<SEC-DOCUMENT>0001654954-23-001838.txt : 20230217
<SEC-HEADER>0001654954-23-001838.hdr.sgml : 20230217
<ACCEPTANCE-DATETIME>20230217065534
ACCESSION NUMBER:		0001654954-23-001838
CONFORMED SUBMISSION TYPE:	6-K
PUBLIC DOCUMENT COUNT:		1
CONFORMED PERIOD OF REPORT:	20230217
FILED AS OF DATE:		20230217
DATE AS OF CHANGE:		20230217

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			NatWest Group plc
		CENTRAL INDEX KEY:			0000844150
		STANDARD INDUSTRIAL CLASSIFICATION:	COMMERCIAL BANKS, NEC [6029]
		IRS NUMBER:				000000000
		STATE OF INCORPORATION:			X0
		FISCAL YEAR END:			1231

	FILING VALUES:
		FORM TYPE:		6-K
		SEC ACT:		1934 Act
		SEC FILE NUMBER:	001-10306
		FILM NUMBER:		23640251

	BUSINESS ADDRESS:	
		STREET 1:		GOGARBURN
		STREET 2:		PO BOX 1000
		CITY:			EDINBURGH, SCOTLAND
		STATE:			X0
		ZIP:			EH12 1HQ
		BUSINESS PHONE:		441315568555

	MAIL ADDRESS:	
		STREET 1:		GOGARBURN
		STREET 2:		PO BOX 1000
		CITY:			EDINBURGH, SCOTLAND
		STATE:			X0
		ZIP:			EH12 1HQ

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	ROYAL BANK OF SCOTLAND GROUP PLC
		DATE OF NAME CHANGE:	19950712
</SEC-HEADER>
<DOCUMENT>
<TYPE>6-K
<SEQUENCE>1
<FILENAME>a2363q.htm
<DESCRIPTION>ANNUAL FINANCIAL REPORT - NATWEST GROUP PLC
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FORM 6-K</font></div>
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SECURITIES AND EXCHANGE COMMISSION</font></div>
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Washington D.C. 20549</font></div>
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of the Securities Exchange Act of 1934</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">For
February 17, 2023</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">Commission
File Number: 001-10306</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group plc</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">RBS,
Gogarburn, PO Box 1000</font></div>
<div style="text-align: center; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Edinburgh
EH12 1HQ</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">(Address
of principal executive offices)</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">Indicate
by check mark whether the registrant files or will file annual
reports under cover of Form 20-F or Form 40-F.</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;&#xA0;&#xA0;Form
20-F <font style="text-decoration: underline">X</font> Form 40-F
___</font></div>
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Exchange Act of 1934.</font></div>
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No <font style="text-decoration: underline">X</font></font></div>
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The following information was issued as&#xA0;Company announcements
in London, England and is furnished pursuant to General Instruction
B to the General Instructions to Form
6-K:</font>&#xA0;</font></div>
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<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
NatWest Group plc 17 February 2023</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
Annual Report and Accounts 2022</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
Pillar 3 Report 2022</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px"><font style="color: #333333">
A copy of the Annual Report and Accounts</font> 2022 for Group plc
will shortly be <font style="color: #333333">submitted to the
National Storage Mechanism and will be available for inspection
at</font> <font style="text-decoration: underline; color: #0000FF">https://data.fca.org.uk/#/nsm/nationalstoragemechanism</font><font style="color: #0000ED">.</font>
<font style="color: #333333">The document will be available on
NatWest Group plc&#x2019;s website at</font><font style="color: #0000ED">&#xA0;</font><font style="text-decoration: underline; color: #0000FF">https://investors.natwestgroup.com/reports-archive</font><font style="color: #0000ED">&#xA0;</font></font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
A printed version will be mailed to shareholders who have opted for
a hard copy ahead of the Annual General Meeting for which formal
Notice will be given in due course.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
We have also published the 2022 Pillar 3 report, available on our
website. For further information, please contact:</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
Media Relations</font></div>
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<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
+44 (0) 131 523 4205</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
Investors Alexander Holcroft</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
Investor Relations</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
+44 (0) 207 672 1758</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #333333; font-family: Times New Roman; font-size: 13px">
For the purpose of compliance with the Disclosure Guidance and
Transparency Rules, this announcement also contains risk factors
and details of related party transactions extracted from the Annual
Report and Accounts 2022 in full unedited text. Page references in
the text refer to page numbers in the Annual Report and Accounts
2022.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #42145F; font-family: Times New Roman; font-size: 13px">
Principal Risks and Uncertainties</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Set out
below are certain risk factors that could adversely affect NatWest
Group&#x2019;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 sections 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 NatWest
Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; color: #42145F; font-family: Times New Roman; font-size: 13px">
Economic and political risk</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px"><a name="_Hlk117166006"><!--anchor--></a><font style="color: #5E10B1">NatWest Group, its customers and its
counterparties face continued</font> <font style="color: #5E10B1">economic and political risks and uncertainties in
the UK and global markets, including as a result of high inflation
and rising interest rates, supply chain disruption and the Russian
invasion of Ukraine.</font></font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group is affected by global economic and market conditions.
Uncertain and volatile economic conditions can create a challenging
operating environment for financial services companies such as
NatWest Group. The outlook for the global economy has many
uncertainties including: falling economic activity, high inflation,
rising interest rates, elevated energy prices and higher
cost-of-living, supply chain disruption, changes to monetary and
fiscal policy, and the impact of armed conflict (in particular the
Russian invasion of Ukraine).</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">These
conditions, including the current cost-of-living crisis, could be
worsened by a number of factors including: instability in the
global financial system, market volatility and change, fluctuations
in the value of the pound sterling, new or extended economic
sanctions, the ongoing effects of the COVID-19 pandemic, economic
volatility in emerging markets, volatility in commodity prices or
concerns regarding sovereign debt or sovereign credit ratings.
<font style="color: #0070C0">&#xA0;</font>Economic conditions may
also be affected by the changing demographics in the markets that
NatWest Group serves,<font style="color: #0070C0">&#xA0;</font>increasing social and other
inequalities, or rapid changes to the economic environment due to
the adoption of technology, automation and artificial intelligence,
or due to climate change, environmental degradation, biodiversity
loss and/or other sustainability risks.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group is also exposed to risks arising out of geopolitical events
or political developments, such as exchange controls and other
measures taken by sovereign governments that may hinder economic or
financial activity levels. Unfavourable political, military or
diplomatic events, increasing geopolitical tensions leading to
armed conflict, protectionist policies or trade barriers, secession
movements or the exit of other member states from the EU, changes
to monetary and fiscal policy, new and widespread public health
crises (including any epidemics or pandemics), state and privately
sponsored cyber and terrorist acts or threats, and the responses to
each of the above economic, political or other scenarios by various
governments and markets, could negatively affect the business and
performance of NatWest Group, including as a result of the indirect
impact on regional or global trade and/or NatWest Group&#x2019;s
customers and counterparties.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The UK
experienced significant political uncertainty in 2022 that may
persist into the foreseeable future. This could lead to a loss of
confidence in the UK, that could in turn, negatively impact
companies operating in the UK. NatWest Group also faces political
uncertainty in Scotland as a result of a possible second Scottish
independence referendum. Independence may adversely affect NatWest
Group both in relation to entities incorporated in Scotland and in
other jurisdictions. Any changes to Scotland&#x2019;s relationship
with the UK or the EU may adversely affect the environment in which
NatWest Group and its subsidiaries operate and may require further
changes to NatWest Group, independently or in conjunction with
other mandatory or strategic structural and organisational changes,
any of which could adversely affect NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
COVID-19 pandemic prompted many changes that may prove to be
permanent shifts in customer behaviour and economic activity, such
as changes in spending patterns and significantly more people
working in a more flexible manner. These changes may affect asset
prices, the economic environment, and NatWest Group&#x2019;s
customers&#x2019; and counterparties&#x2019; financial performance
and needs. In response to the COVID-19 pandemic, central banks,
governments, regulators, and legislatures in the UK and elsewhere
offered unprecedented levels of support and various schemes to
assist businesses and individuals, many of which have since been
curtailed or withdrawn. However, risks remain as to whether these
loans will be repaid.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
value of NatWest Group&#x2019;s own and other securities may be
materially affected by market risk, including as a result of market
fluctuations. Market volatility, illiquid market conditions and
disruptions in the credit markets may make it extremely difficult
to value certain of NatWest Group&#x2019;s own and other securities,
particularly during periods of market displacement. This could
cause a decline in the value of NatWest Group&#x2019;s own and other
securities, which may have an adverse effect on NatWest
Group&#x2019;s results of operations in future periods, or
inaccurate carrying values for certain financial
instruments.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
addition, financial markets are susceptible to severe events
evidenced by 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 on a large
scale, increasing NatWest Group&#x2019;s counterparty risk. NatWest
Group&#x2019;s risk management and monitoring processes seek to
quantify and mitigate NatWest Group&#x2019;s exposure to more
extreme market moves. However, market events have historically been
difficult to predict, and NatWest Group, its customers and its
counterparties could realise significant losses if extreme market
events were to occur.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Any of
the above may adversely affect NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
Changes in interest rates have significantly affected, and will
continue to affect, NatWest Group&#x2019;s business and
results.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;s performance is affected by changes in interest rates.
Benchmark overnight interest rates, such as the UK base rate,
increased in 2022 and are expected to continue to rise in the
short-term accompanied by quantitative tightening. However, forward
rates at 31 December 2022 suggested interest rates may fall again
in the medium-term.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Stable
interest rates support predictable income flow and less volatility
in asset and liability valuations, although persistently low and
negative interest rates, such as those experienced during the
COVID-19 pandemic, are generally expected to be less favourable for
banks.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">For
NatWest Group, persistently low interest rates may reduce the yield
on its lower interest income.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Volatility
in interest rates may also result in unexpected outcomes both for
interest income and asset and liability valuations which may
adversely affect NatWest Group. For example, unexpected movements
in spreads between key benchmark rates such as sovereign and swap
rates in turn affect liquidity portfolio valuations. Finally, sharp
unexpected rises in rates may also have negative impacts on some
asset and derivative valuations, for example. Any of the above may
have an adverse effect on NatWest Group&#x2019;s future results,
financial condition and/or prospects.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Movements
in interest rates also influence and reflect the macro-economic
situation more broadly, affecting factors such as business and
consumer confidence, property prices, default rates on loans and
other indicators that may indirectly affect NatWest Group and may
adversely affect its future results, financial condition and/or
prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
Fluctuations in currency exchange rates may adversely affect
NatWest Group&#x2019;s results and financial condition.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Decisions
of central banks (including the Bank of England, the European
Central Bank and the US Federal Reserve) and political or market
events, which are outside NatWest Group&#x2019;s control, may lead
to sharp and sudden fluctuations in currency exchange
rates.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Although
NatWest Group is principally a UK focused banking group, it is
subject to structural foreign exchange risk from capital deployed
in NatWest Group&#x2019;s foreign subsidiaries, branches and other
strategic equity shareholdings. NatWest Group also relies on
issuing securities in non-sterling currencies that assist in
meeting NatWest Group&#x2019;s MREL. NatWest Group conducts banking
activities in non-sterling currencies (for example, loans, deposits
and dealing activity) which affects its revenue and also uses
service providers based outside of the United Kingdom for certain
services and as a result certain operating results are subject to
fluctuations in currency exchange rates.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group maintains policies and procedures designed to manage the
impact of exposures to fluctuations in currency exchange rates.
Nevertheless, changes in currency exchange rates, particularly in
the sterling-US dollar and euro-sterling rates, may adversely
affect various factors including, the value of assets, liabilities
(including the total amount of MREL-eligible instruments), foreign
exchange dealing activity, income and expenses, RWAs and hence the
reported earnings and financial condition of NatWest
Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px"><font style="color: #5E10B1">
Continuing uncertainty regarding the</font> <font style="color: #5E10B1">effects and extent of the UK&#x2019;s post Brexit
divergence from EU laws and regulation, and NatWest Group&#x2019;s
post Brexit EU operating model may adversely affect NatWest Group
and its operating environment.</font></font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The UK
ceased to be a member of the EU and the European Economic Area
(&#x2018;EEA&#x2019;) on 31 January 2020 (&#x2018;Brexit&#x2019;) and
the 2020 EU-UK Trade and Cooperation Agreement (&#x2018;TCA&#x2019;)
ended the transition period on 31 December 2020. The TCA was
accompanied by a Joint Declaration on financial services which sets
out an intention for the EU and UK to cooperate on matters of
financial regulation and to agree a Memorandum of Understanding
(&#x2018;MoU&#x2019;), which remains unsigned. Certain aspects of the
services provided by NatWest Group are therefore subject to
obtaining local licences or are subject to individual equivalence
decisions (temporary or otherwise) by relevant regulators. The
EU&#x2019;s equivalence regime does not cover most lending and
deposit taking, and determinations in respect of non-EU countries
have not, to date, covered the provision of most financial
investment services. In addition, equivalence determinations do not
guarantee permanent access rights and can be withdrawn with short
notice. In late 2021 the European Commission proposed legislation
that would require non-EU firms to establish a branch or subsidiary
in the EU before providing &#x2018;banking services&#x2019; in the
EU. If these proposals become law all &#x2018;banking
services&#x2019; will be licensable activities in each EU member
state and member states will not be permitted to offer bilateral
permissions to financial institutions outside the EU allowing them
to provide &#x2018;banking services&#x2019; in the EU. Uncertainty
remains as to whether &#x2018;banking services&#x2019; will also
include investment products.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group continues to evaluate its post Brexit EU operating model,
making adaptations as necessary. NatWest Group also continues to
assess where NatWest Group companies can obtain bilateral
regulatory permissions to facilitate intragroup transactions and/or
to permit business to continue from its UK entities, transferring
what cannot be continued to be rendered from the UK to an EEA
subsidiary or branch where permitted or commercially reasonable to
do so. Where these regulatory permissions are temporary or are
withdrawn, a different approach may need to be taken or may result
in a change in operating model or some business being ceased. Not
all NatWest Group entities have applied for bilateral regulatory
permissions and instead conduct EEA business through an EEA
licensed subsidiary or branch. Certain permissions are required in
order to maintain the ability to clear euro payments. Other
permissions, including the ability to have two intermediate EU
parent undertakings, may need to be obtained, and structural
changes may need to be made, to allow NatWest Group to continue to
serve EEA customers from both the ring-fenced and non-ring-fenced
banking entities. Any failure to obtain such permissions or make
such structural changes in a timely manner, or at all, could
adversely affect NatWest Group and the EEA customers it serves.
Furthermore, transferring business to an EEA based subsidiary is a
complex exercise and involves legal, regulatory and execution
risks, and could result in a loss of business and/or customers or
higher than anticipated costs. The changes to NatWest Group&#x2019;s
operating model have been costly and failure to receive the
requested regulatory permissions and/or further changes to its
business operations, product offering and customer engagement could
result in further costs and/or regulatory sanction.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
long-term effects of Brexit and the uncertainty regarding NatWest
Group&#x2019;s EU operating model may adversely affect NatWest Group
and its customers and counterparties who are themselves dependent
on trading with the EU or personnel from the EU. The long-term
effects of Brexit may also be exacerbated by wider UK and global
macroeconomic trends and events.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Uncertainties
remain as to the extent to which EU/EEA laws will diverge from UK
law.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">For
example, bank regulation in the UK may diverge from European bank
regulation if the Financial Services and Markets Bill
(&#x2018;FSM&#x2019;) is enacted into law. The UK government has also
proposed legislation to introduce automatic &#x2018;sunset&#x2019;
clauses for retained EU law by the end of 2023 (the Retained EU Law
(Revocation and Reform) Bill 2022), which if enacted could
potentially cause market disruption and require additional
resources to manage the legal and regulatory consequences. NatWest
Group may not be able to respond to these changes effectively, in a
timely manner, or at all. The actions taken by regulators in
response to any new or revised bank regulation and other rules
affecting financial services, may adversely affect NatWest Group,
including its business, non-UK operations, group structure,
compliance costs, intragroup arrangements and capital
requirements.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
HM Treasury (or UKGI on its behalf) could exercise a significant
degree of influence over NatWest Group and further offers or sales
of NatWest Group&#x2019;s shares held by HM Treasury may affect the
price of NatWest Group securities.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In its
March 2021 Budget, the UK Government announced its intention to
carry out a programme of sales of NatWest Group plc ordinary shares
with the objective of selling all of its remaining shares in
NatWest Group plc by 2026. NatWest Group plc has: (i) carried out
directed buybacks of NatWest Group plc ordinary shares from UK
Government Investments Limited (&#x2018;UKGI&#x2019;) in March 2021
and in March 2022, (ii) carried out sales of NatWest Group plc
shares by UKGI by accelerated bookbuild in May 2021 and (iii) made
purchases under NatWest Group plc&#x2019;s directed and on-market
buyback programmes announced in July 2021 and in March 2022. As at
17 January 2023, the UK Government held 44.98% of the ordinary
share capital with voting rights of NatWest Group plc. NatWest
Group may participate in similar directed or on-market buybacks in
the near- and medium-term future. The precise timing and extent of
further UKGI&#x2019;s sell-downs is uncertain, which could result in
a prolonged period of price volatility for NatWest Group
plc&#x2019;s ordinary shares and other securities.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Any
offers or sales of a substantial number of ordinary shares in
NatWest Group plc by UKGI, market expectations about these sales
and any associated directed, on or off market buyback activity by
NatWest Group, could affect the prevailing market price for the
outstanding ordinary shares of NatWest Group plc which may have an
adverse effect on NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">HM
Treasury has indicated that it intends to respect the commercial
decisions of NatWest Group and that NatWest Group will continue to
have its own independent board of directors and management team
determining its own strategy. However, for as long as HM Treasury
remains NatWest Group plc&#x2019;s largest single shareholder, HM
Treasury and UKGI (as manager of HM Treasury&#x2019;s shareholding)
could exercise a significant degree of influence over NatWest Group
including: the election of directors and appointment of senior
management, NatWest Group&#x2019;s capital strategy, dividend
policy, remuneration policy or the conduct of NatWest Group&#x2019;s
operations. HM Treasury or UKGI&#x2019;s approach depends on
government policy, which could change.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
manner in which HM Treasury or UKGI exercises HM Treasury&#x2019;s
rights as NatWest Group&#x2019;s largest single shareholder 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, which may in turn adversely affect NatWest
Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; color: #42145F; font-family: Times New Roman; font-size: 13px">
Strategic risk</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group continues to implement its purpose-led strategy,
which carries significant execution and operational risks and may
not achieve its stated aims and targeted outcomes.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group continues to implement its purpose-led strategy, which is
designed to champion potential and to help individuals, families
and businesses to thrive. NatWest Group&#x2019;s strategy is
intended to reflect the rapidly shifting environment and backdrop
of unprecedented disruption in society driven by technology and
changing customer expectations, as accelerated by the COVID-19
pandemic. Further, shifting trends include digitalisation,
decarbonisation, automation, e-commerce and hybrid working, each of
which has resulted in significant market volatility and change.
There is also increased investor, employee, stakeholder, regulatory
and customer scrutiny regarding how businesses address these
changes and related climate change, biodiversity and other
sustainability issues, including tackling inequality, working
conditions, workplace health, safety and wellbeing, diversity and
inclusion, data protection and management, workforce management,
human rights and supply chain management.<font style="color: #FF0000">&#xA0;</font></font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
recent years, as part of its purpose-led strategy, NatWest Group
has refocused its NatWest Markets business, and has also created
the Commercial &amp; Institutional business segments. The
Commercial &amp; Institutional business segment combined the
pre-existing Commercial, NatWest Markets and RBS International
businesses to form a single business segment, which focuses on
serving Commercial &amp; Institutional customers. The Commercial
&amp; Institutional business segment is intended to allow closer
operational and strategic alignment to support growth, with
increased levels of services being provided between NatWest Group
entities, with the potential increased risk of breach of the UK
ring-fencing regime requiring effective conflicts of interest
policies.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Many
factors may adversely impact the successful implementation of
NatWest Group&#x2019;s purpose-led strategy, including:</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">&#xA0;
<font style="font-size: 13px">-</font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">macroeconomic
challenges including rising inflation and interest rates and
falling economic activity which may adversely affect economic
growth and which could in turn impact certain strategic initiatives
and new venture opportunities for NatWest Group;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">an internal culture
shift across NatWest Group as to how NatWest Group conducts its
business to strive towards NatWest Group&#x2019;s One Bank
strategy;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">maintaining
effective governance, procedures, systems and controls giving
effect to the purpose-led strategy whilst also managing emerging
climate, ESG and other sustainability-related risks and
opportunities;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">achieving a number
of financial, capital and operational targets and expectations,
both for the short term and throughout the implementation
period;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">cost-controlling
measures, which may result in material one-off provisions to lower
the NatWest Group cost base, may divert investment from other
areas, and may vary considerably from year to year;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">lower customer
confidence and confidence from the wider market, which may result
in a decrease of customer activity and related income
levels;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">changes in the
economic, political and regulatory environment in which NatWest
Group, its customers and its counterparties operate, regulatory
uncertainty and changes, strong market competition and industry
disruption and economic volatility; and</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">any economic
downturn which may adversely affect the strategy as certain
initiatives depend on achieving growth in new ventures and
opportunities for NatWest Group.</font></div>
</div>
</div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="margin-left: 0px; margin-right: 0px; text-indent: 0px">
<div>
<table cellpadding="0" cellspacing="0" style="width: 100%; font-family: Times New Roman; font-size: 13px">
<tr style="background-color: #ffffff">
<td style="vertical-align: top; width: 100%">
<div style="text-align: left; margin-left: 12px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; color: #FFFFFF; font-family: Times New Roman; font-size: 13px">
Additional information</font></div>
</td>
</tr></table>
</div>
</div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
pursuing its purpose-led strategy, NatWest 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; or (iii) realise the intended strategic objectives of any
other future strategic or growth initiative. The scale and scope of
its 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,
internal culture, conduct and people risks to NatWest Group.
Implementing many changes and strategic actions concurrently,
including in respect of any growth initiatives, will require
application of robust governance and controls frameworks and robust
IT systems; there is a risk that NatWest Group may not be
successful in these respects. The implementation of the purpose-led
strategy and any other strategic initiatives could result in
materially higher costs than initially contemplated (including due
to material uncertainties and factors outside of NatWest
Group&#x2019;s control) and may not be completed as planned, or at
all, or could be phased or could progress in a manner other than
currently expected. This could lead to additional management
actions by NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Each of
these risks, and others identified in these Risk Factors,
individually or collectively could jeopardise the implementation
and delivery of the purpose-led strategy and other strategic
initiatives, result in higher than expected costs, impact NatWest
Group&#x2019;s products and services offering, its reputation with
customers or business model and adversely affect NatWest
Group&#x2019;s ability to deliver its strategy and meet its targets
and guidance, each of which could adversely affect NatWest
Group&#x2019;s future results, financial condition and/or
prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
Future acquisitions or divestments by NatWest Group may not be
successful, and consolidation or fragmentation of the financial
services industry may adversely affect NatWest Group.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
financial services industry is experiencing continued competitive
pressure with technological advancement disrupting traditional
business models. In order to compete effectively, NatWest Group may
decide, as part of its purpose-led strategy, to undertake
divestments, restructurings or reorganisations.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Conversely,
it may decide to grow its business through acquisitions, joint
ventures, investments and/or strategic partnerships as well as
other transactions and initiatives to: (i) enhance capabilities
that may lead to better productivity or cost efficiencies; (ii)
acquire talent; (iii) pursue new products or expand existing
products; or (iv) enter new markets or enhance its presence in
existing markets.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">There
are risks that NatWest Group may not fully realise the expected
benefits and value from these transactions and initiatives in the
time, or to the degree, anticipated, or at all. In particular,
NatWest Group may: (i) fail to realise the business rationale for
the transaction or initiative, or assumptions underlying the
business plans supporting the valuation of a target business may
prove inaccurate, for example, regarding synergies and expected
commercial demand; (ii) fail to successfully integrate any acquired
businesses (including in respect of technologies, existing
strategies, products 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 at
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 may not be successful in growing its
business through divestments, restructurings, reorganisations or
acquisitions, and initiatives and any particular transaction may
not succeed, may be limited in scope or scale (including due to
NatWest Group&#x2019;s current ownership structure) and may not
conclude on the terms contemplated, or at all. Any of the above may
adversely affect NatWest Group&#x2019;s future results, financial
condition and/or prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Continued
competitive pressure in the financial services industry, including
from technology companies, may have a negative impact on NatWest
Group&#x2019;s business. If NatWest Group Commercial &amp;
Institutional customers merge or are acquired by other entities
that are not NatWest Group customers, this may also lead to losses
for NatWest Group. Existing larger banks or financial institutions
(and those that emerge from mergers and consolidations) may have
more bargaining power in negotiations than NatWest Group. Each of
these developments may adversely affect NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group&#x2019;s phased withdrawal from the Republic of
Ireland present various risks.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;s phased withdrawal from ROI continues to present
significant<font style="font-weight: bold">&#xA0;</font>commercial,
operational, reputational, legal and execution risks. In
particular, the phased withdrawal from ROI requires transfers of
business, assets and liabilities to third parties, and entails many
risks, the most significant of which include: (i) anticipated
reductions in net income, total lending and RWAs; (ii) potential
stranded capital or an inability to return capital from Ulster Bank
Ireland DAC to its parent; (iii) the diversion of management
resources and attention away from day-to-day management; (iv) the
recognition of disposal losses as part of the orderly run-down of
certain loan portfolios which may be higher than anticipated; (v)
execution risks arising from the significant uncertainties of a
phased withdrawal, including the additional IT and operational
expense and resource required to mitigate manual and limited
customer switching and handling processes of Ulster Bank Ireland
DAC, potential counterparties and other banks; (vi) customer action
or inaction, or the inability to obtain necessary approvals and/or
support from governmental authorities, regulators, trade unions
and/or other stakeholders resulting in additional cost, resource
and delays; (vii) potential loss of customers, resulting in, for
example, retail and commercial deposit outflows and reduced
revenues and liquidity; (viii) increased people risk through the
potential loss of key colleagues and institutional knowledge and
increased challenges of attracting and retaining colleagues; (ix)
regulatory risk, including in relation to prudential, conduct and
other regulatory requirements; (x) no or limited access to Euro
system funding arrangements; and (xi) brand and reputational risks
and stakeholder scrutiny about the phased withdrawal from ROI. Any
of these risks and uncertainties may cost more, be more complex or
harder to mitigate than currently estimated and may adversely
affect NatWest Group&#x2019;s reputation, future results, financial
condition and/or prospects or its ability to execute a phased
withdrawal from ROI.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
The transfer of NatWest Group&#x2019;s Western European corporate
portfolio involves certain risks.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">To
improve efficiencies and best serve customers following Brexit,
NatWest Group expects that certain of its assets, liabilities,
transactions and activities (including NatWest Group&#x2019;s
Western European corporate portfolio principally consisting of term
funding and revolving credit facilities), may 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, NatWest Group&#x2019;s future results,
financial condition and/or prospects may be adversely
affected.<font style="color: #FF0000">&#xA0;</font></font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; color: #42145F; font-family: Times New Roman; font-size: 13px">
Financial resilience risk</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group may not meet the targets it communicates or be in a
position to continue to make discretionary capital distributions
(including dividends to shareholders).</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">As part
of NatWest Group&#x2019;s strategy, it has set a number of
financial, capital and operational targets including in respect of
its: CET1 ratio target, MREL targets, return on tangible equity
(&#x2018;ROTE&#x2019;), funding plans and requirements, employee
engagement, diversity and inclusion as well as ESG (including
climate and sustainable funding and financing targets) and customer
satisfaction targets and discretionary capital distributions
(including dividends to shareholders). See also,
&#x2018;<font style="font-style: italic">NatWest Group continues to
implement its purpose-led strategy, which carries significant
execution and operational risks and may not achieve its stated aims
and targeted outcomes.</font>&#x2019;<font style="font-style: italic">&#xA0;</font></font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;s ability to meet its targets, including its CET1 ratio
target, and make discretionary capital distributions and to
successfully fulfil its strategy is subject to various internal and
external factors and risks. These include but are not limited to:
UK and global macroeconomic, political, market and regulatory
uncertainties, operational risks and risks relating to NatWest
Group&#x2019;s business model and strategy (including risks
associated with climate, ESG and other sustainability-related
issues) and litigation, governmental actions, investigations and
regulatory matters. See also, <font style="font-weight: bold">&#x2018;</font><font style="font-style: italic">NatWest 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 high inflation and rising interest rates, supply chain
disruption and the Russian invasion of Ukraine.</font><font style="font-weight: bold">&#x2019;</font><font style="font-style: italic">&#xA0;</font></font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group operates in markets that are highly competitive, with
increasing competitive pressures and technology
disruption.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
markets within which NatWest Group operates are highly competitive.
NatWest Group expects such competition to continue and intensify in
response to various changes. These include: evolving customer
behaviour, technological changes (including digital currencies and
other instruments, stablecoins and the growth of digital banking,
such as from fintech entrants), competitor behaviour, new entrants
to the market (including non-traditional financial services
providers such as retail or technology conglomerates, who may have
competitive advantages in scale, technology and customer
engagement), 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
and other factors. In particular, developments in the financial
sector resulting from new banking, lending and payment solutions
offered by rapidly evolving incumbents, challengers and new
entrants, notably with respect to payment services and products,
and the introduction of disruptive technology may impede NatWest
Group&#x2019;s ability to grow or retain its share and impact its
revenues and profitability, particularly in its key UK retail and
commercial banking segments. Moreover, innovations such as
biometrics, artificial intelligence, automation, the cloud,
blockchain, cryptocurrencies and quantum computing may rapidly
facilitate industry transformation.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">These
trends have been catalysed by various regulatory and competition
policy interventions, including the UK initiative on Open Banking
(PSD2), &#x2018;Open Finance&#x2019; and other remedies imposed by
the Competition and Markets Authority (&#x2018;CMA&#x2019;), which
are designed to further promote competition within retail banking.
The competition enhancing measures under NatWest Group&#x2019;s
independently administered Alternative Remedies Package
(&#x2018;ARP&#x2019;) benefits grant recipients and eligible
competitors. The ARP may be more costly than anticipated and may
adversely affect customer service for NatWest Group&#x2019;s own
customers, its competitive position and reputation.
Failure<font style="font-weight: bold">&#xA0;</font>to comply with
the terms of the scheme could result in the imposition of
additional measures or limitations on NatWest Group&#x2019;s
operations, additional supervision by NatWest Group&#x2019;s
regulators, and loss of investor confidence.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px"><font style="color: #000000">
Increasingly, many of the products and services offered by NatWest
Group are, and will become, more technology intensive, including
through digitalisation and the use of artificial
intelligence.</font> For example, NatWest Group has invested in a
number of fintech ventures, including Mettle, FreeAgent, Tyl, Rapid
Cash, Rooster Money and Vodeno. NatWest Group&#x2019;s ability to
develop or acquire such digital solutions (which also need to
comply with applicable and evolving regulations) has become
increasingly important to retaining and growing NatWest
Group&#x2019;s customer business in the UK. There can be no
certainty that NatWest Group&#x2019;s innovation strategy (which
includes investment in its IT capability intended to address the
material increase in customer use of online and mobile technology
for banking as well as selective acquisitions, which carry
associated risks) will be successful or that it will allow NatWest
Group to continue to maintain or grow such services in the future.
Certain of NatWest Group&#x2019;s current or future competitors may
be more successful in implementing innovative technologies for
delivering products or services to their customers. NatWest Group
may also fail to identify future opportunities or derive benefits
from disruptive technologies in the context of rapid technological
innovation, changing customer behaviour and growing regulatory
demands, resulting in increased competition from traditional
banking businesses as well as new providers of financial services,
including technology companies with strong brand recognition, that
may be able to develop financial services at a lower cost
base.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;s competitors may also be better able to attract and
retain customers and key employees, may have more advanced IT
systems, and may have access to lower cost funding and/or be able
to attract deposits on more favourable terms than NatWest Group.
Although NatWest Group invests in new technologies and participates
in industry and research led initiatives aimed at developing new
technologies, such investments may be insufficient or ineffective,
especially given NatWest Group&#x2019;s focus on cost
efficiencies.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">This
may limit additional investment in areas such as innovation and
could affect NatWest Group&#x2019;s offering of innovative products
or technologies for delivering products or services to customers
and its competitive position.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Furthermore,
the development of innovative products depends on NatWest
Group&#x2019;s ability to produce underlying high-quality data,
failing which its ability to offer innovative products may be
compromised.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">If
NatWest Group is unable to offer competitive, attractive and
innovative products that are also profitable and timely, it will
lose share, incur losses on some or all of its initiatives and lose
opportunities for growth. In this context, NatWest Group is
investing in the automation of certain solutions and interactions
within its customer-facing businesses, including through automation
and artificial intelligence.<font style="color: #FF0000">&#xA0;</font>Such initiatives may result in
operational, reputational and conduct risks if the technology used
is defective, inadequate or is not fully integrated into NatWest
Group&#x2019;s current solutions. There can be no certainty that
such initiatives will deliver the expected cost savings and
investment in automated processes will likely also result in
increased short-term costs for NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
addition, the implementation of NatWest Group&#x2019;s purpose-led
strategy (including in relation to acquisitions, reorganisations
and/or partnerships), delivery on its climate ambition,
cost-controlling measures, as well as employee remuneration
constraints, may also have an impact on its ability to compete
effectively and intensified competition from incumbents,
challengers and new entrants could affect NatWest Group&#x2019;s
ability to maintain satisfactory returns. Moreover, activist
investors have increasingly become engaged and interventionist in
recent years, which may pose a threat to NatWest Group&#x2019;s
strategic initiatives. Furthermore, continued consolidation or
technological or other developments in certain sectors of the
financial services industry could result in NatWest Group&#x2019;s
remaining competitors gaining greater capital and other resources,
including the ability to offer a broader range of products and
services and geographic diversity, or the emergence of new
competitors. Any of the above may adversely affect NatWest
Group&#x2019;s future results, financial condition and/or
prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group has significant exposure to counterparty and borrower
risk.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: -2px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px"><font style="color: #000000">NatWest Group has exposure to many different
industries, 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 NatWest
Group&#x2019;s businesses. NatWest Group&#x2019;s lending strategy
and associated processes/systems may fail to identify, anticipate
or quickly react to weaknesses or risks in a particular sector,
market or borrower, or NatWest Group&#x2019;s credit risk appetite
relative to competitors, or fail to adequately 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
NatWest Group&#x2019;s profitability. See also,
&#x2018;</font><font style="font-style: italic; color: #000000">Risk
and capital management &#x2014; Credit Risk</font><font style="color: #000000">&#x2019;.</font></font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
credit quality of NatWest Group&#x2019;s borrowers and other
counterparties may be affected by the recent UK and global
macroeconomic and political uncertainties and a further
deterioration in prevailing economic and market conditions
(including a resurgence of the COVID-19 pandemic or other new
health crises) and by the legal and regulatory landscape in the UK
and countries where NatWest Group is exposed to credit risk. 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 over
security, increasing credit risk.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">An
increase in drawings upon credit facilities may also increase
NatWest Group&#x2019;s RWAs. In addition, the level of household
indebtedness in the UK remains high. The ability of households to
service their debts could be worsened by a period of high
unemployment, increasing interest rates or higher inflation,
particularly if prolonged. NatWest Group may be affected by
volatility in property prices (including as a result of the general
UK political or economic climate) given that NatWest Group&#x2019;s
mortgage loan and wholesale property loan portfolios as at 31
December 2022, amounted to &#xA3;235.5 billion, representing
62%<font style="color: #FF0000">&#xA0;</font>of NatWest
Group&#x2019;s total customer loan exposure. If property prices were
to weaken this could lead to higher impairment charges,
particularly if default rates also increase. In addition, NatWest
Group&#x2019;s credit risk may be exacerbated if the collateral that
it holds cannot be realised as a result of market conditions or
regulatory intervention or if it is liquidated at prices not
sufficient to recover the net amount after accounting for any IFRS
9 provisions already made. This is most likely to occur during
periods of illiquidity or depressed asset valuations.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group is exposed to the financial industry, including sovereign
debt securities, banks, financial intermediation providers
(including providing facilities to financial sponsors and funds,
backed by assets or investor commitments) and securitised products
(typically senior lending to special purpose vehicles backed by
pools of financial assets). Concerns about, or a default by, a
financial institution could lead to significant liquidity problems
and losses or defaults by other financial institutions, since the
commercial and financial soundness of many financial institutions
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 NatWest Group. This
systemic risk may also adversely affect financial intermediaries,
such as clearing agencies, clearing houses, banks, securities firms
and exchanges with which NatWest Group interacts on a daily basis.
See also, &#x2018;<font style="font-style: italic">NatWest Group may
not be able to adequately access sources of liquidity and
funding</font>&#x2019;.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">As a
result, adverse changes in borrower and counterparty credit risk
may cause accelerated impairment charges under IFRS 9, increased
repurchase demands, higher costs, additional write-downs and losses
for NatWest Group and an inability to engage in routine funding
transactions.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
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). The
recognition and measurement of ECL is complex and involves the use
of significant judgment 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, NatWest 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, &#x2018;<font style="font-style: italic">Risk and capital management - Credit
Risk</font>&#x2019;. A credit deterioration would also lead to RWA
increases.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Furthermore,
the assumptions and judgments used in the MES and ECL assessment at
31 December 2022 may not prove to be adequate resulting in
incremental ECL provisions for NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Due to
NatWest Group&#x2019;s exposure to the financial industry, it also
has exposure to shadow banking entities (i.e., entities which carry
out activities of a similar nature to banks but not regulated like
banks). NatWest Group is required to identify and monitor its
exposure to shadow banking entities, implement and maintain an
internal framework for the identification, management, control and
mitigation of the risks associated with exposure to shadow banking
entities, and ensure effective reporting and governance in respect
of such exposure.<font style="color: #FF0000">&#xA0;</font>If
NatWest Group is unable to properly identify and monitor its shadow
banking exposure, maintain an adequate framework, or ensure
effective reporting and governance in respect of shadow banking
exposure, this may adversely affect NatWest Group&#x2019;s future
results, financial condition and/or prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In line
with certain mandated COVID-19 pandemic support schemes, NatWest
Group assisted affected customers with a number of initiatives
including NatWest Group&#x2019;s participation in BBLS, CBILS and
CLBILS products. NatWest Group has 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. NatWest
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 NatWest Group&#x2019;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 judgments, settlements,
penalties or fines.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">If
NatWest Group experiences losses and a reduction in future
profitability, this is likely to affect the recoverable value of
fixed assets, including goodwill and deferred taxes, which may lead
to write-downs.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px"><font style="color: #5E10B1">
NatWest 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</font><font style="font-weight: bold; color: #5E10B1">.</font></font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group is required by regulators in the UK, the EU and other
jurisdictions in which it undertakes regulated activities to
maintain adequate financial resources.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Adequate
capital provides NatWest Group with financial flexibility
specifically in its core UK operations in the face of turbulence
and uncertainty in the UK and the global economy. It also permits
NatWest Group plc to make discretionary capital distributions
(including dividends to shareholders).</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">As at
31 December 2022, NatWest Group plc&#x2019;s CET1 ratio was 14.2%
and is targeting a CET1 ratio of 13-14% by the end of 2023. NatWest
Group plc&#x2019;s target CET1 ratio is based on a combination of
its expected regulatory requirements and internal modelling,
including stress scenarios and management&#x2019;s and/or the
Prudential Regulation Authority&#x2019;s (&#x2018;PRA&#x2019;) views
on appropriate buffers above minimum operating levels.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group plc&#x2019;s current capital strategy is based on the expected
accumulation of additional capital through the accrual of profits
over time, planned capital actions (including issuances,
redemptions, and discretionary capital distributions), RWA growth
in the form of regulatory uplifts and lending growth and other
capital management initiatives which focus on improving capital
efficiency and ensuring NatWest Group meets its medium-to-long term
targets. NatWest Group intends to make capital distributions to its
equity investors of amounts surplus to its publicly stated CET1
target, subject to macroeconomic conditions, via a combination of
dividends and buybacks. In making distribution decisions,
consideration is given to previously guided ordinary dividend
pay-out ratios, an intention to minimise the government&#x2019;s
stake in the Group, and maximising shareholder value.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">A
number of factors may impact NatWest Group plc&#x2019;s ability to
maintain its current CET1 ratio target and achieve its capital
strategy. These include:</font></div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">a depletion of its
capital resources through increased costs or liabilities or reduced
profits;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">an increase in the
quantum of RWAs/Leverage Exposure in excess of that expected,
including due to regulatory changes, or a failure in internal
controls or procedures to accurately measure and report RWAs/
Leverage Exposure;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">changes in
prudential regulatory requirements including NatWest Group
plc&#x2019;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;
and</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">reduced dividends
from NatWest Group&#x2019;s subsidiaries because of changes in their
financial performance and/or the extent to which local capital
requirements exceed NatWest Group plc&#x2019;s target ratio; and
limitations on the use of double leverage (i.e., NatWest Group
plc&#x2019;s use of debt to invest in the equity of its
subsidiaries, as a result of the Bank of England&#x2019;s and/or
NatWest Group&#x2019;s evolving views on distribution of capital
within groups).</font></div>
</div>
</div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">A
shortage of capital could in turn affect NatWest Group plc&#x2019;s
capital ratio, and/or its ability to make capital distributions and
in turn NatWest Group may not remain a viable, competitive or
profitable banking business.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">A
minimum level of capital is required to be met by NatWest Group plc
for it to be entitled to make certain discretionary payments, and
institutions which fail to meet the combined buffer requirement are
subject to restricted discretionary payments. The resulting
restrictions are scaled according to the extent of the breach of
the combined buffer requirement and calculated as a percentage of
the profits of the institution since the last distribution of
profits or discretionary payment which gives rise to a maximum
distributable amount (MDA) (if any) that the financial institution
can distribute through discretionary payments. Any breach of the
combined buffer requirement may necessitate for NatWest Group plc
reducing or ceasing discretionary payments (including payments of
dividends to shareholders) to the extent of the
breach.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group plc is required to maintain a set quantum of MREL set as the
higher of its RWAs or leverage requirement. The Bank of England 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 within NatWest Group that can
externally issue securities that count towards its MREL, the
proceeds of which can then be downstreamed to meet the internal
MREL of its operating entities and intermediate holding
companies.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">If
NatWest Group plc is unable to raise the requisite amount of
regulatory capital or MREL, downstream the proceeds of MREL to
subsidiaries as required, or to otherwise meet its regulatory
capital,</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">MREL
and leverage requirements, it may be exposed to increased
regulatory supervision or sanctions, loss of investor confidence,
constrained or more expensive funding and be unable to make
dividend payments on its ordinary shares or maintain discretionary
payments on capital instruments.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">If,
under a stress scenario, the level of regulatory capital or MREL
falls outside of risk appetite, there are a range of recovery
management actions (focused on risk reduction and mitigation) that
NatWest Group could take to manage its capital levels, but any such
actions may not be sufficient to restore adequate capital levels.
Under the EU Bank Recovery and Resolution Directives I and II
(&#x2018;BRRD&#x2019;), as implemented in the UK, NatWest Group must
maintain a recovery plan acceptable to its regulator, such that a
breach of NatWest Group&#x2019;s applicable capital or leverage
requirements may trigger the application of NatWest Group&#x2019;s
recovery plan to remediate a deficient capital position. NatWest
Group&#x2019;s regulator may request that NatWest Group carry out
certain capital management actions or, if NatWest Group plc&#x2019;s
CET1 ratio falls below 7%,<font style="color: #FF0000">&#xA0;</font>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&#x2019;s existing
shareholders.<font style="color: #FF0000">&#xA0;</font>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: NatWest Group&#x2019;s product
offering, credit ratings, ability to operate its businesses, pursue
its current strategies and pursue strategic opportunities, any of
which may adversely affect NatWest Group&#x2019;s future results,
financial condition and/or prospects. See also, <font style="font-weight: bold">&#x2018;</font><font style="font-style: italic">NatWest Group may become subject to the
application of UK statutory stabilisation or resolution powers
which may result in, for example, the cancellation, transfer or
dilution of ordinary shares, or the write-down or conversion of
certain other of NatWest Group&#x2019;s
securities.</font><font style="font-weight: bold">&#x2019;</font></font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group may not be able to adequately access sources of
liquidity and funding.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group is required to access sources of liquidity and funding
through retail and wholesale deposits, as well as through the debt
capital markets. As at 31 December 2022, NatWest Group plc
subsidiaries held &#xA3;470.7 billion in deposits. The level of
deposits may fluctuate due to factors outside NatWest Group&#x2019;s
control, such as a loss of customers and/or investor confidence
(including in individual NatWest Group entities), 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
NatWest Group&#x2019;s deposits could, particularly if accompanied
by one of the other factors described above, may adversely affect
NatWest Group&#x2019;s ability to satisfy its liquidity or funding
needs. In turn, this could require NatWest Group to adapt its
funding plans or change its operations.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Current
economic uncertainties and any significant market volatility could
affect NatWest Group&#x2019;s ability to access sources of liquidity
and funding, which may result in higher funding costs and failure
to comply with regulatory capital, funding and leverage
requirements.<font style="font-family: Times New Roman">&#xA0;</font> As a result, NatWest
Group and its subsidiaries could be required to adapt their funding
plans.<font style="font-family: Times New Roman">&#xA0;</font> This
could exacerbate funding and liquidity risk, which may adversely
affect NatWest Group.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">As at
31 December 2022, NatWest Group plc&#x2019;s liquidity coverage
ratio was 145%. If its liquidity position were to come under
stress, and if NatWest Group plc were unable to raise funds through
deposits or in the debt capital markets on acceptable terms or at
all, its liquidity position could 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, or to fund new loans,
investments and businesses. NatWest 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, NatWest Group
may be unable to sell some of its assets, or may need to sell
assets at depressed prices, which in either case may adversely
affect NatWest Group&#x2019;s future results, financial condition
and/or prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
Any reduction in the credit rating and/or outlooks assigned to
NatWest Group plc, any of its subsidiaries or any of their
respective debt securities could adversely affect the availability
of funding for NatWest Group, reduce NatWest Group&#x2019;s
liquidity position and increase the cost of funding.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Rating
agencies regularly review NatWest Group plc and other NatWest Group
entity credit ratings and outlooks. In October 2022, Moody&#x2019;s
changed the outlook from stable to negative for NatWest Bank
Plc&#x2019;s issuer rating. NatWest Group entity credit ratings and
outlooks could be negatively affected (directly or indirectly) by a
number of factors that can change over time, including: credit
rating agencies&#x2019; assessment of NatWest Group&#x2019;s strategy
and management&#x2019;s capability; its financial condition
including in respect of profitability, asset quality, capital,
funding and liquidity; the level of political support for the
industries and regions in which NatWest Group operates; the
implementation of structural reform; the legal and regulatory
frameworks applicable to NatWest Group&#x2019;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 and economic conditions in
NatWest Group&#x2019;s key markets (including higher interest rates
and inflation, supply chain disruptions and the outcome of any
further Scottish independence referendum); any reduction of the
UK&#x2019;s sovereign credit rating (currently on negative outlook
by Moody&#x2019;s, S&amp;P and Fitch) and market uncertainty. In
addition, credit ratings agencies are increasingly taking into
account sustainability-related factors, including climate,
environmental, social and governance related risk, as part of the
credit ratings analysis, as are investors in their investment
decisions. See also, &#x2018;<font style="font-style: italic">A
reduction in the ESG ratings of NatWest Group could have a negative
impact on NatWest Group&#x2019;s reputation and on investors&#x2019;
risk appetite and customers&#x2019; willingness to deal with NatWest
Group</font>.&#x2019;</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Any
reductions in the credit ratings of NatWest Group plc or of certain
other NatWest Group entities, including, in particular, downgrades
below investment grade, or a deterioration in the capital
markets&#x2019; perception of NatWest Group&#x2019;s financial
resilience could significantly affect NatWest Group&#x2019;s access
to capital markets, reduce 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 NatWest Group&#x2019;s (and, in particular, NatWest
Group plc&#x2019;s) cost of funding and its access to capital
markets and could limit the range of counterparties willing to
enter into transactions with NatWest Group (and, in particular,
with NatWest Group plc). This may in turn adversely affect NatWest
Group&#x2019;s competitive position and threaten its prospects in
the short to medium-term.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group may be adversely affected if it fails to meet the
requirements of regulatory stress tests.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group is subject to annual stress tests by its regulator in the UK.
Stress tests are designed to assess the resilience of banks 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&#x2019;s existing regulatory
capital buffers are not sufficient to absorb the impact of the
stress, then it is possible that NatWest Group will need to take
action to strengthen its capital position.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">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&#x2019;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, all of which
may adversely affect its future results, financial condition and/or
prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group could incur losses or be required to maintain higher
levels of capital as a result of limitations or failure of various
models.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Given
the complexity of NatWest Group&#x2019;s business, strategy and
capital requirements, NatWest Group relies on analytical and other
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&#x2019;s mandated stress testing).
Uncertainties relating to the COVID-19 pandemic has made reliance
on analytical models and planning and forecasting for NatWest Group
more complex, and may result in uncertainty impacting the risk
profile of NatWest Group and/or that of the wider banking industry.
In addition, NatWest Group utilises models for valuations, credit
approvals, calculation of loan impairment charges on an IFRS 9
basis, financial reporting and for financial crime (criminal
activities in the form of money laundering, terrorist financing,
bribery and corruption, tax evasion and sanctions<font style="font-weight: bold">&#xA0;</font>as well as fraud risk
management<font style="font-weight: bold">&#xA0;</font>(collectively, &#x2018;financial
crime&#x2019;)). NatWest Group&#x2019;s models, and the parameters
and assumptions on which they are based, are periodically
reviewed.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">As
models analyse scenarios based on assumed inputs and a conceptual
approach, model outputs therefore remain uncertain. Failure of
models (including due to errors in model design) or new data inputs
(including non-representative data sets), for example, to
accurately reflect changes in the micro and macroeconomic
environment in which NatWest Group operates (for example to account
for high inflation), to capture risks and exposures at the
subsidiary level and to update for changes to NatWest Group&#x2019;s
current business model or operations, or for findings of
deficiencies by NatWest Group&#x2019;s regulators (including as part
of NatWest Group&#x2019;s mandated stress testing), may render some
business lines uneconomic, result in increased capital
requirements, may require management action or may subject NatWest
Group to regulatory sanction. NatWest Group may also face adverse
consequences as a result of actions based on models that are poorly
developed, implemented or used, models that are based on inaccurate
or compromised data or as a result of the modelled outcome being
misunderstood, or by such information being used for purposes for
which it was not designed.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group&#x2019;s financial statements are sensitive to
underlying accounting policies, judgments, estimates and
assumptions.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
preparation of financial statements requires management to make
judgments, estimates and assumptions that affect the reported
amounts of assets, liabilities, income, expenses, exposures and
RWAs. While estimates, judgments 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, judgments and
assumptions (particularly those involving the use of complex
models). Further, accounting policy and financial statement
reporting requirements are likely to increasingly require
management to adjust existing judgments, 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 NatWest
Group&#x2019;s future financial results with its historical results.
Actual results may differ due to the inherent uncertainty in making
climate-related and sustainability estimates, judgments and
assumptions.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Accounting
policies deemed critical to NatWest Group&#x2019;s results and
financial position, based upon materiality and significant
judgments and estimates, involve a high degree of uncertainty and
may have a material impact on its results. For 2022, these include
loan impairments, fair value, deferred tax and conduct and
litigation provisions. These are set out in &#x2018;<font style="font-style: italic">Critical accounting policies and sources of
estimation uncertainty</font>&#x2019;.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
Changes in accounting standards may materially impact NatWest
Group&#x2019;s financial results.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
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 NatWest Group having to recognise
additional liabilities on its balance sheet, or in further
write-downs or impairments to its assets and could also
significantly impact the financial results, condition and prospects
of NatWest Group. From time to time, the International Accounting
Standards Board may issue new accounting standards or
interpretations that could materially impact how NatWest Group
calculates, reports and discloses its financial results and
financial condition, and which may affect NatWest Group capital
ratios, including the CET1 ratio. New accounting standards and
interpretations that have been issued by the International
Accounting Standards Board but which have not yet been adopted by
NatWest Group are discussed in &#x2018;<font style="font-style: italic">Future accounting
developments</font>&#x2019;.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
The value or effectiveness of any credit protection that NatWest
Group has purchased depends on the value of the underlying assets
and the financial condition of the insurers and
counterparties.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group has some remaining credit exposure arising from
over-the-counter derivative contracts, mainly credit default swaps
(CDSs), and other credit derivatives, each of which are carried at
fair value. The fair value of these CDSs, as well as NatWest
Group&#x2019;s exposure to the risk of default by the underlying
counterparties, depends on the valuation and the perceived credit
risk of the instrument against which protection has been bought.
Many market counterparties have been adversely affected by their
exposure to residential mortgage-linked and corporate credit
products, whether synthetic or otherwise, and their actual and
perceived creditworthiness may deteriorate rapidly. If the
financial condition of these counterparties or their actual or
perceived creditworthiness deteriorates, NatWest Group may record
further credit valuation adjustments on the credit protection
bought from these counterparties under the CDSs. NatWest Group also
recognises any fluctuations in the fair value of other credit
derivatives. Any such adjustments or fair value changes may
adversely affect NatWest Group&#x2019;s future results, financial
condition and/or prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group is subject to Bank of England and PRA oversight in
respect of resolution, and NatWest Group could be adversely
affected should the Bank of England in the future deem NatWest
Group&#x2019;s preparations to be inadequate.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group is subject to regulatory oversight by the Bank of England 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 June 2022 the Bank of England communicated its assessment of
NatWest Group&#x2019;s preparations and did not identify any
shortcomings, deficiencies or substantive impediments although two
areas were highlighted as requiring further enhancements. NatWest
Group could be adversely affected should future Bank of England
assessments deem NatWest Group&#x2019;s preparations to be
inadequate.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">If
future Bank of England assessments identify a significant gap in
NatWest Group&#x2019;s ability to achieve the resolvability outcomes
or reveals that NatWest Group is not adequately prepared to be
resolved, or did 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 as, depending on the
Bank of England&#x2019;s assessment, potential action may include,
but is not limited to, restrictions on NatWest Group&#x2019;s
maximum individual and aggregate exposures, a requirement to
dispose of specified assets, a requirement to change legal or
operational structure, a requirement to cease carrying out certain
activities and/or maintaining a specified amount of MREL. This may
also impact NatWest Group&#x2019;s strategic plans and may adversely
affect its financial condition and/or reputation or lead to a loss
of investor confidence.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group may become subject to the application of UK statutory
stabilisation or resolution powers which may result in, for
example, the cancellation, transfer or dilution of ordinary shares,
or the write-down or conversion of certain other of NatWest
Group&#x2019;s securities.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">HM
Treasury, the Bank of England and the PRA and FCA (together, the
&#x2018;Authorities&#x2019;) 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 &#x2018;bridge bank&#x2019; wholly-owned by
the Bank of England; (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&#x2019;s
assets, rights or liabilities; (iv) the write-down, conversion,
transfer, modification, or suspension of the relevant
entity&#x2019;s equity, capital instruments and liabilities; and (v)
temporary public ownership of the relevant entity. These tools may
be applied to NatWest Group plc as the parent company or an
affiliate 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, 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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Under
the UK Banking Act, the Authorities are generally required to have
regard to specified objectives in exercising the powers provided
for by the Banking Act. 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 &#x2018;no creditor worse
off&#x2019; safeguard contained in the Banking Act may not apply in
relation to an application of the separate write-down and
conversion power relating to capital instruments under the Banking
Act, in circumstances where a stabilisation power is not also used.
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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Uncertainty
exists as to how the Authorities may exercise their powers
including the determination of actions undertaken in relation to
the ordinary shares and other securities issued by NatWest Group,
which may depend on factors outside of NatWest Group&#x2019;s
control. Moreover, the Banking Act provisions remain largely
untested in practice, particularly in respect of resolutions of
large financial institutions and groups.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">If
NatWest Group is at or is approaching the point of non-viability
such that regulatory intervention is required, any exercise of the
resolution regime powers by the Authorities may adversely affect
holders of NatWest Group plc&#x2019;s ordinary shares or other
NatWest Group securities. This may result in various actions being
undertaken in relation to NatWest Group and any securities of
NatWest Group, including cancellation, transfer, dilution,
write-down or conversion (as applicable). There may also be a
corresponding adverse effect on the market price of such ordinary
shares and other NatWest Group securities.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; color: #42145F; font-family: Times New Roman; font-size: 13px">
Climate and sustainability-related risks</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group and its customers, suppliers and counterparties face
significant climate and sustainability-related risks, which may
adversely affect NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Climate-related
risks represent a source of systemic risk in the global financial
system. The financial impacts of climate-related risks are expected
to be widespread, exacerbating already existing financial
vulnerabilities and may disrupt the proper functioning of financial
markets and institutions, including NatWest Group.<font style="font-family: Times New Roman">&#xA0;</font></font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Financial
and non-financial risks from climate change and
sustainability-related risks 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
&#x2018;liability risk&#x2019;). See also, &#x2018;<font style="font-style: italic">NatWest Group may be subject to potential
climate, environmental, human rights and other
sustainability-related litigation, enforcement proceedings,
investigations and conduct risk</font>.&#x2019;</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">There
are significant uncertainties as to the location, extent and timing
of the manifestation of the physical risks of climate change, such
as more severe and frequent extreme weather events (storms,
flooding, subsidence, heat waves, droughts and wildfires), rising
sea levels, nature and biodiversity loss, declining food yields,
destruction of critical infrastructure, supply chain disruption and
resource scarcity. Damage to NatWest Group customers&#x2019;,
suppliers&#x2019; and counterparties&#x2019; properties and
operations could disrupt business, impair asset values and
negatively impact the creditworthiness of customers leading to
increased default rates, delinquencies, write-offs and impairment
charges in NatWest Group&#x2019;s portfolios. In addition, NatWest
Group premises and operations, or those of its critical outsourced
functions may experience damage or disruption leading to increased
costs and adversely affect NatWest Group&#x2019;s reputation, future
results, financial condition and/or prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
October 2021, the UK Government published its Net Zero Strategy
which sets out how the UK will deliver on its commitment to reach
net-zero emissions by 2050 (defined as the point at which
greenhouse gas emissions from sources are equal to removals by
sinks as set out in Article 4 of the 2015 Paris Agreement). An
independent review of the government&#x2019;s approach to delivering
its net zero target to ensure it is pro-business and pro-growth was
published in January 2023. The timing, content and implementation
of the specific policies and proposals remain uncertain and are
subject to continuous changes and developments. The transition to a
net-zero economy across all sectors of the economy and markets in
which NatWest Group operates will be required to meet the goals of
the UN Framework Convention on Climate Change (1994), the 2015
Paris Agreement, the UK&#x2019;s Net Zero Strategy and the European
Green Deal initiatives. The impacts of the extensive social,
commercial, technological, policy and regulatory changes required
to achieve transition remain uncertain but are expected to be
significant, subject to continuous changes and developments and may
be disruptive across the global economy and markets, especially if
these changes do not occur in an orderly or timely manner or are
not effective in reducing emissions sufficiently. Some sectors such
as property, energy (including the oil and gas industry), mobility
(including land transport, aviation, and shipping industries and
the related manufacturing and infrastructure industry) and food
(including the agriculture industry) are expected to be
particularly impacted. The timing and pace of the transition to a
net-zero economy is also uncertain, 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. There is
also growing attention on the need for a <font style="font-style: italic">'just transition'</font> and <font style="font-style: italic">&#x2018;energy justice&#x2019;</font> &#x2013; in
recognition that the transition to net zero should not
disproportionally affect the most disadvantaged members of
society.<font style="font-family: Times New Roman">&#xA0;</font></font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
addition, NatWest Group and its customers, suppliers and
counterparties may face economic, financial and non-financial risks
arising from broader sustainability issues such as: (i) risks
relating to degradation of the environment, such as air, water and
land pollution, water stress, nature and biodiversity loss and
deforestation which may include for instance loss and/or decline of
the state of nature (including the state of biodiversity); (ii)
social<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font>matter-related
risks (including violent conflicts, geopolitical implications,
impacts on indigenous people, migration, human rights, diversity,
equality and inclusion, the living wage, fair taxation and value
chains); and (iii) governance-related risks (including board
diversity, ethics, executive compensation and management
structure).</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Financial
institutions, including NatWest Group, are directly and indirectly
exposed to multiple types of environmental risks (including nature
and biodiversity related risks) through their activities, including
through the risk of default by clients.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
addition to safeguards and interventions that focus on reducing
negative impacts on the environment (including nature and
biodiversity), there is also a growing need to implement solutions
that focus on increasing positive impacts on environment (including
nature and biodiversity) through nature-based solutions. In 2021,
NatWest Group classified &#x2018;<font style="font-style: italic">Biodiversity and Nature Loss</font>&#x2019; as
an emerging risk for NatWest Group within its Risk Management
Framework.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
Taskforce on Nature-Related Financial Disclosures (TNFD) is a
global, market-led initiative with the mission to develop and
deliver a risk management and disclosure framework for
organisations to report and act on evolving nature-related risks
and opportunities, with the ultimate aim of supporting a shift in
global financial flows away from nature-negative outcomes and
toward nature-positive outcomes. NatWest Group is a member of the
Informal Working Group 2020 of TNFD and is a Forum Member since
2021.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Measuring
the environmental related financial impacts (including impacts on
nature and biodiversity related financial impacts) as a result of
funding and financing activities as well as reporting on these is
an evolving and complex area for the financial services industry
which requires collaborative approaches with partners,
stakeholders, peers and public sector bodies to help measure and
mitigate the negative impacts of the activities which NatWest Group
finances on the environment (including nature and biodiversity), as
well as supporting the growing sector of nature-based solutions and
habitat restoration and biodiversity markets. NatWest Group is in
the early stages of developing its approach to assess, manage and
mitigate environmental risks and by using emerging industry
guidance such as the TNFD beta framework, NatWest Group is seeking
to further its understanding of how NatWest Group&#x2019;s business
activities impact nature, the dependencies NatWest Group and its
customers have on nature, and the risks and opportunities nature
can generate.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">There
is also increased scrutiny from NatWest Group&#x2019;s employees,
investors, customers, counterparties (including its suppliers),
communities, regulators and other stakeholders regarding how
businesses address social issues, including tackling inequality,
working conditions, workplace health, safety and
wellbeing,</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">diversity
and inclusion, data protection and management, workforce
management, human rights and supply chain management which may
impact</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;s employees, suppliers, customers, and their business
activities or the communities in which they operate.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">These
climate and sustainability-related risks may:</font></div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">adversely affect
economic activity, asset pricing and valuations of financial
instruments and, in turn, the wider financial system;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">impact economic
activities directly (for example through lower corporate
profitability or the devaluation of assets) or indirectly (for
example through macro-financial changes);</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">also 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;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">trigger further
losses stemming directly or indirectly from legal claims (liability
risks) and reputational damage as a result of the public,
customers, counterparties, suppliers and/or investors associating
NatWest Group or its customers with adverse climate and
sustainability-related issues;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">intersect with and
add further complexity and challenge to achieving NatWest
Group&#x2019;s purpose-led strategy including climate ambitions and
targets;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">be drivers of
several different risk categories simultaneously and may exacerbate
existing risks, 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), pension risk and conduct risk;
and</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">if combined, may
have a greater adverse effect on NatWest Group&#x2019;s reputation,
future results, financial condition and/or prospects.</font></div>
</div>
</div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">If
NatWest Group fails in a timely manner to identify and address
climate and sustainability-related risks and opportunities and
changing regulatory and market expectations, or to appropriately
identify, measure, manage and mitigate climate and
sustainability-related physical, transition and liability risks and
opportunities that NatWest Group, its customers, counterparties and
suppliers face, this may adversely affect NatWest Group&#x2019;s
reputation, future results, financial condition and/or
prospects.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group&#x2019;s climate change related strategy, ambitions,
targets and transition plan entail significant execution and
reputational risk and are unlikely to be achieved without
significant and timely government policy, technology and customer
behavioural changes.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
February 2020, NatWest Group announced its ambition to become a
leading bank in the UK helping to address the climate challenge. As
part of the implementation of its climate ambitions, at NatWest
Group&#x2019;s Annual General Meeting in April 2022, ordinary
shareholders passed an advisory &#x2018;Say on Climate&#x2019;
resolution endorsing NatWest Group&#x2019;s previously announced
strategy to address 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
by 2050 across its financed emissions, assets under management and
operational value chain.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Furthermore,
as part of its efforts to support the transition to a net-zero
economy, NatWest Group has announced its plans to (i) stop lending
and underwriting to companies with more than 15% of activities
related to thermal and lignite coal, unless they had a Credible
Transition Plan in line with the 2015 Paris Agreement in place by
end of 2021; phase out of thermal and lignite coal for UK and
non-UK customers who have UK coal production, coal-fired generation
and coal-related infrastructure by 1 October 2024, with a full
global phase out by 1 January 2030; (ii) to stop lending and
underwriting to major oil and gas producers unless they had a
Credible Transition Plan aligned with the 2015 Paris Agreement in
place by the end of 2021; (iii) from February 2023 stop providing
reserve based lending specifically for the purpose of financing oil
and gas exploration, extraction and production for new customers,
and, after the 31 December 2025 not to renew, refinance or extend
existing reserve- based lending specifically for the purpose of
financing oil and gas exploration, extraction and production; and
(iv) stop providing reserve-based lending and borrowing base
financing to upstream Oil and Gas companies specifically for the
purpose of financing upstream assets located in Arctic or Antarctic
Waters.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
December 2022, NatWest Group published its science based targets
validated by Science Based Target Initiative (SBTi) for its own
operational footprint and for 79% of its loans and investments
(debt securities and equity shares) on its 2019 balance sheet, at
sector level.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #333333; background-color: #FDFDFD; font-family: Times New Roman; font-size: 13px">
NatWest Group has also announced and in the future it may also
announce other climate ambitions and targets which support its
overarching strategy to address climate change.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Making
the changes necessary to achieve NatWest Group&#x2019;s strategy on
addressing climate change, including its climate ambitions and
targets and executing its transition plan, may adversely affect
NatWest Group&#x2019;s business and operations and will require
significant reductions to its financed emissions and to its
exposure to customers that do not align with a transition to net
zero or do not have a credible transition plan in place. 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. It is anticipated that achieving
these reductions, together with the active management of climate
and sustainability-related risks and other regulatory, policy and
market changes, is likely to necessitate material and accelerated
changes to NatWest Group&#x2019;s business, operating model, its
existing exposures and the products and services NatWest Group
provides to its customers (potentially on accelerated timescales)
which may adversely affect NatWest Group&#x2019;s ability to achieve
its financial targets and generate sustainable
returns.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group also needs to ensure that its strategy and business model
adapt to changing national and international standards, industry
and scientific practices, regulatory requirements and market
expectations regarding climate change, which remain under
continuous development and are subject to different
interpretations. There can be no assurance that these standards,
practices, requirements and expectations will not be interpreted
differently than what was NatWest Group&#x2019;s understanding when
defining its climate-related ambitions and targets or change in a
manner that substantially increases the cost or effort for NatWest
Group to achieve such ambitions and targets. In addition, NatWest
Group&#x2019;s ambitions and targets may prove to be considerably
more difficult or even impossible to achieve under such changing
circumstances. This may be exacerbated if NatWest Group chooses or
is required to accelerate its climate-related ambitions or targets
as a result of (among other things) UK or international regulatory
developments or stakeholder expectations.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;s ability to achieve its strategy to address climate
change, including achieving its climate ambitions and targets, will
depend to a large extent on many factors and uncertainties beyond
NatWest Group&#x2019;s control.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">These
include the extent and pace of climate change, including the timing
and manifestation of physical and transition risks, the
macroeconomic environment, the timely implementation and
integration of adequate government policies, the effectiveness of
actions of governments, legislators, regulators, businesses,
investors, customers and other stakeholders to mitigate the impact
of climate and sustainability-related risks, changes in customer
behaviour and demand, changes in the available technology for
mitigation, the roll-out of low carbon infrastructure and the
availability of accurate, verifiable, reliable, consistent and
comparable data. See also, &#x2018;<font style="font-style: italic">There are significant challenges in accessing
reliable, verifiable and comparable climate and other
sustainability-related data due to availability, quality and other
limitations, which contribute to the substantial uncertainties in
accurately modelling and reporting on climate and sustainability
information, as well as making appropriate important internal
decisions</font>&#x2019;.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">These
external factors and other uncertainties will make it challenging
for NatWest Group to meet its climate ambitions and targets and
there is a significant risk that all or some of them will not be
achieved.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Any
delay or failure in setting, making progress against or meeting
NatWest Group&#x2019;s climate-related ambitions and targets may
adversely affect NatWest Group, its reputation, future results,
financial condition and/or prospects and may increase the climate
and sustainability-related risks NatWest Group faces.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
There are significant limitations related to accessing reliable,
verifiable and comparable climate and other sustainability-related
data, including as a result of lack of standardisation, consistency
and completeness which, alongside other factors, contribute to
substantial uncertainties in accurately modelling and reporting on
climate and sustainability information, as well as making
appropriate important internal decisions.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Meaningful
reporting of climate and sustainability-related risks and
opportunities and their potential impacts and related metrics
depends on access to accurate, reliable, consistent and comparable
climate and sustainability-related data from counterparties or
customers. Data may not be generally available or, if available,
may not be accurate, verifiable, auditable, reliable, consistent,
or comparable.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Any
failure of NatWest Group to incorporate climate and/or
sustainability-related factors into its counterparty and customer
data sourcing and accompanying analytics, or to collect or develop
accurate, verifiable, auditable, reliable, consistent and
comparable counterparty and customer data, may adversely affect
NatWest Group&#x2019;s ability to prepare meaningful reporting of
climate and sustainability-related risks and opportunities, and it
may adversely affect NatWest Group&#x2019;s regulatory compliance,
reputation, business and its competitive position.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In the
absence of other sources, reporting of financed emissions by
financial institutions, including NatWest Group, is necessarily
based on aggregated information developed by third parties that may
be prepared in an inconsistent way using different methodologies,
interpretations, or assumptions. NatWest Group&#x2019;s climate and
sustainability-related disclosures use a greater number and level
of assumptions and estimates than many of its financial
disclosures. These assumptions and estimates are highly likely to
change over time, and, when coupled with the longer timeframes used
in these climate and sustainability-related disclosures, make any
assessment of materiality inherently uncertain.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
particular, in the absence of actual emissions monitoring and
measurement, emissions estimates are based on industry and other
assumptions that may not be accurate for a given counterparty or
customer. There may also be data gaps that are filled using proxy
data, such as sectoral averages, again developed in different ways.
As a result, NatWest Group&#x2019;s climate and
sustainability-related disclosures may be amended, updated or
restated in the future as the quality and completeness of NatWest
Group&#x2019;s data and methodologies continue to improve. These
data quality challenges, gaps and limitations could have a material
impact on NatWest Group&#x2019;s ability to make effective business
decisions about climate risks and opportunities, including risk
management decisions, to comply with disclosure requirements and to
monitor and report progress in meeting ambitions and
targets.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Significant
risks, uncertainties and variables are inherent in the assessment,
measurement and mitigation of climate-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
transition to a net-zero economy will unfold over the coming years
and decades and how and when climate-related risks will manifest.
These timeframes are considerably longer than NatWest Group&#x2019;s
historical strategic, financial, resilience and investment planning
horizons.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">As a
result, it is very difficult to predict and model the impact of
climate-related risks into precise financial and economic outcomes
and impacts<font style="font-weight: bold">.</font> Climate-related
risks present significant methodological challenges due to their
forward-looking nature, the lack and/or quality of historical
testing capabilities, lack of standardisation and incompleteness of
emissions and other climate and sub-sector related data and the
immature nature of risk measurement and modelling methodologies.
The evaluation of climate-related risk exposure and the development
of associated potential risk mitigation techniques largely depend
on the choice of climate scenario modelling methodology and the
assumptions made which involves a number of risks and
uncertainties, for example:</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">climate scenarios
are not predictions of what is likely to happen or what NatWest
Group would like to happen, rather they explore the possible
implications of different judgments and assumptions by considering
a series of scenarios;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">climate scenarios
do not provide a comprehensive description of all possible future
outcomes;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">lack of specialist
expertise in banks such that NatWest Group needs to rely on third
party advice, modelling, and data which is also subject to many
limitations and uncertainties;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">immaturity of
modelling of and data on climate-related risks on financial assets
which will evolve rapidly in the coming years;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">the number of
variables and forward-looking nature of climate scenarios which
makes them challenging to back test and benchmark;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">the 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, land systems, energy systems, technology, policy and
wider society;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">the assumptions
will be continually evolving with more data/information which may
affect the baselines for comparability across reporting periods and
impact internal and external verification processes;
and</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">the pace of the
development of the methodologies across different sectors may be
different and therefore it may be challenging to report on the
whole balance sheet with regard to emissions.</font></div>
</div>
</div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Accordingly,
these risks and uncertainties coupled with significantly longer
timeframes make the outputs of climate-related risk modelling,
including emission reduction targets and pathways, inherently more
uncertain than outputs modelled for traditional financial planning
cycles based on historical financial information. Furthermore,
there is a lack of scientific, industry and regulatory consensus
regarding the appropriate metrics, methodologies, modelling and
standardised reporting to enable the assessment of the location,
acuteness, and severity of environmental risks (including nature
and biodiversity-related risks) and the monitoring and mitigation
of these risks in the economy and financial system.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Capabilities
within NatWest Group to appropriately assess, model, report and
manage climate and sustainability-related risks and impacts and the
suitability of the assumptions required to model and manage climate
and sustainability-related risks appropriately are developing. The
development of NatWest Group&#x2019;s capabilities to assess, model,
report and manage the impacts of climate change and broader
environmental risk (including nature and biodiversity-related
risks) is in its early stages. Even when those capabilities are
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
judgments and data quality gaps and limitations may lead to
inadequate risk management information and frameworks, or
ineffective business adaptation or mitigation strategies, which may
adversely affect NatWest Group&#x2019;s regulatory compliance,
reputation, future results, financial condition and/or
prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
A failure to implement effective climate change resilient
governance, procedures, systems and controls in compliance with
legal and regulatory expectations to manage climate and
sustainability-related risks and opportunities could adversely
affect NatWest Group&#x2019;s ability to manage those
risks.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
prudential regulation of climate-related risks is an important
driver in how NatWest Group develops its risk appetite for
financing activities or engaging with counterparties. Legislative
and regulatory authorities are publishing expectations as to how
banks should prudently manage and transparently disclose
climate-related and environmental risks under prudential
rules.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
April 2019, the PRA published a supervisory statement (&#x2018;SS
3/19&#x2019;) with particular focus on the management of financial
risks from climate change with respect to governance, risk
management, scenario analysis and disclosures. In response to the
PRA&#x2019;s SS 3/19, following the submission of initial plans in
October 2019, on 8 October 2020 NatWest Group provided the PRA with
an update to its original plan, noting that the COVID-19 pandemic
had disrupted some elements of its original plan and, as a result,
the updated plan would require additional operating cycles reaching
into 2022 and beyond to prove embedding. Throughout 2022, NatWest
Group provided the PRA with updates on how it had addressed the
commitments made in its October 2020 plan, noting the delivery of a
first generation, largely qualitative in nature, approach to the
supervisory requirements. In 2022, the PRA has also started
actively supervising firms against their supervisory expectations
and it issued another &#x2018;Dear CEO letter&#x2019; providing a
summary of capabilities which the PRA would expect firms to be able
to demonstrate, setting out thematic observations on firms&#x2019;
levels of embeddedness, and providing examples of effective
practices identified.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In June
2021, the Bank of England launched its 2021 Biennial Exploratory
Scenario (&#x2018;2021 CBES&#x2019;) to stress test the resilience of
the current business models of the largest banks, insurers and the
financial system to the physical and transition risks from climate
change under three climate scenarios. NatWest Group delivered its
first 2021 CBES submission to the PRA in October 2021 and its
submission to the second phase of the 2021 CBES exercise in the
first quarter of 2022. In May 2022, the PRA published the results
of the 2021 CBES which has shown that UK banks, including NatWest
Group, need to do more to understand and manage their exposure to
climate risks and that the lack of available data on
corporates&#x2019; current emissions and future transition plans is
a collective issue affecting all participating firms. In July 2022,
the participating banks in the 2021 CBES exercise were invited to
discuss methodologies and challenges with regards to climate risk
scenario analysis.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
October 2022, the Bank of England and the PRA held a conference to
facilitate discussion on the complex issues associated with
adjusting the capital framework to take account of climate-related
financial risks with the aim of providing more guidance on its
approach to climate and capital by the end of 2022. The Bank of
England does not think capital frameworks should be used to address
the causes of climate change. However, as set out in the
PRA&#x2019;s Climate Change Adaptation Report 2021, and as with any
other risk, it does think the capital framework could be a useful
tool within the broader regulatory frameworks to ensure that
PRA-regulated firms are resilient to climate risks.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Any
failure of NatWest Group to fully and timely embed climate-related
risks into its risk management practices and framework to
appropriately identify, measure, manage and mitigate the various
climate-related physical and transition risks and apply the
appropriate product governance in line with applicable legal and
regulatory requirements and expectations, may adversely affect
NatWest Group&#x2019;s regulatory compliance, prudential capital
requirements, liquidity position, reputation, future results,
financial condition and/or prospects.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Climate
and sustainability-related disclosures are a rapidly evolving area
and increasingly expose NatWest Group to risk in the face of legal
and regulatory expectations, regulatory enforcement and class
action risk. NatWest Group and its subsidiaries currently are and
in the future will be subject to increasing entity-wide
climate-related and other non-financial disclosure requirements,
including pursuant to the recommendations of the Task Force on
Climate-related Financial Disclosure (&#x2018;TCFD&#x2019;), the
proposed SEC Climate Disclosure Rules and ISSB sustainability
reporting requirements and under other regimes. As from February
2022, NatWest Group is required to provide enhanced climate-related
disclosures consistent with the TCFD recommendations to comply with
the FCA Policy Statement on &#x2018;Proposals to enhance
climate-related disclosures by listed issuers and clarification of
existing disclosure obligations&#x2019; (PS 20/17) which introduced
new Listing Rules that require commercial companies with a UK
premium listing &#x2013; such as NatWest Group - to make
climate-related disclosures, consistent with TCFD, on a
&#x2018;comply or explain&#x2019; basis. In addition, as of the
accounting period beginning on or after 1 January 2022, NatWest
Group is also in scope of the FCA Policy Statement &#x2018;Enhancing
climate-related disclosures by standard listed companies&#x2019; (PS
21/23) which confirmed its final policy position set forth in PS
20/17, extended the scope of issuers that are subject to the new
Listing Rules and added guidance provisions on transition plan
disclosure (for issuers in scope of both the PS 20/17 and the new
PS 21/23 rules). As of 5 April 2022, NatWest Group is also required
to prepare mandatory climate-related financial disclosures pursuant
to The Companies (Strategic Report) (Climate-related Financial
Disclosure) Regulations 2022.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Furthermore,
in October 2022, the FCA published a Consultation Paper on
&#x2018;Sustainability Disclosure Requirements (SDR) and investment
labels&#x2019; (CP 22/20) which proposes that the FCA will require
all regulated firms to ensure that from June 2023 the naming and
marketing of financial products and services in the UK is clear,
fair and not misleading, and consistent with the sustainability
profile of the products or services, i.e. proportionate and not
exaggerated.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Misrepresenting
or over-emphasising the extent to which an investment, strategy or
other type of product takes into account environmentally friendly,
sustainable or ethical features and concerns, using misleading
labels and language in relation to such products and/or omitting
material information about NatWest Group&#x2019;s contribution to
the climate crisis (including its direct or indirect contribution
to greenhouse gas emissions), or other sustainability-related
issues, could potentially result in complaints, regulatory
intervention, claims and/or litigation and reputational
damage.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Any
failure of NatWest Group to implement robust and effective climate
and sustainability-related disclosure governance and to embed
appropriate product governance policies, procedures and controls to
make accurate public statements and claims about how
environmentally friendly, sustainable or ethical NatWest
Group&#x2019;s products and services are and to apply these in line
with applicable legal and regulatory requirements and expectations,
may adversely affect NatWest Group&#x2019;s regulatory compliance
and reputation and could give rise to litigation.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
Increasing levels of climate, environmental, human rights and other
sustainability-related laws, regulation and oversight which are
constantly evolving may adversely affect NatWest
Group.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">There
is an increasing number of EU, UK and other regulatory and
legislative initiatives to address issues around climate change
(including promoting the transition to a net-zero economy),
environment (including nature and biodiversity), human rights and
other sustainability-related risks and opportunities. As a result,
an increasing number of laws, regulations and legislative actions,
including proposals, guidance, policy and regulatory initiatives
many of which have been introduced or amended recently and are
subject to further changes, is likely to affect the financial
sector and the wider economy.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Many of
these initiatives are focused on developing standardised
definitions and criteria for green and sustainable criteria of
assets and liabilities, integrating climate change and
sustainability into decision-making and customers&#x2019; access to
green and sustainable financial products and services which may
have a significant impact on the services provided by NatWest
Group, and its subsidiaries and its associated credit, market and
financial risk profile. They could also impact NatWest
Group&#x2019;s recognition of its climate and sustainable funding
and financing activity and may adversely affect NatWest
Group&#x2019;s ability to achieve its strategy and climate and
sustainable funding and financing ambitions.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
addition, NatWest Group&#x2019;s EU and other non-UK subsidiaries
and branches are and will continue to be subject to an increasing
array of the EU/EEA and US climate and sustainability-related legal
and regulatory requirements. These requirements (potentially
including the EU Corporate Sustainability Due Diligence Directive
or the EU Corporate Sustainability Reporting Directive) may be
applicable to UK businesses such as NatWest Group, or used as the
basis for UK laws and regulations (such as the UK Green Taxonomy
and the FCA&#x2019;s Consultation Paper on &#x2018;Sustainability
Disclosure Requirements (SDR) and investment labels&#x2019; (CP
22/20)), or be regarded by investors and regulators as best
practice standards whether or not they apply to UK businesses (such
as the EU Green Bond Standard). Any divergence between UK, EU/EEA
and US climate and sustainability-related legal and regulatory
requirements and their interpretation may result in NatWest Group,
or any of its subsidiaries, not meeting regulatory requirements,
investors&#x2019; expectations, may increase the cost of doing
business (including increased operating costs) and contentious
regulatory and litigation risk and may restrict access of NatWest
Group&#x2019;s UK business to the EU/EEA and US market.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group is also participating in various voluntary carbon reporting
and other standard setting initiatives for disclosing climate and
sustainability-related information, many of which have differing
objectives and methodologies and are at different stages of
development in terms of how they apply to financial
institutions.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Compliance
with these developing and evolving climate and
sustainability-related legal and regulatory requirements is likely
to require NatWest Group to implement significant changes to its
business models, products and other governance, internal controls
over financial reporting, disclosure controls and procedures,
modelling capability and risk management systems, which may
increase the cost of doing business, and entail additional change
risk and increased compliance, regulatory sanctions and litigation
(including settlements) costs.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Failure
to implement and comply with these legal and regulatory
requirements or emerging best practice expectations may have a
material adverse effect on NatWest Group&#x2019;s regulatory
compliance and may result in regulatory sanctions, reputational
damage and investor disapproval each of which may adversely affect
NatWest Group&#x2019;s future results, financial condition and/or
prospects.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group may be subject to potential climate, environmental,
human rights and other sustainability-related litigation,
enforcement proceedings, investigations and conduct
risk.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Due to
increasing new climate and sustainability-related jurisprudence,
laws and regulations in the UK and other jurisdictions, growing
demand from investors and customers for environmentally sustainable
products and services, and regulatory scrutiny, financial
institutions, including NatWest Group, may through their business
activities, face increasing litigation, conduct, enforcement and
contract liability risks related to climate change, environmental
degradation, human rights violations and other social, governance
and sustainability-related issues.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">These
risks may arise, for example, from claims pertaining to: (i)
failure to meet obligations, targets or commitments relating to, or
to disclose accurately, or provide updates on material climate
and/or sustainability-related risks, or otherwise provide fair,
balanced and appropriate disclosure to investors, customers,
counterparties and other stakeholders; (ii) conduct, mis-selling
and customer protection claims, including claims which may relate
to alleged insufficient product understanding, unsuitable product
offering and /or reliance upon information provided by NatWest
Group or claims alleging unfair pricing of climate-related
products, for example in relation to products where limited
liquidity or reliable market data exists for benchmarking purposes
or which may be impacted by future climate policy uncertainty or
other factors; (iii) marketing that portrays products, securities,
activities or policies as having positive climate, environmental or
sustainable outcomes to an extent that may not be the case, or may
not adequately be qualified and/or omits material information about
NatWest Group&#x2019;s contribution to the climate crisis and/or its
direct / indirect contribution to greenhouse gas emissions or other
sustainability-related issues; (iv) damages claims under various
tort theories, including common law public nuisance claims, or
negligent mismanagement of physical and/or transition risks; (v)
alleged violations of officers&#x2019;, directors&#x2019; and other
fiduciaries&#x2019; duties, for example by financing various
carbon-intensive, environmentally harmful or otherwise highly
exposed assets, companies, and industries; (vi) changes in the
understanding of what constitutes positive climate, environmental
or sustainable outcomes as a result of developing climate science,
leading to discrepancy between current product offerings and
investor and/or market and/or broader stakeholder expectations;
(vii) any weaknesses or failures in specific systems or processes
associated particularly with climate, environmental or
sustainability linked products, and/or human rights due diligence,
including any failure in the timely implementation, onboarding
and/or updating of such systems or processes; or (viii)
counterparties, collaborators, customers to whom NatWest Group
provides services and third parties in NatWest Group&#x2019;s value
chain who act, or fail to act, or undertake due diligence, or apply
appropriate risk management and product governance in a manner that
may adversely affect NatWest Group&#x2019;s reputation or
sustainability credentials.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Furthermore,
there is a risk that shareholders, campaign groups, customers and
special interest groups could seek to take legal action against
NatWest Group for financing or contributing to climate change,
environmental degradation and human rights violations and for not
supporting the principles of &#x2018;just transition&#x2019; (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).</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">There
is a risk that as environmental and climate science develop and
societal understanding of these issues increases and deepens,
courts, regulators and enforcement authorities may apply the then
current understandings of environmental, climate and broader
sustainability-related matters retrospectively when assessing
claims about historical conduct or dealings of financial
institutions, including NatWest Group. See also,
&#x2018;<font style="font-style: italic">NatWest Group is exposed to
the risks of various litigation matters, regulatory and
governmental actions and investigations as well as remedial
undertakings, including conduct-related reviews, anti-money
laundering and redress projects, the outcomes of which are
inherently difficult to predict, and which could have an adverse
effect on NatWest Group&#x2019;</font>.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">These
potential litigation, conduct, enforcement and contract liability
risks may have a material adverse effect on NatWest Group&#x2019;s
ability to achieve its strategy, including its climate ambition,
and may adversely affect NatWest Group&#x2019;s reputation, future
results, financial condition and/or prospects.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
A reduction in the ESG ratings of NatWest Group could have a
negative impact on NatWest Group&#x2019;s reputation and on
investors&#x2019; risk appetite and customers&#x2019; willingness to
deal with NatWest Group.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">ESG
ratings from agencies and data providers which rate how NatWest
Group manages environmental, social and governance risks are
increasingly influencing investment decisions pertaining to NatWest
Group&#x2019;s and/or its subsidiaries&#x2019; securities or being
used as a basis to label financial products and services as
environmentally friendly or sustainable. ESG ratings are (i)
unsolicited; (ii) subject to the assessment and interpretation by
the ESG rating agencies; (iii) provided without warranty; (iv) not
a sponsorship, endorsement, or promotion of NatWest Group by the
relevant rating agency; and (v) may depend on many factors some of
which are beyond NatWest Group&#x2019;s control (e.g. any change in
rating methodology). In addition, certain NatWest Group entities
offer or sell products and services to customers and counterparties
based exclusively or largely on a rating by an unregulated ESG
rating agency. ESG rating agencies, at this stage, are not subject
to any specific regulatory or other regime or oversight (although
there are proposals by regulators in different jurisdictions to
regulate rating agencies and data providers). Regulators have
expressed concern that harm may arise from potential conflicts of
interest within ESG rating and review or opinion providers and
there is a lack of transparency in methodologies and data points,
which renders ratings and reviews incomparable between agencies or
providers. There is currently no market consensus on what precise
attributes are required for a particular asset to be classified as
&#x2018;ESG&#x2019;. Any reduction in the ESG ratings of NatWest
Group, or a regulatory sanction or enforcement action involving an
ESG rating agency used by a NatWest Group entity, could have a
negative impact on NatWest Group&#x2019;s reputation, could
influence investors&#x2019; risk appetite for NatWest Group&#x2019;s
and/or its subsidiaries&#x2019; securities, particularly ESG
securities, could increase the cost of issuing securities for
NatWest Group and/or its subsidiaries and could affect a
customer&#x2019;s willingness to deal with NatWest
Group.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; color: #42145F; font-family: Times New Roman; font-size: 13px">
Operational and IT resilience risk</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
Operational risks (including reliance on third party suppliers and
outsourcing of certain activities) are inherent in NatWest
Group&#x2019;s businesses.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">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. NatWest
Group operates in a number of countries, offering a diverse range
of products and services supported directly or indirectly by third
party suppliers.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">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 on NatWest Group&#x2019;s compliance with
financial crime requirements; see also, &#x2018;<font style="font-style: italic">NatWest Group is exposed to the risks of
various litigation matters, regulatory and governmental actions and
investigations as well as remedial undertakings, including
conduct-related reviews, anti-money laundering and redress
projects, the outcomes of which are inherently difficult to
predict, and which could have an adverse effect on NatWest
Group.</font>&#x2019; These risks are also present when NatWest
Group relies on critical service providers (suppliers) or vendors
to provide services to it or its customers, as is increasingly the
case as NatWest Group outsources certain activities, including with
respect to the implementation of technologies, innovation and
responding to regulatory and market changes.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Operational
risks continue to be heightened as a result of the implementation
of NatWest Group&#x2019;s purpose-led strategy, and the
organisational and operational changes involved, including: NatWest
Group&#x2019;s phased withdrawal from ROI, NatWest Group&#x2019;s
current cost-controlling measures, the NatWest Markets refocusing,
the creation of the Commercial &amp; Institutional business
segment, the progression towards working as One Bank across NatWest
Group to serve customers and conditions affecting the financial
services industry generally (including macroeconomic and other
geo-political developments) as well as the legal and regulatory
uncertainty resulting therefrom. It is unclear as to how the future
ways of working may evolve, including in respect of how working
practices may develop, or how NatWest Group will evolve to best
serve its customers. Any of the above may place significant
pressure on NatWest Group&#x2019;s ability to maintain effective
internal controls and governance frameworks.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
effective management of operational risks is critical to meeting
customer service expectations and retaining and attracting customer
business. Although NatWest 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 NatWest Group.
Ineffective management of such risks may adversely affect NatWest
Group&#x2019;s future results, financial condition and/or
prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group is subject to increasingly sophisticated and frequent
cyberattacks.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group experiences a constant threat from cyberattacks across the
entire NatWest Group and against NatWest Group&#x2019;s supply
chain, reinforcing the importance of due diligence of and close
working relationship with the third parties on which NatWest Group
relies. NatWest 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, NatWest Group is
required to continue to invest in additional capability designed to
defend against emerging threats. In 2022, NatWest Group and its
supply chain were subjected to a small number of Distributed Denial
of Service (&#x2018;DDOS&#x2019;) and ransomware attacks, which are a
pervasive and significant threat to the financial services
industry. The focus is to manage the impact of the attacks and
sustain availability of services for NatWest Group&#x2019;s
customers. NatWest Group continues to invest significant resources
in the development and evolution of cyber security controls that
are designed to minimise the potential effect of such
attacks<font style="color: #1F487C">.</font></font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="margin-left: 0px; margin-right: 0px; text-indent: 0px">
<div>
<table cellpadding="0" cellspacing="0" style="width: 100%; font-family: Times New Roman; font-size: 13px">
<tr style="background-color: #ffffff">
<td style="vertical-align: top; width: 100%">
<div style="text-align: left; margin-left: 12px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; color: #FFFFFF; font-family: Times New Roman; font-size: 13px">
Additional information</font></div>
</td>
</tr></table>
</div>
</div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Hostile
attempts are made by third parties to gain access to, introduce
malware (including ransomware) into and exploit vulnerabilities of,
NatWest Group&#x2019;s IT systems. NatWest Group has information and
cyber security controls in place to seek to minimise the impact of
any such attacks, which are subject to review on a continuing basis
but given the nature of the threat, there can be no assurance that
such measures will prevent the potential negative impacts of any
such attacks from occurring. See also, &#x2018;<font style="font-style: italic">NatWest Group&#x2019;s operations are highly
dependent on its complex IT systems and any IT failure could
adversely affect NatWest Group.</font>&#x2019;</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Any
failure in NatWest Group&#x2019;s cybersecurity policies, procedures
or controls, may result in significant financial losses, major
business disruption, inability to deliver customer services, or
loss of 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 NatWest Group&#x2019;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. Cyberattacks on NatWest Group&#x2019;s
counterparties may also damage NatWest Group&#x2019;s
operations.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Additionally,
third parties may also fraudulently attempt to induce employees,
customers, third-party providers or other users who have access to
NatWest Group&#x2019;s systems to disclose sensitive information in
order to gain access to NatWest Group&#x2019;s data or systems or
that of NatWest Group&#x2019;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 NatWest Group&#x2019;s employees or third
parties, including third party providers, or may result from
technological failure. Any of the above may have an adverse effect
on NatWest Group&#x2019;s reputation, future results, financial
condition and/or prospects.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group expects greater regulatory engagement, supervision and
enforcement to continue at a high level 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 adversely affect NatWest Group&#x2019;s future
results, financial condition and/or prospects. Due to NatWest
Group&#x2019;s reliance on technology and the increasing
sophistication, frequency and impact of cyberattacks, such attacks
may have an adverse effect on NatWest Group.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
accordance with the Data Protection Act 2018 and the European Union
Withdrawal Act 2018, the Data Protection, Privacy and Electronic
Communications (Amendments Etc.) (EU Exit) Regulations 2019, as
amended by the Data Protection, Privacy and Electronic
Communications (Amendments Etc.) (EU Exit) Regulations 2020
(&#x2018;UK Data Protection Framework&#x2019;)<font style="color: #FF0000">&#xA0;</font>and European Banking Authority
(&#x2018;EBA&#x2019;) Guidelines on ICT and Security Risk Management,
NatWest Group is required to ensure it implements timely,
appropriate and effective organisational and technological
safeguards against unauthorised or unlawful access to the data of
NatWest Group, its customers and its employees. In order to meet
this requirement, NatWest 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 NatWest Group interacts. A failure to monitor and manage
data in accordance with the UK Data Protection Framework and EBA
requirements of the applicable legislation may result in financial
losses, regulatory fines and investigations and associated
reputational damage.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group operations and strategy are highly dependent on the
accuracy and effective use of data.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group relies on the effective use of accurate data to support,
monitor, evaluate, manage and enhance its operations and deliver
its strategy. Investment is being made in data tools and analytics,
including raising awareness around data ethical usage and privacy
across NatWest 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&#x2019; expectations including the inability to
deliver products and services. This could also result in a failure
to deliver NatWest Group&#x2019;s strategy and could place NatWest
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, which could result in a
failure to deliver NatWest Group&#x2019;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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group&#x2019;s operations are highly dependent on its
complex IT systems and any IT failure could adversely affect
NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;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&#x2019;s payment systems,
financial crime, fraud systems and controls, risk management,
credit analysis and reporting, accounting, customer service and
other IT systems (some of which are owned and operated by other
entities in NatWest Group or third parties), as well as the
communication networks between its branches and main data
processing centres, is critical to NatWest Group&#x2019;s
operations.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Individually
or collectively, any critical system failure, material loss of
service availability or material breach of data security could
cause significant damage to: (i) important business services across
NatWest Group and (ii) NatWest Group&#x2019;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 NatWest
Group&#x2019;s regulatory approvals, competitive position, business
and brands, which could undermine its ability to attract and retain
customers. NatWest 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
hybrid working patterns of NatWest Group employees, heighten the
above risks.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group uses IT systems that enable remote working interface with
third-party systems, and NatWest Group could experience service
denials or disruptions if such systems exceed capacity or if 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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
2022, NatWest 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). NatWest Group also continues to develop and enhance
digital services for its customers and seeks to improve its
competitive position through enhancing controls and procedures and
strengthening the resilience of services including cyber security.
Any failure of these investment and rationalisation initiatives to
achieve the expected results, due to cost challenges or otherwise,
may adversely affect NatWest Group&#x2019;s operations, its
reputation and ability to retain or grow its customer business or
adversely affect its competitive position.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group relies on attracting, retaining and developing
diverse senior management and skilled personnel, and is required to
maintain good employee relations.</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;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 especially for technology
and data focused roles, in a highly competitive market and under
internal cost efficiency pressures.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;s ability to do this may be more difficult due to the
cost-controlling measures, a 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 particular those of
banks that have been in receipt of government support such as
NatWest Group). This may impact the cost of hiring, training and
retaining diverse skilled personnel. 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 increase the number of departures of
existing employees. Moreover, a failure to foster a diverse and
inclusive workforce may adversely affect NatWest Group&#x2019;s
employee engagement and the formulation and execution of its
strategy and could also have an adverse effect on its reputation
with customers, investors and regulators.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
inability to compensate employees competitively and/or any
reduction of compensation, as a result of negative economic
developments or otherwise, could have an adverse effect on NatWest
Group&#x2019;s ability to hire, retain and engage appropriately
qualified employees, especially at a senior level, which may
adversely affect NatWest Group&#x2019;s future results, financial
condition and/or prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Many of
NatWest Group&#x2019;s employees in the UK, the ROI 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 NatWest Group in maintaining good
employee relations. Any failure to do so may adversely affect
NatWest Group&#x2019;s ability to operate its business
effectively.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
A failure in NatWest Group&#x2019;s risk management framework could
adversely affect NatWest Group, including its ability to achieve
its strategic objectives.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Risk
management is an integral part of all of NatWest Group&#x2019;s
activities and delivery of its long-term strategy. NatWest
Group&#x2019;s Enterprise-Wide Risk Management Framework sets out
the approach for managing risk within the NatWest Group including
in relation to risk governance and risk appetite. A failure to
adhere to this framework, or any material weaknesses or
deficiencies in the framework&#x2019;s controls and procedures,
could adversely affect NatWest Group&#x2019;s financial condition
and strategic delivery including in relation to inaccurate
adherence to agreed risk appetite statements and accurate risk
reporting of risk exposures.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">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 NatWest Group inadvertently facilitating
financial crime which may result in regulatory investigation,
sanction, litigation, fines and reputational damage. Financial
crime continues to evolve, whether through fraud, scams,
cyber-attacks or other criminal activity. NatWest 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. As part of its
ongoing programme of investment, there is current and future
investment planned to further strengthen financial crime controls
over the coming years, including investment in new technologies and
capabilities to further enhance customer due diligence, transaction
monitoring, sanctions and anti-bribery and corruption
systems.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">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 or
insufficient challenges or assurance processes or a failure to
timely complete risk remediation projects. Failure to manage risks
effectively, or within regulatory expectations, could adversely
affect NatWest Group&#x2019;s reputation or its relationship with
its regulators, customers, shareholders or other
stakeholders.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;s operations are inherently exposed to conduct risks,
which include business decisions, actions or reward mechanisms that
are not responsive to or aligned with NatWest Group&#x2019;s
regulatory obligations, customers&#x2019; needs or do not reflect
NatWest Group&#x2019;s customer-focused 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,
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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;s businesses are also exposed to risks from employee
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 NatWest Group. Remote working
arrangements for NatWest Group employees continues to place heavy
reliance on the IT systems that enable remote working and may place
additional pressure on NatWest Group&#x2019;s ability to maintain
effective internal controls and governance frameworks. Remote
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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group has been seeking to embed a strong risk 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 risk management
strategy in line with regulatory expectations. However, such
efforts may not insulate NatWest Group from instances of misconduct
and no assurance can be given that NatWest Group&#x2019;s strategy
and control framework will be effective. Any failure in NatWest
Group&#x2019;s risk management framework could negatively affect
NatWest Group and its financial condition through reputational and
financial harm and may result in the inability to achieve its
strategic objectives for its customers, employees and wider
stakeholders.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group&#x2019;s operations are subject to inherent
reputational risk.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Reputational
risk relates to stakeholder and public perceptions of NatWest Group
arising from an actual or perceived failure to meet stakeholder or
the public&#x2019;s expectations, including with respect to NatWest
Group&#x2019;s purpose-led strategy and related targets, the
creation of the Commercial &amp; Institutional business segment,
the progression towards working as One Bank across the NatWest
Group to serve customers, or due to any events, behaviour, action
or inaction by NatWest Group, its employees or those with whom
NatWest Group is associated. See also &#x2018;<font style="font-style: italic">NatWest Group&#x2019;s businesses are subject
to substantial regulation and oversight, which are constantly
evolving and may adversely affect NatWest Group.</font><font style="font-weight: bold; font-style: italic">&#x2019;</font> This
includes harm to its brand, which may be detrimental to NatWest
Group&#x2019;s business, including its ability to build or sustain
business relationships with customers, and may cause low employee
morale, regulatory censure or reduced access to, or an increase in
the cost of, funding. Reputational risk may arise whenever there
is, or there is perceived to be, a material lapse in standards of
integrity, compliance, customer or operating efficiency and may
adversely affect NatWest Group&#x2019;s ability to attract and
retain customers. In particular, NatWest Group&#x2019;s ability to
attract and retain customers (particularly, corporate/institutional
and retail depositors) and engage with counterparties may be
adversely affected by factors including: negative public opinion
resulting from the actual or perceived manner in which NatWest
Group conducts or modifies its business activities and operations,
media coverage (whether accurate or otherwise), employee
misconduct, NatWest Group&#x2019;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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Modern
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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Although
NatWest Group has implemented a Reputational Risk Policy to monitor
the identification, assessment and management of customers,
transactions, products and issues, which represent a reputational
risk, NatWest Group cannot be certain that it will be successful in
avoiding damage to its business from reputational
risk.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; color: #42145F; font-family: Times New Roman; font-size: 13px">
Legal, regulatory and conduct risk</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group&#x2019;s businesses are subject to substantial
regulation and oversight, which are constantly evolving and may
adversely affect NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
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 have been introduced or amended recently and are
subject to further material changes, which may increase compliance
and conduct risks, particularly as EU/EEA and UK laws diverge as a
result of Brexit. NatWest Group expects government and regulatory
intervention in the financial services industry to remain high for
the foreseeable future.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
recent years, regulators and governments have focused on reforming
the prudential regulation of the financial services industry and
the manner in which the business of financial services is
conducted. Measures have included: enhanced capital, liquidity and
funding requirements, implementation of the UK ring-fencing regime,
implementation and strengthening of the recovery and resolution
framework applicable to financial institutions in the UK, the EU
and the US, financial industry reforms (including in respect of
MiFID II), corporate governance requirements, restrictions on the
compensation of senior management and other employees, enhanced
data protection and IT resilience requirements, financial market
infrastructure reforms (including enhanced data protection and IT
resilience requirements) enhanced regulations in respect of the
provision of &#x2018;investment services and activities&#x2019;, and
increased regulatory focus in certain areas, including conduct,
consumer protection, competition and disputes regimes, anti-money
laundering, anti-corruption, anti-bribery, anti-tax evasion,
payment systems, sanctions and anti-terrorism laws and
regulations.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 3px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
addition, there is significant oversight by competition authorities
of the jurisdictions in which NatWest Group operates. The
competitive landscape for banks and other financial institutions in
the UK, EU/EEA, Asia and the US is rapidly changing. Recent
regulatory and legal changes have 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 currently also looking at and focusing more on how they can
support competition and innovation in digital and other
markets.<font style="color: #FF0000">&#xA0;</font>Recent regulatory
changes, proposed (such as US proposals to increase regulation
around cybersecurity) or future developments and heightened levels
of public and regulatory scrutiny in the UK, the EU and the 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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Other
areas in which, and examples of where, governmental policies,
regulatory and accounting changes, and increased public and
regulatory scrutiny could have an adverse effect (some of which
could be material) on NatWest Group include, but are not limited
to, the following:</font></div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">general changes in
government, central bank, regulatory or competition policy, or
changes in regulatory regimes that may influence investor decisions
in the jurisdictions in which NatWest Group operates;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">rules relating to
foreign ownership, expropriation, nationalisation and confiscation
of assets;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">increased scrutiny
including from the CMA, FCA and Payment Systems Regulator
(&#x2018;PSR&#x2019;) for the protection and resilience of, and
competition and innovation in, digital and other markets, UK
payment systems and retail banking developments relating to the UK
initiative on Open Banking, Open Finance and the European directive
on payment services;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">the ongoing
compliance by NatWest Group with CMA&#x2019;s Market Orders
including the Retail Banking Market Order 2017 (the
&#x2018;Order&#x2019;) and SME Undertakings as well as the ongoing
consultation by the UK Government to introduce penalties for
breaches of such requirements (in addition to the current customer
remediation requirements);</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">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;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">increased risk of
new class action claims being brought against NatWest Group in the
Competition Appeal Tribunal for breaches of competition
law;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">new or increased
regulations relating to customer data protection as well as IT
controls and resilience, such as the proposed UK Data Protection
and Digital Information Bill and in India, the Digital Personal
Data Protection Bill;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">the introduction
of, and changes to, taxes, levies or fees applicable to NatWest
Group&#x2019;s operations, such as the imposition of a financial
transaction tax, introduction of global minimum tax rules, changes
in tax rates, 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;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">increased
regulatory focus on customer protection (such as the FCA&#x2019;s
Consumer Duty policy statement and final rules and guidance) in
retail or other financial markets;</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">the potential
introduction by the Bank of England of a Central Bank Digital
Currency which could result in deposit outflows, higher funding
costs, and/or other implications for UK banks including NatWest
Group; and</font></div>
</div>
</div>
<div style="margin-left: 0px; display: table">
<div style="display: table-row">
<div style="text-align: left; display: table-cell; width: 24px">
<font style="font-size: 13px">&#xA0; <font style="font-size: 13px">-</font></font></div>
<div style="text-align: justify; display: table-cell"><font style="font-family: Times New Roman; font-size: 13px">regulatory
enforcement in the form of PRA imposed financial penalties for
failings in banks&#x2019; regulatory reporting governance and
controls, and regulatory scrutiny following the 2019 PRA
&#x2018;Dear CEO letter&#x2019; regarding PRA&#x2019;s ongoing focus
on: the integrity of regulatory reporting, which the PRA considers
has equal standing with financial reporting; the PRA&#x2019;s
thematic reviews of the governance, controls and processes for
preparing regulatory returns of selected UK banks, including
NatWest Group; the publication of the PRA&#x2019;s common findings
from those reviews in September 2021; and NatWest Group&#x2019;s
programme of improvements to meet PRA expectations.</font></div>
</div>
</div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">These
and other recent regulatory changes, proposed or future
developments and heightened levels of public and regulatory
scrutiny in the UK, the EU and the 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, competitive position, product offerings and business
models. Future competition investigations, market reviews, or the
regulation of mergers may lead to the imposition of financial
penalties or market remedies that may adversely affect NatWest
Group&#x2019;s competitive or financial position. Any of these
developments (including any failure to comply with new rules and
regulations) could also have a significant impact on NatWest
Group&#x2019;s authorisations and licences, the products and
services that NatWest Group may offer, its reputation and the value
of its assets, NatWest Group&#x2019;s operations or legal entity
structure, and the manner in which NatWest Group conducts its
business. Material consequences could arise should NatWest Group be
found to be 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 NatWest Group&#x2019;s ability to comply with the
applicable body of rules and regulations in the manner and within
the timeframes required.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">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 NatWest Group to comply with such
laws, rules and regulations, may adversely affect NatWest
Group&#x2019;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 NatWest Group&#x2019;s ability to
engage in effective business, capital and risk management
planning.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #7030A0; font-family: Times New Roman; font-size: 13px">
NatWest Group is exposed to the risks of various litigation
matters, regulatory and governmental actions and investigations as
well as remedial undertakings, including conduct-related reviews,
anti-money laundering and redress projects, the outcomes of which
are inherently difficult to predict, and which could have an
adverse effect on NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group&#x2019;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. NatWest 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 US, the UK, Europe and other jurisdictions.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group is currently, has recently been and 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 offering of
securities, conduct in the foreign exchange market, the setting of
benchmark rates such as LIBOR and related derivatives trading, the
issuance, underwriting, and sales and trading of fixed-income
securities (including government securities), product mis-selling,
customer mistreatment, anti-money laundering, antitrust, VAT
recovery and various other issues. 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. NatWest Group&#x2019;s
expectation for resolution may change and substantial additional
provisions and costs may be recognised in respect of any
matter.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
resolution of significant investigations include: NWM Plc&#x2019;s
December 2021 spoofing-related guilty plea in the United States,
which involves a three-year period of probation, an independent
corporate monitor, and commitments to compliance programme reviews
and improvements and reporting obligations. For additional
information relating to this and other legal and regulatory
proceedings and matters to which NatWest Group is currently
exposed, see &#x2018;<font style="font-style: italic">Litigation and
regulatory matters</font>&#x2019; at Note 26 to the consolidated
accounts.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">The
2021 guilty plea, other recently resolved matters or adverse
outcomes or resolution of current or future legal or regulatory
actions could increase the risk of greater regulatory and
third-party scrutiny and could have material collateral
consequences for NatWest Group&#x2019;s business and result in
restrictions or limitations on NatWest Group&#x2019;s
operations.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">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 NatWest Group, particularly
but not solely in the US, which may take a significant period of
time and the results and implications of which are
uncertain.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">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 could adversely affect
NatWest Group&#x2019;s business, in particular in the US. This in
turn and/or any fines, settlement payments or penalties may
adversely affect NatWest Group&#x2019;s reputation, future results,
financial condition and/or prospects.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Failure
to comply with undertakings made by NatWest Group to its
regulators, or the conditions of probation resulting from the
spoofing-related guilty plea, may result in additional measures or
penalties being taken against NatWest 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 NatWest Group&#x2019;s operations, additional
supervision by NatWest Group&#x2019;s regulators, and loss of
investor confidence.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
NatWest Group may not effectively manage the transition of LIBOR
and other IBOR rates to replacement risk-free rates.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">UK and
international regulators are driving the transition from the use of
interbank offer rates (&#x2018;IBORs&#x2019;), to replacement rates
generally referred to as &#x2018;risk-free rates&#x2019;
(&#x2018;RFRs&#x2019;). As of 31 December 2021, LIBOR, as currently
determined, has ceased for all tenors of GBP, JPY, CHF, EUR, and
for the 1 week and 2-month tenors for USD. The remaining USD LIBOR
tenors, as currently determined, are due to cease after 30 June
2023. The FCA has used its powers under the UK Benchmarks
Regulation (&#x2018;UK BMR&#x2019;) to require, for a limited period
of time after 31 December 2021, the ongoing publication of the 1-,
3-, and 6-month GBP and JPY LIBOR tenors using a changed
methodology (i.e., &#x2018;Art23A LIBOR&#x2019; on a synthetic
basis). The UK has passed the Critical Benchmarks (References and
Administrators&#x2019; Liability)</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Act
2021 (&#x2018;Critical Benchmarks Act&#x2019;) which establishes a
framework that allows the ongoing use of Art23A LIBOR under certain
circumstances where contracts have not pro-actively transitioned
onto the replacement rates. These concessions provided under UK BMR
and the Critical Benchmarks Act are temporary. The FCA confirmed
that Art23A will no longer be available from: (i) the end of 2022
for JPY, (ii) March 2023 for 1- and 6-month GBP LIBOR and (iii)
March 2024 for 3-month GBP LIBOR. The transition away from these
temporary concessions may expose NatWest Group, its customers and
the financial services industry more widely to various risks,
including: (i) the FCA further restricting use of Art23A LIBOR
resulting in proactive transition of contracts; and (ii)
mis-matches between positions in cleared derivatives and the
exposures they are hedging where those exposures are permitted to
make use of Art23A LIBOR. Although the formal cessation date for
the remaining USD LIBOR tenors (as currently determined) is not
until the end of June 2023, US and UK regulators have clarified
that this is only to support the rundown of existing USD LIBOR
exposures. No new contracts should reference these USD LIBOR tenors
after 31 December 2021, other than in a very limited range of
circumstances. NatWest Group will continue to have ongoing exposure
to the remaining USD LIBOR tenors until cessation in June
2023.</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NatWest
Group has held significant exposures to various IBORs and has
actively sought to transition away from these during 2021 and 2022
in accordance with regulatory expectations and milestones.
Transition measures have included the pro-active development of new
products using the replacement rates, restructuring existing LIBOR
exposures to reference these replacement rates and embedding RFR
transition language into relevant contracts. Central Counterparty
Clearing houses (CCPs) conducted mass conversion exercises in
December 2021 covering GBP, JPY, CHF and EUR LIBOR, transitioning
derivatives to the relevant RFR, conversion exercises for USD are
scheduled for May 2023. NWG entities, along with many of their
major counterparties, have adhered to the ISDA IBOR fall-backs
protocol which establishes a contractual process to transition from
IBORs to RFRs for bilateral derivative products.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">These
transition efforts have involved extensive engagement with
customers, industry working groups and regulators to seek to
deliver transition in a transparent and economically appropriate
manner. These changes coincide with the recognition that market
liquidity is lower than it has been and whilst it will be
inherently difficult to disaggregate the different impacts from
each other it may be that similar levels of market liquidity are
not reached for these RFR products, clear and consistent market
conventions for all replacement products may not be implemented or
they may not be accepted by market participants including NatWest
Group counterparties. Where there remains an uncertainty around the
manner of transition to RFRs, NatWest Group, clients and the
financial services industry are exposed to the related
risks.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Examples
of these risks include (i) legal (including litigation) risks
relating to documentation for new and the majority of existing
transactions (including, changes, lack of changes, unclear
contractual provisions, and disputes in respect of these); (ii)
financial risks from any changes in valuation of financial
instruments linked to relevant IBORs, including cost of funds and
relevant risk management related financial models; (iii) changes to
benchmark rates could impact pricing, interest rate or settlement
mechanisms for certain instruments; (iv) operational risks linked
to the adaptation of IT systems, trade reporting infrastructure and
operational processes, as well as ensuring compliance with
restrictions on new USD LIBOR usage after December 2021; (v)
conduct risks arising from communication of the potential impact on
customers, engagement with customers during and after the
transition period, or non-acceptance by customers of replacement
rates; and (vi) different legislative provisions in different
jurisdictions, for example, unlike certain US states and the EU,
the UK has not provided a clear and robust safe harbour to protect
against litigation and potential liability arising out of the
switch to &#x2018;synthetic LIBOR&#x2019;.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Although
the majority of NWG&#x2019;s IBOR exposure has already been
transitioned to RFRs, there remains a large population linked to
USD LIBOR, scheduled for transition by June 2023. Until IBOR
transition is complete there is some uncertainty as to the impact
of the transition, or the potential costs of implementing any
relevant remedial action including in the event that the transition
is not completed in a timely manner, or at all. The implementation
of any alternative RFRs may be impossible or impracticable under
the existing terms of certain financial instruments and may
adversely affect their value or return and therefore on NatWest
Group&#x2019;s future results.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #5E10B1; font-family: Times New Roman; font-size: 13px">
Changes in tax legislation or failure to generate future taxable
profits may impact the recoverability of certain deferred tax
assets recognised by NatWest Group.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">In
accordance with the accounting policies set out in <font style="font-style: italic">&#x2018;Critical accounting policies and
sources of estimation uncertainty</font>&#x2019;, NatWest 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.</font></div>
<div><font style="font-family: Times New Roman; font-size: 10">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Failure
to generate sufficient future taxable profits or further changes in
tax legislation (including with respect to rates of tax) or
accounting standards may reduce the recoverable amount of the
recognised tax loss deferred tax assets, amounting to &#xA3;2,178
million as at 31 December 2022. Changes to the treatment of certain
deferred tax assets may impact NatWest Group&#x2019;s capital
position. In addition, NatWest Group&#x2019;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.</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Legal
Entity Identifier: 2138005O9XJIJN4JPN90</font></div>
<div style="text-align: justify; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="color: #000000; font-family: Times New Roman; font-size: 13px">
&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Date:&#xA0;17
February 2023</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div>
<table cellpadding="0" cellspacing="0" style="width: 100%; font-family: Times New Roman; font-size: 13px">
<tr>
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<div><font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<td style="vertical-align: top; width: 51%">
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">NATWEST
GROUP plc (Registrant)</font></div>
</td>
</tr><tr>
<td style="vertical-align: top; width: 49%">
<div><font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<div><font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<div><font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">By: /s/
Jan Cargill</font></div>
</td>
</tr><tr>
<td style="vertical-align: top; width: 49%">
<div><font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<div><font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<td style="vertical-align: top; width: 49%">
<div><font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
</td>
<td style="vertical-align: top; width: 51%">
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Name:
Jan Cargill</font></div>
</td>
</tr><tr>
<td style="vertical-align: top; width: 49%">
<div><font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
</td>
<td style="vertical-align: top; width: 51%">
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-family: Times New Roman; font-size: 13px">Title:
Chief Governance Officer and Company Secretary</font></div>
</td>
</tr></table>
</div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
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<font style="font-family: Times New Roman; font-size: 13px">&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; font-family: Times New Roman; font-size: 13px">
&#xA0;</font></div>
<div style="text-align: left; margin-left: 0px; margin-right: 0px; text-indent: 0px">
<font style="font-weight: bold; font-family: Times New Roman; font-size: 13px">
&#xA0;</font></div>
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