into fixed. For these cash flow hedge relationships, the hedged items are actual and forecast variable interest rate cash flows arising from financial assets and financial liabilities with interest rates linked to the relevant interest rates, most notably SOFR, EURIBOR, SONIA and the Bank of England Official Bank Rate. The variability in cash flows due to movements in the relevant interest rate is hedged; this risk component is identified using the risk management systems of NWB Group and encompasses the majority of cash flow variability risk. Suitable larger fixed rate financial instruments are subject to fair value hedging in line with documented risk management strategies. Fair value hedges of interest rate risk involve interest rate swaps transforming the fixed interest rate risk in financial assets and financial liabilities to floating. The hedged risk is the risk of changes in the hedged item’s fair value attributable to changes in the interest rate risk component of the hedged item. The significant interest rates identified as risk components are SOFR, EURIBOR and SONIA. These risk components are identified using the risk management systems of NWB Group and encompass the majority of the hedged item’s fair value risk. NWB Group hedges the exchange rate risk of its net investment in foreign currency denominated operations with currency borrowings and forward foreign exchange contracts. NWB Group reviews the value of the investments’ net assets, executing hedges where appropriate to reduce the sensitivity of capital ratios to foreign exchange rate movement. Hedge accounting relationships will be designated where required. Exchange rate risk also arises in NWB Group where payments are denominated in currencies other than the functional currency. Residual risk positions are hedged with forward foreign exchange contracts, fixing the exchange rate the payments will be settled in. The derivatives are documented as cash flow hedges. For all cash flow hedging, fair value hedge relationships and net investment hedging, NWB Group determines that there is an economic relationship between the hedged item and hedging instrument via assessing the initial and ongoing effectiveness by comparing movements in the fair value of the expected highly probable forecast interest cash flows/ fair value of the hedged item attributable to the hedged risk with movements in the fair value of the expected changes in cash flows from the hedging instrument. The method used for comparing movements is either regression testing, or the dollar offset method. The method for testing effectiveness and the period over which the test is performed depends on the applicable risk management strategy and is applied consistently to each risk management strategy. Hedge effectiveness is assessed on a cumulative basis and the determination of effectiveness is in line with the requirements of IAS 39. NWB Group uses either the actual ratio between the hedged item and hedging instrument(s) or one that minimises hedge ineffectiveness to establish the hedge ratio for hedge accounting. Hedge ineffectiveness is measured in line with the requirements of IAS 39 and recognised in the income statement as it arises . Notes to the financial statements continued 12 Derivatives continued NWB Group Annual Report and Accounts 2024 141 Derivatives in hedge accounting relationships Included in the tables above are derivatives held for hedging purposes as follows. NWB Group 2024 2023 Changes in fair Changes in fair value used for value used for hedge hedge Notional Assets Liabilities ineffectiveness (1) Notional Assets Liabilities ineffectiveness (1) £bn £m £m £m £bn £m £m £m Fair value hedging Interest rate contracts (2) 43.7 537 776 456 34.1 620 1,159 (167) Cash flow hedging Interest rate contracts 107.0 1,417 1,835 349 97.0 1,994 3,056 (305) Exchange rate contracts 2.0 1 2 - 2.6 2 3 (3) Net investment hedging Exchange rate contracts (3) 0.2 2 - 9 0.1 - 7 (2) 152.9 1,957 2,613 814 133.8 2,616 4,225 (477) IFRS netting and clearing house settlements (1,597) (2,358) (2,090) (3,820) 360 255 526 405 NWB Plc 2024 2023 Changes in fair Changes in fair value used for value used for hedge hedge Notional Assets Liabilities ineffectiveness (1) Notional Assets Liabilities ineffectiveness (1) £bn £m £m £m £bn £m £m £m Fair value hedging Interest rate contracts (2) 43.5 538 746 458 33.9 619 1,125 (183) Cash flow hedging Interest rate contracts 107.0 1,417 1,835 348 97.0 1,994 3,056 (305) Exchange rate contracts 2.0 1 1 3 2.6 - 3 (2) Net investment hedging Exchange rate contracts (4) - - - - - - - - 152.5 1,956 2,582 809 133.5 2,613 4,184 (490) IFRS netting and clearing house settlements (1,598) (2,332) (2,090) (3,786) 358 250 523 398 (1) The change in fair value used for hedge ineffectiveness includes instruments that were derecognised in the year. (2) The hedged risk includes inflation risk. (3) In addition to the derivative hedging instruments above, £444 million notional (2023 - £517 million) of non derivative hedging instruments with a carrying value of £444 million (2023 - £517 million) were used in Net Investment Hedges. The non derivative instruments are other financial liabilities. (4) In addition to the derivative hedging instruments above, £348 million notional (2023 - £373 million) of non derivative hedging instruments with a carrying value of £348 million (2023 - £373 million) were used in Net Investment Hedges. The non derivative instruments are other financial liabilities, specifically debt securities in issue. Notes to the financial statements continued 12 Derivatives continued NWB Group Annual Report and Accounts 2024 142 Hedge ineffectiveness Hedge ineffectiveness recognised in other operating income comprised. NWB Group 2024 2023 £m £m Fair value hedging Gain/(loss) on hedged items attributable to the hedged risk (461) 194 (Loss)/gain on the hedging instruments 456 (167) Fair value hedging ineffectiveness (5) 27 Cash flow hedging Interest rate risk (16) (4) Cash flow hedging ineffectiveness (16) (4) Total (21) 23 The main sources of ineffectiveness for interest rate risk hedge accounting relationships are:  The effect of the counterparty credit risk on the fair value of the interest rate swap, which is not reflected in the fair value of the hedged item attributable to the change in interest rate; and  Upfront present values on the hedging derivatives where hedge accounting relationships have been designated after the trade date. Maturity of notional hedging contracts The following table shows the period in which the notional of hedging contract ends. NWB Group 0-3 months 3-12 months 1-3 years 3-5 years 5-10 years Over 10 years Total 2024 £bn £bn £bn £bn £bn £bn £bn Fair value hedging Interest rate risk (1) Hedging assets 3.9 4.8 9.3 8.3 4.9 1.9 33.1 Hedging liabilities - 0.5 3.8 5.1 1.2 - 10.6 2023 Fair value hedging Interest rate risk (1) Hedging assets 0.1 1.6 5.4 7.2 4.2 2.9 21.4 Hedging liabilities 2.2 1.7 2.7 4.3 1.8 - 12.7 2024 Cash flow hedging Interest rate risk Hedging assets 1.8 7.1 11.1 15.8 7.1 - 42.9 Hedging liabilities 1.8 12.5 36.2 12.7 0.9 - 64.1 Exchange rate risk Hedging assets 0.6 0.7 0.5 - - - 1.8 Hedging liabilities - 0.2 - - - - 0.2 2023 Cash flow hedging Interest rate risk Hedging assets 1.5 2.1 22.9 12.2 5.3 - 44.0 Hedging liabilities 0.5 4.8 31.2 15.5 1.0 - 53.0 Exchange rate risk Hedging assets 0.3 0.7 0.5 - - - 1.5 Hedging liabilities 0.8 0.2 0.1 - - - 1.1 (1) The hedged risk includes inflation risk. Notes to the financial statements continued 12 Derivatives continued Maturity of notional hedging contracts continued NWB Group Annual Report and Accounts 2024 143 NWB Plc 0-3 months 3-12 months 1-3 years 3-5 years 5-10 years Over 10 years Total 2024 £bn £bn £bn £bn £bn £bn £bn Fair value hedging Interest rate risk (1) Hedging assets 3.9 4.8 9.4 8.2 4.9 2.0 33.2 Hedging liabilities - 0.5 3.8 4.8 1.2 - 10.3 2023 Fair value hedging Interest rate risk (1) Hedging assets 0.1 1.6 5.4 7.2 4.1 3.1 21.5 Hedging liabilities 2.2 1.7 2.7 4.3 1.5 - 12.4 2024 Cash flow hedging Interest rate risk Hedging assets 1.8 7.1 11.1 15.7 7.1 - 42.8 Hedging liabilities 1.8 12.5 36.2 12.7 1.0 - 64.2 Exchange rate risk Hedging assets 0.6 0.8 0.5 - - - 1.9 Hedging liabilities - 0.1 - - - - 0.1 2023 Cash flow hedging Interest rate risk Hedging assets 1.5 2.1 22.9 12.2 5.3 - 44.0 Hedging liabilities 0.5 4.8 31.2 15.5 1.0 - 53.0 Exchange rate risk Hedging assets 0.3 0.7 0.5 - - - 1.5 Hedging liabilities 0.8 0.2 0.1 - - - 1.1 (1) The hedged risk includes inflation risk. Average fixed interest rates Average fixed rate for cash flow hedges, interest rate risk, for NWB Group and NWB Plc. 0-3 months 3-12 months 1-3 years 3-5 years 5-10 years Over 10 years Total 2024 % % % % % % % Average fixed interest rate Hedging assets 0.58 1.04 3.28 3.47 2.30 - 2.70 Hedging liabilities 4.20 4.13 3.63 3.36 2.55 - 3.67 2023 Average fixed interest rate Hedging assets 0.87 2.84 1.29 4.04 1.28 - 2.11 Hedging liabilities 0.71 1.37 3.95 2.96 1.92 - 3.36 Average foreign exchange rates For cash flow hedging of exchange rate risk, the average foreign exchange rates applicable across the relationships for NWB Group and NWB Plc were as below for the main currencies hedged. 2024 2023 JPY/GBP 179.90 173.32 INR/GBP 109.07 105.03 CHF/GBP 1.08 1.08 Notes to the financial statements continued 12 Derivatives continued NWB Group Annual Report and Accounts 2024 144 Analysis of hedged items and related hedging instruments The table below analyses assets and liabilities, including intercompany, subject to hedging derivatives. NWB Group Carrying value Impact on Changes in fair of hedged hedged items value used as a assets included in basis to determine and liabilities carrying value ineffectiveness (1) 2024 £m £m £m Fair value hedging - interest rate (2) Loans to banks and customers - amortised cost 2,577 (430) (95) Other financial assets - securities 30,476 103 (257) Total (3) 33,053 (327) (352) Other financial liabilities - debt securities in issue (5) 6,636 (343) (53) Subordinated liabilities 3,648 (77) (56) Total 10,284 (420) (109) 2023 Fair value hedging - interest rate (2) Loans to banks and customers - amortised cost 2,857 (378) 79 Other financial assets - securities 18,451 265 509 Total (3) 21,308 (113) 588 Other financial liabilities - debt securities in issue (5) 8,670 (418) (297) Subordinated liabilities 3,636 (115) (97) Total 12,306 (533) (394) 2024 Cash flow hedging - interest rate Loans to banks and customers - amortised cost (4) 42,169 (64) Other financial assets - securities 619 (1) Total 42,788 (65) Bank and customer deposits 64,217 (300) Total 64,217 (300) Cash flow hedging - exchange rate Loans to banks and customers - amortised cost (4) 223 - Other financial assets - securities 1,598 - Total 1,821 - Other 195 - 2023 Cash flow hedging - interest rate Loans to banks and customers - amortised cost (4) 43,693 (1,529) Other financial assets - securities 354 (13) Total 44,047 (1,542) Bank and customer deposits 52,964 1,843 Total 52,964 1,843 Cash flow hedging - exchange rate Loans to banks and customer - amortised cost 583 - Other financial assets - securities 1,839 - Total 2,422 - Other 201 3 (1) The change in fair value used for ineffectiveness includes instruments that were derecognised in the year. (2) The hedged risk includes inflation risk. (3) Carrying values include £21 million (2023 - £25 million) adjustment for discontinued fair value hedges. (4) Includes cash and balances at central banks. (5) The carrying value include £3,974 million (2023 - £2,528 million) of debt securities held at amortised cost. Notes to the financial statements continued 12 Derivatives continued Analysis of hedged items and related hedging instruments - continued NWB Group Annual Report and Accounts 2024 145 NWB Plc Carrying value Impact on Changes in fair of hedged hedged items value used as a assets included in basis to determine and liabilities carrying value ineffectiveness (1) 2024 £m £m £m Fair value hedging - interest rate (2) Loans to banks and customers - amortised cost 2,502 (432) (94) Other financial assets - securities 30,477 103 (257) Total (3) 32,979 (329) (351) Other financial liabilities - debt securities in issue (5) 6,368 (317) (46) Subordinated liabilities 3,648 (77) (57) Total 10,016 (394) (103) 2023 Fair value hedging - interest rate (2) Loans to banks and customers - amortised cost 2,776 (381) 77 Other financial assets - securities 18,451 265 509 Total (3) 21,227 (116) 586 Other financial liabilities - debt securities in issue (5) 8,399 (384) (280) Subordinated liabilities 3,636 (115) (97) Total 12,035 (499) (377) 2024 Cash flow hedging - interest rate Loans to banks and customers - amortised cost (4) 42,170 (64) Other financial assets - securities 619 (1) Total 42,789 (65) Bank and customer deposits 64,217 (300) Other financial liabilities - debt securities in issue - - Total 64,217 (300) Cash flow hedging - exchange rate Loans to banks and customers - amortised cost (4) 223 - Other financial assets - securities 1,598 - Total 1,821 - Other 138 (3) 2023 Cash flow hedging - interest rate Loans to banks and customers - amortised cost (4) 43,693 (1,529) Other financial assets - securities 354 (13) Total 44,047 (1,542) Bank and customer deposits 52,964 1,843 Other financial liabilities - debt securities in issue - - Total 52,964 1,843 Cash flow hedging - exchange rate Loans to banks and customer - amortised cost 583 Other financial assets - securities 1,839 - Total 2,422 - Other 143 2 (1) The change in fair value used for ineffectiveness includes instruments that were derecognised in the year. (2) The hedged risk includes inflation risk. (3) Carrying values include £2 million (2023 - nil) adjustment for discontinued fair value hedges. (4) Includes cash and balances at central banks. (5) The carrying value include £3,974 million (2023 - £2,528 million) of debt securities held at amortised cost. Notes to the financial statements continued 12 Derivatives continued NWB Group Annual Report and Accounts 2024 146 Analysis of cash flow and foreign exchange hedge reserve The following shows analysis of the pre-tax cash flow hedge reserve and foreign exchange hedge reserve. NWB Group 2024 2023 Foreign Foreign Cash flow hedge exchange Cash flow hedge exchange reserve hedge reserve reserve hedge reserve £m £m £m £m Continuing Interest rate risk (284) - (812) - Foreign exchange risk (1) 11 (1) (6) De-designated Interest rate risk (143) - (20) - Foreign exchange risk - 25 - 16 Total (428) 36 (833) 10 NWB Plc 2024 2023 Foreign Foreign Cash flow exchange Cash flow exchange hedge reserve hedge reserve hedge reserve hedge reserve £m £m £m £m Continuing Interest rate risk (284) - (812) - Foreign exchange risk - 10 (3) 1 De-designated Interest rate risk (143) - (20) - Foreign exchange risk - 3 - (4) Total (427) 13 (835) (3) Notes to the financial statements continued 12 Derivatives continued Analysis of cash flow and foreign exchange hedge reserve continued NWB Group Annual Report and Accounts 2024 147 NWB Group 2024 2023 Foreign Foreign Cash flow hedge exchange Cash flow hedge exchange reserve hedge reserve reserve hedge reserve £m £m £m £m Amount recognised in equity Interest rate risk 17 - (218) - Foreign exchange risk 101 25 38 14 Total 118 25 (180) 14 Amount transferred from equity to earnings Interest rate risk to net interest income 388 - (61) - Interest rate risk to non interest income - - (8) - Foreign exchange risk to net interest income (107) - (43) - Foreign exchange risk to operating expenses 5 - 2 - Total 286 - (110) - NWB Plc 2024 2023 Foreign Foreign Cash flow exchange Cash flow exchange hedge reserve hedge reserve hedge reserve hedge reserve £m £m £m £m Amount recognised in equity Interest rate risk 17 - (218) - Foreign exchange risk 108 16 38 12 Total 125 16 (180) 12 Amount transferred from equity to earnings Interest rate risk to net interest income 388 - (61) - Interest rate risk to non interest income - - (8) - Foreign exchange risk to net interest income (107) - (44) - Foreign exchange risk to operating expenses 2 - 4 - Total 283 - (109) - Notes to the financial statements continued 13 Loan impairment provisions NWB Group Annual Report and Accounts 2024 148 Loan exposure and impairment metrics The table below summarises loans and related credit impairment measures within the scope of ECL framework. NWB Group NWB Plc 31 December 31 December 31 December 31 December 2024 2023 2024 2023 £m £m £m £m Loans - amortised cost Stage 1 298,209 288,772 268,368 258,188 Stage 2 35,517 31,727 31,101 28,008 Stage 3 4,798 4,405 4,112 4,003 Inter-group (1) 3,130 1,809 34,942 32,200 Total 341,654 326,713 338,523 322,400 ECL provisions (2) Stage 1 482 566 442 521 Stage 2 667 794 624 746 Stage 3 1,599 1,512 1,482 1,416 Inter-group 2 1 39 41 2,750 2,873 2,587 2,724 ECL provision coverage (3) Stage 1 (%) 0.16 0.20 0.16 0.20 Stage 2 (%) 1.88 2.50 2.01 2.66 Stage 3 (%) 33.33 34.32 36.04 35.37 Inter-group (%) 0.07 0.06 0.11 0.13 0.81 0.88 0.84 0.92 Impairment (releases)/losses ECL (release)/charge (4) Stage 1 (355) (319) (335) (302) Stage 2 325 529 316 516 Stage 3 376 297 356 276 Third party 346 507 337 490 Inter-group 1 (3) (3) (7) 347 504 334 483 Amounts written-off 549 235 536 218 (1) NWB Group’s intercompany assets are classified in Stage 1. (2) Includes £4 million (2023 – £8 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 loans and total ECL provisions, including ECL for other (non- loan) assets and unutilised exposure. Some segments with a high proportion of debt securities or unutilised exposure may result in a not meaningful coverage ratio. (4) Includes a £10 million charge (2023 – £10 million charge) related to other financial assets, of which a £4 million charge (2023 – £6 million charge) related to assets classified as FVOCI, and includes a £3 million release (2023 – £2 million release) related to contingent liabilities. (5) The table shows gross loans only and excludes amounts that are outside the scope of the ECL framework. Refer to Financial instruments within the scope of the IFRS 9 ECL framework for further details. Other financial assets within the scope of the IFRS 9 ECL framework were cash and balances at central banks totalling £34.6 billion (2023 – £47.8 billion) and debt securities of £39.1 billion (2023 – £31.5 billion). Credit risk enhancement and mitigation For information on credit risk enhancement and mitigation held as security, refer to Risk and capital management – credit risk enhancement and mitigation section. Critical accounting policy: Loan impairment provisions Accounting policy 2.3 sets out how the expected loss approach is applied. At 31 December 2024, impairment provisions amounted to £2,750 million (2023 - £2,873 million). A loan is impaired when there is objective evidence that the cash flows will not occur in the manner expected when the loan was advanced. Such evidence includes changes in the credit rating of a borrower, the failure to make payments in accordance with the loan agreement, significant reduction in the value of any security, breach of limits or covenants, and observable data about relevant macroeconomic measures. The impairment loss is the difference between the carrying value of the loan and the present value of estimated future cash flows at the loan's original effective interest rate. The measurement of credit impairment under the IFRS expected loss model depends on management’s assessment of any potential deterioration in the creditworthiness of the borrower, its modelling of expected performance and the application of economic forecasts. All three elements require judgements that are potentially significant to the estimate of impairment losses. For further information and sensitivity analysis, refer to Risk and capital management – measurement uncertainty and ECL sensitivity analysis section. IFRS 9 ECL model design principles Refer to Credit risk – IFRS 9 ECL model design principles section for further details. Approach for multiple economic scenarios (MES) The base scenario plays a greater part in the calculation of ECL than the approach to MES. Refer to Credit risk – economic loss drivers – probability weightings of scenarios section for further details. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 149 14 Investments in Group undertakings Critical accounting policy: Investments in Group undertakings At each reporting date, NatWest Bank Plc assesses whether there is any indication that its investment in its Group undertakings is impaired. If any such indication exists, NatWest Bank Plc undertakes an impairment test by comparing the carrying value of the investment in its Group undertakings with its estimated recoverable amount. The key judgement is in determining the recoverable amount. The recoverable amount of an investment in its Group undertakings is the higher of its fair value less cost to sell and its value in use, being an assessment of the discounted future cash flows of the entity. Impairment testing inherently involves a number of judgements: the five-year cash flow forecast, the choice of appropriate discount and growth rates, and the estimation of fair value. For accounting policy information refer to Accounting policy Note 2.4. Investments in Group undertakings are carried at cost less impairment losses. Movements during the year were as follows : NWB Plc 2024 2023 £m £m At 1 January 2,615 2,030 Currency translation and other adjustments (8) (3) Additional investments in Group undertakings 10 621 Disposals of investments in Group undertakings - (35) Net (impairment)/reversal of impairment of investments (97) 2 At 31 December 2,520 2,615 The recoverable amount of investments in Group undertakings is the higher of net asset value as a proxy for fair value less cost to sell or value in use. Where recoverable value is based on net asset value, the fair value measurement is categorised as Level 3 of the fair value hierarchy. The carrying value of Investments in Group undertakings at 31 December 2024 is supported by the respective recoverable values of the entities. 2024 additional investments relate primarily to the investments of £10 million in World Learning Limited. The additions in 2023 were related to investments in NatWest RT Holdings Limited and NatWest Boxed Limited. The 2023 disposal represented Coutts & Company AT1 redemption. In 2024, net impairment of investments is mainly due to a £90 million impairment of NatWest Bank Plc’s investment in Strand European Holdings AB following the annual assessment of the entity’s recoverable amounts. The net reversal of impairment in 2023 was primarily related to the investments in Strand European Holdings AB and Ulster Bank Limited. The annual assessment of recoverable amount as at 31 December 2024 did not indicate the need for an impairment of the investment in Coutts & Company. Reasonably possible adverse changes to the more significant variables of the value in use calculation for Coutts & Company would not lead to a reduction in the recoverable amount below its carrying value. The principal subsidiary undertakings of NatWest Bank Plc are shown below and are wholly-owned directly or indirectly through intermediate holding companies. Their capital consists of ordinary shares and additional Tier 1 notes which are unlisted. All subsidiary undertakings are included in NWB Group’s consolidated financial statements and have an accounting reference date of 31 December. Country of incorporation and principal area of operations Nature of business Coutts & Company (1) Private banking Great Britain Lombard North Central PLC Leasing Great Britain (1) Coutts & Company is incorporated with unlimited liability. For full information on all related undertakings refer to Note 36. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 150 15 Other financial assets NWB Group Debt securities Central and local government Other Equity Settlement UK US Other debt Total shares Loans balances Total 2024 £m £m £m £m £m £m £m £m £m Mandatory fair value through profit or loss - - - - - 2 532 - 534 Fair value through other comprehensive income 10,711 1,942 5,357 11,308 29,318 2 15 - 29,335 Amortised cost 2,587 - 68 7,005 9,660 - - 42 9,702 Total 13,298 1,942 5,425 18,313 38,978 4 547 42 39,571 2023 Mandatory fair value through profit or loss - - - - - - 453 - 453 Fair value through other comprehensive income 5,949 3,045 5,165 9,334 23,493 2 - - 23,495 Amortised cost 1,728 - - 6,264 7,992 - - 4 7,996 Total 7,677 3,045 5,165 15,598 31,485 2 453 4 31,944 NWB Plc Debt securities Central and local government Other Equity Settlement UK US Other debt Total shares Loans balances Total 2024 £m £m £m £m £m £m £m £m £m Mandatory fair value through profit or loss - - - - - 2 532 - 534 Fair value through other comprehensive income 10,211 1,942 5,357 11,308 28,818 3 15 - 28,836 Amortised cost 2,587 - 68 6,731 9,386 - - 42 9,428 Total 12,798 1,942 5,425 18,039 38,204 5 547 42 38,798 2023 Mandatory fair value through profit or loss - - - - - - 453 - 453 Fair value through other comprehensive income 5,467 3,045 5,165 9,334 23,011 2 - - 23,013 Amortised cost 1,728 - - 5,894 7,622 - - 4 7,626 Total 7,195 3,045 5,165 15,228 30,633 2 453 4 31,092 For accounting policy information refer to Accounting policy 3.8. 16 Other assets NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Intangible assets (Note 17) 1,862 1,897 1,670 1,698 Property, plant and equipment (Note 18) 3,548 3,751 1,873 2,021 Pension schemes in net surplus (Note 5) 4 5 - - Assets of disposal groups 62 24 62 24 Tax recoverable 6 40 21 - Deferred tax (Note 7) 808 981 792 966 Other assets 1,304 1,251 1,085 1,026 7,594 7,949 5,503 5,735 Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 151 17 Intangible assets NWB Group 2024 2023 Goodwill Other (1) Total Goodwill Other (1) Total £m £m £m £m £m £m Cost At 1 January 623 4,329 4,952 623 3,706 4,329 Currency translation and other adjustments - (72) (72) - - - Additions - 588 588 - 737 737 Disposals and write-off of fully amortised assets - (212) (212) - (114) (114) At 31 December 623 4,633 5,256 623 4,329 4,952 Accumulated amortisation and impairment At 1 January 565 2,490 3,055 564 2,158 2,722 Currency translation and other adjustments - (30) (30) - - - Disposals and impairment of fully amortised assets - (201) (201) - (115) (115) Amortisation charge for the year - 549 549 - 425 425 Impairment of intangible assets 1 20 21 1 22 23 At 31 December 566 2,828 3,394 565 2,490 3,055 Net book value at 31 December 57 1,805 1,862 58 1,839 1,897 NWB Plc 2024 (1) 2023 (1) £m £m Cost At 1 January 4,111 3,568 Currency translation and other adjustments (60) - Additions 555 669 Disposals and write-off of fully amortised assets (197) (126) At 31 December 4,409 4,111 Accumulated amortisation and impairment At 1 January 2,413 2,110 Currency translation and other adjustments (18) - Disposals and write-off of fully amortised assets (186) (109) Amortisation charge for the year 511 394 Impairment of intangible assets 19 18 At 31 December 2,739 2,413 Net book value at 31 December 1,670 1,698 (1) Principally consists of internally generated software . Intangible assets and goodwill are reviewed for indicators of impairment. Impairment testing involves the comparison of the carrying value of each cash-generating unit (CGU) with its recoverable amount. The carrying values of the segments reflect the equity allocations made by management which are consistent with NatWest Group’s capital targets. Intangible assets of NWB Group were impaired by £21 million in 2024 (2023 - £23 million). Recoverable amount is the higher of fair value less costs of disposal and value in use. Fair value is the price that would be received to sell an asset in an orderly transaction between market participants. Value in use is the present value of expected future cash flows from the CGU. The recoverable amounts for all CGUs at 31 December 2024 were based on value in use, using management's latest five-year revenue and cost forecasts. These are discounted cash flow projections over five years. The forecast is then extrapolated in perpetuity using a long-term growth rate to compute a terminal value, which comprises the majority of the value in use. The long- term growth rates have been based on expected growth of the CGUs: 2024 and 2023 – 1.4%. The pre-tax risk discount rates are based on those observed to be applied to businesses regarded as peers of the CGUs: 2024 and 2023 – 16%. For accounting policy information refer to Accounting policies 3.3 and 3.4. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 152 18 Property, plant and equipment NWB Group Investment Property, plant Operating properties and equipment leases Total 2024 £m £m £m £m Cost or valuation At 1 January 971 6,194 1,074 8,239 Transfers to disposal groups - (214) - (214) Transfers from fellow subsidiaries - 3 - 3 Currency translation and other adjustments (1) (90) (67) - (157) Additions 69 368 118 555 Disposals and write-off of fully depreciated assets (12) (182) (257) (451) At 31 December 938 6,102 935 7,975 Accumulated impairment, depreciation and amortisation At 1 January - 3,913 575 4,488 Transfers to disposal groups - (106) - (106) Transfers from fellow subsidiaries - - - - Currency translation and other adjustments (2) - (26) - (26) Disposals and write-off of fully depreciated assets - (159) (189) (348) Charge for the year - 256 105 361 Impairment of property, plant and equipment - 58 - 58 At 31 December - 3,936 491 4,427 Net book value at 31 December 938 2,166 444 3,548 2023 Cost or valuation At 1 January 941 7,042 1,129 9,112 Transfers to disposal groups - (485) - (485) Transfers to fellow subsidiaries - (8) - (8) Currency translation and other adjustments (1) (51) (8) - (59) Additions 81 627 156 864 Disposals and write-off of fully depreciated assets - (974) (211) (1,185) At 31 December 971 6,194 1,074 8,239 Accumulated impairment, depreciation and amortisation At 1 January - 4,796 612 5,408 Transfers to disposal groups - (396) - (396) Transfers to fellow subsidiaries - - - - Currency translation and other adjustments (2) - (3) - (3) Disposals and write-off of fully depreciated assets - (799) (152) (951) Charge for the year - 241 115 356 Impairment of property, plant and equipment - 74 - 74 At 31 December - 3,913 575 4,488 Net book value at 31 December 971 2,281 499 3,751 (1) Currency translation and other adjustments includes fair value adjustment in investment properties of £5 million (2023: £6 million) for NWB Group. (2) Other adjustments include the effect of the purchase of freeholds for properties where the NWB Group was the primary leaseholder. Investment property valuations principally employ present value techniques that discount expected cash flows. Expected cash flows reflect rental income, occupancy and residual market values; valuations are sensitive to changes in these factors. The investment property fair value measurements are categorised as level 3. A 5% change in the most sensitive assumption, residual values, is £33 million (2023 - £32 million) on the value of Investment property. Valuations were carried out by qualified surveyors working within the Royal Institution of Chartered Surveyors framework; property with a fair value of £250 million (2023 - £109 million) was valued by independent valuers for the purposes of year end valuations. For accounting policy information refer to Accounting policies 3.4 and 3.5. Notes to the financial statements continued 18 Property, plant and equipment continued NWB Group Annual Report and Accounts 2024 153 NWB Plc 31 December 31 December 2024 2023 £m £m Cost At 1 January 5,751 6,572 Transfers to disposal groups (214) (485) Transfers from/(to) holding company and fellow subsidiaries 4 (10) Currency translation and other adjustments (63) (6) Additions 297 616 Disposals and write-off of fully depreciated assets (154) (936) At 31 December 5,621 5,751 Accumulated impairment and depreciation At 1 January 3,730 4,603 Transfers to disposal groups (107) (397) Transfers from/(to) holding company and fellow subsidiaries - - Currency translation and other adjustments (1) (24) (2) Disposals and write-off of fully depreciated assets (138) (768) Charge for the year 229 219 Impairment for the year 58 75 At 31 December 3,748 3,730 Net book value at 31 December 1,873 2,021 (1) Other adjustments include the effect of the purchase of freeholds for properties where the NWB Group was the primary leaseholder. 19 Other financial liabilities NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Bank deposits 168 6 168 6 Customer deposits including repos 284 7 284 7 Settlement balances - 4 - 4 Debt securities in issue - Commercial paper and certificates of deposit 2,623 6,009 2,623 6,008 - Covered bonds 749 2,122 749 2,122 - Securitisation 1,175 863 - - Total 4,999 9,011 3,824 8,147 For accounting policy information refer to Accounting policies 3.8 and 3.10. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 154 20 Subordinated liabilities NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Undated loan capital 3 3 - - Preference shares (2) 119 119 119 119 122 122 119 119 (1) The table above excludes amounts due to holding company and fellow subsidiaries of £3,648 million (2023 - £3,636 million) for NWB Group and £3,648 million (2023 - £3,636 million) for NWB Plc. Refer to intercompany balances in Note 33 . (2) The preference shares issued by NWB Plc are classified as liabilities; these securities remain subject to the capital maintenance rules of the Companies Act 2006. For accounting policy information refer to Accounting policies 3.8 and 3.10. 2024 2023 Preference shares First call date Maturity date Capital treatment £m £m NatWest Bank Plc £140 million Non-cumulative preference shares of £1 - - Not applicable 119 119 119 119 Undated loan capital- other subsidiaries 3 3 122 122 The following tables analyse these intercompany subordinated liabilities: NWB Group and NWB Plc 2024 2023 Other subsidiaries £m £m Dated loan capital 3,648 3,636 3,648 3,636 2024 2023 Dated loan capital £m £m NatWest Bank Plc £1000 million 2.105% notes Aug-26 Nov-31 Tier 2 942 919 $750 million 3.754% notes Nov-24 Nov-29 Tier 2 - 575 €700 million 5.763% notes Nov-28 Feb-34 Tier 2 630 659 £650 million 7.536% notes Jun-28 Jun-33 Tier 2 660 679 £600 million 5.642% notes Oct-29 Oct-34 Tier 2 596 - £500 million 3.622% notes May-25 Aug-30 Tier 2 499 479 €411.4 million 1.043% notes Jun-27 Sep-32 Tier 2 321 325 3,648 3,636 (1) Further details of the contractual terms of the preference shares are given in Note 22. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 155 21 Other liabilities NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Lease liabilities 490 513 366 427 Provisions for liabilities and charges 477 456 443 424 Retirement benefit liabilities (Note 5) 41 37 8 9 Accruals 1,037 1,068 862 872 Deferred income 263 264 240 242 Current tax 33 137 8 46 Deferred tax (Note 7) 83 89 - - Acceptances 305 327 294 312 Other liabilities 435 434 169 202 Total 3,164 3,325 2,390 2,534 NWB Group Financial Redress and other commitments and litigation Property guarantees Other (1) Total Provisions for liabilities and charges £m £m £m £m £m At 1 January 2024 247 64 56 89 456 Expected credit losses impairment release - - (17) - (17) Currency translation and other movements 1 - - - 1 Charge to income statement 117 36 - 256 409 Release to income statement (23) (27) - (42) (92) Provisions utilised (87) (14) - (179) (280) At 31 December 2024 255 59 39 124 477 NWB Plc Financial Redress and other commitments and litigation Property guarantees Other (1) Total Provisions for liabilities and charges £m £m £m £m £m At 1 January 2024 241 63 54 66 424 Expected credit losses impairment release - - (16) - (16) Currency translation and other movements 2 - - - 2 Charge to income statement 112 35 - 234 381 Release to income statement (21) (27) - (39) (87) Provisions utilised (85) (14) - (162) (261) At 31 December 2024 249 57 38 99 443 (1) Other materially comprises provisions relating to restructuring costs. Provisions are liabilities of uncertain timing or amount and are recognised when there is a present obligation as a result of a past event, the outflow of economic benefit is probable and the outflow can be estimated reliably. Any difference between the final outcome and the amounts provided will affect the reported results in the period when the matter is resolved. For accounting policy information refer to Accounting policy Note 3.12. Background information on all material provisions is given in Note 26 . Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 156 22 Share capital and reserves Number of shares - 000s Allotted, called up and fully paid 2024 2023 2024 2023 £m £m 000s 000s Ordinary shares of £1 1,678 1,678 1,678,177 1,678,177 Non-cumulative preference shares of £1 116 116 116,349 116,349 Ordinary shares No ordinary shares were issued during 2024 or 2023. In 2024, NWB Plc paid ordinary dividends of £2.5 billion to NWH Ltd (2023 – £1.7 billion). Preference shares The 9% non-cumulative preference shares Series A of £1 each are non-redeemable. The holders of preference shares are entitled, on the winding- up of NWB Plc, to priority over the ordinary shareholders as regards payment of capital. Otherwise the holders of preference shares are not entitled to any further participation in the profits or assets of NWB Plc. The holders of preference shares are not entitled to receive notice of, attend, or vote at any general meeting unless the business of the meeting includes the consideration of a resolution for the winding-up of NWB Plc or the sale of the whole of the business of NWB Plc or any resolution directly affecting any of the special rights or privileges attached to any of the classes of preference shares. Under IFRS, NWB Plc preference shares are classified as debt and are included in subordinated liabilities on the balance sheet Note 20. Paid-in equity Comprises equity instruments issued by NWB Plc other than those legally constituted as shares. Additional Tier 1 Instruments issued by NWB Plc having the legal form of debt are classified as equity under IFRS. The coupons on these Instruments are non-cumulative and payable at NWB Plc’s discretion. Capital recognised for regulatory purposes cannot be redeemed without Prudential Regulation Authority consent. This includes ordinary shares, preference shares and additional Tier 1 Instruments. Reserves Under UK companies legislation, when shares are redeemed or purchased wholly or partly out of NWB Plc’s profits, the amount by which NWB Plc’s issued share capital is diminished must be transferred to the capital redemption reserve. The capital maintenance provisions of UK companies legislation apply to the capital redemption reserve as if it were part of NWB Plc’s paid up share capital. UK law prescribes that only distributable reserves of NWB Plc are taken into account for the purpose of making distributions, this includes permissible applications within the share premium account and capital redemption reserve of £631 million (2023 - £631 million). NWB Plc optimises capital efficiency by maintaining reserves in subsidiaries, including regulated entities. Certain preference shares and subordinated debt are also included within regulatory capital. The remittance of reserves to the parent company or the redemption of shares or subordinated capital by regulated entities may be subject to maintaining the capital resources required by the relevant regulator. For accounting policy information refer to Accounting policy 3.10. 2024 2023 £m £m Additional Tier 1 instruments US $2,000 million 3.8495% instruments callable - August 2023 1,077 1,077 US $750 million 4.3517% instruments callable - June 2023 541 541 GBP £400 million 3.9438% instruments callable - March 2028 400 400 GBP £500 million 6.8543% instruments callable - May 2027 500 500 US$ 1,000 million 8.125% instruments callable - November 2033 799 - 3,317 2,518 Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 157 23 Structured entities A structured entity (SE) is an entity that has been designed such that voting or similar rights are not the dominant factor in deciding who controls the entity, for example when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. SEs are usually established for a specific, limited purpose, they do not carry out a business or trade and typically have no employees. Securitisations In a securitisation, assets, or interests in a pool of assets, are transferred, or the credit risk is transferred via a derivative or financial guarantee to a SE which then issues liabilities to third party investors. NWB Group’s involvement in client securitisations takes a number of forms. It may provide secured finance to, or purchase asset-backed notes from, client sponsored SEs secured on assets transferred by the client entity; or purchase asset backed securities issued by client sponsored SEs in the primary or secondary markets. In addition, NWB Group undertakes own- asset securitisations to transfer the credit risk on portfolios of financial assets. Other credit risk transfers securitisations NWB Group transfers credit risk on originated loans and mortgages without the transfer of the assets to a SE. As part of this, NWB Group enters into credit derivative and financial guarantee contracts with consolidated SEs. At 31 December 2024, debt securities in issue by such SEs (and held by third parties) were £1,175 million (2023 - £863 million). The associated loans and mortgages at 31 December 2024 were £13,226 million (2023 - £2,687 million). At 31 December, ECL in relation to non-defaulted assets was reduced by £43 million (2023 - £11 million) as a result of financial guarantee contracts with consolidated SEs. Covered bond programme Certain loans to customers have been assigned to bankruptcy remote limited liability partnerships to provide security for issues of debt securities by NWB Group. NWB Group retains all of the risks and rewards of these loans. The partnerships are consolidated by NWB Group, the loans retained on NWB Group’s balance sheet and the related covered bonds included within debt securities in issue of the NWB Group. At 31 December 2024, £8,323 million (2023 - £9,784 million) of loans to customers have been assigned to bankruptcy remote limited liability partnerships to provide security for issues of debt securities by the NWB Group of £749 million (2023 - £2,122 million). Lending of own issued securities NWB Group has issued, retained, and lent debt securities under securities lending arrangements. Under standard terms in the UK and US markets, the recipient has an unrestricted right to sell or re-pledge collateral, subject to returning equivalent securities on maturity of the transaction. NWB Group retains all of the risks and rewards of own issued liabilities lent under such arrangements and does not recognise them. At 31 December 2024 £1,750 million (31 December 2023 - £1,750 million) of secured own issued liabilities have been retained and lent under securities lending arrangements. At 31 December 2024 £1,751 million (31 December 2023 - £1,754 million) of loans provided security for secured own issued liabilities that have been retained and lent under securities lending arrangements. Unconsolidated structured entities The term ‘unconsolidated structured entities’ refers to structured entities not controlled by NWB Group, and which are established either by NWB Group or a third party. An interest in a structured entity is any form of contractual or non-contractual involvement which creates variability in returns for NWB Group arising from the performance of the entity. Such interests include holdings of debt or equity securities, derivatives that transfer financial risks from the entity to NWB Group, provision of lending and loan commitments, financial guarantees and investment management agreements. NWB Group enters into transactions with unconsolidated structured entities in the normal course of business to facilitate customer transactions, to provide risk management services and for specific investment opportunities. Structured entities may take the form of funds, trusts, partnerships, securitisation vehicles, and private investment companies. NWB Group considers itself to be the sponsor of a structured entity where it is primarily involved in the set up and design of the entity and where NWB Group transfers assets to the entity, markets products associated with the entity in its own name, and/or provides guarantees in relation to the performance of the entity. The nature and extent of NWB Group’s interests in structured entities is summarised below. 2024 2023 Asset-backed Investment Asset-backed Investment securitisation funds securitisation funds vehicles and other Total vehicles and other Total £m £m £m £m £m £m Assets Loans to customers 445 261 706 215 253 468 Other financial assets 3,601 - 3,601 2,621 - 2,621 Total 4,046 261 4,307 2,836 253 3,089 Off balance sheet Liquidity facilities/loan commitments 145 52 197 115 50 165 Guarantees - 11 11 - 11 11 Total 145 63 208 115 61 176 Maximum exposure 4,191 324 4,515 2,951 314 3,265 Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 158 24 Asset transfers Transfers that do not qualify for derecognition NWB Group enters into securities repurchase agreements and securities lending transactions under which it transfers securities in accordance with normal market practice. Generally, the agreements require additional collateral to be provided if the value of the securities falls below a predetermined level. Under standard terms for repurchase transactions in the UK and US markets, the recipient of collateral has an unrestricted right to sell or re-pledge it, subject to returning equivalent securities on settlement of the transaction. Securities sold under repurchase transactions are not derecognised if NWB Group retains substantially all the risks and rewards of ownership. The fair value (and carrying value) of securities transferred under such repurchase transactions included on the balance sheet, are set out below. All of these securities could be sold or re-pledged by the holder. NWB Group NWB Plc 2024 2023 2024 2023 The following assets have failed derecognition (1) £m £m £m £m Loans to bank - amortised cost 70 10 70 10 Loans to customers - amortised cost 45 281 45 281 Other financial assets 8,984 6,469 8,984 6,469 Total 9,099 6,760 9,099 6,760 (1) Associated liabilities were £8,103 million for both NWB Group and NWB Plc (2023 - £6,437 million). Assets pledged as collateral NWB Group pledges collateral with its counterparties in respect of derivative liabilities, bank and stock borrowings and other transactions . NWB Group NWB Plc 2024 2023 2024 2023 Assets pledged against liabilities £m £m £m £m Loans to banks - amortised cost - 63 - - Loans to customers - amortised cost 19,030 21,611 19,030 21,611 Other financial assets (1) 534 1,252 35 770 Total 19,564 22,926 19,065 22,381 (1) Includes assets pledged for pension derivatives and £499 million of debt securities under the continuing control of NWB Plc. This follows the agreement between NWB Plc and the Group Pension Fund to establish a bankruptcy remote reservoir trust to hold these assets. Refer to Note 5 for additional information. The following table analyses assets that have been transferred but have failed the derecognition rules under IFRS 9 and therefore continue to be recognised on NWB Plc’s balance sheet. 2024 2023 Asset type (1) £m £m UK mortgages - covered bond programme 8,323 9,784 (1) The associated liabilities are £8,221 million (2023 - £9,702 million). Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 159 25 Capital resources Regulatory capital is assessed against minimum requirements that are set out under the UK Capital Requirements Regulation on a legal entity and consolidated basis. Transitional arrangements on the phasing in of end-point capital resources are set by the relevant regulatory authority. The capital resources under the PRA transitional basis for NWB Plc are set out below. 2024 2023 Shareholders' equity (excluding non-controlling interests) £m £m Shareholders’ equity 21,609 19,701 Other equity instruments (3,317) (2,518) 18,292 17,183 Regulatory adjustments and deductions Cash flow hedging reserve 307 601 Deferred tax assets (319) (332) Prudential valuation adjustments (26) (41) Goodwill and other intangible assets (1,626) (1,698) Excess of expected losses over impairment provisions (123) - Instruments of financial sector entities where the institution has a significant investment (775) (869) Foreseeable dividends (1,584) (880) Adjustment under IFRS 9 transition arrangements 35 169 Other adjustments for regulatory purposes - (51) (4,111) (3,101) CET1 capital 14,181 14,082 Additional Tier 1 (AT1) capital Qualifying instruments and related share premium 3,317 2,518 AT1 Capital 3,317 2,518 Tier 1 capital Instruments of financial sector entities where the institution has a significant investment (240) (240) Tier 1 capital 17,258 16,360 Qualifying Tier 2 capital Qualifying instruments and related share premium 3,673 3,704 Tier 2 deductions Instruments of financial sector entities where the institution has a significant investment (302) (302) Other regulatory adjustments - 36 (302) (266) Tier 2 capital 3,371 3,438 Total regulatory capital 20,629 19,798 In the management of capital resources, NWB Plc is governed by NatWest Group's policy to maintain a strong capital base, to expand it as appropriate and to utilise it efficiently throughout its activities to optimise the return to shareholders while maintaining a prudent relationship between the capital base and the underlying risks of the business. In carrying out this policy, NatWest Group has regard to the supervisory requirements of the PRA. The PRA uses capital ratios as a measure of capital adequacy in the UK banking sector, comparing a bank's capital resources with its risk-weighted assets (the assets and off- balance sheet exposures are weighted to reflect the inherent credit and other risks); by international agreement, the Pillar 1 capital ratios, excluding capital buffers should be not less than 8% with a Common equity Tier 1 component of not less than 4.5%. NWB Plc has complied with the PRA’s capital requirements throughout the year. A number of subsidiaries and sub-groups within NWB Group, principally banking entities, are subject to various individual regulatory capital requirements in the UK and overseas. Furthermore, the payment of dividends by subsidiaries and the ability of members of NatWest Group to lend money to other members of NatWest Group may be subject to restrictions such as local regulatory or legal requirements, the availability of reserves and financial and operating performance. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 160 26 Memorandum items Contingent liabilities and commitments The amounts shown in the table below are intended only to provide an indication of the volume of business outstanding at 31 December 2024. Although NWB Group is exposed to credit risk in the event of non-performance of the obligations undertaken by customers, the amounts shown do not, and are not intended to, provide any indication of NWB Group’s expectation of future losses . NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Contingent liabilities and commitments Guarantees 1,748 1,359 1,729 1,339 Other contingent liabilities 1,142 1,173 1,097 1,127 Standby facilities, credit lines and other commitments 93,758 85,304 82,965 75,333 Total 96,648 87,836 85,791 77,799 (1) Updated to reflect the regulatory treatment of revocable commitments. Banking commitments and contingent obligations, which have been entered into on behalf of customers and for which there are corresponding obligations from customers, are not included in assets and liabilities. NWB Group’s maximum exposure to credit loss, in the event of its obligation crystallising and all counterclaims, collateral or security proving valueless, is represented by the contractual nominal amount of these instruments included in the table above. These commitments and contingent obligations are subject to NWB Group’s normal credit approval processes. Guarantees - NWB Group gives guarantees on behalf of customers. A financial guarantee represents an irrevocable undertaking that NWB Group will meet a customer’s specified obligations to a third party if the customer fails to do so. The maximum amount that NWB Group could be required to pay under a guarantee is its principal amount as disclosed in the table above. NWB Group expects most guarantees it provides to expire unused. Other contingent liabilities - these include standby letters of credit, supporting customer debt issues and contingent liabilities relating to customer trading activities such as those arising from performance and customs bonds, warranties and indemnities. Standby facilities and credit lines - under a loan commitment NWB Group agrees to make funds available to a customer in the future. Loan commitments, which are usually for a specified term, may be unconditionally cancellable or may persist, provided all conditions in the loan facility are satisfied or waived. Commitments to lend include commercial standby facilities and credit lines, liquidity facilities to commercial paper conduits and unutilised overdraft facilities. Other commitments - these include documentary credits, which are commercial letters of credit providing for payment by NWB Group to a named beneficiary against presentation of specified documents, forward asset purchases, forward deposits placed and undrawn note issuance and revolving underwriting facilities, and other short-term trade related transactions. Indemnity deed In April 2019, NWM Plc and NWB Plc entered into a cross indemnity agreement for losses incurred within the entities in relation to business transferred to or from the ring-fenced bank under the NatWest Group’s structural re-organisation. Under the agreement, NWM Plc is indemnified by NWB Plc against losses relating to the NWB Plc transferring businesses and ring-fenced bank obligations and NWB Plc is indemnified by NWM Plc against losses relating to NWM Plc transferring businesses and non ring- fenced bank obligations with effect from the relevant transfer date. Capital Support Deed NWB Plc, together with certain other subsidiaries of NatWest Holdings Limited, is party to a Capital Support Deed (CSD). Under the terms of the CSD, the Bank may be required, if compatible with its legal obligations, to make distributions on, or repurchase or redeem, its ordinary shares. The amount of this obligation is limited to the NWB Plc’s capital resources in excess of the capital and financial resources needed to meet its regulatory requirements. NWB Plc may also be obliged to make onward distribution to its ordinary shareholders of dividends or other capital distributions received from subsidiaries that are party to the CSD. The CSD also provides that, in certain circumstances, funding received by NWB Plc from other parties to the CSD becomes immediately repayable, such repayment being limited to the NWB Plc’s available resources. Contractual obligations for future expenditure not provided for in the accounts The following table shows contractual obligations for future expenditure not provided for in the accounts at the year end . NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Capital expenditure on other property, plant and equipment 13 35 13 35 Contracts to purchase goods or services (1) 1,159 1,116 1,122 963 1,172 1,151 1,135 998 (1) Of which due within 1 year: £356 million (2023 - £375 million) for NWB Group and £334 million (2023 - £333 million) for NWB Plc. Notes to the financial statements continued 26 Memorandum items continued NWB Group Annual Report and Accounts 2024 161 Trustee and other fiduciary activities In its capacity as trustee or other fiduciary role, NWB Group may hold or place assets on behalf of individuals, trusts, companies, pension schemes and others. The assets and their income are not included in NWB Group's financial statements. NWB Group earned fee income of £231 million (2023 - £205 million) from these activities. The Financial Services Compensation Scheme The Financial Services Compensation Scheme (FSCS), the UK's statutory fund of last resort for customers of authorised financial services firms, pays compensation if a firm is unable to meet its obligations. The FSCS funds compensation for customers by raising management expenses levies and compensation levies on the industry. In relation to protected deposits, each deposit- taking institution contributes towards these levies in proportion to their share of total protected deposits on 31 December of the year preceding the scheme year (which runs from 1 April to 31 March), subject to annual maxima set by the Prudential Regulation Authority. In addition, the FSCS has the power to raise levies on a firm that has ceased to participate in the scheme and is in the process of ceasing to be authorised for the costs that it would have been liable to pay had the FSCS made a levy in the financial year it ceased to be a participant in the scheme. Litigation and regulatory matters NWB Plc and its subsidiary and associated undertakings (‘NWB Group’) are party to various legal proceedings and are involved in, or subject to, various regulatory matters, including as the subject of investigations and other regulatory and governmental action (Matters) in the United Kingdom (UK), the United States (US), the European Union (EU) and other jurisdictions. NWB Group recognises a provision for a liability in relation to these Matters when it is probable that an outflow of economic benefits will be required to settle an obligation resulting from past events, and a reliable estimate can be made of the amount of the obligation. In many of the Matters, it is not possible to determine whether any loss is probable, or to estimate reliably the amount of any loss, either as a direct consequence of the relevant proceedings and regulatory matters or as a result of adverse impacts or restrictions on NWB Group’s reputation, businesses and operations. Numerous legal and factual issues may need to be resolved, including through potentially lengthy discovery and document production exercises and determination of important factual matters, and by addressing novel or unsettled legal questions relevant to the proceedings in question, before the probability of a liability, if any, arising can reasonably be estimated in respect of any Matter. NWB Group cannot predict if, how, or when such claims will be resolved or what the eventual settlement, damages, fine, penalty or other relief, if any, may be, particularly for Matters that are at an early stage in their development or where claimants seek substantial or indeterminate damages. There are situations where NWB Group may pursue an approach that in some instances leads to a settlement agreement. This may occur in order to avoid the expense, management distraction or reputational implications of continuing to contest liability, or in order to take account of the risks inherent in defending or contesting Matters, even for those for which NWB Group believes it has credible defences and should prevail on the merits. The uncertainties inherent in all Matters affect the amount and timing of any potential economic outflows for both Matters with respect to which provisions have been established and other contingent liabilities in respect of any such Matter. It is not practicable to provide an aggregate estimate of potential liability for our Matters as a class of contingent liabilities. The future economic outflow in respect of any Matter may ultimately prove to be substantially greater than, or less than, the aggregate provision, if any, that NWB Group has recognised in respect of such Matter. Where a reliable estimate of the economic outflow cannot be reasonably made, no provision has been recognised. NWB Group expects that in future periods, additional provisions and economic outflows relating to Matters that may or may not be currently known by NWB Group will be necessary, in amounts that are expected to be substantial in some instances. Refer to Note 21 for information on material provisions. Matters which are, or could be, material, either individually or in aggregate, having regard to NWB Group, considered as a whole, in which NWB Group is currently involved are set out below. We have provided information on the procedural history of certain Matters, where we believe appropriate, to aid the understanding of the Matter. For a discussion of certain risks associated with NWB Group’s litigation and regulatory matters (including the Matters), refer to the Risk Factor relating to legal, regulatory and governmental actions and investigations set out on page 186. Litigation London Interbank Offered Rate (LIBOR) and other rates litigation In August 2020, a complaint was filed in the United States District Court for the Northern District of California by several United States retail borrowers against the USD ICE LIBOR panel banks and their affiliates (including NatWest Group plc, NatWest Markets Plc, NatWest Markets Securities Inc. and NWB Plc), alleging (i) that the very process of setting USD ICE LIBOR amounts to illegal price-fixing; and (ii) that banks in the United States have illegally agreed to use LIBOR as a component of price in variable retail loans. In September 2022, the district court dismissed the complaint. In December 2024, the United States Court of Appeals for the Ninth Circuit affirmed the district court’s decision. Offshoring VAT assessments HMRC, as part of an industry-wide review, issued protective tax assessments in 2018 against NatWest Group plc totalling £143 million relating to unpaid VAT in respect of the UK branches of two NatWest Group companies registered in India for the period from 1 January 2014 until 31 December 2017 inclusive. NatWest Group formally requested reconsideration by HMRC of their assessments, and this process was completed in November 2020. HMRC upheld their original decision and, as a result, NatWest Group plc lodged an appeal with the Tax Tribunal and an application for judicial review with the High Court of Justice of England and Wales, both in December 2020. In order to lodge the appeal with the Tax Tribunal, NatWest Group plc was required to pay amounts totalling £153 million (including statutory interest) to HMRC in December 2020 and May 2022. The appeal and the application for judicial review have both been stayed pending further discussion with HMRC in relation to a separate case involving another bank. The amount of £153 million continues to be recognised as an asset that NatWest Group plc expects to recover. Since 1 January 2018, NatWest Group plc has paid VAT on intra-group supplies from the India-registered NatWest Group companies. Notes to the financial statements continued 26 Memorandum items continued NWB Group Annual Report and Accounts 2024 162 Regulatory matters NWB Group’s financial condition can be affected by the actions of various governmental and regulatory authorities in the UK, the US, the EU and elsewhere. NWB Group and/or NatWest Group have engaged, and will continue to engage, in discussions with relevant governmental and regulatory authorities, including in the UK, the US, the EU and elsewhere, on an ongoing and regular basis, and in response to informal and formal inquiries or investigations, regarding operational, systems and control evaluations and issues including those related to compliance with applicable laws and regulations, including consumer protection, investment advice, business conduct, competition/anti-trust, VAT recovery, anti-bribery, anti-money laundering and sanctions regimes. NWB Group expects government and regulatory intervention in financial services to be high for the foreseeable future, including increased scrutiny from competition and other regulators in the retail and SME business sectors. Any matters discussed or identified during such discussions and inquiries may result in, among other things, further inquiry or investigation, other action being taken by governmental and regulatory authorities, increased costs being incurred by NWB Group, remediation of systems and controls, public or private censure, restriction of NWB Group’s business activities and/or fines. Any of the events or circumstances mentioned in this paragraph or below could have a material adverse effect on NWB Group, its business, authorisations and licences, reputation, results of operations or the price of securities issued by it, or lead to material additional provisions being taken. NWB Group is co-operating fully with the matters described below. Investment advice review In October 2019, the FCA notified NatWest Group of its intention to appoint a Skilled Person under section 166 of the Financial Services and Markets Act 2000 to conduct a review of whether NatWest Group’s past business review of investment advice provided during 2010 to 2015 was subject to appropriate governance and accountability and led to appropriate customer outcomes. The Skilled Person’s review has concluded and, after discussion with the FCA, NatWest Group is undertaking additional review / remediation work. 27 Analysis of the net investment in business interests and intangible assets NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Additional investment in associates - (5) - (5) Additional investments in Group undertakings - - (10) (531) Disposal of investments in Group undertakings - - - 35 Purchase of net assets and liabilities (2,296) - (2,296) - Net outflow of cash in respect of purchases and disposals (2,296) (5) (2,306) (501) Dividend received from associate 1 - - - Net cash expenditure on intangible assets (588) (719) (555) (687) Net outflow of cash (2,883) (724) (2,861) (1,188) Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 163 28 Non-cash and other items This note shows non-cash items adjusted for in the cashflow statement and movement in operating assets and liabilities. NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Impairment losses 347 504 334 483 Depreciation and amortisation 987 877 817 705 Net impairment/(reversal) of impairment of investments in Group undertakings - - 97 (2) Change in fair value taken to profit or loss on other financial assets 218 (541) 218 (541) Change in fair value taken to profit or loss on other financial liabilities and subordinated liabilities 97 374 105 383 Elimination of foreign exchange differences 670 325 640 320 Other non-cash items 361 (38) 329 (49) Income receivable on other financial assets (1,342) (731) (1,310) (713) Loss on sale of other financial assets 18 43 32 43 Dividends receivable from subsidiaries - - (553) (617) Profit on sale of subsidiaries and associates - - - (36) (Gain)/loss on sale of other assets and net assets and liabilities (26) 50 (25) 46 Share of loss from associates 2 - - - Gain on redemption of own debt - (234) - (234) Interest payable on MRELs and subordinated liabilities 445 484 387 426 Charges and releases on provisions 317 127 294 118 Defined benefit pension schemes 80 89 59 64 Non-cash and other items 2,174 1,329 1,424 396 Change in operating assets and liabilities Change in derivative assets 429 1,043 445 1,037 Change in loans to banks 67 443 117 431 Change in loans to customers (11,600) (17,296) (11,281) (17,405) Change in amounts due from holding companies and fellow subsidiaries (1,144) 2,607 (3,635) (97) Change in other financial assets (260) (139) (260) (139) Change in other assets (57) (239) (66) (243) Change in bank deposits 6,728 1,992 6,726 1,993 Change in customer deposits 4,538 (8,862) (230) (5,356) Change in amounts due to holding companies and fellow subsidiaries 372 7,578 6,646 8,225 Change in derivative liabilities (541) (370) (691) (568) Change in other financial liabilities (4,013) 3,627 (4,324) 3,623 Change in notes in circulation 129 (3) 129 (3) Change in other liabilities (629) (513) (583) (497) Change in operating assets and liabilities (5,981) (10,132) (7,007) (8,999) Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 164 29 Analysis of changes in financing during the year NWB Group NWB Plc Called up share Called up share capital, share capital, share premium, and Subordinated premium, and Subordinated paid-in equity liabilities (1) MRELs (2) paid-in equity liabilities (1) MRELs (2) 2024 2023 2024 2023 2024 2023 2024 2023 2024 2023 2024 2023 £m £m £m £m £m £m £m £m £m £m £m £m At 1 January 6,421 6,421 3,758 3,138 6,548 6,339 6,421 6,421 3,755 3,132 5,980 5,709 Issue of paid-in equity 799 - 799 - Issue of subordinated liabilities 600 1,263 600 1,263 Redemption of subordinated liabilities (579) (539) (579) (539) Interest paid on subordinated liabilities (184) (145) (159) (120) Issue of MRELs 1,187 441 927 441 Maturity and redemption of MRELs (1,190) (157) (930) (107) Interest paid on MRELs (247) (293) (215) (261) Net cash inflow/(outflow) from financing 799 - (163) 579 (250) (9) 799 - (138) 604 (218) 73 Effects of foreign exchange - (53) (47) 24 (316) - (53) (47) 35 (311) Changes in fair value of subordinated liabilities and MRELs 39 147 58 227 39 148 66 235 Interest payable on subordinated liabilities and MRELs 189 177 256 307 164 152 223 274 Gain on redemption of own debt - (234) - (234) Other - - (2) - - - - - - - - At 31 December 7,220 6,421 3,770 3,758 6,636 6,548 7,220 6,421 3,767 3,755 6,086 5,980 (1) Subordinated liabilities include intercompany subordinated liabilities. (2) NWB Group MREL balances are included in amounts due to holding companies and fellow subsidiaries. NWB Plc MREL balances are shown net of the effect of down streaming funding to subsidiary companies. 30 Analysis of cash and cash equivalents In the cash flow statement, cash and cash equivalents comprises cash and loans to banks with an original maturity of less than three months that are readily convertible to known amounts of cash and subject to insignificant risk of change in value. NWB Group NWB Plc 2024 2023 2024 2023 £m £m £m £m Cash and balances at central banks 35,095 48,259 35,083 48,238 Other financial assets 2 129 2 129 Loans to banks including intragroup balances (1) 4,033 3,613 3,593 4,115 Cash and cash equivalents 39,130 52,001 38,678 52,482 (1) Includes cash collateral posted with bank counterparties in respect of derivative liabilities of £2 million (2023 - £129 million). Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 165 31 Directors’ and key management remuneration The composition of NWB Plc’s board of directors is aligned to the board of its intermediate holding company NatWest Holdings Ltd. The directors are remunerated for their services to NatWest Group as a whole, and their remuneration cannot be apportioned in respect of their services to NWB Plc. The directors’ emoluments in the table below represent the NWH Group emoluments of the directors. 2024 2023 Directors' remuneration £m £m Non-executive directors emoluments 1,787 1,852 Chair and executive directors emoluments 6,425 6,408 8,212 8,260 Amounts receivable under long-term incentive plans and share option plans 1,471 2,708 9,683 10,968 The total emoluments and amounts receivable under long-term incentive plans and share option plans of the highest paid director were £3,873,000 (2023 - £2,930,000). The executive directors may participate in the NatWest Group's long-term incentive plans, executive share option and sharesave schemes. Where directors of NWB Plc are also directors of NatWest Group plc, details of their share interests can be found in the 2024 Annual Report and Accounts of NatWest Group plc, in line with regulations applying to NatWest Group plc as a premium listed company. Compensation of key management The aggregate remuneration of directors and other members of key management (1) during the year was as follows: 2024 2023 £m £m Short-term benefits 19,729 17,244 Post-employment benefits 614 601 Share-based payments 5,250 6,104 25,593 23,949 (1) Key management comprises members of the NWH Ltd Executive Committee. Short term benefits include benefits expected to be settled wholly within twelve months of the balance sheet date. Post-employment benefits include defined benefit contributions for active members and pension funding to support contributions to the defined contribution schemes. Share-based payments include awards vesting under rewards schemes. 32 Transactions with directors and key management For the purposes of IAS 24 Related Party Disclosures, key management comprises directors of NWB Plc and members of the NWB Plc Executive Committee. Key management have banking relationships with NatWest Group entities which are entered into in the normal course of business and on substantially the same terms, including interest rates and security, as for comparable transactions with other persons of a similar standing or, where applicable, with other employees. These transactions did not involve more than the normal risk of repayment or present other unfavourable features. Key management had no reportable transactions or balances with the holding companies. Amounts in the table below are attributed to each person at their highest level of NatWest Group key management and relate to those who were key management at any time during the financial period. At 31 December 2024 2023 £m £m Loans to customers - amortised cost 3,538 10,579 Customer deposits 36,936 48,595 At 31 December 2024, amounts outstanding in relation to transactions, arrangements and agreements entered into by authorised institutions in NWB Group, as defined in UK legislation, were £2,581,500 in respect of loans to eight persons who were directors of NWB Plc at any time during the financial period (2023 - £8,408,984). Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 166 33 Related parties UK Government The UK Government’s shareholding in NatWest Group plc is managed by UK Government Investments Limited, a company wholly owned by the UK Government. At 31 December 2024 HM Treasury’s holding in NatWest Group plc’s ordinary shares was 9.99% (31 December 2023 - 37.97%). As a result, the UK Government through HM Treasury is no longer the controlling shareholder of NatWest Group plc as per UK listing rules. The UK Government and UK Government-controlled bodies remain related parties of the NatWest Group. NWB Group enters into transactions with many of these bodies. Transactions include the payment of: taxes, principally UK corporation tax Note 7 and value added tax; national insurance contributions; local authority rates; and regulatory fees and levies; together with banking transactions such as loans and deposits undertaken in the normal course of banker-customer relationships. Bank of England facilities NWB Group may participate in a number of schemes operated by the Bank of England in the normal course of business. In March 2024 Bank of England Levy replaced the Cash Ratio Deposit scheme. Members of NatWest Group that are UK authorised institutions are required to pay the levy having eligible liabilities greater than £600 million. They also have access to Bank of England reserve accounts: sterling current accounts that earn interest at the Bank of England Base rate. NWB Plc guarantees certain liabilities of NWH Group to the Bank of England. Other related party (a) In accordance with IAS 24, transactions or balances between NWB Group entities that have been eliminated on consolidation are not reported. (b) The primary financial statements include transactions and balances with its subsidiaries which have been further disclosed in the relevant parent company notes. Associates, joint ventures and equity investments In their roles as providers of finance, NWB Group companies provide development and other types of capital support to businesses. These investments are made in the normal course of business. To further strategic partnerships, NWB Group may seek to invest in third parties or allow third parties to hold a minority interest in a subsidiary of NatWest Group. We disclose as related parties for associates and joint ventures and where equity interest are over 10%. Ongoing business transactions with these entities are on normal commercial terms. At 31 December 2024 NWB Group held investment in associates and joint ventures amounting to £1 million (2023 - £4 million). For the year ended 31 December 2024 NWB Group’s share of losses of associates was £2 million (2023 - £3 million). At 31 December 2024 there were £1 million balances within customer deposits (2023 - £2 million) relating to associates and joint ventures. Post employment benefits NatWest Group recharges NatWest Group Pension Fund with the cost of pension management services incurred by it. Notes to the financial statements continued 33 Related parties continued NWB Group Annual Report and Accounts 2024 167 Holding companies and fellow subsidiaries Transactions NWB Group enters with its holding companies and fellow subsidiaries also meet the definition of related party transactions. The table below discloses transactions between NWB Group and subsidiaries of NatWest Group. 2024 2023 Holding Fellow Total Holding Fellow Total company subsidiaries company subsidiaries £m £m £m £m £m £m Interest receivable 2 95 97 - 133 133 Interest payable (713) (1,768) (2,481) (674) (1,588) (2,262) Fees and commissions receivable - 74 74 - 62 62 Fees and commissions payable - (78) (78) - (71) (71) Other operating income (1) 37 1,441 1,478 11 1,532 1,543 Other administration expenses (2) - (128) (128) - (156) (156) Impairment (losses)/releases (1) - (1) 3 - 3 (675) (364) (1,039) (660) (88) (748) (1) Includes internal service recharges of £1,478 million (2023 - £1,542 million). (2) Other administration expense relates to a profit share arrangement with a fellow NatWest Group subsidiary that commenced in 2023. The profit share arrangement was introduced to reward NWM Group on an arm’s length basis for its contribution to the performance of the NatWest Group Commercial & Institutional business segment, 2023 being the first full year with the Commercial & Institutional segment in place. The following tables include amounts due from or to holding companies and fellow subsidiaries: NWB Group 2024 2023 Holding Fellow Holding Fellow companies subsidiaries Total companies subsidiaries Total £m £m £m £m £m £m Assets Loans to banks - amortised cost - 3,116 3,116 - 1,797 1,797 Loans to customers - amortised cost - 12 12 - 11 11 Other financial assets 78 - 78 - - - Other assets 121 409 530 104 399 503 Amounts due from holding companies and fellow subsidiaries 199 3,537 3,736 104 2,207 2,311 Derivatives (1) 168 1,476 1,644 275 2,045 2,320 Liabilities Bank deposits - 28,632 28,632 - 30,499 30,499 Customer deposits 8,638 1 8,639 6,262 11 6,273 Subordinated liabilities 3,648 - 3,648 3,636 - 3,636 MREL instruments issued to NatWest Holdings Ltd 6,636 - 6,636 6,548 - 6,548 Other financial liabilities - 27 27 - 17 17 Other liabilities - 142 142 43 236 279 Amounts due to holding companies and fellow subsidiaries 18,922 28,802 47,724 16,489 30,763 47,252 Derivatives (1) 284 505 789 258 710 968 (1) Intercompany derivatives are included within derivative classification on the balance sheet. There was £0.1 billion (2023 - £0.9 billion) of NWB Group commitments and guarantees related to transactions with fellow group companies outstanding at the balance sheet date. Notes to the financial statements continued 33 Related parties continued NWB Group Annual Report and Accounts 2024 168 NWB Plc 2024 2023 Holding Fellow Holding Fellow companies subsidiaries Subsidiaries Total companies subsidiaries Subsidiaries Total £m £m £m £m £m £m £m £m Assets Loans to banks - amortised cost - 2,893 18,234 21,127 - 1,547 15,516 17,063 Loans to customers - amortised cost - 12 13,764 13,776 - 11 15,084 15,095 Other financial assets 78 - 554 632 - - 559 559 Other assets 121 423 304 848 104 393 285 782 Amounts due from holding companies and fellow subsidiaries 199 3,328 32,856 36,383 104 1,951 31,444 33,499 Derivatives (1) 168 1,476 18 1,662 275 2,044 30 2,349 Liabilities Bank deposits - 21,303 44,251 65,554 - 23,582 36,496 60,078 Customer deposits 8,660 - 6,171 14,831 6,284 3 7,247 13,534 Subordinated liabilities 3,648 - - 3,648 3,636 - - 3,636 MREL instruments issued to NatWest Holdings Ltd 6,638 - - 6,638 6,544 - - 6,544 Other financial liabilities - 27 - 27 - 17 - 17 Other liabilities - 150 77 227 43 223 99 365 Amounts due to holding companies and fellow subsidiaries 18,946 21,480 50,499 90,925 16,507 23,825 43,842 84,174 Derivatives (1) 284 505 162 951 258 710 317 1,285 (1) Intercompany derivatives are included within derivative classification on the balance sheet. There was £0.4 billion (2023 - £1.2 billion) of NWB Plc commitments and guarantees related to transactions with fellow group companies outstanding at the balance sheet date. 34 Ultimate holding company NWB Group’s ultimate holding company is NatWest Group plc and its intermediate parent company is NatWest Holdings Limited. NatWest Group plc is incorporated in the United Kingdom and registered in Scotland and NWH Ltd is registered in England. As at 31 December 2024, NatWest Group plc heads the largest group in which NWB Group is consolidated. Copies of the consolidated accounts of both companies may be obtained from Legal, Governance & Regulatory Affairs, NatWest Group plc, Gogarburn, PO Box 1000, Edinburgh, EH12 1HQ, the Registrar of Companies or at natwestgroup.com. 35 Post balance sheet events There have been no significant events between 31 December 2024 and the date of approval of these accounts which would require a change to or additional disclosure in the accounts. Notes to the financial statements continued NWB Group Annual Report and Accounts 2024 169 36 Related undertakings Legal entities and activities at 31 December 2024 In accordance with the Companies Act 2006, NWB Plc’s related undertakings and the accounting treatment for each are listed below. All undertakings are wholly-owned by NWB Plc or subsidiaries of NWB Plc and are consolidated by reason of contractual control (Section 1162(2) CA 2006), unless otherwise indicated. NWB Group interest refers to ordinary shares of equal values and voting rights unless further analysis is provided in the notes. Activities are classified in accordance with Annex I to the Capital Requirements Directive (CRD V) and the definitions in Article 4 of the UK Capital Requirements Regulation. Active related undertakings incorporated in the UK which are 100% owned by NWB Group and fully consolidated for accounting purpose Regulatory Entity name Activity treatment Notes Caledonian Sleepers Rail Leasing Ltd BF FC 1 Coutts & Company CI FC 10 Coutts Finance Co BF FC 10 Esme Loans Ltd BF FC 1 FreeAgent Central Ltd SC FC 16 FreeAgent Holdings Ltd SC FC 16 Gatehouse Way Developments Ltd INV DE 1 KUC Properties Ltd BF DE 3 Land Options (West) Ltd INV DE 3 Lombard & Ulster Ltd BF FC 9 Lombard Business Leasing Ltd BF FC 1 Lombard Corporate Finance (December 3) Ltd BF FC 1 Lombard Corporate Finance (June 2) Ltd BF FC 1 Lombard Discount Ltd BF FC 1 Lombard Finance Ltd BF FC 1 Lombard Industrial Leasing Ltd BF FC 1 Lombard Lease Finance Ltd BF FC 1 Lombard Leasing Company Ltd BF FC 1 Lombard Leasing Contracts Ltd BF FC 1 Lombard Lessors Ltd BF FC 1 Lombard Maritime Ltd BF FC 1 Lombard North Central Leasing Ltd BF FC 1 Lombard North Central PLC BF FC 1 Lombard Property Facilities Ltd BF FC 1 Lombard Technology Services Ltd BF FC 1 Regulatory Entity name Activity treatment Notes Mettle Ventures Ltd OTH FC 1 National Westminster Home Loans Ltd BF FC 1 NatWest Property Investments Ltd INV DE 1 NatWest RT Holdings Ltd OTH FC 1 Pittville Leasing Ltd BF FC 1 Premier Audit Company Ltd BF FC 1 R.B. Capital Leasing Ltd BF FC 1 R.B. Leasing (September) Ltd BF FC 1 R.B. Quadrangle Leasing Ltd BF FC 1 RBS Asset Management Holdings BF FC 10 RBS Collective Investment Funds Ltd BF FC 8 RBS Invoice Finance Ltd BF FC 1 RBSG Collective Investments Holdings Ltd BF FC 8 RBSSAF (2) Ltd BF FC 1 RBSSAF (25) Ltd BF FC 1 Royal Bank Leasing Ltd BF FC 3 Royal Bank of Scotland (Industrial Leasing) Ltd BF FC 3 Royal Scot Leasing Ltd BF FC 3 RoyScot Trust Plc BF FC 1 Silvermere Holdings Ltd BF FC 3 The Royal Bank of Scotland Group Independent BF FC 3 Financial Services Ltd Ulster Bank Ltd CI FC 9 Ulster Bank Pension Trustees Ltd TR DE 9 Walton Lake Developments Ltd INV DE 1 World Learning Ltd BF FC 1 Active related undertakings incorporated outside the UK which are 100% owned by NWB Group and fully consolidated for accounting purposes Regulatory Entity name Activity treatment Notes Airside Properties AB BF FC 2 Arenarena AS BF FC 29 Arkivborgen KB BF FC 2 Artul Koy BF FC 4 BD Lagerhus AS BF FC 5 Bilfastighet i Akalla AB BF FC 2 Bilfastighet i Avesta AB BF FC 2 Bilfastighet i Bollnas AB BF FC 2 Bilfastighet i Hemlingby AB BF FC 2 Bilfastighet i Hudiksvall AB BF FC 2 Bilfastighet i Ludvika AB BF FC 2 Bilfastighet i M!rsta AB BF FC 2 Bilfastighet i Mora AB BF FC 2 Bilfastighet i Uppsala KB BF FC 2 Bilfastighet Kista AB BF FC 2 Brodmagasinet KB BF FC 2 Eiendomsselskapet Apteno La AS BF FC 5 Espeland Naering AS BF FC 5 Eurohill 4 KB BF FC 2 Fab Ekenäs Formanshagen 4 BF FC 4 Fastighets AB Flojten i Norrkoping BF FC 2 Fastighets Aktiebolaget Sambiblioteket BF FC 2 Regulatory Entity name Activity treatment Notes Forskningshöjden KB BF FC 2 Forvaltningsbolaget Dalkyrkan KB BF FC 2 Forvaltningsbolaget Kloverbacken Skola KB BF FC 2 Fyrs!te Fastighets AB BF FC 2 Grinnhagen KB BF FC 2 Hatros 1 AS BF FC 5 Horrsta 4:38 KB BF FC 2 IR Fastighets AB BF FC 2 IR IndustriRenting AB BF FC 2 Kallebäck Institutfastigheter AB BF FC 2 KB Eurohill BF FC 2 KB Lagermannen BF FC 2 KB Likriktaren BF FC 2 Kiinteist Oy Turun Mustionkatu 6 BF FC 12 Kobbervikdalen 2 Utvikling AS OTH FC 5 Koy Harkokuja 2 BF FC 12 Kiinteisto Oy Lohjan Ojamonharjuntie 61 BF FC 12 Koy Pennalan Johtotie 2 BF FC 4 Kiinteisto Oy Vantaan Rasti IV BF FC 12 Koy Helsingin Mechelininkatu 1 BF FC 4 Koy Helsingin Osmontie 34 BF FC 4 Koy Helsingin Panuntie 11 BF FC 4 Koy Helsingin Panuntie 6 BF FC 4 Notes to the financial statements continued 36 Related undertakings continued NWB Group Annual Report and Accounts 2024 170 Regulatory Entity name Activity treatment Notes Koy Iisalmen Kihlavirta BF FC 4 Koy Jamsan Keskushovi BF FC 4 Koy Jasperintie 6 BF FC 12 Koy Kokkolan Kaarlenportti Fab BF FC 4 Koy Kouvolan Oikeus ja Poliisitalo BF FC 4 Koy Kuopion Volttikatu 1 OTH FC 4 Koy Millennium BF FC 4 Koy Nummelan Portti BF FC 4 Koy Peltolantie 27 BF FC 12 Koy Porkkanakatu 2 BF FC 12 Koy Puotikuja 2 Vaasa BF FC 4 Koy Raision Kihlakulma BF FC 4 Koy Ravattulan Kauppakeskus BF FC 4 Koy Vapaalan Service-Center BF FC 4 Kvam Eiendom AS BF FC 5 Lakten 1 KB BF FC 2 Leiv Sand Eiendom AS BF FC 5 LerumsKrysset KB BF FC 2 Limstagården KB BF FC 2 Lundbyfilen 5 AB BF FC 2 Narmovegen 455 AS BF FC 5 National Westminster International Holdings B.V. BF FC 3 NatWest Digital Services India Private Ltd SC FC 19 NatWest Services (Switzerland) Ltd SC FC 23 Nordisk Renting AB BF FC 2 Regulatory Entity name Activity treatment Notes Nordisk Renting AS BF FC 21 Nordisk Renting OY BF FC 4 Nordisk Specialinvest AB BF FC 2 Nordiska Strategifastigheter Holding AB BF FC 2 Nybergflata 5 AS BF FC 5 OFH Eiendom AS BF FC 30 Optimus KB BF FC 2 RBS Deutschland Holdings GmbH BF FC 17 Rigedalen 44 Eiendom AS BF FC 5 Ringdalveien 20 AS BF FC 5 Ringdalskogen Utvikling AS OTH FC 5 Sandmoen Naeringsbygg AS BF FC 5 SFK Kommunfastigheter AB BF FC 2 Sjöklockan KB BF FC 2 Skinnarängen KB BF FC 2 Sletta Eiendom II AS BF FC 5 Smista Park AB OTH FC 2 Snipetjernveien 1 AS BF FC 5 Solbanken KB BF FC 2 Solnorvika AS BF FC 5 Strand European Holdings AB BF FC 2 Svenskt Fastighetskapital AB BF FC 2 Svenskt Energikapital AB BF FC 2 Svenskt Fastighetskapital Holding AB BF FC 2 Tygverkstaden 1 KB BF FC 2 Nordisk Renting Facilities Management AB BF FC 2 Active related undertakings which are 100% owned by NWB Group but are not consolidated for accounting purposes Regulatory Entity name Activity treatment Notes Bioenergie Dargun Immobilien GmbH OTH DE 31 Bioenergie Jessen Immobilien GmbH OTH DE 31 Bioenergie Wiesenburg GmbH & Co. KG INV DE 31 Bioenergie Wiesenburg Verwaltungs GmbH OTH DE 31 Bioenergie Zittau GmbH OTH DE 31 Bioenergie Zittau Immobilien GmbH OTH DE 31 Capulet Homes Florida LLC OTH DE 6 Crook Hill Properties Ltd OTH DE 27 DBV Deutsche Bioenergie Verbinder GmbH OTH DE 31 East Grove Holding Ltd INV DE 26 European Investments (Crook Hill) Ltd OTH DE 28 German Biogas Holdco Ltd INV DE 25 Montague Homes Florida LLC OTH DE 6 Reaps Moss Ltd OTH DE 27 Reppinichen Dritte Biogas Betriebs GmbH OTH DE 31 Reppinichen Erste Biogas Betriebs GmbH OTH DE 31 Reppinichen Zweite Biogas Betriebs GmbH OTH DE 31 Romeo Homes Florida LLC OTH DE 6 Romeo Homes Georgia LLC OTH DE 6 Romeo Homes Indiana LLC OTH DE 6 Regulatory Entity name Activity treatment Notes Romeo Homes Kansas LLC OTH DE 6 Romeo Homes Nevada LLC OTH DE 6 Romeo Homes North Carolina LLC OTH DE 6 Romeo Homes Oklahoma LLC OTH DE 6 Romeo Homes Tennessee LLC OTH DE 6 Romeo Homes Texas LLC OTH DE 6 Ventus Investments Ltd OTH DE 28 West Granite Homes Inc. INV DE 6 WGH Development LLC OTH DE 6 WGH Florida LLC OTH DE 6 WGH Georgia LLC OTH DE 6 WGH Indiana LLC OTH DE 6 WGH Kansas LLC OTH DE 6 WGH Nevada LLC OTH DE 6 WGH North Carolina LLC OTH DE 6 WGH Oklahoma LLC OTH DE 6 WGH Texas LLC OTH DE 6 Wiesenburg Dritte Biogas Betriebs GmbH OTH DE 31 Wiesenburg Erste Biogas Betriebs GmbH OTH DE 31 Wiesenburg Zweite Biogas Betriebs GmbH OTH DE 31 Wiesenburger Marktfrucht GmbH OTH DE 31 Notes to the financial statements continued 36 Related undertakings continued NWB Group Annual Report and Accounts 2024 171 Active related undertakings incorporated in the UK where NWB Group ownership is less than 100% Accounting Regulatory Group Entity name Activity treatment treatment % Notes Falcon Wharf Ltd OTH EAJV PC 50 15 GWNW City Developments Ltd BF EAJV DE 50 15 Jaguar Cars Finance Ltd BF FC FC 50 1 JCB Finance Ltd BF FC FC 75 13 London Rail Leasing Ltd BF EAJV PC 50 20 Accounting Regulatory Group Entity name Activity treatment treatment % Notes NatWest Boxed Ltd OTH FC FC 82 1 Natwest Covered Bonds (LM) Ltd BF IA PC 20 11 NatWest Covered Bonds Limited BF FC FC 60 1 Liability Partnership Pollinate Networks Ltd OTH AHC DE 25 1 Active related undertakings incorporated outside the UK where NWB Group ownership is less than 100% Accounting Regulatory Group Entity name Activity treatment treatment % Notes Nightingale 2024-1 Ltd BF FC DE 0 7 Nightingale 2024-2 Ltd BF FC DE 0 7 Nightingale 2024-3 Ltd BF FC DE 0 7 Nightingale CRE 2018-1 Ltd BF FC DE 0 7 Nightingale LF 2021-1 Ltd BF FC DE 0 7 Accounting Regulatory Group Entity name Activity treatment treatment % Notes Nightingale Project Finance 2019 BF FC DE 0 7 1 Ltd Nightingale Project Finance II BF FC DE 0 7 2023-1 Ltd Nightingale Securities 2017-1 Ltd BF FC DE 0 7 Nightingale UK Corp 2020 2 Ltd BF FC DE 0 7 Pharos Estates Ltd OTH AHC DE 49 18 Related undertakings that are not active (actively being dissolved) Accounting Regulatory Group Entity name treatment treatment % Notes Lombard Ireland Group Holdings FC FC 100 14 Unlimited Lombard Ireland Ltd FC FC 100 14 RBS Asset Management (Dublin) Ltd FC FC 100 24 Related undertakings that are dormant Accounting Regulatory Group Entity name treatment treatment % Notes Coutts Scotland Nominees Ltd FC FC 100 8 JCB Finance Pension Ltd FC DE 88 9 Natwest FIS Nominees Ltd FC FC 100 1 NatWest Group Retirement Savings FC FC 100 1 Trustee Ltd Natwest Group Secretarial Services Ltd FC FC 100 3 Natwest Pension Trustee Ltd NC DE 100 1 Natwest Pep Nominees Ltd FC FC 100 1 Accounting Regulatory Group Entity name treatment treatment % Notes Nordisk Renting A/S FC FC 100 5 Nordisk Renting HB FC FC 100 2 R.B. Leasing (March) Ltd FC FC 100 1 RBS Investment Executive Ltd NC DE 100 3 RBSG Collective Investments Nominees Ltd FC FC 100 8 Strand Nominees Ltd FC FC 100 10 Syndicate Nominees Ltd FC FC 100 1 The Royal Bank Of Scotland Group Ltd FC FC 100 1 Overseas regulated branches of NWB Group Subsidiary Geographic location National Westminster Bank Plc Germany Notes to the financial statements continued 36 Related undertakings continued NWB Group Annual Report and Accounts 2024 172 Key: Activity BF Banking and financial institution CI Credit institution INV Investment (shares or property) holding company SC Service company TR Trustee OTH Other Accounting/Regulatory treatment DE Deconsolidated FC Full consolidation PC Pro-rata consolidation AHC Associate held at cost EAJV Equity accounting – Joint venture IA Investment accounting NC Not consolidated Notes Registered addresses Country of incorporation 1 250 Bishopsgate, London, EC2M 4AA, England UK 2 Jakobsbergsgatan 13, 8th Floor, Box 14044, Stockholm, SE-111 44 Sweden 3 Gogarburn, 175 Glasgow Road, Edinburgh, EH12 1HQ, Scotland UK 4 Mikonkatu 9, 6th Floor, Helsinki, 00100 Finland 5 Postboks 1400, 0115 Oslo Norway 6 251 Little Falls Drive, Wilmington, DE, 19808 USA 7 44 Esplanade, St Helier, JE4 9WG Jersey 8 6-8 George Street, Edinburgh, EH2 2PF, Scotland UK 9 11-16 Donegall Square East, Belfast, Co Antrim, BT1 5UB, Northern Ireland UK 10 440, Strand, London, England, WC2R OQS UK 11 1 Bartholomew Lane, London EC2N 2AX, England UK 12 Mikonkatu 9, 00100 Helsinki Finland 13 The Mill, High Street, Rocester, Staffordshire, ST14 5JW, England UK 14 Block A Georges Quay Plaza, Georges Quay, Dublin 2 RoI 15 Gate House, Turnpike Road, High Wycombe, Buckinghamshire, HP12 3NR UK 16 One Edinburgh Quay, 133 Fountainbridge, Edinburgh, EH3 9QG, Scotland UK 17 Roßmarkt 10, Frankfurt am Main, 60311 Germany 18 24 Demostheni Severi, 1st Floor, Nicosia, 1080 Cyprus 19 6th Floor, Building 2, Tower A, GIL IT/ITES SEZ, Candor TechSpace, Sector 21, Dundahera, Gurugram, Haryana, 122016 India 20 99 Queen Victoria Street, London, EC4V 4EH UK 21 H. Heyerdahlsgate 1, Postboks 2020 Vika, Oslo, 0125 Norway 22 Ilzecka 26 Street, Warsaw, 02-135 Poland 23 Lerchenstrasse 16, Zurich, CH 8022 Switzerland 24 One Dockland Central, Guild Street, IFSC, Dublin 1 RoI 25 Greencoat Capital, 5 The Peak, Wilton Road, London, Greater London, SW1V 1AN, England UK 26 8 Sackville Street, London, W1S 3DG, England UK 27 2nd floor, Palm Grove House, Road Town, Tortola British Virgin Islands 28 18 Riversway Business Village, Navigation Way, Ashton-on-Ribble, Preston, PR2 2YP UK 29 Postboks 1400, Oslo, 0115 Norway 30 Dokkveien 1, No-0250, Oslo Norway 31 Walther-Nernst-Straße 1, Berlin, 12489 Germany 32 222 Bishopsgate, London, EC2M 4QD UK NWB Group Annual Report and Accounts 2024 173 Risk factors Principal Risks and Uncertainties Set out below are certain risk factors that could have a material adverse effect on NWB Group’s future results, its financial condition and/or prospects and cause them to be materially different from what is forecast or expected, and directly or indirectly impact the value of its securities. These risk factors are broadly categorised and should be read in conjunction with other risk factors in this section and other parts of this annual report, including the forward-looking statements section, the strategic report and the risk and capital management section. They should not be regarded as a complete and comprehensive statement of all potential risks and uncertainties facing NWB Group. Economic and political risk NWB Group, its customers and its counterparties face continued economic and political risks and uncertainties in the UK and global markets, including as a result of inflation and interest rates, supply chain disruption, and geopolitical developments. As a principally UK-focused banking group, NWB Group is affected by global economic and market conditions, and is particularly exposed to those conditions in the UK. Uncertain and volatile economic conditions in the UK or globally can create a challenging operating environment for financial services companies such as NWB Group. The outlook for the UK and the global economy is affected by many dynamic factors including: GDP, unemployment, inflation and interest rates, asset prices (including residential and commercial property), energy prices, monetary and fiscal policy (such as increases in bank levies), supply chain disruption, protectionist policies or trade barriers (including tariffs). Economic and market conditions could be exacerbated by a number of factors including: instability in the UK and/or global financial systems, market volatility and change, fluctuations in the value of the pound sterling, new or extended economic sanctions, volatility in commodity prices, political uncertainty, concerns regarding sovereign debt (including sovereign credit ratings), any lack or perceived lack of creditworthiness of a counterparty or borrower that may trigger market-wide liquidity problems, changing demographics in the markets that NWB Group and its customers serve, rapid changes to the economic environment due to the adoption of technology, automation, artificial intelligence, or due to the consequences of climate change, biodiversity loss, nature degradation and/or increasing social and other inequalities. NWB Group is also exposed to risks arising out of geopolitical and other events or political developments that may hinder economic or financial activity levels, and may, directly or indirectly, impact UK, regional or global trade and/or NWB Group’s customers and counterparties. NatWest Group’s business and performance could be negatively affected by political, military or diplomatic events, geopolitical tensions, armed conflict (for example, the Russia- Ukraine conflict and Middle East conflicts), terrorist acts or threats, more severe and frequent extreme weather events, widespread public health crises, and the responses to any of the above scenarios by various governments and markets. In recent years, the UK has experienced significant political uncertainty. NWB Group may also face political uncertainty in Scotland if there is another Scottish independence referendum. Scottish independence may adversely affect NWB Group both in relation to its entities incorporated in Scotland and in other jurisdictions. Any changes to Scotland’s relationship with the UK or the EU may adversely affect the environment in which NatWest Group plc and its subsidiaries operate and may require further changes to NatWest Group’s (including NWB Group’s) structure, independently or in conjunction with other mandatory or strategic structural and organisational changes, any of which could adversely affect NWB Group. The value of NWB Group’s own and other securities may be materially affected by economic and market conditions. Market volatility, illiquid market conditions and disruptions in the financial markets may make it very difficult to value certain of NWB Group’s own and other securities, particularly during periods of market displacement. This could cause a decline in the value of NWB Group’s own and other securities, or inaccurate carrying values for certain financial instruments. In addition, financial markets are susceptible to severe events evidenced by, or resulting in, rapid depreciation in asset values, which may be accompanied by a reduction in asset liquidity. Under these conditions, hedging and other risk management strategies may not be as effective at mitigating losses as they would be under more normal market conditions. Moreover, under these conditions, market participants are particularly exposed to trading strategies employed by many market participants simultaneously (and often automatically) and on a large scale, increasing NWB Group’s counterparty risk. NWB Group’s risk management and monitoring processes seek to quantify and mitigate NWB Group’s exposure to extreme market moves. However, market events have historically been difficult to predict, and NWB Group, its customers and its counterparties could realise significant losses if severe market events were to occur. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. Changes in interest rates will continue to affect NWB Group’s business and results. NWB Group’s performance is affected by changes in interest rates. Benchmark overnight interest rates, such as the UK base rate, decreased in 2024, and forward rates suggest that interest rates will continue to decline in 2025. Stable interest rates support more predictable income flow and less volatility in asset and liability valuations, although persistently low and negative interest rates may adversely affect NWB Group. Further, volatility in interest rates may result in unexpected outcomes both for interest income and asset and liability valuations which may adversely affect NWB Group. For example, decreases in key benchmark rates such as the UK base rate may adversely affect NWB Group’s net interest margin, and unexpected movements in spreads between key benchmark rates such as sovereign and swap rates may in turn affect liquidity portfolio valuations. In addition, unexpected sharp rises in rates may also have negative impacts on some asset and derivative valuations. Moreover, customer and investor responses to rapid changes in interest rates can have an adverse effect on NWB Group. For example, customers may make deposit choices that provide them with higher returns than those being offered by NWB Group. Alternatively, NWB Group may not respond with competitive products as rapidly, for example following an interest rate change, which may in turn decrease NWB Group’s net interest income. Movements in interest rates also influence and reflect the macroeconomic situation more broadly, affecting factors such as business and consumer confidence, property prices, default rates on loans, customer behaviour (which may adversely impact the effectiveness of NWB Group’s hedging strategy) and other indicators that may indirectly affect NWB Group. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. Risk factors continued NWB Group Annual Report and Accounts 2024 174 Fluctuations in currency exchange rates may adversely affect NWB Group’s results and financial condition. Decisions of central banks (including the BoE, the European Central Bank, and the US Federal Reserve) and political or market events, which are outside NWB Group’s control, may lead to sharp and sudden fluctuations in currency exchange rates. Although NWB Group is principally a UK-focused banking group, it is subject to structural foreign exchange risk from capital deployed in NatWest Group’s foreign subsidiaries and branches. NWB Group also issues internal instruments in non-sterling currencies, such as US dollars and euros, that assist in meeting NWB Group’s regulatory requirements. In addition, NWB Group conducts banking activities in non-sterling currencies (for example loans, deposits and dealing activity) which affect its revenue. NWB Group also uses service providers based outside the UK for certain services and as a result certain operating results are subject to fluctuations in currency exchange rates. NWB Group maintains policies and procedures designed to manage the impact of its exposure to fluctuations in currency exchange rates. Nevertheless, changes in currency exchange rates, particularly in the sterling-US dollar and sterling-euro rates, may adversely affect various accounting and financial metrics including, the value of assets, liabilities (including the total amount of instruments eligible to contribute towards the minimum requirement for own funds and eligible liabilities (‘MREL’)), foreign exchange dealing activity, income and expenses, RWAs and hence the reported earnings and financial condition of NWB Plc. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. HM Treasury (or UKGI on its behalf) could exercise, or be perceived as being capable of exercising, influence over NatWest Group and NWB Group is controlled by NatWest Group. In its Autumn Budget 2024, the UK Government confirmed its commitment to exit its shareholding in NatWest Group plc by 2025-2026 subject to market conditions. Accordingly, following various prior sell-downs of parts of its shareholding in NatWest Group plc, HM Treasury is no longer a “controlling shareholder” of NatWest Group plc. As at 13 January 2025, HM Treasury held 8.90% of the ordinary share capital with voting rights of NatWest Group plc. HM Treasury has indicated that it intends to respect the commercial decisions of NatWest Group and that NatWest Group entities (including NWB Group) will continue to have their own independent board of directors and management team determining their own strategy. However, for as long as HM Treasury remains NatWest Group plc’s largest single shareholder, HM Treasury and UK Government Investments Limited (‘UKGI’) (as manager of HM Treasury’s shareholding) could exercise, or be perceived as being capable of exercising, influence over NatWest Group (including NWB Group) including: changes to NatWest Group’s (including NWB Group) directors and senior management, NatWest Group’s (including NWB Group) capital strategy, dividend policy, remuneration policy or the conduct by NatWest Group’s (including NWB Group) of its operations. HM Treasury or UKGI’s approach largely depends on government policy, which could change. Any exercise of such influence, or the perception that such influence may be exercised, may have an adverse effect on NatWest Group, which may in turn adversely affect the governance, business strategy, future results, financial condition and/or prospects of NWB Group. The way in which HM Treasury or UKGI exercises HM Treasury’s rights as the largest single shareholder of NatWest Group could give rise to conflicts between the interests of HM Treasury and the interests of other shareholders, including as a result of a change in government policy. In addition, NWB Plc is a wholly owned subsidiary of NatWest Group plc, and NatWest Group plc therefore controls NWB Group’s board of directors, corporate policies and strategic direction. The interests of NatWest Group plc as an equity holder and as NWB Group’s parent may differ from the interests of NWB Group or of potential investors in NWB Group’s securities. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. Business change and execution risk The implementation and execution of NatWest Group’s (of which NWB Group forms part) strategy carries execution and operational risks and it may not achieve its stated aims and targeted outcomes. NatWest Group’s strategy (including the strategic priorities of disciplined growth, bank-wide simplification and active balance sheet and risk management) and NWB Group’s strategy are intended to reflect the rapidly changing environment and backdrop of significant disruption in society driven by technology and changing customer expectations. Further, shifting trends including digitalisation, decarbonisation, automation, artificial intelligence, e-commerce and hybrid working, have resulted in significant market volatility and change. There is also increasing investor, employee, stakeholder, regulatory and customer scrutiny regarding how businesses address these changes and related environmental challenges, including climate change, biodiversity and other sustainability issues, (such as, how NatWest Group supports its customers’ transition to net zero, is tackling inequality, working conditions, workplace health, safety and wellbeing, diversity and inclusion, data protection and management, workforce management, human rights and supply chain management). As part of NatWest Group’s strategy, in December 2023, a transfer pricing arrangement between NWB Group and NWM Group allowing a sharing of certain Commercial & Institutional (‘C&I’) business segment profits through payment from NWB Group to NWM Group was approved. Weaker performance in NWM Group, could lead to a higher payment from NWB Group to NWM Group and therefore reduced profitability in NWB Group. Many factors may adversely impact the successful implementation of NatWest Group’s strategy, including:  macroeconomic challenges which may adversely affect NWB Group’s customers and could in turn adversely impact certain strategic initiatives for NWB Group (see ‘NWB Group, its customers and its counterparties face continued economic and political risks and uncertainties in the UK and global markets, including as a result of inflation and interest rates, supply chain disruption, and geopolitical developments’);  changing customer expectations and behaviour in response to macroeconomic conditions or developments, technology and other factors which could reduce the profitability, competitiveness, or volume of services NWB Group offers;  the rapid emergence and deployment of new technologies (such as artificial intelligence, quantum computing, blockchain and digital currencies) resulting in a potential shift across the market, towards products and services that are not part of NWB Group’s core offering today;  increased competitive threats from incumbent banks, fintech companies, large retail and technology conglomerates and other new market entrants (including those that emerge from mergers and consolidations) who may have competitive advantages in terms of scale, technology and customer engagement; and Risk factors continued NWB Group Annual Report and Accounts 2024 175  changes to the regulatory environment and associated requirements which could lead to shifts in operating cost and regulatory capital requirements, that impact NWB Group’s product offerings and business models; (see ‘NWB Group’s businesses are subject to substantial regulation and oversight, which are constantly evolving and may adversely affect NWB Group’; and NWB Group could incur losses or be required to maintain higher levels of capital as a result of limitations or failure of various models) Delivery of NWB Group’s strategy will require:  maintaining effective governance, procedures, systems and controls giving effect to NatWest Group’s strategy;  managing a broad range of risks and opportunities related to changes in the macroeconomic environment, customer expectations and behaviour, technology, regulation, competitiveness and climate and other sustainability-related areas;  achieving the stated financial, capital and operational targets and expectations within the relevant timeframes; and  continued cost-controlling measures, which may result in provisions in connection with a lower NatWest Group (and NWB Group) cost base, may divert investment from other areas, and may vary considerably from year to year. In pursuing NatWest Group’s strategy, NWB Group may not be able to successfully: (i) implement some or all aspects of its strategy; (ii) meet any or all of the related targets or expectations of its strategy and otherwise realise the anticipated benefits of its strategy, in a timely manner, or at all; or (iii) realise the intended strategic objectives of any other future strategic or growth initiative. The scale and scope of NatWest Group’s (and NWB Group’s) strategy and the intended changes continue to present material business, operational and regulatory (including compliance with the UK ring-fencing regime), conflicts, legal, execution, IT system, cybersecurity, internal culture, conduct and people risks. Implementing changes and strategic actions, including in respect of any growth, simplification or cost-saving initiatives, requires the effective application of robust governance and controls frameworks and IT systems; and there is a risk that NatWest Group (and NWB Group) may not be successful in these respects. The implementation of NatWest Group’s strategy could result in materially higher costs or risks than initially contemplated (including due to material uncertainties and factors outside of NatWest Group’s control) and may not be completed as planned (both in terms of substantive targets and timing), or at all. This could lead to additional management actions by NatWest Group (or NWB Group). Additionally, as a result of the UK’s withdrawal from the EU, certain aspects of the services provided by NWB Group require local licences or individual equivalence decisions (temporary or otherwise) by relevant regulators. In April 2024, the European Parliament approved the Banking Package (CRR III/CRD VI). From 10 January 2027, non-EU firms providing ‘banking services’ will be required to apply for and obtain authorisation to operate as third country branches in each relevant EU member state where they provide these services, unless an exemption applies. NatWest Group continues to evaluate its EU operating model, making adaptations as necessary. Changes to, or uncertainty regarding, NWB Group’s EU operating model have been, and may continue to be, costly and may: (i) adversely affect customers and counterparties who are dependent on trading with the EU or personnel from the EU; and/or (ii) result in further costs and/or regulatory sanction due to a failure to receive the required regulatory permissions and/or further changes to NatWest Group’s business operations, product offering, customer engagement, and regulatory requirements. Each of these risks, and others identified in this section entitled ‘Principal Risks and Uncertainties’, individually or collectively could jeopardise the implementation and delivery of NatWest Group’s strategy, impact NWB Group’s products and services offering, its reputation with customers or business model and adversely affect NWB Group’s ability to deliver its strategy and meet its targets, guidance, and forecasts. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. Acquisitions, divestments, or other transactions by NatWest Group (and/or NWB Group) may not be successful. NatWest Group (of which NWB Group forms part) may decide to undertake acquisitions, investments, the purchase of assets and liabilities, divestments, restructurings, reorganisations, joint ventures and other strategic partnerships, as well as other transactions and initiatives. In doing so, NatWest Group (which includes NWB Group) may have to compete with larger banks or financial institutions or other larger entities offering financial services products (including those that emerge from mergers and consolidations, as well as retail and technology conglomerates). These competitors may have more bargaining power in negotiations than NatWest Group (or NWB Group), and therefore may be in a position to extract more advantageous terms than NatWest Group (and NWB Group). See also, ‘NWB Group operates in markets that are highly competitive, with competitive pressures and technology disruption’. NatWest Group (of which NWB Group forms part), may pursue these transactions and initiatives to, amongst others: (i) enhance capabilities that may lead to better productivity or cost efficiencies; (ii) acquire talent; (iii) pursue new products or expand existing products; and/or (iv) enter new markets or enhance its presence in existing markets. In pursuing its strategy, NWB Group may not fully realise the expected benefits and value from the above-mentioned transactions and initiatives in the time, or to the degree anticipated, or at all. In particular, NatWest Group (and NWB Group) may: (i) fail to realise the business rationale for the transaction or initiative, or rely on assumptions underlying the business plans supporting the valuation of a target transaction or initiative that may prove inaccurate, for example, regarding synergies and expected commercial demand; (ii) fail to successfully integrate any acquired businesses, investment, joint-venture or assets (including in respect of technologies, existing strategies, products, governance, systems and controls, and human capital) or to successfully divest or restructure a business; (iii) fail to retain key employees, customers and suppliers of any acquired or restructured business; (iv) be required or wish to terminate pre-existing contractual relationships, which could prove costly and/or be executed on unfavourable terms and conditions; (v) fail to discover certain contingent or undisclosed liabilities in businesses that it acquires, or its due diligence to discover any such liabilities may be inadequate; and (vi) not obtain necessary regulatory and other approvals (or onerous conditions may be attached to such approvals). Accordingly, NatWest Group (or NWB Group) may not be successful in achieving its strategy and any particular transaction may not succeed, may be limited in scope or scale and may not conclude on the terms contemplated, or at all. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. Risk factors continued NWB Group Annual Report and Accounts 2024 176 The transfer of NatWest Group’s Western European corporate portfolio involves certain risks. To improve efficiencies and best serve customers following the UK’s withdrawal from the EU, certain assets, liabilities, transactions and activities of NatWest Group (including its Western European corporate portfolio, principally consisting of term funding and revolving credit facilities), are expected to be: (i) transferred from the ring-fenced subgroup of NatWest Group, to NWM Group and/or (ii) transferred to the ring-fenced subgroup of NatWest Group from NWM Group, subject to regulatory and customer requirements. The timing, success and quantum of any of these transfers remain uncertain as is the impact of these transactions on its results of operations. As a result, this may have a material adverse effect on NatWest Group’s (including NWB Group’s) future results, financial condition, prospects, and/or reputation. Financial resilience risk NWB Group may not achieve its ambitions or targets, meet its guidance, or generate sustainable returns. NatWest Group has set a number of financial, capital and operational targets and provided guidance for NWB Group including in respect of: funding plans and requirements, employee engagement, diversity and inclusion as well as climate-related targets (including its climate and sustainable funding and financing targets) and customer satisfaction targets. NWB Group’s ability to meet NatWest Group and NWB Group’s respective ambitions, targets and guidance and make discretionary capital distributions, is subject to various internal and external factors, risks and uncertainties. These include, but are not limited to: UK and global macroeconomic, political, market and regulatory uncertainties, customer behaviour, operational risks and risks relating to NWB Group’s business model and strategy (including risks associated with climate and other sustainability- related issues), competitive pressures, and litigation, governmental actions, investigations and regulatory matters. If assumptions, judgements and estimates (for example about future economic conditions) prove to be incorrect, NatWest Group may not achieve any or all of its ambitions or targets, or meet its guidance. A number of factors may impact NWB Group’s ability to maintain its current CET1 ratio, including impairments, limited organic capital generation or unanticipated increases in RWAs. See also ‘The implementation and execution of NatWest Group’s (of which NWB Group forms part) strategy carries execution and operational risks and it may not achieve its stated aims and targeted outcomes.’ Any failure of NWB Group to achieve NatWest Group and NWB Group’s respective ambitions, targets or meet its guidance may have a material adverse effect on NatWest Group’s future results, financial condition, prospects, and/or reputation. NWB Group has significant exposure to counterparty and borrower risk including credit losses, which may have an adverse effect on NWB Group. NWB Group has exposure to many different sectors, customers and counterparties, and risks arising from actual or perceived changes in credit quality and the recoverability of monies due from borrowers and other counterparties are inherent in a wide range of NWB Group’s businesses. NWB Group’s lending strategy and associated processes and systems may fail to identify, anticipate or quickly react to weaknesses or risks in a particular sector, market, borrower or counterparty, or NatWest Group’s credit risk appetite relative to competitors, or fail to appropriately value physical or financial collateral. This may result in increased default rates or a higher loss given default for loans, which may, in turn, impact NWB Group’s profitability. Refer to ‘Risk and capital management — Credit Risk’. The credit quality of NWB Group’s borrowers and other counterparties may be affected by UK and global macroeconomic and political uncertainties, as well as prevailing economic and market conditions. Refer to ‘NWB Group, its customers and its counterparties face continued economic and political risks and uncertainties in the UK and global markets, including as a result of inflation and interest rates, supply chain disruption, and geopolitical developments’. Any further deterioration in these conditions or changes to legal or regulatory landscapes could worsen borrower and counterparty credit quality or impact the enforcement of contractual rights, increasing credit risk. Any increase in drawings upon committed credit facilities may also increase NWB Group’s RWAs. In addition, the level of household indebtedness (on a per capita basis) in the UK remains high. The ability of households and businesses to service their debts could be worsened by a period of high unemployment, or high interest rates or inflation, particularly if prolonged. NWB Group may be affected by volatility in property prices (including as a result of UK political or economic conditions) given that NWB Group’s mortgage loan portfolio as at 31 December 2024, amounted to £197.1 billion, representing 58% of NWB Group’s total loan exposure. If property prices in the UK were to weaken this could lead to higher impairment charges, particularly if default rates also increase. In addition, NWB Group’s credit risk may be exacerbated if the collateral that it holds cannot be realised as a result of market conditions, regulatory intervention, or other applicable laws, or if it is liquidated at prices not sufficient to recover the net amount outstanding to NWB Group after accounting for any IFRS 9 provisions already made. This is most likely to occur during periods of illiquidity or depressed asset valuations. Concerns about, or a default by, a financial institution or intermediary could lead to significant liquidity problems and losses or defaults by other financial institutions or intermediaries, since the commercial and financial soundness of many financial institutions and intermediaries is closely related and interdependent as a result of credit, trading, clearing and other relationships. Any perceived lack of creditworthiness of a counterparty or borrower may lead to market-wide liquidity problems and losses for NWB Group. In addition, the value of collateral may be correlated with the probability of default by the relevant counterparty (‘wrong way risk’), which would increase NWB Group’s potential loss. Any of the above risks may also adversely affect financial intermediaries, such as clearing agencies, clearing houses, banks, securities firms and exchanges with which NWB Group interacts on a regular basis. See also, ‘NWB Group may not meet the prudential regulatory requirements for liquidity and funding or may not be able to adequately access sources of liquidity and funding, which could trigger the execution of certain management actions or recovery options.’ As a result, adverse changes in borrower and counterparty credit risk may cause additional impairment charges under IFRS 9, increased repurchase demands, higher costs, additional write- downs and losses for NWB Group and an inability to engage in routine funding transactions. If NWB Group experiences losses and a reduction in profitability, this is likely to affect the recoverable value of fixed assets, including goodwill and deferred taxes, which may lead to write-downs. NWB Group has applied an internal analysis of multiple economic scenarios (MES) together with the determination of specific overlay adjustments to inform its IFRS 9 ECL (Expected Credit Loss). Risk factors continued NWB Group Annual Report and Accounts 2024 177 The recognition and measurement of ECL is complex and involves the use of significant judgement and estimation. This includes the formulation and incorporation of multiple forward-looking economic scenarios into ECL to meet the measurement objective of IFRS 9. The ECL provision is sensitive to the model inputs and economic assumptions underlying the estimate. Going forward, NWB Group anticipates observable credit deterioration of a proportion of assets resulting in a systematic uplift in defaults, which is mitigated by those economic assumption scenarios being reflected in the Stage 2 ECL across portfolios, along with a combination of post model overlays in both wholesale and retail portfolios reflecting the uncertainty of credit outcomes. See also, ‘Risk and capital management — Credit Risk’. A credit deterioration would also lead to RWA increases. Furthermore, the assumptions and judgements used in the MES and ECL assessment at 31 December 2024 may not prove to be adequate resulting in incremental ECL provisions for NWB Group. In line with certain mandated COVID-19 pandemic support schemes, NWB Group assisted customers with a number of initiatives including NWB Group’s participation in the Bounce Back Loan Scheme (‘BBLS’), the Coronavirus Business Interruption Loan Scheme (‘CBILS’) and the Coronavirus Large Business Interruption Loan Scheme (‘CLBILS’) products. NWB Group sought to manage the risks of fraud and money laundering against the need for the fast and efficient release of funds to customers and businesses. NWB Group may be exposed to fraud, conduct and litigation risks arising from inappropriate approval (or denial) of BBLS, CBILS or CLBILS or the enforcing or pursuing repayment of BBLS, CBILS and CLBILS (or a failure to exercise forbearance), which may have an adverse effect on NWB Group’s reputation and results of operations. The implementation of the initiatives and efforts mentioned above may result in litigation, regulatory and government actions and proceedings. These actions may result in judgements, settlements, penalties, fines, or removal of recourse to the government guarantee provided under those schemes for impacted loans. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group operates in markets that are highly competitive, with competitive pressures and technology disruption. NWB Group faces increasing competitive pressures and technology disruption from incumbent traditional UK banks, challenger banks and building societies (including those resulting from mergers between these entities), fintech companies, large technology conglomerates and new market entrants who could look to scale technology and/or other competitive advantages to compete with NWB Group for customer engagement. “BigTech” companies are seen as threats to incumbent banking providers because of their customer innovation and global reach. In addition, digital-first banks (often referred to as “neobanks”) and fintechs are aiming to compete with incumbent banking providers on the basis that customers increasingly use a constellation of providers to support their complex and evolving needs (e.g., personal financial management and paying for goods and services in foreign currency). NWB Group expects competition to continue and intensify in response to various trends including: evolving customer behaviour, technological changes (including digital currencies, stablecoins and the growth of digital banking), competitor behaviour, new market entrants, competitive foreign exchange offerings, industry trends resulting in increased disaggregation or unbundling of financial services or, conversely, the re- intermediation of traditional banking services, and the impact of regulatory actions, among others. In particular, NWB Group may be unable to grow or retain its market share due to new (or more competitive) banking, lending and payment products and services that are offered by rapidly evolving incumbents and challengers (including shadow banks, alternative or direct lenders and new entrants). These competitive pressures and the introduction of disruptive technology may result in a shift in customer behaviour and impact NWB Group’s revenues and profitability. Moreover, innovations in biometrics, artificial intelligence, automation, cloud services, blockchain, cryptocurrencies and quantum computing may rapidly facilitate industry transformation. Increasingly, many of NWB Group’s products and services are, and will become, more technology intensive, including through digitalisation, automation, and the use of artificial intelligence while needing to continue complying with applicable and evolving regulations. NWB Group’s ability to develop or acquire digital solutions and their integration into NWB Group’s structures, systems and controls has become increasingly important for retaining and growing NWB Group’s market share and customer- facing businesses. NWB Group’s innovation strategy, which includes investing in its IT capability to address increasing customer and merchant use of online and mobile banking technology, as well as selective acquisitions (such as fintech ventures, including Mettle, Rooster Money, Boxed and Cushon), may not be successful or may not result in NWB Group offering innovative products and services in the future. Furthermore, current or future competitors may be more successful than NWB Group in implementing technologies for delivering products or services to their customers, which may adversely affect its competitive position. In addition, continued consolidation and/or technological developments in the financial services industry could result in the emergence of new competitors or NWB Group’s competitors gaining greater capital and other resources, including the ability to offer a broader, more attractive and/or better value range of products and services and geographic diversity. For example, new market entrants, including non-traditional financial services providers, such as retail or technology conglomerates, may have competitive advantages in scale, technology and customer engagement and may be able to develop and deliver financial services at a lower cost base. NWB Group may also fail to identify future opportunities, or fail to derive benefits from technological innovation, changing customer behaviour and changing regulatory demands. Competitors may be better able to attract and retain customers and key employees, have more effective IT systems, have access to lower cost funding and/or be able to attract deposits on more favourable terms than NWB Group. Although NWB Group invests in new technologies and participates in industry and research-led technology development initiatives, such investments may be insufficient or ineffective, especially given NWB Group’s focus on business simplification and cost efficiencies. This could affect NWB Group’s ability to offer innovative products or technologies to customers. If NWB Group is unable to offer competitive, attractive and innovative products that are also profitable and released in a timely manner; it will lose market share, incur losses on some or all of its initiatives and possibly lose growth opportunities. For example, NWB Group is investing in the automation of certain solutions and interactions within its customer-facing businesses, including through artificial intelligence. There can be no certainty that such initiatives will allow NWB Group to compete effectively or will deliver the expected cost savings. In addition, the implementation of NWB Group’s strategy, delivery on its climate ambition and cost-controlling measures, may also have an impact on its ability to compete effectively and maintain satisfactory returns. Risk factors continued NWB Group Annual Report and Accounts 2024 178 Moreover, activist investors have increasingly become engaged and interventionist in recent years, which may pose a threat to NWB Group’s strategic initiatives. Some of these trends have been catalysed by various regulatory and competition policy interventions, including the UK initiative on Open Banking, ‘Open Finance’ and other remedies imposed by the Competition and Markets Authority (‘CMA’), which are designed to further promote competition within the financial sector. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group may not meet the prudential regulatory requirements for liquidity and funding or may not be able to adequately access sources of liquidity and funding, which could trigger the execution of certain management actions or recovery options. Liquidity and the ability to raise funds continues to be a key area of focus for NWB Group and the industry as a whole. NatWest Group and NWB Plc (as a member of the Domestic Liquidity sub- group) are required by regulators in the UK, the EU and other jurisdictions in which they undertake regulated activities to maintain adequate liquidity and funding resources. To satisfy its liquidity and funding requirements, NWB Group may therefore access sources of liquidity and funding through retail and wholesale deposits, as well as through the debt capital markets. As at 31 December 2024, NWB Plc held £343.1 billion in deposits from banks and customers. Level of deposits at NWB Group may fluctuate due to factors outside of its control, such as a loss of customers, loss of customer and/or investor confidence (including in individual NatWest Group entities or as a result of volatility in the financial industry), changes in customer behaviour, changes in interest rates, government support, increasing competitive pressures for retail and corporate customer deposits or the reduction or cessation of deposits by wholesale depositors, which could result in a significant outflow of deposits within a short period of time. An inability to grow, or any material decrease in NWB Group’s deposits could, particularly if accompanied by one or more of the other factors mentioned above, adversely affect NWB Group’s ability to satisfy its liquidity or funding needs, or comply with its related regulatory requirements. In turn, this could require NWB Group to adapt its funding plans or change its operations. Macroeconomic developments, political uncertainty, changes in interest rates, and market volatility could affect NWB Group’s ability to access sources of liquidity and funding on satisfactory terms, or at all. This may result in higher funding costs and failure to comply with regulatory capital, funding and leverage requirements. As a result, NWB Group could be required to change its funding plans. This could exacerbate funding and liquidity risk, which may adversely affect NWB Group. If NWB Plc’s liquidity position and/or funding were to come under stress, and if NWB Group were unable to raise funds through deposits, in the debt capital markets or through other reliable funding sources, on acceptable terms, or at all, its liquidity position would likely be adversely affected and it might be unable to meet deposit withdrawals on demand or at their contractual maturity, to repay borrowings as they mature, to meet its obligations under committed financing facilities, to comply with regulatory funding requirements, to undertake certain capital and/or debt management activities, and/or to fund new loans, investments and businesses, or make capital distributions to NatWest Group. If, under a stress scenario, the level of liquidity falls outside of NWB Group’s risk appetite, there are a range of recovery management actions that NWB Group could take to manage its liquidity levels, but any such actions may not be sufficient to restore adequate liquidity levels and the related implementation may have adverse consequences for NWB Group’s operations. Under the PRA Rulebook, NatWest Group must maintain a recovery plan acceptable to its regulator, such that a breach of NWB Group’s applicable liquidity requirements may trigger the application of NatWest Group’s recovery plan to attempt to remediate a deficient liquidity position. NWB Group may need to liquidate assets to meet its liabilities, including disposals of assets not previously identified for disposal to reduce its funding commitments or trigger the execution of certain management actions or recovery options. In a time of reduced liquidity, NWB Group may be unable to sell its assets, at attractive prices, or at all, which may have a material adverse effect on NWB Group’s liquidity. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group may not meet the prudential regulatory requirements for regulatory capital and MREL, or manage its capital effectively, which could trigger the execution of certain management actions or recovery options. NatWest Group and NWB Plc (via the Domestic Liquidity sub- group) are required by regulators in the UK, the EU and other jurisdictions in which they undertake regulated activities to maintain adequate financial resources. Adequate levels of capital provide NatWest Group (including NWB Group) with financial flexibility specifically in its core UK operations in the face of turbulence and uncertainty in the UK and the global economy. As at 31 December 2024, NWB Plc’s CET1 ratio was 11.4%. A number of subsidiaries and sub-groups within NWB Group, principally banking entities, are subject to various individual regulatory capital requirements in the UK and overseas. NatWest Group plc currently targets a CET1 ratio in the range of 13-14% by 31 December 2025. NatWest Group plc’s target CET1 ratio is based on a combination of its views on the appropriate level of capital and its actual and expected regulatory requirements and internal modelling, including stress scenarios and management’s and/or the PRA’s views on appropriate buffers above minimum required operating levels. NatWest Group’s current capital strategy for NWB Plc is based on: the expected accumulation of additional capital through the accrual of retained earnings over time; the receipt of assets and resultant RWAs from other NatWest Group entities; RWA growth in the form of regulatory uplifts and lending growth and other capital management initiatives which focus on improving capital efficiency through improved data and upstreaming of dividends from NWB Plc to NatWest Group plc and ensuring NatWest Group meets its medium to long term targets. A number of factors may impact NWB Group’s ability to maintain its CET1 ratio target and achieve its capital strategy. These include:  a depletion of its capital resources through increased costs or liabilities or reduced profits (for example, due to an increase in provisions due to a deterioration in UK economic conditions);  an increase in the quantum of RWAs/leverage exposure in excess of that expected, including due to regulatory changes (including their interpretation or application) or a failure in internal controls or procedures to accurately measure and report RWAs/leverage exposure; Risk factors continued NWB Group Annual Report and Accounts 2024 179  changes in prudential regulatory requirements including NWB Plc’s total capital requirement/leverage requirement set by the PRA, including Pillar 2 requirements, as applicable, and regulatory buffers as well as any applicable scalars;  reduced upstreaming of dividends from NWB Group plc’s subsidiaries because of changes in their financial performance and/or the extent to which local capital requirements exceed NWB Plc’s target ratio; and  limitations on the use of double leverage (i.e. NWB Group’s use of debt to invest in the equity of its subsidiaries, as a result of the BoE’s and/or NWB Group’s evolving views on distribution of capital within groups). In addition to regulatory capital, NWB Plc is required to maintain a set quantum of internal MREL set as the higher of: (i) two times the sum of Pillar 1 and Pillar 2A, or (ii) if subject to a leverage ratio requirement, two times the applicable requirement. The BoE has identified single point-of-entry at NatWest Group plc, as the preferred resolution strategy for NatWest Group. As a result, NatWest Group plc is the only entity that can externally issue securities that count towards its MREL requirements, the proceeds of which can then be downstreamed to meet the internal MREL requirements of its operating entities, including NWB Plc. NWB Plc is therefore dependent not only on NatWest Group plc to fund its internal MREL targets over time, but also on NatWest Group plc’s ability to issue and maintain sufficient amounts of external MREL liabilities to support NWB Plc. In turn, NWB Plc is required to fund the internal capital and MREL requirements of its subsidiaries. See also, ‘NWB Group is reliant on NatWest Group for capital and funding support, and is substantially reliant on NatWest Group plc’s ability to issue sufficient amounts of capital and external MREL securities and downstream the proceeds to NWB Group. The inability to do so may adversely affect NWB Group.’ If, under a stress scenario, the level of regulatory capital or MREL falls outside of NWB Group’s risk appetite, there are a range of recovery management actions (focused on risk reduction and mitigation) that NWB Group could seek to take to manage its capital levels, but any such actions may not be sufficient to restore adequate capital levels. Under the PRA Rulebook, NatWest Group must maintain a recovery plan acceptable to its regulator, such that a breach of NWB Group’s applicable capital or leverage requirements may trigger the application of NatWest Group’s recovery plan to remediate a deficient capital position. NatWest Group’s regulator may request that NWB Group carry out certain capital management actions or, if NatWest Group plc’s CET1 ratio falls below 7%, certain regulatory capital instruments issued by NatWest Group plc will be written-down or converted into equity, and there may be an issue of additional equity by NatWest Group plc, which could result in the reduction in value of the holdings of NatWest Group plc’s existing shareholders. The success of such issuances will also be dependent on favourable market conditions and NatWest Group may not be able to raise the amount of capital required on acceptable terms, or at all. Separately, NatWest Group may address a shortage of capital by taking action to reduce leverage exposure and/or RWAs via asset or business disposals. These actions may, in turn, affect: NWB Group’s product offering, credit ratings, ability to operate its businesses, pursue its strategy and strategic opportunities, any of which may adversely affect NWB Group. See also, ‘NatWest Group (including NWB Group) may become subject to the application of UK statutory stabilisation or resolution powers which may result in, for example, the write-down or conversion of NWB Group’s eligible liabilities.’; and also ‘NWB Group may be adversely affected if NatWest Group fails to meet the requirements of regulatory stress tests’. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group is reliant on NatWest Group for capital and funding support, and is substantially reliant on NatWest Group plc’s ability to issue sufficient amounts of capital and external MREL securities and downstream the proceeds to NWB Group. The inability to do so may adversely affect NWB Group. NWB Plc receives capital and funding from NatWest Group. NWB Plc has set target levels for different tiers of capital and for the internal MREL, as percentages of its RWAs. The level of capital and funding required for NWB Plc to meet its internal targets is therefore a function of the level of RWAs and its leverage exposure in NWB Plc and this may vary over time. NWB Plc’s internal MREL comprises the capital value of regulatory capital instruments and loss-absorbing senior funding issued by NWB Plc to its ultimate parent, NatWest Group plc. The BoE has identified that the preferred resolution strategy for NatWest Group is as a single point of entry at NatWest Group plc. As a result, only NatWest Group plc is able to issue Group MREL eligible liabilities to third-party investors, using the proceeds to fund the internal MREL targets and/or requirements of its operating entities, including NWB Plc. NWB Plc is therefore dependent on NatWest Group plc to fund its internal capital targets and its ability to source appropriate funding at NatWest Group plc level to support this. NWB Plc is also dependent on NatWest Group plc to fund its internal MREL target over time and its ability to raise and maintain sufficient amounts of external MREL liabilities to support this. If NatWest Group plc is unable to issue adequate levels of MREL securities such that it is unable to downstream sufficient amounts to NWB Plc, this could lead to a failure of NWB Group to meet its own individual internal MREL requirements as well as the internal MREL requirements of subsidiaries within NWB Group, which in either case may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and reputation. See also, ‘NWB Group may not meet the prudential regulatory requirements for capital and MREL, or manage its capital effectively, which could trigger the execution of certain management actions or recovery options’. Any reduction in the credit rating and/or outlooks assigned to NatWest Group plc, any of its subsidiaries (including NWB Plc or other NWB Group subsidiaries) or any of their respective debt securities could adversely affect the availability of funding for NWB Group, reduce NWB Group’s liquidity and funding position and increase the cost of funding. Rating agencies regularly review NatWest Group plc, NWB Plc and other NatWest Group entities’ credit ratings and outlooks. NWB Group entities’ credit ratings and outlooks could be negatively affected (directly and indirectly) by a number of factors that can change over time, including without limitation: credit rating agencies’ assessment of NWB Group’s strategy and management’s capability; its financial condition including in respect of profitability, asset quality, capital, funding and liquidity, and risk management practices; the level of political support for the sectors and regions in which NWB Group operates; the legal and regulatory frameworks applicable to NWB Group’s legal structure; business activities and the rights of its creditors; changes in rating methodologies; changes in the relative size of the loss-absorbing buffers protecting bondholders and depositors; the competitive environment; political, geopolitical and economic conditions in NWB Group’s key markets (including inflation and Risk factors continued NWB Group Annual Report and Accounts 2024 180 interest rates, supply chain disruptions and geopolitical developments); any reduction of the UK’s sovereign credit rating and market uncertainty. In addition, credit rating agencies are increasingly taking into account sustainability-related factors, including climate, environmental, social and governance related risk, as part of the credit rating analysis, as are investors in their investment decisions. Any reductions in the credit ratings of NatWest Group plc, NWB Plc or of certain other NatWest Group entities could significantly affect NWB Group. Adverse consequences for NWB Group from downgrades could include, without limitation, a reduction in the access to capital markets or in the size of its deposit base, and trigger additional collateral or other requirements in its funding arrangements or the need to amend such arrangements, which could adversely affect NWB Group’s liquidity and funding position, cost of funding and could limit the range of counterparties willing to enter into transactions with NWB Group on favourable terms, or at all. This may in turn adversely affect NWB Group’s competitive position and threaten its prospects. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group may be adversely affected if NatWest Group fails to meet the requirements of regulatory stress tests. NatWest Group is subject to annual and other stress tests by its regulator in the UK. Stress tests are designed to assess the resilience of banks such as NWB Group to potential adverse economic or financial developments and ensure that they have robust, forward-looking capital planning processes that account for the risks associated with their business profile. If the stress tests reveal that a bank’s existing regulatory capital buffers are not sufficient to absorb the impact of the stress, then it is possible that the NWB Group may need to take action to strengthen its capital position. Failure by NatWest Group to meet the quantitative and qualitative requirements of the stress tests as set forth by its UK regulator may result in: NatWest Group’s regulators requiring NatWest Group to generate additional capital, reputational damage, increased supervision and/or regulatory sanctions, restrictions on capital distributions and loss of investor confidence. Any of the above may have a material adverse effect on NatWest Group’s future results, financial condition, prospects, and/or reputation and, in turn, NWB Group. NWB Group could incur losses or be required to maintain higher levels of capital as a result of limitations or failure of various models. Given the complexity of NWB Group’s business, strategy and capital requirements, NWB Group relies on models for a wide range of purposes, including to manage its business, assess the value of its assets and its risk exposure, as well as to anticipate capital and funding requirements (including to facilitate NatWest Group’s mandated stress testing). In addition, NWB Group utilises models for valuations, credit approvals, calculation of loan impairment charges on an IFRS 9 basis, financial reporting and to help address financial crime (criminal activities in the form of money laundering, terrorist financing, bribery and corruption, tax evasion and sanctions as well as external or internal fraud (collectively, ‘financial crime’). NWB Group’s models, and the parameters and assumptions on which they are based, are periodically reviewed. Model outputs are inherently uncertain, because they are imperfect representations of real-world phenomena, are simplifications of complex real-world systems and processes, and are based on a limited set of observations. NWB Group may face adverse consequences as a result of actions or decisions based on models that are poorly developed, incorrectly implemented, non- compliant, outdated or used inappropriately. This includes models that are based on inaccurate or non-representative data (for example, where there have been changes in the micro or macroeconomic environment in which NWB Group operates) or as a result of the modelled outcome being misunderstood, or used for purposes for which it was not designed. This could result in findings of deficiencies by NatWest Group’s (and in particular, NWB Group’s) regulators (including as part of NatWest Group’s mandated stress testing), increased capital requirements, may render some business lines uneconomical, may require management action or may subject NWB Group to regulatory sanction, any of which in turn may also have an adverse effect on NWB Group and its customers. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group’s financial statements are sensitive to underlying accounting policies, judgements, estimates and assumptions. The preparation of financial statements requires management to make judgements, estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses, exposures and RWAs. While estimates, judgements and assumptions take into account historical experience and other factors (including market practice and expectations of future events that are believed to be reasonable under the circumstances), actual results may differ due to the inherent uncertainty in making estimates, judgements and assumptions (particularly those involving the use of complex models). Further, accounting policy and financial statement reporting requirements increasingly require management to adjust existing judgements, estimates and assumptions for the effects of climate- related, sustainability and other matters that are inherently uncertain and for which there is little historical experience which may affect the comparability of NWB Group’s future financial results with its historical results. Actual results may differ due to the inherent uncertainty in making climate-related and sustainability estimates, judgements and assumptions. Accounting policies deemed critical to NWB Group’s results and financial position, based upon materiality and significant judgements and estimates, involve a high degree of uncertainty and may have a material impact on its results. For 2024, these include loan impairments, fair value, and deferred tax. These are set out in ‘Critical accounting policies’. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. Changes in accounting standards may materially impact NWB Group’s financial results. NWB Group prepares its consolidated financial statements in conformity with the requirements of the Companies Act 2006 and in accordance with IFRS as issued by the International Accounting Standards Board. Changes in accounting standards or guidance by accounting bodies or in the timing of their implementation, whether immediate or foreseeable, could result in NWB Group having to recognise additional liabilities on its balance sheet, or in further write-downs or impairments to its assets, and could also have an adverse effect on NWB Group. Risk factors continued NWB Group Annual Report and Accounts 2024 181 From time to time, the International Accounting Standards Board may issue new accounting standards or interpretations that could materially impact how NWB Group calculates, reports and discloses its financial results and financial condition, and which may affect NWB Group capital ratios, including the CET1 ratio and the required levels of regulatory capital. New accounting standards and interpretations that have been issued by the International Accounting Standards Board but which have not yet been adopted by NWB Group are discussed in ‘Future accounting developments’. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NatWest Group (including NWB Group) may become subject to the application of UK statutory stabilisation or resolution powers which may result in, for example, the write-down or conversion of NWB Group’s eligible liabilities. The BoE, the PRA, the FCA, and HM Treasury (together, the ‘Authorities’) are granted substantial powers to resolve and stabilise UK-incorporated financial institutions. Five stabilisation options exist: (i) transfer of all of the business of a relevant entity or the shares of the relevant entity to a private sector purchaser; (ii) transfer of all or part of the business of the relevant entity to a ‘bridge bank’ wholly or partially-owned by the BoE; (iii) transfer of part of the assets, rights or liabilities of the relevant entity to one or more asset management vehicles for management of the transferor’s assets, rights or liabilities; (iv) the write-down, conversion, transfer, modification, or suspension of the relevant entity’s equity, capital instruments and liabilities; and (v) temporary public ownership of the relevant entity. These options may be applied to NatWest Group plc as the parent company or to NWB Group, as a subsidiary, where certain conditions are met (such as, whether the firm is failing or likely to fail, or whether it is reasonably likely that action will be taken (outside of resolution) that will result in the firm no longer failing or being likely to fail). Moreover, there are modified insolvency and administration procedures for relevant entities within NatWest Group, and the Authorities have the power to modify or override certain contractual arrangements in certain circumstances and amend the law for the purpose of enabling their powers to be used effectively and may promulgate provisions with retrospective applicability. Under the UK Banking Act 2009, the Authorities are generally required to have regard to specified objectives in exercising the powers provided for by the UK Banking Act 2009. One of the objectives (which is required to be balanced as appropriate with the other specified objectives) refers to the protection and enhancement of the stability of the financial system of the UK. Moreover, the ‘no creditor worse off’ safeguard provides that where certain resolution actions are taken, the Authorities are required to ensure that no creditor is in a worse position than if the bank had entered into normal insolvency proceedings. Although, this safeguard may not apply in relation to an application of the separate write-down and conversion power relating to capital instruments in circumstances where a stabilisation power is not also used, the UK Banking Act 2009 still requires the Authorities to respect the hierarchy on insolvency when using the write-down and conversion power. Further, holders of debt instruments which are subject to the power may, however, have ordinary shares transferred to or issued to them by way of compensation. Uncertainty exists as to how the Authorities may exercise their powers including the determination of actions to be undertaken in relation to the ordinary shares and other securities issued by NatWest Group (including NWB Group), which may depend on factors outside of NWB Group’s control. Moreover, the UK Banking Act 2009 provisions remain largely untested in practice, particularly in respect of resolutions of large financial institutions and groups. If NatWest Group is at or is approaching the point such that regulatory intervention is required, there may be a corresponding material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NatWest Group is subject to regulatory oversight in respect of resolution, and NWB Group could be adversely affected should the BoE in the future deem NatWest Group’s preparations to be inadequate. NatWest Group is subject to regulatory oversight by the BoE and the PRA and is required (under the PRA rulebook) to carry out an assessment of its preparations for resolution, submit a report of the assessment to the PRA, and disclose a summary of this report. NatWest Group has dedicated significant resources towards the preparation of NatWest Group for a potential resolution scenario. In August 2024, the BoE communicated its assessment of NatWest Group’s preparations and did not identify any areas for further enhancement, shortcomings, deficiencies or substantive impediments. NatWest Group, and in turn NWB, could be adversely affected should future BoE assessments deem NatWest Group’s preparations to be inadequate. If future BoE assessments identify any areas for further enhancement, shortcomings, deficiencies or substantive impediments in NatWest Group’s ability to achieve the resolvability outcomes, or reveals that NatWest Group is not adequately prepared to be resolved, or does not have adequate plans in place to meet resolvability requirements, NatWest Group may be required to take action to enhance its preparations to be resolvable, resulting in additional costs and the dedication of additional resources. Such a scenario may have an impact on NatWest Group (and NWB Group) as, depending on the BoE’s assessment, potential action may include, but is not limited to, restrictions on maximum individual and aggregate exposures, a requirement to dispose of specified assets, a requirement to change its legal or operational structure, a requirement to cease carrying out certain activities, and/or to maintain a specified amount of MREL. This may also impact NatWest Group’s (and NWB Group’s) strategic plans. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, reputation, and/or lead to a loss of investor confidence. Operational and IT resilience risk Operational risks (including reliance on third party suppliers and outsourcing of certain activities) are inherent in NWB Group’s businesses. Operational risk is the risk of loss or disruption resulting from inadequate or failed internal processes, procedures, people or systems, or from external events, including legal and regulatory risks, third party processes, procedures, people or systems. NWB Group offers a diverse range of products and services supported directly or indirectly by third party suppliers. As a result, operational risks or losses can arise from a number of internal or external factors (including for example, payment errors or financial crime and fraud), for which there is continued scrutiny by third parties of NWB Group’s compliance with financial crime requirements; see ‘NWB Group is exposed to the risks of various litigation matters, regulatory and governmental actions and investigations as well as remedial undertakings, the outcomes of which are inherently difficult to predict, and which could have an adverse effect on NWB Group.’ Risk factors continued NWB Group Annual Report and Accounts 2024 182 These risks are also present when NWB Group relies on critical service providers (suppliers) or vendors to provide services to it or its customers, as is increasingly the case as NWB Group outsources certain activities, including with respect to the implementation of technologies, innovation (such as cloud-based services and artificial intelligence) and responding to regulatory and market changes. Operational risks also exist due to the implementation of NatWest Group’s strategy, and the organisational and operational changes involved, including: NatWest Group’s cost-controlling and simplification measures; continued digitalisation and the integration of artificial intelligence in the business; acquisition, divestments and other transactions; the implementation of recommendations from internal and external reviews with respect to certain governance processes, policies, systems and controls of NatWest Group entities including with respect to customer account closures; and conditions affecting the financial services industry generally (including macroeconomic and other geopolitical developments) as well as the legal and regulatory uncertainty resulting from these conditions. Any of the above may place significant pressure on NWB Group’s ability to maintain effective internal controls and governance frameworks. NWB Group also faces operational risks as it continues to invest in the automation of certain solutions and customer interactions, including through artificial intelligence. Such initiatives may result in operational, reputational and conduct risks if the technology is not used appropriately, is defective or inadequate, or is not fully integrated into NWB Group’s current solutions, systems and controls. NWB Group increasingly provides certain shared critical services and operations, including, without limitation, property, technology, finance, accounting, treasury, legal, risk, regulatory compliance and reporting, financial crime, human resources, and certain other support and administrative functions to other entities within NatWest Group (in particular, NWM Plc) and receives income in respect of these services. As a result, NWB Group may be exposed to a loss of income if these services are not required to the same extent, or are no longer required at all. The effective management of operational risks is critical to meeting customer service expectations and retaining and attracting customer business. Although NWB Group has implemented risk controls and mitigation actions, with resources and planning having been devoted to mitigate operational risk, such measures may not be effective in controlling each of the operational risks faced by NWB Group. Ineffective management of such risks may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group is subject to sophisticated and frequent cyberattacks, and compliance with cybersecurity and data protection regulations is becoming increasingly complex. NatWest Group experiences a constant threat from cyberattacks across the entire NatWest Group (including NWB Group) and against NatWest Group and NWB Group’s supply chain networks, reinforcing the importance of the due diligence of, ongoing risk management of, and close working relationship with, the third parties on which NWB Group relies. NWB Group is reliant on technology, against which there is a constantly evolving series of attacks that are increasing in terms of frequency, sophistication, impact and severity. As cyberattacks evolve and become more sophisticated, NWB Group is required to continue to invest significant resources in additional capability designed to defend against emerging threats. Third parties continue to make hostile attempts to gain access to, introduce malware (including ransomware) into, and exploit potential vulnerabilities of, financial services institutions’ IT systems, including those of NWB Group. For example, in 2024, NWB Group and its supply chain were subjected to a small number of attempted Distributed Denial of Service and ransomware attacks. These hostile attempts were addressed without material impact on NatWest Group or its customers by deploying cybersecurity capabilities and controls that seek to manage the impact of any such attacks, and sustain availability of services for NWB Group’s customers. Consequently, NWB Group continues to invest significant resources in developing and evolving cybersecurity capabilities and controls that are designed to mitigate the potential effect of such attacks. However, given the nature of the threat, there can be no assurance that these capabilities and controls will prevent the potential adverse effect of an attack from occurring. See also, ‘NWB Group’s operations are highly dependent on its complex IT systems and any IT failure could adversely affect NWB Group.’ Any failure in NWB Group’s information and cybersecurity policies, procedures or controls, may result in significant financial losses, major business disruption, inability to deliver customer services, or loss of, or ability to access, data or systems or other sensitive information (including as a result of an outage) and may cause associated reputational damage. Any of these factors could increase costs (including costs relating to notification of, or compensation for customers, credit monitoring or card reissuance), result in regulatory investigations or sanctions being imposed, or may affect NWB Group’s ability to retain and attract customers. Regulators in the UK, US, Europe and Asia continue to recognise cybersecurity as an important systemic risk to the financial sector and have highlighted the need for financial institutions to improve their monitoring and control of, and resilience (particularly of critical services) to cyberattacks, and to provide timely reporting or notification of them, as appropriate (including, for example, the SEC cybersecurity requirements and the new EU Digital Operational Resilience Act (‘DORA’)). Furthermore, cyberattacks on NWB Group’s counterparties and suppliers may also have an adverse effect on NWB Group’s operations. Additionally, malicious third parties may induce employees, customers, third party providers or other users with access to NWB Group’s systems to wrongfully disclose sensitive information to gain access to NWB Group’s data or systems or that of NWB Group’s customers or employees. Cybersecurity and information security events can derive from groups or factors such as: internal or external threat actors, human error, fraud or malice on the part of NWB Group’s employees or third parties, including third party providers, or may result from technological failure (including defective, inadequate or inappropriately used artificial intelligence based solutions). NWB Group expects greater regulatory engagement, supervision and enforcement to continue in relation to its overall resilience to withstand IT and IT-related disruption, either through a cyberattack or some other disruptive event. Such increased regulatory engagement, supervision and enforcement is uncertain in relation to the scope, cost, consequence and the pace of change, which may have a material adverse effect on NWB Group. Due to NWB Group’s reliance on technology, the adoption of innovative solutions, the integration of automated processes and artificial intelligence in its business, and the increasing sophistication, frequency and impact of cyberattacks, such attacks may have an adverse effect on NWB Group. Risk factors continued NWB Group Annual Report and Accounts 2024 183 In accordance with applicable UK and EU data protection, and cybersecurity laws and regulations, NWB Group is required to ensure it implements timely, appropriate and effective organisational and technological safeguards against unauthorised or unlawful access to the data of NWB Group, its customers and its employees. In order to meet this requirement, NWB Group relies on the effectiveness of its internal policies, controls and procedures to protect the confidentiality, integrity and availability of information held on its IT systems, networks and devices as well as with third parties with whom NWB Group interacts. A failure to monitor and manage data in accordance with applicable requirements may result in financial losses, regulatory fines and investigations and associated reputational damage. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group’s operations and strategy are highly dependent on the accuracy and effective use of data. NWB Group relies on the availability, sourcing, and effective use of accurate and high quality data to support, monitor, evaluate, manage and enhance its operations, innovate its products offering, meet its regulatory obligations, and deliver its strategy. Investment is being made in data tools and analytics, including raising awareness around ethical data usage (for example, in relation to the use of artificial intelligence) and privacy across NWB Group. The availability and accessibility of current, complete, detailed, accurate and, wherever possible, machine-readable customer segment and sub-sector data, together with appropriate governance and accountability for data, is fast becoming a critical strategic asset, which is subject to increased regulatory focus. Failure to have or be able to access that data or the ineffective use or governance of that data could result in a failure to manage and report important risks and opportunities or satisfy customers’ expectations including the inability to deliver products and services. This could also place NWB Group at a competitive disadvantage by increasing its costs, inhibiting its efforts to reduce costs or its ability to improve its systems, controls and processes. Any of the above could result in a failure to deliver NWB Group’s strategy. These data weaknesses and limitations, or the unethical or inappropriate use of data, and/or non-compliance with data protection laws could give rise to conduct and litigation risks and may increase the risk of operational challenges, losses, reputational damage or other adverse consequences due to inappropriate models, systems, processes, decisions or other actions. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group’s operations are highly dependent on its complex IT systems and any IT failure could adversely affect NWB Group. NWB Group’s operations are highly dependent on the ability to process a very large number of transactions efficiently and accurately while complying with applicable laws and regulations. The proper functioning of NatWest Group’s (including NWB Group’s) transactional and payment systems, financial crime and fraud detection systems and controls, risk management, credit analysis and reporting, accounting, customer service and other IT systems, including cloud services providers (some of which are owned and operated by other entities in NatWest Group or third parties), as well as the communication networks between their branches and main data processing centres, is critical to NWB Group’s operations. Individually or collectively, any system failure (including defective or inadequate automated processes or artificial intelligence based solutions), loss of service availability, mobile banking disruption, or breach of data security could potentially cause significant damage to: (i) important business services across NWB Group; and (ii) NWB Group’s ability to provide services to its customers, which could result in reputational damage, significant compensation costs and regulatory sanctions (including fines resulting from regulatory investigations), or a breach of applicable regulations and could affect NWB Group’s regulatory approvals, competitive position, business and brands, which could undermine its ability to attract and retain customers and talent. NWB Group outsources certain functions as it innovates and offers new digital solutions to its customers to meet the demand for online and mobile banking. Outsourcing alongside remote working heighten the above risks. NWB Group uses IT systems that enable remote working interface with third-party systems, and NWB Group could experience service denials or disruptions if such IT systems exceed capacity or if NWB Group or a third-party system fails or experiences any interruptions, all of which could result in business and customer interruption and related reputational damage, significant compensation costs, regulatory sanctions and/or a breach of applicable regulations. In 2024, NWB Group continued to make considerable investments to further simplify, upgrade and improve its IT and technology capabilities (including migration of certain services to cloud platforms). NWB Group continues to develop and enhance digital services for its customers and seeks to improve its competitive position through integrating automated processes and artificial intelligence based solutions in its business and by enhancing controls and procedures and strengthening the resilience of services including cybersecurity. Any failure of these investment and rationalisation initiatives to achieve the expected results, due to cost challenges, poor implementation, defects or otherwise, may adversely affect NWB Group’s operations, its reputation and ability to retain or grow its customer business or adversely affect its competitive position. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group relies on attracting, retaining and developing diverse senior management and skilled personnel, and is required to maintain good employee relations. NWB Group’s success depends on its ability to attract, retain (through creating an inclusive environment), and develop highly skilled and qualified diverse personnel, including senior management, directors and key employees (including technology and data focused roles), in a highly competitive market and under internal cost efficiency pressures. NWB Group’s ability to attract, retain and develop highly skilled and qualified diverse senior management and skilled personnel may be more difficult due to cost-controlling measures, failure to pay employees competitive compensation, heightened regulatory oversight of banks and the increasing scrutiny of, and (in some cases) restrictions placed upon, employee compensation arrangements. In addition, certain economic, market and regulatory conditions and political developments may reduce the pool of candidates for key management and non-executive roles, including non-executive directors with the right skills, knowledge and experience, or may increase the number of departures of existing employees. Moreover, a failure to foster a diverse and inclusive workforce may adversely affect NWB Group’s employee engagement and the formulation and execution of its strategy, and could also have an adverse effect on its reputation with employees, customers, investors and regulators. Risk factors continued NWB Group Annual Report and Accounts 2024 184 Many of NWB Group’s employees in the UK, the Republic of Ireland and continental Europe are represented by employee representative bodies, including trade unions and works councils. Engagement with its employees and such bodies is important to NWB Group in maintaining good employee relations. Any failure to do so may adversely affect NWB Group’s ability to operate its business effectively. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. A failure in NWB Group’s risk management framework could adversely affect NWB Group, including its ability to achieve its strategic objectives. Risk management is an integral part of all of NWB Group’s activities and delivery of its long-term strategy. NatWest Group’s Enterprise-Wide Risk Management Framework sets out the approach for managing risk within the NWB Group including in relation to risk governance and risk appetite. A failure to adhere to this framework and to agreed risk appetite statements, or any material weaknesses or deficiencies in the framework’s controls and procedures, could adversely affect NatWest Group’s financial condition and strategic delivery, as well as accurate reporting of risk exposures. In addition, financial crime risk management is dependent on the use and effectiveness of financial crime assessment, systems and controls. Weak or ineffective financial crime processes and controls may risk NWB Group inadvertently facilitating financial crime which may result in regulatory investigation, sanction, litigation, fines and/or reputational damage. Financial crime continues to evolve, whether through fraud, scams, cyberattacks or other criminal activity. These risks are exacerbated as NWB Group continues to innovate its product offering and increasingly offers digital solutions to its customers, including through mobile banking. NatWest Group (including NWB Group) has made and continues to make significant, multi-year investments to strengthen and improve its overall financial crime control framework with prevention systems and capabilities, including investment in new technologies and capabilities to further enhance customer due diligence, transaction monitoring, sanctions and anti-bribery and corruption systems. Financial risk management is highly dependent on the use and effectiveness of internal stress tests and models and ineffective risk management may arise from a wide variety of factors, including lack of transparency or incomplete risk reporting, manual processes and controls, inaccurate data, inadequate IT systems, unidentified conflicts or misaligned incentives, lack of accountability control and governance, incomplete risk monitoring and management, insufficient challenges or assurance processes, or a failure to commence or timely complete risk remediation projects. Failure to manage risks effectively, or within regulatory expectations, could adversely affect NWB Group’s reputation or its relationship with its regulators, customers, shareholders or other stakeholders. NWB Group’s operations are inherently exposed to conduct risks, which include business decisions, actions or reward mechanisms that are not responsive to or aligned with NWB Group’s regulatory obligations, customers’ needs or do not reflect NWB Group’s strategy, ineffective product management, unethical or inappropriate use of data, information asymmetry, implementation and utilisation of new technologies, outsourcing of customer service and product delivery, inappropriate behaviour towards customers, customer outcomes, the possibility of mis-selling of financial products and mishandling of customer complaints. Some of these risks have materialised in the past and ineffective management and oversight of conduct risks may lead to further remediation and regulatory intervention or enforcement. NWB Group’s businesses are also exposed to risks from employee, contractor or service providers misconduct including non-compliance with policies and regulations, negligence or fraud (including financial crimes and fraud), any of which could result in regulatory fines or sanctions and serious reputational or financial harm to NWB Group. Hybrid working arrangements for NWB Group employees place heavy reliance on the IT systems that enable remote working and may place additional pressure on NWB Group’s ability to maintain effective internal controls and governance frameworks and increase operational risk. Hybrid working arrangements are also subject to regulatory scrutiny to ensure adequate recording, surveillance and supervision of regulated activities, and compliance with regulatory requirements and expectations, including requirements to: meet threshold conditions for regulated activities; ensure the ability to oversee functions (including any outsourced functions); ensure no detriment is caused to customers; and ensure no increased risk of financial crime. In addition, the UK’s Net Zero Strategy and NatWest Group’s (including NWB Group) strategy relating to climate and sustainability are important drivers as to how NWB Group integrates climate (including physical and transition risks) and other sustainability-related risks into its risk management framework and practices (including for financing activities or engaging with counterparties (including suppliers)). Furthermore, legislative and regulatory authorities are publishing expectations as to how banks should prudently manage and transparently disclose climate and other sustainability-related risks. Any failure of NWB Group to fully and timely embed climate and other sustainability-related risks into its risk management practices and framework to appropriately identify, assess, prioritise and monitor such risks may have an adverse effect on NWB Group. Similarly, if NWB Group is unable to apply the appropriate product governance processes in line with NatWest Group’s (including NWB Group) strategy and applicable legal and regulatory requirements, it may have an adverse effect on NWB Group. NWB Group seeks to embed a risk awareness culture across the organisation and has implemented policies and allocated new resources across all levels of the organisation to manage and mitigate conduct risk and expects to continue to invest in risk management, including the ongoing development of a NatWest Group risk management strategy in line with regulatory expectations. However, such efforts may not insulate NWB Group from instances of misconduct and no assurance can be given that NWB Group’s strategy and control framework will be effective. Any failure in NWB Group’s risk management framework may result in the inability to achieve its strategic objectives for its customers, employees and wider stakeholders. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group’s operations are subject to inherent reputational risk. Reputational risk relates to stakeholder and public perceptions of NWB Group arising from an actual or perceived failure to meet stakeholder or the public’s expectations, including with respect to NatWest Group’s strategy and related targets or due to any events, behaviour, action or inaction by NWB Group, its employees or those with whom NWB Group is associated. See also, ‘NWB Group’s businesses are subject to substantial regulation and oversight, which are constantly evolving and may adversely affect NWB Group.’ This includes harm to its brand, which may be detrimental to NWB Group’s business, including its ability to build or sustain business relationships with customers, stakeholders and regulators, and may cause low employee morale, regulatory censure or reduced access to, or an increase in the cost of, funding. Risk factors continued NWB Group Annual Report and Accounts 2024 185 Reputational risk may arise whenever there is, or there is perceived to be, a material lapse in standards of integrity, controls, compliance, customer or operating efficiency, or regulatory or press scrutiny, and may adversely affect NWB Group’s ability to attract and retain customers. In particular, NWB Group’s ability to attract and retain customers (particularly, corporate/institutional and retail depositors), and talent, and engage with counterparties may be adversely affected by factors including: negative public opinion resulting from the actual or perceived manner in which NWB Group or any other member of NatWest Group conducts or modifies its business activities and operations, media coverage (whether accurate or otherwise), employee misconduct, NWB Group’s financial performance, IT systems failures or cyberattacks, data breaches, financial crime and fraud, the level of direct and indirect government support, or the actual or perceived practices in the banking and financial industry in general, or a wide variety of other factors. Technologies, in particular online social networks and other broadcast tools that facilitate communication with large audiences in short timeframes and with minimal costs, may also significantly increase and accelerate the impact of damaging information and allegations. Although NWB Group has a Reputational Risk Policy and framework to identify, measure and manage material reputational risk exposures, there is a risk that it may not be successful in avoiding or mitigating damage to its business or its various brands from reputational risk. Any of the above aspects of reputational risk may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. Legal and regulatory risk NWB Group’s businesses are subject to substantial regulation and oversight, which are constantly evolving and may adversely affect NWB Group. NWB Group is subject to extensive laws, regulations, guidelines, corporate governance practice and disclosure requirements, administrative actions and policies in each jurisdiction in which it operates, which represents ongoing compliance and conduct risks. Many of these are constantly evolving and are subject to further material changes, which may increase compliance and conduct risks, particularly as the laws of different jurisdictions (including those of the EU/EEA and UK) diverge. NWB Group expects government and regulatory intervention in the financial services industry to remain high for the foreseeable future. Regulators and governments continue to focus on reforming the prudential regulation of the financial services industry and the way financial services are conducted. Measures have included: enhanced capital, liquidity and funding requirements, through initiatives such as the Basel 3.1 standards implementation (and any resulting effect on RWAs and models), the UK ring-fencing regime, the strengthening of the recovery and resolution framework applicable to financial institutions in the UK, EU and US, financial industry reforms (such as the FSMA 2023), corporate governance requirements, rules relating to the compensation of senior management and other employees, enhanced data protection and IT resilience requirements (such as DORA), financial market infrastructure reforms, enhanced regulations in respect of the provision of ‘investment services and activities’. There is also increased regulatory focus in certain areas, including conduct, model risk governance, consumer protection in retail or other financial markets (such as the FCA’s rules governing interactions with and the provision of services to retail customers, the ‘Consumer Duty’), competition and disputes regimes, anti- money laundering, anti-corruption, anti-bribery, anti-tax evasion, payment systems, sanctions and anti-terrorism laws and regulations. In addition, there is significant oversight by competition authorities. The competitive landscape for banks and other financial institutions in the UK, EU/EEA, US and Asia is rapidly changing. Recent regulatory and legal changes have resulted and may continue to result, in new market participants and changed competitive dynamics in certain key areas. Regulatory and competition authorities, including the CMA, are also looking at and focusing more on how they can support competition and innovation in digital and other markets. Future competition investigations, market reviews, or regulation of mergers may lead to the imposition of financial penalties or market remedies that may adversely affect NatWest Group’s competitive or financial position. Recent regulatory changes and heightened levels of public and regulatory scrutiny in the UK, EU and US have resulted in increased capital, funding and liquidity requirements, changes in the competitive landscape, changes in other regulatory requirements and increased operating costs, and have impacted, and will continue to impact, product offerings and business models. Moreover, uncertainties remain as to the extent to which EU/EEA laws will diverge from UK law. For example, bank regulation in the UK may diverge from European bank regulation following the enactment of the Financial Services and Markets Act 2023 (‘FSMA 2023’) and the Retained EU Law (Revocation and Reform) Act 2023. In particular, FSMA 2023 provides for the revocation of retained EU laws relating to financial services regulation, but sets out that this process will likely take a number of years and the intention is that specific retained EU laws will not be revoked until such time as replacement regulatory rules are in place. The actions taken by regulators in response to any new or revised bank regulation and other rules affecting financial services, may adversely affect NWB Group, including its business, non-UK operations, group structure, compliance costs, intragroup arrangements and capital requirements. Other areas in which, and examples of where, governmental policies, regulatory and accounting changes, and increased public and regulatory scrutiny may have an adverse effect (some of which could be material) on NWB Group include, but are not limited to:  general changes in government, regulatory, competition, or central bank policy (such as changes to the BoE levy (including as a result of the proposed Bank Resolution (Recapitalisation) Bill), or changes in regulatory regimes that may influence investor decisions in the jurisdictions in which NWB Group operates;  rules relating to foreign ownership, expropriation, nationalisation and confiscation or appropriation of assets;  increased scrutiny including from the CMA, FCA and Payment Systems Regulator (‘PSR’) for the protection and resilience of, and competition and innovation in, digital and other markets, UK payment systems (with the development of the government’s National Payments Vision and Strategy) and retail banking developments relating to the UK initiative on Open Banking, Open Finance and the European directive on payment services;  the ongoing compliance with CMA’s Market Orders including the Retail Banking Market Order 2017 and SME Undertakings;  ongoing competition litigation in the English courts around payment card interchange fees, combined with increased regulatory scrutiny (from the PSR) of the Visa and Mastercard card schemes;  increased risk of new class action claims being brought against NWB Group in the Competition Appeal Tribunal for breaches of competition law;  increased risk of legal action against NWB Group for financing or contributing to climate change and nature-related degradation;  new or increased regulations relating to customer data protection as well as IT controls and resilience, such as the India Digital Personal Data Protection Act 2023; Risk factors continued NWB Group Annual Report and Accounts 2024 186  the introduction of, and changes to, taxes, levies or fees applicable to NWB Group’s operations, changes in tax rates (including changes to the taxation of non-UK domiciled individuals), changes in the scope and administration of the Bank Levy, increases in the bank corporation tax surcharge in the UK, restrictions on the tax deductibility of interest payments or further restrictions imposed on the treatment of carry-forward tax losses that reduce the value of deferred tax assets and require increased payments of tax;  the potential introduction by the BoE of a Central Bank Digital Currency which could result in deposit outflows, higher funding costs, and/or other implications for UK banks;  regulatory enforcement in the form of PRA imposed financial penalties for failings in banks’ regulatory reporting governance and controls, and ongoing regulatory scrutiny; the PRA’s thematic reviews of the governance, controls and processes for preparing regulatory returns of selected UK banks, including NatWest Group (of which NWB Group is a part of);  changes in policy and practice regarding enforcement, investigations and sanctions, supervisory activities and reviews;  the introduction of regulatory requirements to ensure sufficient access by the general public to cash services such as branches and ATMs;  ‘Dear CEO’ and similar letters issued by supervisors and regulators from time to time;  recent or proposed US regulations around cybersecurity incidents, climate disclosures and other climate and sustainability-related rules, or greenwashing;  new or increased regulations relating to financial crime; and  any regulatory requirements relating to the use of artificial intelligence and large language models across the financial services industry (such as the European Union Artificial Intelligence Act). Any of these developments (including any failure to comply with or correctly interpret new rules and regulations) could also have an adverse effect on NWB Group’s authorisations and licences, the products and services that it may offer, its reputation and the value of its assets, NWB Group’s operations or legal entity structure, and the manner in which it conducts its business. Material consequences could arise should NWB Group be found non-compliant with these regulatory requirements. Regulatory developments may also result in an increased number of regulatory investigations and proceedings and have increased the risks relating to NWB Group’s ability to comply with the applicable body of rules and regulations in the manner and within the timeframes required. Changes in laws, rules or regulations, or in their interpretation or enforcement, or the implementation of new laws, rules or regulations, including contradictory or conflicting laws, rules or regulations by key regulators or policymakers in different jurisdictions, or failure by NWB Group to comply with such laws, rules and regulations, may adversely affect NWB Group’s business, results of operations and outlook. In addition, uncertainty and insufficient international regulatory coordination as enhanced supervisory standards are developed and implemented may adversely affect NWB Group’s reputation, ability to engage in effective business, capital and risk management planning. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. NWB Group is exposed to the risks of various litigation matters, regulatory and governmental actions and investigations as well as remedial undertakings, the outcomes of which are inherently difficult to predict, and which could have an adverse effect on NWB Group. NWB Group’s operations are diverse and complex and it operates in legal and regulatory environments that expose it to potentially significant civil actions (including those following on from regulatory sanction), as well as criminal, regulatory and governmental proceedings. NWB Group has resolved a number of legal and regulatory actions over the past several years but continues to be, and may in the future be, involved in such actions in the UK, the US, Europe, and other jurisdictions. NWB Group is, has been or will likely be involved in a number of significant legal and regulatory actions, including investigations, proceedings and ongoing reviews (both formal and informal) by governmental law enforcement and other agencies and litigation proceedings, including in relation to the setting of benchmark rates such as LIBOR and related derivatives trading, product mis- selling, customer mistreatment, anti-money laundering, antitrust, VAT recovery, record keeping, reporting, and various other issues. There is also an increasing risk of new class action claims being brought against NWB Group in the Competition Appeal Tribunal for breaches of competition law, as well as a risk of activist actions, particularly relating to climate change and sustainability-related matters. Legal and regulatory actions are subject to many uncertainties, and their outcomes, including the timing, amount of fines, damages or settlements or the form of any settlements, which may be material and in excess of any related provisions, are often difficult to predict, particularly in the early stages of a case or investigation. NWB Group’s expectation for resolution may change and substantial additional provisions and costs may be recognised in respect of any matter. For additional information relating to legal, and regulatory proceedings and matters to which NWB Group is currently exposed, see ‘Litigation and regulatory matters’ at Note 26 to the consolidated accounts. Recently resolved matters or adverse outcomes or resolution of current or future legal, regulatory or other matters, including conduct-related reviews, and redress projects, could increase the risk of greater regulatory and third-party scrutiny and/or result in future legal or regulatory actions, and could have material financial, reputational, or collateral consequences for NWB Group’s business and result in restrictions or limitations on NWB Group’s operations. These may include the effective or actual disqualification from carrying on certain regulated activities and consequences resulting from the need to reapply for various important licences or obtain waivers to conduct certain existing activities of NWB Group, which may take a significant period of time and the results and implications of which are uncertain. Disqualification from carrying on any activities, whether automatically as a result of the resolution of a particular matter or as a result of the failure to obtain such licences or waivers may have an adverse effect on NWB Group. This in turn and/or any fines, settlement payments or penalties may have an adverse effect on NWB Group. Similar consequences could result from legal or regulatory actions relating to other parts of NatWest Group. Failure to comply with undertakings made by NWB Group to its regulators may result in additional measures or penalties being taken against NWB Group. In addition, any failure to administer conduct redress processes adequately, or to handle individual complaints fairly or appropriately, could result in further claims as well as the imposition of additional measures or limitations on NWB Group’s operations, additional supervision by NWB Group’s regulators, and loss of investor confidence. Risk factors continued NWB Group Annual Report and Accounts 2024 187 Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. Changes in tax legislation (or application thereof) or failure to generate future taxable profits may impact the recoverability of certain deferred tax assets recognised by NWB Group. In accordance with the accounting policies set out in ‘Critical accounting policies’, NWB Group has recognised deferred tax assets on losses available to relieve future profits from tax only to the extent it is probable that they will be recovered. The deferred tax assets are quantified on the basis of current tax legislation and accounting standards and are subject to change in respect of the future rates of tax or the rules for computing taxable profits and offsetting allowable losses. Failure to generate sufficient future taxable profits or further changes in tax legislation or the application thereof (including with respect to rates of tax) or changes in accounting standards may reduce the recoverable amount of the recognised tax loss deferred tax assets, amounting to £333 million as at 31 December 2024. Changes to the treatment of certain deferred tax assets may impact NWB Group’s capital position. In addition, NWB Group’s interpretation or application of relevant tax laws may differ from those of the relevant tax authorities and provisions are made for potential tax liabilities that may arise on the basis of the amounts expected to be paid to tax authorities. The amounts ultimately paid may differ materially from the amounts provided depending on the ultimate resolution of such matters. Any of the above may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation. Climate and sustainability-related risks NWB Group and its Value Chain face climate and sustainability-related risks that may adversely affect NWB Group. Climate change has been identified as a source of systemic risk, with potentially severe consequences for financial institutions. The financial impacts of climate-related risks are expected to be widespread and may disrupt the orderly functioning of financial markets and have an adverse effect on financial institutions, including NWB Group. Financial and non-financial risks from climate change can arise through physical and transition risks. In addition, physical and transition risks can trigger further losses, stemming directly or indirectly from legal claims, litigation and conduct liability (referred to as ‘liability risk’). Whilst there are significant uncertainties relating to the location, magnitude and timing of climate-related physical risks, scientific research suggests physical risks may occur in increasing frequency and severity. Climate-related events like flood, wildfires and climatic changes can damage assets and disrupt operations, leading to increased costs, changes in asset values and loan defaults. Damage or disruption to NWB Group customers’ and counterparties’ (including suppliers’) properties, premises and operations could disrupt business, result in the deterioration of the value of collateral or insurance shortfalls, impair asset values and negatively impact the creditworthiness of customers and their ability and/or willingness to pay fees, afford new products or repay their debts, leading to increased default rates, delinquencies, write-offs and impairment charges in NWB Group’s portfolios. In addition, NWB Group’s premises and operations, or those of its critical outsourced functions may experience damage or disruption leading to increased costs for NWB Group. To meet the goals of the UK’s Net Zero Strategy by 2050 will require a net-zero transition across all sectors of the UK economy. The timing and pace of the transition to a net-zero economy will depend on many factors and uncertainties and may be near-term, gradual and orderly, or delayed, rapid and disorderly, or a combination of these. A transition to a net-zero economy requires significant and timely policy and regulatory changes, immediate actions from national and regional governments, new technological innovations and changes to supply and demand systems within industries. The transition to a net-zero economy may also trigger changes in consumer behaviour and market sentiment. In addition, there is significant uncertainty about how climate change and the world’s transition to a net-zero economy will unfold over time and how and when climate and other sustainability-related risks will manifest. These timeframes are considerably longer than NWB Group’s historical and current strategic, financial, resilience and investment planning horizons. NWB Group and its value chain (including its investors, customers, counterparties (including its suppliers), business partners and employees) (‘NWB Group’s Value Chain’) may face financial and non-financial risks arising from broader (i.e. non-climate-related) sustainability issues such as risks relating to nature loss (such as the loss and/or decline of the state of nature including but not limited to, the reduction of any aspect of biological diversity and other forms of environmental degradation such as air, water and land pollution, soil quality degradation and water stress). NatWest Group recognises that climate and nature-related risks are interlinked and therefore NatWest Group aims to work towards enhancing processes and capabilities to include assessments of nature-related risks and opportunities within governance, risk management and stakeholder engagement practices . Climate and nature-related risks may: – adversely affect the broader economy, influencing interest rates, inflation and growth, impacting profitability and stability; – adversely affect asset pricing and valuations of NWB Group’s own and other securities and, in turn, the wider financial system; – adversely affect economic activities directly (for example through lower corporate profitability or the devaluation of assets) or indirectly (for example through macro-financial changes); – adversely affect the viability or resilience of business models over the medium to longer term, particularly those business models most vulnerable to climate and sustainability-related risks; – trigger losses stemming directly or indirectly from liability risks and/or reputational damage, including as a result of adverse media coverage, activists, the public, NWB Group’s Value Chain associating NWB Group or its customers with adverse climate and sustainability-related issues; – adversely affect NWB Group’s ability to contribute to deliver on NatWest Group’s strategy, including achieving its climate ambitions and targets; and – exacerbate other risk categories to which NWB Group is exposed, including credit risk, operational risk (including business continuity), market risk (both traded and non-traded), liquidity and funding risk (for example, net cash outflows or depletion of liquidity buffers), reputational risk, pension risk, regulatory compliance risk and conduct risk. In addition to nature-related risks, NWB Group and NWB Group’s Value Chain may face financial and non-financial risks arising from other sustainability-related issues such as (i) risks related to social issues (including human rights), for example, negative impact on people’s standard of living and health, political and geopolitical tensions and conflict endangering people’s lives and security, displacement of communities, the violation of indigenous people’s Risk factors continued NWB Group Annual Report and Accounts 2024 188 rights, unjust working conditions and labour rights breaches (including discrimination, lack of diversity and inclusion, inequality, gender/ethnicity pay gap and payments under the minimum wage), modern slavery, accessible banking and financial inclusion, financial crime, data privacy breaches, innovation, digitalisation and AI, and lack of support for the vulnerable; and (ii) governance-related risks (including board diversity, ethical corporate culture, executive compensation and management structure). There is also growing expectation from customers, investors, policymakers, regulators and society of the need for a ‘just transition’ – in recognition that the transition to net zero should happen in a way that is as fair and inclusive as possible to everyone concerned. Although NatWest Group (including NWB Group) continues to evaluate and assess whether and, if so, how it integrates ‘just transition’ considerations into its strategy and decision-making, a failure (or perception of failure) by NatWest Group (including NWB Group) to sufficiently factor these considerations into existing products and service offerings may adversely affect NatWest Group (including NWB Group), including NatWest Group’s (including NWB Group) reputation. If NWB Group fails to identify, assess, prioritise, monitor, react to and prevent appropriately: (i) climate and sustainability-related impacts, risks and opportunities; and (ii) changing regulatory and market expectations and societal preferences that NWB Group and NWB Group’s Value Chain face, in a timely manner or at all, this may have a material adverse effect on NWB Group’s business, future results, financial condition, prospects (including cash flows, access to finance or cost of capital over the short, medium or long term), reputation or the price of its securities. NatWest Group’s strategy relating to climate change, ambitions, targets and transition plan entail significant execution and/or reputational risks and are unlikely to be achieved without significant and timely government policy, technology and customer behavioural changes. At NatWest Group’s Annual General Meeting in April 2022, ordinary shareholders passed an advisory ‘Say on Climate’ resolution endorsing NatWest Group’s previously announced strategic direction on climate change, including its ambitions to at least halve the climate impact of its financing activity by 2030, achieve alignment with the 2015 Paris Agreement and reach net zero across its financed emissions, assets under management and operational value chain by 2050. NatWest Group may also announce other climate and sustainability-related ambitions, targets and initiatives and/or retire or change existing ones. Making the changes necessary by NWB Group to contribute to achieve NatWest Group’s climate ambitions and targets and executing its transition plan, together with the active management of climate and sustainability-related risks and other regulatory, policy and market changes, is likely to necessitate material changes to NWB Group’s business, operating model, its existing exposures and the products and services NWB Group provides to its customers (potentially on accelerated timescales). NWB Group may be required to: (i) in the medium and long term significantly reduce its financed emissions and its exposure to customers that do not align with a transition to net zero or do not have a credible transition plan in place, and (ii) divest or discontinue certain activities for regulatory or legal reasons or in response to the transition to a less carbon-dependent economy. Increases in lending and financing activities may wholly or partially offset some or all these reductions, which may increase the extent of changes and reductions necessary. Making the necessary changes, or failing to make the necessary changes in a timely manner, or at all to achieve NatWest Group’s climate ambitions and targets and executing its transition plan, together with the active management of climate and sustainability-related risks and other regulatory, policy and market changes may have an adverse effect on NatWest Group and NatWest Group’s ability to achieve its climate and financial ambitions and targets, take advantage of climate change-related opportunities and generate sustainable returns. NWB Group’s ability to contribute to achieving NatWest Group’s strategy, including contributing to achieve NatWest Group’s climate ambitions and targets, will significantly depend on many factors and uncertainties beyond NWB Group’s control. These include: (i) the extent and pace of climate change, including the timing and manifestation of physical and transition risks; (ii) the macroeconomic environment; (iii) the effectiveness of actions of governments, legislators, regulators and businesses; (iv) the response of the wider society, NWB Group’s Value Chain and other stakeholders to mitigate the impact of climate and sustainability-related risks; (v) changes in customer behaviour and demand; (vi) appetite for new markets, credit appetite, concentration risk appetite, lending opportunities; (vii) developments in the available technology; (viii) the rollout of low carbon infrastructure; and (ix) the availability of accurate, verifiable, reliable, auditable, consistent and comparable data. These external factors and other uncertainties will make it challenging for NWB Group to contribute to achieving NatWest Group’s climate ambitions and targets and there is a significant risk that all or some of these ambitions and targets will not be achieved or not achieved within the intended timescales. NWB Group’s ability to contribute to achieving NatWest Group’s climate ambitions and targets depends to a significant extent on the timely implementation and integration of appropriate government policies. The UK Climate Change Committee (‘UK CCC’) 2024 Progress Report to the UK Parliament states that the UK is not on track to hit its legislated target to reduce emissions in 2030 by 68% compared to 1990 levels and only a third of the emission reductions required to achieve the UK’s 2030 target are currently covered by credible plans, with action needed across all sectors of the economy. NatWest Group’s climate ambitions are unlikely to be achieved without timely and appropriate government policy and technology developments, as well as supplier, customer and societal response required to support the transition. The UK CCC is expected to publish its Seventh Carbon Budget on 26 February 2025. NatWest Group expects this to take into account new UK policy initiatives announced by the UK government in November 2024 and NatWest Group plans to review its climate ambitions in the context of the of the UK’s Seventh Carbon Budget, once released. Climate and sustainability matters are also becoming increasingly politicised and polarised. Some of NWB Group’s customers, investors or other stakeholders may decide not to do business with NWB Group because, according to their own assessment, NatWest Group’s (including NWB Group) strategy, ambitions and targets related to climate and sustainability do not meet their expectations, either for lacking the necessary ambition or progress, or for being perceived as overly concerned about sustainability. Any delay or failure by NWB Group in putting into effect, making progress against or meeting NatWest Group’s climate and sustainability-related ambitions, targets and plans may have a material adverse effect on NWB Group’s future results, financial condition, prospects, and/or reputation and may increase the climate and sustainability-related risks NWB Group faces. Risk factors continued NWB Group Annual Report and Accounts 2024 189 There are significant limitations related to accessing accurate, reliable, verifiable, auditable, consistent and comparable climate and other sustainability-related data that contribute to substantial uncertainties in accurately modelling and reporting on climate and sustainability information, as well as making appropriate important internal decisions. Accurate assessment and reporting of climate and sustainability- related impacts, risks, opportunities and other climate and sustainability-related matters, and related metrics depends on access to accurate, reliable, verifiable, auditable, consistent and comparable data from counterparties (including suppliers), customers, or other third parties. Data of adequate quality may not be generally available or, if available, may not be accurate, reliable, verifiable, auditable, consistent, or comparable . In the absence of other sources, reporting on climate and sustainability- related matters (including reporting on NatWest Group’s (including NWB Group) financed emissions) may be based on estimated or aggregated information developed by third parties (or customers) that may be prepared in an inconsistent way using different methodologies, interpretations, or assumptions that may not be accurate for a given counterparty (including supplier) or customer. There may also be data gaps and limitations that are addressed using estimates based on assumptions about matters that are inherently uncertain or proxy data, such as sectoral averages or use of emissions estimated by a third party, again developed in a variety of ways and in some cases not in a timely manner causing data to be potentially outdated at the time when they are used. Significant risks, uncertainties and variables are inherent in the assessment, measurement and mitigation of climate and sustainability-related risks. These include data quality gaps and limitations mentioned above, as well as the pace at which climate science, greenhouse gas accounting standards and various emissions reduction solutions develop. In addition, there is significant uncertainty about how climate change and the world’s transition to a net-zero economy will unfold over time and how and when climate and sustainability-related risks will manifest. These timeframes are considerably longer than NWB Group’s historical and current strategic, financial, resilience and investment planning horizons. As a result, NWB Group’s assessment of climate and sustainability impacts, risks, opportunities and other climate and sustainability- related matters is likely to evolve and its climate and sustainability-related disclosures may be amended, updated or restated in the future as the quality and completeness of NWB Group’s data and methodologies continue to improve. These data quality challenges, gaps and limitations may also have a material impact on NWB Group’s ability to make effective business decisions about climate and sustainability-related impacts, risks, opportunities and other climate and sustainability- related matters, including risk management decisions, to comply with disclosure requirements and to monitor and report progress in meeting ambitions, targets and pathways all of which may have an adverse effect on NWB Group. Climate-related risks are challenging to model due to their forward-looking nature, the lack of and/or quality of historical testing capabilities, lack of accuracy, standardisation and incompleteness of emissions and other climate and sub-sector related data and the immature nature of risk measurement and modelling methodologies. As a result, it is very difficult to predict and model the impact of climate-related risks into precise financial and economic outcomes. The evaluation of climate-related risk exposure and the development of associated potential risk mitigation techniques also largely depend on the choice of climate scenario modelling methodology and the assumptions made which involves a number of risks and uncertainties. Accordingly, these risks and uncertainties coupled with significantly long timeframes make the outputs of climate-related risk modelling, climate-related targets (including emission reduction targets) and pathways, inherently more uncertain than outputs modelled for traditional financial planning cycles based on historical financial information. Capabilities within NWB Group to appropriately assess, model, report and manage climate and sustainability-related impacts and risks and the suitability of the assumptions required to model and manage climate and sustainability-related risks appropriately continue to develop and mature. Even when those capabilities are appropriately developed, the high level of uncertainty regarding any assumptions modelled, the highly subjective nature of risk measurement and mitigation techniques, incorrect or inadequate assumptions and judgements and data quality gaps and limitations may lead to inadequate risk management information and frameworks, or ineffective business adaptation or mitigation strategies or regulatory non-compliance. Any of the above may have a material adverse effect on NWB Group’s business, future results, financial condition, prospects, reputation and the price of its securities. NWB Group is becoming subject to more extensive, and sophisticated climate and other sustainability-related laws, regulation and oversight and there is an increasing risk of regulatory enforcement, investigation and litigation. NWB Group and its subsidiaries are increasingly becoming subject to more extensive, and sophisticated sustainability-related laws and regulations in the UK, EU and the US, including in relation to mandatory climate and other sustainability reporting and due diligence, climate transition plan, product labelling and combatting “greenwashing”. Compliance with these complex, evolving and often diverging legal, regulatory and supervisory requirements and voluntary standards and initiatives is likely to require NWB Group to implement significant changes to its business models, IT systems, products, governance, internal controls over financial and non- financial reporting, disclosure controls and procedures, modelling capability and risk management systems, which may increase the cost of doing business, result in higher capital requirements, and entail additional change risk and increased compliance, regulatory sanctions, conduct and litigation (including settlements) costs. A failure by NWB Group or any of its subsidiaries to comply with these climate and sustainability-related legal, regulatory and supervisory requirements and standards and meet expectations of NWB Group’s Value Chain in this respect may result in investigations and regulatory sanction each of which may have an adverse effect on NWB Group and the successful implementation of NatWest Group’s (including NWB Group) strategy relating to climate and sustainability. Certain non-UK subsidiaries of NWB Group in the EU and elsewhere may also be subject to EU, national and other climate and sustainability laws and regulations which in some cases may differ. Divergence between UK, EU, US and other climate and sustainability-related legal, regulatory and supervisory requirements and their interpretation may increase the cost of doing business (including increased operating costs) and may result in regulatory non-compliance and litigation risk. Failure by NWB Group to comply with these divergent legal, regulatory and supervisory requirements (if applicable to NWB Group) may have an adverse effect on NWB Group’s ability to contribute to the successful implementation of NatWest Group’s strategy relating to climate change including when contributing to setting up NatWest Group’s climate ambitions and targets and to executing NatWest Group’s transition plan and may result in NWB Group and/or its subsidiaries not meeting investors’ expectations. Risk factors continued NWB Group Annual Report and Accounts 2024 190 Increasing new climate and sustainability-related jurisprudence, laws and regulations in the UK and other jurisdictions, regulatory scrutiny, expose financial institutions, including NWB Group, to face increasing litigation, conduct, enforcement and contract liability risks related to climate change, nature-related degradation, human rights violations and other social, governance and sustainability-related issues. Furthermore, regulatory and enforcement activity around climate and sustainability initiatives that promote more extensive sustainability-related requirements and those that impose divestment and other sanctions against financial institutions that implement climate and sustainability- related initiatives is becoming increasingly divergent and conflicting between jurisdictions, in particular in the United States. Any failure of NWB Group to develop and implement robust and effective governance, controls and procedures over climate and sustainability-related impact assessment, disclosure, reporting and other communications and sustainability-related claims (including in relation to NWB Group’s products, services and strategy) and comply with them in line with applicable legal and regulatory requirements and expectations, may give rise to increased complaints, regulatory enforcement (including sanctions), investigation and litigation and may adversely affect NWB Group’s regulatory compliance, investor base and reputation. Furthermore, there is a risk that shareholders, campaign groups, customers and activist groups could seek to take legal action against NWB Group for financing or contributing to actual or perceived harm to the environment or people, climate change, nature-related degradation and human rights violations, failure to implement or follow adequate governance procedures and for not supporting the principles of ‘just transition’ (i.e. maximising the social benefits of the transition, mitigating the social risks of the transition, empowering those affected by the change, anticipating future shifts to address issues up front and mobilising investments from the public and private sectors). Any of the above may have a material adverse effect on NWB Group’s business, future results, financial condition, prospects, reputation and the price of its securities. Forward-looking statements NWB Group Annual Report and Accounts 2024 191 Cautionary statement regarding forward-looking statements This document may include forward-looking statements within the meaning of the United States Private Securities Litigation Reform Act of 1995, such as statements with respect to NWB Group’s financial condition, results of operations and business, including its strategic priorities, financial, investment and capital targets, and climate and sustainability related targets, commitments and ambitions described herein. Statements that are not historical facts, including statements about NWB Group’s beliefs and expectations, are forward-looking statements. Words such as ‘expect’, ‘estimate’, ‘project’, ‘anticipate’, ‘commit’, ‘believe’, ‘should’, ‘intend’, ‘will’, ‘plan’, ‘could’, ‘target’, ‘goal’, ‘objective’, ‘may’, ‘outlook’, ‘prospects’ and similar expressions or variations on these expressions are intended to identify forward-looking statements. In particular, this document may include forward-looking statements relating, but not limited to: NWB Group’s economic and political risks, 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 NatWest Group’s strategy, its climate and sustainability related ambitions and targets, its access to adequate sources of liquidity and funding, 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. 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, 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, legislative, political, fiscal and regulatory developments, accounting standards, competitive conditions, technological developments, interest and exchange rate fluctuations, and general economic and political conditions, exposure to third party risk, operational risk, compliance and conduct risk, cyber, data and IT risk, financial crime risk, key person risk, credit rating risk, model risk, reputational risk, 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 the NWB Group's actual results are discussed in the NWB Plc's 2024 Annual Report and Accounts. The forward-looking statements contained in this document speak only as of the date of this document and NWB 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.

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