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Westminster
National
Bank Plc
2024 Annual Report and Accounts
Strategic report
NWB Group
Annual Report and Accounts 2024
2
Presentation of information
National Westminster Bank Plc (‘NWB Plc’) is a wholly owned
subsidiary of NatWest Holdings Limited (‘NWH Ltd’ or ‘the
intermediate holding company’). The term ‘NWB Group’ or ‘we’
refers to NWB Plc and its subsidiary and associated undertakings.
The term ‘NWH Group’ refers to NWH Ltd and its subsidiary and
associated undertakings. NatWest Group plc is ‘the ultimate
holding company’. The term ‘NatWest Group’ refers to NatWest
Group plc and its subsidiaries.
NWB Plc publishes its financial statements in pounds sterling (‘£’
or ‘sterling’). The abbreviations ‘£m’ and ‘£bn’ represent millions
and thousands of millions of pounds sterling (‘GBP’), respectively,
and references to ‘pence’ represent pence where amounts are
denominated in sterling. Reference to ‘dollars’ or ‘$’ are to United
States of America (‘US’) dollars. The abbreviations ‘$m’ and ‘$bn’
represent millions and thousands of millions of dollars,
respectively. The abbreviation ‘€’ represents the ‘euro’, and the
abbreviations ‘€m’ and ‘€bn’ represent millions and thousands of
millions of euros, respectively.
Description of business
National Westminster Bank Plc (‘NWB Plc’, which wholly owns
Coutts & Company) is a principal entity under NatWest Holdings
Limited (‘NWH Ltd’), together with The Royal Bank of Scotland
plc (‘RBS plc’). The term ‘NWB Group’ refers to NWB Plc and its
subsidiary and associated undertakings.
Principal activities and operating segments
NWB Group serves customers across the UK with a range of
retail and commercial banking products and services. A wide
range of personal products are offered including current
accounts, credit cards, personal loans, mortgages and wealth
management services. NWB Plc is the main provider of shared
services for NatWest Group.
The reportable operating segments are as follows:
Retail Banking
-
serves personal customers in the UK and
includes Ulster Bank customers in Northern Ireland.
Private Banking
-
serves UK-connected, high net worth
individuals and their business interests.
Commercial & Institutional
-
consists of customer businesses
reported under Business Banking, Commercial Mid-market and
Corporate & Institutions, supporting our customers across the full
non-personal customer lifecycle, both domestically and
internationally.
Central items & other
-
includes corporate functions such as
treasury, finance, risk management, compliance, legal,
communications and human resources. NWB Plc is the main
service provider of shared services and treasury activities for
NatWest Group. The services are mainly provided to NWH
Group, however, in certain instances where permitted, services
are also provided to the wider NatWest Group including the non
ring-fenced business.
Performance overview
Strong financial performance
NWB Group profit for the year was £3,425 million compared with
£3,509 million in 2023.
Total income decreased by £113 million to £11,973 million,
primarily reflecting a gain on redemption of own debt in 2023
and a decrease on gains from economic hedging derivatives. This
was partially offset by increased net interest income, lending and
financing fees and investment income.
Operating expenses increased by £170 million to £6,963 million,
reflecting higher staff costs as a result of planned restructuring
costs and higher depreciation and amortisation costs, mainly due
to continued investment in technology. This was offset in part by
a reduction in conduct and managed services costs.
Net impairment losses of £347 million reduced year on year
reflecting good book releases, post model adjustment releases
and the IFRS 9 multiple economic scenario (MES) updates
partially offset by an increase in Stage 3 charges. Total
impairment provisions decreased by £0.1 billion to £2.7 billion in
the year. Expected credit loss (ECL) coverage ratio decreased
from 0.88% to 0.81%.
Robust balance sheet with strong capital levels
Total assets increased by £8.8 billion to £424.3 billion. This was
primarily driven by an increase in loans to customers and a £7.6
billion increase in other financial assets, driven by liquidity risk
management activities, principally net bond activity. This was
partially offset by a reduction in cash and balances at central
banks.
Loans to customers increased by £13.5 billion to £332.0 billion
primarily driven by an increase in reverse repo activities, growth
in the Retail Banking business as a result of the acquisition of a
Metro Bank mortgage portfolio, and commercial term loan
facilities.
Customer deposits increased by £4.5 billion to £318.3 billion
driven by growth in savings balances combined with a deposit
mix shift as customers move toward interest bearing accounts.
This was partially offset by a reduction in repo balances as a
result of market conditions.
The Common Equity Tier 1 (CET1) ratio decreased 20 basis
points to 11.4% due to a £2.8 billion increase in risk-weighted
assets (RWAs) partially offset by a £0.1 billion increase in CET1
capital. The CET1 capital increase was primarily driven by
attributable profit, partially offset by interim and foreseeable
dividends.
Total RWAs increased by £2.8 billion to £124.5 billion mainly
reflecting:

an increase in credit risk RWAs of £1.2 billion, primarily driven
by a £0.9 billion Metro Bank mortgage portfolio acquisition,
increased lending and an uplift in internal ratings based (IRB)
temporary model adjustment in Retail Banking and an
increase driven by drawdowns and new facilities within
Commercial & Institutional. These increases were partially
offset by active RWA management and improved risk metrics.

an increase in operational risk RWAs of £1.6 billion following
the annual recalculation.
Page
Strategic report
Presentation of information
2
Description of business
2
Performance overview
2
Stakeholder engagement and s.172(1) statement
3
Board of directors and secretary
4
Top and emerging risks
5
Financial review
7
Risk and capital management
10
Report of the directors
78
Statement of directors’ responsibilities
85
Financial statements
86
Risk factors
173
Forward-looking statements
191
Stakeholder engagement and s.172(1) statement
NWB Group
Annual Report and Accounts 2024
3
This statement describes how the directors have had regard to
the matters set out in section 172(1) (a) to (f) of the Companies
Act 2006 (section 172) when performing their duty to promote
the success of the company.
Board engagement with stakeholders
The Board reviews and confirms its key stakeholder groups for
the purposes of section 172 annually. For 2024, they remained
investors, customers, colleagues, regulators, communities and
suppliers.
Directors are mindful that it is not always possible to achieve an
outcome which meets the expectations of all stakeholders, and
that there may be impacted stakeholders outside the six key
groups the Board has identified. Examples of how the Board has
engaged with key stakeholders, including the impact on principal
decisions, can be found in this statement and on page 78
(Corporate governance statement).
Supporting effective Board discussions and
decision-making
Board and Committee terms of reference reinforce the
importance of considering the matters set out in section 172 (the
s172 factors, as set out below). The Board and Committee paper
template also supports consideration of stakeholders and enables
good decision making.
Principal decisions
Principal decisions are those decisions taken by the Board that
are material or of strategic importance to the company, or are
significant to the company’s key stakeholders.
This statement includes a case study of a principal decision taken
by the Board during 2024. Further information on the Board’s
principal activities can be found in the Corporate governance
statement on pages 78 to 84.
The s172 factors
(a) likely long-term consequences
(b) employee interests
(c) relationships with customers, suppliers and others
(d) the impact on community and environment
(e) maintaining a reputation for high standards of business
conduct
(f) acting fairly between members of the company
Case Study – Dividend payments
Factors considered: (a), (e), (f)
What was the decision-making process?
The Board approved full year and interim dividend declarations
during 2024 to be made to the sole shareholder, NWH Ltd. It
considered proposals in the context of the agreed planning
targets for the year, which reflected current and future
regulatory capital requirements and the available funds for
distribution. In line with standard practice, the Board Risk
Committee reviewed all proposals prior to submission to the
Board, making appropriate recommendations. Both the
Committee and the Board also reviewed the opinion of the
second line of defence in relation to the proposals.
How did the directors fulfil their duties under section
172? How were stakeholders considered?
The Board recognised the need to balance adequate investment
in the business with shareholder expectations that excess capital
be paid to the parent entity. Consideration was given to NWB
Plc’s growth ambitions and lending forecasts, agreed risk
appetite and targets, and the dividend capacity. The Board was
particularly focused on ensuring the proposed distributions would
support the long-term success of the company for the benefit of
all stakeholders, and that the payments would not impact NWB
Plc’s ability to withstand an extreme stress scenario. External
expectations of capital management were also carefully
considered by the directors, including those of the shareholder,
NWH Ltd. Regulatory requirements formed an important part of
the planning targets The Board also considered the financial
implications the distributions might have and any potential impact
on the bank’s ability to serve our customers every day.
Actions and outcomes
A final dividend of £880 million was approved by the NWB Plc
Board in February 2024 and an interim dividend of £1,636 million
was approved by the Board in July 2024. These payments
resulted in a CET1 ratio of 11.4%, consistent with the 2024
planning target and above regulatory requirements.
Board of directors and secretary
NWB Group
Annual Report and Accounts 2024
4
Approval of Strategic report
The Strategic report for the year ended 31 December 2024 set out on pages 2 to 77 was approved by the Board of directors on 13
February 2025.
By order of the Board
Jan Cargill
Chief Governance Officer and Company Secretary
13 February 2025
Chair
Richard Haythornthwaite
Executive directors
John-Paul Thwaite (CEO)
Katie Murray (CFO)
Non-executive directors
Francesca Barnes
Ian Cormack
Roisin Donnelly
Patrick Flynn
Geeta Gopalan
Yasmin Jetha
Stuart Lewis
Mark Rennison
Mark Seligman
Gillian Whitehead
Lena Wilson
Board and committee membership
Nominations Committee
Rick Haythornthwaite (Chair)
Ian Cormack
Patrick Flynn
Stuart Lewis
Mark Seligman
Lena Wilson
Audit Committee
Patrick Flynn (Chair)
Ian Cormack
Geeta Gopalan
Stuart Lewis
Mark Rennison
Mark Seligman
Board Risk Committee
Stuart Lewis (Chair)
Francesca Barnes
Ian Cormack
Patrick Flynn
Geeta Gopalan
Mark Rennison
Gill Whitehead
Lena Wilson
Performance and Remuneration Committee
Lena Wilson (Chair)
Ian Cormack
Roisin Donnelly
Mark Rennison
Mark Seligman
Senior Independent Non-executive Director
Ian Cormack
Chief Governance Officer and Company Secretary
Jan Cargill
Board changes in 2024
Rick Haythornthwaite was appointed as a non-executive director
on 8 January 2024 and as Chair on 15 April 2024.
Howard Davies stood down as Chairman and as a non-executive
director on 15 April 2024.
Geeta Gopalan was appointed as a non-executive director on 1
July 2024.
Board changes in 2025
Gill Whitehead was appointed as a non-executive director on 8
January 2025.
Auditor
Ernst & Young LLP
Chartered Accountants and Statutory Auditor
25 Churchill Place
London, E14 5EY
Registered office and Head office
250 Bishopsgate
London, EC2M 4AA
Telephone: +44 (0)20 7085 5000
Other principal offices
Coutts & Company
440 Strand
London, WC2R 0QS
National Westminster Bank Plc
Registered in England No. 929027
Top and emerging risks
NWB Group
Annual Report and Accounts 2024
5
Top and emerging risks are future scenarios that could have a significantly negative impact on our ability to operate, or deliver, our
strategy and are managed through the enterprise-wide risk management framework toolkit. They usually combine elements of several
principal risks and require a coordinated management response. Top risks could occur or require management action within two
years, while emerging risks are evolving and/or could occur over a longer time horizon but have the potential to become a top risk. In
2024, the Executive Risk Committee, the Board Risk Committee and the Board received regular reporting on top and emerging risks.
The Board Risk Committee also engaged in focused horizon scanning sessions in 2024, to enable early identification and mitigation of
top and emerging risks.
Top risk scenarios in
focus in 2024
Description
Mitigants
Increased competition
Competitive pressures could intensify, impeding NWB
Group’s ability to grow or retain market share, impacting
revenues and profitability, particularly in the UK Retail
Banking and Commercial & Institutional segments. Drivers of
competition mainly relate to developments in technology,
evolving incumbents, challengers, new entrants to the
market, shifts in customer behaviour and changes in
regulation. For example, increased competition from
technology conglomerates, who may have competitive
advantages in scale, technology and customer engagement
(including brand recognition).
NWB Group closely monitors the competitive
environment and adapts its strategy as
appropriate. This includes using scenario analysis
and assessing how mega-trends will impact
industry competitive dynamics. Strategic
responses are focused on investing to deliver
innovative and compelling propositions for
customers and effectively leveraging acquisitions
and partnerships.
Cyberattack
There is a constantly evolving threat from cyberattacks
which are increasing in terms of frequency, sophistication,
impact and severity. This includes hostile attempts to gain
access to and exploit potential vulnerabilities of IT systems
including via malware. Any failure in NWB Group’s
cybersecurity policies, procedures or controls may result in
significant financial losses, major business disruption, inability
to deliver customer services, loss of data and associated
reputational damage.
NWB Group continues to invest in additional
capability to defend against threats including
developing and evolving cybersecurity policies,
procedures and controls that are designed to
minimise the potential effect of such attacks. The
focus is to manage the impact of the attacks and
maintain services for NWB Group’s customers.
This includes testing and proving cyber resilience
capabilities via stress testing of NWB Group’s
important business services.
Economic and interest
rate volatility
Economic conditions could deteriorate, depending on factors
including weak economic activity, volatility in interest rates,
liquidity pressures, sharp falls in asset prices, escalating
geopolitical tensions and concerns regarding sovereign debt
or sovereign credit ratings. Any of these may have a
materially adverse effect on NWB Group’s future financial
prospects.
A range of complementary approaches is used to
mitigate the risks, such as targeted scenario
analysis, stress tests, targeted customer reviews
and reviews of risk appetite. Stress tests included
completion of regulatory stress tests such as the
Bank of England 2023/24 system-wide
exploratory scenario as well as a range of internal
scenarios.
Climate ambitions
NatWest Group’s strategy relating to climate change,
ambitions, targets and transition planning entails significant
financial and non-financial risks and is unlikely to be achieved
without significant and timely government policy, technology
and customer behavioural changes.
Recognising the delivery threats to some of
NatWest Group’s climate ambitions, which if they
were to crystallise, would manifest themselves in
the shape of financial and non-financial risks,
NatWest Group plans to review its climate
ambitions during 2025 in the context of the UK
Committee on Climate Change’s (UK CCC)
Seventh Carbon Budget which is expected to be
published on 26 February 2025 and the UK CCC’s
2025 Progress Report which is due for release in
the summer of 2025.
Operational risk
scenarios
Operational risks are inherent in NWB Group’s businesses
and a broad range of scenarios are considered. NWB Group
could be adversely impacted by scenarios including a failure
to access current, complete, and accurate data, or disruption
to services if a third party service provider experienced any
interruptions. These scenarios could result in business and
customer interruption and related reputational damage,
significant compensation costs, regulatory sanctions and/or a
breach of applicable regulations.
NWB Group devotes significant resources to third
party risk management. Focus areas include
identifying critical service suppliers, developing
robust exit and contingency plans in the event of
supply chain disruption, and ensuring appropriate
monitoring and oversight of third party
performance.
Effective and ethical use of data is critical to NWB
Group’s goals, with continued focus on delivering
our long-term data strategy alongside enhancing
control and policy frameworks governing data
usage.
Evolving regulation
NWB Group’s businesses are subject to substantial regulation
and oversight, both of which are constantly evolving and
may have an adverse impact on NWB Group. Areas of
ongoing regulatory focus include Basel 3.1 standards
implementation, including the resulting effect on RWAs and
models, as well as the FCA’s Consumer Duty standards on
consumer protection and the effective management of
financial crime.
NWB Group constantly monitors regulatory
change and works with the regulators to help
shape those developments that materially impact
NWB Group, responding when necessary either
bilaterally or in partnership with one of the
affiliated industry bodies. NWB Group implements
new regulatory requirements where applicable
and uses frequent engagement meetings with
regulators to discuss key regulatory priorities.
Top and emerging risks continued
NWB Group
Annual Report and Accounts 2024
6
Emerging risk scenarios
in focus in 2024
Description
Mitigants
Artificial intelligence
Innovations in artificial intelligence (AI), including generative
AI, may rapidly transform and disrupt customer interactions,
the industry and the economy. NWB Group’s ability to
continue to deploy AI solutions and integrate AI in systems
and controls will become increasingly important to retaining
and growing business. There can be no certainty that NWB
Group’s innovation strategy will be successful, and
competitors may be more successful in implementing AI
technologies, in turn, affecting industry competitive dynamics.
Developments in AI may also result in increased model risk
and rising levels of fraud.
NWB Group closely monitors developments in
disruptive technologies including AI. Strategy is
developed as appropriate to leverage AI across NWB
Group with a focus on helping improve customer
journeys, personalisation, colleague effectiveness and
improved risk and capital management. Using AI
safely and ethically is a key area of focus, alongside
compliance with evolving AI regulation. This includes
developing a robust set of controls for the use of AI
models and tools across NWB Group.
Biodiversity and nature
loss
The risks arising from the loss and/or decline of the state of
biodiversity and nature are uncertain but could negatively
impact the global financial system. These risks may include
the reduction of any aspect of biological diversity and other
forms of environmental degradation such as air, water and
land pollution, soil quality degradation and water stress.
There is also increasing investor, regulatory and stakeholder
scrutiny regarding how businesses address these risks.
Using emerging industry guidance such as the
Task Force on Nature-related Financial
Disclosures framework, NWB Group is seeking to
further its understanding of nature-related risks.
This includes how its business activities impact
nature, the dependencies NWB Group and its
counterparties (including its suppliers) and
customers have on nature, and the risks and
opportunities nature can generate.
Digital currency
NWB Group operates in markets which would be exposed to
any developments in digital currency, including a UK central
bank digital currency (CBDC). The Bank of England and His
Majesty’s Treasury are exploring the case and design for a
CBDC, the digital pound. The introduction of new digital
currencies, including a digital pound, could result in deposit
outflows, higher funding costs, and/or other implications for
UK banks including NWB Group.
NatWest Group maintains an Executive Steering
Group on digital assets including overseeing
developments and engagement on digital currencies,
such as CBDCs. NatWest Group engages with the
UK Government and regulators on digital currency
developments. This includes engagement with
policymakers on a bilateral and industry level. For
example, NatWest Group is represented on the Bank
of England’s CBDC Engagement Forum, and
responds to relevant consultations, discussion papers
and other publications.
Geopolitical risk
NWB Group is exposed to risks arising from geopolitical
events or political developments. Geopolitical tensions remain
elevated and a range of potential scenarios and impacts are
considered. This includes the potential impact of armed
conflict, global trade and supply chain disruption, volatility in
commodity prices, protectionist policies or trade barriers and
state sponsored cyberattacks.
NWB Group closely monitors the geopolitical risk
outlook and undertakes regular scenario analysis
to understand the potential impacts and takes
mitigating actions as required. This includes
second and third order analysis of impacts, for
example, through customers’ supply chain
disruption or disruption to third party providers.
Physical climate risk
Intensifying physical climate-related risks, including climate
events materially increasing in frequency and/or severity,
results in direct impacts on property, infrastructure, supply
chains, geopolitics and economic activity. This could lead to
significant credit, market and/or non-financial risks and, if
those risks are not mitigated, losses.
NatWest Group continues to develop a range of
climate scenario narratives that include increased
focus on physical risks. These seek to explore the
potential implications from the global warming
already observed as a result of historical emissions
and will inform short-term event driven physical
risk modelling. The impact of possible climate
tipping points, which could lead to large
irreversible changes in the climate system, are
also being explored.
Shadow banking
NWB Group is exposed to vulnerabilities within shadow
banking or market-based finance (MBF), given the
interlinkages between UK banks and MBF. This includes the
potential for stress events or shocks to financial markets.
NWB Group closely monitors exposure to shadow
banking or MBF. An internal framework for the
identification, management, control and mitigation
of the risks associated with exposure to shadow
banking or MBF is maintained. This includes
effective reporting and governance in respect of
such exposure.
Financial review
NWB Group
Annual Report and Accounts 2024
7
Summary consolidated income statement for the year ended 31 December 2024
Retail
Private
Commercial &
Central items
Banking
Banking
Institutional
& other
2024
2023
Variance
£m
£m
£m
£m
£m
£m
£m
%
Net interest income
4,472
619
3,342
(225)
8,208
8,023
185
2
Non-interest income
412
319
1,446
1,588
3,765
4,063
(298)
(7)
Total income
4,884
938
4,788
1,363
11,973
12,086
(113)
(1)
Operating expenses
(2,445)
(700)
(2,346)
(1,472)
(6,963)
(6,793)
(170)
3
Profit/(loss) before impairment losses/releases
2,439
238
2,442
(109)
5,010
5,293
(283)
(5)
Impairment (losses)/releases
(250)
11
(117)
9
(347)
(504)
157
(31)
Operating profit/(loss) before tax
2,189
249
2,325
(100)
4,663
4,789
(126)
(3)
Tax charge
(1,238)
(1,280)
42
(3)
Profit for the year
3,425
3,509
(84)
(2)
Key metrics and ratios
2024
2023
Cost:income ratio
(1)
58.2%
56.2%
Loan impairment rate
(2)
10bps
15bps
CET1 ratio
(3)
11.4%
11.6%
Leverage ratio
(4)
4.4%
4.5%
Risk-weighted assets (RWAs)
£124.5bn
£121.7bn
Loan:deposit ratio
(5)
98%
97%
(1)
Cost:income ratio is total operating expenses divided by total income.
(2)
Loan impairment rate is the loan impairment charge divided by gross customer loans.
(3)
CET1 ratio is CET1 capital divided by RWAs.
(4)
Leverage ratio is Tier 1 capital divided by total exposure.
(5)
Loan:deposit ratio is total loans divided by total deposits.
NWB Group reported a profit of £3,425 million compared with
£3,509 million in 2023. This was driven by increased operating
expenses of £170 million and a £113 million decrease in total
income, partially offset by a decrease in net impairment losses of
£157 million.
Total income
decreased by £113 million, or 1%, to £11,973 million,
primarily reflecting a decrease in non-interest income.
Net interest income
increased by £185 million, or 2%, to £8,208
million primarily reflecting lending growth, the higher rate
environment and
an increase in net bond activity. This was
partially offset by increased interest payable on customer
deposits, due to balance growth combined with a mix shift from
non-interest bearing to interest bearing products.
Non-interest income
decreased by £298 million, or 7%, to £3,765
million, primarily driven by other operating income, partially offset
by an increase in net fees and commissions.
Net fees and commissions
increased by £65 million, or 4%, to
£1,734 million, driven by increased commercial lending and
financing fees, and higher Assets Under Management and
Administration (AUMA) balances driving an increase in investment
income.
Other operating income
reduced by £363 million, or 15%, to
£2,031 million primarily reflecting:

£234 million decrease primarily due to a gain on redemption of
own debt in 2023;

£184 million decrease on gains from economic hedging
derivatives, combined with a £44 million decrease on gains
from hedge ineffectiveness;

£64 million lower intercompany income due from fellow
NatWest subsidiaries, partially offset by;

£101 million increase due to gains on the sale of assets,
primarily due to a loss on disposal of property during 2023.
Operating expenses
increased by £170 million, or 3%, to £6,963
million reflecting:

an increase in staff costs of £192 million primarily as a result
of planned restructuring costs, including the closure of
operations in Poland and staff share scheme awards, partially
offset by a reduction in temporary staff costs;

an increase in depreciation and amortisation costs of £110
million mainly due to continued investment in technology;

an increase in premises and equipment costs of £60 million
due to an increase in technology contract costs and property
provisions, partially offset by lower utility costs and a smaller
property footprint, partially offset by;

a decrease in other administrative costs of £192 million,
primarily driven by a reduction in conduct costs, managed
services costs and a lower profit share arrangement with
fellow NatWest Group subsidiaries, partially offset by the new
Bank of England Levy.
Net impairment losses
of £347 million reduced year on year
reflecting good book releases, post model adjustment releases
and the MES update. Total impairment provisions decreased by
£0.1 billion to £2.7 billion in the year. ECL coverage ratio
decreased from 0.88% to 0.81%.
Financial review continued
NWB Group
Annual Report and Accounts 2024
8
Segmental performance
Retail Banking
Operating profit was £2,189 million in 2024.
Net interest income decreased by £123 million to £4,472 million,
reflecting asset margin compression and deposit growth
combined with the continued deposit balance mix shift from non-
interest bearing to interest bearing products. This was partially
offset by deposit margin expansion.
Non-interest income decreased by £24 million to £412 million,
primarily due to higher card servicing costs.
Operating expenses increased by £134 million to £2,445 million,
primarily due to the new Bank of England Levy and higher
severance and property exit costs, partially offset by a reduction
in headcount.
Net impairment losses of £250 million in 2024, compared with
£410 million net losses in 2023, largely reflect good book
releases, post model adjustment releases and the MES update.
Loans to customers increased by £4.9 billion to £195.6 billion,
primarily driven by £3.6 billion higher mortgage balances
including £2.2 billion related to a Metro Bank mortgage portfolio
acquisition. Cards balances increased £1.1 billion during the year.
Customer deposits increased by £5.7 billion to £158.5 billion
reflecting growth in savings partly offset by a reduction in current
account balances.
Private Banking
Operating profit was £249 million in 2024.
Net interest income decreased by £90 million to £619 million,
primarily reflecting deposit balance growth combined with a mix
shift from non-interest bearing to interest bearing products and
deposit margin expansion.
Non-interest income increased by £43 million to £319 million,
reflecting higher AUMA balances driving an increase in
investment income.
Operating expenses increased by £85 million to £700 million,
primarily reflecting continued investment in technology, higher
severance costs and the new Bank of England Levy.
Net impairment releases of £11 million in 2024, compared with
£13 million net impairment losses in 2023, largely reflect higher
good book releases and post model adjustment releases. Stage 3
charges were broadly flat and remained at low levels.
Loans to customers decreased by £0.3 billion to £18.2 billion,
mainly due to lower gross new mortgage lending, higher
mortgage repayments and lower personal lending.
Customer deposits increased by £4.8 billion to £42.4 billion,
reflecting growth in instant access savings, offset by reductions in
current account and term balances.
Commercial & Institutional
Operating profit was £2,325 million in 2024.
Net interest income increased by £387 million to £3,342 million
reflecting lending growth and the higher rate environment. This
was partially offset by an increase in deposit growth combined
with a deposit mix shift from non-interest bearing to interest
bearing products.
Non-interest income increased by £36 million to £1,446 million,
reflecting growth in lending and financing fees, payment service
fees, and an increase in other operating income as a result of fair
value adjustments.
Operating expenses increased by £31 million to £2,346 million
reflecting the impact of inflationary increases in staff costs and
the new Bank of England Levy, partially offset by a reduction in
conduct costs.
Net impairment losses of £117 million, compared with £82 million
net impairment losses in 2023, primarily reflect higher Stage 3
charges, partially offset by good book releases and post model
adjustment releases.
Loans to customers increased by £3.0 billion to £86.5 billion,
primarily due to an increase in term loan facilities, offset in part
by UK Government scheme repayments of £1.7 billion.
Customer deposits increased by £3.9 billion to £115.2 billion,
driven by an increase in interest bearing saving deposit products.
Central items & other
Operating loss was £100 million in 2024.
Total income decreased by £342 million to £1,363 million in 2024,
primarily reflecting a gain of redemption of own debt in 2023 and
lower gains on interest and foreign exchange risk management
derivatives not in hedge accounting relationships, partially offset
by lower losses associated with property lease terminations.
Operating expenses decreased by £80 million to £1,472 million,
primarily driven by a reduction in conduct and managed services
costs, partially offset by an increase in amortisation charges
driven by continued investment in technology. £1,478 million of
total expenses were recovered through service charges in non-
interest income.
Financial review continued
NWB Group
Annual Report and Accounts 2024
9
Summary consolidated balance sheet as at 31 December 2024
2024
2023
Variance
£m
£m
£m
%
Assets
Cash and balances at central banks
35,095
48,259
(13,164)
(27)
Derivatives
2,874
3,184
(310)
(10)
Loans to banks - amortised cost
3,426
3,355
71
2
Loans to customers - amortised cost
332,013
318,466
13,547
4
Amounts due from holding companies and fellow subsidiaries
3,736
2,311
1,425
62
Other financial assets
39,571
31,944
7,627
24
Other assets
7,594
7,949
(355)
(4)
Total assets
424,309
415,468
8,841
2
Liabilities
Bank deposits
24,780
18,052
6,728
37
Customer deposits
318,290
313,752
4,538
1
Amounts due to holding companies and fellow subsidiaries
47,724
47,252
472
1
Derivatives
1,177
1,718
(541)
(31)
Other financial liabilities
4,999
9,011
(4,012)
(45)
Subordinated liabilities
122
122
-
-
Notes in circulation
935
806
129
16
Other liabilities
3,164
3,325
(161)
(5)
Total liabilities
401,191
394,038
7,153
2
Total equity
23,118
21,430
1,688
8
Total liabilities and equity
424,309
415,468
8,841
2
Total assets
increased by £8.8 billion to £424.3 billion as at 31
December 2024.
Cash and balances at central banks
decreased by £13.2 billion to
£35.1 billion, primarily reflecting outflows as a result of net bond
activity as part of liquidity risk management.
Loans to banks – amortised cost
remained broadly stable at £3.4
billion, primarily reflecting increases in reverse repos offset by the
reclassification of the cash ratio deposit to cash and balances at
central banks.
Loans to customers – amortised cost
increased by £13.5 billion to
£332.0 billion, driven by a £6.2 billion increase in reverse repos,
an increase in commercial term loan facilities and a £3.6 billion
increase in Retail Banking mortgage portfolios, mainly driven by
the £2.2 billion acquisition of a Metro Bank mortgage portfolio.
Amounts due from holding companies and fellow subsidiaries
increased by £1.4 billion to £3.7 billion primarily due to balances
with fellow subsidiaries of NWH Group.
Other financial assets
increased by £7.6 billion to £39.6 billion,
primarily reflecting £38.1 billion of bond purchases, partially offset
by bond disposals and maturities of £31.5 billion.
Bank deposits
increased by £6.7 billion to £24.8 billion, driven
primarily by an increase in repo balances.
Customer deposits
increased by £4.5 billion to £318.3 billion,
primarily due to a growth in savings balances including a mix
shift as customers move to interest bearing products, partially
offset by a £9.6 billion reduction in repo balances.
Derivative liabilities
decreased by £0.5 billion to £1.2 billion, driven
by favourable rate movements on interest rate swaps.
Other financial liabilities
decreased by £4.0 billion to £5.0 billion,
mainly driven by lower short-term funding, due to the current
market environment, and bond maturities.
Total equity
increased by £1.7 billion to £23.1 billion. The increase
mainly reflects profit for the year of £3.4 billion, a £0.8 billion
increase in paid-in equity and a £0.3 billion reduction in cash flow
hedging reserves, partially offset by £2.5 billion of ordinary
dividends paid to NatWest Group plc.
Risk and capital management
NWB Group
Annual Report and Accounts 2024
10
Page
Presentation of information
10
Risk management framework
Introduction
10
Culture
11
Governance
12
Risk appetite
14
Identification and measurement
15
Mitigation
15
Testing and monitoring
15
Stress testing
15
Credit risk
Definition and sources of risk
19
Governance and risk appetite
19
Identification and measurement
19
Mitigation
19
Assessment and monitoring
20
Problem debt management
20
Forbearance
21
Impairment, provisioning and write-offs
22
Governance and post model adjustments
23
Significant increase in credit risk and asset lifetimes
25
Economic loss drivers
26
Measurement uncertainty and ECL sensitivity analysis
31
Measurement uncertainty and ECL adequacy
33
Banking activities
34
Capital, liquidity and funding risk
Definition and sources
57
Capital, liquidity and funding risk management
58
Key points
59
Minimum requirements
60
Measurement
60
Non-traded market risk
65
Pension risk
69
Compliance and conduct risk
70
Financial crime risk
71
Climate and nature risk
71
Operational risk
74
Model risk
76
Reputational risk
77
Presentation of information
Where marked as audited in the section header, certain
information in the Risk and capital management section (pages
10 to 77) is within the scope of the Independent auditor’s report.
Risk and capital management is generally conducted on an
overall basis within NatWest Group such that common policies,
procedures,
frameworks and models apply across NatWest
Group. Therefore, for the most part, discussion on these
qualitative aspects reflects those in NatWest Group as relevant
for the businesses and operations in NWB Group.
Risk management framework
Introduction
NWB Group operates under NatWest Group’s enterprise-wide
risk management framework, which is centred on the embedding
of a strong risk culture. The framework ensures the governance,
capabilities and methods are in place to facilitate risk
management and decision-making across the organisation.
The framework ensures that NWB Group’s principal risks – which
are detailed in this section – are appropriately controlled and
managed. It sets out the standards and objectives for risk
management as well as defining the division of roles and
responsibilities.
This seeks to ensure a consistent approach to risk management
across NWB Group. It aligns risk management with NWB Group’s
overall strategic objectives.
The framework, which is designed and maintained by NatWest
Group’s independent Risk function, is owned by the NatWest
Group Chief Risk Officer. It is reviewed and approved annually by
the NatWest Group Board. The framework incorporates risk
governance, NatWest Group’s three lines of defence operating
model and the Risk function’s mandate.
Risk appetite, supported by a robust set of principles, policies and
practices, defines the levels of tolerance for a variety of risks and
provides a structured approach to risk-taking within agreed
boundaries.
While all NWB Group colleagues are responsible for managing
risk, the Risk function provides oversight and monitoring of risk
management activities, including the implementation of the
framework and adherence to its supporting policies, standards
and operational procedures. The Chief Risk Officer plays an
integral role in providing the Board with advice on NWB Group’s
risk profile, the performance of its controls and in providing
challenge where a proposed business strategy may exceed risk
tolerance.
In addition, there is a process to identify and manage top and
emerging risks, which are those that could have a significant
negative impact on NWB Group’s ability to meet its strategic
objectives. Both top and emerging risks may incorporate aspects
of – or correlate to – a number of principal risks and are reported
alongside them to the Board on a regular basis.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
11
Risk management framework continued
Culture
The approach to risk culture, under the banner of intelligent risk-
taking, ensures a focus on robust risk management behaviours
and practices. This underpins the strategy and values across all
three lines of defence, enables NWB Group to support better
customer outcomes, develop a stronger and more sustainable
business and deliver an improved cost base.
NWB Group expects leaders to act as role models for strong risk
behaviours and practices building clarity, developing capability
and motivating employees to reach the required standards set
out in the intelligent risk-taking approach. Colleagues are
expected to:

Consistently role-model the values and behaviours in Our
Code, based on strong ethical standards.

Empower others to take risks aligned to NWB Group’s
strategy, explore issues from a fresh perspective, and tackle
challenges in new and better ways across organisational
boundaries.

Manage risk in line with appropriate risk appetite.

Ensure each decision made keeps NWB Group, colleagues,
customers, communities and shareholders safe and secure.

Understand their role in managing risk, remaining clear and
capable, grounded in knowledge of regulatory obligations.

Consider risk in all actions and decisions.

Escalate risks and issues early; taking action to mitigate risks
and learning from mistakes and near-misses, reporting and
communicating these transparently.

Challenge others’ attitudes, ideas and actions.
The target intelligent risk-taking behaviours are embedded in
NatWest Group’s Critical People Capabilities and are clearly
aligned to the core values of inclusive, curious, robust,
sustainable and ambitious. These aim to act as an effective basis
for a strong risk culture because the Critical People Capabilities
form the basis of all recruitment and selection processes.
Training
Enabling employees to have the capabilities and confidence to
manage risk is core to NatWest Group’s learning strategy.
NatWest Group offers a wide range of learning, both technical
and behavioural, across the risk disciplines. This training may be
mandatory, role-specific or for personal development. Mandatory
learning for all staff is focused on keeping employees, customers
and NatWest Group safe. This is easily accessed online and is
assigned to each person according to their role and business
area. The system allows monitoring at all levels to ensure
completion.
Our Code
NatWest Group’s conduct guidance, Our Code, provides direction
on expected behaviour and sets out the standards of conduct
that support the values. The code explains the effect of decisions
that are taken and describes the principles that must be followed.
These principles cover conduct-related issues as well as wider
business activities. They focus on desired outcomes, with
practical guidelines to align the values with commercial strategy
and actions. The embedding of these principles facilitates sound
decision-making and a clear focus on good customer outcomes.
Any employee falling short of the expected standards would be
subject to internal disciplinary policies and procedures and if
appropriate, the relevant authority would be notified. The
accountability review process is used to assess how this should
be reflected in variable pay outcomes for the individuals
concerned. The NatWest Group remuneration policy ensures that
the remuneration arrangements for all employees reflect the
principles and standards prescribed by the PRA rulebook and the
FCA handbook.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
12
Risk management framework continued
Governance
Committee structure
The diagram shows NWB Group’s governance structure in 2024.
NWB plc Board
Reviews and approves the risk management framework and the risk appetite for principal risks. Monitors performance against risk
appetite.
Board Risk Committee
Provides oversight and advice to the Board on current and future risk
exposures, and future risk profile, including risk appetite; the approval
and effectiveness of the risk management framework. Reviews NWB
Plc’s performance relative to risk appetite; the effectiveness of internal
controls required to manage risk; all material risk exposures and
management’s recommendations to monitor, control and mitigate
them, including principal risks. Approves the key risk policies.
Audit Committee
Assists the Board in carrying out its responsibilities relating to
accounting policies, internal control and financial reporting function,
including consideration of non-financial disclosures. Review NWH
Group’s internal controls systems and the procedures for monitoring
effectiveness of these controls.
Executive Risk Committee
Supports the CRO and other accountable executives in discharging
their risk management accountabilities. Reviews, challenges and
debates all material risk and control matters across NWB Plc and
the performance of NWB plc relative to risk appetite. Reviews the
risk management framework and supports the recommendation of
it to BRC and oversees its implementation.
Asset & Liability Management Committee
Supports the CFO in discharging their individual accountabilities,
including the review of all material financial and non-financial
disclosures made by the NWH Sub-Group to ensure they are
accurate, complete and fairly represent the business and financial
condition of NWH Sub-Group with no material misstatements or
omissions.
Business and function risk committees
Risk committees review and monitor all risks, providing guidance, recommendations and decisions on risks affecting the franchises
and functions.
(1)
The NatWest Group Chief Executive Officer also performs the role of NWB Plc Chief Executive Officer.
(2)
The NatWest Group Chief Risk Officer also performs the role of NWB Plc Chief Risk Officer.
(3)
The NatWest Group Chief Financial Officer also performs the role of NWB Plc Chief Financial Officer.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
13
Risk management framework continued
Risk management structure
The diagram shows NWB Group’s risk management structure in 2024 and key risk management responsibilities.
(1)
Double Independent Non-Executive Directors.
(2)
With effect from 1 January 2025, Restructuring moved from the second line of defence to form part of Customer Lending Support.
(3)
The NatWest Group Chief Executive Officer also performs the role of NWB Chief Executive Officer.
(4)
The NatWest Group Chief Risk Officer also performs the role of NWB Chief Risk Officer.
(5)
The NWB Chief Risk Officer reports directly to the NWB Chief Executive Officer. There is a further secondary reporting line to the chair of the Board Risk Committee and a right of access
to the Committee, including the deputy chair.
(6)
The Risk function is independent of the customer-facing business segments and support functions. Its structure is divided into three parts (Directors of Risk, Specialist Risk Directors and
Chief Operating Officer) to facilitate effective management of the risks facing NWB. Risk committees in the customer franchises and key functional risk committees oversee risk exposures
arising from management and business activities and focus on ensuring that these are adequately monitored and controlled. The Directors of Risk (Retail Banking; Commercial &
Institutional Banking; Financial & Strategic Risk; Non-Financial Risk and Compliance and Conduct) as well as the Director, Financial Crime Risk NatWest Holdings; the Chief Risk Officer,
Coutts & Company and the Chief Operating Officer report to the NWB Chief Risk Officer.
NatWest Group
Chief Executive
Officer
Director of Risk, Retail Banking
Design and delivery of Retail Banking risk strategy and service proposition.
Oversight of risk management across Retail Banking. Supports the ring-fence
DINEDs
(1)
through the identification, documentation, resolution and escalation of
any potential ring-fencing conflicts of interest relating to decisions made by the
ring-fence and Group Chief Risk Officer.
NWB
Chief Executive
Officer
Group Chief Credit Officer and Director of Risk, Commercial & Institutional
Banking
Design and delivery of Commercial & Institutional Banking risk strategy and service
proposition. Oversight of risk management across Commercial & Institutional
Banking. Provides oversight and challenge in approach to credit risk management
across NWB Group.
NatWest Group
Chief Risk Officer
Chief Risk Officer, Coutts & Company
Design and delivery of the Coutts & Company risk strategy and service proposition.
Oversight of risk management (including compliance) across Coutts & Company.
NWB
Chief Risk Officer
Chief Operating Officer, Risk and EWRMF Director
Centralised support for the risk management function and model risk oversight
including framework design and development.
Director of Risk, Finance & Treasury
Lead risk specialist for market risk, prudential risk, pension risk and stress testing,
and Director of Risk for Finance providing expert advice, insight, reporting and
effective risk oversight and challenge.
Director of Non-Financial Risk
Centralised oversight of non-financial risk across NWB. Design and delivery of
compliance and conduct strategy and service proposition. Design and delivery of
financial crime strategy and service proposition, oversight of financial crime risk
management. Provides specialist technical advice to the Directors of Risk
responsible for business oversight.
Head of Restructuring
(2)
Design and delivery of restructuring strategy and service proposition to protect
the bank’s capital by working with corporate and commercial customers in
financial difficulty.
Director of Risk, Digital X and Functions (excl. Finance)
Risk partner for NatWest Digital X & Functions (excl. Finance) providing expert
advice, insight, reporting and effective risk oversight and challenge.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
14
Risk management framework continued
Three lines of defence
NatWest Group uses the industry-standard three lines of defence
model to articulate accountabilities and responsibilities for
managing risk. This supports the embedding of effective risk
management throughout the organisation.
First line of defence
The first line of defence incorporates most roles in NatWest
Group, including those in the customer-facing businesses,
Technology and Services as well as support functions such as
People and Transformation, Legal and Finance.
The first line of defence is empowered to take risks within the
constraints of the risk management framework, policies, risk
appetite statements set by NatWest Group and measures set by
the NWB Group Board.
The first line of defence is responsible for managing its direct
risks, and with the support of specialist functions, it is also
responsible for managing its consequential risks, by identifying,
assessing, mitigating, monitoring and reporting risks.
Second line of defence
The second line of defence comprises the Risk function and is
independent of the first line.
The second line of defence is empowered to design and maintain
the risk management framework and its components. It
undertakes proactive risk oversight and continuous monitoring
activities to confirm that NWB Group engages in permissible and
sustainable risk-taking activities.
The second line of defence advises on, monitors, challenges,
approves and escalates where required and reports on the risk-
taking activities of the first line of defence, ensuring that these
are within the constraints of the risk management framework,
policies, risk appetite statements set by NatWest Group and
measures set by the NWB Group Board.
Third line of defence
The third line of defence is the Internal Audit function and is
independent of the first and second lines.
The third line of defence is responsible for providing independent
assurance to the NatWest Group Board, its subsidiary legal entity
boards and executive management on the overall design and
operating effectiveness of the risk management framework and
its components. This includes the adequacy and effectiveness of
key internal controls, governance and the risk management in
place to monitor, manage and mitigate the principal risks to
NatWest Group and its subsidiary companies.
The third line of defence executes its duties freely and objectively
in accordance with the Chartered Institute of Internal Auditors’
Code of Ethics and International Standards on independence and
objectivity.
Risk appetite
Risk appetite defines the type and aggregate level of risk NWB
Group is willing to accept in pursuit of its strategic objectives and
business plans. Risk appetite supports sound risk-taking, the
promotion of robust risk practices and risk behaviours, and is
calibrated at least annually.
For certain principal risks, risk capacity defines the maximum
level of risk NWB Group can assume before breaching constraints
determined by regulatory capital and liquidity requirements, the
operational environment, and from a conduct perspective.
Establishing risk capacity helps determine where risk appetite
should be set, ensuring there is a buffer between internal risk
appetite and NWB Group’s ultimate capacity to absorb losses.
Risk appetite framework
The risk appetite framework supports effective risk management
by promoting sound risk-taking through a structured approach,
within agreed boundaries. It also ensures emerging risks and risk-
taking activities that might be out of appetite are identified,
assessed, escalated and addressed in a timely manner.
To facilitate this, a detailed annual review of the framework is
carried out. The review includes:

Assessing the adequacy of the framework compared to
internal and external expectations.

Ensuring the framework remains effective and acts as a
strong control environment for risk appetite.

Assessing the level of embedding of risk appetite across the
organisation.
Establishing risk appetite
In line with the risk appetite framework, risk appetite is
maintained across NWB Group through risk appetite statements.
These are in place for all principal risks and describe the extent
and type of activities that can be undertaken.
Risk appetite statements consist of qualitative statements of
appetite supported by risk limits and triggers that operate as a
defence against excessive risk-taking. Risk measures and their
associated limits are an integral part of the risk appetite
approach and a key part of embedding risk appetite in day-to-
day risk management decisions. A clear tolerance for each
principal risk is set in alignment with business activities.
The process of reviewing and updating risk appetite statements
is completed alongside the business and financial planning
process. This ensures that plans and risk appetite are
appropriately aligned.
The Board sets risk appetite for all principal risks to help ensure
NWB Group is well placed to meet its priorities and long-term
targets, even in challenging economic environments. This
supports NWB Group in remaining resilient and secure as it
pursues its strategic business objectives.
Risk appetite statements and associated measures are reviewed
at least annually by the Board on the Board Risk Committee’s
recommendation to ensure they remain appropriate and aligned
to strategy.
NWB Group’s risk profile is continually monitored and frequently
reviewed. Management focus is concentrated on all principal
risks as well as the top and emerging risks that may correlate to
them. Risk profile relative to risk appetite is reported regularly to
senior management and the Board.
NatWest Group’s key risk policies define at a high level the
qualitative expectations, guidance and standards that stipulate
the nature and extent of permissible risk taking across all
principal risks. They form part of the qualitative expression of risk
appetite and are consistently applied across NatWest Group and
its subsidiaries. Key risk policies are reviewed and approved by
the Board Risk Committee at least annually.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
15
Risk management framework continued
Identification and measurement
Identification and measurement within the risk management
process comprises:

Regular assessment of the overall risk profile, incorporating
market developments and trends, as well as external and
internal factors.

Monitoring of the risks associated with lending and credit
exposures.

Assessment of trading and non-trading portfolios.

Review of potential risks in new business activities and
processes.

Analysis of potential risks in any complex and unusual
business transactions.
The financial and non-financial risks that NWB Group faces are
detailed in the NatWest Group risk directory. This provides a
common risk language to ensure consistent terminology is used
across NWB Group. The NatWest Group risk directory is subject
to annual review to ensure it continues to fully reflect the risks
that NWB Group faces.
Mitigation
Mitigation is a critical aspect of ensuring that risk profile remains
within risk appetite. Risk mitigation strategies are discussed and
agreed within NWB Group.
When evaluating possible strategies, costs and benefits, residual
risks (risks that are retained) and secondary risks (those that
arise from risk mitigation actions themselves) are also considered.
Monitoring and review processes are in place to evaluate results.
Early identification, and effective management of changes in
legislation and regulation are critical to the successful mitigation
of compliance and conduct risk. The effects of all changes are
managed to ensure the timely achievement of compliance. Those
changes assessed as having a high or medium-high impact are
managed more closely. Emerging risks that could affect future
results and performance are also closely monitored. Action is
taken to mitigate potential risks as and when required. Further
in-depth analysis, including the stress testing of exposures, is also
carried out.
Testing and monitoring
Specific activities relating to compliance and conduct, credit and
financial crime risks are subject to testing and monitoring by the
Risk function. This confirms to both internal and external
stakeholders – including the Board, senior management, the
customer-facing businesses, Internal Audit and NWB Group’s
regulators – that risk policies and procedures are being correctly
implemented and that they are operating adequately and
effectively. Thematic reviews and targeted reviews are also
carried out where relevant to ensure appropriate customer
outcomes. The Risk Testing & Monitoring Forum assesses and
validates the annual plan as well as the ongoing programme of
reviews.
Stress testing
Stress testing – capital management
Stress testing is a key risk management tool and a fundamental
component of NatWest Group’s approach to capital
management. It is used to quantify and evaluate the potential
impact of specified changes to risk factors on the financial
strength of NatWest Group, including its capital position.
Stress testing includes:

Scenario testing, which examines the impact of a
hypothetical future state to define changes in risk factors.

Sensitivity testing, which examines the impact of an
incremental change to one or more risk factors.
The process for stress testing consists of four broad stages:
Define
scenarios

Identify macro and NatWest Group-
specific vulnerabilities and risks.

Define and calibrate scenarios to
examine risks and vulnerabilities.

Formal governance process to agree
scenarios.
Assess
impact

Translate scenarios into risk drivers.

Assess impact to current and projected
profit and loss and balance sheet across
NatWest Group.
Calculate
results and
assess
implications

Aggregate impacts into overall results.

Results form part of the risk
management process.

Scenario results are used to inform
NatWest Group’s business and capital
plans.
Develop and
agree
management
actions

Stress scenario results are analysed by
subject matter experts. Appropriate
management actions are then
developed.

Scenario results and management
actions are reviewed by the Board Risk
Committee and recommended to the
Board for approval.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
16
Risk management framework continued
Stress testing is used widely across NatWest Group. The diagram
below summarises key areas of focus.
Specific areas that involve capital management include:

Strategic financial and capital planning
– by assessing the
impact of sensitivities and scenarios on the capital plan and
capital ratios.

Risk appetite
– by gaining a better understanding of the
drivers of, and the underlying risks associated with, risk
appetite.

Risk monitoring
– by monitoring the risks and horizon-
scanning events that could potentially affect NatWest Group’s
financial strength and capital position.

Risk mitigation
– by identifying actions to mitigate risks, or
those that could be taken, in the event of adverse changes to
the business or economic environment. Principal risk
mitigating actions are documented in NatWest Group’s
recovery plan.
Capital sufficiency – going concern forward-looking view
Going concern capital requirements are examined on a forward-
looking basis – including as part of the annual budgeting process
– by assessing the resilience of capital adequacy and leverage
ratios under hypothetical future states. These assessments
include assumptions about regulatory and accounting factors
(such as IFRS 9). They incorporate economic variables and key
assumptions on balance sheet and profit and loss drivers, such as
impairments, to demonstrate that NatWest Group and its
operating subsidiaries maintain sufficient capital. A range of
future states are tested. In particular, capital requirements are
assessed:

Based on a forecast of future business performance, given
expectations of economic and market conditions over the
forecast period.

Based on a forecast of future business performance under
adverse economic and market conditions over the forecast
period. Scenarios of different severity may be examined.
The examination of capital requirements under both normal and
adverse economic and market conditions enables NatWest Group
to determine whether its projected business performance meets
internal plans and regulatory capital requirements.
The potential impact of normal and adverse economic and
market conditions on capital requirements is assessed through
stress testing, the results of which are not only used widely
across NatWest Group but also by the regulators to set specific
capital buffers. NatWest Group takes part in stress tests run by
regulatory authorities to test industry-wide vulnerabilities under
crystallising global and domestic systemic risks.
Stress and peak-to-trough movements are used to help assess
the amount of capital NatWest Group needs to hold in stress
conditions in accordance with the capital risk appetite
framework.
Internal assessment of capital adequacy
An internal assessment of material risks is carried out annually to
enable an evaluation of the amount, type and distribution of
capital required to cover these risks. This is referred to as the
Internal Capital Adequacy Assessment Process (ICAAP). The
ICAAP consists of a point-in-time assessment of exposures and
risks at the end of the financial year together with a forward-
looking stress capital assessment. The ICAAP is approved by the
Board and submitted to the PRA.
The ICAAP is used to form a view of capital adequacy separately
to the minimum regulatory requirements. The ICAAP is used by
the PRA to assess NatWest Group’s specific capital requirements
through the Pillar 2 framework.
Capital allocation
NatWest Group has mechanisms to allocate capital across its
legal entities and businesses. These aim to optimise the use of
capital resources taking into account applicable regulatory
requirements, strategic and business objectives and risk appetite.
The framework for allocating capital is approved by the CFO with
support from the Asset & Liability Management Committee.
Governance
Capital management is subject to substantial review and
governance. The Board approves the capital plans, including
those for key legal entities and businesses as well as the results
of the stress tests relating to those capital plans.
Stress testing – liquidity
Liquidity risk monitoring and contingency planning
A suite of tools is used to monitor, limit and stress test the
liquidity and funding risks on the balance sheet. Limit frameworks
are in place to control the level of liquidity risk, asset and liability
mismatches and funding concentrations. Liquidity and funding
risks are reviewed at significant legal entity and business levels
daily, with performance reported to the Asset & Liability
Management Committee on a regular basis. Liquidity condition
indicators are monitored daily. This ensures any build-up of stress
is detected early and the response escalated appropriately
through recovery planning.
Stress testing
usage within
NatWest Group
Contingency
planning & management
actions
Assess financial
performance
Capital
adequacy
Earnings
stability
Sector review
& credit limit
setting
Business
vulnerabilities
analysis
Tail risk
assessment
Early
warning
indicators
(4)
Risk
mitigation
(1)
Strategic
financial
& capital
planning
(2)
Risk
appetite
(3)
Risk
monitoring
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
17
Risk management framework continued
Internal assessment of liquidity
Under the liquidity risk management framework, NatWest Group
maintains the Internal Liquidity Adequacy Assessment Process.
This includes assessment of net stressed liquidity outflows under
a range of severe but plausible stress scenarios. Each scenario
evaluates either an idiosyncratic, market-wide or combined
stress event as described in the table below.
Type
Description
Idiosyncratic
scenario
The market perceives NatWest Group to be
suffering from a severe stress event, which
results in an immediate assumption of increased
credit risk or concerns over solvency.
Market-wide
scenario
A market stress event affecting all participants
in a market through contagion, potential
counterparty failure and other market risks.
NatWest Group is affected under this scenario
but no more severely than any other
participants with equivalent exposure.
Combined
scenario
This scenario models the combined impact of an
idiosyncratic and market stress occurring at
once, severely affecting funding markets and
the liquidity of some assets.
NatWest Group uses the most severe outcome to set the internal
stress testing scenario which underpins its internal liquidity risk
appetite. This complements the regulatory liquidity coverage ratio
requirement.
Stress testing – recovery and resolution planning
The NatWest Group recovery plan explains how NatWest Group
and its subsidiaries – as a consolidated group – would identify
and respond to a financial stress event and restore its financial
position so that it remains viable on an ongoing basis.
The recovery plan ensures risks that could delay the
implementation of a recovery strategy are highlighted and
preparations are made to minimise the impact of these risks.
Preparations include:

Developing a series of recovery indicators to provide early
warning of potential stress events.

Clarifying roles, responsibilities and escalation routes to
minimise uncertainty or delay.

Developing a recovery playbook to provide a concise
description of the actions required during recovery.

Detailing a range of options to address different stress
conditions.

Appointing dedicated option owners to reduce the risk of
delay and capacity concerns.
The plan is intended to enable NatWest Group to maintain critical
services and products it provides to its customers, maintain its
core business lines and operate while restoring NatWest Group’s
financial health. It is assessed for appropriateness on an ongoing
basis and reviewed and approved by the Board prior to
submission to the PRA on a biennial basis. Individual recovery
plans are also prepared for NatWest Holdings Limited, NatWest
Markets Plc, RBS International Limited, RBSH N.V. and NWB
Europe. These plans detail the recovery options, recovery
indicators and escalation routes for each entity.
Fire drill simulations of possible recovery events are used to test
the effectiveness of NatWest Group and individual legal entity
recovery plans. The fire drills are designed to replicate possible
financial stress conditions and allow senior management to
rehearse the responses and decisions that may be required in an
actual stress event. The results and lessons learnt from the fire
drills are used to enhance NatWest Group’s approach to
recovery planning.
Under the resolution assessment part of the PRA rulebook,
NatWest Group is required to carry out an assessment of its
preparations for resolution, submit a report of the assessment to
the PRA and publish a summary of this report.
Resolution would be implemented if NatWest Group was assessed
by the UK authorities to have failed and the appropriate regulator
put it into resolution. The process of resolution is owned and
implemented by the Bank of England (as the UK Resolution
Authority). NatWest Group ensures ongoing maintenance and
enhancements of its resolution capabilities, in line with regulatory
requirements.
Stress testing – market risk
Non-traded market risk
Scenario analysis based on hypothetical adverse scenarios is
performed on non-traded exposures as part of the Bank of
England and European Banking Authority stress test exercises.
NatWest Group also produces an internal scenario analysis as
part of its financial planning cycles.
Non-traded exposures are capitalised through the ICAAP. This
covers gap risk, basis risk, credit spread risk, pipeline risk,
structural foreign exchange risk, prepayment risk, equity risk and
accounting volatility risk. The ICAAP is completed with a
combination of value and earnings measures. The total non-
traded market risk capital requirement is determined by adding
the different charges for each sub risk type. The ICAAP
methodology captures at least ten years of historical volatility,
produced with a 99% confidence level. Methodologies are
reviewed by NatWest Group Model Risk and the results are
approved by the NatWest Group Balance Sheet Management
Committee.
Non-traded market risk stress results are combined with those
for other risks into the capital plan presented to the Board. The
cross-risk capital planning process is conducted once a year, with
a planning horizon of five years. The scenario narratives cover
both regulatory scenarios and macroeconomic scenarios
identified by NatWest Group.
Vulnerability-based stress testing begins with the analysis of a
portfolio and expresses its key vulnerabilities in terms of plausible
vulnerability scenarios under which the portfolio would suffer
material losses. These scenarios can be historical,
macroeconomic or forward-looking/hypothetical. Vulnerability-
based stress testing is used for internal management information
and is not subject to limits. The results for relevant scenarios are
reported to senior management.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
18
Risk management framework continued
Internal scenarios - climate
In 2024, NatWest Group deployed an enhanced in-house
corporate transition risk model, as part of an internal scenario
analysis exercise, to assess climate transition related credit risks
to corporate counterparties.
This involved running the following two climate scenarios:

A disruptive transition scenario, where the onset of climate
policy from the Network for Greening the Financial System
(NGFS) delayed transition scenario is accelerated from 2031
to 2025, which could result in an accompanying macro-
economic shock.

The orderly transition scenario, which explores a rapid
increase in carbon prices, based on the NGFS net zero 2050
scenario, but no accompanying macro-economic shock.
These scenarios tested NatWest Group’s resilience to alternative
transition pathways, including a disruptive transition, and to
identify losses that are sensitive to scenario policy and
technology assumptions.
The corporate transition risk model and internal exercise builds
on the learnings from the climate biennial exploratory scenario
and NatWest Group’s first-generation deployment in 2023. It also
supports the processes for integration of climate into ICAAP and
credit risk business use-cases. The model is capable of
accounting for sector specific exposure to climate-related
transition risks and counterparty specific response to a limited set
of demand shocks and rising carbon prices, by mitigating
emissions and passing costs through to customers.
Regulatory stress testing
In October 2023, the Bank of England undertook round one of its
system-wide exploratory scenario (SWES) to enhance
understanding of the behaviours of banks and non-bank financial
institutions under a scenario informed by the liability driven
investment and ‘dash for cash’ crises.
NatWest Group submitted its response to round one during H1
2024. The Bank of England subsequently published the
anonymised results in the June 2024 Financial Stability Report
providing a narrative account of the market-wide response.
Round two commenced in June 2024. Participants were asked to
reconsider their assumptions in light of round one results, and
submit revised actions if applicable. The overall results of the
SWES exercise were published in November 2024.
Further details can be found at:

https://www.bankofengland.co.uk/financial-stability-
report/2024/june-2024

https://www.bankofengland.co.uk/stress-testing/2024/stress-
testing-uk-banking-system-scenarios-2024-desk-based

https://www.bankofengland.co.uk/financial-stability/boe-
system-wide-exploratory-scenario-exercise.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
19
Credit risk
Definition
(audited)
Credit risk is the risk that customers, counterparties, or issuers fail
to meet a contractual obligation to settle outstanding amounts.
Sources of risk (audited)
The principal sources of credit risk for NWB Group are lending
and related undrawn commitments. Derivatives and securities
financing and debt securities are also a source of credit risk,
primarily related to Treasury activities for NWB Group. NWB
Group is also exposed to settlement risk through foreign
exchange and payments activities.
Governance
(audited)
The Credit Risk function provides oversight and challenge of
frontline credit risk management activities.
Governance activities include:

Defining and proposing credit risk appetite measures for
Board approval.

Establishing credit risk policy, standards and toolkits which set
out the mandatory limits and parameters required to ensure
that credit risk is managed within risk appetite and which
provide the minimum standards for the identification,
assessment, management, monitoring and reporting of credit
risk.

Oversight of the first line of defence to ensure that credit risk
remains within the appetite set by the Board and that it is
being managed adequately and effectively.

Assessing the adequacy of expected credit loss (ECL)
provisions including approving key IFRS 9 inputs (such as
significant increase in credit risk (SICR) thresholds) and any
necessary in-model and post model adjustments through
NatWest Group and business unit provisions and model
committees.

Development and approval of credit grading models.

Providing regular reporting on credit risk to the Board Risk
Committee and Board.
Risk appetite
Credit risk appetite is approved by the Board and is set and
monitored through risk appetite frameworks tailored to NWB
Group’s Personal and Non-Personal segments. Risk appetite
statements and associated measures are reviewed and approved
at least annually by the relevant legal entity board on the relevant
board risk committee’s recommendation to ensure they remain
appropriate and aligned to strategy.
Performance against risk appetite is reported regularly to the
Executive Risk Committee, and the Board Risk Committee, and
the Board. Relevant credit risk matters are escalated through the
Executive Risk Committee and to the Board as applicable.
Personal
The Personal credit risk appetite framework sets limits that
control the quality and concentration of both existing and new
business for each relevant business segment. These risk appetite
measures consider the segments’ ability to grow sustainably and
the level of losses expected under stress. Credit risk is further
controlled through operational limits specific to customer or
product characteristics.
Non-Personal
For Non-Personal credit, the framework has been designed to
reflect factors that influence the ability to operate within risk
appetite. Tools such as stress testing and economic capital are
used to measure credit risk volatility and develop links between
the framework and risk appetite limits.
The framework is used to manage concentrations of risk which
may arise across four lenses – single name, sector, country and
product and asset classes. The framework is supported by a suite
of transactional acceptance standards that set out the risk
parameters within which businesses should operate.
Identification and measurement
Credit stewardship (audited)
Risks are identified through relationship management and credit
stewardship of customers and portfolios. Credit stewardship takes
place throughout the customer relationship, beginning with the
initial approval. It includes the application of credit assessment
standards, credit risk mitigation and collateral, ensuring that credit
documentation is complete and appropriate, carrying out regular
portfolio or customer reviews and problem debt identification and
management.
Asset quality (audited)
All credit grades map to an asset quality (AQ) scale, used for
financial reporting. This AQ scale is based on Basel probability of
defaults (PDs). Performing loans are defined as AQ1-AQ9 (where
the PD is less than 100%) and defaulted non-performing loans as
AQ10 or Stage 3 under IFRS 9 (where the PD is 100%). Loans are
defined as defaulted when the payment status becomes 90 days
past due, or earlier if there is clear evidence that the borrower is
unlikely to repay, for example bankruptcy or insolvency.
Counterparty credit risk
Counterparty credit risk arises from the obligations of customers
under derivative and securities financing transactions. NWB Group
mitigates counterparty credit risk through collateralisation and
netting agreements, which allow amounts owed by NWB Group to
a counterparty to be netted against amounts the counterparty
owes NWB Group.
Mitigation
Mitigation techniques, as set out in the appropriate credit risk
toolkits and transactional acceptance standards, are used in the
management of credit portfolios across NWB Group. These
techniques mitigate credit concentrations in relation to an
individual customer, a borrower group or a collection of related
borrowers. Where possible, customer credit balances are netted
against obligations. Mitigation tools can include structuring a
security interest in a physical or financial asset, the use of credit
derivatives including credit default swaps, credit-linked debt
instruments and securitisation structures, and the use of
guarantees and similar instruments (for example, credit insurance)
from related and third parties. Property is used to mitigate credit
risk across a number of portfolios, in particular residential
mortgage lending and commercial real estate (CRE).
The valuation methodologies for collateral in the form of
residential mortgage property and CRE are detailed below.
Residential mortgages
– NWB Group takes collateral in the form of
residential property to mitigate the credit risk arising from
mortgages. NWB Group values residential property individually
during the loan underwriting process, either by obtaining an
appraisal by a suitably qualified appraiser (for example Royal
Institution of Chartered Surveyors (RICS)) or using a statistically
valid model.
In both cases, a sample of the valuation outputs are
periodically reviewed by an independent RICS qualified appraiser.
NWB Group updates Retail Banking UK residential property values
quarterly using country (Scotland, Wales and Northern Ireland) or
English regional specific Office for National Statistics House Price
indices.
Within the Private Banking segment, properties securing loans
greater than £2.5 million are revalued every three years.
The current indexed value of the property is a component of the
ECL provisioning calculation.
Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
20
Commercial real estate valuations
–
NWB Group has an actively
managed panel of chartered surveying firms that cover the
spectrum of geography and property sectors in which NWB
Group takes collateral. Suitable RICS registered valuers for
particular assets are contracted through a service agreement to
ensure consistency of quality and advice. In the UK, an
independent third-party market indexation is applied to update
external valuations for commercial property once they are more
than a year old. For loan obligations in excess of £2.5 million and
where the charged property has a book value in excess of £0.5
million, a formal valuation review is typically commissioned at least
every three years.
Assessment and monitoring
Practices for credit stewardship – including credit assessment,
approval and monitoring as well as the identification and
management of problem debts – differ between the Personal and
Non-Personal portfolios.
Personal
Personal customers are served through a lending approach that
entails offering a large number of small-value loans. To ensure
that these lending decisions are made consistently, NWB Group
analyses internal credit information as well as external data
supplied by credit reference agencies (including historical debt
servicing behaviour of customers with respect to both NWB Group
and other lenders). NWB Group then sets its lending rules,
accordingly, developing different rules for different products.
The process is then largely automated, with each customer
receiving an individual credit score that reflects both internal and
external behaviours and this score is compared with the lending
rules set. For relatively high-value, complex personal loans,
including some residential mortgage lending, specialist credit
managers make the final lending decisions. These decisions are
made within specified delegated authority limits that are issued
dependent on the experience of the individual.
Underwriting standards and portfolio performance are monitored
on an ongoing basis to ensure they remain adequate in the
current market environment and are not weakened materially to
sustain growth.
The actual performance of each portfolio is tracked relative to
operational limits. The limits apply to a range of credit risk-related
measures including projected credit default rates across products
and the loan-to-value (LTV) ratio of the mortgage portfolios.
Where operational limits identify areas of concern management
action is taken to adjust credit or business strategy.
Non-Personal
Non-Personal customers, including corporates, banks and other
financial institutions are typically managed on an individual basis.
Customers are aggregated as a single risk when sufficiently
interconnected to the extent that a failure of one could lead to the
failure of another.
A credit assessment is carried out before credit facilities are made
available to customers. The assessment process is dependent on
the complexity of the transaction. Credit approvals are subject to
environmental, social and governance risk policies which restrict
exposure to certain highly carbon intensive industries as well as
those with potentially heightened reputational impacts. Customer
specific climate risk commentary is now mandatory.
For lower-risk transactions below specific thresholds, credit
decisions can be approved through a combination of fully
automated or relationship manager self-sanctioning within the
business. This process is facilitated through an auto-decision
making system, which utilises scorecards, strategies and policy
rules.
For other transactions, both business approval and credit
approval are required.
The joint business and credit approvers act within a delegated
approval authority under the Wholesale Credit Authorities policy.
The level of delegated authority held by approvers is dependent
on their experience and expertise with only a small number of
senior executives holding the highest approval authority.
Transactional acceptance standards provide detailed transactional
lending and risk acceptance metrics and structuring guidance. As
such, these standards provide a mechanism to manage risk
appetite at the customer/transaction level and are supplementary
to the established credit risk appetite.
Credit quality, and loss given default (LGD) are reviewed annually.
The review process assesses borrower performance, the
adequacy of security, compliance with terms and conditions, and
refinancing risk.
Problem debt management
Personal
Early problem identification
Pre-emptive triggers are in place to help identify customers that
may be at risk of being in financial difficulty. These triggers are
both internal, using NWB Group’s data, and external using
information from credit reference agencies. Proactive contact is
then made with the customer to establish if they require help with
managing their finances. By adopting this approach, the aim is to
prevent a customer’s financial position deteriorating.
Personal customers experiencing financial difficulty are managed
by the Collections team. If the Collections team is unable to
provide appropriate support after discussing suitable options with
the customer, management of that customer moves to the
Recoveries team.
If at any point in the collections and recoveries
process, the customer is identified as being potentially vulnerable,
the customer will be supported to ensure they receive appropriate
support for their circumstances.
In July 2023, Mortgage Charter support was introduced for
residential mortgage customers. Mortgage Charter support
includes temporary interest only or term extensions at the
customer’s request. A request for Mortgage Charter does not, of
itself, trigger transfer to a specialist team.
Collections
When a customer exceeds an agreed limit or misses a regular
monthly payment the customer is contacted by NWB Group and
requested to remedy the position. If the situation is not resolved
then, where appropriate, the Collections team will become
involved and the customer will be supported by skilled debt
management staff who endeavour to provide customers with
bespoke solutions. Solutions include short-term account
restructuring, refinance loans and forbearance which can include
interest suspension and ‘breathing space’. All treatments available
to customers experiencing financial difficulties are reviewed to
ensure they remain appropriate for customers impacted by
current economic conditions. In the event that an affordable and
sustainable agreement with a customer cannot be reached, the
debt will transition to the Recoveries team. For provisioning
purposes, under IFRS 9, exposure to customers managed by the
Collections team is categorised as Stage 2 and subject to a
lifetime loss assessment, unless it is 90 days past due or has
triggered any other unlikeliness to pay indicators, in which case it
is categorised as Stage 3.
Risk and capital management continued
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NWB Group
Annual Report and Accounts 2024
21
Recoveries
The Recoveries team will issue a notice of intention to default to
the customer and, if appropriate, a formal demand, while also
registering the account with credit reference agencies where
appropriate. Following this, the customer’s debt may then be
placed with a third-party debt collection agency, or alternatively a
solicitor, in order to agree an affordable repayment plan with the
customer. An option that may also be considered, is the sale of
unsecured debt. Exposures subject to formal debt recovery are
defaulted and, under IFRS 9, categorised as Stage 3.
Non-Personal
Early problem identification
Each segment and sector have defined early warning indicators to
identify customers experiencing financial difficulty, and to increase
monitoring if needed. Early warning indicators may be internal,
such as a customer’s bank account activity, or external, such as a
publicly-listed customer’s share price. If early warning indicators
show a customer is experiencing potential or actual difficulty, or if
relationship managers or credit officers identify other signs of
financial difficulty, they may decide to classify the customer within
the Wholesale Problem Debt Management framework.
There is an equivalent process for Business Banking customers,
with problem debt cases reallocated to increased monitoring and
support under a Portfolio Management Relationship team or the
Financial Health and Support Team. Broader macro-economic
trends including commodity prices, foreign exchange rates and
consumer and government spend are also tracked, helping inform
decisions on sector risk appetite. Customer level early warning
indicators are regularly reviewed to ensure alignment with
prevailing economic conditions, ensuring both the volume and
focus of alerts is aligned to the point-in-time risk within each
sector.
The Wholesale Problem Debt Management framework
This framework focuses on Non-Personal customers (excluding
business banking) to provide early identification of credit
deterioration, support intelligent risk-taking, ensure fair and
consistent customer outcomes and provide key insights into Non-
Personal lending portfolios. Expert judgement is applied by
experienced credit risk officers to classify cases into categories
that reflect progressively deteriorating credit risk to NWB Group.
There are two classifications in the framework that apply to non-
defaulted customers who are in financial stress – Heightened
Monitoring and Risk of Credit Loss. For the purposes of
provisioning, all exposures categorised as Heightened Monitoring
or Risk of Credit Loss are categorised as Stage 2 and subject to a
lifetime loss assessment.
The framework also applies to those customers that have met
NWB Group’s default criteria (AQ10 exposures). Defaulted
exposures are categorised as Stage 3 impaired for provisioning
purposes.
Heightened Monitoring customers are performing customers that
have met certain characteristics, which have led to significant
credit deterioration. Collectively, characteristics reflect
circumstances that may affect the customer’s ability to meet
repayment obligations. Characteristics include trading issues,
covenant breaches, material PD downgrades and past due
facilities. Heightened Monitoring customers require pre-emptive
actions (outside the customer’s normal trading patterns) to return
or maintain their facilities within NWB Group’s current risk
appetite.
Risk of Credit Loss customers are performing customers that
have met the criteria for Heightened Monitoring and also pose a
risk of credit loss to NWB Group in the next 12 months should
mitigating action not be taken or not be successful.
Once classified as either Heightened Monitoring or Risk of Credit
Loss, a number of mandatory actions are taken in accordance
with policies. Actions include a review of the customer’s credit
grade, facility and security documentation and the valuation of
security. Depending on the severity of the financial difficulty and
the size of the exposure, the customer relationship strategy is
reassessed by credit officers, by specialist credit risk or
relationship management units in the relevant business, or by
Restructuring.
Agreed customer management strategies are regularly monitored
by both the business and credit teams. The largest Risk of Credit
Loss exposures are regularly reviewed by a Problem Debt Case
Review forum. The forum members are experienced credit,
business and restructuring specialists. The purpose of the forum is
to review and challenge the strategies undertaken for customers
that pose the largest risk of credit loss to NWB Group.
Appropriate corrective action is taken when circumstances
emerge that may affect the customer’s ability to service its debt.
Corrective actions may include granting a customer various types
of concessions. Any decision to approve a concession will be a
function of specific appetite, the credit quality of the customer, the
market environment and the loan structure and security. All
customers granted forbearance are classified Heightened
Monitoring as a minimum.
Other potential outcomes of the relationship review are to: return
the customer to a satisfactory status, offer additional lending and
continue monitoring, transfer the relationship to Restructuring if
appropriate, or exit the relationship.
The Wholesale Problem Debt Management framework does not
apply to problem debt management for business banking
customers. These customers are, where necessary, managed by
specialist problem debt management teams, depending on the
size of exposure or by the business banking recoveries team
where a loan has been impaired.
Restructuring
Where customers have lending exposure above £1 million, and
meet specific referral criteria, relationships are supported by the
Restructuring team. Restructuring works with corporate and
commercial customers in financial difficulty to help them
understand their options and how their restructuring or
repayment strategies can be delivered. Helping viable customers
return to financial health and restoring a normal banking
relationship is always the preferred outcome, however, where this
is not possible, NWB Group will work with customers to achieve a
solvent outcome. Throughout this period, the mainstream
relationship manager will remain an integral part of the customer
relationship. Insolvency is considered as a last resort and if
deemed necessary, NWB Group will work to recover its capital in
a fair and efficient manner, while upholding the fair treatment of
customers and NWB Group’s core values.
Customer Lending Support
With effect from 1 January 2025, Customer Lending Support, a
new centre of expertise, was established to support Non-Personal
customers in financial difficulty. Customer Lending Support brings
together Restructuring, Business Banking, International Retail and
Business Banking Northern Ireland teams who support Non-
Personal customers in financial difficulty. Collections activity within
Commercial Mid-Market will also transfer to Customer Lending
Support.
Forbearance (audited)
Forbearance takes place when a concession is made on the
contractual terms of a loan/debt in response to a customer’s
financial difficulties.
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Credit risk continued
NWB Group
Annual Report and Accounts 2024
22
The aim of forbearance is to support and restore the customer to
financial health while minimising risk. To ensure that forbearance
is appropriate for the needs of the customer, minimum standards
are applied when assessing, recording, monitoring and reporting
of forbearance.
A credit exposure may be forborne more than once, generally
where a temporary concession has been granted and
circumstances warrant another temporary or permanent revision
of the loan’s terms.
Loans are reported as forborne until they meet the exit criteria as
detailed in the appropriate regulatory guidance. These include
being classified as performing for two years since the last
forbearance event, making regular repayments and the loan/debt
being less than 30 days past due.
Types of forbearance
Personal
In the Personal portfolio, forbearance may involve payment
concessions, loan rescheduling (including extensions in contractual
maturity), charging simple interest and capitalisation of arrears.
Forbearance support is provided for both mortgages and
unsecured lending.
Non-Personal
In the Non-Personal portfolio, forbearance may involve covenant
waivers, amendments to margins, payment concessions and loan
rescheduling (including extensions in contractual maturity),
capitalisation of arrears, and debt forgiveness or debt-for-equity
swaps.
Monitoring of forbearance
Personal
For Personal portfolios, forborne loans are separated and
regularly monitored and reported while the forbearance strategy
is implemented, until they exit forbearance.
Non-Personal
In the Non-Personal portfolio, customer PDs and facility LGDs are
reassessed prior to finalising any forbearance arrangement. The
ultimate outcome of a forbearance strategy is highly dependent
on the co-operation of the borrower and a viable business or
repayment outcome. Where forbearance is no longer appropriate,
NWB Group will consider other options such as demanding
repayment of facilities, and in the event repayment does not take
place, the enforcement of security, insolvency proceedings or
both, although these are options of last resort.
Provisioning for forbearance (audited)
Personal
The methodology used for provisioning in respect of Personal
forborne loans will differ depending on whether the loans are
performing or non-performing and which business is managing
them due to local market conditions.
Granting forbearance will only change the arrears status of the
loan in specific circumstances, which can include capitalisation of
principal and interest in arrears, where the loan may be returned
to the performing book if the customer has demonstrated an
ability to meet regular payments and is likely to continue to do so.
The loan would continue to be reported as forborne until it meets
the exit criteria set out by the appropriate regulatory guidance.
For ECL provisioning, all forborne but performing exposures are
categorised as Stage 2 and are subject to a lifetime loss
provisioning assessment. Where the forbearance treatment
includes the cessation of interest on the customer balance (i.e.
non-accrual), this will be treated as a Stage 3 default.
For non-performing forborne loans, the Stage 3 loss assessment
process is the same as for non-forborne loans
.
Non-Personal
Provisions for forborne loans are assessed in accordance with
normal provisioning policies. The customer’s financial position and
prospects – as well as the likely effect of the forbearance,
including any concessions granted, and revised PD or LGD
gradings – are considered in order to establish whether an
impairment provision increase is required.
Non-Personal loans granted forbearance are individually credit
assessed in most cases. Performing loans subject to forbearance
treatment are categorised as Stage 2 and subject to a lifetime
loss assessment.
In line with regulatory guidance, forbearance may lead to a
customer being classified as non-performing.
In the case of non-performing forborne loans, an individual loan
impairment provision assessment generally takes place prior to
forbearance being granted. The amount of the loan impairment
provision may change once the terms of the forbearance are
known, resulting in an additional provision charge or a release of
the provision in the period the forbearance is granted.
The transfer of Non-Personal loans from impaired to performing
status follows assessment by relationship managers and credit.
When no further losses are anticipated and the customer is
expected to meet the loan’s revised terms, any provision is
written-off or released and the balance of the loan can be
returned to performing status once the exit criteria, as set out by
regulatory guidance, are met.
Refer to pages 43 and 45 for further details on Non-Personal and
Personal forbearance.
Credit grading models
Credit grading models is the collective term used to describe all
models, frameworks and methodologies used to calculate PD,
exposure at default (EAD), LGD, maturity and the production of
credit grades.
Credit grading models are designed to provide:

An assessment of customer and transaction characteristics.

A meaningful differentiation of credit risk.

Accurate internal default rate, loss and exposure estimates
that are used in the capital calculation or wider risk
management purposes.
Impairment, provisioning and write-offs (audited)
In the overall assessment of credit risk, impairment provisioning
and write-offs are used as key indicators of credit quality.
NWB Group’s IFRS 9 provisioning models, which use existing
internal ratings based (IRB) models as a starting point, incorporate
term structures and economic forecasts. Regulatory conservatism
within the IRB models has been removed as appropriate to
comply with the IFRS 9 requirement for unbiased ECL estimates.
Five key areas may materially influence the measurement of
credit impairment under IFRS 9 – two of these relate to model
build and three relate to model application:
Model build:

The determination of economic indicators that have most
influence on credit loss for each portfolio and the severity of
impact (this leverages existing stress testing models which are
reviewed annually).

The build of term structures to extend the determination of
the risk of loss beyond 12 months that will influence the
impact of lifetime loss for exposures in Stage 2.
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Credit risk continued
NWB Group
Annual Report and Accounts 2024
23
Model application:

The assessment of the SICR and the formation of a
framework capable of consistent application.

The determination of asset lifetimes that reflect behavioural
characteristics while also representing management actions
and processes (using historical data and experience).

The choice of forward-looking economic scenarios and their
respective probability weights.
For accounting policy information, refer to Accounting policy 2.3.
IFRS 9 ECL model design principles (audited)
Modelling of ECL for IFRS 9 follows the conventional approach to
divide the estimation of credit losses into its component parts of
PD, LGD and EAD.
To meet IFRS 9 requirements, the PD, LGD and EAD parameters
differ from their Pillar 1 IRB counterparts in the following aspects:

Unbiased
– conservatism has been removed from IFRS 9
parameters to produce unbiased estimates.

Point-in-time
– IFRS 9 parameters reflect actual economic
conditions at the reporting date instead of long-run average
or downturn conditions.

Economic forecasts
– IFRS 9 PD estimates and, where
appropriate, EAD and LGD estimates reflect forward-looking
economic conditions.

Lifetime measurement
–
IFRS 9 PD, LGD and EAD are
provided as multi-period term structures up to exposure
lifetimes instead of over a fixed one-year horizon.
IFRS 9 requires that, at each reporting date, an entity shall assess
whether the credit risk on an account has increased significantly
since initial recognition. Part of this assessment requires a
comparison to be made between the current lifetime PD (i.e. the
PD over the remaining lifetime at the reporting date) and the
equivalent lifetime PD as determined at the date of initial
recognition.
For assets originated before IFRS 9 was introduced, comparable
lifetime origination PDs did not exist. These have been
retrospectively created using the relevant model inputs applicable
at initial recognition.
PD estimates
Personal models
Personal PD models follow a discrete multi-horizon survival
approach, predicting quarterly PDs up to lifetime at account level,
with a key driver being scores from related IRB PD models.
Forward-looking economic information is brought in by economic
response models, which leverage the existing stress test model
suite. The current suite of PD models was introduced in 2022
replacing the previous, first-generation models to remediate a
range of model weaknesses.
Non-Personal models
Non-Personal PD models use a point-in-time/through-the-cycle
framework to convert one-year regulatory PDs into point-in-time
estimates that reflect economic conditions at the reporting date.
The framework utilises credit cycle indices (CCIs) for a
comprehensive set of region/industry segments. Further detail on
CCIs is provided in the Economic loss drivers section.
One year PDs are extended to lifetime PDs using a conditional
transition matrix approach and economic forecasts.
LGD estimates
The general approach for the IFRS 9 LGD models is to leverage
corresponding IRB LGD models with bespoke adjustments to
ensure estimates are unbiased and, where relevant, include
economic forecasts.
Personal
Economic forecasts are incorporated for the secured portfolios,
where changes in property prices can be readily accommodated.
Analysis has shown minimal impact of economic conditions on
LGDs for the other Personal portfolios.
Non-Personal
Economic forecasts are incorporated into LGD estimates using the
existing point-in-time/through-the-cycle framework. For low-
default portfolios, including sovereigns and banks, loss data is too
scarce to substantiate estimates that vary with economic
conditions. Consequently, for these portfolios, LGD estimates are
assumed to be constant throughout the projection horizon.
EAD estimates
Personal
The IFRS 9 Personal modelling approach for EAD is dependent on
product type.

Revolving products use the existing IRB models as a basis,
with appropriate adjustments incorporating a term structure
based on time to default.

Amortising products use an amortising schedule, where a
formula is used to calculate the expected balance based on
remaining terms and interest rates.

Analysis has indicated that there is minimal impact on EAD
arising from changes in the economy for all Personal portfolios
except mortgages. Therefore, forward-looking information is
only incorporated in the mortgage EAD model (through
forecast changes in interest rates).
Non-Personal
For Non-Personal, EAD values are projected using product
specific credit conversion factors (CCFs), closely following the
product segmentation and approach of the respective IRB model.
The CCFs are estimated over multi-year time horizons and
contain no regulatory conservatism or downturn assumptions.
No explicit economic forecasts are incorporated, on the basis of
analysis showing the movements in CCFs is mainly attributable to
changes in exposure management practices rather than
economic conditions.
Governance and post model adjustments (audited)
The IFRS 9 PD, EAD and LGD models are subject to NatWest
Group’s model risk policy that stipulates periodic model
monitoring, periodic re-validation and defines approval procedures
and authorities according to model materiality. Various post model
adjustments were applied where management judged they were
necessary to ensure an adequate level of overall ECL provision.
All post model adjustments were subject to review, challenge and
approval through model or provisioning committees. Post model
adjustments will remain a key focus area of NWB Group’s ongoing
ECL adequacy assessment process. A holistic framework has
been established including reviewing a range of economic data,
external benchmark information and portfolio performance trends
with a particular focus on segments of the portfolio (both Personal
and Non-Personal) that are likely to be more susceptible to high
inflation, high interest rates and supply chain disruption.
Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
24
ECL post model adjustments (audited)
The table below shows ECL post model adjustments.

| Retail Banking | Private | Commercial & | Central items |
| Mortgages | Other | Banking | Institutional | & other | Total
2024 | £m | £m | £m | £m | £m | £m
Deferred model calibrations | - | - | 1 | 14 | - | 15
Economic uncertainty | 83 | 19 | 8 | 137 | - | 247
Other adjustments | - | - | - | 15 | - | 15
Total | 83 | 19 | 9 | 166 | - | 277
Of which: |  |  |  |  |  |
- Stage 1 | 54 | 8 | 5 | 69 | - | 136
- Stage 2 | 24 | 11 | 4 | 96 | - | 135
- Stage 3 | 5 | - | - | 1 | - | 6
2023 |  |  |  |  |  |
Deferred model calibrations | - | - | 1 | 14 | - | 15
Economic uncertainty | 109 | 31 | 13 | 191 | 3 | 347
Other adjustments | 1 | - | - | 6 | - | 7
Total | 110 | 31 | 14 | 211 | 3 | 369
Of which: |  |  |  |  |  |
- Stage 1 | 72 | 11 | 6 | 83 | - | 172
- Stage 2 | 29 | 20 | 8 | 124 | 3 | 184
- Stage 3 | 9 | - | - | 4 | - | 13

Post model adjustments decreased since 31 December 2023,
with notable shifts in all categories.

Retail Banking
– The post model adjustments for economic
uncertainty decreased to £102 million at 31 December 2024
(2023 – £140 million). This reduction primarily reflected a
revision to the cost of living post model adjustment to £97
million (2023 – £130 million), reflecting enhancements to the
assessment approach, supported by back-testing of default
outcomes for higher risk segments. The cost of living post
model adjustment captures the risk on segments in the Retail
Banking portfolio that are more susceptible to the effects of
cost of living rises. It focuses on key affordability lenses,
including lower income customers in fuel poverty, over-
indebted borrowers and customers who remain vulnerable to
higher mortgage rates.

Commercial & Institutional
– The post model adjustment for
economic uncertainty decreased to £137 million (2023 – £191
million). The inflation, supply chain and liquidity post model
adjustment of £114 million (2023 – £153 million) was
maintained for lending prior to 1 January 2024 being a sector
level downgrade applied to the sectors that are considered
most at risk from the current headwinds. A further £23
million (2023 – £38 million) remains for customers that utilised
government support schemes, this adjustment is reducing as
customers default or repay.

The £14 million (2023 – £14 million) judgemental overlay for
deferred model calibrations relates to refinance risk, with the
existing mechanistic modelling approach not fully capturing
the risk on deteriorated exposures.

The £15 million (2023 – £6 million) other post model
adjustment was to mitigate the effect of operational timing
delays in the identification and flagging of a SICR with the
increase due to a small number of large corporate exposures
moving quickly from Stage 1 into default.
Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
25
SICR (audited)
Exposures that are considered significantly credit deteriorated
since initial recognition are classified in Stage 2 and assessed for
lifetime ECL measurement (exposures not considered
deteriorated carry a 12 month ECL). NWB Group has adopted a
framework to identify deterioration based primarily on relative
movements in lifetime PD supported by additional qualitative
backstops. The principles applied are consistent across NWB
Group and align to credit risk management practices, where
appropriate.
The framework comprises the following elements:
IFRS 9 lifetime PD assessment (the primary driver)
–
on

modelled portfolios, the assessment is based on the relative
deterioration in forward-looking lifetime PD and is assessed
monthly. To assess whether credit deterioration has
occurred, the residual lifetime PD at balance sheet date
(which PD is established at date of initial recognition (DOIR)) is
compared to the current PD. If the current lifetime PD
exceeds the residual origination PD by more than a threshold
amount, deterioration is assumed to have occurred and the
exposure transferred into Stage 2 for a lifetime loss
assessment. For Non-Personal, a doubling of PD would
indicate a SICR subject to a minimum PD uplift of 0.1%. For
Personal portfolios and SME Retail, the criteria vary by risk
band, with lower risk exposures needing to deteriorate more
than higher risk exposures, as outlined in the following table:

| PD bandings (based |
| on residual lifetime |
Personal | PD calculated at | PD deterioration
risk bands | DOIR) | threshold criteria
A | <0.762% | PD@DOIR + 1%
B | <4.306% | PD@DOIR + 3%
C | >=4.306% | 1.7 x PD@DOIR

Qualitative high-risk backstops
– the PD assessment is

complemented with the use of qualitative high-risk backstops
to further inform whether significant deterioration in lifetime
risk of default has occurred. The qualitative high-risk
backstop assessment includes the use of the mandatory 30+
days past due backstop, as prescribed by IFRS 9 guidance,
and other features such as forbearance support, Non-
Personal exposures managed within the Wholesale Problem
Debt Management framework, and adverse credit bureau
results for Personal customers.
Persistence (Personal and SME Retail customers only)
– the

persistence rule ensures that accounts which have met the
criteria for PD-driven deterioration are still considered to be
significantly deteriorated for three months thereafter. This
additional rule enhances the timeliness of capture in Stage 2.
The persistence rule is applied to PD-driven deterioration
only.
The criteria are based on a significant amount of empirical
analysis and seek to meet three key objectives:
Criteria effectiveness
– the criteria should be effective in

identifying significant credit deterioration and prospective
default population.
Stage 2 stability
– the criteria should not introduce

unnecessary volatility in the Stage 2 population.
Portfolio analysis
– the criteria should produce results which

are intuitive when reported as part of the wider credit
portfolio.
Monitoring the effect on relative PD deterioration when
originating new lending at times of weaker economic outlook
(therefore, higher PDs at initial recognition) is important to ensure
SICR criteria remains effective.
Asset lifetimes (audited)
The choice of initial recognition and asset duration is another
critical judgement in determining the quantum of lifetime losses
that apply.
The date of initial recognition reflects the date that a

transaction (or account) was first recognised on the balance
sheet; the PD recorded at that time provides the baseline
used for subsequent determination of SICR as detailed above.
For asset duration, the approach applied (in line with IFRS 9

requirements) is:
Term lending
– the contractual maturity date, reduced for

behavioural trends where appropriate (such as, expected
prepayment and amortisation).
Revolving facilities
– for Personal portfolios (except credit

cards), asset duration is based on behavioural life and this is
normally greater than contractual life (which would typically
be overnight). For the Non-Personal portfolios, asset duration
is based on annual customer review schedules and will be set
to the next review date.
In the case of credit cards, the most significant judgement is to
reflect the operational practice of card reissuance and the
associated credit assessment as enabling a formal re-origination
trigger. As a consequence, a capped lifetime approach of up to
36 months is used on credit card balances. If the approach was
uncapped the ECL impact is estimated at approximately £58
million (2023 – £82 million). However, credit card balances
originated under the 0% balance transfer product and
representing approximately 51% (2023 – 40%) of performing card
balances, have their ECL calculated on a behavioural lifetime
approach as opposed to being capped at a maximum of three
years.
The capped approach reflects NWB Group’s practice of a credit-
based review of customers prior to credit card issuance and
complies with IFRS 9. Benchmarking information indicates that
peer UK banks use behavioural approaches in the main for credit
card portfolios with average durations between three and ten
years. Across Europe, durations are shorter and are, in some
cases, as low as one year.
Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
26
Economic loss drivers (audited)
Introduction
The portfolio segmentation and selection of economic loss drivers
for IFRS 9 follows the approach used in stress testing. The stress
models for each portfolio segment (defined by product or asset
class and where relevant, industry sector and region) are based
on a selected, small number of economic variables, that best
explain the movements in portfolio loss rates. The process to
select economic loss drivers involves empirical analysis and
expert judgement.
The most significant economic loss drivers for material portfolios
are shown in the table below:

Portfolio | Economic loss drivers
Personal | Unemployment rate, sterling swap rate,
mortgages | house price index, real wage
Personal | Unemployment rate, sterling swap rate,
unsecured | real wage
Corporates | Stock price index, gross domestic product
| (GDP)
Commercial real | Stock price index, commercial property
estate | price index, GDP

Economic scenarios
At 31 December 2024, the range of anticipated future economic
conditions was defined by a set of four internally developed
scenarios and their respective probabilities. In addition to the
base case, they comprised upside, downside, and extreme
downside scenarios. The scenarios primarily reflected the current
risks faced by the economy. This approach was similar to that
used at 31 December 2023.
For 31 December 2024, the four scenarios were deemed
appropriate in capturing the uncertainty in economic forecasts
and the non-linearity in outcomes under different scenarios.
These four scenarios were developed to provide sufficient
coverage across potential rises in unemployment, inflation, asset
price declines and the degree of permanent damage to the
economy, around which there remains pronounced levels of
uncertainty.
Since 31 December 2023, the economic outlook has evolved. The
economy came out of post-COVID-19 stagnation with an
upswing in the first half of 2024 as household income recovered.
The growth lost momentum in the second half of 2024 and the
outlook remains that of moderate growth. Inflation declined over
the year, although the progress is slower than expected and
inflation is likely to take longer to reach the target of 2%. As a
result, rates are expected to remain higher-for-longer than
previously expected. The unemployment rate increased modestly
but it is underpinned by a still resilient labour market. There was
emerging risk to the labour market due to higher tax burdens,
but the impact is likely to be moderate. House prices were
previously assumed to decline in 2024, but they performed better
than expected. However, the higher interest rate environment
poses a risk to the recovery.
Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
27
Economic loss drivers (audited)
Headline macro variables: what are the risks and where are they captured?

|  |  |  |  | Extreme
| Mini narratives – potential developments, vulnerabilities and risks | Upside | Base case | Downside | downside
| Outperformance sustained – economy remains close to H1 2024 pace on strong |  |  |  |
| consumer |  |  |  |
| Steady growth – staying close to trend pace from H2 2024 and beyond |  |  |  |
Growth | Stalling – 2024 strength proves fleeting, lagged effect of higher rates and cautious |  |  |  |
| consumer stalls the rebound |  |  |  |
| Extreme stress – extreme fall in GDP, with policy support to facilitate sharp recovery |  |  |  |
| Close to deflation – inflationary pressures diminish amidst pronounced weakness in |  |  |  |
| demand |  |  |  |
| Battle won – continued downward drift in services inflation, ensuring 2% target is |  |  |  |
Inflation | met on sustained basis |  |  |  |
| Sticky – strong growth and/or wage policies and/or interest rate cuts keep services |  |  |  |
| inflation well above target |  |  |  |
| Structural factors – sustained bouts of energy, food and goods price inflation on |  |  |  |
| geopolitics/deglobalisation |  |  |  |
| Tighter, still – job growth rebounds strongly, pushing unemployment back down to |  |  |  |
| sub-3.5% |  |  |  |
Labour | Cooling continues – gradual loosening prompts a gentle rise in unemployment (but |  |  |  |
market | remains low), job growth recovers |  |  |  |
| Job shedding – prolonged weakness in economy prompts redundancies, reduced |  |  |  |
| hours, building slack |  |  |  |
| Depression – unemployment hits levels close to previous peaks amid severe stress |  |  |  |
| Limited cuts – higher growth and inflation keeps the MPC cautious |  |  |  |
Rates | Steady – approximately one cut per quarter |  |  |  |
short- | Mid-cycle quickening – sharp declines through 2025 to support recovery |  |  |  |
term |  |  |  |  |
| Sharp drop – drastic easing in policy to support a sharp deterioration in the |  |  |  |
| economy |  |  |  |
Rates | Above consensus – 4% |  |  |  |
long- | Middle – 3-3.5% |  |  |  |
term | Close to 2010s – 1-2%/2.5% |  |  |  |

Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
28
Main macroeconomic variables
The main macroeconomic variables for each of the four scenarios used for ECL modelling are set out in the table below.

| 2024 | 2023
|  |  |  | Extreme | Weighted |  |  |  | Extreme | Weighted
| Upside | Base case | Downside | downside | average | Upside | Base case | Downside | downside | average
Five-year summary | % | % | % | % | % | % | % | % | % | %
GDP | 2.0 | 1.3 | 0.5 | (0.2) | 1.1 | 1.8 | 1.0 | 0.5 | (0.3) | 0.9
Unemployment rate | 3.6 | 4.3 | 5.0 | 6.7 | 4.6 | 3.5 | 4.6 | 5.2 | 6.8 | 4.8
House price index | 5.8 | 3.5 | 0.8 | (4.3) | 2.7 | 3.9 | 0.3 | (0.4) | (5.7) | 0.3
Commercial real estate price | 5.4 | 1.2 | (1.0) | (5.7) | 1.1 | 3.1 | (0.2) | (2.0) | (6.8) | (0.6)
Consumer price index | 2.4 | 2.2 | 3.5 | 1.6 | 2.4 | 1.7 | 2.6 | 5.2 | 1.8 | 2.8
Bank of England base rate | 4.4 | 4.0 | 3.0 | 1.6 | 3.6 | 3.8 | 3.7 | 5.6 | 2.9 | 4.0
Stock price index | 6.3 | 5.0 | 3.4 | 1.1 | 4.5 | 4.8 | 3.3 | 1.2 | (0.4) | 2.8
World GDP | 3.8 | 3.2 | 2.5 | 1.6 | 3.0 | 3.7 | 3.2 | 2.7 | 1.8 | 3.0
Probability weight | 23.2 | 45.0 | 19.1 | 12.7 |  | 21.2 | 45.0 | 20.4 | 13.4 |

(1)
The five-year summary runs from 2024-28 for 31 December 2024 and from 2023-27 for 31 December 2023.
(2)
The table shows compound annual growth rate (CAGR) for GDP, average levels for the unemployment rate and Bank of England base rate and Q4 to Q4 CAGR for other parameters.
Climate transition
Since 2023, NatWest Group has included explicit assumptions
about changes in transition policy, expressed as an additional
implicit sectoral carbon price, in the base case macroeconomic
scenario. This approach has been used for financial planning and
IFRS 9 reporting ever since.
In 2024, NatWest Group refined its approach. Instead of applying
the economy-wide carbon price from an external scenario used in
2023, NatWest Group calculated the expected implicit carbon
prices associated with specific climate transition policies. NatWest
Group individually assessed 46 active and potential transition
policies that had a significant impact on the cost of emissions and
converted them into equivalent sectoral carbon prices. This was
calculated as the cost per tonne of the emissions (CO2e) abated
as a result of each policy.
NatWest Group estimated that the weighted average carbon price
associated with the policies assessed will increase from £73 per
tonne in 2024 to £123 per tonne in 2029. Sectoral carbon prices
feed into the climate risk macro model. The model has been
developed and improved over the past few years to enable
NatWest Group to estimate the impact of carbon prices on a
macroeconomic scenario.
UK government policies which are estimated to have the largest
impact on sectoral carbon prices are:

Emissions Trading Scheme

Climate Change Levy

Renewables Obligation

VAT on domestic energy
This analysis presents a very narrow view of climate transition
impact from 46 analysed policies. It only covers base case
macroeconomic scenario and does not include physical impacts.
NatWest Group and its customers have a dependency on timely
and appropriate government policies to provide the necessary
impetus for technology development and customer behaviour
changes, to enable the UK’s successful transition to net zero.
Policy delays and the risks outlined in the UK CCC 2022, 2023
and 2024 Progress Reports, if not adequately addressed in a
timely manner, put at risk the UK’s net zero transition and in turn,
that of NatWest Group and its customers.
Probability weightings of scenarios
NWB Group’s quantitative approach to IFRS 9 multiple economic
scenarios (MES) involves selecting a suitable set of discrete
scenarios to characterise the distribution of risks in the economic
outlook and assigning appropriate probability weights. This
quantitative approach is used for 31 December 2024.
The approach involves comparing UK GDP paths for NWB
Group’s scenarios against a set of 1,000 model runs, following
which, a percentile in the distribution is established that most
closely corresponded to the scenario. The probability weight for
base case is set first based on judgement, while probability
weights for the alternate scenarios are assigned based on these
percentiles scores.
The assigned probability weights were judged to be aligned with
the subjective assessment of balance of the risks in the economy.
The weights were marginally less downside skewed compared to
those used at 31 December 2023. The downside risks associated
with a materially high inflation have reduced, with inflation lower
at the end of 2024 compared to a year ago. However, the
economic outlook is still subject to considerable uncertainty
especially with respect to persistence of inflation, restrictive trade
policies and various geopolitical flashpoints. Given that backdrop,
NWB Group judges it appropriate that downside-biased scenarios
have higher combined probability weights than the upside-biased
scenario. It presents good coverage to the range of outcomes
assumed in the scenarios, including the potential for a robust
recovery on the upside and exceptionally challenging outcomes on
the downside. A 23.2% weighting was applied to the upside
scenario, a 45.0% weighting applied to the base case scenario, a
19.1% weighting applied to the downside scenario and a 12.7%
weighting applied to the extreme downside scenario.
Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
29
Economic loss drivers
UK gross domestic product (£bn)
Q1 2024
Q1 2025
Q1 2026
Q1 2027
Q1 2028
Q1 2029
2000
2100
2200
2300
2400
2500
2600
2700
2800
2900
3000
Upside
Base case
Downside
Extreme downside
Bank of England base rate (%)
Q1 2024
Q1 2025
Q1 2026
Q1 2027
Q1 2028
Q1 2029
0
1
2
3
4
5
6
Upside
Base case
Downside
Extreme downside
UK unemployment rate (%)
Q1 2024
Q1 2025
Q1 2026
Q1 2027
Q1 2028
Q1 2029
0
1
2
3
4
5
6
7
8
9
Upside
Base case
Downside
Extreme downside
Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
30
Economic loss drivers (audited)
Annual figures

GDP - annual growth | Consumer price index - four quarter change
|  |  |  | Extreme | Weighted |  |  |  |  | Extreme | Weighted
| Upside | Base case | Downside | downside | average |  | Upside | Base case | Downside | downside | average
| % | % | % | % | % |  | % | % | % | % | %
2024 | 0.9 | 0.9 | 0.9 | 0.9 | 0.9 | 2024 | 2.4 | 2.4 | 2.4 | 2.4 | 2.4
2025 | 2.0 | 1.4 | 0.4 | (4.1) | 0.6 | 2025 | 2.9 | 2.3 | 5.8 | 0.6 | 2.9
2026 | 3.2 | 1.5 | (0.5) | (0.3) | 1.3 | 2026 | 2.4 | 2.1 | 4.2 | 1.1 | 2.4
2027 | 2.3 | 1.4 | 0.2 | 1.4 | 1.4 | 2027 | 2.1 | 2.0 | 2.6 | 1.8 | 2.1
2028 | 1.6 | 1.4 | 1.3 | 1.4 | 1.4 | 2028 | 2.0 | 2.0 | 2.4 | 2.0 | 2.1
2029 | 1.6 | 1.4 | 1.7 | 1.4 | 1.5 | 2029 | 2.0 | 2.0 | 2.5 | 2.0 | 2.1

Unemployment rate - annual average | Bank of England base rate - annual average
|  |  |  | Extreme | Weighted |  |  |  |  | Extreme | Weighted
| Upside | Base case | Downside | downside | average |  | Upside | Base case | Downside | downside | average
| % | % | % | % | % |  | % | % | % | % | %
2024 | 4.2 | 4.2 | 4.2 | 4.2 | 4.2 | 2024 | 5.11 | 5.11 | 5.11 | 5.11 | 5.11
2025 | 3.9 | 4.4 | 4.8 | 5.4 | 4.5 | 2025 | 4.63 | 4.21 | 3.42 | 1.40 | 3.80
2026 | 3.3 | 4.4 | 5.5 | 8.0 | 4.8 | 2026 | 4.02 | 3.52 | 2.10 | 0.18 | 2.94
2027 | 3.3 | 4.3 | 5.5 | 8.3 | 4.8 | 2027 | 4.00 | 3.50 | 2.00 | 0.40 | 2.94
2028 | 3.4 | 4.3 | 5.3 | 7.6 | 4.7 | 2028 | 4.00 | 3.50 | 2.15 | 1.03 | 3.04
2029 | 3.4 | 4.2 | 5.0 | 6.9 | 4.5 | 2029 | 4.00 | 3.50 | 2.50 | 1.83 | 3.21

House price index - four quarter change
Stock price index - four quarter change

|  |  |  | Extreme | Weighted |  |  |  |  | Extreme | Weighted
| Upside | Base case | Downside | downside | average |  | Upside | Base case | Downside | downside | average
| % | % | % | % | % |  | % | % | % | % | %
2024 | 3.5 | 3.5 | 3.5 | 3.5 | 3.5 | 2024 | 11.6 | 11.6 | 11.6 | 11.6 | 11.6
2025 | 7.8 | 3.5 | (1.2) | (7.6) | 2.2 | 2025 | 8.1 | 3.4 | (10.5) | (35.0) | (3.0)
2026 | 7.2 | 3.4 | (2.8) | (14.7) | 1.1 | 2026 | 5.1 | 3.4 | 5.8 | 15.1 | 5.3
2027 | 5.1 | 3.4 | 0.1 | (8.0) | 2.2 | 2027 | 3.5 | 3.4 | 5.8 | 13.1 | 4.8
2028 | 5.4 | 3.4 | 4.4 | 6.9 | 4.4 | 2028 | 3.5 | 3.4 | 5.8 | 11.6 | 4.7
2029 | 5.6 | 3.4 | 4.2 | 6.3 | 4.4 | 2029 | 3.0 | 3.4 | 5.8 | 10.4 | 4.5

Commercial real estate price - four quarter change

|  |  |  | Extreme | Weighted
| Upside | Base case | Downside | downside | average
| % | % | % | % | %
2024 | (0.9) | (0.9) | (0.9) | (0.9) | (0.9)
2025 | 14.1 | 2.4 | (6.8) | (23.7) | 0.1
2026 | 4.4 | 1.5 | (2.5) | (12.7) | 0.2
2027 | 5.5 | 1.4 | 2.8 | 6.7 | 3.3
2028 | 4.2 | 1.5 | 2.6 | 5.7 | 2.8
2029 | 2.7 | 1.4 | 2.5 | 5.4 | 2.3

Worst points

|  |  | 2024 |  |  |  |  | 2023 |  |
|  |  | Extreme |  | Weighted |  |  | Extreme |  | Weighted
| Downside |  | downside |  | average | Downside |  | downside |  | average
| % | Quarter | % | Quarter | % | % | Quarter | % | Quarter | %
GDP | - | Q1 2024 | (4.1) | Q4 2025 | - | (1.2) | Q3 2024 | (4.5) | Q4 2024 | 0.3
Unemployment rate - peak | 5.6 | Q4 2026 | 8.5 | Q1 2027 | 4.9 | 5.8 | Q1 2025 | 8.5 | Q2 2025 | 5.2
House price index | (1.9) | Q2 2027 | (25.6) | Q3 2027 | - | (12.5) | Q4 2025 | (31.7) | Q2 2026 | (6.5)
Commercial real estate price | (10.5) | Q2 2026 | (35.0) | Q3 2026 | (1.8) | (16.6) | Q1 2025 | (39.9) | Q3 2025 | (10.2)
Consumer price index |  |  |  |  |  |  |  |  |  |
- highest four quarter change | 6.1 | Q1 2026 | 3.5 | Q1 2024 | 3.5 | 10.3 | Q1 2023 | 10.3 | Q1 2023 | 10.3
Bank of England base rate |  |  |  |  |  |  |  |  |  |
- extreme level | 2.0 | Q1 2024 | 0.1 | Q1 2024 | 2.9 | 6.5 | Q4 2024 | 5.3 | Q4 2023 | 5.3
Stock price index | (0.2) | Q4 2025 | (27.4) | Q4 2025 | - | (14.3) | Q4 2024 | (39.3) | Q4 2024 | (2.4)

(1)
The figures show falls relative to the starting period for GDP, house price index, commercial real estate price and stock price index. For unemployment rate, it shows highest value
through the scenario horizon. For consumer price index, it shows highest annual percentage change. For Bank of England base rate, it shows highest or lowest value through the
horizon. The calculations are performed over five years, with a starting point of Q4 2023 for 31 December 2024 scenarios and Q4 2022 for 31 December 2023 scenarios.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
31
Credit risk continued
Measurement uncertainty and ECL sensitivity analysis
(audited)
The recognition and measurement of ECL is complex and
involves the use of significant judgement and estimation,
particularly in times of economic volatility and uncertainty. This
includes the formulation and incorporation of multiple forward-
looking economic conditions into ECL to meet the measurement
objective of IFRS 9. The ECL provision is sensitive to the model
inputs and economic assumptions underlying the estimate.
The impact arising from the base case, upside, downside and
extreme downside scenarios was simulated. In the simulations,
NWB Group has assumed that the economic macro variables
associated with these scenarios replace the existing base case
economic assumptions, giving them a 100% probability weighting
and therefore serving as a single economic scenario.
These scenarios were applied to all modelled portfolios in the
analysis below, with the simulation impacting both PDs and
LGDs. Post model adjustments included in the ECL estimates that
were modelled were sensitised in line with the modelled ECL
movements, but those that were judgemental in nature, primarily
those for deferred model calibrations and economic uncertainty,
were not (refer to the Governance and post model adjustments
section) on the basis these would be re-evaluated by
management through ECL governance for any new economic
scenario outlook and not be subject to an automated calculation.
As expected, the scenarios create differing impacts on ECL by
portfolio and the impacts are deemed reasonable. In this
simulation, it is assumed that existing modelled relationships
between key economic variables and loss drivers hold, but in
practice other factors would also have an impact, for example,
potential customer behaviour changes and policy changes by
lenders that might impact on the wider availability of credit.
The focus of the simulations is on ECL provisioning requirements
on performing exposures in Stage 1 and Stage 2. The simulations
are run on a stand-alone basis and are independent of each
other; the potential ECL impacts reflect the simulated impact at
31 December 2024. Scenario impacts on SICR should be
considered when evaluating the ECL movements of Stage 1 and
Stage 2. In all scenarios the total exposure was the same but
exposure by stage varied in each scenario.
Stage 3 provisions are not subject to the same level of
measurement uncertainty – default is an observed event as at
the balance sheet date. Stage 3 provisions therefore were not
considered in this analysis.
NWB Group’s core criterion to identify a SICR is founded on PD
deterioration. Under the simulations, PDs change and result in
exposures moving between Stage 1 and Stage 2 contributing to
the ECL impact.
Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
32
Measurement uncertainty and ECL sensitivity analysis (audited)

|  |  | Moderate upside | Moderate Downside | Extreme downside
2024 | Actual | Base scenario | scenario | scenario | scenario
Stage 1 modelled loans (£m) |  |  |  |  |
Retail Banking - mortgages | 160,633 | 162,309 | 164,921 | 156,221 | 147,039
Retail Banking - unsecured | 8,506 | 8,688 | 9,022 | 8,152 | 7,377
Non-personal - property | 19,658 | 19,726 | 19,833 | 19,542 | 16,915
Non-personal - non-property | 82,895 | 83,427 | 83,745 | 82,330 | 68,742
| 271,692 | 274,150 | 277,521 | 266,245 | 240,073
Stage 1 modelled ECL (£m) |  |  |  |  |
Retail Banking - mortgages | 65 | 66 | 67 | 58 | 48
Retail Banking - unsecured | 173 | 179 | 178 | 168 | 156
Non-personal - property | 64 | 51 | 46 | 67 | 127
Non-personal - non-property | 158 | 144 | 140 | 160 | 231
| 460 | 440 | 431 | 453 | 562
Stage 1 coverage |  |  |  |  |
Retail Banking - mortgages | 0.04% | 0.04% | 0.04% | 0.04% | 0.03%
Retail Banking - unsecured | 2.03% | 2.06% | 1.97% | 2.06% | 2.11%
Non-personal - property | 0.33% | 0.26% | 0.23% | 0.34% | 0.75%
Non-personal - non-property | 0.19% | 0.17% | 0.17% | 0.19% | 0.34%
| 0.17% | 0.16% | 0.16% | 0.17% | 0.23%
Stage 2 modelled loans (£m) |  |  |  |  |
Retail Banking - mortgages | 19,141 | 17,465 | 14,853 | 23,553 | 32,735
Retail Banking - unsecured | 2,956 | 2,774 | 2,440 | 3,310 | 4,085
Non-personal - property | 2,162 | 2,094 | 1,987 | 2,278 | 4,905
Non-personal - non-property | 11,461 | 10,929 | 10,611 | 12,026 | 25,614
| 35,720 | 33,262 | 29,891 | 41,167 | 67,339
Stage 2 modelled ECL (£m) |  |  |  |  |
Retail Banking - mortgages | 55 | 49 | 41 | 68 | 111
Retail Banking - unsecured | 314 | 296 | 255 | 346 | 454
Non-personal - property | 44 | 38 | 34 | 47 | 139
Non-personal - non-property | 243 | 213 | 194 | 260 | 537
| 656 | 596 | 524 | 721 | 1,241
Stage 2 coverage |  |  |  |  |
Retail Banking - mortgages | 0.29% | 0.28% | 0.28% | 0.29% | 0.34%
Retail Banking - unsecured | 10.62% | 10.67% | 10.45% | 10.45% | 11.11%
Non-personal - property | 2.04% | 1.81% | 1.71% | 2.06% | 2.83%
Non-personal - non-property | 2.12% | 1.95% | 1.83% | 2.16% | 2.10%
| 1.84% | 1.79% | 1.75% | 1.75% | 1.84%
Stage 1 and Stage 2 modelled loans (£m) |  |  |  |  |
Retail Banking - mortgages | 179,774 | 179,774 | 179,774 | 179,774 | 179,774
Retail Banking - unsecured | 11,462 | 11,462 | 11,462 | 11,462 | 11,462
Non-personal - property | 21,820 | 21,820 | 21,820 | 21,820 | 21,820
Non-personal - non-property | 94,356 | 94,356 | 94,356 | 94,356 | 94,356
| 307,412 | 307,412 | 307,412 | 307,412 | 307,412
Stage 1 and Stage 2 modelled ECL (£m) |  |  |  |  |
Retail Banking - mortgages | 120 | 115 | 108 | 126 | 159
Retail Banking - unsecured | 487 | 475 | 433 | 514 | 610
Non-personal - property | 108 | 89 | 80 | 114 | 266
Non-personal - non-property | 401 | 357 | 334 | 420 | 768
| 1,116 | 1,036 | 955 | 1,174 | 1,803
Stage 1 and Stage 2 coverage |  |  |  |  |
Retail Banking - mortgages | 0.07% | 0.06% | 0.06% | 0.07% | 0.09%
Retail Banking - unsecured | 4.25% | 4.14% | 3.78% | 4.48% | 5.32%
Non-personal - property | 0.49% | 0.41% | 0.37% | 0.52% | 1.22%
Non-personal - non-property | 0.42% | 0.38% | 0.35% | 0.45% | 0.81%
| 0.36% | 0.34% | 0.31% | 0.38% | 0.59%
Reconciliation to Stage 1 and Stage 2 ECL (£m) |  |  |  |  |
ECL on modelled exposures | 1,116 | 1,036 | 955 | 1,174 | 1,803
ECL on non-modelled exposures | 33 | 33 | 33 | 33 | 33
Total Stage 1 and Stage 2 ECL (£m) | 1,149 | 1,069 | 988 | 1,207 | 1,836
Variance to actual total Stage 1 and Stage 2 ECL (£m) |  | (80) | (161) | 58 | 687

Risk and capital management continued
Credit risk continued
NWB Group
Annual Report and Accounts 2024
33
Measurement uncertainty and ECL sensitivity analysis continued (audited)

|  |  | Moderate upside | Moderate downside | Extreme downside
2024 | Actual | Base scenario | scenario | scenario | scenario
Reconciliation to Stage 1 and Stage 2 flow exposures (£m) |  |  |  |  |
Modelled loans | 307,412 | 307,412 | 307,412 | 307,412 | 307,412
Non-modelled loans | 18,705 | 18,705 | 18,705 | 18,705 | 18,705
Other asset classes | 79,525 | 79,525 | 79,525 | 79,525 | 79,525

(1)
Variations in future undrawn exposure values across the scenarios are modelled, however the exposure position reported is that used to calculate modelled ECL as at 31 December 2024
and therefore does not include variation in future undrawn exposure values.
(2)
Reflects ECL for all modelled exposure in scope for IFRS 9. The analysis excludes non-modelled portfolios and exposure relating to bonds and cash.
(3)
All simulations are run on a stand-alone basis and are independent of each other, with the potential ECL impact reflecting the simulated impact as at 31 December 2024. The simulations
change the composition of Stage 1 and Stage 2 exposure but total exposure was unchanged under each scenario as the loan population was static.
(4)
Refer to the Economic loss drivers section for details of economic scenarios.
(5)
Refer to the NWB Group 2023 Annual Report and Accounts for 2023 comparatives
.
Measurement uncertainty and ECL adequacy
(audited)

If the economics were as negative as observed in the
extreme downside (i.e. 100% probability weighting), total
Stage 1 and Stage 2 ECL was simulated to increase by £0.7
billion (approximately 60%). In this scenario, Stage 2 exposure
increased significantly and was the key driver of the
simulated ECL rise. The movement in Stage 2 balances in the
other simulations was less significant.

In the Non-Personal portfolio, there was a significant increase
in ECL under the extreme downside scenario. The Non-
Personal property ECL increase was mainly due to
commercial real estate prices which showed negative growth
until 2026 and significant deterioration in the stock index. The
non-property increase was mainly due to GDP contraction
and significant deterioration in the stock index.

Given the continued economic uncertainty, NWB Group
utilised a framework of quantitative and qualitative measures
to support the levels of ECL coverage. This included
economic data, credit performance insights and problem debt
trends. This was particularly important for consideration of
post model adjustments.

As the effects of these economic risks evolve into 2025, there
is a risk of further credit deterioration. However, the income
statement effect of this should be mitigated by the forward-
looking provisions retained on the balance sheet at 31
December 2024.

There are a number of key factors that could drive further
downside to impairments, through deteriorating economic
and credit metrics and increased stage migration as credit
risk increases for more customers. Such factors which could
impact the IFRS 9 models, include an adverse deterioration in
unemployment, GDP and stock price index in which NWB
Group operates.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
34
Credit risk – Banking activities
Introduction
This section details the credit risk profile of NWB Group’s banking activities.
Refer to Accounting policy 2.3 and Note 13 to the financial statements for policies and critical judgements relating to impairment loss
determination.
Financial instruments within the scope of the IFRS 9 ECL framework (audited)
Refer to Note 9 to the financial statements for balance sheet analysis of financial assets that are classified as amortised cost or fair
value through other comprehensive income (FVOCI), the starting point for IFRS 9 ECL framework assessment.

| 31 December 2024 | 31 December 2023
| Gross | ECL | Net | Gross | ECL | Net
| £bn | £bn | £bn | £bn | £bn | £bn
Balance sheet total gross amortised cost and FVOCI | 412.3 |  |  | 404.4 |  |
In scope of IFRS 9 ECL framework | 412.2 |  |  | 404.2 |  |
% in scope | 100% |  |  | 100% |  |
Loans to customers - in scope - amortised cost | 335.1 | 2.7 | 332.4 | 321.6 | 2.9 | 318.7
Loans to customers - in scope - FVOCI | - | - | - | - | - | -
Loans to banks - in scope - amortised cost | 3.4 | - | 3.4 | 3.3 | - | 3.3
Total loans - in scope | 338.5 | 2.7 | 335.8 | 324.9 | 2.9 | 322.0
Stage 1 | 298.2 | 0.5 | 297.7 | 288.8 | 0.6 | 288.2
Stage 2 | 35.5 | 0.6 | 34.9 | 31.7 | 0.8 | 30.9
Stage 3 | 4.8 | 1.6 | 3.2 | 4.4 | 1.5 | 2.9
Other financial assets - in scope - amortised cost | 44.3 | - | 44.3 | 55.8 | - | 55.8
Other financial assets - in scope - FVOCI | 29.4 | - | 29.4 | 23.5 | - | 23.5
Total other financial assets - in scope | 73.7 | - | 73.7 | 79.3 | - | 79.3
Stage 1 | 72.9 | - | 72.9 | 78.2 | - | 78.2
Stage 2 | 0.8 | - | 0.8 | 1.1 | - | 1.1
Stage 3 | - | - | - | - | - | -
Out of scope of IFRS 9 ECL framework | 0.1 | na | 0.1 | 0.2 | na | 0.2
Loans to customers - out of scope - amortised cost | (0.4) | na | (0.4) | (0.3) | na | (0.3)
Loans to banks - out of scope - amortised cost | - | na | - | - | na | -
Other financial assets - out of scope - amortised cost | 0.6 | na | 0.6 | 0.5 | na | 0.5
Other financial assets - out of scope - FVOCI | (0.1) | na | (0.1) | - | na | -

na = not applicable
The assets outside the scope of IFRS 9 ECL framework were as
follows:

Settlement balances, items in the course of collection, cash
balances and other non-credit risk assets of £0.7 billion (2023
– £0.6 billion). These were assessed as having no ECL unless
there was evidence that they were defaulted.

Fair value adjustments on loans hedged by interest rate
swaps, where the underlying loan was within the IFRS 9 ECL
scope of £(0.4) billion (2023 – £(0.4) billion).
In scope assets also include an additional £3.1 billion (2023 – £1.8
billion) of inter-group assets not shown in table above.
Contingent liabilities and commitments
Total contingent liabilities (including financial guarantees) and
commitments within IFRS 9 ECL scope of £96.7 billion (2023 –
£87.9 billion) comprised Stage 1 £88.3 billion (2023 – £79.2 billion);
Stage 2 £7.7 billion (2023 – £8.2 billion); and Stage 3 £0.7 billion
(2023 – £0.5 billion).
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
35
Segment analysis – portfolio summary (audited)
The table below shows gross loans and ECL, by segment and stage, within the scope of the IFRS 9 ECL framework.

| Retail | Private | Commercial & Central items |  |
| Banking | Banking | Institutional & other |  | Total
2024 | £m | £m | £m | £m | £m
Loans - amortised cost and FVOCI |  |  |  |  |
Stage 1 | 172,211 | 17,155 | 74,002 | 34,841 | 298,209
Stage 2 | 21,902 | 844 | 12,722 | 49 | 35,517
Stage 3 | 2,658 | 322 | 1,818 | - | 4,798
Inter-group (1) |  |  |  | 3,130 | 3,130
| 196,771 | 18,321 | 88,542 | 38,020 | 341,654
ECL provisions (2) |  |  |  |  |
Stage 1 | 245 | 16 | 211 | 10 | 482
Stage 2 | 370 | 11 | 285 | 1 | 667
Stage 3 | 844 | 37 | 718 | - | 1,599
Inter-group |  |  |  | 2 | 2
| 1,459 | 64 | 1,214 | 13 | 2,750
ECL provisions coverage (3) |  |  |  |  |
Stage 1 (%) | 0.14 | 0.09 | 0.29 | 0.03 | 0.16
Stage 2 (%) | 1.69 | 1.30 | 2.24 | 2.04 | 1.88
Stage 3 (%) | 31.75 | 11.49 | 39.49 | nm | 33.33
Inter-group (%) |  |  |  | 0.06 | 0.06
| 0.74 | 0.35 | 1.37 | 0.04 | 0.81
Impairment (releases)/losses |  |  |  |  |
ECL (release)/charge (4) |  |  |  |  |
Stage 1 | (174) | (10) | (159) | (12) | (355)
Stage 2 | 246 | (1) | 78 | 2 | 325
Stage 3 | 178 | - | 198 | - | 376
Inter-group |  |  |  | 1 | 1
| 250 | (11) | 117 | (9) | 347
Amounts written-off | 356 | - | 193 | - | 549

For the notes to this table refer to the following page.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
36
Segment analysis – portfolio summary (audited)

|  |  | Commercial & |  |
| Retail | Private | Institutional | Central items |
| Banking | Banking |  | & other | Total
2023 | £m | £m | £m | £m | £m
Loans - amortised cost and FVOCI |  |  |  |  |
Stage 1 | 170,668 | 17,565 | 71,748 | 28,791 | 288,772
Stage 2 | 18,690 | 906 | 12,131 | - | 31,727
Stage 3 | 2,480 | 258 | 1,667 | - | 4,405
Inter-group (1) |  |  |  | 1,809 | 1,809
| 191,838 | 18,729 | 85,546 | 30,600 | 326,713
ECL provisions (2) |  |  |  |  |
Stage 1 | 267 | 20 | 262 | 17 | 566
Stage 2 | 422 | 20 | 349 | 3 | 794
Stage 3 | 869 | 33 | 610 | - | 1,512
Inter-group |  |  |  | 1 | 1
| 1,558 | 73 | 1,221 | 21 | 2,873
ECL provisions coverage (3) |  |  |  |  |
Stage 1 (%) | 0.16 | 0.11 | 0.37 | 0.10 | 0.20
Stage 2 (%) | 2.26 | 2.21 | 2.88 | nm | 2.50
Stage 3 (%) | 35.04 | 12.79 | 36.59 | nm | 34.32
Inter-group (%) |  |  |  | 0.06 | 0.06
| 0.81 | 0.39 | 1.43 | 0.07 | 0.88
Impairment (releases)/losses |  |  |  |  |
ECL (release)/charge (4) |  |  |  |  |
Stage 1 | (142) | (9) | (171) | 3 | (319)
Stage 2 | 379 | 15 | 135 | - | 529
Stage 3 | 173 | 7 | 118 | (1) | 297
Inter-group |  |  |  | (3) | (3)
| 410 | 13 | 82 | (1) | 504
Amounts written-off | 143 | 2 | 90 | - | 235

(1)
NWB Group's intercompany assets are classified in Stage 1.
(2)
Includes £4 million (2023 – £8 million) related to assets classified as FVOCI.
(3)
ECL provisions coverage is calculated as ECL provisions divided by loans – amortised cost and FVOCI. It is calculated on loans and total ECL provisions, including ECL for other (non-
loan) assets and unutilised exposure. Some segments with a high proportion of debt securities or unutilised exposure may result in a not meaningful (nm) coverage ratio.
(4)
Includes a £10 million charge (2023 – £10 million charge) related to other financial assets, of which a £4 million charge (2023 – £6 million charge) related to assets classified as FVOCI,
and includes a £3 million release (2023 – £2 million release) related to contingent liabilities.
(5)
The table shows gross loans only and excludes amounts that are outside the scope of the ECL framework. Refer to the Financial instruments within the scope of the IFRS 9 ECL
framework section for further details. Other financial assets within the scope of the IFRS 9 ECL framework were cash and balances at central banks totalling £34.6 billion (2023 – £47.8
billion) and debt securities of £39.1 billion (2023 – £31.5 billion).
(6)
The stage allocation of the ECL charge was aligned to the stage transition approach that underpins the analysis in the Flow statement section.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
37
Segmental loans and impairment metrics (audited)
The table below shows gross loans and ECL provisions, by segment and stage, within the scope of the ECL framework.

| Gross loans | ECL provisions | ECL
|  |  |  |  |  |  |  |  | Total |
|  |  |  |  |  |  |  |  | (release)/ | Amounts
| Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3 | Total | charge | written-off
2024 | £m | £m | £m | £m | £m | £m | £m | £m | £m | £m
Retail Banking | 172,211 | 21,902 | 2,658 | 196,771 | 245 | 370 | 844 | 1,459 | 250 | 356
Private Banking | 17,155 | 844 | 322 | 18,321 | 16 | 11 | 37 | 64 | (11) | -
Personal | 13,726 | 352 | 251 | 14,329 | 3 | 1 | 20 | 24 | 1 | -
Non-personal | 3,429 | 492 | 71 | 3,992 | 13 | 10 | 17 | 40 | (12) | -
Commercial & Institutional | 74,002 | 12,722 | 1,818 | 88,542 | 211 | 285 | 718 | 1,214 | 117 | 193
Central items & other | 34,841 | 49 | - | 34,890 | 10 | 1 | - | 11 | (10) | -
Total loans | 298,209 | 35,517 | 4,798 | 338,524 | 482 | 667 | 1,599 | 2,748 | 346 | 549
Of which: |  |  |  |  |  |  |  |  |  |
Personal | 185,937 | 22,254 | 2,909 | 211,100 | 248 | 371 | 864 | 1,483 | 251 | 356
Non-personal | 112,272 | 13,263 | 1,889 | 127,424 | 234 | 296 | 735 | 1,265 | 95 | 193
2023 |  |  |  |  |  |  |  |  |  |
Retail Banking | 170,668 | 18,690 | 2,480 | 191,838 | 267 | 422 | 869 | 1,558 | 410 | 143
Private Banking | 17,565 | 906 | 258 | 18,729 | 20 | 20 | 33 | 73 | 13 | 2
Personal | 14,296 | 255 | 209 | 14,760 | 3 | 2 | 20 | 25 | (3) | 2
Non-personal | 3,269 | 651 | 49 | 3,969 | 17 | 18 | 13 | 48 | 16 | -
Commercial & Institutional | 71,748 | 12,131 | 1,667 | 85,546 | 262 | 349 | 610 | 1,221 | 82 | 90
Central items & other | 28,791 | - | - | 28,791 | 17 | 3 | - | 20 | 2 | -
Total loans | 288,772 | 31,727 | 4,405 | 324,904 | 566 | 794 | 1,512 | 2,872 | 507 | 235
Of which: |  |  |  |  |  |  |  |  |  |
Personal | 184,964 | 18,945 | 2,689 | 206,598 | 270 | 424 | 889 | 1,583 | 407 | 145
Non-personal | 103,808 | 12,782 | 1,716 | 118,306 | 296 | 370 | 623 | 1,289 | 100 | 90


Retail Banking
– Loans to customers increased during the year as a result of continued growth in mortgages, including the Metro
Bank portfolio acquisition and credit card lending. Arrears balances increased during 2024, however, this was in line with
expectations and wider-industry trends following periods of balance growth and normalisation since COVID-19. Arrears inflow
rates remained stable. The reduction in good book ECL coverage in 2024 was primarily driven by unsecured PD modelling
updates, alongside reductions in economic uncertainty post model adjustments and stable underlying portfolio performance. Post
model adjustments to capture increased affordability pressures on customers due to high inflation and interest rates decreased
during the year reflecting a revision of the assessment approach, supported by back-testing of default outcomes. Underpinned by
good book ECL coverage dynamics, total ECL coverage decreased during the year and was further amplified by 2024 debt sale
activity on unsecured portfolios. Flow rates into Stage 3 reduced during H1 2024 and remained consistent across H2 2024.

Commercial & Institutional
– The growth in exposure in Commercial & Institutional was driven by corporate and non-bank financial
institutions sectors, aligned to customer strategy. Portfolio performance remained stable with a small reduction in total ECL. Stage
1 and Stage 2 ECL, along with ECL coverage, decreased due to reductions in post model adjustments, net improvements in
economic scenarios and weightings. Stage 3 ECL increased due to a small number of large counterparties, but the total number of
individual defaults remained low.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
38
Sector analysis – portfolio summary
(audited)
The table below shows financial assets and off-balance sheet exposures gross of ECL and related ECL provisions, impairment and past
due by sector, asset quality and geographical region.

| Personal | Non-personal | Total
|  | Credit | Other |  | Corporate |  |  |  |
| Mortgages (1) | cards | personal | Total | & other | FI | Sovereign | Total |
2024 | £m | £m | £m | £m | £m | £m | £m | £m | £m
Loans by geography | 197,089 | 5,935 | 8,076 | 211,100 | 87,248 | 39,647 | 529 | 127,424 | 338,524
- UK | 197,089 | 5,935 | 8,076 | 211,100 | 77,181 | 30,358 | 218 | 107,757 | 318,857
- Other Europe | - | - | - | - | 4,553 | 5,915 | 31 | 10,499 | 10,499
- RoW | - | - | - | - | 5,514 | 3,374 | 280 | 9,168 | 9,168
Loans by stage and asset quality (2) | 197,089 | 5,935 | 8,076 | 211,100 | 87,248 | 39,647 | 529 | 127,424 | 338,524
Stage 1 | 175,823 | 4,136 | 5,978 | 185,937 | 73,214 | 38,683 | 375 | 112,272 | 298,209
- AQ1 | 1,141 | - | 127 | 1,268 | 545 | 1,312 | 31 | 1,888 | 3,156
- AQ2 | 1,797 | - | 110 | 1,907 | 3,274 | 29,815 | 212 | 33,301 | 35,208
- AQ3 | 6,016 | 10 | 107 | 6,133 | 8,437 | 241 | 5 | 8,683 | 14,816
- AQ4 | 89,539 | 106 | 312 | 89,957 | 16,274 | 4,865 | - | 21,139 | 111,096
- AQ5 | 67,275 | 1,083 | 483 | 68,841 | 25,779 | 1,504 | - | 27,283 | 96,124
- AQ6 | 3,691 | 1,195 | 2,353 | 7,239 | 12,880 | 770 | - | 13,650 | 20,889
- AQ7 | 5,924 | 1,515 | 2,096 | 9,535 | 5,650 | 173 | - | 5,823 | 15,358
- AQ8 | 253 | 205 | 341 | 799 | 345 | 3 | 127 | 475 | 1,274
- AQ9 | 187 | 22 | 49 | 258 | 30 | - | - | 30 | 288
Stage 2 | 19,214 | 1,652 | 1,388 | 22,254 | 12,222 | 908 | 133 | 13,263 | 35,517
- AQ1 | 11 | - | 5 | 16 | - | - | - | - | 16
- AQ2 | 10 | - | - | 10 | 46 | - | - | 46 | 56
- AQ3 | 101 | - | 10 | 111 | - | - | - | - | 111
- AQ4 | 7,410 | - | 97 | 7,507 | 1,911 | 49 | - | 1,960 | 9,467
- AQ5 | 8,653 | 51 | 87 | 8,791 | 1,683 | 712 | - | 2,395 | 11,186
- AQ6 | 865 | 147 | 298 | 1,310 | 2,801 | 6 | - | 2,807 | 4,117
- AQ7 | 724 | 917 | 451 | 2,092 | 4,232 | 76 | - | 4,308 | 6,400
- AQ8 | 577 | 463 | 320 | 1,360 | 1,324 | 64 | - | 1,388 | 2,748
- AQ9 | 863 | 74 | 120 | 1,057 | 225 | 1 | 133 | 359 | 1,416
Stage 3 | 2,052 | 147 | 710 | 2,909 | 1,812 | 56 | 21 | 1,889 | 4,798
- AQ10 | 2,052 | 147 | 710 | 2,909 | 1,812 | 56 | 21 | 1,889 | 4,798
Loans past due analysis | 197,089 | 5,935 | 8,076 | 211,100 | 87,248 | 39,647 | 529 | 127,424 | 338,524
- Not past due | 194,515 | 5,760 | 7,347 | 207,622 | 83,898 | 39,580 | 511 | 123,989 | 331,611
- Past due 1-30 days | 1,198 | 42 | 57 | 1,297 | 2,307 | 16 | - | 2,323 | 3,620
- Past due 31-89 days | 486 | 43 | 82 | 611 | 271 | 1 | 18 | 290 | 901
- Past due 90-180 days | 345 | 34 | 80 | 459 | 121 | 49 | - | 170 | 629
- Past due >180 days | 545 | 56 | 510 | 1,111 | 651 | 1 | - | 652 | 1,763
Loans - Stage 2 | 19,214 | 1,652 | 1,388 | 22,254 | 12,222 | 908 | 133 | 13,263 | 35,517
- Not past due | 18,262 | 1,598 | 1,305 | 21,165 | 11,433 | 904 | 133 | 12,470 | 33,635
- Past due 1-30 days | 732 | 26 | 30 | 788 | 555 | 3 | - | 558 | 1,346
- Past due 31-89 days | 220 | 28 | 53 | 301 | 234 | 1 | - | 235 | 536

For the notes to this table refer to page 41.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
39
Sector analysis – portfolio summary
(audited)

| Personal | Non-personal | Total
|  | Credit | Other |  | Corporate |  |  |  |
| Mortgages (1) | cards | personal | Total | & other | FI | Sovereign | Total |
2024 | £m | £m | £m | £m | £m | £m | £m | £m | £m
Weighted average life (3) |  |  |  |  |  |  |  |  |
- ECL measurement (years) | 8 | 4 | 6 | 6 | 6 | 2 | 2 | 6 | 6
Weighted average 12 months PDs (3) |  |  |  |  |  |  |  |  |
- IFRS 9 (%) | 0.50 | 3.23 | 4.67 | 0.72 | 1.34 | 0.18 | 13.27 | 1.03 | 0.83
- Basel (%) | 0.66 | 3.67 | 3.28 | 0.83 | 1.20 | 0.16 | 13.27 | 0.92 | 0.86
ECL provisions by geography | 357 | 323 | 803 | 1,483 | 1,191 | 60 | 14 | 1,265 | 2,748
- UK | 357 | 323 | 803 | 1,483 | 1,054 | 21 | 7 | 1,082 | 2,565
- Other Europe | - | - | - | - | 94 | 2 | - | 96 | 96
- RoW | - | - | - | - | 43 | 37 | 7 | 87 | 87
ECL provisions by stage | 357 | 323 | 803 | 1,483 | 1,191 | 60 | 14 | 1,265 | 2,748
- Stage 1 | 73 | 66 | 109 | 248 | 213 | 14 | 7 | 234 | 482
- Stage 2 | 56 | 159 | 156 | 371 | 286 | 8 | 2 | 296 | 667
- Stage 3 | 228 | 98 | 538 | 864 | 692 | 38 | 5 | 735 | 1,599
ECL provisions coverage (%) | 0.18 | 5.44 | 9.94 | 0.70 | 1.37 | 0.15 | 2.65 | 0.99 | 0.81
- Stage 1 (%) | 0.04 | 1.60 | 1.82 | 0.13 | 0.29 | 0.04 | 1.87 | 0.21 | 0.16
- Stage 2 (%) | 0.29 | 9.62 | 11.24 | 1.67 | 2.34 | 0.88 | 1.50 | 2.23 | 1.88
- Stage 3 (%) | 11.11 | 66.67 | 75.77 | 29.70 | 38.19 | 67.86 | 23.81 | 38.91 | 33.33
ECL charge/(release) - third party | 13 | 106 | 132 | 251 | 72 | 22 | 1 | 95 | 346
Amounts written-off | 12 | 84 | 260 | 356 | 193 | - | - | 193 | 549
Other financial assets |  |  |  |  |  |  |  |  |
by asset quality (2) | - | - | - | - | 3,481 | 16,237 | 53,934 | 73,652 | 73,652
- AQ1-AQ4 | - | - | - | - | 3,481 | 16,187 | 53,934 | 73,602 | 73,602
- AQ5-AQ8 | - | - | - | - | - | 50 | - | 50 | 50
Off-balance sheet | 11,799 | 16,655 | 6,541 | 34,995 | 57,208 | 4,338 | 145 | 61,691 | 96,686
Loan commitments | 11,799 | 16,655 | 6,500 | 34,954 | 54,854 | 3,757 | 145 | 58,756 | 93,710
Financial guarantees | - | - | 41 | 41 | 2,354 | 581 | - | 2,935 | 2,976
Off-balance sheet |  |  |  |  |  |  |  |  |
by asset quality (2) | 11,799 | 16,655 | 6,541 | 34,995 | 57,208 | 4,338 | 145 | 61,691 | 96,686
- AQ1-AQ4 | 11,286 | 456 | 5,502 | 17,244 | 33,821 | 3,231 | 60 | 37,112 | 54,356
- AQ5-AQ8 | 505 | 15,914 | 1,000 | 17,419 | 23,039 | 1,058 | 22 | 24,119 | 41,538
- AQ9 | 1 | 10 | 17 | 28 | 15 | - | 63 | 78 | 106
- AQ10 | 7 | 275 | 22 | 304 | 333 | 49 | - | 382 | 686

For the notes to this table refer to page 41
.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
40
Sector analysis – portfolio summary (audited)

| Personal | Non-personal | Total
|  | Credit | Other |  | Corporate |  |  |  |
| Mortgages (1) | cards | personal | Total | & other | FI | Sovereign | Total |
2023 | £m | £m | £m | £m | £m | £m | £m | £m | £m
Loans by geography | 193,810 | 4,865 | 7,923 | 206,598 | 84,221 | 32,511 | 1,574 | 118,306 | 324,904
- UK | 193,810 | 4,865 | 7,923 | 206,598 | 75,088 | 29,739 | 1,392 | 106,219 | 312,817
- Other Europe | - | - | - | - | 4,702 | 599 | 37 | 5,338 | 5,338
- RoW | - | - | - | - | 4,431 | 2,173 | 145 | 6,749 | 6,749
Loans by stage and asset quality (2) | 193,810 | 4,865 | 7,923 | 206,598 | 84,221 | 32,511 | 1,574 | 118,306 | 324,904
Stage 1 | 176,085 | 3,115 | 5,764 | 184,964 | 69,945 | 32,311 | 1,552 | 103,808 | 288,772
- AQ1 | 1,264 | - | 135 | 1,399 | 877 | 644 | 37 | 1,558 | 2,957
- AQ2 | 1,564 | - | 133 | 1,697 | 3,411 | 15,845 | 1,387 | 20,643 | 22,340
- AQ3 | 3,169 | 4 | 98 | 3,271 | 7,778 | 7,059 | 5 | 14,842 | 18,113
- AQ4 | 97,273 | 104 | 364 | 97,741 | 15,987 | 6,464 | - | 22,451 | 120,192
- AQ5 | 63,483 | 859 | 345 | 64,687 | 24,225 | 1,334 | - | 25,559 | 90,246
- AQ6 | 4,429 | 1,185 | 3,029 | 8,643 | 11,281 | 722 | - | 12,003 | 20,646
- AQ7 | 4,445 | 904 | 1,184 | 6,533 | 5,853 | 235 | - | 6,088 | 12,621
- AQ8 | 307 | 53 | 438 | 798 | 492 | 7 | 123 | 622 | 1,420
- AQ9 | 151 | 6 | 38 | 195 | 41 | 1 | - | 42 | 237
Stage 2 | 15,951 | 1,640 | 1,354 | 18,945 | 12,593 | 189 | - | 12,782 | 31,727
- AQ1 | 17 | - | - | 17 | 20 | - | - | 20 | 37
- AQ2 | 12 | - | - | 12 | 49 | - | - | 49 | 61
- AQ3 | 44 | - | 4 | 48 | 60 | - | - | 60 | 108
- AQ4 | 6,603 | - | 126 | 6,729 | 852 | 13 | - | 865 | 7,594
- AQ5 | 6,567 | 78 | 92 | 6,737 | 2,373 | 75 | - | 2,448 | 9,185
- AQ6 | 995 | 333 | 424 | 1,752 | 3,624 | 6 | - | 3,630 | 5,382
- AQ7 | 599 | 973 | 268 | 1,840 | 3,980 | 68 | - | 4,048 | 5,888
- AQ8 | 503 | 210 | 345 | 1,058 | 1,365 | 20 | - | 1,385 | 2,443
- AQ9 | 611 | 46 | 95 | 752 | 270 | 7 | - | 277 | 1,029
Stage 3 | 1,774 | 110 | 805 | 2,689 | 1,683 | 11 | 22 | 1,716 | 4,405
- AQ10 | 1,774 | 110 | 805 | 2,689 | 1,683 | 11 | 22 | 1,716 | 4,405
Loans past due analysis | 193,810 | 4,865 | 7,923 | 206,598 | 84,221 | 32,511 | 1,574 | 118,306 | 324,904
- Not past due | 191,498 | 4,738 | 7,085 | 203,321 | 80,741 | 32,486 | 1,574 | 114,801 | 318,122
- Past due 1-30 days | 984 | 33 | 59 | 1,076 | 2,280 | 17 | - | 2,297 | 3,373
- Past due 31-89 days | 422 | 31 | 94 | 547 | 498 | 3 | - | 501 | 1,048
- Past due 90-180 days | 363 | 26 | 85 | 474 | 79 | 2 | - | 81 | 555
- Past due >180 days | 543 | 37 | 600 | 1,180 | 623 | 3 | - | 626 | 1,806
Loans - Stage 2 | 15,951 | 1,640 | 1,354 | 18,945 | 12,593 | 189 | - | 12,782 | 31,727
- Not past due | 15,080 | 1,599 | 1,267 | 17,946 | 11,728 | 183 | - | 11,911 | 29,857
- Past due 1-30 days | 639 | 21 | 33 | 693 | 517 | 5 | - | 522 | 1,215
- Past due 31-89 days | 232 | 20 | 54 | 306 | 348 | 1 | - | 349 | 655

For the notes to this table refer to the following page.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
41
Sector analysis – portfolio summary (audited)

| Personal | Non-personal | Total
|  | Credit | Other |  | Corporate |  |  |  |
| Mortgages (1) | cards | personal | Total | & other | FI | Sovereign | Total |
2023 | £m | £m | £m | £m | £m | £m | £m | £m | £m
Weighted average life (3) |  |  |  |  |  |  |  |  |
- ECL measurement (years) | 9 | 4 | 6 | 6 | 6 | 2 | - | 6 | 6
Weighted average 12 months PDs (3) |  |  |  |  |  |  |  |  |
- IFRS 9 (%) | 0.48 | 3.46 | 5.33 | 0.71 | 1.65 | 0.21 | 0.61 | 1.24 | 0.90
- Basel (%) | 0.64 | 3.36 | 3.24 | 0.80 | 1.24 | 0.19 | 0.61 | 0.94 | 0.85
ECL provisions by geography | 321 | 299 | 963 | 1,583 | 1,246 | 33 | 10 | 1,289 | 2,872
- UK | 321 | 299 | 963 | 1,583 | 1,071 | 19 | 7 | 1,097 | 2,680
- Other Europe | - | - | - | - | 135 | 6 | - | 141 | 141
- RoW | - | - | - | - | 40 | 8 | 3 | 51 | 51
ECL provisions by stage | 321 | 299 | 963 | 1,583 | 1,246 | 33 | 10 | 1,289 | 2,872
- Stage 1 | 83 | 59 | 128 | 270 | 267 | 22 | 7 | 296 | 566
- Stage 2 | 55 | 167 | 202 | 424 | 361 | 8 | 1 | 370 | 794
- Stage 3 | 183 | 73 | 633 | 889 | 618 | 3 | 2 | 623 | 1,512
ECL provisions coverage (%) | 0.17 | 6.15 | 12.15 | 0.77 | 1.48 | 0.10 | 0.64 | 1.09 | 0.88
- Stage 1 (%) | 0.05 | 1.89 | 2.22 | 0.15 | 0.38 | 0.07 | 0.45 | 0.29 | 0.20
- Stage 2 (%) | 0.34 | 10.18 | 14.92 | 2.24 | 2.87 | 4.23 | NM | 2.89 | 2.50
- Stage 3 (%) | 10.32 | 66.36 | 78.63 | 33.06 | 36.72 | 27.27 | 9.09 | 36.31 | 34.32
ECL (release)/charge - third party | 36 | 161 | 210 | 407 | 106 | (4) | (2) | 100 | 507
Amounts written-off | 19 | 54 | 72 | 145 | 90 | - | - | 90 | 235
Other financial assets |  |  |  |  |  |  |  |  |
by asset quality (2) | - | - | - | - | 2,606 | 14,339 | 62,352 | 79,297 | 79,297
- AQ1-AQ4 | - | - | - | - | 2,606 | 13,957 | 62,352 | 78,915 | 78,915
- AQ5-AQ8 | - | - | - | - | - | 382 | - | 382 | 382
Off-balance sheet | 7,537 | 13,862 | 6,990 | 28,389 | 55,135 | 4,246 | 122 | 59,503 | 87,892
- Loan commitments | 7,537 | 13,862 | 6,945 | 28,344 | 52,945 | 3,928 | 122 | 56,995 | 85,339
- Financial guarantees | - | - | 45 | 45 | 2,190 | 318 | - | 2,508 | 2,553
Off-balance sheet |  |  |  |  |  |  |  |  |
by asset quality (2) | 7,537 | 13,862 | 6,990 | 28,389 | 55,135 | 4,246 | 122 | 59,503 | 87,892
- AQ1-AQ4 | 7,134 | 388 | 6,129 | 13,651 | 33,011 | 3,244 | 60 | 36,315 | 49,966
- AQ5-AQ8 | 389 | 13,223 | 837 | 14,449 | 21,890 | 999 | 45 | 22,934 | 37,383
- AQ9 | 7 | 5 | 4 | 16 | 14 | - | - | 14 | 30
- AQ10 | 7 | 246 | 20 | 273 | 220 | 3 | 17 | 240 | 513

(1)
Includes a portion of Private Banking lending secured against residential real estate, in line with ECL calculation methodology. Private Banking mortgages are reported in UK, reflecting
the country of lending origination.
(2)
AQ bandings are based on Basel PDs and mapping is as follows:

Internal asset quality band | Probability of default range | Indicative S&P rating
AQ1 | 0% - 0.034% | AAA to AA
AQ2 | 0.034% - 0.048% | AA to AA-
AQ3 | 0.048% - 0.095% | A+ to A
AQ4 | 0.095% - 0.381% | BBB+ to BBB-
AQ5 | 0.381% - 1.076% | BB+ to BB
AQ6 | 1.076% - 2.153% | BB- to B+
AQ7 | 2.153% - 6.089% | B+ to B
AQ8 | 6.089% - 17.222% | B- to CCC+
AQ9 | 17.222% - 100% | CCC to C
AQ10 | 100% | D

£0.3 billion (2023 – £0.2 billion) of AQ10 Personal balances primarily relate to loan commitments, the drawdown of which is effectively prohibited.
(3)
Previously published sectors for the Non-personal portfolio have been re-presented to reflect internal sector reporting. Property is now included in corporate and other.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
42
Sector analysis – portfolio summary (audited)
The table below shows gross loans and ECL by stage, for the Personal portfolio and Non-personal portfolio including the three largest
borrowing sector clusters included in corporate and other.

| Loans - amortised cost and FVOCI | Off-balance sheet | ECL provisions
|  |  |  |  | Loan | Contingent |  |  |  |
| Stage 1 | Stage 2 | Stage 3 | Total | commitments | liabilities | Stage 1 | Stage 2 | Stage 3 | Total
2024 | £m | £m | £m | £m | £m | £m | £m | £m | £m | £m
Personal | 185,937 | 22,254 | 2,909 | 211,100 | 34,954 | 41 | 248 | 371 | 864 | 1,483
Mortgages | 175,823 | 19,214 | 2,052 | 197,089 | 11,799 | - | 73 | 56 | 228 | 357
Credit cards | 4,136 | 1,652 | 147 | 5,935 | 16,655 | - | 66 | 159 | 98 | 323
Other personal | 5,978 | 1,388 | 710 | 8,076 | 6,500 | 41 | 109 | 156 | 538 | 803
Non-personal | 112,272 | 13,263 | 1,889 | 127,424 | 58,756 | 2,935 | 234 | 296 | 735 | 1,265
Financial institutions | 38,683 | 908 | 56 | 39,647 | 3,757 | 581 | 14 | 8 | 38 | 60
Sovereign | 375 | 133 | 21 | 529 | 145 | - | 7 | 2 | 5 | 14
Corporate & other | 73,214 | 12,222 | 1,812 | 87,248 | 54,854 | 2,354 | 213 | 286 | 692 | 1,191
Of which: |  |  |  |  |  |  |  |  |  |
Mobility and logistics | 11,840 | 2,275 | 111 | 14,226 | 7,173 | 451 | 23 | 34 | 42 | 99
Commercial real estate | 12,138 | 871 | 243 | 13,252 | 4,794 | 65 | 54 | 18 | 78 | 150
Consumer Industries | 9,407 | 2,557 | 382 | 12,346 | 8,810 | 439 | 37 | 75 | 159 | 271
Total | 298,209 | 35,517 | 4,798 | 338,524 | 93,710 | 2,976 | 482 | 667 | 1,599 | 2,748

2023 |  |  |  |  |  |  |  |  |  |
Personal | 184,964 | 18,945 | 2,689 | 206,598 | 28,344 | 45 | 270 | 424 | 889 | 1,583
Mortgages | 176,085 | 15,951 | 1,774 | 193,810 | 7,537 | - | 83 | 55 | 183 | 321
Credit cards | 3,115 | 1,640 | 110 | 4,865 | 13,862 | - | 59 | 167 | 73 | 299
Other personal | 5,764 | 1,354 | 805 | 7,923 | 6,945 | 45 | 128 | 202 | 633 | 963
Non-personal | 103,808 | 12,782 | 1,716 | 118,306 | 56,995 | 2,508 | 296 | 370 | 623 | 1,289
Financial institutions | 32,311 | 189 | 11 | 32,511 | 3,928 | 318 | 22 | 8 | 3 | 33
Sovereign | 1,552 | - | 22 | 1,574 | 122 | - | 7 | 1 | 2 | 10
Corporate & other | 69,945 | 12,593 | 1,683 | 84,221 | 52,945 | 2,190 | 267 | 361 | 618 | 1,246
Of which: |  |  |  |  |  |  |  |  |  |
Mobility and logistics | 11,804 | 1,828 | 102 | 13,734 | 6,800 | 340 | 30 | 35 | 38 | 103
Commercial real estate | 10,659 | 1,210 | 216 | 12,085 | 4,891 | 45 | 61 | 34 | 59 | 154
Consumer Industries | 8,638 | 3,452 | 467 | 12,557 | 8,038 | 525 | 50 | 96 | 194 | 340
Total | 288,772 | 31,727 | 4,405 | 324,904 | 85,339 | 2,553 | 566 | 794 | 1,512 | 2,872

Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
43
Non-personal forbearance (audited)
The table below shows Non-personal forbearance, Heightened Monitoring and Risk of Credit Loss by sector. The table shows current
exposure but reflects risk transfers where there is a guarantee by another customer.

|  | Financial |  |
| Corporate & other | institutions | Sovereign | Total
2024 | £m | £m | £m | £m
Forbearance (flow) | 2,756 | 97 | 18 | 2,871
Forbearance (stock) | 3,686 | 78 | 18 | 3,782
Heightened Monitoring and Risk of Credit Loss | 5,148 | 119 | 1 | 5,268
2023 |  |  |  |
Forbearance (flow) | 2,753 | 47 | 22 | 2,822
Forbearance (stock) | 3,865 | 61 | 22 | 3,948
Heightened Monitoring and Risk of Credit Loss | 4,205 | 167 | - | 4,372

Sector analysis – portfolio summary (audited)

Loans by geography and sector
– In line with NWB Group’s
strategic focus, exposures continued to be mainly in the UK.

Loans by stage
– The increase in Stage 1 reflected the
growth in Non-Personal lending, alongside continued growth
in Personal unsecured portfolios. There was an increase in
Stage 2 balances in 2024, driven by Personal, but noting that
there was a significant proportion of mortgage cases in Stage
2, due to PD persistence only. The modest increase in Stage
3 balance was mainly due to a small number of large
corporate customers, with Personal lending increases largely
mitigated by debt sale activity on unsecured assets.

Loans – past due analysis
– Within the Personal portfolio,
arrears balances increased during 2024, however, this was in
line with expectations following periods of balance growth
and normalisation since COVID-19. Arrears inflow rates
remained stable. In Non-Personal, past due composition was
stable.

Weighted average 12 months PDs
– Both IFRS 9 and Basel
PDs remained broadly stable during the year. In the Personal
portfolios, there was a notable reduction in unsecured IFRS 9
PDs due to modelling updates. In Non-Personal, some
reductions were observed in IFRS 9 PDs in the corporate
portfolios due to economic and portfolio improvements. PDs
in sovereigns increased significantly due to new lending but all
new lending is fully backed by government guarantees.

ECL provisions by stage and ECL provisions coverage
–
Overall provisions coverage reduced since 31 December
2023. In the performing book, this was mainly a result of
stable portfolio performance, reduced economic uncertainty
post model adjustments and PD reductions across a number
of portfolios, primarily relating to modelling updates in
Personal. Furthermore, Stage 3 and total book coverage
reduced, supported by the 2024 debt sale activity on
Personal unsecured portfolios.

ECL charge (excluding inter-group)
– The full year
impairment charge for 2024 primarily reflected stable default
performance, alongside reduced PD levels and impairment
releases driven by the reduction in economic uncertainty post
model adjustments.

Other financial assets by asset quality
–
Consisting almost
entirely of balances at central banks and debt securities held
in the course of treasury related management activities,
these assets were mainly within the AQ1-AQ4 bands.

Off-balance sheet exposures by asset quality
– In Personal,
undrawn exposures were reflective of available credit lines in
credit cards and current accounts. Additionally, the mortgage
portfolio had undrawn exposures, where a formal offer had
been made to a customer but had not yet drawn down; the
value increased in line with the pipeline of offers. There was
also a legacy portfolio of flexible mortgages where a
customer had the right and ability to draw down further
funds. In Non-Personal, off-balance sheet exposures
increased moderately, driven by loan commitments. Asset
quality was mainly in the AQ1-AQ8 bandings.

Non-Personal problem debt
– There was an increase in
exposures during 2024 driven by corporate sectors, although
volumes were flat. The framework is closely monitored and
there were no material thematic concerns.

Non-Personal forbearance
– Forbearance was lower at the
end of 2024, compared to 2023.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
44
Credit risk enhancement and mitigation (audited)
The table below shows exposures of modelled portfolios within the scope of the ECL framework and related credit risk enhancement
and mitigation (CREM).

|  |  |  |  |  |  |  |  |  | Exposure post
|  | Maximum credit risk | CREM by type | CREM coverage | CREM
| Gross |  |  |  |  |  |  |  |  |  |
| exposure | ECL | Total | Stage 3 | Financial (1) | Property | Other (2) | Total | Stage 3 | Total | Stage 3
2024 | £bn | £bn | £bn | £bn | £bn | £bn | £bn | £bn | £bn | £bn | £bn
Financial assets |  |  |  |  |  |  |  |  |  |  |
Cash and balances at central banks | 34.6 | - | 34.6 | - | - | - | - | - | - | 34.6 | -
Loans - amortised cost (3) | 338.5 | 2.7 | 335.8 | 3.2 | 41.1 | 227.7 | 22.1 | 290.9 | 2.7 | 44.9 | 0.5
Personal (4) | 211.1 | 1.5 | 209.6 | 2.0 | 0.7 | 196.4 | - | 197.1 | 1.8 | 12.5 | 0.2
Non-personal (5) | 127.4 | 1.2 | 126.2 | 1.2 | 40.4 | 31.3 | 22.1 | 93.8 | 0.9 | 32.4 | 0.3
Debt securities | 39.1 | - | 39.1 | - | 0.1 | - | - | 0.1 | - | 39.0 | -
Total financial assets | 412.2 | 2.7 | 409.5 | 3.2 | 41.2 | 227.7 | 22.1 | 291.0 | 2.7 | 118.5 | 0.5
Contingent liabilities and |  |  |  |  |  |  |  |  |  |  |
commitments |  |  |  |  |  |  |  |  |  |  |
Personal (6,7) | 35.0 | - | 35.0 | 0.3 | 0.9 | 1.8 | - | 2.7 | - | 32.3 | 0.3
Non-personal | 61.7 | - | 61.7 | 0.4 | 2.0 | 5.3 | 4.5 | 11.8 | - | 49.9 | 0.4
Total off-balance sheet | 96.7 | - | 96.7 | 0.7 | 2.9 | 7.1 | 4.5 | 14.5 | - | 82.2 | 0.7
Total exposure | 508.9 | 2.7 | 506.2 | 3.9 | 44.1 | 234.8 | 26.6 | 305.5 | 2.7 | 200.7 | 1.2
2023 |  |  |  |  |  |  |  |  |  |  |
Financial assets |  |  |  |  |  |  |  |  |  |  |
Cash and balances at central banks | 47.8 | - | 47.8 | - | - | - | - | - | - | 47.8 | -
Loans - amortised cost (3) | 324.9 | 2.9 | 322.0 | 2.9 | 33.4 | 222.2 | 18.8 | 274.4 | 2.5 | 47.6 | 0.4
Personal (4) | 206.6 | 1.6 | 205.0 | 1.8 | 0.8 | 193.2 | - | 194.0 | 1.6 | 11.0 | 0.2
Non-personal 5) | 118.3 | 1.3 | 117.0 | 1.1 | 32.6 | 29.0 | 18.8 | 80.4 | 0.9 | 36.6 | 0.2
Debt securities | 31.5 | - | 31.5 | - | - | - | - | - | - | 31.5 | -
Total financial assets | 404.2 | 2.9 | 401.3 | 2.9 | 33.4 | 222.2 | 18.8 | 274.4 | 2.5 | 126.9 | 0.4
Contingent liabilities and |  |  |  |  |  |  |  |  |  |  |
commitments |  |  |  |  |  |  |  |  |  |  |
Personal (6,7) | 28.4 | - | 28.4 | 0.3 | 0.8 | 1.8 | - | 2.6 | - | 25.8 | 0.3
Non-personal | 59.5 | - | 59.5 | 0.2 | 1.0 | 4.5 | 3.7 | 9.1 | - | 50.4 | 0.2
Total off-balance sheet | 87.9 | - | 87.9 | 0.5 | 1.8 | 6.3 | 3.7 | 11.7 | - | 76.2 | 0.5
Total exposure | 492.1 | 2.9 | 489.2 | 3.4 | 35.2 | 228.5 | 22.5 | 286.1 | 2.5 | 203.1 | 0.9

(1)
Includes cash and securities collateral.
(2)
Includes guarantees, charges over trade debtors, other asset finance related physical collateral as well as the amount by which credit risk exposure is reduced through netting
arrangements, mainly cash management pooling, which give NWB Group a legal right to set off the financial asset against a financial liability due to the same counterparty. Any additional
credit risk mitigation from a synthetic securitization is not included in the table above.
(3)
NWB Group holds collateral in respect of individual loans – amortised cost to banks and customers. This collateral includes mortgages over property (both personal and commercial);
charges over business assets such as plant and equipment; inventories and trade debtors; and guarantees of lending from parties other than the borrower. NWB Group obtains collateral
in the form of securities in reverse repurchase agreements. Collateral values are capped at the value of the loan.
(4)
Stage 3 mortgage exposures have relatively limited uncovered exposure reflecting the security held. On unsecured credit cards and other personal borrowing, the residual uncovered
amount reflects historical experience of continued cash recovery post default through ongoing engagement with customers.
(5)
Stage 3 exposures post credit risk enhancement and mitigation in Non-Personal mainly represent enterprise value and the impact of written down collateral values; an individual
assessment to determine ECL will consider multiple scenarios and in some instances allocate a probability weighting to a collateral value in excess of the written down value.
(6)
£0.3 billion (2023 – £0.2 billion) Personal Stage 3 balances primarily relate to loan commitments, the draw down of which is effectively prohibited.
(7)
The Personal gross exposure value includes £10.0 billion (2023 – £5.8 billion) in respect of pipeline mortgages where a committed offer has been made to a customer but where the funds
have not yet been drawn down. When drawn down, the exposure would be covered by a security over the borrower’s property.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
45
Personal portfolio (audited)
Disclosures in the Personal portfolio section include drawn exposure (gross of provisions).

| 2024 | 2023
| Retail | Private |  | Retail | Private |
| Banking | Banking | Total | Banking | Banking | Total
Personal lending | £m | £m | £m | £m | £m | £m
Mortgages | 184,234 | 12,826 | 197,060 | 180,629 | 13,222 | 193,851
Of which: |  |  |  |  |  |
Owner occupied | 166,557 | 11,348 | 177,905 | 163,114 | 11,629 | 174,743
Buy-to-let | 17,677 | 1,478 | 19,155 | 17,515 | 1,593 | 19,108
Interest only | 19,805 | 11,276 | 31,081 | 22,817 | 11,631 | 34,448
Mixed (1) | 9,662 | 40 | 9,702 | 9,208 | 25 | 9,233
ECL provisions (2) | 345 | 12 | 357 | 308 | 12 | 320
Other personal lending (3) | 12,572 | 1,301 | 13,873 | 11,251 | 1,395 | 12,646
ECL provisions (2) | 1,114 | 12 | 1,126 | 1,249 | 12 | 1,261
Total personal lending | 196,806 | 14,127 | 210,933 | 191,880 | 14,617 | 206,497
Mortgage LTV ratios |  |  |  |  |  |
- Owner occupied | 57% | 59% | 57% | 56% | 59% | 56%
- Stage 1 | 57% | 59% | 57% | 56% | 59% | 56%
- Stage 2 | 56% | 61% | 56% | 55% | 63% | 55%
- Stage 3 | 52% | 64% | 53% | 49% | 61% | 50%
- Buy-to-let | 54% | 60% | 54% | 53% | 59% | 54%
- Stage 1 | 54% | 60% | 55% | 53% | 60% | 54%
- Stage 2 | 53% | 57% | 53% | 50% | 57% | 50%
- Stage 3 | 52% | 56% | 53% | 51% | 53% | 51%
Gross new mortgage lending | 26,096 | 1,395 | 27,491 | 29,150 | 1,400 | 30,550
Of which: |  |  |  |  |  |
Owner occupied | 24,961 | 1,266 | 26,227 | 27,222 | 1,267 | 28,489
LTV > 90% | 864 | - | 864 | 1,132 | - | 1,132
Weighted average LTV (4) | 70% | 63% | 70% | 70% | 65% | 71%
Buy-to-let | 1,135 | 129 | 1,264 | 1,928 | 133 | 2,061
Weighted average LTV (4) | 61% | 62% | 61% | 58% | 66% | 58%
Interest only | 1,552 | 1,238 | 2,790 | 2,626 | 1,224 | 3,850
Mixed (1) | 1,136 | - | 1,136 | 1,552 | 2 | 1,554
Mortgage forbearance |  |  |  |  |  |
Forbearance flow (5) | 423 | 10 | 433 | 500 | 22 | 522
Forbearance stock | 1,403 | 20 | 1,423 | 1,140 | 28 | 1,168
Current | 1,035 | 9 | 1,044 | 782 | 10 | 792
1-3 months in arrears | 125 | 9 | 134 | 97 | 2 | 99
>3 months in arrears | 243 | 2 | 245 | 261 | 16 | 277

(1)
Includes accounts which have an interest only sub-account and a capital and interest sub-account to provide a more comprehensive view of interest only exposures.
(2)
Retail Banking excludes a non-material amount of lending and provisions held on relatively small legacy portfolios.
(3)
Comprises unsecured lending except for Private Banking, which includes both secured and unsecured lending. It excludes loans that are commercial in nature.
(4)
New mortgage lending LTV reflects the LTV at the time of lending.
(5)
Forbearance flows only include an account once per year, although some accounts may be subject to multiple forbearance deals. Forbearance deals post default are excluded from these
flows.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
46
Personal portfolio (audited)
Mortgage LTV distribution by stage
The table below shows gross mortgage lending and related ECL by LTV band for the Retail Banking portfolio.

| Mortgages | ECL provisions | ECL provisions coverage
| Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3 | Total
2024 | £m | £m | £m | £m | £m | £m | £m | £m | % | % | % | %
≤50% | 58,257 | 7,173 | 865 | 66,295 | 19 | 14 | 102 | 135 | - | 0.2 | 11.8 | 0.2
>50% and ≤70% | 59,790 | 7,225 | 724 | 67,739 | 28 | 21 | 76 | 125 | - | 0.3 | 10.5 | 0.2
>70% and ≤80% | 24,638 | 2,298 | 160 | 27,096 | 13 | 8 | 18 | 39 | 0.1 | 0.3 | 11.3 | 0.1
>80% and ≤90% | 16,505 | 1,718 | 79 | 18,302 | 9 | 9 | 11 | 29 | 0.1 | 0.5 | 13.9 | 0.2
>90% and ≤100% | 4,051 | 506 | 25 | 4,582 | 2 | 3 | 5 | 10 | - | 0.6 | 20.0 | 0.2
>100% | 13 | 4 | 11 | 28 | - | - | 5 | 5 | - | - | 45.5 | 17.9
Total with LTVs | 163,254 | 18,924 | 1,864 | 184,042 | 71 | 55 | 217 | 343 | - | 0.3 | 11.6 | 0.2
Other | 190 | 1 | 1 | 192 | 2 | - | - | 2 | 1.1 | - | - | 1.0
Total | 163,444 | 18,925 | 1,865 | 184,234 | 73 | 55 | 217 | 345 | - | 0.3 | 11.6 | 0.2
2023 |  |  |  |  |  |  |  |  |  |  |  |
≤50% | 61,263 | 6,230 | 832 | 68,325 | 24 | 16 | 88 | 128 | - | 0.3 | 10.6 | 0.2
>50% and ≤70% | 63,356 | 6,478 | 629 | 70,463 | 34 | 24 | 58 | 116 | 0.1 | 0.4 | 9.2 | 0.2
>70% and ≤80% | 22,141 | 1,580 | 100 | 23,821 | 13 | 7 | 11 | 31 | 0.1 | 0.4 | 11.0 | 0.1
>80% and ≤90% | 13,330 | 1,097 | 43 | 14,470 | 9 | 6 | 5 | 20 | 0.1 | 0.6 | 11.6 | 0.1
>90% and ≤100% | 2,968 | 361 | 11 | 3,340 | 2 | 2 | 2 | 6 | 0.1 | 0.6 | 18.2 | 0.2
>100% | 21 | 6 | 9 | 36 | - | - | 4 | 4 | - | - | 44.4 | 11.1
Total with LTVs | 163,079 | 15,752 | 1,624 | 180,455 | 82 | 55 | 168 | 305 | 0.1 | 0.4 | 10.3 | 0.2
Other | 172 | - | 2 | 174 | 1 | - | 1 | 2 | 0.6 | - | 50.0 | 1.2
Total | 163,251 | 15,752 | 1,626 | 180,629 | 83 | 55 | 169 | 307 | 0.1 | 0.4 | 10.4 | 0.2


Mortgage balances increased during 2024 as a result of the
Metro Bank mortgage portfolio acquisition. Unsecured lending
grew overall, driven by growth in credit cards, prime quality
whole of market lending and balance transfer segments.

The proportion of overall interest-only mortgage balances
decreased in 2024. Higher levels of interest-only at the 2023
year end were driven by the implementation of the Mortgage
Charter. However, applications for Mortgage Charter support
decreased during 2024 and customers have rolled-off from
interest-only periods.

Portfolios and new business were closely monitored against
agreed operating limits. These included loan-to-value ratios,
buy-to-let concentrations, new-build concentrations and
credit quality. Lending criteria, affordability calculations and
assumptions for new lending were adjusted during the year,
to maintain credit quality in line with appetite and to ensure
customers are assessed fairly as economic conditions
change.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
47
Personal portfolio (audited)
Mortgage LTV distribution by region
The table below shows gross mortgage lending by LTV band for Retail Banking, by geographical region.

|  |  |  |  |  | Weighted |  |
| ≤50% | 50%≤80% | 80%≤100% | >100% | Total | average LTV | Other | Total
2024 | £m | £m | £m | £m | £m | % | £m | £m
South East | 12,768 | 18,742 | 4,496 | 1 | 36,007 | 57 | 2 | 36,009
Greater London | 13,002 | 18,254 | 3,377 | 1 | 34,634 | 55 | 3 | 34,637
Scotland | 2,780 | 4,486 | 1,381 | - | 8,647 | 59 | 1 | 8,648
North West | 6,469 | 7,937 | 1,858 | 1 | 16,265 | 55 | 1 | 16,266
South West | 6,197 | 8,334 | 2,049 | 1 | 16,581 | 56 | 1 | 16,582
West Midlands | 4,983 | 6,835 | 1,677 | - | 13,495 | 56 | 1 | 13,496
East of England | 7,256 | 11,563 | 3,202 | 2 | 22,023 | 58 | 1 | 22,024
Rest of the UK | 12,840 | 18,685 | 4,843 | 22 | 36,390 | 57 | 182 | 36,572
Total | 66,295 | 94,836 | 22,883 | 28 | 184,042 | 57 | 192 | 184,234
2023 |  |  |  |  |  |  |  |
South East | 13,612 | 18,238 | 3,094 | 1 | 34,945 | 55 | 2 | 34,947
Greater London | 13,548 | 17,720 | 2,353 | 1 | 33,622 | 54 | 3 | 33,625
Scotland | 2,745 | 4,458 | 1,216 | - | 8,419 | 58 | 1 | 8,420
North West | 6,150 | 8,164 | 1,849 | 2 | 16,165 | 56 | - | 16,165
South West | 6,845 | 8,166 | 1,372 | - | 16,383 | 54 | 1 | 16,384
West Midlands | 4,933 | 6,904 | 1,394 | - | 13,231 | 56 | 1 | 13,232
East of England | 7,953 | 11,631 | 2,198 | - | 21,782 | 56 | 2 | 21,784
Rest of the UK | 12,538 | 19,003 | 4,334 | 32 | 35,907 | 57 | 165 | 36,072
Total | 68,324 | 94,284 | 17,810 | 36 | 180,454 | 55 | 175 | 180,629

Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
48
Commercial real estate (audited)
CRE LTV distribution by stage
The table below shows CRE gross loans and related ECL by LTV band.

| Gross loans | ECL provisions | ECL provisions coverage
|  | Stage 2 | Stage 3 | Total |  | Stage 2 | Stage 3 Total |  |  | Stage 2 | Stage 3 | Total
2024 | £m | £m | £m | £m | £m | £m | £m | £m | % | % | % | %
≤50% | 4,963 | 192 | 32 | 5,187 | 19 | 4 | 5 | 28 | 0.4 | 2.1 | 15.6 | 0.5
>50% and ≤70% | 3,409 | 208 | 51 | 3,668 | 18 | 5 | 10 | 33 | 0.5 | 2.4 | 19.6 | 0.9
>70% and ≤100% | 208 | 53 | 27 | 288 | 1 | 2 | 10 | 13 | 0.5 | 3.8 | 37.0 | 4.5
>100% | 125 | 4 | 74 | 203 | 1 | - | 25 | 26 | 0.8 | - | 33.8 | 12.8
Total with LTVs | 8,705 | 457 | 184 | 9,346 | 39 | 11 | 50 | 100 | 0.4 | 2.4 | 27.2 | 1.1
Total portfolio average LTV | 48% | 54% | 81% | 49% | - | - | - | - | - | - | - | -
Other Investment (1) | 1,812 | 293 | 31 | 2,136 | 5 | 4 | 12 | 21 | 0.3 | 1.4 | 38.7 | 1.0
Investment | 10,517 | 750 | 215 | 11,482 | 44 | 15 | 62 | 121 | 0.4 | 2.0 | 28.8 | 1.1
Development and other (2) | 1,621 | 121 | 28 | 1,770 | 10 | 3 | 16 | 29 | 0.6 | 2.5 | 57.1 | 1.6
Total | 12,138 | 871 | 243 | 13,252 | 54 | 18 | 78 | 150 | 0.4 | 2.1 | 32.1 | 1.1
2023 |  |  |  |  |  |  |  |  |  |  |  |
≤50% | 4,748 | 304 | 40 | 5,092 | 26 | 8 | 6 | 40 | 0.6 | 2.6 | 15.0 | 0.8
>50% and ≤70% | 2,231 | 398 | 64 | 2,693 | 15 | 13 | 12 | 40 | 0.7 | 3.3 | 18.8 | 1.5
>70% and ≤100% | 239 | 24 | 30 | 293 | 1 | 1 | 5 | 7 | 0.4 | 4.2 | 16.7 | 2.4
>100% | 140 | 6 | 16 | 162 | 1 | 1 | 9 | 11 | 0.7 | 16.7 | 56.3 | 6.8
Total with LTVs | 7,358 | 732 | 150 | 8,240 | 43 | 23 | 32 | 98 | 0.6 | 3.1 | 21.3 | 1.2
Total portfolio average LTV | 46% | 53% | 66% | 47% | - | - | - | - | - | - | - | -
Other Investment(1 ) | 1,790 | 294 | 32 | 2,116 | 7 | 5 | 11 | 23 | 0.4 | 1.7 | 34.4 | 1.1
Investment | 9,148 | 1,026 | 182 | 10,356 | 50 | 28 | 43 | 121 | 0.6 | 2.7 | 23.6 | 1.2
Development and other (2) | 1,511 | 184 | 34 | 1,729 | 11 | 6 | 16 | 33 | 0.7 | 3.3 | 47.1 | 1.9
Total | 10,659 | 1,210 | 216 | 12,085 | 61 | 34 | 59 | 154 | 0.6 | 2.8 | 27.3 | 1.3

(1)
Relates mainly to business banking and unsecured corporate lending.
(2)
Relates to the development of commercial and residential properties. Along with CRE activities that are not strictly investment or development. LTV is not a meaningful measure for this
type of lending activity.

The majority of the CRE portfolio was located and managed in
the UK. Business appetite and strategy was aligned across
NWB Group. Lending appetite is subject to regular review.

While the real estate investment market was subdued through
much of 2024, the portfolio remained resilient and there was
moderate growth.

Credit quality remained stable with very limited instances of
specific cases deteriorating. Challenges persist in parts of the
office sub-sector, but NWB Group remains comfortable with
exposures held in this sub-sector.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
49
Flow statements (audited)
The flow statements that follow show the main ECL and related
income statement movements. They also show the changes in
ECL as well as the changes in related financial assets used in
determining ECL. Due to differences in scope, exposures may
differ from
those reported in other tables, principally in relation to
exposures in Stage 1 and Stage 2. These differences do not have
a material ECL effect. Other points to note:

Financial assets include treasury liquidity portfolios, comprising
balances at central banks and debt securities, as well as
loans. Both modelled and non-modelled portfolios are included.

Stage transfers (for example, exposures moving from Stage 1
into Stage 2) are a key feature of the ECL movements, with
the net re-measurement cost of transitioning to a worse stage
being a primary driver of income statement charges. Similarly,
there is an ECL benefit for accounts improving stage.

Changes in risk parameters shows the reassessment of the
ECL within a given stage, including any ECL overlays and
residual income statement gains or losses at the point of
write-off or accounting write-down.

Other (P&L only items) includes any subsequent changes in
the value of written-down assets (for example, fortuitous
recoveries) along with other direct write-off items such as
direct recovery costs. Other (P&L only items) affects the
income statement but does not affect balance sheet ECL
movements.

Amounts written-off represent the gross asset written-down
against accounts with ECL, including the net asset write-down
for any debt sale activity.

There were some flows from Stage 1 into Stage 3 including
transfers due to unexpected default events with a post model
adjustment in place for Commercial & Institutional to account
for this risk.

The effect of any change in post model adjustments during
the year is typically reported under changes in risk
parameters, as are any effects arising from changes to the
underlying models. Refer to the section on Governance and
post model adjustments for further details.

All movements are captured monthly and aggregated. Interest
suspended post default is included within Stage 3 ECL with
the movement in the value of suspended interest during the
year reported under currency translation and other
adjustments.

| Stage 1 | Stage 2 | Stage 3 | Total
| Financial |  | Financial |  | Financial |  | Financial |
| assets | ECL | assets | ECL | assets | ECL | assets | ECL
NWB Group total | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January 2024 | 361,888 | 566 | 33,756 | 794 | 4,440 | 1,512 | 400,084 | 2,872
Currency translation and other adjustments | (628) | (1) | (29) | - | 120 | 166 | (537) | 165
Inter-Group transfers | - | - | - | - | 1 | - | 1 | -
Transfers from Stage 1 to Stage 2 | (35,855) | (198) | 35,855 | 198 | - | - | - | -
Transfers from Stage 2 to Stage 1 | 23,814 | 461 | (23,814) | (461) | - | - | - | -
Transfers to Stage 3 | (209) | (3) | (3,001) | (226) | 3,210 | 229 | - | -
Transfers from Stage 3 | 262 | 15 | 636 | 28 | (898) | (43) | - | -
Net re-measurement of ECL on stage transfer |  | (325) |  | 562 |  | 288 |  | 525
Changes in risk parameters |  | (164) |  | (91) |  | 238 |  | (17)
Other changes in net exposure | 19,189 | 131 | (6,221) | (136) | (1,567) | (129) | 11,401 | (134)
Other (P&L only items) |  | 3 |  | (10) |  | (21) |  | (28)
Income statement (releases)/charges |  | (355) |  | 325 |  | 376 |  | 346
Amounts written-off | - | - | (1) | (1) | (548) | (548) | (549) | (549)
Unwinding of discount |  | - |  | - |  | (114) |  | (114)
At 31 December 2024 | 368,461 | 482 | 37,181 | 667 | 4,758 | 1,599 | 410,400 | 2,748
Net carrying amount | 367,979 |  | 36,514 |  | 3,159 |  | 407,652 |
At 1 January 2023 | 359,432 | 506 | 39,087 | 813 | 3,862 | 1,262 | 402,381 | 2,581
2023 movements | 2,456 | 60 | (5,331) | (19) | 578 | 250 | (2,297) | 291
At 31 December 2023 | 361,888 | 566 | 33,756 | 794 | 4,440 | 1,512 | 400,084 | 2,872
Net carrying amount | 361,322 |  | 32,962 |  | 2,928 |  | 397,212 |

Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
50
Flow statements (audited)

| Stage 1 | Stage 2 | Stage 3 | Total
| Financial |  | Financial |  | Financial |  | Financial |
| assets | ECL | assets | ECL | assets | ECL | assets | ECL
Retail Banking - mortgages | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January 2024 | 163,974 | 83 | 15,942 | 55 | 1,600 | 171 | 181,516 | 309
Currency translation and other adjustments | - | - | - | - | 81 | 79 | 81 | 79
Transfers from Stage 1 to Stage 2 | (17,808) | (19) | 17,808 | 19 | - | - | - | -
Transfers from Stage 2 to Stage 1 | 11,561 | 22 | (11,561) | (22) | - | - | - | -
Transfers to Stage 3 | (45) | - | (919) | (7) | 964 | 7 | - | -
Transfers from Stage 3 | 43 | 1 | 313 | 4 | (356) | (5) | - | -
Net re-measurement of ECL on stage transfer |  | (12) |  | 26 |  | 5 |  | 19
Changes in risk parameters |  | 3 |  | (14) |  | 76 |  | 65
Other changes in net exposure | 5,140 | (5) | (2,431) | (6) | (421) | (54) | 2,288 | (65)
Other (P&L only items) |  | - |  | (1) |  | (8) |  | (9)
Income statement (releases)/charges |  | (14) |  | 5 |  | 19 |  | 10
Amounts written-off | - | - | - | - | (11) | (11) | (11) | (11)
Unwinding of discount |  | - |  | - |  | (51) |  | (51)
At 31 December 2024 | 162,865 | 73 | 19,152 | 55 | 1,857 | 217 | 183,874 | 345
Net carrying amount | 162,792 |  | 19,097 |  | 1,640 |  | 183,529 |
At 1 January 2023 | 153,791 | 74 | 16,557 | 55 | 1,321 | 139 | 171,669 | 268
2023 movements | 10,183 | 9 | (615) | - | 279 | 32 | 9,847 | 41
At 31 December 2023 | 163,974 | 83 | 15,942 | 55 | 1,600 | 171 | 181,516 | 309
Net carrying amount | 163,891 |  | 15,887 |  | 1,429 |  | 181,207 |


ECL coverage for mortgages remained stable overall during
2024, with growth in Stage 3 ECL partly offset by a reduction
in good book ECL, primarily driven by the reduction in
economic uncertainty post model adjustment levels. PDs
remained broadly flat with the effect of the modest increase
in arrears levels being offset by the impact of improved
economics since 2023 and stable portfolio performance
overall.

The decrease in Stage 1 ECL was also driven by the cost of
living post model adjustment reduction. Refer to the
Governance and post model adjustments section for further
details.

The Stage 3 inflows remained broadly stable, albeit with signs
of an upward drift in default rates, reflecting slightly poorer
arrears performance on mortgages recently rolled-off onto
higher product rates. The increase in Stage 3 ECL primarily
reflected increases in ECL for post-default interest.

There were net flows into Stage 2 from Stage 1 in line with a
modest upward trend in arrears.

The relatively small ECL cost for net re-measurement on
transfer into Stage 3 included the effect of risk targeted ECL
adjustments, when previously in the good book. Refer to the
Governance and post model adjustments section for further
details.

Write-off occurs once the repossessed property has been
sold and there is a residual shortfall balance remaining
outstanding. This would typically be within five years from
default but can be longer.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
51
Flow statements (audited)

| Stage 1 | Stage 2 | Stage 3 | Total
| Financial |  | Financial |  | Financial |  | Financial |
| assets | ECL | assets | ECL | assets | ECL | assets | ECL
Retail Banking - credit cards | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January 2024 | 2,869 | 58 | 1,656 | 166 | 117 | 73 | 4,642 | 297
Currency translation and other adjustments | - | 1 | - | 1 | 3 | 3 | 3 | 5
Transfers from Stage 1 to Stage 2 | (1,620) | (36) | 1,620 | 36 | - | - | - | -
Transfers from Stage 2 to Stage 1 | 1,068 | 77 | (1,068) | (77) | - | - | - | -
Transfers to Stage 3 | (20) | (1) | (131) | (48) | 151 | 49 | - | -
Transfers from Stage 3 | 2 | 1 | 7 | 3 | (9) | (4) | - | -
Net re-measurement of ECL on stage transfer |  | (48) |  | 144 |  | 40 |  | 136
Changes in risk parameters |  | (3) |  | (12) |  | 29 |  | 14
Other changes in net exposure | 1,577 | 17 | (368) | (54) | (44) | (1) | 1,165 | (38)
Other (P&L only items) |  | - |  | - |  | (7) |  | (7)
Income statement (releases)/charges |  | (34) |  | 78 |  | 61 |  | 105
Amounts written-off | - | - | - | - | (84) | (84) | (84) | (84)
Unwinding of discount |  | - |  | - |  | (7) |  | (7)
At 31 December 2024 | 3,876 | 66 | 1,716 | 159 | 134 | 98 | 5,726 | 323
Net carrying amount | 3,810 |  | 1,557 |  | 36 |  | 5,403 |
At 1 January 2023 | 2,420 | 47 | 855 | 91 | 88 | 57 | 3,363 | 195
2023 movements | 449 | 11 | 801 | 75 | 29 | 16 | 1,279 | 102
At 31 December 2023 | 2,869 | 58 | 1,656 | 166 | 117 | 73 | 4,642 | 297
Net carrying amount | 2,811 |  | 1,490 |  | 44 |  | 4,345 |


Overall ECL for cards remained broadly in-line with 2023,
with portfolio growth mitigated by stable portfolio
performance, lower PD levels and a reduction in economic
uncertainty post model adjustment levels.

Credit card balances continued to grow during the year, in
line with industry trends in the UK, reflecting strong customer
demand, while sustaining robust risk appetite.

While portfolio performance remained stable, a net flow into
Stage 2 from Stage 1 was observed, with the typical
maturation of lending after a period of strong growth in
recent years. The staging ECL uplift was offset by modelling
updates in PDs and LGDs.

Flow rates into Stage 3 showed modest improvement in 2024
in comparison to 2023, in line with broader portfolio
performance.

Charge-off (analogous to partial write-off) typically occurs
after 12 missed payments.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
52
Flow statements (audited)

| Stage 1 | Stage 2 | Stage 3 | Total
| Financial |  | Financial |  | Financial |  | Financial |
| assets | ECL | assets | ECL | assets | ECL | assets | ECL
Retail Banking - other personal unsecured | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January 2024 | 4,247 | 126 | 1,371 | 201 | 796 | 625 | 6,414 | 952
Currency translation and other adjustments | - | (1) | - | - | 18 | 19 | 18 | 18
Transfers from Stage 1 to Stage 2 | (1,836) | (90) | 1,836 | 90 | - | - | - | -
Transfers from Stage 2 to Stage 1 | 1,409 | 197 | (1,409) | (197) | - | - | - | -
Transfers to Stage 3 | (56) | (2) | (255) | (108) | 311 | 110 | - | -
Transfers from Stage 3 | 7 | 2 | 20 | 8 | (27) | (10) | - | -
Net re-measurement of ECL on stage transfer |  | (138) |  | 231 |  | 23 |  | 116
Changes in risk parameters |  | (58) |  | (34) |  | 89 |  | (3)
Other changes in net exposure | 771 | 70 | (326) | (34) | (150) | (38) | 295 | (2)
Other (P&L only items) |  | - |  | - |  | 24 |  | 24
Income statement (releases)/charges |  | (126) |  | 163 |  | 98 |  | 135
Amounts written-off | - | - | (1) | (1) | (260) | (260) | (261) | (261)
Unwinding of discount |  | - |  | - |  | (29) |  | (29)
At 31 December 2024 | 4,542 | 106 | 1,236 | 156 | 688 | 529 | 6,466 | 791
Net carrying amount | 4,436 |  | 1,080 |  | 159 |  | 5,675 |
At 1 January 2023 | 3,813 | 92 | 1,666 | 225 | 638 | 516 | 6,117 | 833
2023 movements | 434 | 34 | (295) | (24) | 158 | 109 | 297 | 119
At 31 December 2023 | 4,247 | 126 | 1,371 | 201 | 796 | 625 | 6,414 | 952
Net carrying amount | 4,121 |  | 1,170 |  | 171 |  | 5,462 |


Total ECL decreased, mainly in Stage 3, due to the reduction
of balances from debt sale activity on Personal unsecured
portfolios.

Stable portfolio performance was observed during the year.
PD modelling updates coupled with LGD modelling updates
were reflected in the performing book ECL, with coverage
levels showing a modest reduction since the prior period.

Flow rates into Stage 3 reduced for the year, in line with
broader portfolio performance.

Unsecured retail performing balances grew steadily in 2024,
largely in line with industry trends.

Write-off occurs once recovery activity with the customer has
been concluded or there are no further recoveries expected,
but no later than six years after default.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
53
Flow statements (audited)

| Stage 1 | Stage 2 | Stage 3 | Total
| Financial |  | Financial |  | Financial |  | Financial |
| assets | ECL | assets | ECL | assets | ECL | assets | ECL
Commercial & Institutional total | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January 2024 | 71,897 | 262 | 13,062 | 349 | 1,657 | 610 | 86,616 | 1,221
Currency translation and other adjustments | (125) | (1) | (29) | - | 17 | 60 | (137) | 59
Inter-group transfers | - | - | - | - | 1 | - | 1 | -
Transfers from Stage 1 to Stage 2 | (13,094) | (50) | 13,094 | 50 | - | - | - | -
Transfers from Stage 2 to Stage 1 | 8,427 | 150 | (8,427) | (150) | - | - | - | -
Transfers to Stage 3 | (76) | - | (1,491) | (62) | 1,567 | 62 | - | -
Transfers from Stage 3 | 167 | 12 | 275 | 12 | (442) | (24) | - | -
Net re-measurement of ECL on stage transfer |  | (117) |  | 149 |  | 222 |  | 254
Changes in risk parameters |  | (87) |  | (24) |  | 43 |  | (68)
Other changes in net exposure | 7,193 | 42 | (2,911) | (39) | (857) | (37) | 3,425 | (34)
Other (P&L only items) |  | 3 |  | (8) |  | (30) |  | (35)
Income statement (releases)/charges |  | (159) |  | 78 |  | 198 |  | 117
Amounts written-off | - | - | - | - | (193) | (193) | (193) | (193)
Unwinding of discount |  | - |  | - |  | (25) |  | (25)
At 31 December 2024 | 74,389 | 211 | 13,573 | 285 | 1,750 | 718 | 89,712 | 1,214
Net carrying amount | 74,178 |  | 13,288 |  | 1,032 |  | 88,498 |
At 1 January 2023 | 63,844 | 259 | 18,360 | 419 | 1,567 | 524 | 83,771 | 1,202
2023 movements | 8,053 | 3 | (5,298) | (70) | 90 | 86 | 2,845 | 19
At 31 December 2023 | 71,897 | 262 | 13,062 | 349 | 1,657 | 610 | 86,616 | 1,221
Net carrying amount | 71,635 |  | 12,713 |  | 1,047 |  | 85,395 |


The growth in exposures was mainly driven by non-bank
financial institutions.

Stage 1 and Stage 2 ECL reduced, reflecting a combination
of stable portfolio performance, reductions in post model
adjustments and net improvements in economic scenarios.

Stage 3 ECL increased due to a small number of large
counterparties, but in total, the number of individual defaults
remained low. Flows into Stage 3 were consistent with 2023
and considerably below historical trends.

Write-offs levels continue to remain below historical trends.

Overall, impairment charges were low, with Stage 3 individual
charges largely offset by performing book releases.

| Stage 1 | Stage 2 | Stage 3 | Total
| Financial |  | Financial |  | Financial |  | Financial |
| assets | ECL | assets | ECL | assets | ECL | assets | ECL
Commercial & Institutional - corporate | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January 2024 | 49,945 | 185 | 10,287 | 281 | 1,213 | 484 | 61,445 | 950
Currency translation and other adjustments | (75) | (1) | (30) | - | 16 | 50 | (89) | 49
Inter-group transfers | 66 | 1 | 28 | 2 | 3 | - | 97 | 3
Transfers from Stage 1 to Stage 2 | (9,759) | (39) | 9,759 | 39 | - | - | - | -
Transfers from Stage 2 to Stage 1 | 6,646 | 120 | (6,646) | (120) | - | - | - | -
Transfers to Stage 3 | (70) | - | (1,205) | (44) | 1,275 | 44 | - | -
Transfers from Stage 3 | 139 | 9 | 236 | 9 | (375) | (18) | - | -
Net re-measurement of ECL on stage transfer |  | (94) |  | 120 |  | 172 |  | 198
Changes in risk parameters |  | (61) |  | (22) |  | 34 |  | (49)
Other changes in net exposure | 3,624 | 23 | (2,347) | (32) | (632) | (31) | 645 | (40)
Other (P&L only items) |  | 3 |  | (9) |  | (28) |  | (34)
Income statement (releases)/charges |  | (129) |  | 57 |  | 147 |  | 75
Amounts written-off | - | - | - | - | (179) | (179) | (179) | (179)
Unwinding of discount |  | - |  | - |  | (20) |  | (20)
At 31 December 2024 | 50,516 | 143 | 10,082 | 233 | 1,321 | 536 | 61,919 | 912
Net carrying amount | 50,373 |  | 9,849 |  | 785 |  | 61,007 |


There was modest exposure growth, with increased new
lending largely offset by repayments.

Stage 1 and Stage 2 ECL reduced, reflecting a combination
of stable portfolio performance, reductions in post model
adjustments and net improvements in economic scenarios.

Stage 3 ECL increased due to charges on a small number of
large counterparties, partially offset by write-offs.

Overall, impairment charges were low, with Stage 3 individual
charges largely offset by performing book releases.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
54
Flow statements (audited)

| Stage 1 | Stage 2 | Stage 3 | Total
| Financial |  | Financial |  | Financial |  | Financial |
| assets | ECL | assets | ECL | assets | ECL | assets | ECL
Commercial & Institutional - property | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January 2024 | 16,667 | 66 | 2,141 | 63 | 395 | 119 | 19,203 | 248
Currency translation and other adjustments | (8) | (1) | (1) | (1) | 1 | 5 | (8) | 3
Inter-group transfers | (15) | - | (45) | (2) | (2) | (1) | (62) | (3)
Transfers from Stage 1 to Stage 2 | (2,044) | (9) | 2,044 | 9 | - | - | - | -
Transfers from Stage 2 to Stage 1 | 1,553 | 28 | (1,553) | (28) | - | - | - | -
Transfers to Stage 3 | (6) | - | (222) | (11) | 228 | 11 | - | -
Transfers from Stage 3 | 25 | 2 | 38 | 3 | (63) | (5) | - | -
Net re-measurement of ECL on stage transfer |  | (21) |  | 25 |  | 20 |  | 24
Changes in risk parameters |  | (25) |  | (7) |  | 13 |  | (19)
Other changes in net exposure | 2,354 | 18 | (278) | (7) | (189) | (6) | 1,887 | 5
Other (P&L only items) |  | - |  | - |  | (1) |  | (1)
Income statement (releases)/charges |  | (28) |  | 11 |  | 26 |  | 9
Amounts written-off | - | - | - | - | (13) | (13) | (13) | (13)
Unwinding of discount |  | - |  | - |  | (4) |  | (4)
At 31 December 2024 | 18,526 | 58 | 2,124 | 44 | 357 | 139 | 21,007 | 241
Net carrying amount | 18,468 |  | 2,080 |  | 218 |  | 20,766 |


Stage 1 and Stage 2 ECL reduced, reflecting a combination
of stable portfolio performance, reductions in post model
adjustments and net improvements in economic scenarios.

Stage 3 ECL increased due to charges on a small number of
large counterparties, partially offset by write-offs.

Overall, impairment charges were low, with Stage 3 individual
charges largely offset by performing book releases.

| Stage 1 | Stage 2 | Stage 3 | Total
| Financial |  | Financial |  | Financial |  | Financial |
| assets | ECL | assets | ECL | assets | ECL | assets | ECL
Commercial & Institutional - other | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January 2024 | 5,285 | 11 | 634 | 5 | 49 | 7 | 5,968 | 23
Currency translation and other adjustments | (41) | - | 2 | - | (1) | 4 | (40) | 4
Inter-group transfers | (52) | - | 17 | - | - | - | (35) | -
Transfers from Stage 1 to Stage 2 | (1,291) | (1) | 1,291 | 1 | - | - | - | -
Transfers from Stage 2 to Stage 1 | 227 | 2 | (227) | (2) | - | - | - | -
Transfers to Stage 3 | - | - | (64) | (6) | 64 | 6 | - | -
Transfers from Stage 3 | 3 | - | - | - | (3) | - | - | -
Net re-measurement of ECL on stage transfer |  | (2) |  | 4 |  | 30 |  | 32
Changes in risk parameters |  | (2) |  | 6 |  | (4) |  | -
Other changes in net exposure | 1,216 | 2 | (286) | - | (37) | - | 893 | 2
Other (P&L only items) |  | - |  | - |  | (1) |  | (1)
Income statement (releases)/charges |  | (2) |  | 10 |  | 25 |  | 33
Amounts written-off | - | - | - | - | - | - | - | -
Unwinding of discount |  | - |  | - |  | - |  | -
At 31 December 2024 | 5,347 | 10 | 1,367 | 8 | 72 | 43 | 6,786 | 61
Net carrying amount | 5,337 |  | 1,359 |  | 29 |  | 6,725 |


Stage 3 ECL increased due to charges on a small number
of large counterparties.
Risk and capital management continued
Credit risk – Banking activities continued
NWB Group
Annual Report and Accounts 2024
55
Stage 2 decomposition by a significant increase in credit risk trigger

| UK mortgages | Credit cards | Other | Total
2024 | £m | % | £m | % | £m | % | £m | %
Personal trigger (1) |  |  |  |  |  |  |  |
PD movement | 13,175 | 68.6 | 1,198 | 72.5 | 680 | 49.1 | 15,053 | 67.6
PD persistence | 3,676 | 19.1 | 357 | 21.6 | 325 | 23.4 | 4,358 | 19.6
Adverse credit bureau recorded with credit reference agency | 798 | 4.2 | 58 | 3.5 | 98 | 7.1 | 954 | 4.3
Forbearance support provided | 158 | 0.8 | - | - | 7 | 0.5 | 165 | 0.7
Customers in collections | 153 | 0.8 | 3 | 0.2 | 2 | 0.1 | 158 | 0.7
Collective SICR and other reasons (2) | 1,195 | 6.2 | 36 | 2.2 | 274 | 19.7 | 1,505 | 6.8
Days past due >30 | 59 | 0.3 | - | - | 2 | 0.1 | 61 | 0.3
| 19,214 | 100 | 1,652 | 100 | 1,388 | 100 | 22,254 | 100

2023 |  |  |  |  |  |  |  |
Personal trigger (1) |  |  |  |  |  |  |  |
PD movement | 11,583 | 72.5 | 1,191 | 72.6 | 715 | 52.8 | 13,489 | 71.2
PD persistence | 2,115 | 13.3 | 390 | 23.8 | 306 | 22.6 | 2,811 | 14.8
Adverse credit bureau recorded with credit reference agency | 877 | 5.5 | 40 | 2.4 | 82 | 6.1 | 999 | 5.3
Forbearance support provided | 110 | 0.7 | - | - | 9 | 0.7 | 119 | 0.6
Customers in collections | 158 | 1.0 | 1 | 0.1 | 7 | 0.5 | 166 | 0.9
Collective SICR and other reasons (2) | 1,017 | 6.4 | 18 | 1.1 | 228 | 16.8 | 1,263 | 6.7
Days past due >30 | 91 | 0.6 | - | - | 7 | 0.5 | 98 | 0.5
| 15,951 | 100 | 1,640 | 100 | 1,354 | 100 | 18,945 | 100

For the notes to this table refer to the following page.

The level of PD driven deterioration increased across the
mortgage portfolio throughout 2024, reflecting modest
increases in the early arrears level. However, the year end
economic scenarios update resulted in a reduction in PD
levels and a further build up in PD persistence levels.

Modelling updates in the unsecured portfolios at both Q1 and
year end, resulted in reduced in-lifetime PDs, driving a
segment of lower risk cases out of PD deterioration.

Higher risk mortgage customers who utilised the new
Mortgage Charter measures continue to be collectively
migrated into Stage 2 and were captured in the collective
SICR and other reasons category.

Accounts that were less than 30 days past due continued to
represent the vast majority of the Stage 2 population
Risk and capital management continued
Credit risk – Banking activities continued
Stage 2 decomposition by a significant increase in credit risk trigger
NWB Group
Annual Report and Accounts 2024
56

|  |  | Corporate & other | FI | Other | Total
2024 | £m | % | £m | % | £m | % | £m | % | £m | %
Non-personal trigger (1) |  |  |  |  |  |  |  |  |  |
PD movement |  |  | 10,031 | 82.0 | 766 | 84.5 | - | - | 10,797 | 81.3
PD persistence |  |  | 257 | 2.1 | 2 | 0.2 | - | - | 259 | 2.0
Heightened Monitoring and Risk of Credit Loss |  |  | 1,327 | 10.9 | 73 | 8.0 | 133 | 100.0 | 1,533 | 11.5
Forbearance support provided |  |  | 193 | 1.6 | - | - | - | - | 193 | 1.5
Customers in collections |  |  | 25 | 0.2 | - | - | - | - | 25 | 0.2
Collective SICR and other reasons (2) |  |  | 338 | 2.8 | 54 | 5.9 | - | - | 392 | 3.0
Days past due >30 |  |  | 51 | 0.4 | 13 | 1.4 | - | - | 64 | 0.5
|  |  | 12,222 | 100.0 | 908 | 100.0 | 133 | 100.0 | 13,263 | 100.0

2023 |  |  |  |  |  |
Non-personal trigger (1) |  |  |  |  |  |
PD movement | 8,111 | 64.5 | 58 | 30.7 | 8,169 | 63.9
PD persistence | 879 | 7.0 | 9 | 4.8 | 888 | 6.9
Heightened Monitoring and Risk of Credit Loss | 2,511 | 19.9 | 118 | 62.4 | 2,629 | 20.6
Forbearance support provided | 354 | 2.8 | - | - | 354 | 2.8
Customers in collections | 24 | 0.2 | - | - | 24 | 0.2
Collective SICR and other reasons (2) | 446 | 3.5 | 4 | 2.1 | 450 | 3.5
Days past due >30 | 268 | 2.1 | - | - | 268 | 2.1
| 12,593 | 100 | 189 | 100 | 12,782 | 100

(1)
The table is prepared on a hierarchical basis from top to bottom, for example, accounts with PD deterioration may also trigger backstop(s) but are only reported under PD deterioration.
(2)
Includes cases where a PD assessment cannot be made and accounts where the PD has deteriorated beyond a prescribed backstop threshold aligned to risk management practices.

PD deterioration continued to be the primary trigger of
migration of exposures from Stage 1 into Stage 2. There was
an increase in cases triggering PD deterioration partially due
to additional sectors included in economic uncertainty post
model adjustments.

Heightened Monitoring and Risk of Credit Loss remained an
important backstop indicator of a SICR. The exposures
captured by Heighted Monitoring or Risk of Credit Loss
decreased over the period, due to the increase in PD
deterioration.

PD persistence related to the SME Retail portfolio only, with
reductions due to some stable portfolio performance and net
improvements in economic scenarios and weightings.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
57
Capital, liquidity and funding risk
NWH Group continually ensures a comprehensive approach is
taken to the management of capital, liquidity and funding,
underpinned by frameworks, risk appetite and policies, to manage
and mitigate its capital, liquidity and funding risks. The framework
ensures the tools and capability are in place to facilitate the
management and mitigation of risk ensuring the Group operates
within its regulatory requirements and risk appetite.
Definitions (audited)
Regulatory capital consists of reserves and instruments issued
that are available, have a degree of permanency and are capable
of absorbing losses. A number of strict conditions set by
regulators must be satisfied to be eligible as capital.
Capital risk is the inability to conduct business in base or stress
conditions on a risk or leverage basis due to insufficient qualifying
capital as well as the failure to assess, monitor, plan and manage
capital adequacy requirements.
Liquidity consists of assets that can be readily converted to cash
within a short timeframe at a reliable value. Liquidity risk is
defined as the risk that the Group or any of its subsidiaries or
branches cannot meet it’s actual or potential financial obligations
in a timely manner as they fall due in the short term.
Funding consists of on-balance sheet liabilities that are used to
provide cash to finance assets. Funding risk is the current or
prospective risk that the Group or its subsidiaries or branches
cannot meet financial obligations as they fall due in the medium to
long term, either at all or without increasing funding costs
unacceptably.
Liquidity and funding risks arise in a number of ways, including
through the maturity transformation role that banks perform. The
risks are dependent on factors such as:

Maturity profile;

Composition of sources and uses of funding;

The quality and size of the liquidity portfolio;

Wholesale market conditions; and

Depositor and investor behaviour
Sources of risk (audited)
Capital
The eligibility of instruments and financial resources as regulatory
capital is laid down by applicable regulation. Capital is categorised
by applicable regulation under two tiers (Tier 1 and Tier 2)
according to the ability to absorb losses on either a going or gone
concern basis, degree of permanency and the ranking of
absorbing losses. There are three broad categories of capital
across these two tiers:

CET1 capital
- CET1 capital must be perpetual and capable of
unrestricted and immediate use to cover risks or losses as
soon as these occur. This includes ordinary shares issued and
retained earnings.

Additional Tier 1 (AT1) capital
- This is the second type of loss
absorbing capital and must be capable of absorbing losses on
a going concern basis. These instruments are either written
down or converted into CET1 capital when the CET1 ratio
falls below a pre-specified level.

Tier 2 capital
- Tier 2 capital is the bank entities’
supplementary capital and provides loss absorption on a gone
concern basis. Tier 2 capital absorbs losses after Tier capital.
It typically consists of subordinated debt securities which must
have a minimum of five years to maturity at all times to be
fully recognised for regulatory purposes.
Minimum requirement for own funds and eligible liabilities
(MREL)
In addition to capital, other specific loss absorbing instruments,
including senior notes and Tier 2 capital instruments with certain
qualifying criteria issued by NWB Plc, may be used to cover
certain gone concern capital requirements which, is referred to as
MREL. Gone concern refers to the situation in which resources
must be available to enable an orderly resolution, in the event that
the Bank of England (BoE) deems that NWB Plc has failed or is
likely to fail.
Liquidity
Liquidity risk within NWB Plc is managed as part of the UK
Domestic Liquidity Sub-Group (UK DoLSub), which is regulated by
the PRA and comprises of NWH Group’s three licensed deposit
taking UK banks: National Westminster Bank Plc, The Royal Bank
of Scotland plc and Coutts & Company.
NWH Group maintains a prudent approach to the definition of
liquidity portfolio to ensure it is available when and where
required, taking into account regulatory, legal and other
constraints.
Liquidity portfolio is divided into primary and secondary liquidity as
follows:

Primary liquidity is
LCR eligible assets and includes cash and
balances at central banks, Treasury bills and high quality
government securities.

Secondary liquidity is assets eligible as collateral for local
central bank liquidity facilities. These assets include own-
issued securitisations or loans that are retained on balance
sheet and pre-positioned with a central bank so that they may
be converted into additional sources of liquidity at very short
notice.
Funding
Funding risk within NWB Plc is managed as part of the UK
DoLSub allowing regulatory metrics and internally defined views
to be met as a single consolidated group.
NWB Plc maintains a diversified set of funding sources, including
customer deposits, wholesale deposits and term debt issuance.
NWB Plc also retains access to central bank funding facilities.
For further details on capital constituents and the regulatory
framework covering capital, liquidity and funding requirements,
refer to the NatWest Holdings Group and NWB Plc Pillar 3 Reports
2024.
Managing capital requirements: regulated entities
In line with paragraph 135 of IAS 1 ‘Presentation of Financial
Statements’, NWB Group manages capital having regard to
regulatory requirements. Regulatory capital is monitored and
reported on an individual regulated bank legal entity basis (‘bank
entities’), as relevant in the jurisdiction for large subsidiaries of
NatWest Group. NatWest Group itself is monitored and reported
on a consolidated basis.
Risk and capital management continued
Capital, liquidity and funding risk continued
NWB Group
Annual Report and Accounts 2024
58
Capital risk management
Capital management is the process by which the NWB Plc entities
ensure that they have sufficient capital and other loss-absorbing
instruments to operate effectively including meeting minimum
regulatory requirements, operating within Board-approved risk
appetite, maintaining credit ratings and supporting strategic goals.
Capital management is critical in supporting the bank entities’
businesses and is also considered at NWB Plc level. It is enacted
through a NatWest Group-wide end to end framework.
Capital planning is integrated into NWB Plc’s wider annual
budgeting process and is assessed and updated at least monthly.
This is summarised below. Other elements of capital
management, including risk appetite and stress testing, are set
out on pages 14 and 15.
Capital planning is one of the tools that NWB Plc uses to monitor
and manage capital risk on a going and gone concern basis,
including the risk of excessive leverage
.
Liquidity risk management
NWH Group manages its liquidity risk taking into account
regulatory, legal and other constraints to ensure sufficient liquidity
is available where required to cover liquidity stresses.
The size of the liquidity portfolio held in the UK DoLSub is
determined by referencing NWH Group’s liquidity risk appetite.
NWH Group retains a prudent approach to setting the
composition of the liquidity portfolio, which is subject to internal
policies and limits over quality of counterparty, maturity mix and
currency mix.
NWB Plc manages the majority of the UK DoLSub’s liquidity
portfolio under the responsibility of the NatWest Group Treasurer.
Funding risk management
NWB Plc manages funding risk through a comprehensive
framework which measures and monitors the funding risk on the
balance sheet.
The asset and liability types broadly match. Customer deposits
provide more funding than customer loans utilise
.

Produce |  | Capital plans are produced for NWB Plc, its
capital plans |  | key operating entities and its businesses
|  | over a five year planning horizon under
|  | expected and stress conditions. Stressed
|  | capital plans are produced to support
|  | internal stress testing in the ICAAP for
|  | regulatory purposes.
|  | Shorter term forecasts are developed
|  | frequently in response to actual
|  | performance, changes in internal and
|  | external business environment and to
|  | manage risks and opportunities.
Assess |  | Capital plans are developed to maintain
capital |  | capital of sufficient quantity and quality to
Adequacy |  | support NWB Plc’s business, its subsidiaries
|  | and strategic plans over the planning
|  | horizon within approved risk appetite, as
|  | determined via stress testing, and minimum
|  | regulatory requirements.
|  | Capital resources and capital requirements
|  | are assessed across a defined planning
|  | horizon.
|  | Impact assessment captures input from
|  | across NWB Plc including from businesses.
Inform capital |  | Capital planning informs potential capital
actions |  | actions including redemptions, dividends
|  | and new issuance.
|  | Decisions on capital actions will be
|  | influenced by strategic and regulatory
|  | requirements, risk appetite, costs and
|  | prevailing market conditions.
|  | As part of capital planning, NWB Plc will
|  | monitor its portfolio of issued capital
|  | securities and assess the optimal blend and
|  | most cost effective means of financing.

Risk and capital management continued
Capital, liquidity and funding risk continued
NWB Group
Annual Report and Accounts 2024
59
Key points
CET1 ratio
11.4%
(2023 - 11.6%)
RWAs
£124.5bn
(2023 - £121.7bn)
The CET1 ratio decreased by 20 basis points to 11.4%. The
decrease in the CET1 ratio was due to a £2.8 billion increase in
RWAs partially offset by a £0.1 billion increase in CET1 capital.
The CET1 capital increase was mainly driven by an attributable
profit in the period of £3.4 billion partially offset by:

interim dividend paid of £1.6 billion;

foreseeable dividend of £1.6 billion;

a decrease in the IFRS 9 transitional adjustment of £0.1
billion; and

other movements on reserves and regulatory adjustments
of £0.1 billion.
Total RWAs increased by £2.8 billion to £124.5 billion mainly
reflecting:

an increase in credit risk RWAs of £1.2 billion, primarily
driven by the £0.9 billion Metro Bank mortgage portfolio
acquisition, increased lending and an uplift in IRB
temporary model adjustment’s in Retail Banking and an
increase in drawdowns and new facilities within
Commercial & Institutional. Increases were partially offset
by active RWA management and improved risk metrics.

an increase in operational risk RWAs of £1.6 billion
following the annual recalculation.
UK leverage ratio
4.4%
(2023 - 4.5%)
The leverage ratio decreased by 10 basis points to 4.4%. The
decrease in the leverage ratio was driven by a £30.1 billion
increase in leverage exposure partially offset by a £0.9 billion
increase in Tier 1 capital. The key drivers in the leverage
exposure were an increase in other financial assets and other
off balance sheet items.
(1)
The liquidity disclosures completed at UK Domestic Liquidity Subgroup (UK DoLSub) level are published in the NatWest Holdings Group 2024 Annual Report and Accounts.
The UK
DoLSub waiver allows NWB Plc, RBS plc and Coutts & Co to manage liquidity as a single sub-group rather than at an entity level.
Risk and capital management continued
Capital, liquidity and funding risk continued
NWB Group
Annual Report and Accounts 2024
60
Minimum requirements
Capital adequacy ratios
NWB Plc is subject to minimum capital requirements relative to RWAs. The table below summarises the minimum Pillar 1 capital
requirements and additional capital buffers that the entity is expected to have to meet.

Type | CET1 | Total Tier 1 | Total capital
Minimum capital requirements | 4.5% | 6.0% | 8.0%
Capital conservation buffer | 2.5% | 2.5% | 2.5%
Countercyclical capital buffer (1) | 1.8% | 1.8% | 1.8%
Total (2) | 8.8% | 10.3% | 12.3%

(1)
The UK countercyclical buffer (CCyB) rate is currently being maintained at 2%. This may vary in either direction in the future subject to how risks develop. Foreign exposure may be
subject to different CCyB rates depending on the rate set in those jurisdictions.
Leverage ratio
The table below summarises the minimum ratios of capital to leverage exposure under the binding PRA UK leverage framework
applicable for NWB Plc.

Type | CET1 | Total Tier 1
Minimum ratio | 2.44% | 3.25%
Countercyclical leverage ratio buffer (1) | 0.6% | 0.6%
Total | 3.04% | 3.85%

(1)
The countercyclical leverage ratio buffer is set at 35% of NWB Plc’s CCyB.
Liquidity and funding ratios
The table below summarises the minimum requirements for key liquidity and funding metrics under the PRA framework. NWB Plc is a
member of the UK DoLSub.

Type |
Liquidity Coverage Ratio (LCR) | 100%
Net Stable Funding Ratio (NSFR) | 100%

Measurement
Capital, RWAs and leverage
(1)
The table below sets out the key capital and leverage ratios on a PRA transitional basis in respect to ECL provisions.

| 2024 | 2023
Capital adequacy ratios | % | %
CET1 (1) | 11.4 | 11.6
Tier 1 | 13.9 | 13.4
Total | 16.6 | 16.3
Capital | £m | £m
CET1 (1) | 14,181 | 14,082
Tier 1 | 17,258 | 16,360
Total | 20,629 | 19,798
Risk-weighted assets |  |
Credit risk | 107,922 | 106,696
Counterparty credit risk | 606 | 713
Market risk | 71 | 12
Operational risk | 15,923 | 14,319
Total RWAs | 124,522 | 121,740
Leverage |  |
Tier 1 capital (£m) | 17,258 | 16,360
Leverage exposure (£m) (2) | 390,032 | 359,897
Leverage ratio (%) (1) | 4.4 | 4.5

(1)
Includes an IFRS 9 transitional adjustment of £35 million (2023 - £0.2 billion). Excluding this adjustment, the CET1 ratio would be 11.4% (2023 – 11.4%) and the leverage ratio would be
4.4% (2023 – 4.5%). The IFRS 9 transitional capital rules in respect to ECL provisions will no longer apply from 1 January 2025.
(2)
Leverage exposure is broadly aligned to the accounting value of on and off-balance sheet exposures albeit subject to specific adjustments for derivatives, securities financing positions
and off-balance sheet exposures.
Risk and capital management continued
Capital, liquidity and funding risk continued
NWB Group
Annual Report and Accounts 2024
61
Liquidity key metrics
Liquidity within NWB Plc is managed and regulated as part of the UK DoLSub. The UK DoLSub level is published in the NatWest
Holdings Group 2024 Annual Report and Accounts.
Leverage exposure
The leverage metrics for UK entities are calculated in accordance with the Leverage ratio (CRR) part of the PRA Rulebook.

| 2024 | 2023
Leverage | £m | £m
Cash and balances at central banks | 35,083 | 48,238
Derivatives | 2,892 | 3,213
Financial assets | 375,877 | 351,948
Other assets | 8,023 | 8,350
Total assets | 421,875 | 411,749
Derivatives |  |
- netting and variation margin | (2,016) | (3,212)
- potential future exposures | 1,612 | 1,537
Securities financing transactions gross up | 1,179 | 383
Undrawn commitments | 36,386 | 29,632
Regulatory deductions and other adjustments | (3,074) | (3,015)
Exclusion of core UK-group exposure | (29,951) | (26,753)
Claims on central banks | (33,978) | (47,297)
Exclusion of bounce back loans | (2,001) | (3,127)
Leverage exposure | 390,032 | 359,897

Liquidity portfolio
The UK DoLSub liquidity portfolio composition is published in the NatWest Holdings Group 2024 Annual Report and Accounts.
Risk and capital management continued
Capital, liquidity and funding risk continued
NWB Group
Annual Report and Accounts 2024
62
Funding sources (audited)

| 2024 | 2023
| Short-term | Long-term |  | Short-term | Long-term |
| less than 1 | more than 1 |  | less than 1 | more than 1 |
| year | year | Total | year | year | Total
| £m | £m | £m | £m | £m | £m
Bank deposits |  |  |  |  |  |
Repos | 9,479 | - | 9,479 | 2,632 | - | 2,632
Other bank deposits | 7,101 | 8,200 | 15,301 | 3,420 | 12,000 | 15,420
| 16,580 | 8,200 | 24,780 | 6,052 | 12,000 | 18,052
Customer deposits |  |  |  |  |  |
Repos | 842 | - | 842 | 10,427 | - | 10,427
Personal | 187,295 | 1,981 | 189,276 | 173,558 | 5,349 | 178,907
Corporate | 107,185 | 43 | 107,228 | 107,046 | 22 | 107,068
Non-bank financial institutions | 20,940 | 4 | 20,944 | 17,348 | 2 | 17,350
| 316,262 | 2,028 | 318,290 | 308,379 | 5,373 | 313,752
Other financial liabilities (1) |  |  |  |  |  |
Customer deposits including repos | 250 | - | 250 |  |  |
Debt securities in issue |  |  |  |  |  |
Commercial papers and certificates of deposit | 2,623 | - | 2,623 | 6,009 | - | 6,009
Covered bonds | - | 749 | 749 | 2,122 | - | 2,122
Securitisations | 295 | 880 | 1,175 | - | 863 | 863
| 3,168 | 1,629 | 4,797 | 8,131 | 863 | 8,994
Subordinated liabilities | 2 | 120 | 122 | 2 | 120 | 122
Amounts due to holding company and fellow subsidiaries (2) |  |  |  |  |  |
Bank and customer deposits | 37,298 | - | 37,298 | 36,789 | - | 36,789
MREL | 80 | 6,556 | 6,636 | 1,240 | 5,308 | 6,548
Subordinated liabilities | 543 | 3,105 | 3,648 | 618 | 3,018 | 3,636
| 37,921 | 9,661 | 47,582 | 38,647 | 8,326 | 46,973
Total funding | 373,933 | 21,638 | 395,571 | 361,211 | 26,682 | 387,893
Of which: available in resolution (3) |  |  | 10,284 |  |  | 10,184

(1)
Excludes settlement balances of nil (2023 – £4 million) and derivative cash collateral of £202 million (2023 – £13 million).
(2)
Amounts due to holding companies and fellow subsidiaries relating to non-financial instruments of £142 million (2023 - £279 million) have been excluded from the table.
(3)
Eligible liabilities (as defined in the Banking Act 2009 as amended from time to time) that meet the eligibility criteria set out in the regulations, rules, policies, guidelines, or statements of
the Bank of England including the Statement of Policy published by the Bank of England in December 2021 (updating June 2018).
Risk and capital management continued
Capital, liquidity and funding risk continued
NWB Group
Annual Report and Accounts 2024
63
Contractual maturity (audited)
The table shows the residual maturity of third party financial instruments, based on contractual date of maturity of NWB Group’s
banking activities, including third party and intercompany hedging derivatives. Mandatory fair value through profit or loss (MFVTPL)
assets and held-for-trading (HFT) liabilities have been excluded from the maturity analysis and are shown in total in the table below.

| Banking activities |  |
| Less than 1 | 1-3 | 3-6 | 6 months |  | 1-3 | 3-5 | More than |  | MFVTPL |
| month | months | months | -1 year | Subtotal | years | years | 5 years | Total | and HFT | Total
2024 | £m | £m | £m | £m | £m | £m | £m | £m | £m | £m | £m
Cash and balances at central banks | 35,095 | - | - | - | 35,095 | - | - | - | 35,095 | - | 35,095
Derivatives | 9 | 29 | 75 | 80 | 193 | 126 | 34 | 6 | 359 | 2,515 | 2,874
Loans to banks - amortised cost | 2,128 | 377 | 253 | 16 | 2,774 | 515 | 1 | 136 | 3,426 | - | 3,426
Loans to customers - amortised |  |  |  |  |  |  |  |  |  |  |
cost (1) | 36,054 | 13,672 | 11,155 | 14,835 | 75,716 | 46,721 | 35,241 | 177,033 | 334,711 | - | 334,711
Personal | 4,920 | 1,957 | 2,684 | 5,279 | 14,840 | 21,071 | 18,461 | 156,107 | 210,479 | - | 210,479
Corporate | 14,861 | 3,369 | 2,866 | 6,183 | 27,279 | 24,214 | 16,280 | 20,045 | 87,818 | - | 87,818
Non-bank financial institutions | 16,273 | 8,346 | 5,605 | 3,373 | 33,597 | 1,436 | 500 | 881 | 36,414 | - | 36,414
Other financial assets | 2,370 | 2,640 | 1,221 | 4,536 | 10,767 | 10,870 | 8,822 | 8,578 | 39,037 | 534 | 39,571
Total financial assets | 75,656 | 16,718 | 12,704 | 19,467 | 124,545 | 58,232 | 44,098 | 185,753 | 412,628 | 3,049 | 415,677
2023 |  |  |  |  |  |  |  |  |  |  |
Total financial assets | 79,349 | 17,358 | 13,761 | 17,209 | 127,677 | 53,461 | 44,424 | 179,329 | 404,891 | 3,111 | 408,002
2024 |  |  |  |  |  |  |  |  |  |  |
Bank deposits excluding repos | 3,300 | - | - | 3,801 | 7,101 | 8,200 | - | - | 15,301 | - | 15,301
Bank repos | 9,479 | - | - | - | 9,479 | - | - | - | 9,479 | - | 9,479
Customer repos | 842 | - | - | - | 842 | - | - | - | 842 | - | 842
Customer deposits excluding repos | 278,072 | 11,439 | 12,072 | 13,837 | 315,420 | 2,015 | 13 | - | 317,448 | - | 317,448
Personal | 164,831 | 4,175 | 6,128 | 12,161 | 187,295 | 1,980 | 1 | - | 189,276 | - | 189,276
Corporate | 93,478 | 6,484 | 5,675 | 1,548 | 107,185 | 33 | 10 | - | 107,228 | - | 107,228
Non-bank financial institutions | 19,763 | 780 | 269 | 128 | 20,940 | 2 | 2 | - | 20,944 | - | 20,944
Derivatives | - | 19 | 28 | 8 | 55 | 108 | 60 | 32 | 255 | 922 | 1,177
Other financial liabilities | 693 | 928 | 975 | 572 | 3,168 | 7 | 749 | 873 | 4,797 | 202 | 4,999
CPs and CDs | 693 | 928 | 975 | 27 | 2,623 | - | - | - | 2,623 | - | 2,623
Covered bonds | - | - | - | - | - | - | 749 | - | 749 | - | 749
Securitisations | - | - | - | 295 | 295 | 7 | - | 873 | 1,175 | - | 1,175
Bank deposits | - | - | - | - | - | - | - | - | - | 168 | 168
Customer deposits including repos | - | - | - | 250 | 250 | - | - | - | 250 | 34 | 284
Settlement balances | - | - | - | - | - | - | - | - | - | - | -
Subordinated liabilities | - | - | 2 | - | 2 | - | - | 120 | 122 | - | 122
Notes in circulation | 935 | - | - | - | 935 | - | - | - | 935 | - | 935
Lease liabilities | 8 | 12 | 17 | 35 | 72 | 112 | 67 | 239 | 490 | - | 490
Total financial liabilities | 293,329 | 12,398 | 13,094 | 18,253 | 337,074 | 10,442 | 889 | 1,264 | 349,669 | 1,124 | 350,793
2023 |  |  |  |  |  |  |  |  |  |  |
Total financial liabilities | 283,487 | 11,358 | 15,714 | 12,935 | 323,494 | 9,739 | 8,799 | 615 | 342,647 | 1,327 | 343,974

(1)
Loans to customers excludes £2,698 million (2023 - £2,794 million) of impairment provisions.
Risk and capital management continued
Capital, liquidity and funding risk continued
NWB Group
Annual Report and Accounts 2024
64

| NWB Group categorises its assets into four broad groups, those
| that are:
Encumbrance (audited) |  Already encumbered and used to support funding currently in
NWB Group evaluates the extent to which assets can be | place through own-asset securitisations, covered bonds and
financed in a secured form (encumbrance), but certain asset | securities repurchase agreements.
types lend themselves more readily to encumbrance. The typical |  Pre-positioned with central banks as part of funding schemes
characteristics that support encumbrance are an ability to pledge | and those encumbered under such schemes.
those assets to another counterparty or entity through operation |  Ring-fenced to meet regulatory requirements, where NWB
of law without necessarily requiring prior notification, | Group has in place an operational continuity in resolution
homogeneity, predictable and measurable cash flows, and a | (OCIR) investment mandate wherein the PRA requires critical
consistent and uniform underwriting and collection process. Retail | service providers to hold segregated liquidity buffers covering
assets including residential mortgages and credit card receivables | at least 50% of their annual fixed overheads.
display many of these features. |  Unencumbered. In this category, NWB Group has in place an
| enablement programme which seeks to identify assets
| capable of being encumbered and to identify the actions to
| facilitate such encumbrance whilst not affecting customer
| relationships or servicing.

Balance sheet encumbrance - third party

| Encumbered as a result of |  |  |  |  |  |  |
| transactions with counterparties |  |  | Unencumbered assets not pre-positioned |
| other than central banks |  |  | with central banks |
|  |  |  |  | Collateral ring- |  |  |  |  |
|  |  |  |  | fenced to meet |  |  |  |  |
|  |  |  | Pre-positioned | regulatory |  |  |  |  |
|  | SFT, |  |  | requirement |  |  |  |  |
| Covered | Derivatives & |  | & encumbered | fenced to meet | Readily | Other | Cannot be |  | Total
| bonds | other | Total | assets held at | regulatory | available | available | used |  | third
|  | (1) |  | central banks | requirement |  | (2) | (3) | Total | party
2024 | £bn | £bn | £bn | £bn | £bn | £bn | £bn | £bn | £bn | £bn
Cash and balances at central |  |  |  |  |  |  |  |  |  |
banks | - | 2.5 | 2.5 | - | - | 32.6 | - | - | 32.6 | 35.1
Derivatives |  |  |  |  |  |  |  | 2.9 | 2.9 | 2.9
Loans to banks - amortised cost | - | 0.1 | 0.1 | - | - | 1.7 | 0.2 | 1.4 | 3.3 | 3.4
Loans to customers - amortised |  |  |  |  |  |  |  |  |  |
cost (5) | 8.3 | - | 8.3 | 87.8 | - | 100.5 | 84.5 | 50.9 | 235.9 | 332.0
Other financial assets (6) | - | 9.5 | 9.5 | - | 1.8 | 26.4 | 0.2 | 1.7 | 28.3 | 39.6
Intangible assets |  |  |  |  |  |  |  | 1.9 | 1.9 | 1.9
Other assets | - | - | - | - | - | - | 2.2 | 3.5 | 5.7 | 5.7
Total assets | 8.3 | 12.1 | 20.4 | 87.8 | 1.8 | 161.2 | 87.1 | 62.3 | 310.6 | 420.6
Amounts due from holding company and fellow |  |  |  |  |  |  |  |  |  |
subsidiaries |  |  |  |  |  |  |  |  |  | 3.7
|  |  |  |  |  |  |  |  |  | 424.3
2023 |  |  |  |  |  |  |  |  |  |
Total assets | 9.8 | 10.6 | 20.4 | 104.0 | 1.9 | 147.5 | 85.7 | 53.7 | 286.9 | 413.2
Amounts due from holding company and fellow |  |  |  |  |  |  |  |  |  |
subsidiaries |  |  |  |  |  |  |  |  |  | 2.3
|  |  |  |  |  |  |  |  |  | 415.5

(1)
Repos and other secured deposits, cash, coin and nostro balance held with the Bank of England as collateral against deposits and notes in circulation are included here rather than within
those positioned at the central bank as they are part of normal banking operations. Securities financing transactions (SFT) include collateral given to secure derivative liabilities.
(2)
Other assets that are capable of being encumbered are those assets on the balance sheet that are available for funding and collateral purposes but are not readily realisable in their
current form. These assets include loans that could be prepositioned with central banks but have not been subject to internal and external documentation review and diligence work.
(3)
Cannot be used includes:
a.
Derivatives, reverse repurchase agreements and trading related settlement balances.
b.
Non-financial assets such as intangibles, prepayments and deferred tax.
c.
Loans that are not encumbered and cannot be pre-positioned with central banks based on criteria set by the central banks, including those relating to date of origination and level
of documentation.
d.
Non-recourse invoice financing balances and certain shipping loans whose terms and structure prohibit their use as collateral.
(4)
In accordance with market practice, NWB Group employs securities recognised on the balance sheet, and securities received under reverse repo transactions as collateral for repos.
(5)
The pre-positioned and encumbered assets held at central banks of £87.8 billion includes the encumbered residential mortgages of £19.0 billion. £88.0 billion of residential UK mortgages
are included in £100.5 billion readily available loans to customers.
(6)
Other financial assets under SFT, derivatives and other include £0.5 billion of debt securities under the continuing control of NWB Plc. This follows the agreement between NWB Plc and
the Group Pension Fund to establish a bankruptcy remote reservoir trust to hold these assets. Refer to Note 5 for additional information.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
65
Non-traded market risk
Definition (audited)
Non-traded market risk is the risk to the value of assets or
liabilities outside the trading book, or the risk to income, that
arises from changes in market prices such as interest rates,
foreign exchange rates and equity prices, or from changes in
managed rates.
Sources of risk (audited)
Non-traded market risk exists in all balance-sheet exposure that
makes reference to market risk factors, when customer
behaviour could impact the size and timing of the repricing or
maturity of future cash flows, or when valuation of assets and
liabilities is driven by market risk factors such as interest rates or
foreign exchange rates.
The key sources of NWB Group’s non-traded market risk are
interest rate risk, credit spread risk and foreign exchange risk.
Key developments in 2024

In the UK, the Bank of England base rate fell to 4.75% at 31
December 2024 from 5.25% at 31 December 2023 as
inflation pressures eased. However, the five-year sterling
overnight index interest rate swap rate rose to 4.04% at 31
December 2024 from 3.38% at 31 December 2023. The
corresponding ten-year rate also rose to 4.09% from 3.29%.
The movement in swap rates reflects market expectations
about the level of the UK base rate in the medium term, with
expectations for UK base rate being slightly higher at 31
December 2024 than at 31 December 2023.

Overall, non-traded market risk VaR decreased in 2024, on
both an average and period-end basis. It was driven by a
reduction in interest rate risk reflecting action taken to
manage down interest rate repricing mismatches across
customer products. Credit spread VaR increased significantly
in H2 2023 and continued to rise on average into 2024 due to
relatively stable higher bond holdings in the liquidity portfolio
throughout 2024. Pipeline VaR increased on an average
basis, reflecting small changes in the approach to mortgage
pipeline risk management during the year which were
complete by year-end.

NWB Group’s structural hedge notional fell to £146 billion at
31 December 2024 from £156 billion at 31 December 2023.

Overall, the sensitivity of net interest earnings increased year
on year. The main contributors to the increase in sensitivity
were higher volumes of managed-margin deposits and
current accounts.
Governance (audited)
Responsibility for identifying, measuring, monitoring and
controlling market risk arising from non-trading activities lies with
the relevant business. Oversight is provided by the independent
Risk function.
Risk positions are reported regularly to the NatWest Holdings
Executive Risk Committee and the NatWest Holdings Board Risk
Committee, as well as to the NatWest Holdings Asset & Liability
Management Committee. Market risk policy statements set out
the governance and risk management framework.
Risk appetite
NWB Group’s qualitative appetite is set out in the non-traded
market risk appetite statement.
Its quantitative appetite is expressed in terms of exposure limits.
NWB Group’s limit framework comprises value-at-risk (VaR),
stressed value-at-risk (SVaR), sensitivities and earnings-at-risk
limits. The limits are reviewed to reflect changes in risk appetite,
business plans, portfolio composition and the market and
economic environments.
To ensure approved limits are not breached and that NWB Group
remains within its risk appetite, triggers have been set such that
if exposures exceed a specified level, action plans are developed
and implemented.
The risk appetite statements and associated measures are
reviewed at least annually by the relevant legal entity board on
the relevant board risk committee’s recommendation to ensure
they remain appropriate and aligned to strategy. For further
information on risk appetite and risk controls, refer to pages 14
and 15.
Measurement
Non-traded internal VaR (1-day 99%)
The following table shows one-day internal banking book VaR at a 99% confidence level, split by risk type. VaR values for each year
are calculated based on one-day values for each of the 12 month-end reporting dates. VaR metrics are explained on page 66. Each of
the key risk types are discussed in greater detail in their individual sub-sections following this table.

| 2024 | 2023
| Average | Maximum | Minimum | Period end | Average | Maximum | Minimum | Period end
| £m | £m | £m | £m | £m | £m | £m | £m
Interest rate | 18.5 | 29.7 | 4.3 | 4.3 | 39.6 | 66.5 | 26.7 | 26.7
Credit spread | 43.9 | 47.9 | 39.9 | 43.2 | 27.8 | 45.9 | 17.8 | 45.9
Structural foreign exchange risk | 16.5 | 22.7 | 11.6 | 11.6 | 24.6 | 26.0 | 22.1 | 22.1
Equity | 2.5 | 4.2 | 0.1 | 0.9 | 0.1 | 0.2 | 0.1 | 0.1
Pipeline risk (1) | 7.9 | 15.0 | 3.6 | 4.4 | 3.1 | 6.5 | 1.6 | 6.5
Diversification (2) | (35.3) |  |  | (18.1) | (35.6) |  |  | (30.5)
Total | 54.0 | 68.6 | 44.5 | 46.3 | 59.6 | 83.5 | 45.7 | 70.8

(1)
Pipeline risk is the risk of loss arising from personal customers owning an option to draw down a loan – typically a mortgage – at a committed rate, where interest rate changes may
result in greater or fewer customers than anticipated taking up the committed offer.
(2)
NWB Group benefits from diversification across various financial instrument types, currencies and markets. The extent of the diversification benefit depends on the correlation between
the assets and risk factors in the portfolio at a particular time. The diversification factor is the sum of the VaR on individual risk types less the total portfolio VaR.

For VaR commentary, refer to Key developments in 2024 above.
Risk and capital management continued
Non-traded market risk continued
NWB Group
Annual Report and Accounts 2024
66
Interest rate risk
Non-traded interest rate risk (NTIRR) arises from the provision to
customers of a range of banking products with differing interest
rate characteristics. When aggregated, these products form
portfolios of assets and liabilities with varying degrees of sensitivity
to changes in market interest rates. Mismatches can give rise to
volatility in net interest income as interest rates vary.
NTIRR comprises the following three primary risk types:

Gap risk
– arises from the timing of rate changes in non-
trading book instruments. The extent of gap risk depends on
whether changes to the term structure of interest rates occur
consistently across the yield curve (parallel risk) or
differentially by period (non-parallel risk).

Basis risk
– captures the impact of relative changes in interest
rates for financial instruments that have similar tenors but are
priced using different interest rate indices, or on the same
interest rate indices but with different tenors.

Option risk
– arises from option derivative positions or from
optional elements embedded in assets, liabilities and/or off-
balance sheet items, where NWB Group or its customer can
alter the level and timing of their cash flows. Option risk also
includes pipeline risk.
To manage exposures within its risk appetite, NWB Group
aggregates its interest rate positions and hedges its residual
exposure, primarily with interest rate swaps.
Structural hedging aims to reduce gap risk and the sensitivity of
earnings to interest rate shocks. It also provides some protection
against prolonged periods of falling rates. Structural hedging is
explained in greater detail below, followed by information on how
NWB Group measures NTIRR from both an economic value-based
and an earnings-based perspective.
Structural hedging
NWB Group has a significant pool of stable, non and low interest-
bearing liabilities, principally comprising current accounts and
savings, in addition to its equity and reserves. A proportion of
these balances are hedged, either by offsetting the positions
against fixed-rate assets (such as fixed-rate mortgages) or by
hedging positions externally using interest rate swaps, which are
generally booked as cash-flow hedges of floating-rate assets, in
order to reduce income volatility and provide a revenue stream in
net interest income. Hence, the structural hedge is one
component of a larger interest rate risk management programme.
At 31 December 2024, NWB Group’s structural hedge had a
notional of £146 billion (compared to £156 billion at 31 December
2023) with an average life of 2.5 to 3 years.
Interest rate risk measurement
NTIRR can be measured from either an economic value-based or
earnings-based perspective, or a combination of the two. Value-
based approaches measure the change in value of the balance
sheet assets and liabilities including all cash flows. Earnings-based
approaches measure the potential impact on the income
statement of changes in interest rates over a defined horizon,
generally one to three years.
NWB Group uses VaR as its value-based approach and sensitivity
of net interest earnings as its earnings-based approach.
These two approaches provide complementary views of the
impact of interest rate risk on the balance sheet at a point in time.
The scenarios employed in the net interest earnings sensitivity
approach may incorporate assumptions about how NWB Group
and its customers will respond to a change in the level of interest
rates. In contrast, the VaR approach measures the sensitivity of
the balance sheet at a point in time. Capturing all cash flows, VaR
also highlights the impact of duration and repricing risks beyond
the one-to-three-year period shown in earnings sensitivity
calculations
.
Value-at-risk
VaR is a statistical estimate of the potential change in the market
value of a portfolio (and, thus, the impact on the income
statement) over a specified time horizon at a given confidence
level. NWB Group’s standard VaR metrics – which assume a time
horizon of one trading day and a confidence level of 99% – are
based on interest rate repricing gaps at the reporting date. Daily
rate moves are modelled using observations from the last 500
business days. These incorporate customer products plus
associated funding and hedging transactions as well as non-
financial assets and liabilities. Behavioural assumptions are applied
as appropriate.
The non-traded interest rate risk VaR metrics for NWB Group’s
retail and commercial banking activities are included in the
banking book VaR table above. The VaR captures the risk
resulting from mismatches in the repricing dates of assets and
liabilities.
It also includes any mismatch between the maturity profile of
external hedges and NWB Group’s target maturity profile for the
hedge.
Sensitivity of net interest earnings
Net interest earnings are sensitive to changes in the level of
interest rates, mainly because maturing structural hedges are
replaced at higher or lower rates and changes to coupons on
managed rate customer products do not always match changes
in market rates of interest or central bank policy rates.
Earnings sensitivity is derived from a market-implied forward rate
curve, which will incorporate expected changes in central bank
policy rates such as the Bank of England base rate. A simple
scenario is shown that projects forward earnings over a 12-month
period based on the 31 December 2024 balance sheet. An
earnings projection is derived from the market-implied rate, which
is then subjected to interest rate shocks. The difference between
the market-implied projection and the shock gives an indication of
underlying sensitivity to interest rate movements.
Risk and capital management continued
Non-traded market risk continued
NWB Group
Annual Report and Accounts 2024
67
The sensitivity of net interest earnings table below shows the expected impact of immediate upward or downward changes of 25 basis
points and 100 basis points to all interest rates.
Reported sensitivities should not be considered a forecast of future performance in these rate scenarios. Actions that could reduce
interest earnings sensitivity include changes in pricing strategies on customer loans and deposits as well as hedging. Management
action may also be taken to stabilise total income also taking into account non-interest income.

| 2024 | 2023
| +25 basis | -25 basis | +100 basis | -100 basis | +25 basis | -25 basis | +100 basis | -100 basis
| points | points | points | points | points | points | points | points
Shifts in yield curve | £m | £m | £m | £m | £m | £m | £m | £m
12-month interest earnings sensitivity | 117 | (138) | 465 | (578) | 116 | (118) | 439 | (491)

(1)
Earnings sensitivity considers only the main drivers, namely structural hedging and margin management.

The overall sensitivity of net interest income earnings in all scenarios mainly reflects managed-margin deposits and the impact of
higher or lower rates on structural hedge income.
Sensitivity of fair value through other comprehensive income (FVOCI) portfolios and cash flow hedging reserves to interest
rate movements.
NWB Group holds most of the bonds in its liquidity portfolio at fair value and the bonds are generally classified as FVOCI for accounting
purposes Valuation changes arising from unexpected movements in market rates are initially recognised in FVOCI reserves.
Interest rate swaps are used to implement the structural hedging programme and also hedging of some personal and commercial
lending portfolios, primarily fixed-rate mortgages. Generally, these swaps are booked in cash flow hedge accounting relationships.
Changes in the valuation of swaps that are in effective cash flow hedge accounting relationships are recognised in cash flow hedge
reserves.
The table below shows the sensitivity of bonds initially classified as FVOCI and swaps subject to cash flow hedge accounting to a
parallel shift in all rates. Valuation changes affecting interest rate swaps that hedge bonds in the liquidity portfolio are also included.
Where FVOCI bonds and swaps are booked in fair value hedge accounting relationships, the valuation change affecting both
instruments would be recognised in the income statement. Cash flow hedges are assumed to be fully effective.
The effectiveness of cash flow and fair value hedge relationships is monitored and regularly tested in accordance with IFRS
requirements. Note also that valuation changes affecting the cash flow hedge reserve affect tangible net asset value, but would not be
expected to affect CET1 capital. The movement in cash flow hedge reserves in 2024 is shown in the statement of changes in equity on
page 100.

| 2024 | 2023
| +25 | -25 | +100 | -100 | +25 | -25 | +100 | -100
| basis | basis | basis | basis | basis | basis | basis | basis
| points | points | points | points | points | points | points | points
Parallel shifts in yield curve | £m | £m | £m | £m | £m | £m | £m | £m
FVOCI reserves | (6) | 6 | (26) | 20 | - | - | (4) | (6)
Cash flow hedge reserves | (20) | 22 | (68) | 98 | 9 | (9) | 38 | (32)
Total | (26) | 28 | (94) | 118 | 9 | (9) | 34 | (38)

Risk and capital management continued
Non-traded market risk continued
NWB Group
Annual Report and Accounts 2024
68
Credit spread risk
Credit spread risk arises from the potential adverse economic
impact of a change in the spread between bond yields and swap
rates, where the bond portfolios are accounted at fair value
through other comprehensive income.
NWB Group’s bond portfolios primarily comprise high-quality
securities maintained as a liquidity buffer to ensure it can continue
to meet its obligations in the event that access to wholesale
funding markets is restricted. Additionally, other high-quality bond
portfolios are held for collateral purposes and to support payment
systems.
Credit spread risk is monitored daily through sensitivities and VaR
measures. The dealing authorities in place for the bond portfolios
further mitigate the risk by imposing constraints by duration, asset
class and credit rating. Exposures and limit utilisations are
reported to senior management on a regular basis.
Foreign exchange risk
Non-traded foreign exchange risk arises from three main sources:

Structural foreign exchange rate risk
– arises from the capital
deployed in foreign subsidiaries, branches and joint
arrangements and related currency funding where it differs
from sterling.

Non-trading book foreign exchange rate risk
– arises from
customer transactions and profits and losses that are in a
currency other than the functional currency.

Forecast earnings or costs in foreign currencies
– NWB Group
hedges forward some forecast foreign currency expenses.
Structural foreign exchange exposures arise from investments in
foreign subsidiaries, branches and associates and their related
currency funding. These exposures are assessed and managed to
predefined risk appetite levels under delegated authority agreed
by the CFO with support from the Asset & Liability Management
Committee. NatWest Group seeks to limit the potential volatility
impact on its CET1 ratio from exchange rate movements by
maintaining a structural open currency position. Gains or losses
arising from the retranslation of net investments in overseas
operations are recognised in equity reserves and reduce the
sensitivity of capital ratios to foreign exchange rate movements
primarily arising from the retranslation of non-sterling
denominated RWAs. Sensitivity is minimised where, for a given
currency, the ratio of the structural open position to RWAs equals
the CET1 ratio.
The sensitivity of the NatWest Group ratio to exchange rates is
monitored monthly and reported to the Asset & Liability
Management Committee at least quarterly. NWB Plc also
monitors the sensitivity of its CET1 ratio to exchange rate
movements against a risk limit monthly.
Foreign exchange exposures arising from customer transactions
are sold down by businesses on a regular basis in line with
NatWest Group policy.
Foreign exchange risk
The table below shows structural foreign currency exposures.

| 2024 | 2023
| Net investments |  | Structural foreign | Net investments |  | Structural foreign
| in foreign | Net investment | currency | in foreign | Net investment | currency
| operations | hedges | exposures | operations | hedges | exposures
| £m | £m | £m | £m | £m | £m
Euro | 708 | (444) | 264 | 737 | (487) | 250
Other non-sterling | 380 | (139) | 241 | 417 | (145) | 272
Total | 1,088 | (583) | 505 | 1,154 | (632) | 522

.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
69
Pension risk
Definition
Pension risk is defined as the inability to meet contractual
obligations and other liabilities to the established employee or
related company pension scheme.
Sources of risk
NWB Group has exposure to pension risk through its defined
benefit schemes worldwide. The Main section of The NatWest
Group Pension Fund (the Main section) is the largest source of
pension risk as NatWest Bank Plc is the principal employer to the
Main section with £29.5 billion of assets and £24.5 billion of
liabilities at 31 December 2024 (2023 – £33.6 billion of assets and
£26.5 billion of liabilities). Refer to Note 5 to the consolidated
financial statements, for further details on NWB Group’s pension
obligations, including sensitivities to the main risk factors.
Pension scheme liabilities vary with changes in long-term interest
rates and inflation as well as with pensionable salaries, the
longevity of scheme members and legislation.
During 2024, the Trustee of NWB Group’s largest scheme (the
Main section of the NatWest Group Pension Fund) completed buy-
in transactions with a third-party insurer (buy-in asset valued at
£8.0 billion under IAS 19, covering around a third of the defined
benefit obligation attributable to the Main section). Under the buy-
in insurance contracts, the insurer makes payments to the
scheme to cover pension benefits paid to members. As a result,
the insured portion of the scheme is protected against all material
longevity and investment risks.
These risks have been replaced with the risk that the insurer
defaults on payments due to the scheme. The uninsured scheme
assets continue to vary with changes in interest rates, inflation
expectations, credit spreads, exchange rates, and equity and
property prices. NWB Group is therefore still exposed to the risk
that the schemes’ assets, together with future returns and
additional future contributions, are estimated to be insufficient to
meet liabilities as they fall due. In such circumstances, NWB Group
could be obliged (or might choose) to make additional
contributions to the schemes or be required to hold additional
capital to mitigate this risk.
During 2024, the Court of Appeal upheld the initial High Court
ruling in respect of Virgin Media v NTL Pension Trustees II Limited
(and others), calling into question the validity of rule amendments
made to defined benefit pension schemes contracted-out on a
Reference Scheme Test basis between 6 April 1997 and 5 April
2016. Amendments to these pension schemes over this time
required confirmation from the Scheme Actuary that the
Reference Scheme Test would continue to be met. In the absence
of such a confirmation, the Rule amendment would be void. There
were no other developments on this matter as further disclosed in
Note 5 to the consolidated financial statements since last year
and it will be kept under review.
Key developments in 2024

As mentioned previously, during the year, the Trustee of the
Main section of the NatWest Group Pension Fund completed
partial buy-in transactions, passing longevity and investment
risk for the insured portion of the scheme to an insurer.

The 31 December 2023 triennial valuation for the Main section
was completed during 2024 with no requirement for any
deficit contributions. Given the strong funding level, it was also
agreed that employer future service contributions would cease
from 1 January 2025. Contributions in respect of
administrative expenses will continue.
Governance
Chaired by the Chief Financial Officer, the NatWest Group Asset &
Liability Management Committee is a key component of NatWest
Group’s approach to managing pension risk. It considers the
pension impact of the capital plan for NatWest Group and reviews
the performance of NatWest Group’s material pension funds
(including those sponsored by NWB Group) and other issues
material to NatWest Group’s pension strategy. It also considers
investment strategy proposals from the Trustee of the Main
section.
The NatWest Group Board reviews and as appropriate approves
any material pension strategy proposals.
Risk appetite
Pension risk appetite is approved by the Board. NWB Group
maintains an independent view of the risk inherent in its pension
funds. NWB Group has a pension risk appetite statement
incorporating defined metrics against which risk is measured that
is reviewed at least annually by the Board on the Board Risk
Committee’s recommendation to ensure they remain appropriate
and aligned to strategy. Policies and standards are in place to
provide formal controls for pension risk reporting, modelling,
governance and stress testing. A pension risk policy, which sits
within the enterprise-wide risk management framework, is also in
place and is subject to associated framework controls.
Performance against risk appetite is reported regularly to the
Executive Risk Committee, the Board Risk Committee, and the
Board. Relevant pension risk matters are escalated through the
Executive Risk Committee, Asset & Liability Management
Committee and Board Risk Committee as appropriate and to the
Board as applicable.
Monitoring and measurement
Pension risk is monitored by the NWH Group Executive Risk
Committee and the NatWest Group Board Risk Committee, whilst
the NatWest Group Asset & Liability Management Committee
receives updates on the performance of NatWest Group’s
material pension funds. Relevant pension risk matters are
escalated to the Board as applicable. NatWest Group also
undertakes stress tests on its material defined benefit pension
schemes each year. These tests are also used to satisfy the
requests of regulatory bodies such as the Bank of England.
The stress testing framework includes pension risk capital
calculations for the purposes of the Internal Capital Adequacy
Assessment Process as well as additional stress tests for a
number of internal management purposes. The results of the
stress tests and their consequential impact on NWB Group’s
balance sheet, income statement and capital position are
incorporated into NWB Group’s and the overall NatWest Group
stress test results. NatWest Bank Plc (a subsidiary of NatWest
Group) is the principal employer of the Main section and could be
required to fund any deficit that arises.
The financial strength of the third-party insurer is monitored on a
periodic basis by the Trustee and NatWest Group.
Mitigation
The Main section is now well protected against interest rate and
inflation risks following risk mitigation measures taken by the
Trustee in recent years. This includes buy-in transactions
completed during 2024, resulting in a low investment risk for the
scheme.
If, in an extreme scenario, the insurer was unable to
make payments due to the scheme under the buy-in insurance
contracts, NWB Group would continue to be responsible for
financially supporting the scheme to meet pension benefits.
However, there are strong mitigations in place against this risk, in
particular the insurance regulatory regime.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
70
Pension risk continued
The potential impact of climate change is one of the factors
considered in managing the assets of the Main section. The
Trustee monitors the risk to its investments from changes in the
global economy and invests, where return justifies the risk, in
sectors that reduce the world’s reliance on fossil fuels, or that
may otherwise promote environmental benefits. Further details
regarding the Main section Trustee’s approach to managing
climate change risk can be found in its Responsible Ownership
Policy, its net zero commitment and its climate disclosures
produced on an annual basis, as required by The Occupational
Pension Schemes (Climate Change Governance and Reporting)
Regulations 2021.
Compliance and conduct risk
Definition
Compliance risk is the risk that NWB Group fails to observe the
letter and spirit of all relevant laws, codes, rules, regulations and
standards of good market practice.
Conduct risk is the risk of inappropriate behaviour towards
customers, or in the markets in which NWB Group operates,
which leads to poor or inappropriate customer outcomes.
The consequences of failing to meet compliance and/or conduct
responsibilities can be significant and could result, for example, in
legal action, regulatory enforcement, material financial loss and/or
reputational damage.
Sources of risk
Compliance and conduct risks exist across all stages of NWB
Group’s relationships with its customers and arise from a variety
of activities including product design, marketing and sales,
complaint handling, staff training, and handling of confidential
inside information.
As set out in Note 25 to the financial statements, members of
NatWest Group are party to legal proceedings and are subject to
investigation and other regulatory action in the UK, the US and
other jurisdictions.
Key developments in 2024

Further enhancements were made to the compliance and
conduct framework, with the risk toolkits, risk standards and
regulatory compliance operational policy framework being
embedded throughout the year. Business areas also
completed self-assessments against the Conduct Risk policy
and Regulatory Compliance Risk policy to ensure risks are
being measured and managed accurately and effectively.

The NatWest Group-wide programme continued to make
significant progress, with the second phase of Consumer Duty
rules having come into force on 31 July 2024. Activity is now
centred around embedding the requirements of the Duty,
utilising improved data and analysis for reporting on good
customer outcomes, and ensuring a consistent NatWest
Group-wide approach to customer communications.

The FCA Access To Cash Sourcebook (ATCS) was published
in July 2024, with an implementation date of 18 September
2024. Following its publication, the branch closure programme
paused its ongoing closures to conduct a comprehensive
assessment of cash access services in any affected local
areas. This included notifying impacted customers and, where
necessary, completing additional actions before the closures
took effect. Future proposed closures will be evaluated in
accordance with ATCS requirements.
Governance
NWB Group defines appropriate standards of compliance and
conduct and ensures adherence to those standards through its
risk management framework. To support ongoing oversight of the
management of the compliance and conduct risk profile, there are
a number of committees in place.
These include a Consumer Duty Executive Steering Group and
conflicts of interest fora across both the first and second lines of
defence. Relevant compliance and conduct matters are escalated
through the Executive Risk Committee and Board Risk Committee
and to the Board as applicable.
Risk appetite
Regulatory compliance risk appetite and conduct risk appetite are
approved by the Board. The risk appetite statement and
associated measures for compliance and conduct risks are
approved at least annually by the Board on the Board Risk
Committee’s recommendation to ensure they remain appropriate
and aligned to strategy. Risk appetite statements articulate the
levels of risk that legal entities, businesses and functions work
within when pursuing their strategic objectives and business plans.
A range of controls is operated to ensure the business delivers
good customer outcomes and is conducted in accordance with
legal and regulatory requirements. A suite of risk policies, risk
standards and regulatory compliance operational policies
addressing compliance and conduct risks set appropriate
standards across NWB Group. Examples of these include those
relating to product mis-selling, customers in vulnerable situations,
complaints management, cross-border activities and market
abuse. Continuous monitoring and targeted assurance are carried
out as appropriate.
Performance against risk appetite is reported regularly to the
Executive Risk Committee, the Board Risk Committee, and the
Board. Relevant compliance and conduct risk matters are
escalated through the Executive Risk Committee and Board Risk
Committee and to the Board as applicable.
Monitoring and measurement
Compliance and conduct risks are measured and managed
through continuous assessment and regular reporting to NWB
Group’s senior risk committees and at Board level. The
compliance and conduct risk framework facilitates the consistent
monitoring and measurement of compliance with laws and
regulations and the delivery of consistently good customer
outcomes. The first line of defence is responsible for effective risk
identification, reporting and monitoring, with oversight, challenge
and review by the second line. Compliance and conduct risk
management is also integrated into NWB Group’s strategic
planning cycle.
Mitigation
Activity to mitigate the most material compliance and conduct
risks is carried out across NWB Group with specific areas of focus
in the customer-facing businesses and legal entities. Examples of
mitigation include consideration of customer needs in business
and product planning, targeted training, conflicts of interest
management, market conduct surveillance, complaints
management, mapping of priority regulatory requirements and
independent monitoring activity. Internal policies help support a
strong customer focus across NWB Group.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
71
Financial crime risk
Definition
Financial crime risk is the risk that NWB
Group's products,
services, employees and/or third parties are intentionally or
unintentionally used to facilitate financial crime in the form of
money laundering, terrorist financing, bribery and corruption,
sanctions and tax evasion, as well as external or internal fraud.
Sources of risk
Financial crime risk may be present if NWB Group’s customers,
employees or third parties undertake or facilitate financial crime,
or if NWB Group’s products or services are used intentionally or
unintentionally
to facilitate such crime. Financial crime risk is an
inherent risk across all lines of business.
Key developments in 2024

Continued significant investment was made to support the
delivery of a multi-year transformation plan across financial
crime risk management.

Enhancements were made to technology, data quality, and
data analytics to improve the effectiveness of systems used to
monitor customers and transactions.

Financial crime roadshows and events were held throughout
the year to further embed financial crime risk management
culture and behaviours.

There was active participation in public/private partnerships
including the Joint Money Laundering Intelligence Taskforce
and Data Fusion. In 2024, NatWest Group (together with
seven other UK Banks) shared datasets with the National
Crime Agency (NCA) and seconded staff to the NCA to form
a joint public/private intelligence team to work on the resulting
risks identified, for reporting to law enforcement. This is a joint
project, governed equally by the banks and the NCA, that has
directly advanced high priority organised crime investigations
and identified new criminal networks exploiting the UK’s
financial system.
Governance
The Financial Crime Executive Steering Group, which is jointly
chaired by the NatWest Group Chief Risk Officer and the Group
Chief Information Officer, is the core governance committee for
financial crime risk (excluding fraud). It oversees financial crime
risk management, operational performance, and transformation
matters including decision-making and escalations to the
Executive Risk Committee, Board Risk Committee and NatWest
Group Executive Committee.
The Fraud Executive Steering Group, which is chaired by the
Chief Information Officer, is the core governance committee for
fraud. It oversees fraud risk management, operational
performance, and investment matters including decision-making
and escalations to relevant senior committees.
Risk appetite
The risk appetite statements and associated measures for
financial crime risks are reviewed and approved at least annually
by the relevant legal entity board on the relevant board risk
committee’s recommendation to ensure they remain appropriate
and aligned to strategy.
There is no appetite to operate in an environment where systems
and controls do not enable the effective identification, assessment,
monitoring, management and mitigation of financial crime risk.
NWB Group’s systems and controls must be comprehensive and
proportionate to the nature, scale and complexity of its
businesses. NWB Group operates a framework with preventative
and detective controls designed to mitigate the risk that it could
facilitate financial crime. These controls are supported by a suite
of policies, procedures and guidance to ensure they operate
effectively.
Performance against risk appetite is reported regularly to the
Executive Risk Committee, the Board Risk Committee, and the
Board. Relevant financial crime risk matters are escalated through
the Executive Risk Committee and Board Risk Committee and to
the Board as applicable.
Monitoring and measurement
Financial crime risks are identified and reported through
continuous risk management and regular reporting to NWB
Group’s senior risk committees and the NatWest Group Board
Risk Committee. Quantitative and qualitative data is reviewed and
assessed to measure whether financial crime risk is within risk
appetite.
Mitigation
Through the financial crime framework, relevant policies, systems,
processes and controls are used to mitigate and manage financial
crime risk. This includes the use of dedicated screening and
monitoring systems and controls to identify people, organisations,
transactions and behaviours that may require further investigation
or other actions. Centralised expertise is available to detect and
disrupt threats to NWB Group and its customers.
Intelligence is shared with law enforcement, regulators and
government bodies to strengthen national and international
defences against those who would misuse the financial system for
criminal motives
.
Climate and nature risk
Definition
Climate and nature risk is the threat of financial loss or adverse
non-financial impacts associated with climate change and nature
loss respectively and the political, economic and environmental
responses to it.
Sources of risk
Physical risks may arise from climate events such as heatwaves,
droughts, floods, storms and nature-related events such as land
or air pollution. They can potentially result in financial losses,
impairing asset values and the creditworthiness of borrowers.
NatWest Group could be exposed to physical risks directly by the
effects on its property portfolio and, indirectly, by the impacts on
the wider economy as well as on the property, business interests
and supply chains of its customers.
Transition risks may arise from the process of adjustment towards
a low-carbon, nature restored economy. Changes in policy,
technology and sentiment could prompt reassessment of
customers’ financial risk and may lead to falls in the value of a
large range of assets. NatWest Group could be exposed to
transition risks directly through the costs of adaptation of its own
operations as well as supply chain disruption leading to financial
impacts. Potential indirect effects include the impact on the wider
economy, including on customers, which may erode NatWest
Group’s competitiveness and
profitability, as well as threaten
reputational damage.
Liability risks may arise should stakeholders consider NatWest
Group’s climate and nature risk management practices and
disclosures insufficient, and responsible for or attributable to,
stakeholders’ losses. On the other hand, liability risks may also
arise where some jurisdictions believe financial institutions have
taken their sustainability-related initiatives too far, with some
imposing sanctions in these circumstances.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
72
Climate and nature risk continued
As climate and nature risk is both a principal risk within NatWest Group’s EWRMF, and a cross cutting risk, which impacts other
principal risks, NatWest Group periodically refreshes its assessment of the relative impact of climate-related risk factors to other
principal risks, where NatWest Group’s exposure to a principal risk could be taken outside of appetite due to climate-related risk
factors. In identifying climate-related risks and opportunities to NatWest Group, the period in which each is likely to occur, was
assessed. Risks and opportunities deemed material to the five-year financial planning cycle were viewed as short-term. Aligned with
the guidance of the Science Based Targets initiative for financial institutions, long-term was defined as beyond 15 years, while
medium-term was defined as within the next five to 15 years
(1)
.
(1)
NatWest Group’s climate transition planning uses different time frames than those used in financial reporting. Accordingly, the references to ‘short’, ‘medium’ and ‘long-term’ in climate
reporting are not indicative of the meaning of similar terms used in NatWest Group’s other disclosures.
The outcome of the latest assessment of the relative impact of climate-related risk factors to other principal risks is included in the
table that follows. All principal risks in the table were identified as potentially impacted by climate risk, over short, medium and long-
term time horizons.

|  |  | Identification and
Risk type | Risks to NatWest Group | Drivers | assessment
Credit risk | From the adverse impact on future credit worthiness | Physical: acute, chronic (1) | Scenario analysis
| of customers due to climate change risk factors |  |
| impacting asset valuation, income and costs, for | Transition: government policy | Portfolio level
| example, from increased flooding events. Mitigants | and legislation, market, | assessments
| include the use of operational limits in the residential | technology, reputation |
| mortgage portfolio (refer to page 60 of the NatWest |  |
| Group plc 2024 Sustainability Report) and the inclusion |  | Transaction level
| of climate considerations in sector strategy within the |  | assessments
| commercial portfolio. |  |
Compliance | Due to the need for NatWest Group to ‘observe the | Physical: acute, chronic (1) | Transaction level
risk | letter and spirit’ of all applicable laws and regulations |  | assessments
| relating to climate. Mitigants include the introduction of | Transition: government policy |
| an environmental, social and governance regulatory | and legislation, market, |
| compliance operational policy to give guidance on | technology, reputation |
| relevant regulatory expectations. |  |
|  | Liability: greenwashing |
Conduct risk | Due to poor customer outcomes arising from the | Transition: government policy | Scenario analysis
| impacts of climate change including changes to | and legislation, market, |
| financial stability or general wellbeing, which will either | technology, reputation |
| be supported or exacerbated by NatWest Group’s |  | Transaction level
| conduct. Mitigants include additional checks on |  | assessments
| sustainability claims and applying product flaw controls. | Liability: greenwashing |
Operational | Due to the increased likelihood and potential impact of | Physical: acute, chronic (1) | Scenario analysis
risk | business disruption or arising from new and changing |  |
| policy standards. Mitigants include resilience and | Transition: government policy | Transaction level
| disclosure controls. | and legislation, market, | assessments
|  | technology, reputation |
Reputational | Due to the risk of damage to NatWest Group’s | Transition: government policy | Portfolio level
risk | reputation arising from perceived impact on climate | and legislation, market, | assessments
| change or adequacy of actions taken in response | technology, reputation |
| when compared against ambitions and progress made |  |
| by peers. Mitigants include the environmental, social |  | Transaction level
| and ethical risk framework. | Liability: greenwashing | assessments

(1)
Acute - event-driven such as increased severity of extreme weather events (for example, storms, droughts, floods, and fires) or water, land or air pollution. Chronic – longer-term shifts
in precipitation and temperature and increased variability in weather patterns (for example, sea level rise) or biodiversity loss.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
73
Climate and nature risk continued
Key developments in 2024
The effective management of climate and nature risk requires the
full integration of climate-related risk factors into strategic
planning, transactions and decision-making. The approach has
evolved since 2021 alongside NatWest Group’s ongoing, multi-
year progressive pathway to mature climate risk management
capabilities, and in 2024:

NatWest Group continued to enhance its in-house climate risk
modelling capabilities, supporting the integration of climate risk
within its capital adequacy (ICAAP), impairment (IFRS 9) and
risk management processes.

NatWest Group partnered with climate experts from the
University of Exeter to create bespoke climate risk scenario
narratives that explore the range of physical and transition
risks which could impact NatWest Group and its customers
over the next five to ten years. These narratives are being
used to inform the scenarios used by NatWest Group for a
range of processes, as well as to enhance the overall
understanding of the scale and complexity of near-term
climate
risks. Further details of the outcomes of NatWest
Group’s latest climate-related scenario analysis can be found
in the NatWest Group plc 2024 Sustainability Report.

NatWest Group began to roll-out Climate Decisioning
Framework (CDF) tools. These comprise climate risk
scorecards and climate transition plan assessment tools. The
roll-out was completed on a test and learn basis and the
scorecard outputs do not drive credit risk decision-making as
yet.

In January 2024, the scope of the climate risk policy was
expanded to recognise nature-related risks beyond climate
change. NatWest Group’s capability to manage climate risks is
more mature than its capability to manage nature-related
risks.

Building on activity in 2023, NatWest Group enhanced its
understanding of nature risks by completing a pilot Locate,
Evaluate, Assess and Prepare (LEAP) assessment as
recommended by the Taskforce on Nature-related Financial
Disclosures. The pilot focused on a deep dive of three sectors
in the Non-Personal portfolio.
Governance
The NatWest Group Board is responsible for monitoring and
overseeing climate-related risk within NatWest Group’s overall
business strategy and risk appetite.
Risk appetite statements and associated measures are reviewed
and approved at least annually by the relevant legal entity board
on the relevant board risk committee’s recommendation to
ensure they remain appropriate and aligned to strategy.
The Chief Risk Officer shares accountability with the Chief
Executive Officer under the Senior Managers Regime for
identifying and managing the financial risks arising from climate
change. This includes ensuring that the financial risks from climate
change are adequately reflected in risk management frameworks
and policies, and that NatWest Group can identify, measure,
monitor, manage and report on its exposure to these risks.
During 2024, the Group Executive Committee provided oversight
of the latest iteration of NatWest Group’s climate transition plan,
progression in establishing partnerships and opportunities
including oversight of progress against the NatWest Group climate
and sustainable funding and financing target and ensuring the
effective management of climate-related risks. Work continued in
2024 to mature NatWest Group’s climate-related risk
management capabilities.
The Group Executive Committee will continue to supervise
strategic implementation and delivery, supported by the Climate
Centre of Excellence, segments and functions.
Risk appetite
Performance against risk appetite is reported regularly to the
Group Executive Risk Committee, the Group Board Risk
Committee, and the Group Board. Relevant climate and nature
risk matters are escalated through the Executive Risk Committee
and Board Risk Committee and to the Board as applicable.
These risk appetite measures alongside additional segment-
specific risk measures were used to inform climate risk reporting
to senior risk management forums, linking risk management
policies to NatWest Group’s strategic priorities.
Monitoring and measurement
NatWest Group continues to enhance its processes to effectively
measure the potential size and scope of climate-related risks,
through the three approaches detailed below. The approach to
nature-related risks is not as mature as the approach to climate-
related risks with the completion of the LEAP pilot being the first
step in identifying and assessing nature-related risks.
Scenario analysis
NatWest Group focused on continuing to develop the capabilities
to use scenario analysis to identify the most material climate risks
for its customers, seeking to harness insights to inform risk
management practices and support decision making.
Scenario analysis allows NatWest Group to test a range of
possible future climate pathways and understand the nature and
magnitude of the risks they present. The purpose of scenario
analysis is not to forecast the future but to understand and
prepare to manage risks that could arise.
NatWest Group recognises a number of potential key use cases
for climate scenario analysis, including, but not restricted to, the
following:

Regulatory stress testing requirements.

Portfolio management.

Strategic decision-making, capital adequacy and provisioning.
There are various challenges with climate scenario analysis,
including in relation to the immaturity of modelling techniques (for
example, not picking up tipping points such as the slow
down/potential collapse of the Atlantic meridional overturning
circulation (AMOC)) and limitations surrounding data on climate-
related risks. In addition, there is significant uncertainty as to how
the climate will evolve over time, how and when governments,
regulators, businesses, investors and customers respond and how
those responses impact the economy, asset valuations, economic
systems, policy and wider society. These risks and uncertainties,
coupled with significantly long timeframes, make the outputs of
climate-related risk modelling with respect to the potential use
cases identified inherently more uncertain than outputs modelled
for traditional financial planning cycles based on historical financial
information.
Portfolio level assessment
NatWest Group uses a number of tools to undertake portfolio level
assessments including operational limits in retail credit risk, stress
analysis in market risk and
heightened climate-related risk sector
assessment in Non-Personal credit risk.
The latter seeks to
identify sectors that are likely to see increased credit risks for
NatWest Group because of climate-related factors, over a ten to
15-year horizon. A breakdown is included in the NatWest Group
plc 2024 Sustainability Report.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
74
Climate and nature risk continued
NatWest Group also regularly considers the potential impact of
existing and emerging regulatory requirements related to climate
change at NatWest Group and subsidiary level, through external
horizon scanning and monitoring of emerging regulatory
requirements.
Transaction level assessment
Assessments are undertaken which consider anti-greenwashing
factors within NatWest Group’s marketing and communications
processes. NatWest Group’s suppliers are encouraged to
undertake assessments which aim to improve sustainability
performance. Within the Non-Personal credit portfolio, NatWest
Group uses its initial suite of climate risk scorecards and CDF
tools to engage with its customers to support them in better
understanding climate-related risks for their business and conduct
climate transition plan assessments. In 2024, CDF tools were
rolled out on a phased test and learn basis focused on business
areas covering large corporates, mid-corporates, commercial real
estate, housing associations and some financial institutions
customer segments. Through this process, NatWest Group
continues to build capability among first and second line risk
colleagues, and a culture where consideration of climate risk is
part of the credit journey.
Mitigation
NatWest Group manages and mitigates climate-related risk in the
Non-Personal portfolio through:

Top-down portfolio assessments, including incorporating
climate factors in the overall sector strategy, updating the
environmental, social and ethical risk acceptance criteria in
response to potential climate-related risks and applying
climate-enhanced transaction acceptance standards.

Bottom-up transaction assessments, including ensuring
enhanced oversight for the largest lending climate
transactions and use of qualitative climate risk scorecards, to
provide a consistent and structured approach for
understanding customer-specific exposure to climate-related
risks.
During 2024, Commercial & Institutional continued to enhance
pricing frameworks to embed climate considerations. These
enable NatWest Group to support businesses to help address the
climate challenge and to encourage Commercial & Institutional
customers towards more sustainable, transition-aligned
transactions.
In the residential mortgage portfolio, lending limits were applied
based on climate characteristics, including: (i) exposure to EPC A
and B rated properties, (ii) buy-to-let properties with potential
EPC between D and G and (iii) flats, new builds and buy-to-let
properties at high or very high risk of flood. Additionally, the credit
policies do not allow buy-to-let mortgages to properties with an
EPC rating between F and G. Limits are continually reviewed to
reflect new flood risk data, risk profile and market conditions.
NatWest Group continues to participate in a number of industry
forums to help shape the financial service industry’s response to
the challenges posed by climate risk, including scenario analysis.
An example is the Climate Financial Risk Forum, established by
the PRA and the FCA.
NatWest Group also continues to engage actively with academia
to ensure best practice and the latest thinking on climate risks is
considered within NatWest Group’s work. For example, the work
with University of Exeter as described previously.
Operational risk
Definition
Operational risk is the risk of loss resulting from inadequate or
failed internal processes, people and systems, or external events.
It arises from day-to-day operations and is relevant to every
aspect of the business.
Sources of risk
Operational risk may arise from a failure to manage operations,
systems, processes, transactions and assets appropriately. This
includes human error, an inability to deliver change adequately or
on time, the non-availability of technology services, or the loss of
customer data. It also includes systems failure, theft of NWB
Group property, information loss, the impact of natural or man-
made disasters and the threat of cyberattacks. Operational risk
can also arise from a failure to account for changes in law or
regulations or to take appropriate measures to protect assets.
Key developments in 2024

The continued embedding of the enhanced risk and control
self-assessment approach with a focus on material operational
risks and controls across key end-to-end processes.

An enhanced approach to introduce a single risk and control
performance assessment has been developed and tested
during 2024. This will replace the current Control Environment
Certification (CEC) approach from 2025.

The automation of data-led insights into the operational risk
profile to proactively drive management of the risks and
oversight thereof.

The embedding of robust operational risk appetite measures
which provide comprehensive coverage of the key operational
risks.

The introduction of an effective and well-defined approach to
leverage artificial intelligence to enhance controls articulation
and manage controls data quality on an ongoing basis.
Governance
The risk governance arrangements in place for operational risk
are aligned to the requirements set out in the NatWest Group
Board approved enterprise-wide risk management framework
and are consistent with achieving safety, soundness and
sustainable risk outcomes.
Aligned to this, a strong operational risk management oversight
function is vital to support NWB Group’s ambitions to serve its
customers better. Improved management of operational risk
against defined risk appetite is vital for stability and reputational
integrity.
To support ongoing oversight of the management of the
operational risk profile an Operational Risk Executive Steering
Committee is in place. This forum ensures all material operational
risks are monitored and managed within appetite. The NatWest
Group Board Risk Committee and NatWest Group Board receives
regular updates on the outputs of the Operational Risk Executive
Steering Committee as necessary.
Risk appetite
Operational risk appetite is approved by the relevant legal entity
board and supports effective management of all operational risks.
It expresses the level and types of operational risk NWB Group is
willing to accept to achieve its strategic objectives and business
plans. NatWest Group’s operational risk appetite quantitative and
qualitative statements encompass the full range of operational
risks faced by its legal entities, businesses, and functions.
The risk appetite statement and associated measures for
operational risk are reviewed and approved at least annually by
the relevant legal entity board on the relevant board risk
committee’s recommendation to ensure they remain appropriate
and aligned to strategy.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
75
Operational risk continued
Performance against risk appetite is reported regularly to the
Executive Risk Committee, the Board Risk Committee, and the
Board. Relevant financial crime risk matters are escalated through
the Executive Risk Committee and Board Risk Committee and to
the Board as applicable. For more information, refer to the
Governance and remuneration section.
Mitigation
Risks are mitigated by applying key preventative and detective
controls. This is an integral step in the risk self-assessment
methodology which is used to determine residual risk exposure.
Control owners are accountable for the design, execution,
performance, and maintenance of key controls. Key controls are
regularly assessed for adequacy and tested for effectiveness. The
results are monitored and, where a material change in
performance is identified, the associated risk is re-evaluated.
All residual risks that exceed the target appetite position are
subject to action plans to bring them within appetite.
Supporting our understanding of control is the CEC process. This
is a bi-annual process, which requires senior members of the
executive and management to assess the adequacy and
effectiveness of their internal control frameworks which supports
certification that their business or function is compliant with the
Internal Control over Financial Reporting (Sarbanes-Oxley Section
404) regulatory requirements and with the requirements of the
UK Corporate Governance Code section on Risk Management
and Internal Controls.
CEC covers material risks and the underlying key controls,
including financial, operational and compliance controls, as well as
supporting risk management frameworks. The CEC outcomes,
including forward-looking assessments for the next two half-
yearly cycles and progress on control environment improvements,
are reported to the NatWest Group Audit Committee and
NatWest Group Board Risk Committee. They are also shared with
external auditors.
Monitoring and measurement
Operational risk is measured and managed through continuous
assessment and regular reporting to NatWest Group’s senior risk
committees and at Board-level.
Risk and control self-assessments
are used across business areas and support functions to identify
and assess material non-financial risks (including operational risks,
financial crime and conduct risks) and key controls.
All risks and controls are mapped to NatWest Group’s risk
directory. Risk assessments are refreshed at least every two
years or sooner in response to internal and external events to
ensure they remain relevant and that they capture any emerging
risks.
NWB uses the standardised approach to calculate its Pillar 1
operational risk capital requirement. This is based on multiplying
three years’ average historical gross income by coefficients set by
the regulator based on business line.
As part of the wider Internal Capital Adequacy Assessment
Process an operational risk economic capital model is used to
assess Pillar 2A, which is a risk-sensitive add-on to Pillar 1. The
model uses historical loss data (internal and external) and
forward-looking scenario analysis to provide a risk-sensitive view
of NWB Group’s Pillar 2A capital requirement.
Scenario analysis is used to assess how severe but plausible
operational risks will affect NWB Group. It provides a forward-
looking basis for evaluating and managing operational risk
exposures.
Refer to the Capital, liquidity and funding risk section for the
operational risk capital requirement figures.
Operational resilience and cybersecurity
NWB Group manages and monitors operational resilience through
its enhanced risk and control self-assessment methodology. This
is underpinned by setting and monitoring of forward-looking risk
indicators and performance metrics for the operational resilience
of important business services. Significant progress has been
made in meeting regulatory expectations for operational
resilience, with involvement in a number of industry-wide
operational resilience forums. This enables a cross-sector view of
the operational resilience risk profile and the pace of ongoing
innovation and change, both internally and externally.
NatWest Group operates layered security controls and its
architecture is designed to provide inherent protection against
threats.
This approach avoids reliance on any one type or method
of security control.
Minimum security control requirements are set
out in key risk policies
(1)
,
standards, processes and procedures.
Throughout 2024, NatWest Group continued to monitor and
manage the threat landscape focusing on:

Initial access brokers and nation states – increasingly
sophisticated attacks from ransomware gangs and ongoing
challenges given the geopolitical tensions that are increasing
the likelihood of disruptive cyberattacks.

Developments in innovation and technology, assessing the
inherent risk and developing appropriate response to mitigate
associated risks, for example, artificial intelligence and cloud
adoption.
As cyberattacks evolve, NatWest Group continues to invest in
additional capability designed to defend against emerging risks.
(1)
Risk policies are in place for each principal risk and define, at a high level, the cascade of
qualitative expectations, guidance and standards that stipulate the nature and extent of
permissible risk-taking. They are consistently applied across NatWest Group and
subsidiary legal entities and form part of the qualitative expression of risk appetite for
each principal risk.
Event and loss data management
The operational risk event and loss data management process
ensures NWB Group captures and records operational risk events
with financial and non-financial impacts that meet defined criteria.
Loss data is used for internal, regulatory and industry reporting
and is included in capital modelling when calculating economic
capital for operational risk. The most serious events are escalated
in a simple, standardised process to all senior management, by
way of an early event escalation process. NWB Group has not
experienced a material cybersecurity breach or associated
material loss in the last three years.
All financial impacts and recoveries associated with an operational
risk event are reported against the date they were recorded in
NatWest Group’s financial accounts. A single event can result in
multiple losses (or recoveries) that may take time to crystallise.
Losses and recoveries with a financial accounting date in 2024
may relate to events that occurred, or were identified in, prior
years. NatWest Group purchases insurance, against specific
losses, including cyberattacks, and to comply with statutory or
contractual requirements.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
76
Model risk
Definition
Model risk is the potential for adverse consequences from model
errors or the inappropriate use of modelled outputs to inform
business decisions. A model is defined as a quantitative method,
system, or approach that applies statistical, economic, financial,
accounting, mathematical or data science theories, techniques
and assumptions to process input data into estimates.
Sources of risk
NWB Group uses a variety of models in the course of its business
activities. Examples include the use of model outputs to support
customer decisioning, measuring and assessing risk exposures
(including credit, market, and climate risk), calculating regulatory
capital and liquidity requirements and automation of operational
processes.
Model applications may give rise to different risks depending on
the business in which they are used. Model risk is therefore
assessed separately for each business segment in addition to the
overall assessment made for NWB Group.
Key developments in 2024

NWH Group remained within model risk appetite throughout
2024.

The Model Risk Management Enhancement Programme was
set up to support NatWest Group’s response to the PRA’s
Supervisory Statement 1/23 (SS1/23). A self-assessment
against SS1/23 was completed, reviewed by the Board and
submitted to the PRA. Effort was focused on implementing an
enhanced model risk management framework, including an
expanded model identification exercise and roll-out of a new
model tiering approach.

Model inventory design changes were carefully delivered to
support the implementation of framework enhancements.
Focus also continued on improving the completeness and
accuracy of model risk data contained within the inventory
through enhanced oversight metrics and targeted remediation
work.
Governance
A governance framework is in place to ensure policies and
processes relating to models are appropriate and effective. Two
roles are key to this – model risk owners and model validation
leads. Model risk owners are responsible for model approval and
ongoing performance monitoring. Model validation leads, in the
second line of defence, are responsible for oversight, including
ensuring that models are independently validated prior to use and
on an ongoing basis aligned to the model’s tier.
Business and function model management committees are used
to escalate model risk matters to senior management where
required.
The NatWest Group Model Risk Oversight Committee further
enhances model risk governance by providing a platform for
executive level discussion on emerging model risks, identification
of systemic risks and the evolution of model risk management
practices. NWB Group is considered in scope of the NatWest
Group Model Risk Oversight Committee.
Risk appetite
Model risk appetite is approved by the relevant legal entity board.
It is set in order to limit the level of model risk that NWB Group is
willing to accept in the course of its business activities. The model
risk appetite statement and associated measures are reviewed
and approved by the relevant legal entity board on the relevant
board risk committee’s recommendation at least annually to
ensure they remain appropriate and aligned to strategy.
Business areas are responsible for monitoring performance
against appetite and remediating models outside appetite.
Performance against risk appetite is reported regularly to the
Executive Risk Committee, the Board Risk Committee, and the
Board. Relevant model risk matters are escalated through the
Executive Risk Committee and Board Risk Committee and to the
Board as applicable.
Monitoring and measurement
Model risk is measured and managed through continuous
assessment and regular reporting to NatWest Group’s senior risk
committees and at NatWest Board level. Policies, toolkits and
model standards related to the development, validation, approval,
implementation, use and ongoing monitoring of models are in
place to ensure adequate control across the lifecycle of an
individual model.
All models developed for use are assigned a
model tier, based on
the model’s materiality and complexity. Risk based model tiering is
used to prioritise risk management activities throughout the model
lifecycle, and to identify and classify those models which pose the
highest risk to NWB
Group’s
business activities, safety and/or
soundness.
Validation of material models is conducted by an independent risk
function comprising of skilled, well-informed subject matter
experts. This is completed for new models or material
amendments to existing models and as part of an ongoing
periodic programme to assess model performance. The frequency
of periodic revalidation is aligned to the tier of the model. The
independent validation focuses on a variety of model features,
including model inputs, model processing, model outputs, the
implementation of the model and the quality of the ongoing
performance monitoring. Independent validation also focuses on
the quality and accuracy of the development documentation and
the model’s compliance with regulation.
The model materiality combined with the validation rating
provides the basis for model risk appetite measures and enables
model risk to be robustly monitored and managed across NWB
Group.
Ongoing performance monitoring is conducted by model owners
and overseen by the model validators to ensure parameter
estimates and model constructs remain fit for purpose, model
assumptions remain valid and that models are being used
consistently with their intended purpose. This allows timely action
to be taken to remediate poor model performance and/or any
control gaps or weaknesses.
Mitigation
By their nature – as approximations of reality – model risk is
inherent in the use of models. It is managed by refining or
redeveloping models where appropriate – due to changes in
market conditions, business assumptions or processes – and by
applying adjustments to model outputs (either quantitative or
based on expert opinion). Enhancements may also be made to
the process within which the model output is used in order to
further limit risk levels
.
Risk and capital management continued
NWB Group
Annual Report and Accounts 2024
77
Reputational risk
Definition
Reputational risk is defined as the risk of damage to stakeholder
trust due to negative consequences arising from internal actions
or external events.
Sources of risk
The three primary drivers of reputational risk are: failure in
internal risk management systems, processes or culture; NWB
Group’s actions materially conflicting with stakeholder
expectations; and contagion (when NWB Group’s reputation is
damaged by failures in key sectors including NWB Group’s supply
chain or other partnerships).
Key developments in 2024

Reputational risk assessment guidance was updated.
Colleagues in relevant roles received updated training on key
aspects of the policy and framework.

Enhancements were made to the environmental, social and
ethical (ESE) risk framework, including implementation of the
ESE human rights risk acceptance criteria.
Governance
A reputational risk policy supports reputational risk management
across NWB Group. Reputational risk registers are used to
manage reputational risks identified within relevant business
areas. These are reported to the relevant business risk
committee. Material reputational risks to NWB Group are
escalated via the NatWest Group reputational risk register which
is reported at every meeting of the NatWest Group Reputational
Risk Committee.
The NatWest Group Reputational Risk
Committee also opines on matters that represent material
reputational risks. The NatWest Group Executive and the NatWest
Group Board Risk Committees oversee the identification and
reporting of reputational risk.
Risk appetite
NWB Group manages and articulates its appetite for reputational
risk through a qualitative reputational risk appetite statement and
associated quantitative measures which are approved at least
annually by the NatWest Group Board on the NatWest Group Risk
Committee’s recommendation to ensure they remain appropriate
and aligned to strategy. NatWest Group seeks to identify,
measure and manage risk aligned to stakeholder trust. However,
reputational risk is inherent in NatWest Group’s operating
environment and public trust is a specific factor in setting
reputational risk appetite.
Monitoring and measurement
Relevant internal and external factors are monitored through
regular reporting via reputational risk registers at business or legal
entity level. They are escalated, where appropriate, to the
relevant business risk committee and where material, to the
NatWest Group Reputational Risk Committee. Additional principal
risk indicators for material risks being monitored are also reported
to the NatWest Group Reputational Risk Committee and to the
Executive and Board Risk Committees.
Mitigation
Standards of conduct are in place across NWB Group requiring
strict adherence to policies, procedures and ways of working to
ensure business is transacted in a way that meets – or exceeds –
stakeholder expectations.
External events that could cause
reputational damage are identified and mitigated through NWB
Group’s top and emerging
risks process (where sufficiently
material) as well as through the NatWest Group and business level
reputational risk registers.
NWB Group
Annual Report and Accounts 2024
78
Report of the directors
The directors present their report together with the audited
accounts for the year ended 31 December 2024.
Other information incorporated into this report by reference can
be found at:

| Page/Note
Stakeholder engagement and s.172(1) statement | 3
Board of directors and secretary | 4
Financial review | 7
Segmental analysis | Note 4
Share capital and reserves | Note 22
Post balance sheet events | Note 35

NWB Group structure
National Westminster Bank Plc (‘NWB Plc’) is a wholly-owned
subsidiary of NatWest Holdings Limited (‘NWH Ltd’ or ‘the
intermediate holding company’). NatWest Bank Group (‘NWB
Group’) comprises NWB Plc and its subsidiary and associated
undertakings. NatWest Holdings Group (‘NWH Group’) comprises
NWH Ltd and its subsidiary and associated undertakings.
NatWest Group plc is ‘the ultimate holding company’. The term
‘NatWest Group’ comprises NatWest Group plc and its subsidiary
and associated undertakings. NatWest Group plc is incorporated
in the United Kingdom and has its registered office at 36 St
Andrew Square, Edinburgh, EH2 2YB.
Details of NWB Plc’s principal subsidiary undertakings and their
activities are shown in Note 14 on the accounts. A full list of NWB
Plc’s related undertakings is shown in Note 36 on the accounts.
The financial statements of NatWest Group plc can be obtained
from Corporate Governance, Gogarburn, Edinburgh, EH12 1HQ,
the Registrar of Companies or at natwestgroup.com.
Activities
NWB Group is engaged principally in providing a wide range of
banking and other financial services.
Results and dividends
The profit attributable to the ordinary shareholders of NWB Plc
for the year ended 31 December 2024 was £3,237 million
compared with a profit of £3,368 million for the year ended 31
December 2023, as set out in the consolidated income statement
on page 98.
No ordinary shares were issued during 2024 or 2023.
In 2024, NWB Plc paid an ordinary dividend of £2.5 billion to NWH
Ltd (2023 – £1.7 billion).
Employees
At 31 December 2024, NWB Group employed 55,700 people
(excluding temporary staff). Details of related costs are included
in Note 3 on the consolidated accounts. NWB Plc employs the
majority of NWB Group UK customer-facing staff, with costs
recharged. NWB Plc also provides the majority of shared services
(including technology) and operational processes under Intra-
Group Agreements.
References to ‘colleagues’ in this report mean all permanent
employees and, in some instances, members of the wider
workforce e.g. temporary employees and agency workers.
Corporate governance statement
For the financial year ended 31 December 2024 NWB Plc has
again chosen to report against the Wates Corporate Governance
Principles for Large Private Companies (the Wates Principles),
published by the Financial Reporting Council (FRC) in December
2018 and available on the FRC website.
The disclosures below explain how NWB Plc has applied the
Wates Principles in the context of its corporate governance
arrangements.
1. Purpose and leadership
The Board reviews and sets the strategic direction of the NWH
Group and, as appropriate, the strategies for each of its
businesses, within the parameters set by the NatWest Group plc
Board. The Board also oversees the execution of NWH Group
strategy and holds executive management to account for its
delivery.
In 2024 the Board held three dedicated sessions to consider the
future strategy of NatWest Group, as it related to NWH Sub
Group, considering proposals by management and the resources
required for successful implementation. At the first session,
macro-level matters were considered, such as customers’
evolving needs, the current and potential competitive landscape,
and the importance of the right business mix and the key role an
agile and future-fit technology platform would play in delivery.
The important role of organisational culture was also discussed.
The external environment and risk landscape were also
considered. The second and third sessions were focused on
delivery of the strategy. Following these sessions and discussion
at scheduled Board meetings, the Board confirmed support for
the strategy, centred around the three strategic priorities of
disciplined growth, bank-wide simplification and active balance
sheet and risk management.
Further information on NatWest Group’s progress against its
strategy can be found in the NatWest Group plc 2024 Annual
Report and Accounts.
In conjunction with the NatWest Group plc Board, the NWB Plc
Board reviewed the bank’s purpose in 2024. Discussions were
informed by a variety of factors including current market
practices, directors’ personal reflections and the output of
engagement with internal and external stakeholders (including
focus groups and in-depth interviews with samples of colleagues
and customers). The Board also considered illustrative examples
of the purpose and communication strategies for different
stakeholder groups. The final purpose statement (The bank that
turns possibilities into progress) was approved by the Board in
September 2024.
Colleague sentiment towards the refreshed purpose was also
observed by the Board via the Colleague Advisory Panel
meetings, which are chaired by Roisin Donnelly who reports on
each meeting to the Board.
The Board assesses and monitors culture in several ways, as
described below.

Culture assessment reports which includes a wide range of
metrics and assesses culture based on the NatWest Group
culture assessment framework. The framework is aligned to
both performance culture drivers and ethics, conduct and
compliance. In December, the format of the report was
reviewed by the Board and an evolved assessment
framework was agreed which will be implemented in Board
reporting from January 2025.

Our View colleague engagement survey results which provide
insights from the surveys conducted in April and September
are provided to the Board bi-annually. Colleagues responded
to questions across the whole colleague experience including
wellbeing, building capability, leadership and ethics and
Report of the directors continued
NWB Group
Annual Report and Accounts 2024
79
integrity. Strong results were noted, with targeted action
plans in place to drive improvements.

Colleague Advisory Panel reports which, in 2024, provided
feedback on discussions from meetings held in May and
November. Topics included executive remuneration and the
wider workforce, the new performance management system
Beyond, NatWest Group’s evolving purpose and responsible
AI.

As part of the Board strategy sessions careful consideration
was given to the cultural shift required to deliver the renewed
strategy. External case studies of cultural transformation
informed discussions.

The impact on culture of the refreshed purpose was a key
consideration by the Board. It reviewed the output of
research undertaken with colleagues on the proposed
purpose statement and management’s planned approach to
embed the new purpose in the bank’s culture.
A refreshed core behaviours framework will be rolled out during
2025. Proposals will be presented to the Board following
collaboration with internal and external stakeholders.
The activities described above have supported the Board in
meeting the Wates Principle 1 requirement to ensure that
purpose, values, strategy and culture are aligned, within the
wider NatWest Group governance structure.
2. Board composition
As at the date of publication of this report, the Board has 14
directors comprising the Chair, two executive directors and 11
independent non-executive directors, one of whom is the Senior
Independent Director.
The names of the current directors and secretary are shown on
page 4. Their biographies are available at natwestgroup.com
(NatWest Holdings Limited section).
Chair, CEO and Senior Independent Director
The role of the Chair is to lead the Board and ensure its overall
effectiveness. This is distinct and separate from that of the CEO
who manages the business day-to-day. The Senior Independent
Director acts as a sounding board for the Chair and as an
intermediary for other directors when necessary.
Balance and diversity
The Board is structured to ensure that the directors provide NWB
Plc with the appropriate balance of skills, experience, knowledge
and diversity, as well as independence. Board committees also
comprise directors with a variety of skills and experience so that
no undue reliance is placed on any one individual.
The Nominations Committee is responsible for considering and
making recommendations to the Board in respect of Board
appointments and membership and chairing of Board
committees.
The Nominations Committee reviews the structure, size and
composition of the Board, and makes recommendations to the
Board in relation to any necessary changes, having regard to the
overall balance of skills, knowledge, experience and diversity on
the Board, the length of service of the Board as a whole; and the
requirement to keep membership regularly refreshed. The
Nominations Committee considers Board composition and
succession planning at least annually. The NatWest Group plc
Group Nominations and Governance Committee (Group N&G)
also approves all appointments to the Board, reflecting NWB Plc’s
position as a subsidiary within NatWest Group.
Board recruitment continued to be a principal area of focus in
2024. Paul Thwaite became permanent CEO on 16 February
2024 and Rick Haythornthwaite, having joined the Board as a
non-executive director on 8 January 2024, assumed the Chair
role on 15 April after Howard Davies stepped down. The Board
approved the appointment of Geeta Gopalan in February 2024
and she joined on 1 July 2024. During 2024 the Nominations
Committee’s membership supported comprehensive candidate
searches with diversity and inclusion considerations factored into
all search criteria.
During 2024 the Nominations Committee’s
membership supported comprehensive candidate searches with
diversity and inclusion considerations factored into all search
criteria.
During the search processes, the Nominations
Committee held several discussions on potential candidates,
assessing the credentials of each candidate against the qualities
and capabilities set out in the role specifications agreed by the
Nominations Committee.
Following a rigorous process, the
Nominations Committee, in conjunction with Group N&G,
recommended and the Board approved Gill Whitehead’s
appointment as a non-executive director. The Nominations
Committee, in conjunction with Group N&G, continues to oversee
further recruitment activity in respect of the Board of NWB Plc.
In addition, Jan Cargill will be stepping down as Company
Secretary on 14 February 2025 and Gary Moore will be
appointed as her successor on this date.
In December 2024, the Nominations Committee, in conjunction
with Group N&G, reviewed and the Board approved, an
enhanced version of the NatWest Group plc and NWH Sub Group
Board skills matrix.
The NatWest Group plc and NWH Sub Group Boards conducted
a comprehensive Board skills assessment using the Board
Outlook platform.
This process evaluated the collective expertise
and capabilities of the Boards against the organisation’s strategic
priorities and governance needs, and the resulting data and
analysis underpins the succession planning process.
By
identifying critical and general skills areas, this enhanced skills
assessment approach has provided valuable insights into the
Boards’ strengths and opportunities for consideration by the
Nominations Committee, Group N&G and the Boards.
The
findings, as reflected in the 2024 Board skills matrix, will help to
ensure that the Board remains well-equipped to navigate
complex challenges, deliver on long-term value creation
and
uphold the highest standards of governance.
The Board operates a boardroom inclusion policy which reflects
NatWest Group’s values, its inclusion guidelines and relevant legal
or voluntary code requirements. The boardroom inclusion policy
aims to promote diversity and inclusion in the composition of the
Boards and Board committees of NatWest Group plc, NWH Ltd,
NWB Plc and RBS plc and in the nominations and appointments
process.
A copy of the policy is available at natwestgroup.com.
The boardroom inclusion policy ensures that the Board, and any
committee to which it delegates nomination responsibilities,
follows an inclusive process when making nomination decisions.
That includes ensuring that the nomination process is based on
the principles of fairness, respect and inclusion, that all
nominations and appointments are based on individual
competence, skills and expertise measured against identified
objective criteria without bias, prejudice or discrimination, and
that searches for Board candidates are conducted with due
regard to the benefits of diversity and inclusion.
The policy includes targets which aspire to meet those set out in
the UK Listing Rules along with the recommendations of the
FTSE Women Leaders Review and the Parker Review.
Report of the directors continued
NWB Group
Annual Report and Accounts 2024
80
As at 31 December 2024
:

NWB Plc met the FTSE Women Leaders Review voluntary
target of 40% women’s representation on boards by the end
of 2025, with 46% of the Board being women;

with a woman as CFO, NWB Plc met the FTSE Women
Leaders Review recommendation that companies should
have at least one woman in the Chair or Senior Independent
Director roles on the board and/or one woman in the Chief
Executive Officer or Finance Director role by the end of 2025;
and

the company met the recommendation of the Parker Review
with two members of the Board being from an ethnic
minority background.
Changes since 1 January 2025: Gill Whitehead joined the Board
on 8 January 2025 as an independent non-executive director.
Gill’s appointment to the Board means women’s representation
as at the date of this report is 50%.
The boardroom inclusion policy also acknowledges NatWest
Group’s ambition to have gender balance in the global top three
levels (CEO-3 and above) by 2030, and progress against this
ambition is set out on page 42 of the NatWest Group plc 2024
Annual Report and Accounts (Strategic report).
Size and structure
NWH Ltd is the holding company for NatWest Group’s ring-
fenced operations, which include the Retail and Private Banking
segments and certain aspects of the Commercial & Institutional
business. A common board structure is operated such that
directors of NWH Ltd are also directors of RBS plc and NWB Plc.
Known collectively as the NWH Sub Group, the boards of these
three entities meet concurrently.
An integral part of NatWest Group’s governance arrangements is
the appointment of three double independent non-executive
directors (DINEDs) to the Boards and Board committees, of the
NWH Sub Group. They are Francesca Barnes, Ian Cormack and
Mark Rennison.
The DINEDs are independent in two respects: (i) independent of
management as non-executives; and (ii) independent of the rest
of NatWest Group by virtue of their NWH Sub Group only
directorships. They attend NatWest Group plc Board and relevant
Board committee meetings as observers. The DINEDs play a
critical role in NatWest Group’s ring-fencing governance
structure, and are responsible for exercising appropriate
oversight of the independence and effectiveness of the NWH Sub
Group’s governance arrangements, including the ability of each
board to take decisions independently.
The DINEDs also have an enhanced role in managing any
material conflicts which may arise between the interests of NWB
Plc and other members of NatWest Group.
The governance arrangements for the Boards and Board
committees of NatWest Group plc and the NWH Sub Group have
been designed to enable NatWest Group plc to exercise
appropriate oversight and to ensure that, as far as is reasonably
practicable, the NWH Sub Group is able to take decisions
independently of the wider Group.
Independence
The independent non-executive directors combine broad
business and commercial experience with independent and
objective judgement. They provide constructive challenge,
strategic guidance, and specialist advice to the executive
directors and the executive management team and hold
management to account. The balance between non-executive
and executive directors enables the Board to provide clear and
effective leadership across NWH Group’s business activities and
ensures no one individual or small group of individuals dominates
the Board’s decision-making.
Non-executive director independence and individual directors’
continuing contribution to the company are considered by the
Board, with support from the Nominations Committee, at least
annually and when new non-executive directors are appointed.
The Board considers that the Chair, Rick Haythornthwaite, was
independent on appointment and that all current non-executive
directors are independent.
Enhancing directors’ skills and knowledge
The Chief Governance Officer and Company Secretary supports
directors in their training and development via a comprehensive
induction programme when they join the Board and an ongoing
annual schedule of training sessions and deep dives into areas of
interest and relevance.
These are designed to support directors’
professional development, deepen their knowledge of the
business or specific areas of interest or offer specialised training
on relevant matters.
During 2024 the Board undertook several training sessions on a
range of relevant topics.
These included liquidity and funding;
model risk management; digital assets; financial crime; diversity,
equity and inclusion; and climate. These training sessions enabled
the directors to deepen their understanding on these topics and
informed their decision-making.
All directors were invited to
training and deep dive sessions held at the committee level.
Directors undertake the training they consider necessary to
assist them in carrying out their duties and responsibilities and
the non-executive directors discuss their training and professional
development with the Chair at least annually.
Each new director receives a formal induction programme on
joining the Board, which is co-ordinated by the Chief Governance
Officer and Company Secretary and tailored to suit the
requirements of the individual concerned. This includes visits to
NWH Group’s major businesses and functions and meetings with
directors and senior management. Meetings with external
auditors, counsel and stakeholders are also arranged as
appropriate.
Geeta Gopalan joined the Board on 1 July 2024 and
further information on Geeta’s induction can be found on page
94 of the NatWest Group plc 2024 Annual Report and Accounts.
In March 2024 the Board spent a week visiting the bank’s
operations in India. Time was split between Gurugram and
Bengaluru, and in both locations a series of meetings were held
with a variety of internal and external stakeholders. The
programme included a focus on colleague engagement, and
directors met individuals and teams from Finance, Digital X and
People, who support colleagues across the bank to deliver for our
customers. From an external perspective, the Board met with
current suppliers and customers as well as representatives of
emerging businesses in India and leaders of other large
businesses based in the country. The Board also undertook a
variety of community engagement sessions during its time in
India. These included spending time at the Vidya School in
Gurugram (which provides high quality public-school education to
under-privileged children) and the ‘I am Gurgaon’ project in the
city (which is seeking to improve the local ecosystem and reduce
the risk of flooding). Directors also participated in a Climate
Action Roadshow which showcased active environmental
projects supported by colleagues, and included contributions from
non-government organisations and beneficiaries of the projects.
Following the visit, the Board discussed with management the
insights gained during the trip and how these could inform future
decision making.
External appointments and time commitment
The Board monitors the commitments of the Chair and directors
and is satisfied that they are able to allocate sufficient time to
enable them to discharge their duties and responsibilities
effectively. Any additional external appointments require prior
Board approval.
Report of the directors continued
NWB Group
Annual Report and Accounts 2024
81
The Wates Principles emphasises the importance of ensuring
directors have sufficient time to meet their board responsibilities.
Before any appointment, significant commitments are disclosed
with an indication of the time involved. After appointment to the
Board, any new external appointments require prior Board
approval.
Time commitment is also considered during non-
executive directors’ year end review meetings with the Chair, in
the context of directors’ performance and contribution to the
Board.
Board papers relating to new director appointments or proposed
additional external appointments for existing directors include
details of the individual’s full portfolio and anticipated time
commitment for the external role(s) under consideration (e.g.
Committee Chair roles). They also include a reminder of
applicable Capital Requirements Directive limits on the number of
directorships which may be held.
During 2024 the Board approved the appointments of Geeta
Gopalan and Gill Whitehead to the Board and additional external
appointments taken on by Stuart Lewis, Mark Seligman, Roisin
Donnelly and Lena Wilson were also approved. In each case, the
Board noted there would be no material impact on the time
commitment required for their respective NWH Group roles and
authorised any situational conflicts of interest which had been
notified, under the process described below.
Board effectiveness review
An evaluation of the performance of the Board, its committees,
the Chair and individual directors
usually takes place annually.
The evaluation is externally facilitated every three years, with
internal evaluations in the intervening years.
In 2023 the Board decided to defer the internal evaluation of
Board and committee effectiveness due in Q4 2023 until 2024,
given the July 2023 change in Group CEO and upcoming Chair
succession. The most recent external evaluation of Board and
committee effectiveness was conducted in 2021, and therefore
the 2024 process was due to be conducted externally.
In June 2024, the Nominations Committee, in conjunction with
Group N&G (the nominations committees), agreed a shortlist of
potential external facilitators for the 2024 Board effectiveness
review.
Following a competitive tender process the nominations
committees recommended, and the Board approved, the
appointment of Boardroom Review Limited (BRL) noting their
deep expertise and established track record in the field.
BRL has
no other connection with NatWest Group.
Key findings were consistent across NatWest Group plc and the
NWH Sub Group and an overview of findings and proposed next
steps arising from the 2024 Board effectiveness review can be
found on pages 103 to 105 of the NatWest Group plc 2024
Annual Report and Accounts.
At the December Board meeting,
the Chair undertook to develop and consult on proposals for
further Board consideration and implementation from Q1 2025.
The Chair met each non-executive director individually to discuss
their performance, continuing professional development and
contribution to the company’s long-term sustainable success. The
Chair also shared peer feedback collated as part of the review
process.
Separately, the Senior Independent Director, together with the
Senior Independent Director of the NWH Sub Group, sought
feedback on the Chair’s performance from the non-executive
directors, executive directors and other key internal and external
stakeholders and discussed it with the Chair. This included peer
feedback collated as part of the review process.
These reviews concluded that each non-executive director and
the Chair continue to contribute positively to the long-term
sustainable success of the company.
3. Director responsibilities
Board policies and processes are set out in our non-executive
director handbook, which operates as a consolidated governance
support manual for non-executive directors of NatWest Group plc
and the NWH Sub Group.
Accountability
All directors receive guidance on their statutory duties under the
Companies Act 2006 and are supported in the discharge of their
duties by the Chief Governance Officer and Company Secretary.
Each director has a role profile which clearly articulates their
responsibilities and accountabilities, and any additional regulatory
responsibilities and accountabilities are set out in their statement
of responsibilities.
NatWest Group also produces and maintains a document called
‘Our Governance’ which sets out the governance, systems and
controls applicable to NatWest Group plc and the NWH Sub
Group. Our Governance is made available to all directors and is
reviewed and approved by the Board.
Conflicts of interest
The directors’ conflicts of interest policy sets out procedures to
ensure that the Board’s management of conflicts of interest and
its powers for authorising certain conflicts are operating
effectively. This includes the management of conflicts that may
arise during Board decisions where the interests of NWB Plc
conflict with the interests of other members of NatWest Group.
Directors are required to notify the Board of any situational or
transactional conflict of interest and to update the Board with
any changes to the facts and circumstances surrounding such
conflicts.
Situational conflicts can be authorised by the Board in
accordance with the Companies Act 2006 and the company’s
Articles of Association. The Board considers each request for
authorisation on a case by case basis and has the power to
impose conditions or limitations on any authorisation granted as
part of the process.
Details of all directors’ conflicts of interest are recorded in a
register which is maintained by the Chief Governance Officer and
Company Secretary and reviewed annually by the Board.
The Board
The Board is the main decision-making forum for NWB Plc. The
Board is collectively responsible for the long-term success of
NWB Plc and the delivery of sustainable value to its shareholders.
The Board’s role is to provide leadership of NWB Plc and NWH
Group, with particular focus on customers and employees. It sets
and oversees the strategic direction of the NWH Group. It
reviews and approves the NWB Plc risk management framework
(including the risk appetite framework as a component thereof
(‘Risk Appetite Framework’)) and risk appetite for principal risks
in accordance with the Risk Appetite Framework; and it monitors
performance against risk appetite for NWB Plc.
It considers any material risks and approves, as appropriate,
recommended actions escalated by the NatWest Holdings Board
Risk Committee. It approves NWB Plc’s key financial objectives
and keeps the capital and liquidity positions of NWB Plc under
review.
The Board’s terms of reference include a formal schedule of
matters specifically reserved for the Board’s decision and are
reviewed at least annually. An internal review confirmed the
Board had fulfilled its remit as set out in its terms of reference
during 2024.
There were eight scheduled Board meetings during 2024.
Additional ad hoc meetings of the Board and some of its
committees were held throughout the year to receive updates
Report of the directors continued
NWB Group
Annual Report and Accounts 2024
82
and deal with time-critical matters. There were five additional
Board meetings held in 2024. There were also three strategy
sessions with executive management in 2024, including one ad
hoc.
When directors are unable to attend meetings convened at short
notice, they receive the papers and have the opportunity to
provide their feedback in advance.
At each scheduled Board meeting the directors receive reports
from the Chair, Board committee Chairs, CEO, CFO, Chief Risk
Officer and other members of the executive management team,
as appropriate. Business reviews from the CEOs of the Retail
Banking, Private Banking and Commercial & Institutional
businesses included updates on progress against strategy and
spotlights on current topics including business strategies,
customer trends and trading outlook.
In addition to the business CEOs, a number of other senior
executives attended Board meetings throughout the year to
present reports to the Board. This provided the Board with an
opportunity to engage directly with management on key issues
and supported succession planning.
The Board also welcomed external presenters and advisers to
Board meetings, who provided useful insights and perspectives.
The Board and Group Executive Committee (ExCo) operating
rhythm continues to support a proactive and transparent agenda
planning and paper preparation process. This process includes
the following elements:

Pre- and Post- Board meeting: the Chair, CEO, CFO and
Company Secretary meet in advance of each
Board meeting
to reflect on the previous meeting and discuss the agenda
structure, key items for consideration and guest presenters
for the following meeting.

Executive level meetings: executive review of papers prior to
consideration by the Board and Board committees ensures a
consistent and coordinated approach.

Board meeting: at the end of each Board meeting directors
have an opportunity to provide feedback on the quality of
papers and any areas for future focus.
Having non-executive directors on multiple Board committees
supports effective governance by strengthening co-ordination
and alignment on shared areas of focus, particularly in relation to
audit, risk and remuneration matters.
Board committee members also work together to enhance their
knowledge and understanding of the business through business
visits and teach-ins. In 2024 these included joint Audit and Risk
Committee visits to the Risk, Internal Audit and Finance functions
and an Audit Committee and Sustainable Banking Committee
Financed Emissions teach-in.
Board Committees
The Board has established a number of Board committees with
particular responsibilities. The Audit, Risk, Performance &
Remuneration, and Nominations Committees of NWH Ltd operate
as committees of each of NWH Ltd, NWB Plc and RBS plc, with
meetings running concurrently.
As at the date of this report:
The Audit Committee
comprises six independent non-executive
director members, one of whom is the Board Risk Committee
Chair and two of whom are DINEDs. The committee assists the
Board in discharging its responsibilities in relation to accounting
policies, internal control, and financial reporting functions,
including consideration of any relevant non-financial disclosures
or related controls which may impact the financial statements. It
also reviews accounting reporting and regulatory compliance
standards of internal controls, and monitors processes for
internal audit and external audit.
The
Board Risk Committee
comprises eight independent non-
executive directors, one of whom is the Chair of the Audit
Committee and three of whom are DINEDs. It provides oversight
and advice to the Board in relation to current and potential future
risk exposures, future risk profile, and the approval and
effectiveness of NWB Plc’s Risk Management Framework and
internal controls required to manage risk.
The Performance and Remuneration Committee
(RemCo)
comprises five independent non-executive directors, two of
whom are DINEDs. It assists the NatWest Group plc Performance
and Remuneration Committee with the oversight and
implementation of NatWest Group’s remuneration policy and also
considers and makes recommendations on remuneration
arrangements for senior executives of NWB Plc.
The Nominations Committee
comprises the Chair, Senior
Independent Director and four further independent non-executive
director members. It is responsible for assisting the Board in the
formal selection and appointment of directors. It reviews the
structure, size and composition of the Board, and membership
and chairing of Board Committees.
Executive Committee
The Executive Committee
comprises NWB Plc’s most senior
executives and supports the CEO in managing NWH Group’s
business.
Decisions at all executive level committees, including the
Executive Committee, are made under individual accountability
where decision making authority lies with an individual (who
usually chairs committee meetings) and committee members
support the relevant individual in discharging their
accountabilities.
These committees provide a forum for debate
and challenge of the key issues set out in their terms of reference
with the role of members being to provide input, support and
challenge
the decision maker including whether to recommend
matters to Board committees and the Board.
ExCo considers the delivery of strategy, financials, risk and
customer, colleague and operational issues affecting NWH Group.
Members of the executive management team also have
individual accountabilities for their respective areas of
responsibility and have committees to support them in
discharging these accountabilities.
Integrity of information
All directors receive accurate, timely and clear information on all
relevant matters and have access to the advice and services of
the Chief Governance Officer and Company Secretary. External
advice is provided to the Board as required. In addition, all
directors are able, if necessary, to obtain independent
professional advice at NWB Plc’s expense.
4. Opportunity and risk
The role of the Board is to promote the long-term sustainable
success of NWB Plc.
The Board held three dedicated strategy sessions with the
executive management team in 2024, and additional strategy
updates to the Board during 2024. Within the context of a wider
discussion at NatWest Group level, this provided an opportunity
for the Board to assess opportunities and risks to the future
success of the business, the sustainability of the business model
and how its governance contributes to the delivery of its
strategy.
The Board reviews the effectiveness of the risk management and
internal control systems – including the nature and extent of the
risks taken in pursuit of strategic objectives. The Board also
reviews and approves risk appetite for NWB Plc’s principal risks
in accordance with the NatWest Group risk appetite framework;
monitors performance against risk appetite for NWB Plc; and
considers any material risks and approves, as appropriate,
recommended actions escalated by the Board Risk Committee.
Report of the directors continued
NWB Group
Annual Report and Accounts 2024
83
NWB Plc’s risk strategy is informed and shaped by an
understanding of the risk landscape including the principal risks it
takes in carrying out business activities as well as the risks and
uncertainties arising from the external economic, political and
regulatory environments.
NWB Plc operates within NatWest Group’s integrated enterprise-
wide risk management framework. This is centred around the
embedding of a strong risk culture and is designed to ensure the
tools and capability are in place to facilitate sound risk
management and decision-making. As part of the enterprise-
wide framework NWB Plc complies with NatWest Group’s risk
appetite framework, which is approved annually by the NatWest
Group plc Board. NatWest Group’s risk appetite is set in line with
overall strategy.
Further information on NatWest Group’s integrated enterprise-
wide risk management framework including risk culture, risk
appetite, risk identification, risk measurement and risk mitigation,
as well as NWB Plc risk governance, can be found in the risk and
capital management section of this report (pages 10 to 77).
5. Remuneration
The NatWest Group remuneration policy provides a consistent
policy across all NatWest Group companies and ensures
compliance with regulatory requirements. The remuneration
policy is aligned with the business strategy, objectives, values and
long-term interests of NWB Plc. The policy supports a culture
where individuals are rewarded for delivering sustained
performance in line with risk appetite and for demonstrating the
right conduct and behaviours.
The RemCo reviews remuneration for executives of NWH Ltd
and considers reports on the wider workforce including annual
pay outcomes and diversity information. The RemCo helps to
ensure that the remuneration policies, procedures and practices
being applied are appropriate for NWB Plc.
Executive remuneration structures incentivise individuals to
deliver sustainable performance based on strategic objectives for
NatWest Group and the relevant business area. Performance is
assessed against a balanced scorecard of financial and non-
financial measures and variable pay is subject to deferral as well
as malus and clawback provisions to ensure rewards are justified
in the long-term.
We launched our new performance management framework
Beyond in January 2024, shifting the focus from pay decisions
based on ratings to data-driven reward decisions. Colleague
goals remain set against a balanced scorecard of measures to
support business strategy and strategic purpose. NatWest Group
continues to pay colleagues fairly for the work they do,
supported by simple and transparent pay structures in line with
industry best practices. NatWest Group keeps policies and
processes under review to ensure it does so.
Following targeted action in 2022 and 2023 to support our
colleagues through the cost-of-living crisis, we continued to focus
on rewarding colleagues in a fair, sustainable and transparent
way during 2024. NatWest Group has been an accredited Living
Wage Employer in the UK since 2014 and sets pay levels above
the real living wage rates.
In 2023 we were certified as a Global
Living wage employer, recognising that our rates of pay for our
colleagues outside the UK are at or above the living wage
threshold as defined by the Fair Wage Network. We are currently
going through the re-certification process.
NatWest Group helps colleagues to have an awareness of the
financial and economic factors affecting its performance through
quarterly ‘Results Explained’ communications and Workplace Live
events with the Group CEO and Group CFO.
Further information on the remuneration policy, pay ratios and
employee share plans can be found in the Directors’
remuneration report of the NatWest Group plc 2024 Annual
Report and Accounts. Gender and Ethnicity Pay Gap information
can be found in the Strategic report section of the NatWest
Group plc 2024 Annual Report and Accounts and at
natwestgroup.com, along with the steps being taken to build an
inclusive and engaged workforce.
6. Stakeholder relationships and engagement
In February 2024 the Board approved its annual objectives and
confirmed the Board’s key stakeholder groups – investors,
customers, colleagues, communities, regulators and suppliers.
The Board’s agenda and engagement plans were structured to
enhance the Board’s understanding of these stakeholders’ views
and interests. This in turn has informed Board discussions and
decision-making.
For further information on stakeholder engagement activities
undertaken within NatWest Group which impacted NWH Group,
refer to page 32 to 33 and pages 99 to 101 of the NatWest
Group plc 2024 Annual Report and Accounts, and below under
Additional colleague-related disclosures (workforce engagement
including the Colleague Advisory Panel).
Engagement with Colleagues, Suppliers, Customers and
Others
For further details on the Board’s engagement with colleagues,
customers, suppliers and others, and how these stakeholders’
interests have influenced Board discussions and principal
decisions, refer to page 3 of the Strategic report which includes a
section 172(1) statement and signposts to further information
contained in the NatWest Group plc 2024 Annual Report and
Accounts.
Additional colleague-related disclosures
Informing and consulting colleagues
NatWest Group listens to our colleagues and uses this insight to
attract, engage and retain the best talent for the future.
In 2024,
our colleague listening strategy included: regular colleague
opinion surveys; a Colleague Advisory Panel (CAP) connected
directly with our Board; the Colleague Experience Squad, which
provided feedback on colleague products and services; and
Engage, our social media platform.
We also track metrics and
key performance indicators, which we can benchmark with
sector and high-performing comparisons. Over 50,000 colleagues
(82% participant rate) across all countries and levels participated
in our September 2024 Our View colleague engagement
survey.
(1)
Our results from our September 2024 colleague
engagement survey remained steady and we maintained the
strong position held in 2023. Across all comparable categories,
NatWest Group remains in the top quartile, sitting an average of
eight percentage points above the Global Financial Services
Norm (GFSN) benchmark. While purposeful leadership has
improved, we have work to do in relation to building capability,
relating to the longer-term future focused development of
colleagues, which has fallen back slightly since 2023 and despite
improvements in experimentation; simplification, collaboration,
and efficiency remain flat.
Regular interactions with employee representatives such as trade
unions, elected employee bodies and work councils are a vital
means of transparency and engagement for NatWest Group.
These sessions are frequently used to discuss developments and
updates on the progress of strategic priorities. NatWest Group is
also committed to respecting employees’ rights of freedom of
association across all its business.
In addition, the CAP continues
to be an effective way to strengthen colleague voice, by enabling
two-way discussions on topics important to them. By connecting
colleagues directly with the Board, this deepens our
understanding of colleague sentiment.
(1)
NatWest Group Our View results exclude Ulster Bank RoI.
Report of the directors continued
NWB Group
Annual Report and Accounts 2024
84
The CAP is chaired by Roisin Donnelly, one of our non-executive
directors, and she is joined by at least two additional Board
members in every CAP meeting. CAP membership is refreshed
regularly, and it currently comprises 28 colleagues who are self-
nominated and are representative of the bank’s population e.g.,
business area, grade, location and working pattern. Following
each meeting, a report summarising the main points discussed is
presented at the next Board meeting. Ms Donnelly then updates
CAP members with feedback from the Board discussion. In 2024,
CAP meetings were held in May and November. Topics are
either chosen by CAP or are requested by Board, and in 2024
have included our purpose, our performance management
approach Beyond, responsible artificial intelligence and our
standing annual item: executive and wider workforce
remuneration.
Employment for colleagues with disabilities and long-term
conditions
NatWest Group makes workplace adjustments to support
colleagues with disabilities and long-term conditions to succeed.
If a colleague develops a disability or long-term condition,
NatWest Group will, wherever possible, make adjustments to
support them in their existing job or re-deploy them to a more
suitable alternative job. The NatWest Group Careers site gives
comprehensive insights into NatWest Group jobs, culture,
locations, and application processes. It also hosts a variety of
blog content to portray stories of what it is like to work at
NatWest Group. The company also makes sure that candidates
can easily request reasonable adjustments to support at any
stage of the recruitment process.
Internal control over financial reporting
The internal controls over financial reporting for NWH Group are
managed at NatWest Group level. Any deficiencies identified are
reported to Group Audit Committee along with management’s
remediation plans.
NatWest Group's auditors have audited the effectiveness of
NatWest Group's internal control over financial reporting and
have given an unqualified opinion.
Directors’ interests
Where directors of NWB Plc are also directors of NatWest Group
plc, their interests in the shares of the ultimate holding company
at 31 December 2024 are shown in the Corporate governance,
Annual report on remuneration section of the NatWest Group plc
2024 Annual Report and Accounts. None of the directors held an
interest in the loan capital of the ultimate holding company or in
the shares or loan capital of NWB Plc or any of its subsidiaries,
during the period from 1 January 2024 to 13 February 2025.
Directors' indemnities
In terms of section 236 of the Companies Act 2006 (the
‘Companies Act’), Qualifying Third Party Indemnity Provisions
have been issued by the ultimate holding company to its
directors, members of NWB Plc’s Executive Committee,
individuals authorised by the PRA/FCA and certain directors
and/or officers of NatWest Group’s subsidiaries and trustees of
NatWest Group’s pension scheme.
Going concern
NWB Group’s business activities and financial position, the factors
likely to affect its future development and performance and its
objectives and policies in managing the financial risks to which it
is exposed, and its capital are discussed in the Business review.
NWB Group’s regulatory capital resources and significant
developments in 2024, and anticipated future developments are
detailed in the Capital, liquidity and funding section on pages 57
to 64. This section also describes NWB Group’s funding and
liquidity profile, including changes in key metrics and the build-up
of liquidity reserves.
The directors have prepared the financial statements on a going
concern basis after assessing the principal risks, forecasts,
projections and other relevant evidence over the twelve months
from the date the financial statements are approved.
Political donations
During 2024, no political donations were made in the UK or EU,
nor any political expenditure incurred in the UK or EU.
Directors’ disclosure to auditors
Each of the directors at the date of approval of this report
confirms that:
(a) so far as the director is aware, there is no relevant audit
information of which NWB Plc’s auditors are unaware; and
(b) the director has taken all the steps that he/she ought to have
taken as a director to make himself/herself aware of any relevant
audit information and to establish that NWB Plc’s auditors are
aware of that information.
This confirmation is given and should be interpreted in
accordance with the provisions of section 418 of the Companies
Act.
Auditors
Ernst & Young LLP (EY LLP) are NWB Plc’s auditors and have
indicated their willingness to continue in office. A resolution to re-
appoint EY LLP as NWB Plc’s auditors will be proposed at the
forthcoming Annual General Meeting.
By order of the Board
Jan Cargill
Chief Governance Officer and Company Secretary
13 February 2025
National Westminster Bank Plc
Is registered in England No. 929027
Statement of directors’ responsibilities
NWB Group
Annual Report and Accounts 2024
85
This statement should be read in conjunction with the responsibilities of the auditor set out in their report on pages 87 to 97.
The directors are responsible for the preparation of the Annual Report and Accounts. The directors are required to prepare Group
financial statements, and as permitted by the Companies Act 2006 have elected to prepare company financial statements, for each
financial year in accordance with UK adopted International Accounting Standards. They are responsible for preparing financial
statements that present fairly the financial position, financial performance and cash flows of NWB Group and NWB Plc. In preparing
those financial statements, the directors are required to:

select suitable accounting policies and then apply them consistently;

make judgements and estimates that are reasonable, relevant and reliable; and

state whether applicable accounting standards have been followed, subject to any material departures disclosed and explained in
the financial statements;

prepare the financial statements on a going concern basis unless it is inappropriate to presume that the company and Group will
continue in business.
The directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial
position of NWB Group and to enable them to ensure that the Annual Report and Accounts complies with the Companies Act 2006.
They are also responsible for safeguarding the assets of NWB Plc and NWB Group and hence for taking reasonable steps for the
prevention and detection of fraud and other irregularities.
Under applicable law and regulations, the directors are also responsible for preparing a Strategic report and Directors’ report, that
comply with that law and those regulations. The directors are responsible for the maintenance and integrity of the corporate and
financial information included on the company’s website.
The directors confirm that to the best of their knowledge:

the financial statements, prepared in accordance with UK adopted International Accounting Standards, give a true and fair view of
the assets, liabilities, financial position and profit or loss of the Bank and the undertakings included in the consolidation taken as a
whole; and

the Strategic report and Directors’ report (incorporating the Financial review) includes a fair review of the development and
performance of the business and the position of the Bank and the undertakings included in the consolidation taken as a whole,
together with a description of the principal risks and uncertainties that they face.
By order of the Board
Richard Haythornthwaite
John-Paul Thwaite
Katie Murray
Chair
Chief Executive Officer
Chief Financial Officer
13 February 2025
Board of directors
Chair
Executive directors
Non-executive directors
Richard Haythornthwaite
John-Paul Thwaite
Katie Murray
Francesca Barnes
Ian Cormack
Roisin Donnelly
Patrick Flynn
Geeta Gopalan
Yasmin Jetha
Stuart Lewis
Mark Rennison
Mark Seligman
Gillian Whitehead
Lena Wilson
Financial statements
NWB Group
Annual Report and Accounts 2024
86
Page
Independent auditor’s report
87
Consolidated income statement
98
Consolidated statement of comprehensive income
98
Balance sheet
99
Statement of changes in equity
100
Cash flow statement
102
Accounting policies
103
Notes to the financial statements
1
Net interest income
109
2
Non-interest income
109
3
Operating expenses
110
4
Segmental analysis
112
5
Pensions
115
6
Auditor’s remuneration
121
7
Tax
121
8
Profit/(loss) dealt with in the accounts of the Bank
123
9
Financial instruments - classification
124
10
Financial instruments - valuation
128
11
Financial instruments - maturity analysis
137
12
Derivatives
140
13
Loan impairment provisions
148
14
Investment in Group undertakings
149
15
Other financial assets
150
16
Other assets
150
17
Intangible assets
151
18
Property, plant and equipment
152
19
Other financial liabilities
153
20
Subordinated liabilities
154
21
Other liabilities
155
22
Share capital and reserves
156
23
Structured entities
157
24
Asset transfers
158
25
Capital resources
159
26
Memorandum items
160
27
Analysis of the net investment in business interests and intangible assets
162
28
Non-cash and other items
163
29
Analysis of changes in financing during the year
164
30
Analysis of cash and cash equivalents
164
31
Directors’ and key management remuneration
165
32
Transactions with directors and key management
165
33
Related parties
166
34
Ultimate holding company
168
35
Post balance sheet events
168
36
Related undertakings
169
Independent auditors’ report to the members of National
Westminster Bank Plc
NWB Group
Annual Report and Accounts 2024
87
Opinion
In our opinion:

the financial statements of National Westminster Bank Plc’s (the ‘Bank’) and its subsidiaries (together the ‘Group’) give a true and
fair view of the state of the Group’s and of the Bank’s affairs as at 31 December 2024 and of the Group’s profit for the year then
ended;

the Group financial statements have been properly prepared in accordance with UK adopted International Accounting Standards
(IAS) and International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB);

the Bank financial statements have been properly prepared in accordance with UK adopted IAS as applied in accordance with
section 408 of the Companies Act 2006; and

the financial statements have been prepared in accordance with the requirements of the Companies Act 2006.
We have audited the financial statements of the Group and the Bank for the year ended 31 December 2024 which comprise:
Group
Bank

Consolidated balance sheet as at 31 December 2024;

Consolidated income statement for the year then ended;

Consolidated statement of comprehensive income for the year then
ended;

Consolidated statement of changes in equity for the year then ended;

Consolidated cash flow statement for the year then ended;

Accounting policies;

Related Notes 1 to 36 to the financial statements; and

Risk and capital management section of the Strategic report identified
as ‘audited’.

Balance sheet as at 31 December 2024;

Statement of changes in equity for the year
then ended;

Cash flow statement for the year then ended;

Accounting policies; and

Related Notes 5, 7-22 and 24-36 to the
financial statements.
The financial reporting framework that has been applied in their preparation is applicable law and UK adopted IAS, IFRS as issued by
the IASB, and as regards to the Bank financial statements, as applied in accordance with section 408 of the Companies Act 2006.
Basis for opinion
We conducted our audit in accordance with International Standards on Auditing (UK) (ISAs (UK)) and applicable law. Our responsibilities
under those standards are further described in the Auditor’s responsibilities for the audit of the financial statements section of our
report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Independence
We are independent of the Group and the Bank in accordance with the ethical requirements that are relevant to our audit of the
financial statements in the UK, including the FRC’s Ethical Standard as applied to listed public interest entities, and we have fulfilled our
other ethical responsibilities in accordance with these requirements.
The non-audit services prohibited by the FRC’s Ethical Standard were not provided to the Group or the Bank and we remain
independent of the Group and the Bank in conducting the audit.
Conclusions relating to going concern
In auditing the financial statements, we have concluded that the directors’ use of the going concern basis of accounting in the
preparation of the financial statements is appropriate. Our evaluation of the directors’ assessment of the Group and the Bank’s ability
to continue to adopt the going concern basis of accounting included:

In conjunction with our walkthrough of the Group’s financial close process, we confirmed our understanding of management’s
going concern assessment process and engaged with management early to ensure all key factors were considered in their
assessment;

We evaluated management’s going concern assessment which included assessing their evaluation of long-term business and
strategic plans, capital adequacy, liquidity, and funding positions. Management also assessed these positions considering internal
stress tests which included consideration of principal and emerging risks. The Group’s risk profile and risk management practices
were considered including capital risk, liquidity and funding risk, credit risk, non-traded market risk, pension risk, compliance and
conduct risk, financial crime risk, climate risk, operational risk, model risk, and reputational risk;

With the involvement of specialists, we evaluated management's assessment by considering the Group's ability to continue in
operation and meet its liabilities under different scenarios including the impact of the Group's strategic plans, and the current
uncertain geopolitical and economic outlook;

Considered the results of the Group’s stress testing; and

We reviewed the Group’s going concern disclosures included in the annual report for conformity with the reporting standards.
Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that,
individually or collectively, may cast significant doubt on the Group and the Bank’s ability to continue as a going concern over the
twelve months from the date when the financial statements are authorised for issue.
Independent auditors’ report to the members of National Westminster Bank Plc continued
NWB Group
Annual Report and Accounts 2024
88
Our responsibilities and the responsibilities of the directors with respect to going concern are described in the relevant sections of this
report. However, because not all future events or conditions can be predicted, this statement is not a guarantee as to the Group and
the Bank’s ability to continue as a going concern.
Overview of our audit approach
Audit scope

We performed an audit of the complete financial information of two components and audit procedures on
specific balances for a further two components.

We performed central procedures for certain audit areas and balances as outlined in the Tailoring the scope
section of our report.
Key audit
matters

Expected credit loss provisions

Pension valuation and net pension balance

IT access management

Recognition and impairment of investments in group undertakings in the Bank’s financial statements
Materiality

Overall Group materiality of £237 million which represents 5% of profit before tax of the Group of £4,663
million (2023 - £4,789 million) adjusted for non-recurring conduct and litigation costs.

Bank materiality of £216 million (2023 - £181 million), which is 1% (2023 - 0.8%) of equity of the Bank.
An overview of the scope of the Bank and Group audits
Tailoring the scope
In the current year our audit scoping has been updated to reflect the new requirements of ISA (UK) 600 (Revised). We have followed a
risk-based approach when developing our audit approach to obtain sufficient appropriate audit evidence on which to base our audit
opinion. We performed risk assessment procedures, with input from our component audit teams, to identify and assess risks of
material misstatement of the Group financial statements and identified significant accounts and disclosures. When identifying
components at which audit work needed to be performed to respond to the identified risks of material misstatement of the Group
financial statements, we considered our understanding of the Group and its business environment, the potential impact of climate
change, the applicable financial framework, the Group’s system of internal control at the entity level, the existence of centralised
processes, applications and any relevant internal audit results.
The scoping for the current year is as follows:
Component
Scope
Key locations
Retail Banking
Full
United Kingdom
Commercial & Institutional
Full
United Kingdom
Private Banking
Specific
United Kingdom
Digital X
Specific
United Kingdom
We determined that centralised audit procedures can be performed across the identified components in the following audit areas:
financial control and reporting; modelled expected credit loss provisions; pensions, recognition and impairment of investment in
subsidiaries, information technology; provisions for customer redress, litigation and other regulatory matters; and taxation.
We identified all four components as individually relevant to the Group due to relevant events and conditions underlying the identified
risks of material misstatement of the group financial statements being associated with the reporting components or a pervasive risk of
material misstatement of the group financial statements or a significant risk or an area of higher assessed risk of material
misstatement of the group financial statements being associated with the components.
For those individually relevant components, we identified the significant accounts where audit work needed to be performed at these
components by applying professional judgement, having considered the group significant accounts on which centralised procedures will
be performed, the reasons for identifying the financial reporting component as an individually relevant component and the size of the
component’s account balance relative to the group significant financial statement account balance.
We then considered whether the remaining group significant account balances not yet subject to audit procedures, in aggregate, could
give rise to a risk of material misstatement of the group financial statements. We did not identify additional scope required as we
assessed the residual risk to not be material.
Having identified the components for which work will be performed, we determined the scope to assign to each component. Our
scoping to address the risk of material misstatement for each key audit matter is included in the Key audit matters section of our
report.
The table below illustrates the coverage obtained from the work performed by our audit teams. We considered total assets, total
equity and total income to verify we had appropriate overall coverage.
Full scope
(1)
Specific scope
(2)
Specified procedures
(3)
Total assets
83%
16%
0%
Total equity
78%
22%
0%
Total income
77%
20%
0%
(1)
Full scope: audit procedures on all significant accounts.
(2)
Specific scope: audit procedures on selected accounts.
(3)
Specified procedures: audit procedures as designed by the Group audit team.
Independent auditors’ report to the members of National Westminster Bank Plc continued
NWB Group
Annual Report and Accounts 2024
89
The audit scope of the specific scope components may not have included testing of all significant accounts within the components.
However, the testing will have contributed to the total coverage of significant accounts tested for the overall Group.
Involvement with component audit teams
In establishing our overall approach to the Group audit, we determined the type of work that needed to be undertaken at each of the
components by us, as the Group audit engagement team, or by component audit teams operating under our instruction.
The Group audit engagement team interacted regularly with the component audit teams where appropriate throughout the course of
the audit, which included holding planning meetings, maintaining regular communications on the status of the audits, reviewing key
working papers and taking responsibility for the scope and direction of the audit process. The Group audit team continued to follow a
programme of oversight that has been designed to ensure that the Senior Statutory Auditor, or another Group audit partner, has
ongoing interactions with all in scope locations, including those outside the United Kingdom. The Group audit team interacted regularly
with the component audit teams and maintained a continuous and open dialogue, as well as holding formal closing meetings quarterly,
to ensure that the Group audit team were fully aware of their progress and results of their procedures. The Group audit team also
reviewed key working papers and were responsible for the scope and direction of the audit process. Where relevant, the section on
key audit matters details the level of involvement we had with component auditors to enable us to determine that sufficient audit
evidence had been obtained as a basis for our opinion on the Group as a whole. This, together with the additional procedures
performed at Group level, gave us appropriate evidence for our opinion on the Group financial statements.
Climate change
Stakeholders are increasingly interested in how climate change will impact the Group. The Group has determined that the most
significant future impacts from climate change on its operations will be from credit risk, operational risk and reputational risk. These
are explained in the Climate and nature risk section within the Risk and capital management section in the Strategic Report, which
forms part of the “Other information,” rather than the audited financial statements. Our procedures on these unaudited disclosures
therefore consisted solely of considering whether they are materially inconsistent with the financial statements, or our knowledge
obtained in the course of the audit or otherwise appear to be materially misstated, in line with our responsibilities on “Other
information”.
In planning and performing our audit we assessed the potential impacts of climate change on the Group’s business and any
consequential material impact on its financial statements.
The Group has explained in Accounting policies how they have reflected the impact of climate change in their financial statements, and
the significant judgements and estimates relating to climate change. The Group notes that many of the impacts will be longer term in
nature, with an inherent level of uncertainty, and have limited effect on accounting judgements and estimates for the current period
under the requirements of UK adopted IAS and IFRS as issued by the IASB. The Group has also explained within the Credit Risk section
within the Risk and capital management section, their approach to quantifying the impact of climate transition policy within
macroeconomic variables used in the calculation of expected credit losses.
Our audit effort in considering the impact of climate change on the financial statements was focused on evaluating the Group’s
assessment of the impact of climate risk, their climate commitments and the significant judgements and estimates disclosed in
Accounting policies, and whether these have been appropriately reflected in the asset values where these are impacted by future cash
flows, and in the timing and nature of liabilities recognised following the requirements of UK adopted IAS and IFRS as issued by the
IASB. As part of this evaluation, we performed our own risk assessment, supported by our climate change and economic specialists, to
determine the risk of material misstatement in the financial statements from climate change which needed to be considered in our
audit.
We also evaluated the Directors’ considerations of climate change risks in their assessment of going concern and associated
disclosures.
Based on our work, whilst we have not identified the impact of climate change on the financial statements to be a standalone key
audit matter, we have considered the impact within the key audit matter for expected credit loss provisions and Recognition and
impairment of investments in group undertakings in the Bank’s financial statements. Details of our procedures and findings are
included in our explanation of key audit matters below.
Key audit matters
Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial
statements of the current period and include the most significant assessed risks of material misstatement (whether or not due to fraud)
that we identified. These matters included those which had the greatest effect on: the overall audit strategy, the allocation of
resources in the audit; and directing the efforts of the engagement team. These matters were addressed in the context of our audit of
the financial statements as a whole, and in our opinion thereon, and we do not provide a separate opinion on these matters.
Independent auditors’ report to the members of National Westminster Bank Plc continued
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Annual Report and Accounts 2024
90
Risk
Our response to the risk
Expected credit loss (ECL) provisions
At 31 December 2024 the Group reported
total gross loans – amortised cost and fair
value through other comprehensive
income (FVOCI) of £341.7 billion (2023 -
£326.7 billion) and £2.8 billion of expected
credit losses (ECL) (2023 - £2.9 billion).
Management’s judgements and estimates
are especially subjective due to significant
uncertainty associated with the
assumptions used. These include the
impacts of continuing uncertain geopolitical
and economic outlook.
Aspects with
increased complexity and judgements in
respect of the timing and measurement of
ECL include:

Staging
–
Completeness and
accuracy of allocation of assets
into stage 1, 2 and 3 using
criteria in accordance with IFRS
9.

Models and model assumptions
–
Appropriateness of accounting
interpretations, modelling
assumptions and data used to
calculate the ECL, including
Probability of Default (PD), Loss
Given Default (LGD) and
Exposure at Default (EAD). There
is also complexity in assessing the
adequacy of model performance
in the current and forecasted
economic environment.

Economic scenarios
-
Inputs,
assumptions and weightings used
to estimate the impact of multiple
economic scenarios truly reflect
the current macro-economic
environment and are
incorporated in the ECL
appropriately as at 31 December
2024.

Post-model adjustments (PMAs
)
-
Completeness and valuation of
post-model adjustments which
represent approximately 10% of
total ECL (2023 - 13%), including
adjustments required to address
the limitation of models to
adequately incorporate the risks
of inflation, elevated interest
rates, and other geopolitical and
economic uncertainties, and the
identification of vulnerable
customers with higher risks of
defaults than currently reflected;
and
Controls testing
- We evaluated the design and operating effectiveness of controls over
the ECL process, including those over management’s judgements and estimates. These
controls, among others, covered:

the staging of assets per management’s criteria, and their monitoring of stage
effectiveness

model governance including development, monitoring and independent validation

input data accuracy and completeness

credit monitoring

the review and challenge of multiple economic scenarios approved

the governance and management review of post-model adjustments; and

the assessment and approval of individual provisions.
Overall assessment
- We performed an overall assessment of the ECL provision levels
by stage to determine if they were reasonable by performing peer benchmarking and
sensitivity analysis, to assess the impact of changing selected key assumptions on the
ECL provision, taking into consideration the current macroeconomic environment.
Staging
-
We evaluated the criteria used to allocate a financial asset to stage 1, 2 or 3
in accordance with IFRS 9. We recalculated the staging of the complete population of
assets based on management’s criteria and performed sensitivity analysis to assess
the impact of different criteria on the ECL and the impact of selected collective staging
downgrades to industries, geographic regions and high-risk populations that are
exposed to recent economic, political or climate change stresses.
On the non-personal portfolio, we tested credit monitoring which drives the probability
of default estimates used in the staging calculation, we recalculated the risk ratings for
a sample of performing loans and focused our testing on high-risk industries, such as
commercial real estate, telecommunications, private markets, automotive, health,
power utilities, retail and leisure.
Models and model assumptions
- We selected a sample of models based on both
quantitative and qualitative factors. We involved EY modelling specialists to test the
assumptions, inputs, methodology and model build. This included a combination of
assessing model design and formulae, alternative modelling techniques, recalculating
the PD, LGD and EAD, and implementation of new models during the year. We also
considered the results of the Group’s internal model monitoring and validation results.
To evaluate data quality, we agreed a sample of key data points to source systems,
including data used to run the models and historic loss data to monitor models. We also
tested the ECL data reconciliations from the calculation engine through to the general
ledger and disclosures.
Economic scenarios
- We involved EY economic specialists to assist us in evaluating the
base case and alternative economic scenarios, including evaluating probability weights.
This assessment included the impacts of the current geopolitical and economic
environment, as well as the impacts of climate change on the economic variables.
We
assessed whether forecasted macroeconomic variables such as GDP, unemployment
rate, Consumer Price Index, UK Stock Price Index, Bank of England base rates and the
House Price Index were appropriate. With the support of our credit modelling
specialists, we evaluated the correlation and translation of the macroeconomic factors,
including the impacts of alternative paths or weights to ECL.
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Annual Report and Accounts 2024
91
Risk
Our response to the risk
Expected credit loss (ECL) provisions continued

Individual provisions
- Measurement of
individual provisions including the
assessment of multiple scenarios and
probability weights, the impact of the
current uncertain geopolitical and
economic outlook on exit or recovery
strategies, collateral valuations, and time
to collect.
Post-Model Adjustments (PMAs)
– We, along with our modelling and economic
specialists, tested the appropriateness, adequacy and completeness of the PMAs
held at year end in response to model and data limitations. This included challenging
management’s identification of retail customers vulnerable to price and rate
increases, commercial sub-sectors susceptible to inflation and liquidity challenges,
loss given default assumptions, and time to collect. We have also challenged the
continued recognition of PMAs from previous years, by checking the latest default
trends in specific cohorts. We also assessed the use of PMAs against the risk of
double counting of either certain portfolios/customers or identified risks.
Individual provisions
- We recalculated and challenged the scenarios, assumptions,
and cash flows for a sample of individual provisions including the alternative
scenarios and probability weights assigned, involving EY valuation specialists where
appropriate. The samples considered higher risk sectors, such as commercial real
estate, telecommunications, automotive, health, power utilities, retail and leisure. We
considered the impact of the current geopolitical and economic outlook and climate
change had on collateral valuations and time to collect as well as whether planned
exit strategies remained viable.
How we scoped our audit to respond to the risk and involvement with component teams
We performed centralised procedures, full scope and specific scope audit procedures over this risk, which covered 100% of the risk
amount.
The majority of audit procedures were undertaken by the Group audit team for the components, with component audit teams
supporting and reporting on the following audit procedures:
−
Specific key data testing impacting the ECL calculation, and the credit risk disclosures;
−
Procedures over the valuation of a sample of individual provisions for cases managed outside of central restructuring; and
−
Procedures over the valuation of a sample of individual loans not identified as impaired.
The Group audit team’s involvement with the component teams and procedures performed included:

Risk assessment procedures and determining the type and extent of work to be undertaken at each of the components;

Regular interactions throughout the course of the audit, including planning meetings, maintaining regular communications on the
status, and meetings on results and conclusions; and

Reviewing key working papers and taking responsibility for the scope and direction of the audit process.
Key observations communicated to the NatWest Holdings (NWH) Group Audit Committee
(1)
We are satisfied that the ECL provisions were reasonable and recognised in accordance with IFRS 9. We highlighted the following
matters to the NWH Group Audit Committee that contributed to our overall conclusion:

Effectiveness of the overall control environment, including the compensating controls identified by management, where
deficiencies were identified.

Results of our testing of models, model assumptions, the key data elements used for ECL calculation, including the
reasonableness of the macroeconomic variables, scenarios and weightings used.

Accuracy of staging and the reasonableness of management’s staging criteria, and our independent sensitivity analysis on the
staging criteria to assess appropriateness.

Reasonableness and adequacy of the post-model adjustments recorded to reflect risk in the portfolios.

Individually assessed impairments, the overall reasonableness of the provisions, including assumptions applied.
Relevant references in the Annual Report and Accounts
Credit Risk section of the Risk and capital management section identified as ‘audited’
Accounting policies
Note 13 to the financial statements
(1)
The NWH Group Audit Committee covers the ring-fenced bank legal entities of NatWest Group plc, including National Westminster Bank Plc.
Independent auditors’ report to the members of National Westminster Bank Plc continued
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Annual Report and Accounts 2024
92
Risk
Our response to the risk
Pension valuation and net pension balance
The Group operates a number of defined benefit
schemes which in aggregate are significant in the
context of the overall balance sheet. At 31
December 2024, the Group reported a net pension
liability of £37 million (2023 - £32 million) comprising
£4 million of schemes in surplus and £41 million of
schemes in deficit (2023 - £5 million and £37 million,
respectively). The net pension balance is sensitive to
changes in the key judgements and estimates,
including the effects of the current uncertain
geopolitical and economic outlook and associated
market volatility, which include:
Assumptions
-
Actuarial assumptions and inputs
including discount rate, inflation, pension payments
and longevity to determine the valuation of
retirement benefit liabilities;
Valuations
-
Pricing inputs and calibrations for illiquid
or complex model-dependent valuations of certain
investments held by the schemes;
Funding
– the pension schemes have adequate
liquidity to cover for any shortfall in derivative asset
prices as a result of current economic conditions;
and
Augmentation cap
-
Quantification of trustees’ rights
to unilaterally augment benefits (Augmentation cap)
to determine the recognition of surplus.
Controls testing
-
We evaluated the design and operating effectiveness of
controls over the defined benefit obligation process including the setting of
actuarial assumptions, the data inputs used in the actuarial calculation and
the measurement of the fair value of the schemes’ assets.
Assumptions
-
We involved our actuarial specialists to evaluate the
actuarial assumptions used to calculate the defined benefit obligation by
comparing them to ranges independently developed from third party
sources and market practice. We assessed the impact on pension liabilities
due to changes in financial, demographic and longevity assumptions over
the year, and whether these were supported by objective external
evidence and rationales, including the effects of current uncertain
geopolitical and economic outlook, including market volatility.
Valuations
- We tested the fair value of scheme assets by independently
calculating the fair value for a sample of the assets held. Our sample
included cash, equity and debt instruments, derivative financial
instruments, and illiquid assets. We involved our valuation specialists to
assess the appropriateness of management’s valuation methodology used
in the valuation of the complex, illiquid and buy-in insurance assets
including the judgements made in the determining significant assumptions
used.
We independently re-priced illiquid and complex assets that had been
valued using unobservable market inputs, using alternative pricing sources
where available, to evaluate management’s valuations.
Funding
–
We assessed whether the pension schemes have adequate
funding to cover for any shortfall in derivative asset prices given the
current economic conditions.
Augmentation cap and equalisation adjustments
- We involved our
actuarial specialists to assess the estimation of the Augmentation cap
including the inputs used in the calculation. We also assessed the
methodology and judgements made in calculating these estimates and the
associated accounting treatment in accordance with IAS 19 and IFRIC 14.
Disclosure
-
We assessed the adequacy of the disclosures made in the
financial statements, including the appropriateness of the assumptions,
sensitivities and disclosures over investment strategy and risk
management.
How we scoped our audit to respond to the risk and involvement with component teams
We performed full scope audit procedures over this risk, undertaken by the Group audit team, which covered 100% of the risk
amount.
Key observations communicated to the NWH Group Audit Committee
We are satisfied that the valuation and disclosure of the net pension balance are reasonable and in accordance with IFRS. We
highlighted the following matters to the NWH Group Audit Committee:

Our benchmarking of key actuarial assumptions including the discount rate, inflation, longevity and pension payments
concluded that assumptions were within a reasonable range.

No material differences were identified from our testing including our independent valuation testing for a sample of
pension assets.

Management’s accounting for the buy-in transactions during the year was appropriate.

Management’s estimate of the impact of the augmentation cap was reasonable and the methodology consistent with
IAS 19 and IFRIC 14.
Relevant references in the Annual Report and Accounts
Accounting policies
Note 5 to the financial statements
Independent auditors’ report to the members of National Westminster Bank Plc continued
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Annual Report and Accounts 2024
93
Risk
Our response to the risk
IT access management
The IT environment is complex and pervasive to
the operations of the Group due to the large
volume of transactions processed in numerous
locations daily, with extensive reliance on
automated controls.
Appropriate IT controls are
required to ensure that applications process
data as expected and that changes are made in
an appropriate manner. This risk is also
impacted by the growing dependency on third
parties, increasing use of cloud platforms,
decommissioning of legacy systems, and
migration to new systems. Such controls
contribute to mitigating the risk of potential
fraud or errors as a result of changes to
applications and data.
The Group has implemented user access
management controls across IT applications,
databases and operating systems. We have
identified user access-related deficiencies in the
past and similar thematic issues have been noted
in the current year, and thus the risk of
inappropriate access remains.
We evaluated the design and operating effectiveness of IT general controls
over the applications, operating systems and databases that are relevant to
financial reporting.
We tested user access by assessing the controls in place for in-scope
applications, in particular testing the addition and periodic recertification of
users’ access. We continue to focus on key controls enforced by the Group’s
user access management tools, including ensuring the completeness of user
data, automated identification of movers and leavers and the adequacy of the
overall control environment in addressing access-related IT risks to financial
reporting. There have been no significant changes in the suite of access
management controls operated by the Group in the current year.
For systems outsourced to third party service providers, we tested IT general
controls through evaluating the relevant Service Organisation Controls (“SOC”)
reports (where available). This included assessing the timing of the reporting,
the controls tested by the service auditor and whether they addressed relevant
IT risks. We also tested required complementary user entity controls performed
by management.
Where a SOC report was not available, we identified and
reviewed compensating business controls to address risks to financial
reporting.
Several systems have been migrated to a cloud-hosted
infrastructure model, however access management processes and controls
remained in-house, and they formed part of our testing.
Where control deficiencies were identified, we tested remediation activities
performed by management and/or compensating controls in place and
assessed the impact, of any residual risk over financial statement reporting. We
also performed a further aggregation analysis of access management
deficiencies identified by EY, management, and Internal Audit to consider the
pervasiveness of findings identified, and the impact on our overall approach to
access management testing. We noted that no further changes to our
approach were required.
How we scoped our audit to respond to the risk and involvement with component teams
All audit work performed to address this risk was undertaken by the Group audit team.
Key observations communicated to the NWH Group Audit Committee
Based on our testing procedures, including validating management’s remediation activities, and testing of compensating controls,
we are satisfied that reliance can be placed upon IT controls impacting material financial reporting systems. The following matters
were reported to the NWH Group Audit Committee:

Overall, in combination with compensating controls, we are satisfied that the Group’s overall IT control environment
appropriately supports the financial reporting process.

While improvements have been made to further standardise IT access management processes and controls, there are still
IT applications relevant to financial reporting which make use of bespoke tools and/or processes to perform access-
related controls. Control deficiencies continued to be observed in these areas, which led to an increase in the overall
number of reported IT control deficiencies requiring remediation by management.
Independent auditors’ report to the members of National Westminster Bank Plc continued
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Annual Report and Accounts 2024
94
Risk
Our response to the risk
Recognition and impairment of investments in group undertakings in the Bank’s accounts.
At 31 December 2024 the Bank reported
investments in group undertakings of £2.5
billion (2023 - £2.6 billion).
Management assessed investments in
subsidiaries of the Bank, as at 31 December
2024, for indicators of impairment or that
impairment charges recognised in prior
periods should be reversed in accordance
with IAS 36. Where indicators have been
identified, management assess any asset
impairment based upon value in use. As a
result of the assessment management
concluded that in the Bank’s accounts the
carrying amount investments in group
undertakings is recoverable.
These estimates are based on the five-year
revenue and cost forecasts and the output
of a subsequent value in use computation,
within which we identify the following key
judgements / estimates:

Profitability estimates

Macroeconomic assumptions;

Capital forecasts; and

Modelling assumptions and inputs
(including discount rate and long-term
growth rate).
Controls testing
- We evaluated the design and operating effectiveness of controls over
the key judgemental inputs (macroeconomic assumptions including interest rates,
business forecasts and capital). In addition, we have assessed the controls over the
methodology, models and methods utilised in the Value in Use (VIU) calculation.
Assumption and model testing:

Tested the mathematical accuracy of the models and calculations utilised in the VIU
computation.

Challenged the reasonableness and achievability of management forecasts from a
combination of historical performance, benchmarking with external data and
evaluating underlying business strategies.

Engaged specialists to evaluate the appropriateness of significant assumptions
(macroeconomic, modelling assumptions and inputs).

Assessed the sensitivity of the VIU to reasonable variations in significant
assumptions, both individually and in aggregate.
Disclosure
- We challenged and verified the adequacy of the information disclosed in the
Bank’s annual accounts in accordance with applicable standards and regulations.
How we scoped our audit to respond to the risk and involvement with component teams
Procedures performed to respond to this risk were undertaken by the Group audit team, which covered 100% of the risk amount
pertaining to the Bank.
Key observations communicated to the NWH Group Audit Committee

We are satisfied that the carrying value of investments in group undertakings in the Bank’s accounts were reasonable and
recognised in accordance with IFRS. We highlighted the following matters to the NWH Group Audit Committee that contributed to
our overall conclusion:

Effectiveness of the overall control environment, including management’s identification of compensating controls where deficiencies
were identified;

Reasonableness of the methodologies, judgements and assumptions used by management to conclude upon the recognition of the
related balances;

Management's approach to estimating the recoverable amounts for the subsidiaries of the Group is reasonable.
Relevant references in the Annual Report and Accounts
Accounting policies
Note 14 to the financial statements
In the prior year, our auditor’s report included a key audit matter in relation to provisions for customer redress, litigation and other
regulatory matters. We did not consider this to be a key audit matter in the current year due to the resolution of several matters,
reducing the assessed risk and audit effort. Further, we have refined one of the key audit matters in the current year, to now exclude
the recognition of deferred tax assets due to the reduced sensitivity of the recognised asset to the underlying forecast.
Independent auditors’ report to the members of National Westminster Bank Plc continued
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Annual Report and Accounts 2024
95
Our application of materiality
We apply the concept of materiality in planning and performing the audit, in evaluating the effect of identified misstatements on the
audit and in forming our audit opinion.
Materiality
The magnitude of an omission or misstatement that, individually or in the aggregate, could reasonably be expected to influence the
economic decisions of the users of the financial statements. Materiality provides a basis for determining the nature and extent of our
audit procedures.
We determined materiality for the Group to be £237 million (2023 - £246 million), which is 5% (2023 - 5%) of profit before tax of the
Group of £4,663 million (2023 - £4,789 million) adjusted for non-recurring conduct and litigation costs. We believe removing these non-
recurring charges reflects the most useful measure for users of the financial statements and is consistent with the prior year. The 5%
basis used for Group materiality is consistent with the wider industry and is the standard for listed and regulated entities.
We determined materiality for the Bank to be £216 million (2023 - £181 million), which is 1% (2023 - 0.8%) of equity of the Bank. We
believe this reflects the most useful measure for users of the financial statements as the Bank’s primary purpose is to act as a holding
company with investments in the Group’s subsidiaries, not to generate operating profits and therefore a profit-based measure is not
relevant.
Performance materiality
The application of materiality at the individual account or balance level. It is set at an amount to reduce to an appropriately low level the
probability that the aggregate of uncorrected and undetected misstatements exceeds materiality.
On the basis of our risk assessments, together with our assessment of the Group’s overall control environment, our judgement was
that performance materiality was 75% (2023 - 75%) of our planning materiality, namely £178 million (2023 - £185 million). We have
based the percentage of performance materiality on a number of considerations, including the number and amount of identified
misstatements, the effectiveness of the control environment and other factors affecting the entity and its financial reporting.
Audit work was undertaken at component teams for the purpose of responding to the assessed risks of material misstatement of the
group financial statements. The performance materiality set for each component is based on the relative scale and risk of the
component to the Group as a whole and our assessment of the risk of misstatement at that component. In the current year, the range
of performance materiality allocated to components was £68 million to £159 million (2023 - £102 million to £162 million).
Reporting threshold
An amount below which identified misstatements are considered as being clearly trivial.
We agreed with the NWH Audit Committee that we would report to them all uncorrected audit differences in excess of £12 million
(2023 - £12 million), which is set at 5% of planning materiality, as well as differences below that threshold that, in our view, warranted
reporting on qualitative grounds.
We evaluate any uncorrected misstatements against both the quantitative measures of materiality discussed above and in light of
other relevant qualitative considerations in forming our opinion.
Other information
The other information comprises the information included in the Annual Report and Accounts, including the Strategic report, Report of
the directors, Statement of directors’ responsibilities, Risk factors, and Forward-looking statements, other than the financial statements
and our auditor’s report thereon. The directors are responsible for the other information contained within the annual report.
Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in
this report, we do not express any form of assurance conclusion thereon.
Our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent
with the financial statements or our knowledge obtained in the course of the audit or otherwise appears to be materially misstated. If
we identify such material inconsistencies or apparent material misstatements, we are required to determine whether this gives rise to
a material misstatement in the financial statements themselves. If, based on the work we have performed, we conclude that there is a
material misstatement of the other information, we are required to report that fact.
We have nothing to report in this regard.
Opinions on other matters prescribed by the Companies Act 2006
In our opinion, based on the work undertaken in the course of the audit:

the information given in the Strategic report and the Report of the directors for the financial year for which the financial statements
are prepared is consistent with the financial statements; and

the Strategic report and Report of the directors have been prepared in accordance with applicable legal requirements;
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Annual Report and Accounts 2024
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Matters on which we are required to report by exception
In the light of the knowledge and understanding of the Group and the Bank and its environment obtained in the course of the audit, we
have not identified material misstatements in the Strategic report or the Report of the directors.
We have nothing to report in respect of the following matters in relation to which the Companies Act 2006 requires us to report to you
if, in our opinion:

adequate accounting records have not been kept by the Bank, or returns adequate for our audit have not been received from
branches not visited by us; or

the Bank financial statements are not in agreement with the accounting records and returns; or

certain disclosures of directors’ remuneration specified by law are not made; or

we have not received all the information and explanations we require for our audit.
Responsibilities of directors
As explained more fully in the Statement of directors’ responsibilities, the directors are responsible for the preparation of the financial
statements and for being satisfied that they give a true and fair view, and for such internal control as the directors determine is
necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.
In preparing the financial statements, the directors are responsible for assessing the Group and Bank’s ability to continue as a going
concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the
directors either intend to liquidate the Group or the Bank or to cease operations, or have no realistic alternative but to do so.
Auditor’s responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material
misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high
level of assurance but is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material
misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the
aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial
statements.
Explanation as to what extent the audit was considered capable of detecting irregularities,
including fraud
Irregularities, including fraud, are instances of non-compliance with laws and regulations. We design procedures in line with our
responsibilities, outlined above, to detect irregularities, including fraud. The risk of not detecting a material misstatement due to fraud is
higher than the risk of not detecting one resulting from error, as fraud may involve deliberate concealment by, for example, forgery or
intentional misrepresentations, or through collusion. The extent to which our procedures are capable of detecting irregularities,
including fraud is detailed below.
However, the primary responsibility for the prevention and detection of fraud rests with both those charged with governance of the
company and management.

We obtained an understanding of the legal and regulatory frameworks that are applicable to the Group and determined that the
most significant are the regulations, licence conditions and supervisory requirements of the Prudential Regulation Authority (PRA)
and the Financial Conduct Authority (FCA); and Companies Act 2006.

We understood how the Group is complying with those frameworks by making inquiries of management, internal audit and those
responsible for legal and compliance matters. We also reviewed correspondence between the Group and banking regulatory bodies
in relevant jurisdictions; reviewed minutes of the NWH Board and Risk Committees; and gained an understanding of the Group’s
governance framework.

Conducted a review of correspondence with (and reports from) the banking regulators in relevant jurisdictions, including the PRA
and the FCA.

Carried out an assessment of matters reported on the Group’s whistleblowing programmes where these related to the financial
statements.

We assessed the susceptibility of the Group’s financial statements to material misstatement, including how fraud might occur by
considering the controls established to address risks identified to prevent or detect fraud. We also assessed the risks of fraud in our
key audit matters. Our procedures over our key audit matters and other significant accounting estimates included challenging
management on the assumptions and judgements made in determining these estimates.

We designed our audit procedures to identify non-compliance with such laws and regulations. Our procedures involved inquiries of
internal and external legal counsel, executive management, internal audit and reading reports of reviews performed by external
legal counsel. We also tested controls and performed procedures to respond to any financial statement impacts of non-compliance
with laws and regulations. These procedures were performed by both the Group audit team and component audit teams with
oversight from the Group audit team.

Identified and tested journal entries, including those posted with certain descriptions or unusual characteristics, backdated journals
or posted by infrequent and unexpected users.

The Group operates in the banking industry which is a highly regulated environment. As such, the Senior Statutory Auditor
considered the experience and expertise of the engagement team to ensure that the team had the appropriate competence and
capabilities, involving specialists where appropriate.
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A further description of our responsibilities for the audit of the financial statements is located on the
Financial Reporting Council’s website at https://www.frc.org.uk/auditorsresponsibilities. This description forms part of our auditor’s
report.
Other matters we are required to address

Following the recommendation from the NWH Group Audit Committee, we were appointed by the Group at its annual general
meeting on 4 May 2016 to audit the financial statements of the Group for the year ending 31 December 2016 and subsequent
financial periods.

The period of total uninterrupted engagement including previous renewals and reappointments is 9 years, covering periods from
our appointment through 31 December 2024.

The audit opinion is consistent with the additional report to the NWH Group Audit Committee.
Use of our report
This report is made solely to the company’s members, as a body, in accordance with Chapter 3 of Part 16 of the Companies Act
2006.
Our audit work has been undertaken so that we might state to the company’s members those matters we are required to state
to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume
responsibility to anyone other than the company and the company’s members as a body, for our audit work, for this report, or for the
opinions we have formed.
Javier Faiz (Senior statutory auditor)
for and on behalf of Ernst & Young LLP, Statutory Auditor
London, United Kingdom
13 February 2025
Consolidated income statement
For the year ended 31 December 2024
NWB Group
Annual Report and Accounts 2024
98
2024
2023
Note
£m
£m
Interest receivable
18,100
14,764
Interest payable
(9,892)
(6,741)
Net interest income
1
8,208
8,023
Fees and commissions receivable
2,276
2,177
Fees and commissions payable
(542)
(508)
Other operating income
2,031
2,394
Non-interest income
2
3,765
4,063
Total income
11,973
12,086
Staff costs
(3,301)
(3,109)
Premises and equipment
(1,099)
(1,039)
Other administrative expenses
(1,576)
(1,768)
Depreciation and amortisation
(987)
(877)
Operating expenses
3
(6,963)
(6,793)
Profit before impairment losses
5,010
5,293
Impairment losses
13
(347)
(504)
Operating profit before tax
4,663
4,789
Tax charge
7
(1,238)
(1,280)
Profit for the year
3,425
3,509
Attributable to:
Ordinary shareholders
3,237
3,368
Paid-in equity holders
194
142
Non-controlling interests
(6)
(1)
3,425
3,509
Consolidated statement of comprehensive income
For the year ended 31 December 2024
2024
2023
£m
£m
Profit for the year
3,425
3,509
Items that do not qualify for reclassification
Remeasurement of retirement benefit schemes
(150)
(147)
Tax
39
40
(111)
(107)
Items that do qualify for reclassification
FVOCI financial assets
(28)
43
Cash flow hedges
(1)
405
(290)
Currency translation
(18)
(17)
Tax
(107)
73
252
(191)
Other comprehensive income/(loss) after tax
141
(298)
Total comprehensive income for the year
3,566
3,211
Attributable to:
Ordinary shareholders
3,377
3,070
Paid-in equity holders
194
142
Non-controlling interests
(5)
(1)
3,566
3,211
(1)
Refer to footnotes 2 and 3 of the Statement in changes in equity.
Balance sheet
As at 31 December 2024
NWB Group
Annual Report and Accounts 2024
99
NWB Group
NWB Plc
2024
2023
2024
2023
Note
£m
£m
£m
£m
Assets
Cash and balances at central banks
9
35,095
48,259
35,083
48,238
Derivatives
12
2,874
3,184
2,892
3,213
Loans to banks - amortised cost
9
3,426
3,355
3,148
3,043
Loans to customers - amortised cost
9
332,013
318,466
297,548
284,314
Amounts due from holding companies and fellow subsidiaries
9
3,736
2,311
36,383
33,499
Securities subject to repurchase agreements
8,984
6,469
8,984
6,469
Other financial assets excluding securities subject to repurchase agreements
30,587
25,475
29,814
24,623
Other financial assets
15
39,571
31,944
38,798
31,092
Investment in group undertakings
14
-
-
2,520
2,615
Other assets
16
7,594
7,949
5,503
5,735
Total assets
424,309
415,468
421,875
411,749
Liabilities
Bank deposits
9
24,780
18,052
24,778
18,052
Customer deposits
9
318,290
313,752
275,972
276,202
Amounts due to holding companies and fellow subsidiaries
9
47,724
47,252
90,925
84,174
Derivatives
12
1,177
1,718
1,323
2,014
Other financial liabilities
19
4,999
9,011
3,824
8,147
Subordinated liabilities
20
122
122
119
119
Notes in circulation
935
806
935
806
Other liabilities
21
3,164
3,325
2,390
2,534
Total liabilities
401,191
394,038
400,266
392,048
Owners' equity
22
23,093
21,395
21,609
19,701
Non-controlling interests
25
35
-
-
Total equity
23,118
21,430
21,609
19,701
Total liabilities and equity
424,309
415,468
421,875
411,749
Owners’ equity of NWB Plc as at 31 December 2024 includes the profit for the year of £3,613 million (2023 - £3,625 million).
The accounts were approved by the Board of directors on 13 February 2025 and signed on its behalf by:
Richard Haythornthwaite
John-Paul Thwaite
Katie Murray
National Westminster Bank Plc
Chair
Chief Executive Officer
Chief Financial Officer
Registration No. 929027
Statement of changes in equity
For the year ended 31 December 2024
NWB Group
Annual Report and Accounts 2024
100
NWB Group
NWB Plc
2024
2023
2024
2023
Note
£m
£m
£m
£m
Called-up share capital - at 1 January and 31 December
22
1,678
1,678
1,678
1,678
Paid-in equity - at 1 January
2,518
2,518
2,518
2,518
Issued
799
-
799
-
At 31 December
22
3,317
2,518
3,317
2,518
Share premium account - at 1 January and 31 December
2,225
2,225
2,225
2,225
Merger reserve - at 1 January
28
77
-
(2)
Amortisation
(18)
(49)
-
2
At 31 December
10
28
-
-
FVOCI reserve - at 1 January
(41)
(76)
(52)
(76)
Unrealised losses
(46)
-
(52)
(11)
Realised losses
18
43
32
43
Tax
6
(8)
6
(8)
At 31 December
(63)
(41)
(66)
(52)
Cash flow hedging reserve - at 1 January
(600)
(391)
(601)
(393)
Amount recognised in equity
(2)
119
(180)
125
(180)
Amount transferred from equity to earnings
(3)
286
(110)
283
(109)
Tax
(113)
81
(114)
81
At 31 December
(308)
(600)
(307)
(601)
Foreign exchange reserve - at 1 January
(104)
(87)
(18)
(18)
Retranslation of net assets
(44)
(31)
(28)
(12)
Foreign currency gains on hedges of net assets
25
14
16
12
At 31 December
(123)
(104)
(30)
(18)
Capital redemption reserve - at 1 January and 31 December
820
820
820
820
Retained earnings - at 1 January
14,871
13,302
13,131
11,491
Profit attributable to ordinary shareholders and other equity owners
3,431
3,510
3,613
3,625
Paid-in equity dividends paid
(194)
(142)
(194)
(142)
Ordinary dividends paid
(2,516)
(1,738)
(2,516)
(1,738)
Remeasurement of the retirement benefit schemes
- gross
(150)
(147)
(139)
(139)
- tax
39
40
39
39
Shares issued under employee share schemes
- gross
16
-
16
-
- tax
6
-
6
-
Share-based payments
- gross
(5)
10
(5)
10
- tax
21
(13)
21
(13)
Amortisation of merger reserve
18
49
-
(2)
At 31 December
15,537
14,871
13,972
13,131
For the notes to this table refer to the following page.
Statement of changes in equity for the year ended 31 December 2024 continued
NWB Group
Annual Report and Accounts 2024
101
NWB Group
NWB Plc
2024
2023
2024
2023
£m
£m
£m
£m
Owners' equity at 31 December
23,093
21,395
21,609
19,701
Non-controlling interests - at 1 January
35
10
-
-
Currency translation adjustments and other movements
1
-
-
-
Loss attributable to non-controlling interests
(6)
(1)
-
-
Dividends paid
(5)
(5)
-
-
Acquisition of subsidiary
-
31
-
-
At 31 December
25
35
-
-
Total equity at 31 December
23,118
21,430
21,609
19,701
Attributable to:
Ordinary shareholders
19,776
18,877
18,292
17,183
Paid-in equity holders
3,317
2,518
3,317
2,518
Non-controlling interests
25
35
-
-
23,118
21,430
21,609
19,701
(1)
The total distributable reserves for NWB Plc is £13,569 million (2023 – £12,460 million). Refer to Note 22 for additional information.
(2)
The change in the cash flow hedging reserve is driven by realised accrued interest transferred into the income statement and an increase in swap rates in the year. The portfolio of
hedging instruments are predominantly pay fixed swaps.
(3)
As referred to in Note 12, the amount transferred from equity to the income statement is mostly recorded within net interest income mainly within loans to banks and customers –
amortised cost, balances at central banks and customer deposits.
Cash flow statement
For the year ended 31 December 2024
NWB Group
Annual Report and Accounts 2024
102
NWB Group
NWB Plc
2024
2023
2024
2023
Note
£m
£m
£m
£m
Cash flows from operating activities
Operating profit before tax
4,663
4,789
4,680
4,705
Adjustments for:
Non-cash and other items
28
2,174
1,329
1,424
396
Changes in operating assets and liabilities
28
(5,981)
(10,132)
(7,007)
(8,999)
Income taxes paid
(1,186)
(780)
(993)
(484)
Net cash flows from operating activities
(1,2)
(330)
(4,794)
(1,896)
(4,382)
Cash flows from investing activities
Sale and maturity of other financial assets
34,959
18,254
33,860
17,887
Purchase of other financial assets
(42,561)
(35,090)
(41,551)
(34,249)
Income received on other financial assets
798
450
768
435
Net movement
in business interests and intangible assets
27
(2,883)
(724)
(2,861)
(1,188)
Dividends received from subsidiaries
-
-
553
617
Sale of property, plant and equipment
183
92
101
34
Purchase of property, plant and equipment
(452)
(787)
(252)
(544)
Net cash flows from investing activities
(9,956)
(17,805)
(9,382)
(17,008)
Cash flows from financing activities
Issue of paid-in equity
799
-
799
-
Issue of subordinated liabilities
600
1,263
600
1,263
Redemption of subordinated liabilities
(579)
(539)
(579)
(539)
Interest paid on subordinated liabilities
(184)
(145)
(159)
(120)
Issue of MRELs
1,187
441
927
441
Maturity and redemption of MRELs
(1,190)
(157)
(930)
(107)
Interest paid on MRELs
(247)
(293)
(215)
(261)
Dividends paid
(2,715)
(1,885)
(2,710)
(1,880)
Net cash flows from financing activities
(2,329)
(1,315)
(2,267)
(1,203)
Effects of exchange rate changes on cash and cash equivalents
(256)
(403)
(259)
(397)
Net decrease in cash and cash equivalents
(12,871)
(24,317)
(13,804)
(22,990)
Cash and cash equivalents at 1 January
52,001
76,318
52,482
75,472
Cash and cash equivalents at 31 December
30
39,130
52,001
38,678
52,482
(1)
NWB Group includes interest received of £17,968 million (2023 - £14,320 million) and interest paid of £9,807 million (2023 - £6,043 million), and NWB Plc includes interest received of
£17,094 million (2023 – £13,338 million) and interest paid of £9,581 million (2023 - £6,259 million).
(2)
The total cash outflow for leases for NWB Group was £78 million (2023 - £100 million) and for NWB Plc £66 million (2023 - £89 million). This included payment of principal for NWB Group
of £63 million (2023 - £84 million) and NWB Plc of £58 million (2023 - £76 million). These amounts are included in operating activities in the cash flow statement.
.
Accounting policies
1. Presentation of financial statements
National Westminster Bank Plc (NWB Plc) is incorporated in the
UK and registered in England and Wales. The financial
statements are presented in the functional currency, pounds
sterling.
The audited financial statements include these accounting
policies, the accompanying notes to the financial statements on
pages 109 to 172 and the audited sections of the Risk and capital
management section on pages 10 to 77 which together from an
integral part of the primary financial statements. The directors
have prepared the financial statements on a going concern basis
after assessing the principal risks, forecasts, projections and
other relevant evidence over the twelve months from the date
the financial statements are approved (refer to the Report of the
directors) and in accordance with UK-adopted International
Accounting Standards (IAS), and International Financial Reporting
Standards (IFRS) as issued by the International Accounting
Standards Board (IASB). The critical and material accounting
policies and related judgements are set out below.
The financial statements are presented on an historical cost basis
except for certain financial instruments and investment
properties which are stated at fair value.
The effect of the amendments to IFRS effective from 1 January
2024 on our financial statements was immaterial.
We have applied the exception from the accounting requirements
for deferred taxes in IAS 12 Income taxes in respect of Pillar 2
income taxes issued by the IASB in May 2023. Accordingly, we
have not recognised or disclosed information about deferred tax
assets and liabilities related to Pillar 2 income taxes.
Our consolidated financial statements incorporate the results of
NWB Plc and the entities it controls. Control arises when we have
the power to direct the activities of an entity so as to affect the
return from the entity. Control is assessed by reference to our
ability to enforce our will on the other entity, typically through
voting rights. The consolidated financial statements are prepared
under consistent accounting policies.
On the acquisition of a business from a NatWest Group company,
the assets, liabilities and IFRS reserves, such as the cash flow
hedging reserve, are recognised at their inherited values taken
from the consolidated financial statements of NatWest Group plc
and include the accounting history since initial recognition. The
acquirer recognises, in merger reserve, any difference between
the consideration paid and the net items recognised at inherited
values.
We apply accounting for associates and joint arrangements to
entities where we have significant influence, but not control, over
the operating and financial policies. We assess significant
influence by reference to a presumption of voting rights of more
than 20%, but less than 50%, supplemented by a qualitative
assessment of substantive rights which include representation at
the Board of Directors and significant exchange of managerial
personnel or technology amongst others.
Investments in associates and joint ventures are recorded upon
initial recognition at cost and increased or decreased each period
by the share of the subsequent levels of profit or loss. Other
changes in equity are considered in line with their nature.
How Climate risk affects our accounting judgements
and estimates
Business planning
Key financial estimates are based on management's latest five-
year revenue and cost forecasts. The outputs from this forecast
affect forward-looking accounting estimates. Measurement of
deferred tax and expected credit losses (ECL) are highly sensitive
to reasonably possible changes in those anticipated conditions.
In 2024, our scenario planning was enhanced by the further
integration of NatWest Group’s climate transition plan, including
the assessment of climate-related risks and opportunities.
Our Climate transition plan includes an assessment of:
changes in products, services and business operations

to support customer transition towards net zero;
financial impacts of supporting customer transition,

including investment required. The linkage between our
financial plan and our Climate transition plan will
continue to be developed and refreshed annually as
part of the financial planning cycle;
the climate impact of policies, using the UK Climate

Change Committee (UK CCC) Balanced Net Zero (BNZ)
pathway scenario, aligned with the UK’s Sixth Carbon
Budget. In addition, we have used the credibility ratings
for sectoral policies provided by the UK CCC 2023
Progress Report, published in July, to the Parliament to
develop a BNZ adjusted pathway to reflect estimated
time delays of these policies.
There remains considerable uncertainty regarding this policy
response, including the effect of wider geo-political uncertainty
on governmental ambitions regarding climate transition and the
effect of decarbonisation on wider economic growth, technology
development and customer behaviours.
Information used in other accounting estimates
We make use of reasonable and supportable information to make
accounting judgements and estimates. This includes information
about the observable effects of the physical and transition risks of
climate change on the current creditworthiness of borrowers,
asset values and market indicators. Many of the effects arising
from climate change will be longer term in nature, with an
inherent level of uncertainty, and have limited effect on
accounting judgements and estimates for the current period.
Some physical and transition risks can manifest in the shorter
term. The following items represent the most significant effects:
The classification of financial instruments linked to climate, or

other sustainability indicators. Consideration is given to
whether the effect of climate-related terms prevent the
instrument cashflows being solely payments of principal and
interest.
The use of market indicators as inputs to fair value is

assumed to include current information and knowledge
regarding the effect of climate risk.
Effect of climate change in the estimation of ECL
We are monitoring the effect of the physical and transition
consequences of climate change on our experience of loan loss.
We use available information regarding the effect of climate
transition policy largely driven by carbon prices as an adjustment
to macroeconomic factors that are used as inputs to the models
that generate PD and LGD outcomes, which are key inputs to
the ECL calculation. The determination of whether specific loss
drivers and climate events generate specific losses is ongoing
and is necessary to determine how sensitive changes in ECL
could be to climate inputs.
Future cashflows are discounted, so long-dated cashflows are
less likely to affect current expectations on credit loss. Our
assessment of sector-specific risks, and whether additional
adjustments are required, includes expectations of the ability of
those sectors to meet their financing needs in the market.
Changes in credit stewardship and credit risk appetite that stem
from climate transition policies may directly affect our positions
NWB Group
Annual Report and Accounts 2024
103
ccounting policies continued
A
NWB Group
Annual Report and Accounts 2024
104
2. Critical accounting policies
The judgements and assumptions involved in our accounting policies that are considered by the Board to be the most important to the
portrayal of our financial condition are noted below. The use of estimates, assumptions or models that differ from those adopted by us
would affect our reported results. Management’s consideration of uncertainty is outlined in the relevant sections, including the ECL
estimate in the Risk and capital management section.
Information used for significant estimate

|  |  | Further
Policy | Judgement | Estimate | information
Deferred tax | Determination of whether sufficient sustainable | Our estimates are based on the five-year | Note 7
| taxable profits will be generated in future years | revenue and cost forecasts (which inherent |
| to recover the deferred tax asset. | uncertainties). |
Fair value – | Classification of a fair value instrument as level 3, | Estimation of the fair value, where it is | Note 10
financial | where the valuation is driven by unobservable | reasonably possible to have alternative |
instruments | inputs. | assumptions in determining the FV. |
Loan | Definition of default against which to apply PD, | ECL estimates contain a number of | Note 13
impairment | LGD and EAD models. Selection of multiple | measurement uncertainties (such as the |
provisions | economic scenarios. | weighting of multiple economic scenarios) and |
| Criteria for a significant increase in credit risk. | disclosures include sensitivities to show the |
| Identification of risks not captured by the models. | impact on other reasonably possible scenarios. |
Investment in |  | Our estimates are based on the five-year | Note 14
Group |  | revenue and cost forecasts (which include |
undertakings |  | inherent uncertainties). |
(parent |  | Long term growth rate and discount rate are |
company |  | subject to uncertain factors. |
only) |  |  |

Changes in judgements and assumptions could result in a material adjustment to those estimates in future reporting periods.
2.1. Deferred tax
Deferred tax is the estimated tax expected to be payable or
recoverable in respect of temporary differences between the
carrying amount of an asset or liability for accounting purposes
and the carrying amount for tax purposes in the future. Deferred
tax liabilities are generally recognised for all taxable temporary
differences and deferred tax assets are recognised to the extent
their recovery is probable.
Deferred tax is calculated using tax rates expected to apply in the
periods when the assets will be realised or the liabilities settled,
based on tax rates and laws enacted, or substantively enacted, at
the balance sheet date.
Deferred tax asset recoverability is based on the level of
supporting eligible and available deferred tax liabilities we have
and of our future taxable profits. These future taxable profits are
based on our five-year revenue and cost forecasts and the
expectation of long-term economic growth beyond this period.
The five-year forecast takes account of management’s current
expectations of competitiveness and profitability. The long-term
growth rate reflects external indicators which will include market
expectations on climate risk. We do not consider any additional
adjustments to this indicator.
2.2. Fair value – financial instruments
We measure financial instruments at fair value when they are
classified as mandatory fair value through profit or loss; held-for-
trading; designated fair value through profit or loss and fair value
through other comprehensive income and they are recognised in
the financial statements at fair value. All derivatives are measured
at fair value.
We manage some portfolios of financial assets and financial
liabilities based on our net exposure to either market or credit
risk. In these cases, the fair value is derived from the net risk
exposure of that portfolio with portfolio level adjustments applied
to incorporate bid-offer spreads, counterparty credit risk, and
funding costs (refer to ‘Valuation Adjustments’).
Where the market for a financial instrument is not active, fair
value is established using a valuation technique. These valuation
techniques involve a degree of estimation, the extent of which
depends on the instrument’s complexity and the availability of
market-based data. The complexity and uncertainty in the
financial instrument’s fair value is categorised using the fair value
hierarchy.
The use of market indicators as inputs to fair value is assumed to
include current information and knowledge regarding the effect of
climate risk.
2.3. Loan impairment provisions: ECL
At each balance sheet date each financial asset or portfolio of
financial assets measured at amortised cost or at fair value
through other comprehensive income, issued financial guarantee
and loan commitment (other than those classified as held for
trading) is assessed for impairment. Any change in impairment is
reported in the income statement.
Loss allowances are forward-looking, based on 12-month ECL
where there has not been a significant increase in credit risk
rating, otherwise allowances are based on lifetime expected
losses.
ECL is a probability-weighted estimate of credit losses. The
probability is determined by the risk of default which is applied to
the cash flow estimates. In the absence of a change in credit
rating, allowances are recognised when there is a reduction in the
net present value of expected cash flows. Following a significant
increase in credit risk, ECL is adjusted from 12 months to lifetime.
This will lead to a higher impairment charge.
The measurement of ECL considers the ability of borrowers to
make payments as they fall due. Future cashflows are discounted,
so long dated cashflows are less likely to affect current
expectations on credit loss. Our assessment of sector specific
risks, and whether additional adjustments are required, include
expectations of the ability of those sectors to meet their financing
needs in the market.
Accounting policies continued
2. Critical accounting policies continued
NWB Group
Annual Report and Accounts 2024
105
Changes in credit stewardship and credit risk appetite that stem
from climate transition policies may directly affect our positions.
Judgement is exercised as follows:

Non-modelled portfolios
–
use a standardised capital
requirement under Basel II. Under IFRS 9, they have bespoke
treatments for the identification of significant increase in credit
risk. Benchmark PDs, EADs and LGDs are reviewed annually
for appropriateness. The ECL calculation is based on expected
future cash flows, which is typically applied at a portfolio level.

Multiple economic scenarios (MES)
– the central, or base,
scenario is most critical to the ECL calculation, independent of
the method used to generate a range of alternative outcomes
and their probabilities.

Significant increase in credit risk
-
IFRS 9 requires that at each
reporting date, an entity shall assess whether the credit risk
on an account has increased significantly since initial
recognition. Part of this assessment requires a comparison to
be made between the current lifetime PD (i.e. the current
probability of default over the remaining lifetime) with the
equivalent lifetime PD as determined at the date of initial
recognition.
On restructuring where a financial asset is not derecognised, the
revised cash flows are used in re-estimating the credit loss. Where
restructuring causes derecognition of the original financial asset,
the fair value of the replacement asset is used as the closing cash
flow of the original asset.
Where, in the course of the orderly realisation of a loan, it is
exchanged for equity shares or property, the exchange is
accounted for as the sale of the loan and the acquisition of equity
securities or investment property. Where our acquired interest is
in equity shares, relevant polices for control, associates and joint
ventures apply.
Impaired financial assets are written off and therefore
derecognised from the balance sheet when we conclude that
there is no longer any realistic prospect of recovery of part, or all,
of the loan. For financial assets that are individually assessed for
impairment, the timing of the write-off is determined on a case-
by-case basis. Such financial assets are reviewed regularly and
write-off will be prompted by bankruptcy, insolvency, re-
negotiation, and similar events.
The typical time frames from initial impairment to write-off for our
collectively assessed portfolios are:

Retail mortgages
- write-off usually occurs within five years, or
earlier, when an account is closed, but can be longer where
the customer engages constructively,

Credit cards
- the irrecoverable amount is typically written off
after twelve arrears cycles or at four years post default any
remaining amounts outstanding are written off,

Overdrafts and other unsecured loans
- write-off occurs
within six years,

Commercial loans
- write-offs are determined in the light of
individual circumstances; and
uncollateralised impaired
business loans
are generally written off within five years.
2.4. Investment in Group undertakings
Our investments in Group undertakings (subsidiaries) are stated at
cost less any impairment.
3. Material accounting polices
3.1. Revenue recognition
Interest receivable and payable are recognised in the income
statement using the effective interest rate method for all financial
instruments measured at amortised cost; debt instruments
measured as fair value through other comprehensive income; and
the effective part of any related accounting hedging instruments.
Finance lease income is recognised at a constant periodic rate of
return before tax on the net investment on the lease.
Other interest relating to financial instruments measured at fair
value is recognised as part of the movement in fair value and is
reported in other operating income. Fees in respect of services
are recognised as the right to consideration accrues through the
performance of each distinct service obligation to the customer.
The arrangements are generally contractual and the cost of
providing the service is incurred as the service is rendered. The
price is usually fixed and always determinable.
3.2. Staff costs
Employee costs, such as salaries, paid absences, and other
benefits are recognised over the period in which the employees
provide the related services to us. Employees may receive
variable compensation in cash, in deferred cash or debt
instruments of NatWest Group or in ordinary shares of NatWest
Group plc subject to deferral, clawback and forfeiture criteria. We
operate a number of share-based compensation schemes under
which we grant awards of NatWest Group plc shares and share
options to our employees. Such awards are subject to vesting
conditions.
Variable compensation that is settled in cash or debt instruments
is charged to the income statement on a straight-line basis over
the period during which services are provided, taking account of
forfeiture and clawback criteria. The value of employee services
received in exchange for NatWest Group plc shares and share
options is recognised as an expense over the vesting period,
subject to deferral, clawback, cancelation and forfeiture criteria
with a corresponding increase in equity.
The fair value of shares granted is the market price adjusted for
the expected effect of dividends as employees are not entitled to
dividends until shares are vested.
The fair value of options granted is determined using option
pricing models to estimate the numbers of shares likely to vest.
These consider the exercise price of the option, the current share
price, the risk-free interest rate, the expected volatility of the
share price over the life of the option and other relevant factors
such as the dividend yield.
Defined contribution pension scheme
A scheme where we pay fixed contributions and; there is no legal
or constructive obligation to pay further contributions or benefits.
Contributions are recognised in the income statement as
employee service costs accrue.
Defined benefit pension scheme
A scheme that defines the benefit an employee will receive on
retirement and is dependent on one or more factors such as age,
salary, and years of service. The net of the recognisable scheme
assets and obligations is reported on the balance sheet in other
assets or other liabilities. The defined benefit obligation is
measured on an actuarial basis. The charge to the income
statement for pension costs (mainly the service cost and the net
interest on the net defined benefit asset or liability) is recognised
in operating expenses.
Actuarial gains and losses (i.e. gains and/or losses on re-
measuring the net defined benefit asset or liability) due to changes
in actuarial measurement assumptions are recognised in other
comprehensive income in full in the period in which they arise and
not subject to recycling to the income statement.
Accounting policies continued
3. Material accounting polices continued
NWB Group
Annual Report and Accounts 2024
106
The difference between scheme assets and scheme liabilities, the
net defined benefit asset or liability, is recognised on the balance
sheet if the criteria of the asset ceiling test are met. This requires
the net defined benefit surplus to be limited to the present value
of any economic benefits available to us in the form of refunds
from the plan or reduced contributions to it.
We will recognise a liability where a minimum funding requirement
exists for any of our defined benefit pension schemes. This reflects
agreed minimum funding and the availability of a net surplus as
described above. When estimating the liability for minimum
funding requirements we only include contributions that are
substantively or contractually agreed and do not include
contingent and discretionary features, including dividend-linked
contributions or contributions subject to contingent events
requiring future verification.
We recognise a net defined benefit asset when the net defined
benefit surplus can generate a benefit in the form of a refund or
reduction in future contributions to the plan. The net benefit
pension asset is recognised at the present value of the benefits
that will be available to us excluding interest and the effect of the
asset ceiling (if any), excluding interest. Changes in the present
value of the net benefit pension asset are recognised immediately
in other comprehensive income.
In instances where Trustees have the ability to declare
augmented benefits to participants, we do not recognise a defined
benefit pension asset and record the surplus immediately in other
comprehensive income.
3.3. Intangible assets
Intangible assets are identifiable non-monetary assets without
physical substance acquired or developed by us, and are stated at
cost less accumulated amortisation and impairment losses.
Amortisation is a method to spread the cost of such assets over
time in the income statement. This is charged to the income
statement over the assets' estimated useful economic lives using
methods that best reflect the pattern of economic benefits. The
estimated useful economic lives are:

Computer software | 3 to 10 years
Other acquired intangibles | 3 to 5 years

Direct costs relating to the development of internal-use computer
software are reported on the balance sheet after technical
feasibility and economic viability have been established. These
direct costs include payroll, the costs of materials and services,
and directly attributable overheads. Capitalisation of costs ceases
when the software can operate as intended.
During and after development, accumulated costs are reviewed
for impairment against the benefits that the software is expected
to generate.
Costs incurred prior to the establishment of technical feasibility
and economic viability are expensed to the income statement as
incurred, as are all training costs and general overheads. The
costs of licences to use computer software that are expected to
generate economic benefits beyond three years are also reported
on the balance sheet.
Goodwill on the acquisition of a subsidiary is the excess of the fair
value of the consideration paid, the fair value of any existing
interest in the subsidiary and the amount of any non-controlling
interest measured either at fair value or at its share of the
subsidiary’s net assets over the net fair value of the subsidiary’s
identifiable assets, liabilities, and contingent liabilities.
Goodwill is measured at initial cost less any subsequent
impairment losses. The gain or loss on the disposal of a subsidiary
includes the carrying value of any related goodwill.
3.4. Impairment of non-financial assets
Goodwill is tested for impairment annually or more frequently if
events or changes in circumstances indicate that it might be
impaired
At each balance sheet date, we assess whether there is any
indication that other intangible assets or property, plant and
equipment are impaired. If any such indication exists, we estimate
the recoverable amount of the asset and compare it to its balance
sheet value to calculate if an impairment loss should be
recognised in the income statement. A reversal of an impairment
loss on other intangible assets or property, plant and equipment is
recognised in the income statement provided the increased
carrying value is not greater than it would have been had no
impairment loss been recognised.
The recoverable amount of an asset that does not generate cash
flows that are independent from those of other assets or groups
of assets, is determined as part of the cash-generating unit to
which the asset belongs. A cash-generating unit is the smallest
identifiable group of assets that generates cash inflows that are
largely independent of the cash inflows from other assets or
groups of assets
.
3.5. Property, plant and equipment & investment
property
Items of property, plant and equipment except investment
property are stated at cost less accumulated depreciation and
impairment losses. Where an item of property, plant and
equipment comprises major components having different useful
lives, these are accounted for separately.
Depreciation is charged to profit or loss on a straight-line basis so
as to write-off the depreciable amount of property, plant and
equipment (including assets owned and let on operating leases)
over their estimated useful lives. The depreciable amount is the
cost of an asset less its residual value. Freehold land is not
depreciated.
The estimated useful lives of our property, plant and equipment
are:

Freehold buildings | 50 years
Long leasehold property (leases |
with more than 50 years to run) | 50 years
Short leaseholds unexpired period of lease |
Property adaptation costs | 10 to 15 years
Computer equipment | up to 5 years
Other equipment | 4 to 15 years

The residual value and useful life of property, plant and equipment
are reviewed at each balance sheet date and updated for any
changes to previous estimates.
Investment property comprises freehold and leasehold properties
that are held to earn rentals or for capital appreciation or both.
Investment property is not depreciated but is stated at fair value.
Fair value is based on current prices for similar properties in the
same location and condition. Any gain or loss arising from a
change in fair value is recognised in profit or loss. Rental income
from investment property is recognised on a straight-line basis
over the term of the lease in Other operating income. Lease
incentives granted are recognised as an integral part of the total
rental income.
3.6. Foreign currencies
Foreign exchange differences arising on the settlement of foreign
currency transactions and from the translation of monetary
assets and liabilities are reported in income from trading activities
except for differences arising on cash flow hedges and hedges of
net investments in foreign operations.
Accounting policies continued
3. Material accounting polices continued
NWB Group
Annual Report and Accounts 2024
107
Non-monetary items denominated in foreign currencies that are
stated at fair value are translated into the functional currency at
the foreign exchange rates ruling at the dates the values are
determined. Translation differences are recognised in the income
statement except for differences arising on non-monetary
financial assets classified as fair value through other
comprehensive income.
Income and expenses of foreign subsidiaries and branches are
translated into sterling at average exchange rates unless these do
not approximate the foreign exchange rates ruling at the dates of
the transactions. Foreign exchange differences arising on the
translation of a foreign operation are recognised in other
comprehensive income. The amount accumulated in equity is
reclassified from equity to the income statement on disposal of a
foreign operation.
3.7. Tax
Tax encompassing current tax and deferred tax is recognised in
the income statement except when taxable items
are recognised
in other comprehensive income or equity. Tax consequences
arising from servicing financial instruments classified as equity are
recognised in the income statement.
Accounting for taxes is judgemental and carries a degree of
uncertainty because tax law is subject to interpretation, which
might be questioned by the relevant tax authority. We recognise
the most likely current and deferred tax liability or asset, assessed
for uncertainty using consistent judgements and estimates.
Current and deferred tax assets are only recognised where their
recovery is deemed probable, and current and deferred tax
liabilities are recognised at the amount that represents the best
estimate of the probable outcome having regard to their
acceptance by the tax authorities.
3.8. Financial instruments
Financial instruments are measured at fair value on initial
recognition on the balance sheet. Monetary financial assets are
classified into one of
the following subsequent measurement
categories (subject to business model assessment and review of
contractual cash flow for the purposes of sole payments of
principal and interest where applicable):

amortised cost
measured at cost using the effective interest
rate method, less any impairment allowance;

fair value through other comprehensive income (FVOCI)
measured at fair value, using the effective interest rate
method and changes in fair value through other
comprehensive income;

mandatory fair value through profit or loss (MFVTPL)
measured at fair value and changes in fair value reported in
the income statement; or

designated at fair value through profit or loss (DFV)
measured
at fair value and changes in fair value reported in the income
statement.
Classification by business model reflects how we manage our
financial assets to generate cash flows. A business model
assessment helps to ascertain the measurement approach
depending on whether cash flows result from holding financial
assets to collect the contractual cash flows, from selling those
financial assets, or both.
Business model assessment of assets is made at portfolio level,
being the level at which they are managed to achieve a
predefined business objective. This is expected to result in the
most consistent classification of assets because it aligns with the
stated objectives for the portfolio, its risk management, manager’s
remuneration and the ability to monitor sales of assets from a
portfolio.
When a significant change to our business is communicated to
external parties, we reassess our business model for managing
those financial assets. We reclassify financial assets if we have a
significant change to the business model. A reclassification is
applied prospectively from the reclassification date.
The contractual terms of a financial asset; any leverage features;
prepayment and extension terms; and discounts or penalties to
interest rates that are part of meeting environmental, social and
governance targets as well as other contingent and leverage
features, non-recourse arrangements and features that could
modify the timing and/or amount of the contractual cash flows
that might reset the effective rate of interest; are considered in
determining whether cash flows are
solely payments of principal
and interest.
Certain financial assets may be designated at fair value through
profit or loss (DFV) upon initial recognition if such designation
eliminates, or significantly reduces, accounting mismatch
.
Equity shares are measured at fair value through profit or loss
unless specifically elected as at fair value through other
comprehensive income (FVOCI).
Upon disposal, the cumulative gains or losses in fair value through
other comprehensive income reserve are recycled to the income
statement for monetary assets and for non-monetary assets
(equity shares) the cumulative
gains or losses are transferred
directly to retained earnings.
Regular way purchases and sales of financial assets classified as
amortised cost are recognised on the settlement date; all other
regular way transactions in financial assets are recognised on the
trade date.
Financial liabilities are classified into one of following measurement
categories:

amortised cost
measured at cost using the effective interest
rate method;

held for trading
measured at fair value and changes in fair
value reported in income statement; or

designated at fair value through profit or loss
measured at fair
value and changes in fair value reported in the income
statement except changes in fair value attributable to the
credit risk component recognised in other comprehensive
income when no accounting mismatch occurs.
3.9. Netting
Financial assets and financial liabilities are offset, and the net
amount presented on the balance sheet when, and only when, we
currently have a legally enforceable right to set off the recognised
amounts and we intend either to settle on a net basis or to realise
the asset and settle the liability simultaneously. We are party to a
number of arrangements, including master netting agreements,
that give us the right to offset financial assets and financial
liabilities, but where we do not intend to settle the amounts net or
simultaneously, the assets and liabilities concerned are presented
separately on the balance sheet.
3.10. Capital instruments
We classify a financial instrument that we issue as a financial
liability if it is a contractual obligation to deliver cash or another
financial asset, or to exchange financial assets or financial
liabilities on potentially unfavourable terms and as equity if we
evidence a residual interest in our assets after the deduction of
liabilities. Incremental costs and related tax that are directly
attributable to an equity transaction are deducted from equity.
Accounting policies continued
3. Material accounting polices continued
NWB Group
Annual Report and Accounts 2024
108
3.11. Derivatives and hedging
Derivatives are reported on the balance sheet at fair value. We
use derivatives to manage our own risk such as interest rate,
foreign exchange, or credit risk or in certain customer
transactions. Not all derivatives used to manage risk are in hedge
accounting relationships (an IFRS method to reduce accounting
mismatch from changes in the fair value of the derivatives
reported in the income statement).
Gains and losses arising from changes in the fair value of
derivatives that are not in hedge relationships and derivatives that
are managed together with financial instruments designated at
fair value are included in Other operating income.
Hedge accounting
Hedge accounting relationships are designated and documented
at inception in line with the requirements of IAS 39 Financial
instruments – Recognition and Measurement. The documentation
identifies the hedged item, the hedging instrument and details of
the risk that is being hedged and the way in which effectiveness
will be assessed at inception and during the period of the hedge.
When designating a hedging relationship, we consider: the
economic relationship between the hedged item (including the risk
being hedged) and the hedging instrument; the nature of the risk;
the risk management objective and strategy for undertaking the
hedge; and the appropriateness of the method that will be used to
assess hedge effectiveness.
Designated hedging relationships must be expected to be highly
effective both on a prospective and retrospective basis. This is
assessed using regression techniques which model the degree of
offsetting between the changes in fair value or cash flows
attributable to the hedged risk and the changes in fair value of the
designated hedging derivatives. Ineffectiveness is measured based
on actual levels of offsetting and recognised in the income
statement. We enter into three types of hedge accounting
relationships.
Fair value hedg
e
- the gain or loss on the hedging instrument and
the hedged item attributable to the hedged risk is recognised in
the income statement. Where the hedged item is measured at
amortised cost, the balance sheet amount of the hedged item is
also adjusted.
Cash flow hedge
- the effective portion of the designated hedge
relationship is recognised in other comprehensive income and the
ineffective portion in the income statement. When the hedged
item (forecasted cash flows) results in the recognition of a
financial asset or financial liability, the cumulative gain or loss is
reclassified from equity to the income statement in the same
periods in which the hedged forecasted cash flows affect the
income statement.
Hedge of net investment in a foreign operation
-
in the hedge of a
net investment in a foreign operation, the effective portion of the
designated hedge relationship is recognised in other
comprehensive income. Any ineffective portion is recognised in
profit or loss. Non-derivative financial liabilities as well as
derivatives may be designated as a hedging instrument in a net
investment hedge.
Discontinuation of hedge accounting
Hedge accounting is discontinued if the hedge no longer meets
the criteria for hedge accounting i.e. the hedge is not highly
effective in offsetting changes in fair value or cash flows
attributable to the hedged risk, consistent with the documented
risk management strategy; the hedging instrument expires or is
sold, terminated or exercised; or if hedge designation is revoked.
For fair value hedging
any cumulative adjustment is amortised to
the
income statement over the life of the hedged item. Where the
hedge item is no longer on the balance sheet the adjustment to
the hedged item is reported in the income statement.
For cash flow hedging the cumulative unrealised gain or loss is
reclassified from equity to the income statement when the hedged
cash flows occur or, if the forecast transaction results in the
recognition of a financial asset or financial liability, when the
hedged forecast cash flows affect the income statement. Where a
forecast transaction is no longer expected to occur, the
cumulative unrealised gain or loss is reclassified from equity to the
income statement immediately.
For net investment hedging on disposal or partial disposal of a
foreign operation, the amount accumulated in equity is reclassified
from equity to the income statement.
3.12. Provisions for liabilities and charges
We recognise a provision for a present obligation resulting from a
past event when it is more likely than not that we will be required
to pay to settle the obligation and the amount of the obligation
can be estimated reliably.
Provision is made for restructuring costs, including the costs of
redundancy, when we have a constructive obligation. An
obligation exists when we have a detailed formal plan for the
restructuring and have raised a valid expectation in those affected
either by starting to implement the plan or by announcing its main
features.
We recognise any onerous cost of the present obligation under a
contract as a provision. An onerous cost is the unavoidable cost
of meeting our contractual obligations that exceed the expected
economic benefits. When we intend to vacate a leasehold
property or right of use asset, the asset would be tested for
impairment and a provision may be recognised for the ancillary
contractual occupancy costs.
4. Future accounting developments
International Financial Reporting Standards
Effective 1 January 2026

Amendments to the Classification and Measurement of
Financial Instruments (Amendments to IFRS 9 and IFRS 7 –
Issued May 2024)
Effective 1 January 2027

Presentation and Disclosures in Financial Statements (IFRS 18
– Issued April 2024)

Subsidiaries without Public Accountability (IFRS 19 – Issued
May 2024)
We are assessing the effect of adopting these accounting
developments on our financial statements.
NWB Group
Annual Report and Accounts 2024
109
Notes to the financial statements
1 Net interest income

| 2024 | 2023
| £m | £m
Balances at central banks and loans to banks - amortised cost | 1,709 | 1,272
Loans to customers - amortised cost | 14,620 | 12,394
Amounts due from holding companies and fellow subsidiaries | 97 | 133
Other financial assets | 1,674 | 965
Interest receivable | 18,100 | 14,764
Bank deposits | 1,254 | 849
Customer deposits | 5,612 | 3,042
Amounts due to holding companies and fellow subsidiaries | 2,481 | 2,262
Other financial liabilities | 534 | 576
Subordinated liabilities | 11 | 12
Interest payable | 9,892 | 6,741
Net interest income | 8,208 | 8,023

Interest income on financial instruments measured at amortised cost and debt instruments classified as FVOCI is measured using the
effective interest rate method, which allocates the interest income or interest expense over the expected life of the asset or liability at
the rate that exactly discounts all estimated future cash flows to equal the instrument's initial carrying amount. Calculation of the
effective interest rate takes into account fees payable or receivable that are an integral part of the instrument's yield, premiums or
discounts on acquisition or issue, early redemption fees and transaction costs. All contractual terms of a financial instrument are
considered when estimating future cash flows. Included in interest receivable is finance lease income of £545 million (2023 - £480
million) which is recognised at a constant periodic rate of return before tax on the net investment.
For accounting policy information refer to Accounting policy 3.1
2 Non-interest income

| 2024 | 2023
| £m | £m
Net fees and commissions (1) | 1,734 | 1,669
Other operating income |  |
Gain on redemption of own debt | - | 234
Operating leases and other rental income | 231 | 237
Changes in fair value of other financial assets held at mandatory fair value through profit or loss (2) | 15 | 1
Hedge ineffectiveness | (21) | 23
Net income from economic hedging (3) | 284 | 468
Gain on disposal of amortised cost assets | 7 | 7
Loss on disposal of fair value through other comprehensive income assets | (18) | (43)
Profit/(loss) on sale of property, plant and equipment | 26 | (50)
Share of loss of associated entities | (2) | (3)
Service charges (4) | 1,478 | 1,542
Other income | 31 | (22)
| 2,031 | 2,394
Non-interest income | 3,765 | 4,063

(1)
Refer to Note 4 for further analysis.
(2)
Includes instruments that have failed solely payment of principal and interest testing under IFRS 9.
(3)
Includes fair value changes on derivatives not designated in a hedge accounting relationship, and gains and losses from structural hedges.
(4)
Income from recharging shared services to other NatWest Group subsidiaries.
For accounting policy information refer to Accounting policies 3.1 and 3.6
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
110
3 Operating expenses

| 2024 | 2023
| £m | £m
Wages, salaries and other staff costs | 2,598 | 2,407
Temporary and contract costs | 125 | 163
Social security costs | 306 | 289
Pension costs | 272 | 250
- defined benefit schemes (Note 5) | 80 | 89
- defined contribution schemes | 192 | 161
Staff costs | 3,301 | 3,109
Premises and equipment | 1,099 | 1,039
Depreciation and amortisation (1) | 987 | 877
Other administrative expenses (2) | 1,576 | 1,768
Administrative expenses | 3,662 | 3,684
| 6,963 | 6,793

(1)
Includes depreciation on right of use assets of £84 million (2023 - £86 million).
(2)
Includes redress and litigation costs. Further details are provided in Note 21.
NWB Group provides shared services to NatWest Group. Costs incurred are recovered through legal entity recharging, recorded in
Other operating income.
For accounting policy information refer to Accounting policies 3.2, 3.3, 3.4 and 3.5.
The average number of persons employed during the year, rounded to the nearest hundred and excluding temporary staff, was
55,700 (2023 – 55,900). The number of persons employed, rounded to the nearest hundred and excluding temporary staff, at 31
December 2024, was as follows:

| 2024 | 2023
Retail Banking | 12,200 | 13,400
Commercial & Institutional | 8,800 | 8,800
Private Banking | 2,200 | 2,400
Central items & other | 31,600 | 32,000
Total | 54,800 | 56,600
UK | 36,000 | 37,800
India | 17,600 | 16,900
Poland | 800 | 1,500
Rest of the World | 400 | 400
Total | 54,800 | 56,600

Notes to the financial statements continued
3 Operating expenses continued
NWB Group
Annual Report and Accounts 2024
111
Share-based payments
NWB Group grants share-based awards to employees principally on the following bases:

Award plan | Eligible employees | Nature of award | Vesting conditions (1) | Settlement
Sharesave | UK, Channel Islands, | Option to buy shares under | Continuing employment or | 2025 to 2029
| Gibraltar, Isle of Man, | employee savings plan | leavers in certain circumstances |
| Poland and India. |  |  |
Deferred performance | All | Awards of ordinary shares | Continuing employment or | 2025 to 2032
awards |  | and conditional shares | leavers in certain circumstances |
Long-term incentives (2,3) | Senior employees | Awards of ordinary shares | Continuing employment or | 2025 to 2031
|  | and conditional shares | leavers in certain circumstances |
|  |  | and/or satisfaction of the pre- |
|  |  | vest assessment and underpins |
Sharing in Success | All | Awards of ordinary shares | Future continuing employment | 2025
|  | and conditional shares | and achievement of pre-defined |
|  |  | measures. |

(1)
All awards are subject to discretion of Remuneration Committee.
(2)
Long-term incentives include buy-out awards offered to compensate certain new hires for the loss of forfeited awards from their previous employment. Existing long-term incentives vest
over 3 to 7 years.
(3)
The existing Restricted Share Plan scheme would be replaced by Performance Share Plan in 2025.
The fair value of Sharesave options granted in 2024 was determined using a pricing model that included: expected volatility of shares
determined at the grant date based on historical volatility over a period of up to five years; expected option lives that equal the vesting
period; estimated dividend yield on equity shares; and risk-free interest rates determined from UK gilts with terms matching the
expected lives of the options.
The exercise price of options and the fair value on granting awards of fully paid shares is the average market price over the five
trading days (three trading days for Sharesave) preceding grant date.
When estimating the fair value of the award, the number of
shares granted, and the prevailing share price (as defined in the NatWest Group ARA on page 151) are used.
The fair value of the
award is recognised as services are provided over the vesting period.
Bonus awards
The following tables analyse NWB Group's bonus awards.

| 2024 | 2023 | Change
| £m | £m |
March awards (1) | 56 | 38 | 47%
Deferred cash awards | 226 | 181 | 25%
Deferred share awards | 29 | 26 | 12%
Total deferred bonus awards | 255 | 207 | 23%
Total bonus awards (2) | 311 | 245 | 27%

Reconciliation of bonus awards to income statement charge

| 2024 | 2023
| £m | £m
Bonus awarded | 311 | 245
Less: deferral of charge for amounts awarded in current year | (93) | (74)
Income statement charge for amounts awarded in current year | 218 | 171
Add: current year charge for amounts deferred from prior years | 70 | 76
Less: forfeiture of amounts deferred from prior years | (2) | (2)
Income statement charge for amounts deferred from prior years | 68 | 74
Income statement charge for bonus awards (2) | 286 | 245

(1)
March cash awards are limited to £2,000 for all employees.
(2)
Excludes other performance-related compensation.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
112
4 Segmental analysis
Reportable operating segments
NWB Plc is organised into the following reportable segments: Retail Banking, Private Banking, Commercial & Institutional and Central
items & other.
Retail Banking
serves personal customers in the UK and includes Ulster Bank customers in Northern Ireland.
Private Banking
serves UK-connected high net worth individuals and their business interests.
Commercial & Institutional
consists of customer businesses reported under Business Banking, Commercial Mid-market and Corporate
& Institutions, supporting our customers across the full non-personal customer lifecycle, both domestically and internationally.
Central items & other
includes corporate functions such as treasury, finance, risk management, compliance, legal, communications and
human resources. NWB Plc is the main service provider of shared services and treasury activities for NatWest Group. The services are
mainly provided to NWH Group, however, in certain instances where permitted, services are also provided to the wider NatWest
Group including the non ring-fenced business.

| Retail | Private | Commercial & | Central items |
| Banking | Banking | Institutional | & other | Total
2024 | £m | £m | £m | £m | £m
Net interest income | 4,472 | 619 | 3,342 | (225) | 8,208
Net fees and commissions | 313 | 285 | 1,132 | 4 | 1,734
Other operating income | 99 | 34 | 314 | 1,584 | 2,031
Total income | 4,884 | 938 | 4,788 | 1,363 | 11,973
Depreciation and amortisation | (1) | (1) | (117) | (868) | (987)
Other operating expenses | (2,444) | (699) | (2,229) | (604) | (5,976)
Impairment (losses)/releases | (250) | 11 | (117) | 9 | (347)
Operating profit/(loss) | 2,189 | 249 | 2,325 | (100) | 4,663
2023 |  |  |  |  |
Net interest income | 4,595 | 709 | 2,955 | (236) | 8,023
Net fees and commissions | 327 | 245 | 1,096 | 1 | 1,669
Other operating income | 109 | 31 | 314 | 1,940 | 2,394
Total income | 5,031 | 985 | 4,365 | 1,705 | 12,086
Depreciation and amortisation | - | - | (124) | (753) | (877)
Other operating expenses | (2,311) | (615) | (2,191) | (799) | (5,916)
Impairment (losses)/releases | (410) | (13) | (82) | 1 | (504)
Operating profit | 2,310 | 357 | 1,968 | 154 | 4,789

Total revenue
(1)

| Retail | Private | Commercial & | Central items |
| Banking | Banking | Institutional | & other | Total
2024 | £m | £m | £m | £m | £m
External | 8,215 | 1,256 | 7,037 | 5,899 | 22,407
Inter-segment (2) | 100 | 1,529 | (1,369) | (260) | -
Total | 8,315 | 2,785 | 5,668 | 5,639 | 22,407
2023 |  |  |  |  |
External | 6,565 | 1,156 | 6,440 | 5,174 | 19,335
Inter-segment (2) | (187) | 998 | (1,558) | 747 | -
Total | 6,378 | 2,154 | 4,882 | 5,921 | 19,335

Total income

| Retail | Private | Commercial & | Central items |
| Banking | Banking | Institutional | & other | Total
2024 | £m | £m | £m | £m | £m
External | 4,725 | 6 | 4,477 | 2,765 | 11,973
Inter-segment (2) | 159 | 932 | 311 | (1,402) | -
Total | 4,884 | 938 | 4,788 | 1,363 | 11,973
2023 |  |  |  |  |
External | 4,172 | 324 | 4,652 | 2,938 | 12,086
Inter-segment (2) | 859 | 661 | (287) | (1,233) | -
Total | 5,031 | 985 | 4,365 | 1,705 | 12,086

For the notes to this table refer to page 114.
Notes to the financial statements continued
4 Segmental analysis continued
NWB Group
Annual Report and Accounts 2024
113
Analysis of net fees and commissions

| Retail | Private | Commercial & | Central items |
| Banking | Banking | Institutional | & other | Total
2024 | £m | £m | £m | £m | £m
Fees and commissions receivable |  |  |  |  |
- Payment services | 261 | 37 | 538 | - | 836
- Credit and debit card fees | 327 | 13 | 199 | 4 | 543
- Lending and financing | 16 | 5 | 512 | - | 533
- Brokerage | 27 | 9 | - | - | 36
- Investment management, trustee and fiduciary services | 2 | 230 | 1 | - | 233
- Underwriting fees | - | - | - | - | -
- Other | 8 | 11 | 70 | 6 | 95
Total | 641 | 305 | 1,320 | 10 | 2,276
Fees and commissions payable | (328) | (20) | (188) | (6) | (542)
Net fees and commissions | 313 | 285 | 1,132 | 4 | 1,734
2023 |  |  |  |  |
Fees and commissions receivable |  |  |  |  |
- Payment services | 263 | 32 | 518 | - | 813
- Credit and debit card fees | 323 | 13 | 197 | - | 533
- Lending and financing | 12 | 5 | 489 | - | 506
- Brokerage | 27 | 6 | - | - | 33
- Investment management, trustee and fiduciary services | 2 | 205 | - | - | 207
- Underwriting fees | - | - | 1 | - | 1
- Other | 4 | 5 | 60 | 15 | 84
Total | 631 | 266 | 1,265 | 15 | 2,177
Fees and commissions payable | (304) | (21) | (169) | (14) | (508)
Net fees and commissions | 327 | 245 | 1,096 | 1 | 1,669

| Retail | Private | Commercial & | Central items |
| Banking | Banking | Institutional | & other | Total
2024 | £m | £m | £m | £m | £m
Assets | 199,579 | 18,916 | 92,653 | 113,161 | 424,309
Liabilities | 159,989 | 42,603 | 127,878 | 70,721 | 401,191
2023 |  |  |  |  |
Assets | 194,488 | 19,284 | 89,783 | 111,913 | 415,468
Liabilities | 154,083 | 37,816 | 123,084 | 79,055 | 394,038

For the notes to this table refer to the following page.
Notes to the financial statements continued
4 Segmental analysis continued
NWB Group
Annual Report and Accounts 2024
114
Geographical segments
The geographical analysis in the tables below has been compiled on the basis of location of office where the transactions are recorded.

| UK | RoW | Total
2024 | £m | £m | £m
Total revenue (1) | 21,582 | 825 | 22,407
Interest receivable | 18,060 | 40 | 18,100
Interest payable | (9,864) | (28) | (9,892)
Net fees and commissions | 1,733 | 1 | 1,734
Other operating income | 1,247 | 784 | 2,031
Total income | 11,176 | 797 | 11,973
Operating profit before tax | 4,557 | 106 | 4,663
Total assets | 416,005 | 8,304 | 424,309
Total liabilities | 399,996 | 1,195 | 401,191
Contingent liabilities and commitments (3) | 96,204 | 444 | 96,648
Cost to acquire property, plant and equipment and intangible assets | 1,015 | 126 | 1,141

2023 |  |  |
Total revenue (1) | 18,591 | 744 | 19,335
Interest receivable | 14,725 | 39 | 14,764
Interest payable | (6,717) | (24) | (6,741)
Net fees and commissions | 1,668 | 1 | 1,669
Other operating income | 1,689 | 705 | 2,394
Total income | 11,365 | 721 | 12,086
Operating profit before tax | 4,668 | 121 | 4,789
Total assets | 407,211 | 8,257 | 415,468
Total liabilities | 392,940 | 1,098 | 394,038
Contingent liabilities and commitments (3) | 87,465 | 371 | 87,836
Cost to acquire property, plant and equipment and intangible assets | 1,527 | 92 | 1,619

(1)
Total revenue comprises interest receivable, fees and commissions receivable and other operating income.
(2)
Revenue and income from transactions between segments of the group are reported as inter-segment in both the current and comparative information.
(3)
Refer to Note 26 Memorandum items – Contingent liabilities and commitments.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
115
5 Pensions
Defined contribution schemes
NWB Group sponsors a number of defined contribution pension
schemes in different territories, which new employees are offered
the opportunity to join.
Defined benefit schemes
NWB Group sponsors a number of pension schemes in the UK
and overseas, including the Main section of the NatWest Group
Pension Fund (the Main section) which operates under UK trust
law and is managed and administered on behalf of its members in
accordance with the terms of the trust deed, the scheme rules
and UK legislation.
Pension fund trustees are appointed to operate each fund and
ensure benefits are paid in accordance with the scheme rules and
national law. The trustees are the legal owner of a scheme’s
assets, and have a duty to act in the best interests of all scheme
members.
The schemes generally provide a pension of one-sixtieth of final
pensionable salary for each year of service prior to retirement up
to a maximum of 40 years and are contributory for current
members. These have been closed to new entrants for over ten
years, although active members continue to build up additional
pension benefits, currently subject to 2% maximum annual salary
inflation, while they remain employed by NWB Group.
The Main section corporate trustee is NatWest Pension Trustee
Limited (the Trustee), a wholly owned subsidiary of NWB Plc,
Principal Employer of the Main section. The Board of the Trustee
includes member trustee directors selected from eligible active
staff, deferred and pensioner members who apply and trustee
directors appointed by NatWest Group. Under UK legislation, a
defined benefit pension scheme is required to meet the statutory
funding objective of having sufficient and appropriate assets to
cover its liabilities (the pensions that have been promised to
members). Similar governance principles apply to NWB Group’s
other pension schemes.
For accounting policy information refer to Accounting policy 3.2.
Investment strategy
The assets of the Main section represent 97% of all plan assets at
31 December 2024 (2023 - 97%) and are invested as shown
below. The profile of the non-insured assets is typical of the non-
insured assets held by other group schemes.
Within the non-insured portfolio the Main section employs
physical, derivative and non-derivatives instruments to achieve a
desired asset class exposure and to reduce the section’s interest
rate, inflation and currency risk. This means that the net funding
position is considerably less sensitive to changes in market
conditions than the value of the assets or liabilities in isolation. In
particular, movements in interest rates and inflation are
substantially hedged by the Trustee.
During 2024, the Trustee completed buy-in insurance transactions
for the Main section of the Group Pension Fund. Each transaction
saw an upfront premium paid to an insurer in exchange for a buy-
in insurance contract. The contracts provide a stream of
cashflows to the Trustee replicating payments due to members,
thereby passing material demographic and market risk to the
insurer.
At 31 December 2024, the Main section included buy-in insurance
contracts covering around a third of the liabilities.
The premium for each transaction was determined by the insurer
using its pricing basis. Under IAS 19, the value placed on this
asset mirrors the valuation of the defined benefit obligations
covered, incorporating an assessment of credit risk. Since the
insurer’s pricing basis is more conservative than the best-estimate
valuation under IAS 19, a material asset loss arises at the outset.
However, the asset loss is offset by a corresponding movement in
the asset ceiling, meaning the net balance sheet and OCI impacts
are neutral. Once the contract has been established, the value of
the buy-in insurance contracts will move in line with movements
in the defined benefit obligations covered, protecting the scheme
against demographic and market risk.
Notes to the financial statements continued
5 Pensions continued
NWB Group
Annual Report and Accounts 2024
116

| 2024 | 2023
Major classes of plan assets as a percentage of | Quoted | Unquoted | Total | Quoted | Unquoted | Total
total plan assets of the Main section | % | % | % | % | % | %
Equities | 0.1 | 6.6 | 6.7 | 0.1 | 6.7 | 6.8
Index linked bonds | 23.6 | - | 23.6 | 36.7 | - | 36.7
Government bonds | 9.9 | - | 9.9 | 13.3 | - | 13.3
Corporate and other bonds | 14.4 | 4.1 | 18.5 | 19.2 | 6.4 | 25.6
Real estate | - | 2.4 | 2.4 | - | 4.5 | 4.5
Derivatives | - | 0.1 | 0.1 | - | 2.7 | 2.7
Buy-in insurance contracts | - | 27.0 | 27.0 | - | - | -
Cash and other assets | - | 11.8 | 11.8 | - | 10.4 | 10.4
| 48.0 | 52.0 | 100.0 | 69.3 | 30.7 | 100.0

The Main section's holdings of derivative instruments are summarised in the table below:

| 2024 | 2023
| Notional | Fair value | Notional | Fair value
| amounts | Assets | Liabilities | amounts | Assets | Liabilities
| £bn | £m | £m | £bn | £m | £m
Inflation rate swaps | 24 | 1,548 | 812 | 29 | 1,929 | 940
Interest rate swaps | 57 | 3,096 | 3,763 | 52 | 3,121 | 3,394
Currency forwards | 8 | 60 | 130 | 13 | 235 | 34
Equity and bond put options | - | - | - | - | - | 4
Other | 1 | 22 | 4 | 1 | 8 | 20

Swaps have been executed at prevailing market rates and within standard market bid/offer spreads with a number of counterparties,
including NWB Plc.
At 31 December 2024, the gross notional value of the swaps was £81 billion (2023 - £81 billion) and had a net positive fair value of
£73 million (2023 - £714 million) against which the scheme had posted 85% collateral.
The schemes do not invest directly in NWB Group but may have exposure to NWB Group through indirect holdings. The trustees of the
respective UK schemes are responsible for ensuring that indirect investments in NWB Group do not exceed the regulatory limit of 5%
of plan assets.
Notes to the financial statements continued
5 Pensions continued
NWB Group
Annual Report and Accounts 2024
117

| NWB Group | NWB Plc
|  | Present |  |  |  | Present |  |
|  | value of | Asset | Net |  | value of | Asset | Net
|  | defined | ceiling | pension |  | defined | ceiling/ | pension
| Fair value of | benefit | / minimum | asset/ | Fair value of | benefit | minimum | asset/
| plan assets | obligation (1) | funding (2) | (liability) | plan assets | obligation (1) | funding (2) | (liability)
Changes in value of net pension asset/(liability) | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January 2023 | 34,957 | (25,518) | (9,467) | (28) | 34,815 | (25,357) | (9,467) | (9)
Currency translation and other adjustments | - | 1 | - | 1 | - | - | - | -
Income statement - operating expenses | 1,721 | (1,338) | (472) | (89) | 1,716 | (1,308) | (472) | (64)
Recognised in other comprehensive income | (1,111) | (1,776) | 2,740 | (147) | (1,107) | (1,772) | 2,740 | (139)
Contributions by employer | 228 | 3 | - | 231 | 203 | - | - | 203
Contributions by plan participants and other scheme | 18 | (18) | - | - | 25 | (25) | - | -
members |  |  |  |  |  |  |  |
Benefits paid | (1,272) | 1,272 | - | - | (1,262) | 1,262 | - | -
At 1 January 2024 | 34,541 | (27,374) | (7,199) | (32) | 34,390 | (27,200) | (7,199) | (9)
Currency translation and other adjustments | (5) | 6 | - | 1 | - | - | - | -
Income statement - other expenses |  |  |  |  |  |  |  |
Net interest expense | 1,631 | (1,283) | (346) | 2 | 1,625 | (1,275) | (346) | 4
Current service cost | - | (87) | - | (87) | - | (76) | - | (76)
Loss on curtailments or settlements | - | - | - | - | - | (1) | - | (1)
Less, direct contributions from other |  |  |  |  |  |  |  |
scheme members | - | 6 | - | 6 | - | 17 | - | 17
Past service cost | - | (1) | - | (1) | - | (3) | - | (3)
| 1,631 | (1,365) | (346) | (80) | 1,625 | (1,338) | (346) | (59)
Other comprehensive income |  |  |  |  |  |  |  |
Return on plan assets excluding recognised |  |  |  |  |  |  |  |
interest income (3) | (4,709) | - | - | (4,709) | (4,709) | - | - | (4,709)
Experience gains and losses | - | 8 | - | 8 | - | 12 | - | 12
Effect of changes in actuarial financial assumptions | - | 2,236 | - | 2,236 | - | 2,243 | - | 2,243
Effect of changes in actuarial demographic |  |  |  |  |  |  |  |
assumptions | - | (76) | - | (76) | - | (76) | - | (76)
Asset ceiling adjustments (3) | - | - | 2,391 | 2,391 | - |  | 2,391 | 2,391
| (4,709) | 2,168 | 2,391 | (150) | (4,709) | 2,179 | 2,391 | (139)
Contributions by employer (4) | 224 | - | - | 224 | 199 | - | - | 199
Contributions by plan participants and other scheme |  |  |  |  |  |  |  |
members | 17 | (17) | - | - | 25 | (25) | - | -
Benefits paid | (1,346) | 1,346 | - | - | (1,314) | 1,314 | - | -
At 31 December 2024 (5) | 30,353 | (25,236) | (5,154) | (37) | 30,216 | (25,070) | (5,154) | (8)

(1)
Defined benefit obligations are subject to annual valuation by independent actuaries.
(2)
NWB Group recognises the net pension scheme surplus or deficit as a net asset or liability. In doing so, the funded status is adjusted to reflect any schemes with a surplus that NWB
Group may not be able to access, as well as any minimum funding requirement to pay in additional contributions. This is most relevant to the Main section, where the current surplus is
not recognised as the trustees have rights over the use of the surplus.
Other NWB Group schemes that this applies to include the Ulster Bank Pension Scheme (NI).
(3)
Buy-in transactions have had a significant, offsetting impact on the “Return on plan assets excluding income” and “Asset ceiling adjustments” line items recognised in OCI.
(4)
NWB Group expects to make contributions to the Main section of £39 million in 2025.
(5)
During 2024, the Court of Appeal upheld the initial High Court ruling in respect of Virgin Media v NTL Pension Trustees II Limited (and others), calling into question the validity of rule
amendments made between 1997 and 2016. In 2023, a selection of amendments from the relevant period judged as material, were reviewed. While uncertainties remain, the review
indicated the risk of a change in the defined benefit obligation (DBO) was remote, so no adjustment was made to the DBO value. This position is unchanged at year end.
Notes to the financial statements continued
5 Pensions continued
NWB Group
Annual Report and Accounts 2024
118

| All schemes
| 2024 | 2023
Amounts recognised on the balance sheet | £m | £m
Fund asset at fair value | 30,353 | 34,541
Present value of fund liabilities | (25,236) | (27,374)
Funded status | 5,117 | 7,167
Assets ceiling/minimum funding | (5,154) | (7,199)
| (37) | (32)

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
Net pension asset/(liability) comprises | £m | £m | £m | £m
Net assets of schemes in surplus (Note 16) | 4 | 5 | - | -
Net liabilities of schemes in deficit ( Note 21) | (41) | (37) | (8) | (9)
| (37) | (32) | (8) | (9)

Funding and contributions by NWB Group
In the UK, the trustees of defined benefit pension schemes are
required to perform funding valuations every three years. The
trustees and the sponsor, with the support of the Scheme
Actuary, agree the assumptions used to value the liabilities and to
determine future contribution requirements. The funding
assumptions incorporate a margin for prudence over and above
the expected cost of providing the benefits promised to members,
taking into account the sponsor’s covenant and the investment
strategy of the scheme. Similar arrangements apply in the other
territories where NWB Group sponsors defined benefit pension
schemes.
A full triennial funding valuation of the Main section, effective 31
December 2023, was completed during financial year 2024.
This triennial funding valuation determined the funding level to be
115%, pension liabilities to be £29 billion and the surplus to be £4
billion, all assessed on the agreed funding basis. The average cost
of the future service of current members is 21.2% of salary before
contributions from those members.
Given the strong funding level,
it was agreed that future service contributions would cease from
1 January 2025. The sponsor will continue to meet administrative
expenses.
The key assumptions used to determine the uninsured funding
liabilities were the discount rate, which is determined based on
fixed interest swap and gilt yields plus 0.64% per annum, and
mortality assumptions, which result in life expectancies of
27.1/29.1 years for male/female pensioners who were age 60 and
28.5/30.6 years from age 60 for males/females who were age 40
at the valuation date.
Accounting assumptions
Placing a value on NWB Group’s defined benefit pension schemes’
liabilities requires NWB Group’s management to make a number
of assumptions, with the support of independent actuaries. The
ultimate cost of the defined benefit obligations depends upon
actual future events and the assumptions made are unlikely to be
exactly borne out in practice, meaning the final cost may be
higher or lower than expected.
Notes to the financial statements continued
5 Pensions continued
NWB Group
Annual Report and Accounts 2024
119
The most significant assumptions used for the Main section are shown below:

| Principal IAS 19 actuarial assumptions (1)
| 2024 | 2023
| % | %
Discount rate | 5.6 | 4.8
Inflation assumption (RPI) | 3.2 | 3.1
Rate of increase in salaries | 1.8 | 1.8
Rate of increase in deferred pensions | 3.4 | 3.2
Rate of increase in pensions in payment | 2.6 | 2.4
Lump sum conversion rate at retirement | 18.0 | 18.0

Longevity at age 60: | years | years
Current pensioners |  |
Males | 26.5 | 26.8
Females | 28.5 | 28.6
Future pensioners, currently aged 40 |  |
Males | 27.5 | 27.7
Females | 29.7 | 29.5

(1)
The above financial assumptions are long-term assumptions set with reference to the period over which the obligations are expected to be settled.
Discount rate
The IAS 19 valuation uses a single discount rate set by reference to the yield on a basket of ‘high quality’ sterling corporate bonds.
Significant judgement is required when setting the criteria for bonds to be included in the basket of bonds that is used to determine the
discount rate used in the IAS 19 valuations. The criteria include issue size, quality of pricing and the exclusion of outliers. Judgement is
also required in determining the shape of the yield curve at long durations: a constant credit spread relative to gilts is assumed.
Sensitivity to the main assumptions is presented below.
The weighted average duration of the Main section’s defined benefit obligation at 31 December 2024 is 13 years (2023 – 14 years).
The chart below shows the projected benefit payment pattern for the Main section in nominal terms. These cashflows are based on
the most recent formal actuarial valuation, effective 31 December 2023
.
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2025
2027
2029
2031
2033
2035
2037
2039
2041
2043
2045
2047
2049
2051
2053
2055
2057
2059
2061
2063
2065
2067
2069
2071
2073
2075
2077
2079
2081
2083
2085
2087
2089
2091
2093
2095
Pensioner
Non pensioner
Expected Cashflows (£m)
Year
Notes to the financial statements continued
5 Pensions continued
NWB Group
Annual Report and Accounts 2024
120
The table below shows how the net pension asset of the Main section would change if the key assumptions used were changed
independently. In practice the variables have a degree of correlation and do not move completely in isolation.

| (Decrease)/ | (Decrease)/ | Increase in net
| increase in | increase in | pension
| value of assets | value of liabilities | (obligations)/assets
2024 | £m | £m | £m
0.5% increase in interest rates/discount rate | (1,554) | (1,529) | (25)
0.25% increase in inflation | 648 | 571 | 77
0.5% increase in credit spreads | (4) | (1,529) | 1,525
Longevity increase of one year | 295 | 832 | (537)
0.25% additional rate of increase in pensions in payment | 205 | 605 | (400)
Increase in equity values of 10% (1) | 199 | na | 199

2023 |  |  |
0.5% increase in interest rates/discount rate | (2,292) | (1,746) | (546)
0.25% increase in inflation | 811 | 578 | 233
0.5% increase in credit spreads | (12) | (1,746) | 1,734
Longevity increase of one year | na | 902 | (902)
0.25% additional rate of increase in pensions in payment | na | 706 | (706)
Increase in equity values of 10% (1) | 229 | na | 229

(1) Includes both quoted and private equity.
The table below shows the combined change in defined benefit obligation from larger movements in these assumptions, assuming no
changes in other assumptions

|  | Change in life expectancies
|  | - 2 years | - 1 year | No change | + 1 year | + 2 years
2024 |  | £bn | £bn | £bn | £bn | £bn
Change in credit spreads | +50 bps | (3.1) | (2.3) | (1.5) | (0.7) | -
| No change | (1.7) | (0.9) | - | 0.8 | 1.7
| -50 bps | (0.2) | 0.7 | 1.7 | 2.5 | 3.4

|  | Change in life expectancies
|  | - 2 years | - 1 year | No change | + 1 year | + 2 years
2023 |  | £bn | £bn | £bn | £bn | £bn
Change in credit spreads | +50 bps | (3.5) | (2.6) | (1.7) | (0.9) | (0.1)
| No change | (1.9) | (0.9) | - | 0.9 | 1.8
| -50 bps | - | 1.0 | 2.0 | 2.9 | 3.9

The defined benefit obligation of the Main section is attributable to the different classes of scheme members in the following
proportions:

| 2024 | 2023
Membership category | % | %
Active members | 6.9 | 7.5
Deferred members | 40.7 | 41.9
Pensioners and dependants | 52.4 | 50.6
| 100.0 | 100.0

The experience history of NWB Group schemes is shown below:

| NWB Group | NWB Plc
| 2024 | 2023 | 2022 | 2021 | 2020 | 2024 | 2023 | 2022 | 2021 | 2020
History of defined benefit schemes | £m | £m | £m | £m | £m | £m | £m | £m | £m | £m
Fair value of plan assets | 30,353 | 34,541 | 34,957 | 53,531 | 52,819 | 30,216 | 34,390 | 34,815 | 53,381 | 51,323
Present value of defined benefit obligations | (25,236) | (27,374) | (25,518) | (43,326) | (45,214) | (25,070) | (27,200) | (25,357) | (43,147) | (43,883)
Net surplus | 5,117 | 7,167 | 9,439 | 10,205 | 7,605 | 5,146 | 7,190 | 9,458 | 10,234 | 7,440
Experience gains/(losses) on plan liabilities | 8 | (1,563) | (2,042) | 244 | 431 | 12 | (1,559) | (2,041) | 245 | 427
Experience (losses)/gains on plan assets | (4,709) | (1,111) | (18,757) | 857 | 5,586 | (4,709) | (1,107) | (18,736) | 852 | 5,486
Actual return on plan assets | (3,078) | 610 | (17,797) | 1,592 | 6,549 | (3,084) | 609 | (17,780) | 1,579 | 6,422
Actual return on plan assets % | (8.9%) | 1.7% | (33.2%) | 3.0% | 13.7% | (9.0%) | 1.7% | (33.3%) | 3.1% | 13.8%

Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
121
6 Auditor’s remuneration
Amounts payable to NWB Group’s auditor for statutory audit and other services are set out below:

| 2024 | 2023
| £m | £m
Fees payable for: |  |
- the audit of NWB Group’s annual accounts | 11.0 | 11.4
- the audit of NWB Plc’s subsidiaries | 2.7 | 2.8
- audit-related assurance services | 0.9 | 0.8
Total audit and audit-related assurance service fees | 14.6 | 15.0
Corporate finance services | 0.1 | 0.1

Fees payable to the auditor for non-audit services are disclosed in the consolidated financial statements of NatWest Group plc.
7 Tax

| 2024 | 2023
| £m | £m
Current tax |  |
Charge for the year | (1,078) | (1,108)
Under provision in respect of prior years | (117) | (63)
| (1,195) | (1,171)
Deferred tax |  |
Charge for the year | (255) | (220)
Increase in the carrying value of deferred tax assets in respect of UK losses | 203 | 137
Over/(under) provision in respect of prior years | 9 | (26)
Tax charge for the year | (1,238) | (1,280)

Current tax for the year ended 31 December 2024 is based on rates of 25% for the standard rate of UK corporation tax and 3% for
the UK banking surcharge.
The actual tax charge differs from the expected tax charge, computed by applying the standard rate of UK corporation tax of 25%
(2023 – 23.5%), as follows:

| 2024 | 2023
| £m | £m
Expected tax charge | (1,166) | (1,125)
Losses and temporary differences in period where no deferred tax asset recognised | (2) | (1)
Foreign profits and losses taxed at other rates | (5) | (8)
Items not allowed for tax: |  |
- losses on disposals and write-downs | (2) | -
- UK bank levy | (20) | (19)
- regulatory and legal actions | (16) | -
- other disallowable items | (36) | (32)
Non-taxable items | 3 | 15
Taxable foreign exchange movements | - | (1)
Increase in the carrying value of deferred tax assets in respect of: |  |
- UK losses (2) | 203 | 137
Banking surcharge | (131) | (190)
Tax on paid in equity dividends | 42 | 33
Adjustments in respect of prior years (1) (2) | (108) | (89)
Actual tax charge | (1,238) | (1,280)

(1)
Prior year tax adjustments incorporate refinements to tax computations made on submission and agreement with the tax authorities and adjustments to provisions in respect of
uncertain tax positions.
(2)
Includes a net £61 million benefit from UK group relief and loss relief claims at higher tax rates (refer to the Deferred Tax section below for details of the recent changes in UK tax rates).
Notes to the financial statements continued
7 Tax continued
NWB Group
Annual Report and Accounts 2024
122
Judgement: Tax contingencies
NWB Group’s corporate income tax charge and its provisions for corporate income taxes necessarily involve a significant degree of
estimation and judgement. The tax treatment of some transactions is uncertain and tax computations are yet to be agreed with the
relevant tax authorities. NWB Group recognises anticipated tax liabilities based on all available evidence and, where appropriate, in the
light of external advice. Any difference between the final outcome and the amounts provided will affect current and deferred income
tax assets and charges in the period when the matter is resolved.
For accounting policy information refer to Accounting policies 2.1 and 3.7.
Deferred tax

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Deferred tax liability | (83) | (89) | - | -
Deferred tax asset | 808 | 981 | 792 | 966
Net deferred tax asset | 725 | 892 | 792 | 966

Net deferred tax asset comprised:

| NWB Group
|  |  |  |  | Tax losses |  |
|  | Accelerated | Expense | Financial | carried |  |
| Pension | capital allowances | provisions | instruments (1) | forward | Other | Total
| £m | £m | £m | £m | £m | £m | £m
At 1 January 2023 | 67 | 162 | 56 | 227 | 445 | 30 | 987
Credit/(charge) to income statement | 1 | (29) | (7) | (6) | (83) | 15 | (109)
(Charge)/credit to other comprehensive | (31) | - | - | 73 | - | (13) | 29
income |  |  |  |  |  |  |
Currency translation and other adjustments | 1 | (16) | - | - | - | - | (15)
At 31 December 2023 | 38 | 117 | 49 | 294 | 362 | 32 | 892
Credit/(charge) to income statement | 2 | 30 | 13 | (14) | (29) | (45) | (43)
(Charge)/credit to other comprehensive | (29) | - | - | (108) | - | 13 | (124)
income |  |  |  |  |  |  |
At 31 December 2024 | 11 | 147 | 62 | 172 | 333 | - | 725

| NWB Plc
|  |  |  |  | Tax losses |  |
|  | Accelerated | Expense | Financial | carried |  |
| Pension | capital allowances | provisions | instruments (1) | forward | Other | Total
| £m | £m | £m | £m | £m | £m | £m
At 1 January 2023 | 65 | 283 | 50 | 231 | 445 | 30 | 1,104
(Charge)/credit to income statement | - | (70) | (3) | (10) | (83) | 15 | (151)
(Charge)/credit to other comprehensive | (32) | - | - | 73 | - | (13) | 28
income |  |  |  |  |  |  |
Currency translation and other adjustments | 1 | (16) | - | - | - | - | (15)
At 31 December 2023 | 34 | 197 | 47 | 294 | 362 | 32 | 966
Credit/(charge) to income statement | - | 24 | 12 | (10) | (29) | (43) | (46)
(Charge)/credit to other comprehensive | (32) | - | - | (108) | - | 13 | (127)
income |  |  |  |  |  |  |
Currency translation and other adjustments | - | - | (1) | - | - | - | (1)
At 31 December 2024 | 2 | 221 | 58 | 176 | 333 | 2 | 792

(1)
The in-year movement predominantly relates to cash flow hedges.
Deferred tax assets in respect of unused tax losses are recognised if the losses can be used to offset probable future taxable profits
after taking into account the expected reversal of other temporary differences. Recognised deferred tax assets in respect of tax losses
are analysed further below
.

| 2024 | 2023
| £m | £m
UK tax losses carried forward |  |
- NWB Plc | 333 | 362
| 333 | 362

Notes to the financial statements continued
7 Tax continued
NWB Group
Annual Report and Accounts 2024
123
Critical accounting policy: Deferred tax
The deferred tax assets of £808 million as at 31 December 2024
(2023 - £981 million) principally comprises losses which arose in
the UK, and temporary differences. These deferred tax assets are
recognised to the extent that it is probable that there will be
future taxable profits to recover them.
The main UK corporation tax increased from 19% to 25%, and the
UK banking surcharge decreased from 8% to 3%, from 1 April
2023.
Judgement
- NWB Group has considered the carrying value of
deferred tax assets and concluded that, based on management’s
estimates, sufficient sustainable taxable profits will be generated
in future years to recover recognised deferred tax assets.
Estimate
-
These estimates are based on forecast performance
for management’s detailed plans. They have regard to inherent
uncertainties.
UK tax losses
Under UK tax rules, tax losses can be carried forward indefinitely.
As the recognised tax losses in the Group arose prior to 1 April
2015, credit in future periods is given against 25% of profits at the
main rate of UK corporation tax, excluding the Banking Surcharge
rate introduced by The Finance (No. 2) Act 2015.
National Westminster Bank Plc
– A deferred tax asset of £333
million (2023 - £362 million) has been recognised in respect of
losses of £1,333 million of total losses of £2,195 million carried
forward at 31 December 2024. The losses arose principally as a
result of significant impairment and conduct charges between
2009 and 2012 during challenging economic conditions in the UK
banking sector. NWB Plc returned to tax profitability during 2015,
and based on a seven year recovery period, expects the deferred
tax asset to be utilised against future taxable profits by the end of
2031.
Unrecognised deferred tax
-
Deferred tax assets of £237 million
(2023 - £220 million) have not been recognised in respect of tax
losses and other deductible temporary differences carried forward
of £941 million (2023 - £881 million) in jurisdictions where doubt
exists over the availability of future taxable profits.
The tax losses
and other deductible temporary differences carried forward have
no expiry date.
Deferred tax liabilities of £107 million (2023 - £104 million) on
aggregate underlying temporary differences of £486 million (2023
- £463 million) have not been recognised in respect of retained
earnings of overseas subsidiaries and held-over gains on the
incorporation of certain overseas branches. Retained earnings of
overseas subsidiaries are expected to be reinvested indefinitely or
remitted to the UK free from further taxation. No taxation is
expected to arise in the foreseeable future in respect of held-over
gains on which deferred tax is not recognised. UK tax legislation
largely exempts from UK tax overseas dividends received
.
8 Profit/(loss) dealt with in the accounts of the NWB Plc
As permitted by section 408(3) of the Companies Act 2006, no income statement for the Bank has been presented as a primary
financial statement.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
124
9 Financial instruments – classification
Judgement: classification of financial assets
Classification of financial assets between amortised cost and fair
value through other comprehensive income requires a degree of
judgement in respect of business models and contractual
cashflows.

The business model criteria is assessed at a portfolio level to
determine whether assets are classified as held to collect or
held to collect and sell. Information that is considered in
determining the applicable business model includes: the
portfolio’s policies and objectives; how the performance and
risks of the portfolio are managed, evaluated and reported to
management; and the frequency, volume and timing of sales
in prior periods, sales expectation for future periods, and the
reasons for sales.

The contractual cash flow characteristics of financial assets
are assessed with reference to whether the cash flows
represent solely payments of principal and interest (SPPI). A
level of judgement is made in assessing terms that could
change the contractual cash flows so that it would not meet
the condition for SPPI, including contingent and leverage
features, non-recourse arrangements and features that could
modify the time value of money.
We originate loans that include features that change the
contractual cash flows based on the borrower meeting certain
contractually specified environmental, social and governance
(ESG) targets. These are known as ESG-linked (or sustainability-
linked) loans. As part of the terms of these loans, the contractual
interest rate is reduced or increased if the borrower meets (or
fails to meet) specific targets linked to the activity of the borrower
for example reducing carbon emissions, increase the level of
diversity at Board level, or achieving a sustainable supply chain.
ESG features are first assessed to ascertain whether the
adjustment to the contractual cash flows results in a de minimis
exposure to risks or volatility in those contractual cash flows. If
this is the case the classification of the loan is not affected. If the
effect of the ESG feature is assessed as being more than de
minimis, we apply judgement to ensure that the ESG features do
not generate compensation for risks that are not in line with a
basic lending arrangement. This includes amongst other aspects a
review of the consistency of the ESG targets with the asset or
activity of the borrower, and consideration of the targets within
our risk appetite. Some of these loans are an integral part of
NatWest Group’s climate and sustainable funding and financing
target.
For accounting policy information refer to Accounting policies 3.8,
3.9 and 3.11.
The following tables analyse NWB Group’s financial assets and liabilities in accordance with the categories of financial instruments in
IFRS 9.

| NWB Group
|  |  | Amortised | Other |
| MFVTPL | FVOCI | cost | assets | Total
Assets | £m | £m | £m | £m | £m
Cash and balances at central banks |  |  | 35,095 |  | 35,095
Derivatives (1) | 2,874 |  |  |  | 2,874
Loans to banks - amortised cost (2) |  |  | 3,426 |  | 3,426
Loans to customers - amortised cost (3) |  |  | 332,013 |  | 332,013
Amounts due from holding companies and fellow subsidiaries | 78 |  | 3,128 | 530 | 3,736
Other financial assets | 534 | 29,335 | 9,702 |  | 39,571
Other assets |  |  |  | 7,594 | 7,594
31 December 2024 | 3,486 | 29,335 | 383,364 | 8,124 | 424,309
Cash and balances at central banks |  |  | 48,259 |  | 48,259
Derivatives (1) | 3,184 |  |  |  | 3,184
Loans to banks - amortised cost (2) |  |  | 3,355 |  | 3,355
Loans to customers - amortised cost (3) |  |  | 318,466 |  | 318,466
Amounts due from holding companies and fellow subsidiaries | - |  | 1,808 | 503 | 2,311
Other financial assets | 453 | 23,495 | 7,996 |  | 31,944
Other assets |  |  |  | 7,949 | 7,949
31 December 2023 | 3,637 | 23,495 | 379,884 | 8,452 | 415,468

For the notes to this table refer to the following page.
Notes to the financial statements continued
9 Financial instruments – classification continued
NWB Group
Annual Report and Accounts 2024
125

| Held-for- |  | Amortised | Other |
| trading | DFV | cost | liabilities | Total
Liabilities | £m | £m | £m | £m | £m
Bank deposits |  |  | 24,780 |  | 24,780
Customer deposits |  |  | 318,290 |  | 318,290
Amounts due to holding companies and fellow subsidiaries | 27 |  | 47,555 | 142 | 47,724
Derivatives (1) | 1,177 |  |  |  | 1,177
Other financial liabilities | 202 | 250 | 4,547 |  | 4,999
Subordinated liabilities |  |  | 122 |  | 122
Notes in circulation |  |  | 935 |  | 935
Other liabilities (4) |  |  | 528 | 2,636 | 3,164
31 December 2024 | 1,406 | 250 | 396,757 | 2,778 | 401,191
Bank deposits |  |  | 18,052 |  | 18,052
Customer deposits |  |  | 313,752 |  | 313,752
Amounts due to holding companies and fellow subsidiaries | 17 |  | 46,956 | 279 | 47,252
Derivatives (1) | 1,718 |  |  |  | 1,718
Other financial liabilities | 13 | - | 8,998 |  | 9,011
Subordinated liabilities |  |  | 122 |  | 122
Notes in circulation |  |  | 806 |  | 806
Other liabilities (4) |  |  | 569 | 2,756 | 3,325
31 December 2023 | 1,748 | - | 389,255 | 3,035 | 394,038

(1)
Includes net hedging derivative assets of £360 million (2023 – £526 million) and net hedging derivative liabilities of £255 million (2023 - £405 million).
(2)
Includes items in the course of collection from other banks of £2 million (2023 - £26 million).
(3)
Includes finance lease receivables of £8,939 million (2023 - £8,664 million).
(4)
Includes lease liabilities of £490 million (2023 - £513 million), held at amortised cost.
Additional information on finance lease receivables
The following table shows the reconciliation of undiscounted finance lease receivables to net investment in finance leases which are
presented under Loans to customers-amortised cost on the balance sheet.

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Amount receivable under finance leases |  |  |  |
Within 1 year | 3,490 | 3,332 | - | 36
years 1 to 2 | 2,491 | 2,351 | 5 | 5
2 to 3 years | 1,604 | 1,617 | 4 | 4
3 to 4 years | 834 | 892 | 4 | 4
4 to 5 years | 457 | 382 | 4 | 4
After 5 years | 1,005 | 1,042 | 38 | 37
Total lease payments | 9,881 | 9,616 | 55 | 90
Unguaranteed residual values | 150 | 169 | - | -
Future drawdowns | (12) | (12) | - | -
Unearned income | (988) | (1,017) | (6) | (9)
Present value of lease payments | 9,031 | 8,756 | 49 | 81
Impairments | (92) | (92) | (1) | (1)
Net investment in finance leases | 8,939 | 8,664 | 48 | 80

Notes to the financial statements continued
9 Financial instruments - classification continued
NWB Group
Annual Report and Accounts 2024
126
The following tables analyse NWB Plc’s financial assets and liabilities in accordance with the categories of financial instruments in IFRS
9.

| NWB Plc
| MFVTPL | FVOCI | Amortised cost | Other assets | Total
Assets | £m | £m | £m | £m | £m
Cash and balances at central banks |  |  | 35,083 |  | 35,083
Derivatives (1) | 2,892 |  |  |  | 2,892
Loans to banks - amortised cost (2) |  |  | 3,148 |  | 3,148
Loans to customers - amortised cost (3) |  |  | 297,548 |  | 297,548
Amounts due from holding companies and fellow |  |  |  |  |
| 632 |  | 34,903 | 848 | 36,383
subsidiaries |  |  |  |  |
Other financial assets | 534 | 28,836 | 9,428 |  | 38,798
Investment in group undertakings |  |  |  | 2,520 | 2,520
Other assets |  |  |  | 5,503 | 5,503
31 December 2024 | 4,058 | 28,836 | 380,110 | 8,871 | 421,875
Cash and balances at central banks |  |  | 48,238 |  | 48,238
Derivatives (1) | 3,213 |  |  |  | 3,213
Loans to banks - amortised cost (2) |  |  | 3,043 |  | 3,043
Loans to customers - amortised cost (3) |  |  | 284,314 |  | 284,314
Amounts due from holding companies and fellow |  |  |  |  |
subsidiaries | 559 |  | 32,158 | 782 | 33,499
Other financial assets | 453 | 23,013 | 7,626 |  | 31,092
Investment in group undertakings |  |  |  | 2,615 | 2,615
Other assets |  |  |  | 5,735 | 5,735
31 December 2023 | 4,225 | 23,013 | 375,379 | 9,132 | 411,749

| Held-for- trading | DFV | Amortised cost | Other liabilities | Total
Liabilities | £m | £m | £m | £m | £m
Bank deposits |  |  | 24,778 |  | 24,778
Customer deposits |  |  | 275,972 |  | 275,972
Amounts due to holding companies and fellow subsidiaries | 27 | 270 | 90,401 | 227 | 90,925
Derivatives (1) | 1,323 |  |  |  | 1,323
Other financial liabilities | 202 | 250 | 3,372 |  | 3,824
Subordinated liabilities |  |  | 119 |  | 119
Notes in circulation |  |  | 935 |  | 935
Other liabilities (4) |  |  | 403 | 1,987 | 2,390
31 December 2024 | 1,552 | 520 | 395,980 | 2,214 | 400,266
Bank deposits |  |  | 18,052 |  | 18,052
Customer deposits |  |  | 276,202 |  | 276,202
Amounts due to holding companies and fellow subsidiaries | 17 | 268 | 83,524 | 365 | 84,174
Derivatives (1) | 2,014 |  |  |  | 2,014
Other financial liabilities | 13 | - | 8,134 |  | 8,147
Subordinated liabilities |  |  | 119 |  | 119
Notes in circulation |  |  | 806 |  | 806
Other liabilities (4) |  |  | 480 | 2,054 | 2,534
31 December 2023 | 2,044 | 268 | 387,317 | 2,419 | 392,048

(1)
Includes net hedging derivative assets of £358 million (2023 - £523 million) and net hedging derivative liabilities of £250 million (2023 - £398 million).
(2)
Includes items in the course of collection from other banks of £2 million (2023 - £26 million).
(3)
Includes finance lease receivables of £48 million (2023 - £80 million).
(4)
Includes lease liabilities of £366 million (2023 - £427 million), held at amortised cost.
Notes to the financial statements continued
9 Financial instruments - classification continued
NWB Group
Annual Report and Accounts 2024
127
Financial instruments – financial assets and liabilities that can be offset
The tables below present information on financial assets and liabilities that are offset on the balance sheet under IFRS or subject to
enforceable master netting agreements together with financial collateral received or given
.

| NWB Group
| Instruments which can be offset | Potential for offset not recognised by IFRS |  |
|  |  |  | Effect of |  |  | Net amount after |  |
|  |  |  | master netting |  |  | effect of netting | Instruments | Balance
|  |  | Balance | and similar | Cash | Securities | agreements and | outside netting | sheet
Gross | IFRS | offset | sheet | agreements | collateral | collateral | related collateral | agreements | total
2024 | £m | £m | £m | £m | £m | £m | £m | £m | £m
Derivative assets | 18,889 | (16,019) | 2,870 | (881) | (217) | (676) | 1,096 | 4 | 2,874
Derivative liabilities | 19,455 | (18,300) | 1,155 | (881) | (80) | - | 194 | 22 | 1,177
Net position (1) | (566) | 2,281 | 1,715 | - | (137) | (676) | 902 | (18) | 1,697
Non trading reverse repos | 40,845 | (7,466) | 33,379 | - | - | (33,379) | - | - | 33,379
Non trading repos | 18,038 | (7,466) | 10,572 | - | - | (10,572) | - | - | 10,572
Net position | 22,807 | - | 22,807 | - | - | (22,807) | - | - | 22,807
2023 |  |  |  |  |  |  |  |  |
Derivative assets | 18,535 | (15,355) | 3,180 | (1,405) | (13) | (324) | 1,438 | 4 | 3,184
Derivative liabilities | 20,325 | (18,627) | 1,698 | (1,405) | (198) | - | 95 | 20 | 1,718
Net position (1) | (1,790) | 3,272 | 1,482 | - | 185 | (324) | 1,343 | (16) | 1,466
Non trading reverse repos | 34,682 | (8,570) | 26,112 | - | - | (26,112) | - | - | 26,112
Non trading repos | 21,629 | (8,570) | 13,059 | - | - | (13,059) | - | - | 13,059
Net position | 13,053 | - | 13,053 | - | - | (13,053) | - | - | 13,053

| NWB Plc
| Instruments which can be offset | Potential for offset not recognised by IFRS |  |
|  |  |  | Effect of |  |  | Net amount after |  |
|  |  |  | master netting |  |  | effect of netting | Instruments |
|  |  | Balance | and similar | Cash | Securities | agreements and | outside netting | Balance sheet
Gross | IFRS | offset | sheet | agreements | collateral | collateral | related collateral | agreements | total
2024 | £m | £m | £m | £m | £m | £m | £m | £m | £m
Derivative assets | 18,896 | (16,019) | 2,877 | (882) | (217) | (676) | 1,102 | 15 | 2,892
Derivative liabilities | 19,471 | (18,300) | 1,171 | (882) | (80) | - | 209 | 152 | 1,323
Net position (1) | (575) | 2,281 | 1,706 | - | (137) | (676) | 893 | (137) | 1,569
Non trading reverse repos | 40,845 | (7,466) | 33,379 | - | - | (33,379) | - | - | 33,379
Non trading repos | 18,038 | (7,466) | 10,572 | - | - | (10,572) | - | - | 10,572
Net position | 22,807 | - | 22,807 | - | - | (22,807) | - | - | 22,807
2023 |  |  |  |  |  |  |  |  |
Derivative assets | 18,551 | (15,355) | 3,196 | (1,407) | (13) | (324) | 1,452 | 17 | 3,213
Derivative liabilities | 20,348 | (18,627) | 1,721 | (1,407) | (198) | - | 116 | 293 | 2,014
Net position (1) | (1,797) | 3,272 | 1,475 | - | 185 | (324) | 1,336 | (276) | 1,199
Non trading reverse repos | 34,682 | (8,570) | 26,112 | - | - | (26,112) | - | - | 26,112
Non trading repos | 21,629 | (8,570) | 13,059 | - | - | (13,059) | - | - | 13,059
Net position | 13,053 | - | 13,053 | - | - | (13,053) | - | - | 13,053

(1)
Within NWB Group and NWB Plc, the net IFRS offset balance of £2,281 million (2023 - £3,272 million) relates to variation margin netting reflected on other balance sheet lines.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
128
10 Financial instruments – valuation

| Page
Financial instruments |
Critical accounting policy: Fair value | 128
Valuation |
Fair value hierarchy (D) | 128
Valuation techniques (D) | 128
Inputs to valuation models (D) | 129
Valuation control (D) | 129
Key areas of judgement (D) | 130
Assets and liabilities split by fair value |
hierarchy level (T) | 130
Valuation adjustments |
Fair value adjustments made (T) | 131
Funding valuation adjustments (FVA) (D) | 131
Credit valuation adjustments (CVA) (D) | 131
Bid-offer (D) | 131
Product and deal specific (D) | 131
Level 3 additional information |
Level 3 ranges of unobservable inputs (D) | 131
Alternative assumptions (D) | 132
Other considerations (D) | 132
High and low range of fair value of |
level 3 assets and liabilities (T) | 132
Movement in level 3 assets and liabilities |
over the reporting period (D) | 133
Movement in level 3 assets and liabilities (T) | 133
Fair value of financial instruments measured |
at amortised cost |
Fair value of financial instruments |
measured at amortised cost on the balance sheet (T) | 134
(D) = Descriptive; (T) = Table |

Critical accounting policy: Fair value
- financial
instruments
Financial instruments classified as mandatory fair value through
profit or loss; held-for-trading; designated fair value through
profit or loss and fair value through other comprehensive income
are recognised in the financial statements at fair value. All
derivatives are measured at fair value.
Fair value is the price that would be received to sell an asset or
paid to transfer a liability in an orderly transaction between
market participants at the measurement date. A fair value
measurement considers the characteristics of the asset or liability
and the assumptions that a market participant would consider
when pricing the asset or liability.
NWB Group manages some portfolios of financial assets and
financial liabilities based on its net exposure to either market or
credit risk. In these cases, the fair value is derived from the net
risk exposure of that portfolio with portfolio level adjustments
applied to incorporate bid-offer spreads, counterparty credit risk,
and funding costs (refer to Valuation Adjustments).
Where the market for a financial instrument is not active, fair
value is established using a valuation technique. These valuation
techniques involve a degree of estimation, the extent of which
depends on the instrument’s complexity and the availability of
market-based data. The complexity and uncertainty in the
financial instrument’s fair value is categorised using the fair
value hierarchy.
For accounting policy information refer to Accounting policies
2.2, 3.8 and 3.11.
Valuation
Fair value hierarchy
Financial instruments carried at fair value have been classified
under the fair value hierarchy. The classification ranges from
level 1 to level 3, with more expert judgement and price
uncertainty for those classified at level 3.
The determination of an instrument’s level cannot be made at a
global product level as a single product type can be in more
than one level. For example, a single name corporate credit
default swap could be in level 2 or level 3 depending on the level
of market activity for the referenced entity.
Level 1 -
instruments valued using unadjusted quoted prices in
active and liquid markets, for identical financial instruments.
Examples include government bonds, listed equity shares and
certain exchange-traded derivatives.
Level 2
- instruments valued using valuation techniques that
have observable inputs. Observable inputs are those that are
readily available with limited adjustments required. Examples
include most government agency securities, investment-grade
corporate bonds, certain mortgage products – including
collateralised loan obligations (CLOs), most bank loans, repos
and reverse repos, state and municipal obligations, most notes
issued, certain money market securities, loan commitments and
most over the counter (OTC) derivatives.
Level 3
- instruments valued using a valuation technique where
at least one input which could have a significant effect on the
instrument’s valuation, is not based on observable market data.
Examples include non-derivative instruments which trade
infrequently, certain syndicated and commercial mortgage loans,
private equity, and derivatives with unobservable model inputs.
Valuation techniques
NWB Group derives the fair value of its instruments differently
depending on whether the instrument is a non-modelled or a
modelled product.
Non-modelled products
are valued directly from a price input,
typically on a position-by-position basis. Examples include
equities and most debt securities.
Non-modelled products can fall into any fair value levelling
hierarchy depending on the observable market activity, liquidity,
and assessment of valuation uncertainty of the instruments. The
assessment of fair value and the classification of the instrument
to a fair value level is subject to the valuation controls discussed
in the Valuation control section.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
129
10 Financial instruments – valuation
continued
Modelled products
valued using a pricing model range in
complexity from comparatively vanilla products such as interest
rate swaps and options (e.g., interest rate caps and floors)
through to more complex derivatives (e.g., balance guarantee
swaps).
For modelled products, the fair value is derived using the model
and the appropriate model inputs or parameters, as opposed to
from a cash price equivalent. Model inputs are taken either
directly or indirectly from available data, where some inputs are
also modelled.
Fair value classification of modelled instruments is either level 2
or level 3, depending on the product/model combination, the
observability and quality of input parameters and other factors.
All these must be assessed to classify a position. The modelled
product is assigned to the lowest fair value hierarchy level of any
significant input used in that valuation.
Most derivative instruments, for example vanilla interest rate
swaps, foreign exchange swaps and liquid single name credit
derivatives, are classified as level 2. This is because they are
vanilla products valued using standard market models and with
observable inputs. Level 2 products range from vanilla to more
complex products, where more complex products remain
classified as level 2 due to the materiality of any unobservable
inputs.
Inputs to valuation models
When using valuation techniques, the fair value can be
significantly affected by the choice of valuation model and
underlying assumptions. Factors considered include the cashflow
amounts and timing of those cash flows, and application of
appropriate discount rates, incorporating both funding and credit
risk. Values between and beyond available data points are
obtained by interpolation and extrapolation. The principal inputs
to these valuation techniques are as follows:
Bond prices
- quoted prices are generally available for
government bonds, certain corporate securities, and some
mortgage-related products.
Credit spreads/margins
- these reflect credit default swap levels
or the return required over a benchmark rate or index to
compensate for the referenced credit risk. Where available, these
are derived from the price of credit default swaps or other credit-
based instruments, such as debt securities. When direct prices
are not available; credit spreads/margins are determined with
reference to available prices of entities with similar
characteristics.
Interest rates
- these are principally based on interest rate swap
prices referencing benchmark interest rates. Benchmark rates
include Interbank Offered Rates (IBOR) and overnight interest
rates, including SONIA (Sterling Overnight Interbank Average
Rate). Other quoted interest rates may also be used from both
the bond, and futures markets.
Foreign currency exchange rates
- there are observable prices
both for spot and forward contracts and futures in the world's
major currencies.
Equity and equity index prices
- quoted prices are generally
readily available for equity shares listed on the world's major
stock exchanges and for major indices on such shares.
Price volatilities and correlations
- volatility is a measure of the
tendency of a price to change with time. Correlation measures
the degree which two or more prices or variables are observed
to move together. Variables that move in the same direction
show positive correlation; those that move in opposite directions
are negatively correlated.
Prepayment rates
- rates used to reflect how fast a pool of
assets prepay. The fair value of a financial instrument that can be
prepaid by the issuer or borrower differs from that of an
instrument that cannot be prepaid. When valuing prepayable
instruments, the value of this prepayment option is considered.
Recovery rates/loss given default
- these are used as an input to
valuation models and reserves for asset-backed securities and
other credit products as an indicator of severity of losses on
default. Recovery rates are primarily sourced from market data
providers, the value of the underlying collateral, or inferred from
observable credit spreads.
Valuation control
NWB Group's control environment for the determination of the
fair value of financial instruments includes formalised procedures
for the review and validation of fair values. The review of market
prices and inputs is performed by an independent price
verification (IPV) team.
IPV is a key element of the control environment. Valuations are
first performed by the business which entered into the
transaction. These valuations are then reviewed by the IPV team,
independent of those trading the financial instruments, in light of
available pricing evidence.
Independent pricing data is collated from a range of sources.
Each source is reviewed for quality and the independent data
applied in the IPV processes using a formalised input quality
hierarchy. Consensus services are one source of independent
data and encompass interest rate, currency, credit, and bond
markets, providing comprehensive coverage of vanilla products
and a wide selection of exotic products.
Where measurement differences are identified through the IPV
process these are grouped by the quality hierarchy of the
independent data. If the size of the difference exceeds defined
thresholds, an adjustment is made to bring the valuation to within
the independently calculated fair value range.
IPV takes place at least monthly, for all fair value financial
instruments. The IPV control includes formalised reporting and
escalation of any valuation differences in breach of established
thresholds.
The quality and completeness of the information gathered in the
IPV process gives an indication as to the liquidity and valuation
uncertainty of an instrument and forms part of the information
considered when determining fair value hierarchy classifications.
Initial fair value level classification of a financial instrument is
carried out by the IPV team. These initial classifications are
subject to senior management review. Particular attention is paid
to instruments transferring from one level to another, new
instrument classes or products, instruments where the
transaction price is significantly different from the fair value and
instruments where valuation uncertainty is high.
Notes to the financial statements continued
10 Financial instruments – valuation
continued
NWB Group
Annual Report and Accounts 2024
130
Valuation Committees are made up of valuation specialists and
senior business representatives from various functions and
oversee pricing, reserving and valuations issues. These
committees meet monthly to review and ratify any methodology
changes. The Executive Valuation Committee meets quarterly to
address key material and subjective valuation issues, to review
items escalated by Valuation Committees and to discuss other
relevant industry matters.
The Group model risk policy sets the policy for model
documentation, testing and review. Governance of the model risk
policy is carried out by the Group model risk oversight
committee, which comprises model risk owners and independent
model experts. All models are required to be independently
validated in accordance with the Model Risk Policy.
Key areas of judgement
Over the years the business has simplified, with most products
classified as level 1 or 2 of the fair value hierarchy. However, the
diverse range of products historically traded by NWB Group
means some products remain classified as level 3. Level 3
indicates a significant level of pricing uncertainty, where expert
judgement is used. As such, extra disclosures are required in
respect of level 3 instruments
.
In general, the degree of expert judgement used and hence
valuation uncertainty depends on the degree of liquidity of an
instrument or input.
Where markets are liquid, little judgement is required. However,
when the information regarding the liquidity in a particular
market is not clear, a judgement may need to be made. For
example, for an equity traded on an exchange, daily volumes of
trading can be seen, but for an OTC derivative, assessing the
liquidity of the market with no central exchange is more
challenging.
A key related matter is where a market moves from liquid to
illiquid or vice versa. Where this movement is considered
temporary, the fair value level is not changed. For example, if
there is little market trading in a product on a reporting date but
at the previous reporting date and during the intervening period
the market has been liquid. In this case, the instrument will
continue to be classified at the same level in the hierarchy. This is
to provide consistency so that transfers between levels are
driven by genuine changes in market liquidity and do not reflect
short term or seasonal effects. Material movements between
levels are reviewed quarterly by the business and IPV.
The breadth and depth of the IPV data allows for a rules-based
quality assessment to be made of market activity, liquidity, and
pricing uncertainty, which assists with the process of allocation to
an appropriate level. Where suitable independent pricing
information is not readily available, the quality assessment will
result in the instrument being assessed as level 3.
The table below shows the assets and liabilities held by NWB Group split by fair value hierarchy level. Level 1 are considered the most
liquid instruments, and level 3 the most illiquid, valued using expert judgement and so carrying the most significant price uncertainty.

| 2024 | 2023
| Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total
| £m | £m | £m | £m | £m | £m | £m | £m
Assets |  |  |  |  |  |  |  |
Derivatives |  |  |  |  |  |  |  |
Interest rate | - | 2,539 | 7 | 2,546 | - | 3,098 | 3 | 3,101
Foreign exchange | - | 328 | - | 328 | - | 83 | - | 83
Amounts due from holding companies and |  |  |  |  |  |  |  |
fellow subsidiaries | - | 78 | - | 78 | - | - | - | -
Other financial assets |  |  |  |  |  |  |  |
Loans | - | 286 | 261 | 547 | - | 278 | 175 | 453
Securities | 18,012 | 11,307 | 3 | 29,322 | 14,159 | 9,334 | 2 | 23,495
Total financial assets held at fair value | 18,012 | 14,538 | 271 | 32,821 | 14,159 | 12,793 | 180 | 27,132
As % of total fair value assets | 55% | 44% | 1% |  | 52% | 47% | 1% |
Liabilities |  |  |  |  |  |  |  |
Derivatives |  |  |  |  |  |  |  |
Interest rate | - | 1,033 | 10 | 1,043 | - | 1,460 | 9 | 1,469
Foreign exchange | - | 124 | - | 124 | - | 249 | - | 249
Other | - | 10 | - | 10 | - | - | - | -
Amounts due from holding companies and |  |  |  |  |  |  |  |
fellow subsidiaries | - | 27 | - | 27 | - | 17 | - | 17
Other financial liabilities |  |  |  |  |  |  |  |
Deposits | - | 452 | - | 452 | - | 13 | - | 13
Total financial liabilities held at fair value | - | 1,646 | 10 | 1,656 | - | 1,739 | 9 | 1,748
As % of total fair value liabilities | - | 99% | 1% |  | - | 99% | 1% |

(1)
Transfers between levels are deemed to have occurred at the beginning of the quarter in which the instrument was transferred.
Notes to the financial statements continued
10 Financial instruments – valuation
continued
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Annual Report and Accounts 2024
131
Valuation adjustments
When valuing financial instruments in the trading book,
adjustments are made to mid-market valuations to cover bid-
offer spread, funding and credit risk. These adjustments are
presented in the table below:

| 2024 | 2023
Adjustment | £m | £m
Funding valuation adjustments | 126 | 122
Credit valuation adjustments | 1 | -
Bid-offer | 25 | 14
Product and deal specific | 1 | -
Total | 153 | 136

Bid-offer increased during the year, primarily driven by bid-offer
reserve taken on credit risk and additional liquidity reserves.
Funding valuation adjustments (FVA)
FVA represents an estimate of the adjustment that a market
participant would make to incorporate funding costs and benefits
that arise in relation to derivative exposures. FVA is calculated as
a portfolio level adjustment and can result in either a funding
charge (positive) or funding benefit (negative).
Funding levels are applied to estimated potential future
exposures. For uncollateralised derivatives, the exposure reflects
the future valuation of the derivative. For collateralised
derivatives, the exposure reflects the difference between the
future valuation of the derivative and the level of collateral
posted.
Credit valuation adjustments (CVA)
CVA represents an estimate of the adjustment to fair value that
is made to incorporate the counterparty credit risk inherent in
derivative exposures. The CVA is calculated on a portfolio basis
reflecting an estimate of the amount a third party would charge
to assume the credit risk.
Collateral held under a credit support agreement is factored into
the CVA calculation. In such cases where NWB Group holds
collateral against counterparty exposures, CVA is held to the
extent that residual risk remains.
FVA and CVA are actively managed by a credit and market risk
hedging process, and therefore movements in CVA and FVA are
partially offset by trading revenue on the hedges.
Bid-offer
Fair value positions are required to be marked to exit,
represented by bid (long positions) or offer (short positions) levels.
Non-derivative positions are typically marked directly to bid or
offer prices. However derivative exposures are adjusted to exit
levels by taking bid-offer reserves calculated on a portfolio basis.
The bid-offer approach is based on current market spreads and
standard market bucketing of risk.
Bid-offer spreads vary by maturity and risk type to reflect
different spreads in the market. For positions where there is no
observable quote, the bid-offer spreads are widened in
comparison to proxies to reflect reduced liquidity or observability.
Netting is applied on a portfolio basis to reflect the value at which
NWB Group believes it could exit the net risk of the portfolio,
rather than the sum of exit costs for each of the portfolio’s
individual trades. This is applied where the asset and liability
positions are managed as a portfolio for risk and reporting
purposes.
Product and deal specific
On initial recognition of financial assets and liabilities valued using
valuation techniques which have a significant dependence on
information other than observable market data, any difference
between the transaction price and that derived from the
valuation technique is deferred. Such amounts are recognised in
the income statement over the life of the transaction, when
market data becomes observable, or when the transaction
matures or is closed out as appropriate.
Where system generated valuations do not accurately reflect
market prices, manual valuation adjustments are applied either at
a position or portfolio level. Manual adjustments are subject to
the scrutiny of independent control teams and are subject to
monthly review by senior management.
Level 3 additional information
For illiquid assets and liabilities, classified as level 3, additional information is provided on the valuation techniques used and price
sensitivity of the products to those inputs. This is to enable the reader to gauge the level of uncertainty that arises from positions with
significant unobservable inputs or modelling parameters.
Level 3 ranges of unobservable inputs
The table below provides additional information on level 3 instruments and inputs. This shows the valuation technique used for the fair
value calculation, the unobservable input or inputs and input range.

|  |  |  | 2024 | 2023
Financial instrument | Valuation technique | Unobservable inputs | Units | Low | High | Low | High
Other financial assets |  |  |  |  |  |  |
Loans | Price-based | Price | % | 84 | 100 | 88 | 100
Derivative assets and liabilities |  |  |  |  |  |  |
Interest rate & FX |  |  |  |  |  |  |
derivatives | Discount cash flow | Conditional prepayment risk | 4 | % | 5 | 3 | 5

(1)
NWB Group does not have any material liabilities measured at fair value that are issued with an inseparable third party credit enhancement.
Notes to the financial statements continued
10 Financial instruments: valuation continued
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Annual Report and Accounts 2024
132
Level 3 sensitivities
The level 3 sensitivities presented below are calculated at a trade
or low-level portfolio basis rather than an overall portfolio basis.
As individual sensitivities are aggregated with no reflection of the
correlated nature between instruments, the overall portfolio
sensitivity may not be accurately reflected. For example, some
portfolios may be negatively correlated to others, where a
downwards movement in one asset would produce an upwards
movement in another. However, due to the additive presentation
of the above figures this correlation impact cannot be displayed.
As such, the actual potential downside sensitivity of the total
portfolio may be less than the non-correlated sum of the additive
figures as shown in the below table.
Alternative assumptions
Reasonably plausible alternative assumptions of unobservable
inputs are determined based on a specified target level of
certainty of 90%.
Alternative assumptions are determined with reference to all
available evidence including consideration of the following: quality
of independent pricing information considering consistency
between different sources, variation over time, perceived
tradability or otherwise of available quotes; consensus service
dispersion ranges; volume of trading activity and market bias (e.g.
one-way inventory); day 1 profit or loss arising on new trades;
number and nature of market participants; market conditions;
modelling consistency in the market; size and nature of risk;
length of holding of position; and market intelligence.
Other considerations
Whilst certain inputs used to calculate CVA and FVA are not
based on observable market data, the uncertainty of these inputs
is not considered to have a significant effect on the net valuation
of the related derivative portfolios.
As such, the fair value levelling of the derivative portfolios is not
determined by CVA or FVA inputs. In addition, any fair value
sensitivity driven by these inputs is not included in the level 3
sensitivities presented.
The table below shows the high and low range of fair value of the level 3 assets and liabilities. This range incorporates the range of
fair value inputs as described in the previous table.

| 2024 | 2023
| Level 3 | Favourable | Unfavourable | Level 3 | Favourable | Unfavourable
| £m | £m | £m | £m | £m | £m
Assets |  |  |  |  |  |
Derivatives |  |  |  |  |  |
Interest rate | 7 | - | - | 3 | - | -
Other financial assets |  |  |  |  |  |
Loans | 261 | - | (10) | 175 | - | (10)
Securities | 3 | - | - | 2 | - | -
Total | 271 | - | (10) | 180 | - | (10)
Liabilities |  |  |  |  |  |
Derivatives |  |  |  |  |  |
Interest rate | 10 | - | - | 9 | - | -
Total | 10 | - | - | 9 | - | -

10 Financial instruments: valuation continued
Notes to the financial statements continued
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Annual Report and Accounts 2024
133
Movement in level 3 assets and liabilities over the reporting period
The following table shows the movement in level 3 assets and liabilities in the year.

|  | Other | Other |  |  | Other | Other |
| Derivatives | trading | financial | Total | Derivatives | trading | financial | Total
| assets | assets (2) | assets (3) | assets | liabilities | liabilities (2) | liabilities | liabilities
2024 | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January | 3 | - | 176 | 179 | 9 | - | - | 9
Amounts recorded in the income |  |  |  |  |  |  |  |
statement (1) | 11 | - | 5 | 16 | 3 | - | - | 3
Level 3 transfers in | - | - | 45 | 45 | - | - | - | -
Purchases/originations | - | - | 37 | 37 | - | - | - | -
Settlements/other decreases | (7) | - | - | (7) | (2) | - | - | (2)
Foreign exchange and other | - | - | 1 | 1 | - | - | - | -
At 31 December | 7 | - | 264 | 271 | 10 | - | - | 10
Amounts recorded in the income statement |  |  |  |  |  |  |  |
in respect of balances held at period end |  |  |  |  |  |  |  |
- unrealised | 4 | - | 5 | 9 | 1 | - | - | 1

2023 |  |  |  |  |  |  |  |
At 1 January | 20 | - | 50 | 70 | 7 | - | - | 7
Amounts recorded in the income |  |  |  |  |  |  |  |
statement (1) | (8) | - | (19) | (27) | 3 | - | - | 3
Level 3 transfers in | - | - | 23 | 23 | - | - | - | -
Purchases/originations | - | - | 122 | 122 | - | - | - | -
Settlements/other decreases | (8) | - | - | (8) | (2) | - | - | (2)
Foreign exchange and other | (1) | - | 1 | - | 1 | - | - | 1
At 31 December | 3 | - | 177 | 180 | 9 | - | - | 9
Amounts recorded in the income statement |  |  |  |  |  |  |  |
in respect of balances held at period end |  |  |  |  |  |  |  |
- unrealised | (10) | - | (19) | (29) | 2 | - | - | 2

(1)
Net gains on trading assets and liabilities of £8 million (2023 – net losses £11 million) were recorded in income from trading activities.
(2)
Other trading assets and other trading liabilities comprise assets and liabilities held at fair value in trading portfolios.
(3)
Other financial assets comprise fair value through other comprehensive income, designated as at fair value through profit or loss and other fair value through profit or loss.
Notes to the financial statements continued
10 Financial instruments: valuation continued
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Annual Report and Accounts 2024
134
Fair value of financial instruments measured at amortised cost on the balance sheet
The following table shows the carrying value and fair value of financial instruments measured at amortised cost on the balance sheet
.

| NWB Group
|  |  |  |  |  | Items where fair
| Carrying | Fair | Fair value hierarchy level | value approximates
| value | value | Level 1 | Level 2 | Level 3 | carrying value
2024 | £bn | £bn | £bn | £bn | £bn | £bn
Financial assets |  |  |  |  |  |
Cash and balances at central banks | 35.1 | 35.1 | - | - | - | 35.1
Loans to banks | 3.4 | 3.4 | - | 1.4 | 0.5 | 1.5
Loans to customers | 332.0 | 327.9 | - | 31.8 | 296.1 | -
Amounts due from holding companies |  |  |  |  |  |
and fellow subsidiaries | 3.1 | 3.2 | - | 2.0 | 1.2 | -
Other financial assets |  |  |  |  |  |
Securities | 9.7 | 9.7 | 2.7 | 6.7 | 0.3 | -
2023 |  |  |  |  |  |
Financial assets |  |  |  |  |  |
Cash and balances at central banks | 48.3 | 48.3 | - | - | - | 48.3
Loans to banks | 3.4 | 3.4 | - | 1.7 | 0.3 | 1.4
Loans to customers | 318.5 | 310.7 | - | 25.9 | 284.8 | -
Amounts due from holding companies |  |  |  |  |  |
and fellow subsidiaries | 1.8 | 1.8 | - | - | 1.8 | -
Other financial assets |  |  |  |  |  |
Securities | 8.0 | 8.0 | 1.9 | 5.7 | 0.4 | -
2024 |  |  |  |  |  |
Financial liabilities |  |  |  |  |  |
Bank deposits | 24.8 | 24.6 | - | 21.5 | - | 3.1
Customer deposits | 318.3 | 318.1 | - | 19.9 | 26.6 | 271.6
Amounts due to holding companies |  | - |  |  |  |
and fellow subsidiaries | 47.6 | 47.8 | - | 39.8 | 3.3 | 4.7
Other financial liabilities |  |  |  |  |  |
Debt securities in issue | 4.5 | 4.5 | - | 0.7 | 3.8 | -
Subordinated liabilities | 0.1 | 0.2 | - | 0.2 | - | -
Notes in circulation | 0.9 | 0.9 | - | - | - | 0.9
2023 |  |  |  |  |  |
Financial liabilities |  |  |  |  |  |
Bank deposits | 18.1 | 18.2 | - | 14.9 | 0.3 | 3.0
Customer deposits | 313.8 | 313.4 | - | 26.8 | 27.1 | 259.5
Amounts due to holding companies |  | - |  |  |  |
and fellow subsidiaries | 47.0 | 47.0 | - | 29.8 | 12.6 | 4.6
Other financial liabilities |  |  |  |  |  |
Debt securities in issue | 9.0 | 9.0 | - | 2.1 | 6.9 | -
Subordinated liabilities | 0.1 | 0.2 | - | 0.2 | - | -
Notes in circulation | 0.8 | 0.8 | - | - | - | 0.8

Notes to the financial statements continued
10 Financial instruments: valuation continued
Fair value of financial instruments measured at amortised cost on the balance sheet continued
NWB Group
Annual Report and Accounts 2024
135

| NWB Plc
|  |  |  |  |  | Items where fair
| Carrying | Fair | Fair value hierarchy level | value approximates
| value | value | Level 1 | Level 2 | Level 3 | carrying value
2024 | £bn | £bn | £bn | £bn | £bn | £bn
Financial assets |  |  |  |  |  |
Cash and balances at central banks | 35.1 | 35.1 | - | - | - | 35.1
Loans to banks | 3.1 | 3.1 | - | 1.4 | 0.2 | 1.5
Loans to customers | 297.5 | 294.9 | - | 31.8 | 263.1 | -
Amounts due from holding companies |  |  |  |  |  |
and fellow subsidiaries | 34.9 | 34.5 | - | 33.3 | 1.2 | -
Other financial assets |  |  |  |  |  |
Securities | 9.4 | 9.4 | 2.7 | 6.7 | - | -
2023 |  |  |  |  |  |
Financial assets |  |  |  |  |  |
Cash and balances at central banks | 48.2 | 48.2 | - | - | - | 48.2
Loans to banks | 3.0 | 3.0 | - | 1.7 | - | 1.3
Loans to customers | 284.3 | 277.8 | - | 25.8 | 252.0 | -
Amounts due from holding companies |  |  |  |  |  |
and fellow subsidiaries | 32.2 | 31.8 | - | 24.1 | 7.7 | -
Other financial assets |  |  |  |  |  |
Securities | 7.6 | 7.6 | 1.9 | 5.7 | - | -
2024 |  |  |  |  |  |
Financial liabilities |  |  |  |  |  |
Bank deposits | 24.8 | 24.6 | - | 21.5 | - | 3.1
Customer deposits | 276.0 | 275.8 | - | 19.9 | 16.0 | 239.9
Amounts due to holding companies |  |  |  |  |  |
and fellow subsidiaries | 90.4 | 90.3 | - | 83.6 | 5.4 | 1.3
Other financial liabilities |  |  |  |  |  |
Debt securities in issue | 3.4 | 3.4 | - | 0.8 | 2.6 | -
Subordinated liabilities | 0.1 | 0.2 | - | 0.2 | - | -
Notes in circulation | 0.9 | 0.9 | - | - | - | 0.9
2023 |  |  |  |  |  |
Financial liabilities |  |  |  |  |  |
Bank deposits | 18.1 | 18.2 | - | 14.9 | 0.3 | 3.0
Customer deposits | 276.2 | 275.8 | - | 26.8 | 15.6 | 233.4
Amounts due to holding companies |  |  |  |  |  |
and fellow subsidiaries | 83.5 | 83.1 | - | 44.0 | 38.0 | 1.1
Other financial liabilities |  |  |  |  |  |
Debt securities in issue | 8.1 | 8.1 | - | 2.1 | 6.0 | -
Subordinated liabilities | 0.1 | 0.2 | - | 0.2 | - | -
Notes in circulation | 0.8 | 0.8 | - | - | - | 0.8

Notes to the financial statements continued
10 Financial instruments: valuation continued
Fair value of financial instruments measured at
amortised cost on the balance sheet continued
NWB Group
Annual Report and Accounts 2024
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The assumptions and methodologies underlying the calculation of
fair values of financial instruments at the balance sheet date are
as follows
:
Short-term financial instruments
For certain short-term financial instruments: cash and balances at
central banks, items in the course of collection from other banks,
settlement balances, items in the course of transmission to other
banks, customer demand deposits and notes in circulation,
carrying value is deemed a reasonable approximation of fair
value.
Loans to banks and customers
In estimating the fair value of net loans to customers and banks
measured at amortised cost, NWB Group’s loans are segregated
into appropriate portfolios reflecting the characteristics of the
constituent loans. Two principal methods are used to estimate fair
value:
(a)
Contractual cash flows are discounted using a market
discount rate that incorporates the current spread for the
borrower or where this is not observable, the spread for
borrowers of a similar credit standing. This method is used for
portfolios where counterparties have external ratings.
(b)
Expected cash flows (unadjusted for credit losses) are
discounted at the current offer rate for the same or similar
products. The current methodology caps all loan values at par
rather than modelling clients’ option to repay loans early. This
approach is adopted for lending portfolios in Retail Banking,
Commercial & Institutional (SME loans) and Private Banking in
order to reflect the homogeneous nature of these portfolios.
Debt securities and subordinated liabilities
Most debt securities are valued using quoted prices in active
markets or from quoted prices of similar financial instruments in
active markets. Fair values of the remaining population are
determined using market standard valuation techniques, such as
discounted cash flows, adjusting for own credit spreads where
appropriate.
Bank and customer deposits
Fair values of deposits are estimated using discounted cash flow
valuation techniques. Where required, methodologies can be
revised as additional information and valuation inputs become
available.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
137
11 Financial instruments - maturity analysis
Remaining maturity
The following table shows the residual maturity of financial instruments, based on contractual date of maturity.

| NWB Group
| 2024 | 2023
| Less than 12 | More than 12 |  | Less than 12 | More than | 12
| months | months | Total | months | months | Total
| £m | £m | £m | £m | £m | £m
Assets |  |  |  |  |  |
Cash and balances at central banks | 35,095 | - | 35,095 | 48,259 | - | 48,259
Derivatives | 679 | 2,195 | 2,874 | 312 | 2,872 | 3,184
Loans to banks - amortised cost | 2,774 | 652 | 3,426 | 3,091 | 264 | 3,355
Loans to customers - amortised cost | 72,174 | 259,839 | 332,013 | 65,410 | 253,056 | 318,466
Amounts due from holding companies and fellow subsidiaries (1) | 1,882 | 1,324 | 3,206 | 1,406 | 402 | 1,808
Other financial assets | 10,806 | 28,765 | 39,571 | 8,458 | 23,486 | 31,944
Liabilities |  |  |  |  |  |
Bank deposits | 16,580 | 8,200 | 24,780 | 6,052 | 12,000 | 18,052
Customer deposits | 316,262 | 2,028 | 318,290 | 308,379 | 5,373 | 313,752
Derivatives | 91 | 1,086 | 1,177 | 370 | 1,348 | 1,718
Amounts due to holding companies and fellow subsidiaries (2) | 37,943 | 9,639 | 47,582 | 38,646 | 8,327 | 46,973
Other financial liabilities | 3,370 | 1,629 | 4,999 | 8,148 | 863 | 9,011
Subordinated liabilities | 2 | 120 | 122 | 2 | 120 | 122
Notes in circulation | 935 | - | 935 | 806 | - | 806
Lease liabilities | 72 | 418 | 490 | 77 | 436 | 513

| NWB Plc
| 2024 | 2023
| Less than 12 | More than 12 |  | Less than 12 | More than 12 |
| months | months | Total | months | months | Total
| £m | £m | £m | £m | £m | £m
Assets |  |  |  |  |  |
Cash and balances at central banks | 35,083 | - | 35,083 | 48,238 | - | 48,238
Derivatives | 680 | 2,212 | 2,892 | 313 | 2,900 | 3,213
Loans to banks - amortised cost | 2,506 | 642 | 3,148 | 2,793 | 250 | 3,043
Loans to customers - amortised cost | 59,456 | 238,092 | 297,548 | 53,079 | 231,235 | 284,314
Amounts due from holding companies and fellow subsidiaries (1) | 8,027 | 27,508 | 35,535 | 9,480 | 23,237 | 32,717
Other financial assets | 10,040 | 28,758 | 38,798 | 7,607 | 23,485 | 31,092
Liabilities |  |  |  |  |  |
Bank deposits | 16,578 | 8,200 | 24,778 | 6,052 | 12,000 | 18,052
Customer deposits | 274,044 | 1,928 | 275,972 | 270,947 | 5,255 | 276,202
Amounts due to holding companies and fellow subsidiaries (2) | 62,483 | 28,215 | 90,698 | 54,371 | 29,438 | 83,809
Derivatives | 95 | 1,228 | 1,323 | 440 | 1,574 | 2,014
Other financial liabilities | 3,075 | 749 | 3,824 | 8,147 | - | 8,147
Subordinated liabilities | 2 | 117 | 119 | 2 | 117 | 119
Notes in circulation | 935 | - | 935 | 806 | - | 806
Lease liabilities | 61 | 305 | 366 | 66 | 361 | 427

(1)
Amounts due from holding companies and fellow subsidiaries relating to non-financial instruments of £530 million (2023 - £503 million) for NWB Group and £848 million (2023 – £782
million) for NWB Plc have been excluded from the tables.
(2)
Amounts due to holding companies and fellow subsidiaries relating to non-financial instruments of £142 million (2023 - £279 million) for NWB Group and £227 million (2023 – £365 million)
for NWB Plc have been excluded from the tables.
Notes to the financial statements continued
11 Financial instruments - maturity analysis continued
NWB Group
Annual Report and Accounts 2024
138
Liabilities by contractual cash flows up to 20 years
The tables below show the timing of cash outflows to settle
financial liabilities, prepared on the following basis:
Financial liabilities are included at the earliest date on which the
counterparty can require repayment regardless of whether or
not such early repayment results in a penalty. If repayment is
triggered by, or is subject to, specific criteria such as market
price hurdles being reached, the liability is included at the earliest
possible date that conditions could be fulfilled without considering
the probability of the conditions being met. For example, if a
structured note automatically prepays then an equity index
exceeds a certain level, the cash outflow will be included in the
less than three months period whatever the level of the index at
year end.
The settlement date of debt securities issued by certain
securitisation vehicles consolidated by the NWB Group depends
on when cash flows are received from the securitised assets.
Where these assets are prepayable, the timing of cash outflow
relating to securities assumes that each asset will be prepaid at
the earliest possible date.
The principal amounts of financial liabilities that are repayable
after 20 years or where the counterparty has no right to
repayment of the principal are excluded from the table along
with interest payments after 20 years.
The maturity of guarantees and commitments is based on the
earliest possible date they would be drawn in order to evaluate
NWB Group’s liquidity position.
Held-for-trading liabilities amounting to £1.2 billion (2023 - £1.3
billion) for the NWB Group and £1.3 billion (2023 - £1.6 billion) for
the NWB Plc have been excluded from the tables.

| NWB Group
| 0-3 months | 3-12 months | 1-3 years | 3-5 years | 5-10 years | 10-20 years
2024 | £m | £m | £m | £m | £m | £m
Liabilities by contractual maturity up to 20 years |  |  |  |  |  |
Bank deposits | 12,930 | 4,198 | 8,686 | - | - | -
Customer deposits | 290,411 | 26,052 | 2,016 | 15 | - | -
Amounts due to holding companies and fellow subsidiaries (1) | 29,489 | 8,883 | 4,485 | 5,523 | 1,507 | -
Derivatives held for hedging | 40 | 128 | 115 | 156 | 63 | 2
Other financial liabilities | 1,651 | 1,594 | 84 | 798 | 202 | 670
Subordinated liabilities | - | 10 | 21 | 21 | 56 | 104
Notes in circulation | 935 | - | - | - | - | -
Lease liabilities | 18 | 51 | 141 | 71 | 125 | 85
| 335,474 | 40,916 | 15,548 | 6,584 | 1,953 | 861
Guarantees and commitments notional amount (2) |  |  |  |  |  |
Guarantees (3) | 1,748 | - | - | - | - | -
Commitments (4) | 92,515 | - | - | - | - | -
| 94,263 | - | - | - | - | -
2023 |  |  |  |  |  |
Liabilities by contractual maturity up to 20 years |  |  |  |  |  |
Bank deposits | 5,965 | 738 | 4,833 | 8,307 | - | -
Customer deposits | 284,733 | 23,882 | 5,361 | 10 | 9 | -
Amounts due to holding companies and fellow subsidiaries (1) | 32,260 | 6,846 | 3,279 | 4,740 | 1,840 | -
Derivatives held for hedging | 71 | 149 | 308 | 149 | 86 | 11
Other financial liabilities | 3,618 | 4,635 | 297 | 378 | 110 | 79
Subordinated liabilities | - | 10 | 21 | 21 | 55 | 104
Notes in circulation | 806 | - | - | - | - | -
Lease liabilities | 23 | 61 | 134 | 76 | 126 | 102
| 327,476 | 36,321 | 14,233 | 13,681 | 2,226 | 296
Guarantees and commitments notional amount (2) |  |  |  |  |  |
Guarantees (3) | 1,370 | - | - | - | - | -
Commitments (4) | 84,046 | - | - | - | - | -
| 85,416 | - | - | - | - | -

For the notes to this table refer to the following page.
Notes to the financial statements continued
11 Financial instruments - maturity analysis continued
NWB Group
Annual Report and Accounts 2024
139

| NWB Plc
| 0-3 months | 3-12 months | 1-3 years | 3-5 years | 5-10 years | 10-20 years
2024 | £m | £m | £m | £m | £m | £m
Liabilities by contractual maturity up to 20 years |  |  |  |  |  |
Bank deposits | 12,927 | 4,198 | 8,686 | - | - | -
Customer deposits | 252,407 | 21,747 | 1,920 | 5 | - | -
Amounts due to holding companies and fellow subsidiaries (1) | 48,197 | 15,225 | 12,526 | 14,850 | 3,552 | 90
Derivatives held for hedging | 39 | 125 | 115 | 155 | 62 | 2
Other financial liabilities | 1,650 | 1,299 | 77 | 798 | - | -
Subordinated liabilities | - | 10 | 21 | 21 | 52 | 104
Notes in circulation | 935 | - | - | - | - | -
Lease liabilities | 17 | 48 | 131 | 54 | 104 | 48
| 316,172 | 42,652 | 23,476 | 15,883 | 3,770 | 244
Guarantees and commitments notional amount (2) |  |  |  |  |  |
Guarantees (3) | 1,729 | - | - | - | - | -
Commitments (4) | 81,738 | - | - | - | - | -
| 83,467 | - | - | - | - | -
2023 |  |  |  |  |  |
Liabilities by contractual maturity up to 20 years |  |  |  |  |  |
Bank deposits | 5,965 | 738 | 4,833 | 8,307 | - | -
Customer deposits | 251,691 | 19,361 | 5,248 | 1 | 9 | -
Amounts due to holding companies and fellow subsidiaries (1) | 41,705 | 13,625 | 11,048 | 18,227 | 2,613 | -
Derivatives held for hedging | 70 | 149 | 306 | 147 | 83 | 11
Other financial liabilities | 3,619 | 4,635 | - | - | - | -
Subordinated liabilities | - | 10 | 21 | 21 | 52 | 104
Notes in circulation | 806 | - | - | - | - | -
Lease liabilities | 18 | 53 | 124 | 71 | 118 | 86
| 303,874 | 38,571 | 21,580 | 26,774 | 2,875 | 201
Guarantees and commitments notional amount (2) |  |  |  |  |  |
Guarantees (3) | 1,350 | - | - | - | - | -
Commitments (4) | 74,091 | - | - | - | - | -
| 75,441 | - | - | - | - | -

(1)
Amounts due to holding companies and fellow subsidiaries relating to non-financial instruments have been excluded from the tables.
(2)
Refer to Note 26 Memorandum items – Contingent liabilities and commitments.
(3)
NWB Group is only called upon to satisfy a guarantee when the guaranteed party fails to meet its obligations. NWB Group expects most guarantees it provides to expire unused.
(4)
NWB Group has given commitments to provide funds to customers under undrawn formal facilities, credit lines and other commitments to lend subject to certain conditions being met by
the counterparty. NWB does not expect all facilities to be drawn, and some may lapse before drawdown.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
140
12 Derivatives
NWB Group uses derivatives to manage its own risk such as interest rate, foreign exchange, or credit risk or in certain customer
transactions.

| NWB Group
| 2024 | 2023
| Notional | Assets | Liabilities | Notional | Assets | Liabilities
| £bn | £m | £m | £bn | £m | £m
Exchange rate contracts | 25.9 | 328 | 124 | 19.7 | 83 | 249
Interest rate contracts | 654.1 | 2,546 | 1,043 | 669.6 | 3,101 | 1,469
Credit derivatives | 0.4 | - | 10 | - | - | -
Equity and commodity contracts | 1.5 | - | - | - | - | -
Total | 681.9 | 2,874 | 1,177 | 689.3 | 3,184 | 1,718

| NWB Plc
| 2024 | 2023
| Notional | Assets | Liabilities | Notional | Assets | Liabilities
| £bn | £m | £m | £bn | £m | £m
Exchange rate contracts | 26.0 | 329 | 124 | 20.9 | 83 | 271
Interest rate contracts | 666.3 | 2,563 | 1,189 | 683.5 | 3,130 | 1,743
Credit derivatives | 0.4 | - | 10 | - | - | -
Equity and commodity contracts | 1.5 | - | - | - | - | -
Total | 694.2 | 2,892 | 1,323 | 704.4 | 3,213 | 2,014

Hedge accounting using derivatives
For accounting policy information refer to Accounting policies 2.2
and 3.11.
Refer to Note 33 for amounts due from/to fellow NatWest Group
subsidiaries.
NWB Group applies hedge accounting to reduce the accounting
mismatch caused in the income statement by using derivatives to
hedge the following risks: interest rate, foreign exchange and the
foreign exchange risk associated with net investment in foreign
operations.
NWB Group’s interest rate hedging relates to the management of
NWB Group’s non-trading structural interest rate risk, caused by
the mismatch between fixed interest rates and floating interest
rates on its financial instruments. NWB Group manages this risk
within approved limits. Residual risk positions are hedged with
derivatives, principally interest rate swaps.
Cash flow hedges of interest rate risk relate to exposures to the
variability in future interest payments and receipts due to the
movement of interest rates on forecast transactions and on
financial assets and financial liabilities. This variability in cash flows
is hedged by interest rate swaps, which convert variable cash
flows into fixed. For these cash flow hedge relationships, the
hedged items are actual and forecast variable interest rate cash
flows arising from financial assets and financial liabilities with
interest rates linked to the relevant interest rates, most notably
SOFR, EURIBOR, SONIA and the Bank of England Official Bank
Rate. The variability in cash flows due to movements in the
relevant interest rate is hedged; this risk component is identified
using the risk management systems of NWB Group and
encompasses the majority of cash flow variability risk.
Suitable larger fixed rate financial instruments are subject to fair
value hedging in line with documented risk management
strategies.
Fair value hedges of interest rate risk involve interest rate swaps
transforming the fixed interest rate risk in financial assets and
financial liabilities to floating. The hedged risk is the risk of
changes in the hedged item’s fair value attributable to changes in
the interest rate risk component of the hedged item.
The significant interest rates identified as risk components are
SOFR, EURIBOR and SONIA. These risk components are identified
using the risk management systems of NWB Group and
encompass the majority of the hedged item’s fair value risk. NWB
Group hedges the exchange rate risk of its net investment in
foreign currency denominated operations with currency
borrowings and forward foreign exchange contracts.
NWB Group reviews the value of the investments’ net assets,
executing hedges where appropriate to reduce the sensitivity of
capital ratios to foreign exchange rate movement. Hedge
accounting relationships will be designated where required.
Exchange rate risk also arises in NWB Group where payments are
denominated in currencies other than the functional currency.
Residual risk positions are hedged with forward foreign exchange
contracts, fixing the exchange rate the payments will be settled
in. The derivatives are documented as cash flow hedges.
For all cash flow hedging, fair value hedge relationships and net
investment hedging, NWB Group determines that there is an
economic relationship between the hedged item and hedging
instrument via assessing the initial and ongoing effectiveness by
comparing movements in the fair value of the expected highly
probable forecast interest cash flows/ fair value of the hedged
item attributable to the hedged risk with movements in the fair
value of the expected changes in cash flows from the hedging
instrument. The method used for comparing movements is either
regression testing, or the dollar offset method. The method for
testing effectiveness and the period over which the test is
performed depends on the applicable risk management strategy
and is applied consistently to each risk management strategy.
Hedge effectiveness is assessed on a cumulative basis and the
determination of effectiveness is in line with the requirements of
IAS 39.
NWB Group uses either the actual ratio between the hedged item
and hedging instrument(s) or one that minimises hedge
ineffectiveness to establish the hedge ratio for hedge accounting.
Hedge ineffectiveness is measured in line with the requirements of
IAS 39 and recognised in the income statement as it arises
.
Notes to the financial statements continued
12 Derivatives continued
NWB Group
Annual Report and Accounts 2024
141
Derivatives in hedge accounting relationships
Included in the tables above are derivatives held for hedging purposes as follows.

| NWB Group
| 2024 | 2023
|  |  |  | Changes in fair |  |  |  | Changes in fair
|  |  |  | value used for |  |  |  | value used for
|  |  |  | hedge |  |  |  | hedge
| Notional | Assets | Liabilities | ineffectiveness (1) | Notional | Assets | Liabilities | ineffectiveness (1)
| £bn | £m | £m | £m | £bn | £m | £m | £m
Fair value hedging |  |  |  |  |  |  |  |
Interest rate contracts (2) | 43.7 | 537 | 776 | 456 | 34.1 | 620 | 1,159 | (167)
Cash flow hedging |  |  |  |  |  |  |  |
Interest rate contracts | 107.0 | 1,417 | 1,835 | 349 | 97.0 | 1,994 | 3,056 | (305)
Exchange rate contracts | 2.0 | 1 | 2 | - | 2.6 | 2 | 3 | (3)
Net investment hedging |  |  |  |  |  |  |  |
Exchange rate contracts (3) | 0.2 | 2 | - | 9 | 0.1 | - | 7 | (2)
| 152.9 | 1,957 | 2,613 | 814 | 133.8 | 2,616 | 4,225 | (477)
IFRS netting and clearing |  |  |  |  |  |  |  |
house settlements |  | (1,597) | (2,358) |  |  | (2,090) | (3,820) |
|  | 360 | 255 |  |  | 526 | 405 |

| NWB Plc
| 2024 | 2023
|  |  |  | Changes in fair |  |  |  | Changes in fair
|  |  |  | value used for |  |  |  | value used for
|  |  |  | hedge |  |  |  | hedge
| Notional | Assets | Liabilities | ineffectiveness (1) | Notional | Assets | Liabilities | ineffectiveness (1)
| £bn | £m | £m | £m | £bn | £m | £m | £m
Fair value hedging |  |  |  |  |  |  |  |
Interest rate contracts (2) | 43.5 | 538 | 746 | 458 | 33.9 | 619 | 1,125 | (183)
Cash flow hedging |  |  |  |  |  |  |  |
Interest rate contracts | 107.0 | 1,417 | 1,835 | 348 | 97.0 | 1,994 | 3,056 | (305)
Exchange rate contracts | 2.0 | 1 | 1 | 3 | 2.6 | - | 3 | (2)
Net investment hedging |  |  |  |  |  |  |  |
Exchange rate contracts (4) | - | - | - | - | - | - | - | -
| 152.5 | 1,956 | 2,582 | 809 | 133.5 | 2,613 | 4,184 | (490)
IFRS netting and clearing |  |  |  |  |  |  |  |
house settlements |  | (1,598) | (2,332) |  |  | (2,090) | (3,786) |
|  | 358 | 250 |  |  | 523 | 398 |

(1)
The change in fair value used for hedge ineffectiveness includes instruments that were derecognised in the year.
(2)
The hedged risk includes inflation risk.
(3)
In addition to the derivative hedging instruments above, £444 million notional (2023 - £517 million) of non derivative hedging instruments with a carrying value of £444 million (2023 -
£517 million) were used in Net Investment Hedges. The non derivative instruments are other financial liabilities.
(4)
In addition to the derivative hedging instruments above, £348 million notional (2023 - £373 million) of non derivative hedging instruments with a carrying value of £348 million (2023 -
£373 million) were used in Net Investment Hedges. The non derivative instruments are other financial liabilities, specifically debt securities in issue.
Notes to the financial statements continued
12 Derivatives continued
NWB Group
Annual Report and Accounts 2024
142
Hedge ineffectiveness
Hedge ineffectiveness recognised in other operating income comprised.

| NWB Group
| 2024 | 2023
| £m | £m
Fair value hedging |  |
Gain/(loss) on hedged items attributable to the hedged risk | (461) | 194
(Loss)/gain on the hedging instruments | 456 | (167)
Fair value hedging ineffectiveness | (5) | 27
Cash flow hedging |  |
Interest rate risk | (16) | (4)
Cash flow hedging ineffectiveness | (16) | (4)
Total | (21) | 23

The main sources of ineffectiveness for interest rate risk hedge accounting relationships are:

The effect of the counterparty credit risk on the fair value of the interest rate swap, which is not reflected in the fair value of the
hedged item attributable to the change in interest rate; and

Upfront present values on the hedging derivatives where hedge accounting relationships have been designated after the trade
date.
Maturity of notional hedging contracts
The following table shows the period in which the notional of hedging contract ends.

| NWB Group
| 0-3 months | 3-12 months | 1-3 years | 3-5 years | 5-10 years | Over 10 years | Total
2024 | £bn | £bn | £bn | £bn | £bn | £bn | £bn
Fair value hedging |  |  |  |  |  |  |
Interest rate risk (1) |  |  |  |  |  |  |
Hedging assets | 3.9 | 4.8 | 9.3 | 8.3 | 4.9 | 1.9 | 33.1
Hedging liabilities | - | 0.5 | 3.8 | 5.1 | 1.2 | - | 10.6
2023 |  |  |  |  |  |  |
Fair value hedging |  |  |  |  |  |  |
Interest rate risk (1) |  |  |  |  |  |  |
Hedging assets | 0.1 | 1.6 | 5.4 | 7.2 | 4.2 | 2.9 | 21.4
Hedging liabilities | 2.2 | 1.7 | 2.7 | 4.3 | 1.8 | - | 12.7
2024 |  |  |  |  |  |  |
Cash flow hedging |  |  |  |  |  |  |
Interest rate risk |  |  |  |  |  |  |
Hedging assets | 1.8 | 7.1 | 11.1 | 15.8 | 7.1 | - | 42.9
Hedging liabilities | 1.8 | 12.5 | 36.2 | 12.7 | 0.9 | - | 64.1
Exchange rate risk |  |  |  |  |  |  |
Hedging assets | 0.6 | 0.7 | 0.5 | - | - | - | 1.8
Hedging liabilities | - | 0.2 | - | - | - | - | 0.2
2023 |  |  |  |  |  |  |
Cash flow hedging |  |  |  |  |  |  |
Interest rate risk |  |  |  |  |  |  |
Hedging assets | 1.5 | 2.1 | 22.9 | 12.2 | 5.3 | - | 44.0
Hedging liabilities | 0.5 | 4.8 | 31.2 | 15.5 | 1.0 | - | 53.0
Exchange rate risk |  |  |  |  |  |  |
Hedging assets | 0.3 | 0.7 | 0.5 | - | - | - | 1.5
Hedging liabilities | 0.8 | 0.2 | 0.1 | - | - | - | 1.1

(1)
The hedged risk includes inflation risk.
Notes to the financial statements continued
12 Derivatives continued
Maturity of notional hedging contracts continued
NWB Group
Annual Report and Accounts 2024
143

| NWB Plc
| 0-3 months | 3-12 months | 1-3 years | 3-5 years | 5-10 years | Over 10 years | Total
2024 | £bn | £bn | £bn | £bn | £bn | £bn | £bn
Fair value hedging |  |  |  |  |  |  |
Interest rate risk (1) |  |  |  |  |  |  |
Hedging assets | 3.9 | 4.8 | 9.4 | 8.2 | 4.9 | 2.0 | 33.2
Hedging liabilities | - | 0.5 | 3.8 | 4.8 | 1.2 | - | 10.3
2023 |  |  |  |  |  |  |
Fair value hedging |  |  |  |  |  |  |
Interest rate risk (1) |  |  |  |  |  |  |
Hedging assets | 0.1 | 1.6 | 5.4 | 7.2 | 4.1 | 3.1 | 21.5
Hedging liabilities | 2.2 | 1.7 | 2.7 | 4.3 | 1.5 | - | 12.4
2024 |  |  |  |  |  |  |
Cash flow hedging |  |  |  |  |  |  |
Interest rate risk |  |  |  |  |  |  |
Hedging assets | 1.8 | 7.1 | 11.1 | 15.7 | 7.1 | - | 42.8
Hedging liabilities | 1.8 | 12.5 | 36.2 | 12.7 | 1.0 | - | 64.2
Exchange rate risk |  |  |  |  |  |  |
Hedging assets | 0.6 | 0.8 | 0.5 | - | - | - | 1.9
Hedging liabilities | - | 0.1 | - | - | - | - | 0.1
2023 |  |  |  |  |  |  |
Cash flow hedging |  |  |  |  |  |  |
Interest rate risk |  |  |  |  |  |  |
Hedging assets | 1.5 | 2.1 | 22.9 | 12.2 | 5.3 | - | 44.0
Hedging liabilities | 0.5 | 4.8 | 31.2 | 15.5 | 1.0 | - | 53.0
Exchange rate risk |  |  |  |  |  |  |
Hedging assets | 0.3 | 0.7 | 0.5 | - | - | - | 1.5
Hedging liabilities | 0.8 | 0.2 | 0.1 | - | - | - | 1.1

(1)
The hedged risk includes inflation risk.
Average fixed interest rates
Average fixed rate for cash flow hedges, interest rate risk, for NWB Group and NWB Plc.

| 0-3 months | 3-12 months | 1-3 years | 3-5 years | 5-10 years | Over 10 years | Total
2024 | % | % | % | % | % | % | %
Average fixed interest rate |  |  |  |  |  |  |
Hedging assets | 0.58 | 1.04 | 3.28 | 3.47 | 2.30 | - | 2.70
Hedging liabilities | 4.20 | 4.13 | 3.63 | 3.36 | 2.55 | - | 3.67
2023 |  |  |  |  |  |  |
Average fixed interest rate |  |  |  |  |  |  |
Hedging assets | 0.87 | 2.84 | 1.29 | 4.04 | 1.28 | - | 2.11
Hedging liabilities | 0.71 | 1.37 | 3.95 | 2.96 | 1.92 | - | 3.36

Average foreign exchange rates
For cash flow hedging of exchange rate risk, the average foreign exchange rates applicable across the relationships for NWB Group
and NWB Plc were as below for the main currencies hedged.

| 2024 | 2023
JPY/GBP | 179.90 | 173.32
INR/GBP | 109.07 | 105.03
CHF/GBP | 1.08 | 1.08

Notes to the financial statements continued
12 Derivatives continued
NWB Group
Annual Report and Accounts 2024
144
Analysis of hedged items and related hedging instruments
The table below analyses assets and liabilities, including intercompany, subject to hedging derivatives.

| NWB Group
| Carrying value | Impact on | Changes in fair
| of hedged | hedged items | value used as a
| assets | included in | basis to determine
| and liabilities | carrying value | ineffectiveness (1)
2024 | £m | £m | £m
Fair value hedging - interest rate (2) |  |  |
Loans to banks and customers - amortised cost | 2,577 | (430) | (95)
Other financial assets - securities | 30,476 | 103 | (257)
Total (3) | 33,053 | (327) | (352)
Other financial liabilities - debt securities in issue (5) | 6,636 | (343) | (53)
Subordinated liabilities | 3,648 | (77) | (56)
Total | 10,284 | (420) | (109)
2023 |  |  |
Fair value hedging - interest rate (2) |  |  |
Loans to banks and customers - amortised cost | 2,857 | (378) | 79
Other financial assets - securities | 18,451 | 265 | 509
Total (3) | 21,308 | (113) | 588
Other financial liabilities - debt securities in issue (5) | 8,670 | (418) | (297)
Subordinated liabilities | 3,636 | (115) | (97)
Total | 12,306 | (533) | (394)
2024 |  |  |
Cash flow hedging - interest rate |  |  |
Loans to banks and customers - amortised cost (4) | 42,169 |  | (64)
Other financial assets - securities | 619 |  | (1)
Total | 42,788 |  | (65)
Bank and customer deposits | 64,217 |  | (300)
Total | 64,217 |  | (300)
Cash flow hedging - exchange rate |  |  |
Loans to banks and customers - amortised cost (4) | 223 |  | -
Other financial assets - securities | 1,598 |  | -
Total | 1,821 |  | -
Other | 195 |  | -
2023 |  |  |
Cash flow hedging - interest rate |  |  |
Loans to banks and customers - amortised cost (4) | 43,693 |  | (1,529)
Other financial assets - securities | 354 |  | (13)
Total | 44,047 |  | (1,542)
Bank and customer deposits | 52,964 |  | 1,843
Total | 52,964 |  | 1,843
Cash flow hedging - exchange rate |  |  |
Loans to banks and customer - amortised cost | 583 |  | -
Other financial assets - securities | 1,839 |  | -
Total | 2,422 |  | -
Other | 201 |  | 3

(1)
The change in fair value used for ineffectiveness includes instruments that were derecognised in the year.
(2)
The hedged risk includes inflation risk.
(3)
Carrying values include £21 million (2023 - £25 million) adjustment for discontinued fair value hedges.
(4)
Includes cash and balances at central banks.
(5)
The carrying value include £3,974 million (2023 - £2,528 million) of debt securities held at amortised cost.
Notes to the financial statements continued
12 Derivatives continued
Analysis of hedged items and related hedging instruments - continued
NWB Group
Annual Report and Accounts 2024
145

| NWB Plc
| Carrying value | Impact on | Changes in fair
| of hedged | hedged items | value used as a
| assets | included in | basis to determine
| and liabilities | carrying value | ineffectiveness (1)
2024 | £m | £m | £m
Fair value hedging - interest rate (2) |  |  |
Loans to banks and customers - amortised cost | 2,502 | (432) | (94)
Other financial assets - securities | 30,477 | 103 | (257)
Total (3) | 32,979 | (329) | (351)
Other financial liabilities - debt securities in issue (5) | 6,368 | (317) | (46)
Subordinated liabilities | 3,648 | (77) | (57)
Total | 10,016 | (394) | (103)
2023 |  |  |
Fair value hedging - interest rate (2) |  |  |
Loans to banks and customers - amortised cost | 2,776 | (381) | 77
Other financial assets - securities | 18,451 | 265 | 509
Total (3) | 21,227 | (116) | 586
Other financial liabilities - debt securities in issue (5) | 8,399 | (384) | (280)
Subordinated liabilities | 3,636 | (115) | (97)
Total | 12,035 | (499) | (377)
2024 |  |  |
Cash flow hedging - interest rate |  |  |
Loans to banks and customers - amortised cost (4) | 42,170 |  | (64)
Other financial assets - securities | 619 |  | (1)
Total | 42,789 |  | (65)
Bank and customer deposits | 64,217 |  | (300)
Other financial liabilities - debt securities in issue | - |  | -
Total | 64,217 |  | (300)
Cash flow hedging - exchange rate |  |  |
Loans to banks and customers - amortised cost (4) | 223 |  | -
Other financial assets - securities | 1,598 |  | -
Total | 1,821 |  | -
Other | 138 |  | (3)
2023 |  |  |
Cash flow hedging - interest rate |  |  |
Loans to banks and customers - amortised cost (4) | 43,693 |  | (1,529)
Other financial assets - securities | 354 |  | (13)
Total | 44,047 |  | (1,542)
Bank and customer deposits | 52,964 |  | 1,843
Other financial liabilities - debt securities in issue | - |  | -
Total | 52,964 |  | 1,843
Cash flow hedging - exchange rate |  |  |
Loans to banks and customer - amortised cost | 583 |  |
Other financial assets - securities | 1,839 |  | -
Total | 2,422 |  | -
Other | 143 |  | 2

(1)
The change in fair value used for ineffectiveness includes instruments that were derecognised in the year.
(2)
The hedged risk includes inflation risk.
(3)
Carrying values include £2 million (2023 - nil) adjustment for discontinued fair value hedges.
(4)
Includes cash and balances at central banks.
(5)
The carrying value include £3,974 million (2023 - £2,528 million) of debt securities held at amortised cost.
Notes to the financial statements continued
12 Derivatives continued
NWB Group
Annual Report and Accounts 2024
146
Analysis of cash flow and foreign exchange hedge reserve
The following shows analysis of the pre-tax cash flow hedge reserve and foreign exchange hedge reserve.

| NWB Group
| 2024 | 2023
|  | Foreign |  | Foreign
| Cash flow hedge | exchange | Cash flow hedge | exchange
| reserve | hedge reserve | reserve | hedge reserve
| £m | £m | £m | £m
Continuing |  |  |  |
Interest rate risk | (284) | - | (812) | -
Foreign exchange risk | (1) | 11 | (1) | (6)
De-designated |  |  |  |
Interest rate risk | (143) | - | (20) | -
Foreign exchange risk | - | 25 | - | 16
Total | (428) | 36 | (833) | 10

| NWB Plc
| 2024 | 2023
|  | Foreign |  | Foreign
| Cash flow | exchange | Cash flow | exchange
| hedge reserve | hedge reserve | hedge reserve | hedge reserve
| £m | £m | £m | £m
Continuing |  |  |  |
Interest rate risk | (284) | - | (812) | -
Foreign exchange risk | - | 10 | (3) | 1
De-designated |  |  |  |
Interest rate risk | (143) | - | (20) | -
Foreign exchange risk | - | 3 | - | (4)
Total | (427) | 13 | (835) | (3)

Notes to the financial statements continued
12 Derivatives continued
Analysis of cash flow and foreign exchange hedge reserve continued
NWB Group
Annual Report and Accounts 2024
147

| NWB Group
| 2024 | 2023
|  | Foreign |  | Foreign
| Cash flow hedge | exchange | Cash flow hedge | exchange
| reserve | hedge reserve | reserve | hedge reserve
| £m | £m | £m | £m
Amount recognised in equity |  |  |  |
Interest rate risk | 17 | - | (218) | -
Foreign exchange risk | 101 | 25 | 38 | 14
Total | 118 | 25 | (180) | 14
Amount transferred from equity to earnings |  |  |  |
Interest rate risk to net interest income | 388 | - | (61) | -
Interest rate risk to non interest income | - | - | (8) | -
Foreign exchange risk to net interest income | (107) | - | (43) | -
Foreign exchange risk to operating expenses | 5 | - | 2 | -
Total | 286 | - | (110) | -

| NWB Plc
| 2024 | 2023
|  | Foreign |  | Foreign
| Cash flow | exchange | Cash flow | exchange
| hedge reserve | hedge reserve | hedge reserve | hedge reserve
| £m | £m | £m | £m
Amount recognised in equity |  |  |  |
Interest rate risk | 17 | - | (218) | -
Foreign exchange risk | 108 | 16 | 38 | 12
Total | 125 | 16 | (180) | 12
Amount transferred from equity to earnings |  |  |  |
Interest rate risk to net interest income | 388 | - | (61) | -
Interest rate risk to non interest income | - | - | (8) | -
Foreign exchange risk to net interest income | (107) | - | (44) | -
Foreign exchange risk to operating expenses | 2 | - | 4 | -
Total | 283 | - | (109) | -

Notes to the financial statements continued
13 Loan impairment provisions
NWB Group
Annual Report and Accounts 2024
148
Loan exposure and impairment metrics
The table below summarises loans and related credit impairment measures within the scope of ECL framework.

| NWB Group | NWB Plc
| 31 December | 31 December | 31 December | 31 December
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Loans - amortised cost |  |  |  |
Stage 1 | 298,209 | 288,772 | 268,368 | 258,188
Stage 2 | 35,517 | 31,727 | 31,101 | 28,008
Stage 3 | 4,798 | 4,405 | 4,112 | 4,003
Inter-group (1) | 3,130 | 1,809 | 34,942 | 32,200
Total | 341,654 | 326,713 | 338,523 | 322,400
ECL provisions (2) |  |  |  |
Stage 1 | 482 | 566 | 442 | 521
Stage 2 | 667 | 794 | 624 | 746
Stage 3 | 1,599 | 1,512 | 1,482 | 1,416
Inter-group | 2 | 1 | 39 | 41
| 2,750 | 2,873 | 2,587 | 2,724
ECL provision coverage (3) |  |  |  |
Stage 1 (%) | 0.16 | 0.20 | 0.16 | 0.20
Stage 2 (%) | 1.88 | 2.50 | 2.01 | 2.66
Stage 3 (%) | 33.33 | 34.32 | 36.04 | 35.37
Inter-group (%) | 0.07 | 0.06 | 0.11 | 0.13
| 0.81 | 0.88 | 0.84 | 0.92
Impairment (releases)/losses |  |  |  |
ECL (release)/charge (4) |  |  |  |
Stage 1 | (355) | (319) | (335) | (302)
Stage 2 | 325 | 529 | 316 | 516
Stage 3 | 376 | 297 | 356 | 276
Third party | 346 | 507 | 337 | 490
Inter-group | 1 | (3) | (3) | (7)
| 347 | 504 | 334 | 483
Amounts written-off | 549 | 235 | 536 | 218

(1)
NWB Group’s intercompany assets are classified in Stage 1.
(2)
Includes £4 million (2023 – £8 million) related to assets classified as FVOCI.
(3)
ECL provisions coverage is calculated as ECL provisions divided by loans – amortised cost and FVOCI. It is calculated on loans and total ECL provisions, including ECL for other (non-
loan) assets and unutilised exposure. Some segments with a high proportion of debt securities or unutilised exposure may result in a not meaningful coverage ratio.
(4)
Includes a £10 million charge (2023 – £10 million charge) related to other financial assets, of which a £4 million charge (2023 – £6 million charge) related to assets classified as FVOCI,
and includes a £3 million release (2023 – £2 million release) related to contingent liabilities.
(5)
The table shows gross loans only and excludes amounts that are outside the scope of the ECL framework. Refer to Financial instruments within the scope of the IFRS 9 ECL framework
for further details. Other financial assets within the scope of the IFRS 9 ECL framework were cash and balances at central banks totalling £34.6 billion (2023 – £47.8 billion) and debt
securities of £39.1 billion (2023 – £31.5 billion).
Credit risk enhancement and mitigation
For information on credit risk enhancement and mitigation held
as security, refer to Risk and capital management – credit risk
enhancement and mitigation section.
Critical accounting policy: Loan impairment provisions
Accounting policy 2.3 sets out how the expected loss approach is
applied. At 31 December 2024, impairment provisions amounted
to £2,750 million (2023 - £2,873 million). A loan is impaired when
there is objective evidence that the cash flows will not occur in
the manner expected when the loan was advanced. Such
evidence includes changes in the credit rating of a borrower, the
failure to make payments in accordance with the loan
agreement, significant reduction in the value of any security,
breach of limits or covenants, and observable data about
relevant macroeconomic measures.
The impairment loss is the difference between the carrying value
of the loan and the present value of estimated future cash flows
at the loan's original effective interest rate.
The measurement of credit impairment under the IFRS expected
loss model depends on management’s assessment of any
potential deterioration in the creditworthiness of the borrower, its
modelling of expected performance and the application of
economic forecasts. All three elements require judgements that
are potentially significant to the estimate of impairment losses.
For further information and sensitivity analysis, refer to Risk and
capital management – measurement uncertainty and ECL
sensitivity analysis section.
IFRS 9 ECL model design principles
Refer to Credit risk – IFRS 9 ECL model design principles section
for further details.
Approach for multiple economic scenarios (MES)
The base scenario plays a greater part in the calculation of ECL
than the approach to MES. Refer to Credit risk – economic loss
drivers – probability weightings of scenarios section for further
details.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
149
14 Investments in Group undertakings
Critical accounting policy: Investments in Group undertakings
At each reporting date, NatWest Bank Plc assesses whether there is any indication that its investment in its Group undertakings is
impaired. If any such indication exists, NatWest Bank Plc undertakes an impairment test by comparing the carrying value of the
investment in its Group undertakings with its estimated recoverable amount. The key judgement is in determining the recoverable
amount. The recoverable amount of an investment in its Group undertakings is the higher of its fair value less cost to sell and its value
in use, being an assessment of the discounted future cash flows of the entity. Impairment testing inherently involves a number of
judgements: the five-year cash flow forecast, the choice of appropriate discount and growth rates, and the estimation of fair value. For
accounting policy information refer to Accounting policy Note 2.4.
Investments in Group undertakings are carried at cost less impairment losses. Movements during the year were as follows
:

| NWB Plc
| 2024 | 2023
| £m | £m
At 1 January | 2,615 | 2,030
Currency translation and other adjustments | (8) | (3)
Additional investments in Group undertakings | 10 | 621
Disposals of investments in Group undertakings | - | (35)
Net (impairment)/reversal of impairment of investments | (97) | 2
At 31 December | 2,520 | 2,615

The recoverable amount of investments in Group undertakings is the higher of net asset value as a proxy for fair value less cost to sell
or value in use. Where recoverable value is based on net asset value, the fair value measurement is categorised as Level 3 of the fair
value hierarchy. The carrying value of Investments in Group undertakings at 31 December 2024 is supported by the respective
recoverable values of the entities.
2024 additional investments relate primarily to the investments of £10 million in World Learning Limited. The additions in 2023 were
related to investments in NatWest RT Holdings Limited and NatWest Boxed Limited. The 2023 disposal represented Coutts & Company
AT1 redemption.
In 2024, net impairment of investments is mainly due to a £90 million impairment of NatWest Bank Plc’s investment in Strand European
Holdings AB following the annual assessment of the entity’s recoverable amounts. The net reversal of impairment in 2023 was
primarily related to the investments in Strand European Holdings AB and Ulster Bank Limited.
The annual assessment of recoverable amount as at 31 December 2024 did not indicate the need for an impairment of the investment
in Coutts & Company. Reasonably possible adverse changes to the more significant variables of the value in use calculation for Coutts
& Company would not lead to a reduction in the recoverable amount below its carrying value.
The principal subsidiary undertakings of NatWest Bank Plc are shown below and are wholly-owned directly or indirectly through
intermediate holding companies. Their capital consists of ordinary shares and additional Tier 1 notes which are unlisted. All subsidiary
undertakings are included in NWB Group’s consolidated financial statements and have an accounting reference date of 31 December.

|  | Country of incorporation
|  | and principal area of
|  | operations
| Nature of business |
Coutts & Company (1) | Private banking | Great Britain
Lombard North Central PLC | Leasing | Great Britain

(1)
Coutts & Company is incorporated with unlimited liability.
For full information on all related undertakings refer to Note 36.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
150
15 Other financial assets

| NWB Group
| Debt securities |  |  |  |  |
| Central and local government |  |  |  |  |  |
|  |  |  | Other |  | Equity |  | Settlement |
| UK | US | Other | debt | Total | shares | Loans | balances | Total
2024 | £m | £m | £m | £m | £m | £m | £m | £m | £m
Mandatory fair value through profit or loss | - | - | - | - | - | 2 | 532 | - | 534
Fair value through other comprehensive |  |  |  |  |  |  |  |  |
income | 10,711 | 1,942 | 5,357 | 11,308 | 29,318 | 2 | 15 | - | 29,335
Amortised cost | 2,587 | - | 68 | 7,005 | 9,660 | - | - | 42 | 9,702
Total | 13,298 | 1,942 | 5,425 | 18,313 | 38,978 | 4 | 547 | 42 | 39,571
2023 |  |  |  |  |  |  |  |  |
Mandatory fair value through profit or loss | - | - | - | - | - | - | 453 | - | 453
Fair value through other comprehensive |  |  |  |  |  |  |  |  |
income | 5,949 | 3,045 | 5,165 | 9,334 | 23,493 | 2 | - | - | 23,495
Amortised cost | 1,728 | - | - | 6,264 | 7,992 | - | - | 4 | 7,996
Total | 7,677 | 3,045 | 5,165 | 15,598 | 31,485 | 2 | 453 | 4 | 31,944

| NWB Plc
| Debt securities |  |  |  |
| Central and local government |  |  |  |  |  |
|  |  |  | Other |  | Equity |  | Settlement |
| UK | US | Other | debt | Total | shares | Loans | balances | Total
2024 | £m | £m | £m | £m | £m | £m | £m | £m | £m
Mandatory fair value through profit or loss | - | - | - | - | - | 2 | 532 | - | 534
Fair value through other comprehensive |  |  |  |  |  |  |  |  |
income | 10,211 | 1,942 | 5,357 | 11,308 | 28,818 | 3 | 15 | - | 28,836
Amortised cost | 2,587 | - | 68 | 6,731 | 9,386 | - | - | 42 | 9,428
Total | 12,798 | 1,942 | 5,425 | 18,039 | 38,204 | 5 | 547 | 42 | 38,798
2023 |  |  |  |  |  |  |  |  |
Mandatory fair value through profit or loss | - | - | - | - | - | - | 453 | - | 453
Fair value through other comprehensive |  |  |  |  |  |  |  |  |
income | 5,467 | 3,045 | 5,165 | 9,334 | 23,011 | 2 | - | - | 23,013
Amortised cost | 1,728 | - | - | 5,894 | 7,622 | - | - | 4 | 7,626
Total | 7,195 | 3,045 | 5,165 | 15,228 | 30,633 | 2 | 453 | 4 | 31,092

For accounting policy information refer to Accounting policy 3.8.
16 Other assets

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Intangible assets (Note 17) | 1,862 | 1,897 | 1,670 | 1,698
Property, plant and equipment (Note 18) | 3,548 | 3,751 | 1,873 | 2,021
Pension schemes in net surplus (Note 5) | 4 | 5 | - | -
Assets of disposal groups | 62 | 24 | 62 | 24
Tax recoverable | 6 | 40 | 21 | -
Deferred tax (Note 7) | 808 | 981 | 792 | 966
Other assets | 1,304 | 1,251 | 1,085 | 1,026
| 7,594 | 7,949 | 5,503 | 5,735

Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
151
17 Intangible assets

| NWB Group
|  | 2024 |  |  | 2023 |
| Goodwill | Other (1) | Total | Goodwill | Other (1) | Total
| £m | £m | £m | £m | £m | £m
Cost |  |  |  |  |  |
At 1 January | 623 | 4,329 | 4,952 | 623 | 3,706 | 4,329
Currency translation and other adjustments | - | (72) | (72) | - | - | -
Additions | - | 588 | 588 | - | 737 | 737
Disposals and write-off of fully amortised assets | - | (212) | (212) | - | (114) | (114)
At 31 December | 623 | 4,633 | 5,256 | 623 | 4,329 | 4,952
Accumulated amortisation and impairment |  |  |  |  |  |
At 1 January | 565 | 2,490 | 3,055 | 564 | 2,158 | 2,722
Currency translation and other adjustments | - | (30) | (30) | - | - | -
Disposals and impairment of fully amortised assets | - | (201) | (201) | - | (115) | (115)
Amortisation charge for the year | - | 549 | 549 | - | 425 | 425
Impairment of intangible assets | 1 | 20 | 21 | 1 | 22 | 23
At 31 December | 566 | 2,828 | 3,394 | 565 | 2,490 | 3,055
Net book value at 31 December | 57 | 1,805 | 1,862 | 58 | 1,839 | 1,897

| NWB Plc
| 2024 (1) | 2023 (1)
| £m | £m
Cost |  |
At 1 January | 4,111 | 3,568
Currency translation and other adjustments | (60) | -
Additions | 555 | 669
Disposals and write-off of fully amortised assets | (197) | (126)
At 31 December | 4,409 | 4,111
Accumulated amortisation and impairment |  |
At 1 January | 2,413 | 2,110
Currency translation and other adjustments | (18) | -
Disposals and write-off of fully amortised assets | (186) | (109)
Amortisation charge for the year | 511 | 394
Impairment of intangible assets | 19 | 18
At 31 December | 2,739 | 2,413
Net book value at 31 December | 1,670 | 1,698

(1)
Principally consists of internally generated software
.
Intangible assets and goodwill are reviewed for indicators of
impairment. Impairment testing involves the comparison of the
carrying value of each cash-generating unit (CGU) with its
recoverable amount. The carrying values of the segments reflect
the equity allocations made by management which are consistent
with NatWest Group’s capital targets. Intangible assets of NWB
Group were impaired by £21 million in 2024 (2023 - £23 million).
Recoverable amount is the higher of fair value less costs of
disposal and value in use. Fair value is the price that would be
received to sell an asset in an orderly transaction between market
participants. Value in use is the present value of expected future
cash flows from the CGU.
The recoverable amounts for all CGUs at 31 December 2024
were based on value in use, using management's latest five-year
revenue and cost forecasts. These are discounted cash flow
projections over five years. The forecast is then extrapolated in
perpetuity using a long-term growth rate to compute a terminal
value, which comprises the majority of the value in use. The long-
term growth rates have been based on expected growth of the
CGUs: 2024 and 2023 – 1.4%. The pre-tax risk discount rates are
based on those observed to be applied to businesses regarded as
peers of the CGUs: 2024 and 2023 – 16%.
For accounting policy information refer to Accounting policies 3.3
and 3.4.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
152
18 Property, plant and equipment

|  | NWB Group |  |
| Investment | Property, plant | Operating |
| properties | and equipment | leases | Total
2024 | £m | £m | £m | £m
Cost or valuation |  |  |  |
At 1 January | 971 | 6,194 | 1,074 | 8,239
Transfers to disposal groups | - | (214) | - | (214)
Transfers from fellow subsidiaries | - | 3 | - | 3
Currency translation and other adjustments (1) | (90) | (67) | - | (157)
Additions | 69 | 368 | 118 | 555
Disposals and write-off of fully depreciated assets | (12) | (182) | (257) | (451)
At 31 December | 938 | 6,102 | 935 | 7,975
Accumulated impairment, depreciation and amortisation |  |  |  |
At 1 January | - | 3,913 | 575 | 4,488
Transfers to disposal groups | - | (106) | - | (106)
Transfers from fellow subsidiaries | - | - | - | -
Currency translation and other adjustments (2) | - | (26) | - | (26)
Disposals and write-off of fully depreciated assets | - | (159) | (189) | (348)
Charge for the year | - | 256 | 105 | 361
Impairment of property, plant and equipment | - | 58 | - | 58
At 31 December | - | 3,936 | 491 | 4,427
Net book value at 31 December | 938 | 2,166 | 444 | 3,548
2023 |  |  |  |
Cost or valuation |  |  |  |
At 1 January | 941 | 7,042 | 1,129 | 9,112
Transfers to disposal groups | - | (485) | - | (485)
Transfers to fellow subsidiaries | - | (8) | - | (8)
Currency translation and other adjustments (1) | (51) | (8) | - | (59)
Additions | 81 | 627 | 156 | 864
Disposals and write-off of fully depreciated assets | - | (974) | (211) | (1,185)
At 31 December | 971 | 6,194 | 1,074 | 8,239
Accumulated impairment, depreciation and amortisation |  |  |  |
At 1 January | - | 4,796 | 612 | 5,408
Transfers to disposal groups | - | (396) | - | (396)
Transfers to fellow subsidiaries | - | - | - | -
Currency translation and other adjustments (2) | - | (3) | - | (3)
Disposals and write-off of fully depreciated assets | - | (799) | (152) | (951)
Charge for the year | - | 241 | 115 | 356
Impairment of property, plant and equipment | - | 74 | - | 74
At 31 December | - | 3,913 | 575 | 4,488
Net book value at 31 December | 971 | 2,281 | 499 | 3,751

(1)
Currency translation and other adjustments includes fair value adjustment in investment properties of £5 million (2023: £6 million) for NWB Group.
(2)
Other adjustments include the effect of the purchase of freeholds for properties where the NWB Group was the primary leaseholder.
Investment property valuations principally employ present value
techniques that discount expected cash flows. Expected cash
flows reflect rental income, occupancy and residual market
values; valuations are sensitive to changes in these factors. The
investment property fair value measurements are categorised as
level 3. A 5% change in the most sensitive assumption, residual
values, is £33 million (2023 - £32 million) on the value of
Investment property.
Valuations were carried out by qualified surveyors working within
the Royal Institution of Chartered Surveyors framework; property
with a fair value of £250 million (2023 - £109 million) was valued
by independent valuers for the purposes of year end valuations.
For accounting policy information refer to Accounting policies 3.4
and 3.5.
Notes to the financial statements continued
18 Property, plant and equipment continued
NWB Group
Annual Report and Accounts 2024
153

| NWB Plc
| 31 December | 31 December
| 2024 | 2023
| £m | £m
Cost |  |
At 1 January | 5,751 | 6,572
Transfers to disposal groups | (214) | (485)
Transfers from/(to) holding company and fellow subsidiaries | 4 | (10)
Currency translation and other adjustments | (63) | (6)
Additions | 297 | 616
Disposals and write-off of fully depreciated assets | (154) | (936)
At 31 December | 5,621 | 5,751
Accumulated impairment and depreciation |  |
At 1 January | 3,730 | 4,603
Transfers to disposal groups | (107) | (397)
Transfers from/(to) holding company and fellow subsidiaries | - | -
Currency translation and other adjustments (1) | (24) | (2)
Disposals and write-off of fully depreciated assets | (138) | (768)
Charge for the year | 229 | 219
Impairment for the year | 58 | 75
At 31 December | 3,748 | 3,730
Net book value at 31 December | 1,873 | 2,021

(1)
Other adjustments include the effect of the purchase of freeholds for properties where the NWB Group was the primary leaseholder.
19 Other financial liabilities

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Bank deposits | 168 | 6 | 168 | 6
Customer deposits including repos | 284 | 7 | 284 | 7
Settlement balances | - | 4 | - | 4
Debt securities in issue |  |  |  |
- Commercial paper and certificates of deposit | 2,623 | 6,009 | 2,623 | 6,008
- Covered bonds | 749 | 2,122 | 749 | 2,122
- Securitisation | 1,175 | 863 | - | -
Total | 4,999 | 9,011 | 3,824 | 8,147

For accounting policy information refer to Accounting policies 3.8 and 3.10.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
154
20 Subordinated liabilities

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Undated loan capital | 3 | 3 | - | -
Preference shares (2) | 119 | 119 | 119 | 119
| 122 | 122 | 119 | 119

(1)
The table above excludes amounts due to holding company and fellow subsidiaries of £3,648 million (2023 - £3,636 million) for NWB Group and £3,648 million (2023 - £3,636 million) for
NWB Plc. Refer to intercompany balances in Note 33
.
(2)
The preference shares issued by NWB Plc are classified as liabilities; these securities remain subject to the capital maintenance rules of the Companies Act 2006.
For accounting policy information refer to Accounting policies 3.8 and 3.10.

|  |  |  |  | 2024 | 2023
Preference shares |  | First call date | Maturity date | Capital treatment | £m | £m
NatWest Bank Plc |  |  |  |  |  |
£140 million | Non-cumulative preference shares of £1 | - | - | Not applicable | 119 | 119
|  |  |  |  | 119 | 119
Undated loan capital- other subsidiaries |  |  |  |  | 3 | 3
|  |  |  |  | 122 | 122
The following tables analyse these intercompany subordinated liabilities: |  |  |  |  |  |
|  |  |  |  | NWB Group and NWB Plc
|  |  |  |  | 2024 | 2023
Other subsidiaries |  |  |  |  | £m | £m
Dated loan capital |  |  |  |  | 3,648 | 3,636
|  |  |  |  | 3,648 | 3,636
|  |  |  |  | 2024 | 2023
Dated loan capital |  |  |  |  | £m | £m
NatWest Bank Plc |  |  |  |  |  |
£1000 million | 2.105% notes | Aug-26 | Nov-31 | Tier 2 | 942 | 919
$750 million | 3.754% notes | Nov-24 | Nov-29 | Tier 2 | - | 575
€700 million | 5.763% notes | Nov-28 | Feb-34 | Tier 2 | 630 | 659
£650 million | 7.536% notes | Jun-28 | Jun-33 | Tier 2 | 660 | 679
£600 million | 5.642% notes | Oct-29 | Oct-34 | Tier 2 | 596 | -
£500 million | 3.622% notes | May-25 | Aug-30 | Tier 2 | 499 | 479
€411.4 million | 1.043% notes | Jun-27 | Sep-32 | Tier 2 | 321 | 325
|  |  |  |  | 3,648 | 3,636

(1)
Further details of the contractual terms of the preference shares are given in Note 22.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
155
21 Other liabilities

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Lease liabilities | 490 | 513 | 366 | 427
Provisions for liabilities and charges | 477 | 456 | 443 | 424
Retirement benefit liabilities (Note 5) | 41 | 37 | 8 | 9
Accruals | 1,037 | 1,068 | 862 | 872
Deferred income | 263 | 264 | 240 | 242
Current tax | 33 | 137 | 8 | 46
Deferred tax (Note 7) | 83 | 89 | - | -
Acceptances | 305 | 327 | 294 | 312
Other liabilities | 435 | 434 | 169 | 202
Total | 3,164 | 3,325 | 2,390 | 2,534

| NWB Group
|  |  | Financial |  |
| Redress and other |  | commitments and |  |
| litigation | Property | guarantees | Other (1) | Total
Provisions for liabilities and charges | £m | £m | £m | £m | £m
At 1 January 2024 | 247 | 64 | 56 | 89 | 456
Expected credit losses impairment release | - | - | (17) | - | (17)
Currency translation and other movements | 1 | - | - | - | 1
Charge to income statement | 117 | 36 | - | 256 | 409
Release to income statement | (23) | (27) | - | (42) | (92)
Provisions utilised | (87) | (14) | - | (179) | (280)
At 31 December 2024 | 255 | 59 | 39 | 124 | 477

| NWB Plc
|  |  | Financial |  |
| Redress and other |  | commitments and |  |
| litigation | Property | guarantees | Other (1) | Total
Provisions for liabilities and charges | £m | £m | £m | £m | £m
At 1 January 2024 | 241 | 63 | 54 | 66 | 424
Expected credit losses impairment release | - | - | (16) | - | (16)
Currency translation and other movements | 2 | - | - | - | 2
Charge to income statement | 112 | 35 | - | 234 | 381
Release to income statement | (21) | (27) | - | (39) | (87)
Provisions utilised | (85) | (14) | - | (162) | (261)
At 31 December 2024 | 249 | 57 | 38 | 99 | 443

(1)
Other materially comprises provisions relating to restructuring costs.
Provisions are liabilities of uncertain timing or amount and are recognised when there is a present obligation as a result of a past
event, the outflow of economic benefit is probable and the outflow can be estimated reliably. Any difference between the final outcome
and the amounts provided will affect the reported results in the period when the matter is resolved.
For accounting policy information refer to Accounting policy Note 3.12.
Background information on all material provisions is given in Note 26
.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
156
22 Share capital and reserves

|  |  | Number of shares - 000s
Allotted, called up and fully paid | 2024 | 2023 | 2024 | 2023
| £m | £m | 000s | 000s
Ordinary shares of £1 | 1,678 | 1,678 | 1,678,177 | 1,678,177
Non-cumulative preference shares of £1 | 116 | 116 | 116,349 | 116,349

Ordinary shares
No ordinary shares were issued during 2024 or 2023.
In 2024, NWB Plc paid ordinary dividends of £2.5 billion to
NWH Ltd (2023 – £1.7 billion).
Preference shares
The 9% non-cumulative preference shares Series A of £1 each
are non-redeemable.
The holders of preference shares are entitled, on the winding-
up of NWB Plc, to priority over the ordinary shareholders as
regards payment of capital. Otherwise the holders of
preference shares are not entitled to any further participation
in the profits or assets of NWB Plc.
The holders of preference shares are not entitled to receive
notice of, attend, or vote at any general meeting unless the
business of the meeting includes the consideration of a
resolution for the winding-up of NWB Plc or the sale of the
whole of the business of NWB Plc or any resolution directly
affecting any of the special rights or privileges attached to any
of the classes of preference shares.
Under IFRS, NWB Plc preference shares are classified as debt
and are included in subordinated liabilities on the balance
sheet Note 20.
Paid-in equity
Comprises equity instruments issued by NWB Plc other than
those legally constituted as shares.
Additional Tier 1 Instruments issued by NWB Plc having the
legal form of debt are classified as equity under IFRS. The
coupons on these Instruments are non-cumulative and
payable at NWB Plc’s discretion.
Capital recognised for regulatory purposes cannot be
redeemed without Prudential Regulation Authority consent.
This includes ordinary shares, preference shares and
additional Tier 1 Instruments.
Reserves
Under UK companies legislation, when shares are redeemed
or purchased wholly or partly out of NWB Plc’s profits, the
amount by which NWB Plc’s issued share capital is diminished
must be transferred to the capital redemption reserve. The
capital maintenance provisions of UK companies legislation
apply to the capital redemption reserve as if it were part of
NWB Plc’s paid up share capital.
UK law prescribes that only distributable reserves of NWB Plc
are taken into account for the purpose of making distributions,
this includes permissible applications within the share premium
account and capital redemption reserve of £631 million (2023
- £631 million).
NWB Plc optimises capital efficiency by maintaining reserves in
subsidiaries, including regulated entities. Certain preference
shares and subordinated debt are also included within
regulatory capital. The remittance of reserves to the parent
company or the redemption of shares or subordinated capital
by regulated entities may be subject to maintaining the capital
resources required by the relevant regulator.
For accounting policy information refer to Accounting policy 3.10.

| 2024 | 2023
| £m | £m
Additional Tier 1 instruments |  |
US $2,000 million 3.8495% instruments callable - August 2023 | 1,077 | 1,077
US $750 million 4.3517% instruments callable - June 2023 | 541 | 541
GBP £400 million 3.9438% instruments callable - March 2028 | 400 | 400
GBP £500 million 6.8543% instruments callable - May 2027 | 500 | 500
US$ 1,000 million 8.125% instruments callable - November 2033 | 799 | -
| 3,317 | 2,518

Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
157
23 Structured entities
A structured entity (SE) is an entity that has been designed such
that voting or similar rights are not the dominant factor in
deciding who controls the entity, for example when any voting
rights relate to administrative tasks only and the relevant
activities are directed by means of contractual arrangements.
SEs are usually established for a specific, limited purpose, they
do not carry out a business or trade and typically have no
employees.
Securitisations
In a securitisation, assets, or interests in a pool of assets, are
transferred, or the credit risk is transferred via a derivative or
financial guarantee to a SE which then issues liabilities to third
party investors.
NWB Group’s involvement in client securitisations takes a
number of forms. It may provide secured finance to, or purchase
asset-backed notes from, client sponsored SEs secured on
assets transferred by the client entity; or purchase asset backed
securities issued by client sponsored SEs in the primary or
secondary markets. In addition, NWB Group undertakes own-
asset securitisations to transfer the credit risk on portfolios of
financial assets.
Other credit risk transfers securitisations
NWB Group transfers credit risk on originated loans and
mortgages without the transfer of the assets to a SE. As part of
this, NWB Group enters into credit derivative and financial
guarantee contracts with consolidated SEs. At 31 December
2024, debt securities in issue by such SEs (and held by third
parties) were £1,175 million (2023 - £863 million). The
associated loans and mortgages at 31 December 2024 were
£13,226 million (2023 - £2,687 million). At 31 December, ECL in
relation to non-defaulted assets was reduced by £43 million
(2023 - £11 million) as a result of financial guarantee contracts
with consolidated SEs.
Covered bond programme
Certain loans to customers have been assigned to bankruptcy
remote limited liability partnerships to provide security for issues
of debt securities by NWB Group. NWB Group retains all of the
risks and rewards of these loans.
The partnerships are consolidated by NWB Group, the loans
retained on NWB Group’s balance sheet and the related covered
bonds included within debt securities in issue of the NWB Group.
At 31 December 2024, £8,323 million (2023 - £9,784 million) of
loans to customers have been assigned to bankruptcy remote
limited liability partnerships to provide security for issues of debt
securities by the NWB Group of £749 million (2023 - £2,122
million).
Lending of own issued securities
NWB Group has issued, retained, and lent debt securities under
securities lending arrangements. Under standard terms in the
UK and US markets, the recipient has an unrestricted right to
sell or re-pledge collateral, subject to returning equivalent
securities on maturity of the transaction. NWB Group retains all
of the risks and rewards of own issued liabilities lent under such
arrangements and does not recognise them. At 31 December
2024 £1,750 million (31 December 2023 - £1,750 million) of
secured own issued liabilities have been retained and lent under
securities lending arrangements. At 31 December 2024 £1,751
million (31 December 2023 - £1,754 million) of loans provided
security for secured own issued liabilities that have been
retained and lent under securities lending arrangements.
Unconsolidated structured entities
The term ‘unconsolidated structured entities’ refers to
structured entities not controlled by NWB Group, and which are
established either by NWB Group or a third party. An interest in
a structured entity is any form of contractual or non-contractual
involvement which creates variability in returns for NWB Group
arising from the performance of the entity. Such interests
include holdings of debt or equity securities, derivatives that
transfer financial risks from the entity to NWB Group, provision
of lending and loan commitments, financial guarantees and
investment management agreements. NWB Group enters into
transactions with unconsolidated structured entities in the
normal course of business to facilitate customer transactions, to
provide risk management services and for specific investment
opportunities. Structured entities may take the form of funds,
trusts, partnerships, securitisation vehicles, and private
investment companies. NWB Group considers itself to be the
sponsor of a structured entity where it is primarily involved in
the set up and design of the entity and where NWB Group
transfers assets to the entity, markets products associated with
the entity in its own name, and/or provides guarantees in
relation to the performance of the entity.
The nature and extent of NWB Group’s interests in structured entities is summarised below.

| 2024 | 2023
| Asset-backed | Investment |  | Asset-backed | Investment |
| securitisation | funds |  | securitisation | funds |
| vehicles | and other | Total | vehicles | and other | Total
| £m | £m | £m | £m | £m | £m
Assets |  |  |  |  |  |
Loans to customers | 445 | 261 | 706 | 215 | 253 | 468
Other financial assets | 3,601 | - | 3,601 | 2,621 | - | 2,621
Total | 4,046 | 261 | 4,307 | 2,836 | 253 | 3,089
Off balance sheet |  |  |  |  |  |
Liquidity facilities/loan commitments | 145 | 52 | 197 | 115 | 50 | 165
Guarantees | - | 11 | 11 | - | 11 | 11
Total | 145 | 63 | 208 | 115 | 61 | 176
Maximum exposure | 4,191 | 324 | 4,515 | 2,951 | 314 | 3,265

Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
158
24 Asset transfers
Transfers that do not qualify for derecognition
NWB Group enters into securities repurchase agreements and
securities lending transactions under which it transfers securities
in accordance with normal market practice. Generally, the
agreements require additional collateral to be provided if the
value of the securities falls below a predetermined level.
Under standard terms for repurchase transactions in the UK and
US markets, the recipient of collateral has an unrestricted right
to sell or re-pledge it, subject to returning equivalent securities on
settlement of the transaction.
Securities sold under repurchase transactions are not
derecognised if NWB Group retains substantially all the risks and
rewards of ownership. The fair value (and carrying value) of
securities transferred under such repurchase transactions
included on the balance sheet, are set out below. All of these
securities could be sold or re-pledged by the holder.

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
The following assets have failed derecognition (1) | £m | £m | £m | £m
Loans to bank - amortised cost | 70 | 10 | 70 | 10
Loans to customers - amortised cost | 45 | 281 | 45 | 281
Other financial assets | 8,984 | 6,469 | 8,984 | 6,469
Total | 9,099 | 6,760 | 9,099 | 6,760

(1)
Associated liabilities were £8,103 million for both NWB Group and NWB Plc (2023 - £6,437 million).
Assets pledged as collateral
NWB Group pledges collateral with its counterparties in respect of derivative liabilities, bank and stock borrowings and other
transactions
.

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
Assets pledged against liabilities | £m | £m | £m | £m
Loans to banks - amortised cost | - | 63 | - | -
Loans to customers - amortised cost | 19,030 | 21,611 | 19,030 | 21,611
Other financial assets (1) | 534 | 1,252 | 35 | 770
Total | 19,564 | 22,926 | 19,065 | 22,381

(1)
Includes assets pledged for pension derivatives and £499 million of debt securities under the continuing control of NWB Plc. This follows the agreement between NWB Plc and the Group
Pension Fund to establish a bankruptcy remote reservoir trust to hold these assets. Refer to Note 5 for additional information.
The following table analyses assets that have been transferred but have failed the derecognition rules under IFRS 9 and therefore
continue to be recognised on NWB Plc’s balance sheet.

| 2024 | 2023
Asset type (1) | £m | £m
UK mortgages - covered bond programme | 8,323 | 9,784

(1)
The associated liabilities are £8,221 million (2023 - £9,702 million).
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
159
25 Capital resources
Regulatory capital is assessed against minimum requirements that are set out under the UK Capital Requirements Regulation on a
legal entity and consolidated basis. Transitional arrangements on the phasing in of end-point capital resources are set by the relevant
regulatory authority.
The capital resources under the PRA transitional basis for NWB Plc are set out below.

| 2024 | 2023
Shareholders' equity (excluding non-controlling interests) | £m | £m
Shareholders’ equity | 21,609 | 19,701
Other equity instruments | (3,317) | (2,518)
| 18,292 | 17,183
Regulatory adjustments and deductions |  |
Cash flow hedging reserve | 307 | 601
Deferred tax assets | (319) | (332)
Prudential valuation adjustments | (26) | (41)
Goodwill and other intangible assets | (1,626) | (1,698)
Excess of expected losses over impairment provisions | (123) | -
Instruments of financial sector entities where the institution has a significant investment | (775) | (869)
Foreseeable dividends | (1,584) | (880)
Adjustment under IFRS 9 transition arrangements | 35 | 169
Other adjustments for regulatory purposes | - | (51)
| (4,111) | (3,101)
CET1 capital | 14,181 | 14,082
Additional Tier 1 (AT1) capital |  |
Qualifying instruments and related share premium | 3,317 | 2,518
AT1 Capital | 3,317 | 2,518
Tier 1 capital |  |
Instruments of financial sector entities where the institution has a significant investment | (240) | (240)
Tier 1 capital | 17,258 | 16,360
Qualifying Tier 2 capital |  |
Qualifying instruments and related share premium | 3,673 | 3,704
Tier 2 deductions |  |
Instruments of financial sector entities where the institution has a significant investment | (302) | (302)
Other regulatory adjustments | - | 36
| (302) | (266)
Tier 2 capital | 3,371 | 3,438
Total regulatory capital | 20,629 | 19,798

In the management of capital resources, NWB Plc is governed by
NatWest Group's policy to maintain a strong capital base, to
expand it as appropriate and to utilise it efficiently throughout its
activities to optimise the return to shareholders while maintaining
a prudent relationship between the capital base and the
underlying risks of the business. In carrying out this policy,
NatWest Group has regard to the supervisory requirements of the
PRA. The PRA uses capital ratios as a measure of capital
adequacy in the UK banking sector, comparing a bank's capital
resources with its risk-weighted assets (the assets and off-
balance sheet exposures are weighted to reflect the inherent
credit and other risks); by international agreement, the Pillar 1
capital ratios, excluding capital buffers should be not less than 8%
with a Common equity Tier 1 component of not less than 4.5%.
NWB Plc has complied with the PRA’s capital requirements
throughout the year.
A number of subsidiaries and sub-groups within NWB Group,
principally banking entities, are subject to various individual
regulatory capital requirements in the UK and overseas.
Furthermore, the payment of dividends by subsidiaries and the
ability of members of NatWest Group to lend money to other
members of NatWest Group may be subject to restrictions such
as local regulatory or legal requirements, the availability of
reserves and financial and operating performance.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
160
26 Memorandum items
Contingent liabilities and commitments
The amounts shown in the table below are intended only to provide an indication of the volume of business outstanding at 31
December 2024. Although NWB Group is exposed to credit risk in the event of non-performance of the obligations undertaken by
customers, the amounts shown do not, and are not intended to, provide any indication of NWB Group’s expectation of future losses
.

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Contingent liabilities and commitments |  |  |  |
Guarantees | 1,748 | 1,359 | 1,729 | 1,339
Other contingent liabilities | 1,142 | 1,173 | 1,097 | 1,127
Standby facilities, credit lines and other commitments | 93,758 | 85,304 | 82,965 | 75,333
Total | 96,648 | 87,836 | 85,791 | 77,799

(1)
Updated to reflect the regulatory treatment of revocable commitments.
Banking commitments and contingent obligations, which have
been entered into on behalf of customers and for which there are
corresponding obligations from customers, are not included in
assets and liabilities. NWB Group’s maximum exposure to credit
loss, in the event of its obligation crystallising and all
counterclaims, collateral or security proving valueless, is
represented by the contractual nominal amount of these
instruments included in the table above. These commitments and
contingent obligations are subject to NWB Group’s normal credit
approval processes.
Guarantees - NWB Group gives guarantees on behalf of
customers. A financial guarantee represents an irrevocable
undertaking that NWB Group will meet a customer’s specified
obligations to a third party if the customer fails to do so. The
maximum amount that NWB Group could be required to pay
under a guarantee is its principal amount as disclosed in the table
above. NWB Group expects most guarantees it provides to
expire unused.
Other contingent liabilities - these include standby letters of
credit, supporting customer debt issues and contingent liabilities
relating to customer trading activities such as those arising from
performance and customs bonds, warranties and indemnities.
Standby facilities and credit lines - under a loan commitment
NWB Group agrees to make funds available to a customer in the
future. Loan commitments, which are usually for a specified term,
may be unconditionally cancellable or may persist, provided all
conditions in the loan facility are satisfied or waived.
Commitments to lend include commercial standby facilities and
credit lines, liquidity facilities to commercial paper conduits and
unutilised overdraft facilities.
Other commitments - these include documentary credits, which
are commercial letters of credit providing for payment by NWB
Group to a named beneficiary against presentation of specified
documents, forward asset purchases, forward deposits placed
and undrawn note issuance and revolving underwriting facilities,
and other short-term trade related transactions.
Indemnity deed
In April 2019, NWM Plc and NWB Plc entered into a cross
indemnity agreement for losses incurred within the entities in
relation to business transferred to or from the ring-fenced bank
under the NatWest Group’s structural re-organisation. Under the
agreement, NWM Plc is indemnified by NWB Plc against losses
relating to the NWB Plc transferring businesses and ring-fenced
bank obligations and NWB Plc is indemnified by NWM Plc against
losses relating to NWM Plc transferring businesses and non ring-
fenced bank obligations with effect from the relevant transfer
date.
Capital Support Deed
NWB Plc, together with certain other subsidiaries of NatWest
Holdings Limited, is party to a Capital Support Deed (CSD).
Under the terms of the CSD, the Bank may be required, if
compatible with its legal obligations, to make distributions on, or
repurchase or redeem, its ordinary shares. The amount of this
obligation is limited to the NWB Plc’s capital resources in excess
of the capital and financial resources needed to meet its
regulatory requirements. NWB Plc may also be obliged to make
onward distribution to its ordinary shareholders of dividends or
other capital distributions received from subsidiaries that are
party to the CSD. The CSD also provides that, in certain
circumstances, funding received by NWB Plc
from other parties
to the CSD becomes immediately repayable, such repayment
being limited to the NWB Plc’s available resources.
Contractual obligations for future expenditure not provided for in the accounts
The following table shows contractual obligations for future expenditure not provided for in the accounts at the year end
.

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Capital expenditure on other property, plant and equipment | 13 | 35 | 13 | 35
Contracts to purchase goods or services (1) | 1,159 | 1,116 | 1,122 | 963
| 1,172 | 1,151 | 1,135 | 998

(1)
Of which due within 1 year: £356 million (2023 - £375 million) for NWB Group and £334 million (2023 - £333 million) for NWB Plc.
Notes to the financial statements continued
26 Memorandum items continued
NWB Group
Annual Report and Accounts 2024
161
Trustee and other fiduciary activities
In its capacity as trustee or other fiduciary role, NWB Group may
hold or place assets on behalf of individuals, trusts, companies,
pension schemes and others. The assets and their income are
not included in NWB Group's financial statements. NWB Group
earned fee income of £231 million (2023 - £205 million) from
these activities.
The Financial Services Compensation Scheme
The Financial Services Compensation Scheme (FSCS), the UK's
statutory fund of last resort for customers of authorised financial
services firms, pays compensation if a firm is unable to meet its
obligations. The FSCS funds compensation for customers by
raising management expenses levies and compensation levies on
the industry. In relation to protected deposits, each deposit-
taking institution contributes towards these levies in proportion to
their share of total protected deposits on 31 December of the
year preceding the scheme year (which runs from 1 April to 31
March), subject to annual maxima set by the Prudential
Regulation Authority. In addition, the FSCS has the power to
raise levies on a firm that has ceased to participate in the
scheme and is in the process of ceasing to be authorised for the
costs that it would have been liable to pay had the FSCS made a
levy in the financial year it ceased to be a participant in the
scheme.
Litigation and regulatory matters
NWB Plc and its subsidiary and associated undertakings (‘NWB
Group’) are party to various legal proceedings and are involved
in, or subject to, various regulatory matters, including as the
subject of investigations and other regulatory and governmental
action (Matters) in the United Kingdom (UK), the United States
(US), the European Union (EU) and other jurisdictions.
NWB Group recognises a provision for a liability in relation to
these Matters when it is probable that an outflow of economic
benefits will be required to settle an obligation resulting from past
events, and a reliable estimate can be made of the amount of the
obligation.
In many of the Matters, it is not possible to determine whether
any loss is probable, or to estimate reliably the amount of any
loss, either as a direct consequence of the relevant proceedings
and regulatory matters or as a result of adverse impacts or
restrictions on NWB Group’s reputation, businesses and
operations. Numerous legal and factual issues may need to be
resolved, including through potentially lengthy discovery and
document production exercises and determination of important
factual matters, and by addressing novel or unsettled legal
questions relevant to the proceedings in question, before the
probability of a liability, if any, arising can reasonably be
estimated in respect of any Matter. NWB Group cannot predict if,
how, or when such claims will be resolved or what the eventual
settlement, damages, fine, penalty or other relief, if any, may be,
particularly for Matters that are at an early stage in their
development or where claimants seek substantial or
indeterminate damages.
There are situations where NWB Group may pursue an approach
that in some instances leads to a settlement agreement. This
may occur in order to avoid the expense, management
distraction or reputational implications of continuing to contest
liability, or in order to take account of the risks inherent in
defending or contesting Matters, even for those for which NWB
Group believes it has credible defences and should prevail on the
merits. The uncertainties inherent in all Matters affect the
amount and timing of any potential economic outflows for both
Matters with respect to which provisions have been established
and other contingent liabilities in respect of any such Matter.
It is not practicable to provide an aggregate estimate of potential
liability for our Matters as a class of contingent liabilities.
The future economic outflow in respect of any Matter may
ultimately prove to be substantially greater than, or less than, the
aggregate provision, if any, that NWB Group has recognised in
respect of such Matter. Where a reliable estimate of the
economic outflow cannot be reasonably made, no provision has
been recognised. NWB Group expects that in future periods,
additional provisions and economic outflows relating to Matters
that may or may not be currently known by NWB Group will be
necessary, in amounts that are expected to be substantial in
some instances. Refer to Note 21 for information on material
provisions.
Matters which are, or could be, material, either individually or in
aggregate, having regard to NWB Group, considered as a whole,
in which NWB Group is currently involved are set out below. We
have provided information on the procedural history of certain
Matters, where we believe appropriate, to aid the understanding
of the Matter.
For a discussion of certain risks associated with NWB Group’s
litigation and regulatory matters (including the Matters), refer to
the Risk Factor relating to legal, regulatory and governmental
actions and investigations set out on page 186.
Litigation
London Interbank Offered Rate (LIBOR) and other rates
litigation
In August 2020, a complaint was filed in the United States District
Court for the Northern District of California by several United
States retail borrowers against the USD ICE LIBOR panel banks
and their affiliates (including NatWest Group plc, NatWest
Markets Plc, NatWest Markets Securities Inc. and NWB Plc),
alleging (i) that the very process of setting USD ICE LIBOR
amounts to illegal price-fixing; and (ii) that banks in the United
States have illegally agreed to use LIBOR as a component of
price in variable retail loans. In September 2022, the district court
dismissed the complaint. In December 2024, the United States
Court of Appeals for the Ninth Circuit affirmed the district court’s
decision.
Offshoring VAT assessments
HMRC, as part of an industry-wide review, issued protective tax
assessments in 2018 against NatWest Group plc totalling £143
million relating to unpaid VAT in respect of the UK branches of
two NatWest Group companies registered in India for the period
from 1 January 2014 until 31 December 2017 inclusive. NatWest
Group formally requested reconsideration by HMRC of their
assessments, and this process was completed in November
2020. HMRC upheld their original decision and, as a result,
NatWest Group plc lodged an appeal with the Tax Tribunal and
an application for judicial review with the High Court of Justice of
England and Wales, both in December 2020. In order to lodge
the appeal with the Tax Tribunal, NatWest Group plc was
required to pay amounts totalling £153 million (including statutory
interest) to HMRC in December 2020 and May 2022. The appeal
and the application for judicial review have both been stayed
pending further discussion with HMRC in relation to a separate
case involving another bank.
The amount of £153 million
continues to be recognised as an asset that NatWest Group plc
expects to recover. Since 1 January 2018, NatWest Group plc
has paid VAT on intra-group supplies from the India-registered
NatWest Group companies.
Notes to the financial statements continued
26 Memorandum items continued
NWB Group
Annual Report and Accounts 2024
162
Regulatory matters
NWB Group’s financial condition can be affected by the actions of
various governmental and regulatory authorities in the UK, the
US, the EU and elsewhere. NWB Group and/or NatWest Group
have engaged, and will continue to engage, in discussions with
relevant governmental and regulatory authorities, including in the
UK, the US, the EU and elsewhere, on an ongoing and regular
basis, and in response to informal and formal inquiries or
investigations, regarding operational, systems and control
evaluations and issues including those related to compliance with
applicable laws and regulations, including consumer protection,
investment advice, business conduct, competition/anti-trust, VAT
recovery, anti-bribery, anti-money laundering and sanctions
regimes.
NWB Group expects government and regulatory intervention in
financial services to be high for the foreseeable future, including
increased scrutiny from competition and other regulators in the
retail and SME business sectors.
Any matters discussed or identified during such discussions and
inquiries may result in, among other things, further inquiry or
investigation, other action being taken by governmental and
regulatory authorities, increased costs being incurred by NWB
Group, remediation of systems and controls, public or private
censure, restriction of NWB Group’s business activities and/or
fines. Any of the events or circumstances mentioned in this
paragraph or below could have a material adverse effect on
NWB Group, its business, authorisations and licences, reputation,
results of operations or the price of securities issued by it, or lead
to material additional provisions being taken.
NWB Group is co-operating fully with the matters described
below.
Investment advice review
In October 2019, the FCA notified NatWest Group of its intention
to appoint a Skilled Person under section 166 of the Financial
Services and Markets Act 2000 to conduct a review of whether
NatWest Group’s past business review of investment advice
provided during 2010 to 2015 was subject to appropriate
governance and accountability and led to appropriate customer
outcomes. The Skilled Person’s review has concluded and, after
discussion with the FCA, NatWest Group is undertaking additional
review / remediation work.
27 Analysis of the net investment in business interests and intangible assets

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Additional investment in associates | - | (5) | - | (5)
Additional investments in Group undertakings | - | - | (10) | (531)
Disposal of investments in Group undertakings | - | - | - | 35
Purchase of net assets and liabilities | (2,296) | - | (2,296) | -
Net outflow of cash in respect of purchases and disposals | (2,296) | (5) | (2,306) | (501)
Dividend received from associate | 1 | - | - | -
Net cash expenditure on intangible assets | (588) | (719) | (555) | (687)
Net outflow of cash | (2,883) | (724) | (2,861) | (1,188)

Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
163
28 Non-cash and other items
This note shows non-cash items adjusted for in the cashflow statement and movement in operating assets and liabilities.

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Impairment losses | 347 | 504 | 334 | 483
Depreciation and amortisation | 987 | 877 | 817 | 705
Net impairment/(reversal) of impairment of investments in Group undertakings | - | - | 97 | (2)
Change in fair value taken to profit or loss on other financial assets | 218 | (541) | 218 | (541)
Change in fair value taken to profit or loss on other financial liabilities and |  |  |  |
subordinated liabilities | 97 | 374 | 105 | 383
Elimination of foreign exchange differences | 670 | 325 | 640 | 320
Other non-cash items | 361 | (38) | 329 | (49)
Income receivable on other financial assets | (1,342) | (731) | (1,310) | (713)
Loss on sale of other financial assets | 18 | 43 | 32 | 43
Dividends receivable from subsidiaries | - | - | (553) | (617)
Profit on sale of subsidiaries and associates | - | - | - | (36)
(Gain)/loss on sale of other assets and net assets and liabilities | (26) | 50 | (25) | 46
Share of loss from associates | 2 | - | - | -
Gain on redemption of own debt | - | (234) | - | (234)
Interest payable on MRELs and subordinated liabilities | 445 | 484 | 387 | 426
Charges and releases on provisions | 317 | 127 | 294 | 118
Defined benefit pension schemes | 80 | 89 | 59 | 64
Non-cash and other items | 2,174 | 1,329 | 1,424 | 396
Change in operating assets and liabilities |  |  |  |
Change in derivative assets | 429 | 1,043 | 445 | 1,037
Change in loans to banks | 67 | 443 | 117 | 431
Change in loans to customers | (11,600) | (17,296) | (11,281) | (17,405)
Change in amounts due from holding companies and fellow subsidiaries | (1,144) | 2,607 | (3,635) | (97)
Change in other financial assets | (260) | (139) | (260) | (139)
Change in other assets | (57) | (239) | (66) | (243)
Change in bank deposits | 6,728 | 1,992 | 6,726 | 1,993
Change in customer deposits | 4,538 | (8,862) | (230) | (5,356)
Change in amounts due to holding companies and fellow subsidiaries | 372 | 7,578 | 6,646 | 8,225
Change in derivative liabilities | (541) | (370) | (691) | (568)
Change in other financial liabilities | (4,013) | 3,627 | (4,324) | 3,623
Change in notes in circulation | 129 | (3) | 129 | (3)
Change in other liabilities | (629) | (513) | (583) | (497)
Change in operating assets and liabilities | (5,981) | (10,132) | (7,007) | (8,999)

Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
164
29 Analysis of changes in financing during the year

| NWB Group | NWB Plc
| Called up share |  |  |  |  | Called up share |  |  |  |
| capital, share |  |  |  |  | capital, share |  |  |  |
| premium, and | Subordinated |  |  | premium, and | Subordinated |  |
| paid-in equity | liabilities (1) | MRELs (2) | paid-in equity | liabilities (1) | MRELs (2)
| 2024 | 2023 | 2024 | 2023 | 2024 | 2023 | 2024 | 2023 | 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m | £m | £m | £m | £m | £m | £m | £m | £m
At 1 January | 6,421 | 6,421 | 3,758 | 3,138 | 6,548 | 6,339 | 6,421 | 6,421 | 3,755 | 3,132 | 5,980 | 5,709
Issue of paid-in equity | 799 | - |  |  |  |  | 799 | - |  |  |  |
Issue of subordinated liabilities |  |  | 600 | 1,263 |  |  |  |  | 600 | 1,263 |  |
Redemption of subordinated liabilities |  |  | (579) | (539) |  |  |  |  | (579) | (539) |  |
Interest paid on subordinated liabilities |  |  | (184) | (145) |  |  |  |  | (159) | (120) |  |
Issue of MRELs |  |  |  |  | 1,187 | 441 |  |  |  |  | 927 | 441
Maturity and redemption of MRELs |  |  |  |  | (1,190) | (157) |  |  |  |  | (930) | (107)
Interest paid on MRELs |  |  |  |  | (247) | (293) |  |  |  |  | (215) | (261)
Net cash inflow/(outflow) from financing | 799 | - | (163) | 579 | (250) | (9) | 799 | - | (138) | 604 | (218) | 73
Effects of foreign exchange |  | - | (53) | (47) | 24 | (316) |  | - | (53) | (47) | 35 | (311)
Changes in fair value of subordinated |  |  |  |  |  |  |  |  |  |  |  |
liabilities and MRELs |  |  | 39 | 147 | 58 | 227 |  |  | 39 | 148 | 66 | 235
Interest payable on subordinated |  |  |  |  |  |  |  |  |  |  |  |
liabilities and MRELs |  |  | 189 | 177 | 256 | 307 |  |  | 164 | 152 | 223 | 274
Gain on redemption of own debt |  |  | - | (234) |  |  |  |  | - | (234) |  |
Other |  | - | - | (2) | - | - | - | - | - | - | - | -
At 31 December | 7,220 | 6,421 | 3,770 | 3,758 | 6,636 | 6,548 | 7,220 | 6,421 | 3,767 | 3,755 | 6,086 | 5,980

(1)
Subordinated liabilities include intercompany subordinated liabilities.
(2)
NWB Group MREL balances are included in amounts due to holding companies and fellow subsidiaries. NWB Plc MREL balances are shown net of the effect of down streaming funding to
subsidiary companies.
30 Analysis of cash and cash equivalents
In the cash flow statement, cash and cash equivalents comprises cash and loans to banks with an original maturity of less than three
months that are readily convertible to known amounts of cash and subject to insignificant risk of change in value.

| NWB Group | NWB Plc
| 2024 | 2023 | 2024 | 2023
| £m | £m | £m | £m
Cash and balances at central banks | 35,095 | 48,259 | 35,083 | 48,238
Other financial assets | 2 | 129 | 2 | 129
Loans to banks including intragroup balances (1) | 4,033 | 3,613 | 3,593 | 4,115
Cash and cash equivalents | 39,130 | 52,001 | 38,678 | 52,482

(1)
Includes cash collateral posted with bank counterparties in respect of derivative liabilities of £2 million (2023 - £129 million).
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
165
31 Directors’ and key management remuneration
The composition of NWB Plc’s board of directors is aligned to the board of its intermediate holding company NatWest Holdings Ltd.
The directors are remunerated for their services to NatWest Group as a whole, and their remuneration cannot be apportioned in
respect of their services to NWB Plc.
The directors’ emoluments in the table below represent the NWH Group emoluments of the directors.

| 2024 | 2023
Directors' remuneration | £m | £m
Non-executive directors emoluments | 1,787 | 1,852
Chair and executive directors emoluments | 6,425 | 6,408
| 8,212 | 8,260
Amounts receivable under long-term incentive plans and share option plans | 1,471 | 2,708
| 9,683 | 10,968

The total emoluments and amounts receivable under long-term incentive plans and share option plans of the highest paid director
were £3,873,000 (2023 - £2,930,000).
The executive directors may participate in the NatWest Group's long-term incentive plans, executive share option and sharesave
schemes. Where directors of NWB Plc are also directors of NatWest Group plc, details of their share interests can be found in the 2024
Annual Report and Accounts of NatWest Group plc, in line with regulations applying to NatWest Group plc as a premium listed
company.
Compensation of key management
The aggregate remuneration of directors and other members of key management
(1)
during the year was as follows:

| 2024 | 2023
| £m | £m
Short-term benefits | 19,729 | 17,244
Post-employment benefits | 614 | 601
Share-based payments | 5,250 | 6,104
| 25,593 | 23,949

(1)
Key management comprises members of the NWH Ltd Executive Committee.
Short term benefits include benefits expected to be settled wholly within twelve months of the balance sheet date. Post-employment
benefits include defined benefit contributions for active members and pension funding to support contributions to the defined
contribution schemes. Share-based payments include awards vesting under rewards schemes.
32 Transactions with directors and key management
For the purposes of IAS 24 Related Party Disclosures, key management comprises directors of NWB Plc and members of the NWB Plc
Executive Committee. Key management have banking relationships with NatWest Group entities which are entered into in the normal
course of business and on substantially the same terms, including interest rates and security, as for comparable transactions with
other persons of a similar standing or, where applicable, with other employees. These transactions did not involve more than the
normal risk of repayment or present other unfavourable features. Key management had no reportable transactions or balances with
the holding companies.
Amounts in the table below are attributed to each person at their highest level of NatWest Group key management and relate to those
who were key management at any time during the financial period.

| At 31 December
| 2024 | 2023
| £m | £m
Loans to customers - amortised cost | 3,538 | 10,579
Customer deposits | 36,936 | 48,595

At 31 December 2024, amounts outstanding in relation to transactions, arrangements and agreements entered into by authorised
institutions in NWB Group, as defined in UK legislation, were £2,581,500 in respect of loans to eight persons who were directors of
NWB Plc at any time during the financial period (2023 - £8,408,984).
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
166
33 Related parties
UK Government
The UK Government’s shareholding in NatWest Group plc is
managed by UK Government Investments Limited, a company
wholly owned by the UK Government. At 31 December 2024 HM
Treasury’s holding in NatWest Group plc’s ordinary shares was
9.99% (31 December 2023 - 37.97%). As a result, the UK
Government through HM Treasury is no longer the controlling
shareholder of NatWest Group plc as per UK listing rules. The UK
Government and UK Government-controlled bodies remain
related parties of the NatWest Group.
NWB Group enters into transactions with many of these bodies.
Transactions include the payment of: taxes, principally UK
corporation tax Note 7 and value added tax; national insurance
contributions; local authority rates; and regulatory fees and levies;
together with banking transactions such as loans and deposits
undertaken in the normal course of banker-customer
relationships.
Bank of England facilities
NWB Group may participate in a number of schemes operated by
the Bank of England in the normal course of business.
In March 2024 Bank of England Levy replaced the Cash Ratio
Deposit scheme. Members of NatWest Group that are UK
authorised institutions are required to pay the levy having eligible
liabilities greater than £600 million. They also have access to Bank
of England reserve accounts: sterling current accounts that earn
interest at the Bank of England Base rate.
NWB Plc guarantees certain liabilities of NWH Group to the Bank
of England.
Other related party
(a)
In accordance with IAS 24, transactions or balances between
NWB Group entities that have been eliminated on
consolidation are not reported.
(b)
The primary financial statements include transactions and
balances with its subsidiaries which have been further
disclosed in the relevant parent company notes.
Associates, joint ventures and equity investments
In their roles as providers of finance, NWB Group companies
provide development and other types of capital support to
businesses. These investments are made in the normal course of
business. To further strategic partnerships, NWB Group may seek
to invest in third parties or allow third parties to hold a minority
interest in a subsidiary of NatWest Group. We disclose as related
parties for associates and joint ventures and where equity interest
are over 10%. Ongoing business transactions with these entities
are on normal commercial terms.
At 31 December 2024 NWB Group held investment in associates
and joint ventures amounting to £1 million (2023 - £4 million). For
the year ended 31 December 2024 NWB Group’s share of losses
of associates was £2 million (2023 - £3 million). At 31 December
2024 there were £1 million balances within customer deposits
(2023 - £2 million) relating to associates and joint ventures.
Post employment benefits
NatWest Group recharges NatWest Group Pension Fund with the
cost of pension management services incurred by it.
Notes to the financial statements continued
33 Related parties continued
NWB Group
Annual Report and Accounts 2024
167
Holding companies and fellow subsidiaries
Transactions NWB Group enters with its holding companies and fellow subsidiaries also meet the definition of related party
transactions. The table below discloses transactions between NWB Group and subsidiaries of NatWest Group.

| 2024 | 2023
| Holding | Fellow | Total | Holding | Fellow | Total
| company | subsidiaries |  | company | subsidiaries |
| £m | £m | £m | £m | £m | £m
Interest receivable | 2 | 95 | 97 | - | 133 | 133
Interest payable | (713) | (1,768) | (2,481) | (674) | (1,588) | (2,262)
Fees and commissions receivable | - | 74 | 74 | - | 62 | 62
Fees and commissions payable | - | (78) | (78) | - | (71) | (71)
Other operating income (1) | 37 | 1,441 | 1,478 | 11 | 1,532 | 1,543
Other administration expenses (2) | - | (128) | (128) | - | (156) | (156)
Impairment (losses)/releases | (1) | - | (1) | 3 | - | 3
| (675) | (364) | (1,039) | (660) | (88) | (748)

(1)
Includes internal service recharges of £1,478 million (2023 - £1,542 million).
(2)
Other administration expense relates to a profit share arrangement with a fellow NatWest Group subsidiary that commenced in 2023. The profit share arrangement was introduced to
reward NWM Group on an arm’s length basis for its contribution to the performance of the NatWest Group Commercial & Institutional business segment, 2023 being the first full year
with the Commercial & Institutional segment in place.
The following tables include amounts due from or to holding companies and fellow subsidiaries:

| NWB Group
| 2024 | 2023
| Holding | Fellow |  | Holding | Fellow |
| companies | subsidiaries | Total | companies | subsidiaries | Total
| £m | £m | £m | £m | £m | £m
Assets |  |  |  |  |  |
Loans to banks - amortised cost | - | 3,116 | 3,116 | - | 1,797 | 1,797
Loans to customers - amortised cost | - | 12 | 12 | - | 11 | 11
Other financial assets | 78 | - | 78 | - | - | -
Other assets | 121 | 409 | 530 | 104 | 399 | 503
Amounts due from holding companies and fellow subsidiaries | 199 | 3,537 | 3,736 | 104 | 2,207 | 2,311
Derivatives (1) | 168 | 1,476 | 1,644 | 275 | 2,045 | 2,320
Liabilities |  |  |  |  |  |
Bank deposits | - | 28,632 | 28,632 | - | 30,499 | 30,499
Customer deposits | 8,638 | 1 | 8,639 | 6,262 | 11 | 6,273
Subordinated liabilities | 3,648 | - | 3,648 | 3,636 | - | 3,636
MREL instruments issued to NatWest Holdings Ltd | 6,636 | - | 6,636 | 6,548 | - | 6,548
Other financial liabilities | - | 27 | 27 | - | 17 | 17
Other liabilities | - | 142 | 142 | 43 | 236 | 279
Amounts due to holding companies and fellow subsidiaries | 18,922 | 28,802 | 47,724 | 16,489 | 30,763 | 47,252
Derivatives (1) | 284 | 505 | 789 | 258 | 710 | 968

(1)
Intercompany derivatives are included within derivative classification on the balance sheet.
There was £0.1 billion (2023 - £0.9 billion) of NWB Group commitments and guarantees related to transactions with fellow group
companies outstanding at the balance sheet date.
Notes to the financial statements continued
33 Related parties continued
NWB Group
Annual Report and Accounts 2024
168

| NWB Plc
| 2024 | 2023
| Holding | Fellow |  |  | Holding | Fellow |  |
| companies | subsidiaries | Subsidiaries | Total | companies | subsidiaries | Subsidiaries | Total
| £m | £m | £m | £m | £m | £m | £m | £m
Assets |  |  |  |  |  |  |  |
Loans to banks - amortised cost | - | 2,893 | 18,234 | 21,127 | - | 1,547 | 15,516 | 17,063
Loans to customers - amortised cost | - | 12 | 13,764 | 13,776 | - | 11 | 15,084 | 15,095
Other financial assets | 78 | - | 554 | 632 | - | - | 559 | 559
Other assets | 121 | 423 | 304 | 848 | 104 | 393 | 285 | 782
Amounts due from holding companies |  |  |  |  |  |  |  |
and fellow subsidiaries | 199 | 3,328 | 32,856 | 36,383 | 104 | 1,951 | 31,444 | 33,499
Derivatives (1) | 168 | 1,476 | 18 | 1,662 | 275 | 2,044 | 30 | 2,349
Liabilities |  |  |  |  |  |  |  |
Bank deposits | - | 21,303 | 44,251 | 65,554 | - | 23,582 | 36,496 | 60,078
Customer deposits | 8,660 | - | 6,171 | 14,831 | 6,284 | 3 | 7,247 | 13,534
Subordinated liabilities | 3,648 | - | - | 3,648 | 3,636 | - | - | 3,636
MREL instruments issued to NatWest Holdings Ltd | 6,638 | - | - | 6,638 | 6,544 | - | - | 6,544
Other financial liabilities | - | 27 | - | 27 | - | 17 | - | 17
Other liabilities | - | 150 | 77 | 227 | 43 | 223 | 99 | 365
Amounts due to holding companies |  |  |  |  |  |  |  |
and fellow subsidiaries | 18,946 | 21,480 | 50,499 | 90,925 | 16,507 | 23,825 | 43,842 | 84,174
Derivatives (1) | 284 | 505 | 162 | 951 | 258 | 710 | 317 | 1,285

(1)
Intercompany derivatives are included within derivative classification on the balance sheet.
There was £0.4 billion (2023 - £1.2 billion) of NWB Plc commitments and guarantees related to transactions with fellow group
companies outstanding at the balance sheet date.
34 Ultimate holding company
NWB Group’s ultimate holding company is NatWest Group plc and its intermediate parent company is NatWest Holdings Limited.
NatWest Group plc is incorporated in the United Kingdom and
registered in Scotland and NWH Ltd is registered in England.
As at 31
December 2024, NatWest Group plc heads the largest group in which NWB Group is consolidated. Copies of the consolidated accounts
of both companies may be obtained from Legal, Governance & Regulatory Affairs, NatWest Group plc, Gogarburn, PO Box 1000,
Edinburgh, EH12 1HQ, the Registrar of Companies or at natwestgroup.com.
35 Post balance sheet events
There have been no significant events between 31 December 2024 and the date of approval of these accounts which would require a
change to or additional disclosure in the accounts.
Notes to the financial statements continued
NWB Group
Annual Report and Accounts 2024
169
36 Related undertakings
Legal entities and activities at 31 December 2024
In accordance with the Companies Act 2006, NWB Plc’s related undertakings and the accounting treatment for each are listed below.
All undertakings are wholly-owned by NWB Plc or subsidiaries of NWB Plc and are consolidated by reason of contractual control
(Section 1162(2) CA 2006), unless otherwise indicated. NWB Group interest refers to ordinary shares of equal values and voting rights
unless further analysis is provided in the notes. Activities are classified in accordance with Annex I to the Capital Requirements
Directive (CRD V) and the definitions in Article 4 of the UK Capital Requirements Regulation.
Active related undertakings incorporated in the UK which are 100% owned by NWB Group and fully consolidated for
accounting purpose

|  | Regulatory |
Entity name | Activity | treatment | Notes
Caledonian Sleepers Rail Leasing Ltd | BF | FC | 1
Coutts & Company | CI | FC | 10
Coutts Finance Co | BF | FC | 10
Esme Loans Ltd | BF | FC | 1
FreeAgent Central Ltd | SC | FC | 16
FreeAgent Holdings Ltd | SC | FC | 16
Gatehouse Way Developments Ltd | INV | DE | 1
KUC Properties Ltd | BF | DE | 3
Land Options (West) Ltd | INV | DE | 3
Lombard & Ulster Ltd | BF | FC | 9
Lombard Business Leasing Ltd | BF | FC | 1
Lombard Corporate Finance (December 3) Ltd | BF | FC | 1
Lombard Corporate Finance (June 2) Ltd | BF | FC | 1
Lombard Discount Ltd | BF | FC | 1
Lombard Finance Ltd | BF | FC | 1
Lombard Industrial Leasing Ltd | BF | FC | 1
Lombard Lease Finance Ltd | BF | FC | 1
Lombard Leasing Company Ltd | BF | FC | 1
Lombard Leasing Contracts Ltd | BF | FC | 1
Lombard Lessors Ltd | BF | FC | 1
Lombard Maritime Ltd | BF | FC | 1
Lombard North Central Leasing Ltd | BF | FC | 1
Lombard North Central PLC | BF | FC | 1
Lombard Property Facilities Ltd | BF | FC | 1
Lombard Technology Services Ltd | BF | FC | 1

|  | Regulatory |
Entity name | Activity | treatment | Notes
Mettle Ventures Ltd | OTH | FC | 1
National Westminster Home Loans Ltd | BF | FC | 1
NatWest Property Investments Ltd | INV | DE | 1
NatWest RT Holdings Ltd | OTH | FC | 1
Pittville Leasing Ltd | BF | FC | 1
Premier Audit Company Ltd | BF | FC | 1
R.B. Capital Leasing Ltd | BF | FC | 1
R.B. Leasing (September) Ltd | BF | FC | 1
R.B. Quadrangle Leasing Ltd | BF | FC | 1
RBS Asset Management Holdings | BF | FC | 10
RBS Collective Investment Funds Ltd | BF | FC | 8
RBS Invoice Finance Ltd | BF | FC | 1
RBSG Collective Investments Holdings Ltd | BF | FC | 8
RBSSAF (2) Ltd | BF | FC | 1
RBSSAF (25) Ltd | BF | FC | 1
Royal Bank Leasing Ltd | BF | FC | 3
Royal Bank of Scotland (Industrial Leasing) Ltd | BF | FC | 3
Royal Scot Leasing Ltd | BF | FC | 3
RoyScot Trust Plc | BF | FC | 1
Silvermere Holdings Ltd | BF | FC | 3
The Royal Bank of Scotland Group Independent | BF | FC | 3
Financial Services Ltd
Ulster Bank Ltd | CI | FC | 9
Ulster Bank Pension Trustees Ltd | TR | DE | 9
Walton Lake Developments Ltd | INV | DE | 1
World Learning Ltd | BF | FC | 1

Active related undertakings incorporated outside the UK which are 100% owned by NWB Group and fully consolidated for
accounting purposes

|  | Regulatory |
Entity name | Activity | treatment | Notes
Airside Properties AB | BF | FC | 2
Arenarena AS | BF | FC | 29
Arkivborgen KB | BF | FC | 2
Artul Koy | BF | FC | 4
BD Lagerhus AS | BF | FC | 5
Bilfastighet i Akalla AB | BF | FC | 2
Bilfastighet i Avesta AB | BF | FC | 2
Bilfastighet i Bollnas AB | BF | FC | 2
Bilfastighet i Hemlingby AB | BF | FC | 2
Bilfastighet i Hudiksvall AB | BF | FC | 2
Bilfastighet i Ludvika AB | BF | FC | 2
Bilfastighet i M!rsta AB | BF | FC | 2
Bilfastighet i Mora AB | BF | FC | 2
Bilfastighet i Uppsala KB | BF | FC | 2
Bilfastighet Kista AB | BF | FC | 2
Brodmagasinet KB | BF | FC | 2
Eiendomsselskapet Apteno La AS | BF | FC | 5
Espeland Naering AS | BF | FC | 5
Eurohill 4 KB | BF | FC | 2
Fab Ekenäs Formanshagen 4 | BF | FC | 4
Fastighets AB Flojten i Norrkoping | BF | FC | 2
Fastighets Aktiebolaget Sambiblioteket | BF | FC | 2

|  | Regulatory |
Entity name | Activity | treatment | Notes
Forskningshöjden KB | BF | FC | 2
Forvaltningsbolaget Dalkyrkan KB | BF | FC | 2
Forvaltningsbolaget Kloverbacken Skola KB | BF | FC | 2
Fyrs!te Fastighets AB | BF | FC | 2
Grinnhagen KB | BF | FC | 2
Hatros 1 AS | BF | FC | 5
Horrsta 4:38 KB | BF | FC | 2
IR Fastighets AB | BF | FC | 2
IR IndustriRenting AB | BF | FC | 2
Kallebäck Institutfastigheter AB | BF | FC | 2
KB Eurohill | BF | FC | 2
KB Lagermannen | BF | FC | 2
KB Likriktaren | BF | FC | 2
Kiinteist Oy Turun Mustionkatu 6 | BF | FC | 12
Kobbervikdalen 2 Utvikling AS | OTH | FC | 5
Koy Harkokuja 2 | BF | FC | 12
Kiinteisto Oy Lohjan Ojamonharjuntie 61 | BF | FC | 12
Koy Pennalan Johtotie 2 | BF | FC | 4
Kiinteisto Oy Vantaan Rasti IV | BF | FC | 12
Koy Helsingin Mechelininkatu 1 | BF | FC | 4
Koy Helsingin Osmontie 34 | BF | FC | 4
Koy Helsingin Panuntie 11 | BF | FC | 4
Koy Helsingin Panuntie 6 | BF | FC | 4

Notes to the financial statements continued
36 Related undertakings continued
NWB Group
Annual Report and Accounts 2024
170

|  | Regulatory |
Entity name | Activity | treatment | Notes
Koy Iisalmen Kihlavirta | BF | FC | 4
Koy Jamsan Keskushovi | BF | FC | 4
Koy Jasperintie 6 | BF | FC | 12
Koy Kokkolan Kaarlenportti Fab | BF | FC | 4
Koy Kouvolan Oikeus ja Poliisitalo | BF | FC | 4
Koy Kuopion Volttikatu 1 | OTH | FC | 4
Koy Millennium | BF | FC | 4
Koy Nummelan Portti | BF | FC | 4
Koy Peltolantie 27 | BF | FC | 12
Koy Porkkanakatu 2 | BF | FC | 12
Koy Puotikuja 2 Vaasa | BF | FC | 4
Koy Raision Kihlakulma | BF | FC | 4
Koy Ravattulan Kauppakeskus | BF | FC | 4
Koy Vapaalan Service-Center | BF | FC | 4
Kvam Eiendom AS | BF | FC | 5
Lakten 1 KB | BF | FC | 2
Leiv Sand Eiendom AS | BF | FC | 5
LerumsKrysset KB | BF | FC | 2
Limstagården KB | BF | FC | 2
Lundbyfilen 5 AB | BF | FC | 2
Narmovegen 455 AS | BF | FC | 5
National Westminster International Holdings B.V. | BF | FC | 3
NatWest Digital Services India Private Ltd | SC | FC | 19
NatWest Services (Switzerland) Ltd | SC | FC | 23
Nordisk Renting AB | BF | FC | 2

|  | Regulatory |
Entity name | Activity | treatment | Notes
Nordisk Renting AS | BF | FC | 21
Nordisk Renting OY | BF | FC | 4
Nordisk Specialinvest AB | BF | FC | 2
Nordiska Strategifastigheter Holding AB | BF | FC | 2
Nybergflata 5 AS | BF | FC | 5
OFH Eiendom AS | BF | FC | 30
Optimus KB | BF | FC | 2
RBS Deutschland Holdings GmbH | BF | FC | 17
Rigedalen 44 Eiendom AS | BF | FC | 5
Ringdalveien 20 AS | BF | FC | 5
Ringdalskogen Utvikling AS | OTH | FC | 5
Sandmoen Naeringsbygg AS | BF | FC | 5
SFK Kommunfastigheter AB | BF | FC | 2
Sjöklockan KB | BF | FC | 2
Skinnarängen KB | BF | FC | 2
Sletta Eiendom II AS | BF | FC | 5
Smista Park AB | OTH | FC | 2
Snipetjernveien 1 AS | BF | FC | 5
Solbanken KB | BF | FC | 2
Solnorvika AS | BF | FC | 5
Strand European Holdings AB | BF | FC | 2
Svenskt Fastighetskapital AB | BF | FC | 2
Svenskt Energikapital AB | BF | FC | 2
Svenskt Fastighetskapital Holding AB | BF | FC | 2
Tygverkstaden 1 KB | BF | FC | 2
Nordisk Renting Facilities Management AB | BF | FC | 2

Active related undertakings which are 100% owned by NWB Group but are not consolidated for accounting purposes

|  | Regulatory |
Entity name | Activity | treatment | Notes
Bioenergie Dargun Immobilien GmbH | OTH | DE | 31
Bioenergie Jessen Immobilien GmbH | OTH | DE | 31
Bioenergie Wiesenburg GmbH & Co. KG | INV | DE | 31
Bioenergie Wiesenburg Verwaltungs GmbH | OTH | DE | 31
Bioenergie Zittau GmbH | OTH | DE | 31
Bioenergie Zittau Immobilien GmbH | OTH | DE | 31
Capulet Homes Florida LLC | OTH | DE | 6
Crook Hill Properties Ltd | OTH | DE | 27
DBV Deutsche Bioenergie Verbinder GmbH | OTH | DE | 31
East Grove Holding Ltd | INV | DE | 26
European Investments (Crook Hill) Ltd | OTH | DE | 28
German Biogas Holdco Ltd | INV | DE | 25
Montague Homes Florida LLC | OTH | DE | 6
Reaps Moss Ltd | OTH | DE | 27
Reppinichen Dritte Biogas Betriebs GmbH | OTH | DE | 31
Reppinichen Erste Biogas Betriebs GmbH | OTH | DE | 31
Reppinichen Zweite Biogas Betriebs GmbH | OTH | DE | 31
Romeo Homes Florida LLC | OTH | DE | 6
Romeo Homes Georgia LLC | OTH | DE | 6
Romeo Homes Indiana LLC | OTH | DE | 6

|  | Regulatory |
Entity name | Activity | treatment | Notes
Romeo Homes Kansas LLC | OTH | DE | 6
Romeo Homes Nevada LLC | OTH | DE | 6
Romeo Homes North Carolina LLC | OTH | DE | 6
Romeo Homes Oklahoma LLC | OTH | DE | 6
Romeo Homes Tennessee LLC | OTH | DE | 6
Romeo Homes Texas LLC | OTH | DE | 6
Ventus Investments Ltd | OTH | DE | 28
West Granite Homes Inc. | INV | DE | 6
WGH Development LLC | OTH | DE | 6
WGH Florida LLC | OTH | DE | 6
WGH Georgia LLC | OTH | DE | 6
WGH Indiana LLC | OTH | DE | 6
WGH Kansas LLC | OTH | DE | 6
WGH Nevada LLC | OTH | DE | 6
WGH North Carolina LLC | OTH | DE | 6
WGH Oklahoma LLC | OTH | DE | 6
WGH Texas LLC | OTH | DE | 6
Wiesenburg Dritte Biogas Betriebs GmbH | OTH | DE | 31
Wiesenburg Erste Biogas Betriebs GmbH | OTH | DE | 31
Wiesenburg Zweite Biogas Betriebs GmbH | OTH | DE | 31
Wiesenburger Marktfrucht GmbH | OTH | DE | 31

Notes to the financial statements continued
36 Related undertakings continued
NWB Group
Annual Report and Accounts 2024
171
Active related undertakings incorporated in the UK where NWB Group ownership is less than 100%

|  | Accounting | Regulatory | Group |
Entity name | Activity | treatment | treatment | % | Notes
Falcon Wharf Ltd | OTH | EAJV | PC | 50 | 15
GWNW City Developments Ltd | BF | EAJV | DE | 50 | 15
Jaguar Cars Finance Ltd | BF | FC | FC | 50 | 1
JCB Finance Ltd | BF | FC | FC | 75 | 13
London Rail Leasing Ltd | BF | EAJV | PC | 50 | 20

|  | Accounting | Regulatory | Group |
Entity name | Activity | treatment | treatment | % | Notes
NatWest Boxed Ltd | OTH | FC | FC | 82 | 1
Natwest Covered Bonds (LM) Ltd | BF | IA | PC | 20 | 11
NatWest Covered Bonds Limited | BF | FC | FC | 60 | 1
Liability Partnership
Pollinate Networks Ltd | OTH | AHC | DE | 25 | 1

Active related undertakings incorporated outside the UK where NWB Group ownership is less than 100%

|  | Accounting | Regulatory | Group |
Entity name | Activity | treatment | treatment | % | Notes
Nightingale 2024-1 Ltd | BF | FC | DE | 0 | 7
Nightingale 2024-2 Ltd | BF | FC | DE | 0 | 7
Nightingale 2024-3 Ltd | BF | FC | DE | 0 | 7
Nightingale CRE 2018-1 Ltd | BF | FC | DE | 0 | 7
Nightingale LF 2021-1 Ltd | BF | FC | DE | 0 | 7

|  | Accounting | Regulatory | Group |
Entity name | Activity | treatment | treatment | % | Notes
Nightingale Project Finance 2019 | BF | FC | DE | 0 | 7
1 Ltd
Nightingale Project Finance II | BF | FC | DE | 0 | 7
2023-1 Ltd
Nightingale Securities 2017-1 Ltd | BF | FC | DE | 0 | 7
Nightingale UK Corp 2020 2 Ltd | BF | FC | DE | 0 | 7
Pharos Estates Ltd | OTH | AHC | DE | 49 | 18

Related undertakings that are not active (actively being dissolved)

| Accounting | Regulatory | Group |
Entity name | treatment | treatment | % | Notes
Lombard Ireland Group Holdings | FC | FC | 100 | 14
Unlimited
Lombard Ireland Ltd | FC | FC | 100 | 14
RBS Asset Management (Dublin) Ltd | FC | FC | 100 | 24

Related undertakings that are dormant

| Accounting | Regulatory | Group |
Entity name | treatment | treatment | % | Notes
Coutts Scotland Nominees Ltd | FC | FC | 100 | 8
JCB Finance Pension Ltd | FC | DE | 88 | 9
Natwest FIS Nominees Ltd | FC | FC | 100 | 1
NatWest Group Retirement Savings | FC | FC | 100 | 1
Trustee Ltd
Natwest Group Secretarial Services Ltd | FC | FC | 100 | 3
Natwest Pension Trustee Ltd | NC | DE | 100 | 1
Natwest Pep Nominees Ltd | FC | FC | 100 | 1

| Accounting | Regulatory | Group |
Entity name | treatment | treatment | % | Notes
Nordisk Renting A/S | FC | FC | 100 | 5
Nordisk Renting HB | FC | FC | 100 | 2
R.B. Leasing (March) Ltd | FC | FC | 100 | 1
RBS Investment Executive Ltd | NC | DE | 100 | 3
RBSG Collective Investments Nominees Ltd | FC | FC | 100 | 8
Strand Nominees Ltd | FC | FC | 100 | 10
Syndicate Nominees Ltd | FC | FC | 100 | 1
The Royal Bank Of Scotland Group Ltd | FC | FC | 100 | 1

Overseas regulated branches of NWB Group

Subsidiary | Geographic location
National Westminster Bank Plc | Germany

Notes to the financial statements continued
36 Related undertakings continued
NWB Group
Annual Report and Accounts 2024
172
Key:
Activity

BF | Banking and financial institution
CI | Credit institution
INV | Investment (shares or property) holding company
SC | Service company
TR | Trustee
OTH | Other

Accounting/Regulatory treatment

DE | Deconsolidated
FC | Full consolidation
PC | Pro-rata consolidation
AHC | Associate held at cost
EAJV | Equity accounting – Joint venture
IA | Investment accounting
NC | Not consolidated

Notes | Registered addresses | Country of incorporation
1 | 250 Bishopsgate, London, EC2M 4AA, England | UK
2 | Jakobsbergsgatan 13, 8th Floor, Box 14044, Stockholm, SE-111 44 | Sweden
3 | Gogarburn, 175 Glasgow Road, Edinburgh, EH12 1HQ, Scotland | UK
4 | Mikonkatu 9, 6th Floor, Helsinki, 00100 | Finland
5 | Postboks 1400, 0115 Oslo | Norway
6 | 251 Little Falls Drive, Wilmington, DE, 19808 | USA
7 | 44 Esplanade, St Helier, JE4 9WG | Jersey
8 | 6-8 George Street, Edinburgh, EH2 2PF, Scotland | UK
9 | 11-16 Donegall Square East, Belfast, Co Antrim, BT1 5UB, Northern Ireland | UK
10 | 440, Strand, London, England, WC2R OQS | UK
11 | 1 Bartholomew Lane, London EC2N 2AX, England | UK
12 | Mikonkatu 9, 00100 Helsinki | Finland
13 | The Mill, High Street, Rocester, Staffordshire, ST14 5JW, England | UK
14 | Block A Georges Quay Plaza, Georges Quay, Dublin 2 | RoI
15 | Gate House, Turnpike Road, High Wycombe, Buckinghamshire, HP12 3NR | UK
16 | One Edinburgh Quay, 133 Fountainbridge, Edinburgh, EH3 9QG, Scotland | UK
17 | Roßmarkt 10, Frankfurt am Main, 60311 | Germany
18 | 24 Demostheni Severi, 1st Floor, Nicosia, 1080 | Cyprus
19 | 6th Floor, Building 2, Tower A, GIL IT/ITES SEZ, Candor TechSpace, Sector 21, Dundahera, Gurugram, Haryana, |
122016 | India
20 | 99 Queen Victoria Street, London, EC4V 4EH | UK
21 | H. Heyerdahlsgate 1, Postboks 2020 Vika, Oslo, 0125 | Norway
22 | Ilzecka 26 Street, Warsaw, 02-135 | Poland
23 | Lerchenstrasse 16, Zurich, CH 8022 | Switzerland
24 | One Dockland Central, Guild Street, IFSC, Dublin 1 | RoI
25 | Greencoat Capital, 5 The Peak, Wilton Road, London, Greater London, SW1V 1AN, England | UK
26 | 8 Sackville Street, London, W1S 3DG, England | UK
27 | 2nd floor, Palm Grove House, Road Town, Tortola | British Virgin Islands
28 | 18 Riversway Business Village, Navigation Way, Ashton-on-Ribble, Preston, PR2 2YP | UK
29 | Postboks 1400, Oslo, 0115 | Norway
30 | Dokkveien 1, No-0250, Oslo | Norway
31 | Walther-Nernst-Straße 1, Berlin, 12489 | Germany
32 | 222 Bishopsgate, London, EC2M 4QD | UK

NWB Group
Annual Report and Accounts 2024
173
Risk factors
Principal Risks and Uncertainties
Set out below are certain risk factors that could have a material
adverse effect on NWB Group’s future results, its financial
condition and/or prospects and cause them to be materially
different from what is forecast or expected, and directly or
indirectly impact the value of its securities. These risk factors are
broadly categorised and should be read in conjunction with other
risk factors in this section and other parts of this annual report,
including the forward-looking statements section, the strategic
report and the risk and capital management section. They should
not be regarded as a complete and comprehensive statement of
all potential risks and uncertainties facing NWB Group.
Economic and political risk
NWB Group, its customers and its counterparties face
continued economic and political risks and uncertainties in
the UK and global markets, including as a result of inflation
and interest rates, supply chain disruption, and geopolitical
developments.
As a principally UK-focused banking group, NWB Group is affected
by global economic and market conditions, and is particularly
exposed to those conditions in the UK. Uncertain and volatile
economic conditions in the UK or globally can create a challenging
operating environment for financial services companies such as
NWB Group. The outlook for the UK and the global economy is
affected by many dynamic factors including: GDP, unemployment,
inflation and interest rates, asset prices (including residential and
commercial property), energy prices, monetary and fiscal policy
(such as increases in bank levies), supply chain disruption,
protectionist policies or trade barriers (including tariffs).
Economic and market conditions could be exacerbated by a
number of factors including: instability in the UK and/or global
financial systems, market volatility and change, fluctuations in the
value of the pound sterling, new or extended economic sanctions,
volatility in commodity prices, political uncertainty, concerns
regarding sovereign debt (including sovereign credit ratings), any
lack or perceived lack of creditworthiness of a counterparty or
borrower that may trigger market-wide liquidity problems,
changing demographics in the markets that NWB Group and its
customers serve, rapid changes to the economic environment due
to the adoption of technology, automation, artificial intelligence, or
due to the consequences of climate change, biodiversity loss,
nature degradation and/or increasing social and other inequalities.
NWB Group is also exposed to risks arising out of geopolitical and
other events or political developments that may hinder economic
or financial activity levels, and may, directly or indirectly, impact
UK, regional or global trade and/or NWB Group’s customers and
counterparties. NatWest Group’s business and performance could
be negatively affected by political, military or diplomatic events,
geopolitical tensions, armed conflict (for example, the Russia-
Ukraine conflict and Middle East conflicts), terrorist acts or
threats, more severe and frequent extreme weather events,
widespread public health crises, and the responses to any of the
above scenarios by various governments and markets.
In recent years, the UK has experienced significant political
uncertainty. NWB Group may also face political uncertainty in
Scotland if there is another Scottish independence referendum.
Scottish independence may adversely affect NWB Group both in
relation to its entities incorporated in Scotland and in other
jurisdictions. Any changes to Scotland’s relationship with the UK
or the EU may adversely affect the environment in which NatWest
Group plc and its subsidiaries operate and may require further
changes to NatWest Group’s (including NWB Group’s) structure,
independently or in conjunction with other mandatory or strategic
structural and organisational changes, any of which could
adversely affect NWB Group.
The value of NWB Group’s own and other securities may be
materially affected by economic and market conditions. Market
volatility, illiquid market conditions and disruptions in the financial
markets may make it very difficult to value certain of NWB
Group’s own and other securities, particularly during periods of
market displacement. This could cause a decline in the value of
NWB Group’s own and other securities, or inaccurate carrying
values for certain financial instruments.
In addition, financial markets are susceptible to severe events
evidenced by, or resulting in, rapid depreciation in asset values,
which may be accompanied by a reduction in asset liquidity.
Under these conditions, hedging and other risk management
strategies may not be as effective at mitigating losses as they
would be under more normal market conditions. Moreover, under
these conditions, market participants are particularly exposed to
trading strategies employed by many market participants
simultaneously (and often automatically) and on a large scale,
increasing NWB Group’s counterparty risk. NWB Group’s risk
management and monitoring processes seek to quantify and
mitigate NWB Group’s exposure to extreme market moves.
However, market events have historically been difficult to predict,
and NWB Group, its customers and its counterparties could realise
significant losses if severe market events were to occur.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
Changes in interest rates will continue to affect NWB
Group’s business and results.
NWB Group’s performance is affected by changes in interest
rates. Benchmark overnight interest rates, such as the UK base
rate, decreased in 2024, and forward rates suggest that interest
rates will continue to decline in 2025. Stable interest rates support
more predictable income flow and less volatility in asset and
liability valuations, although persistently low and negative interest
rates may adversely affect NWB Group. Further, volatility in
interest rates may result in unexpected outcomes both for interest
income and asset and liability valuations which may adversely
affect NWB Group. For example, decreases in key benchmark
rates such as the UK base rate may adversely affect NWB
Group’s net interest margin, and unexpected movements in
spreads between key benchmark rates such as sovereign and
swap rates may in turn affect liquidity portfolio valuations. In
addition, unexpected sharp rises in rates may also have negative
impacts on some asset and derivative valuations.
Moreover, customer and investor responses to rapid changes in
interest rates can have an adverse effect on NWB Group. For
example, customers may make deposit choices that provide them
with higher returns than those being offered by NWB Group.
Alternatively, NWB Group may not respond with competitive
products as rapidly, for example following an interest rate change,
which may in turn decrease NWB Group’s net interest income.
Movements in interest rates also influence and reflect the
macroeconomic situation more broadly, affecting factors such as
business and consumer confidence, property prices, default rates
on loans, customer behaviour (which may adversely impact the
effectiveness of NWB Group’s hedging strategy) and other
indicators that may indirectly affect NWB Group.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
174
Fluctuations in currency exchange rates may adversely
affect NWB Group’s results and financial condition.
Decisions of central banks (including the BoE, the European
Central Bank, and the US Federal Reserve) and political or market
events, which are outside NWB Group’s control, may lead to
sharp and sudden fluctuations in currency exchange rates.
Although NWB Group is principally a UK-focused banking group, it
is subject to structural foreign exchange risk from capital
deployed in NatWest Group’s foreign subsidiaries and branches.
NWB Group also issues internal instruments in non-sterling
currencies, such as US dollars and euros, that assist in meeting
NWB Group’s regulatory requirements. In addition, NWB Group
conducts banking activities in non-sterling currencies (for example
loans, deposits and dealing activity) which affect its revenue. NWB
Group also uses service providers based outside the UK for
certain services and as a result certain operating results are
subject to fluctuations in currency exchange rates.
NWB Group maintains policies and procedures designed to
manage the impact of its exposure to fluctuations in currency
exchange rates. Nevertheless, changes in currency exchange
rates, particularly in the sterling-US dollar and sterling-euro rates,
may adversely affect various accounting and financial metrics
including, the value of assets, liabilities (including the total amount
of instruments eligible to contribute towards the minimum
requirement for own funds and eligible liabilities (‘MREL’)), foreign
exchange dealing activity, income and expenses, RWAs and
hence the reported earnings and financial condition of NWB Plc.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
HM Treasury (or UKGI on its behalf) could exercise, or be
perceived as being capable of exercising, influence over
NatWest Group and NWB Group is controlled by NatWest
Group.
In its Autumn Budget 2024, the UK Government confirmed its
commitment to exit its shareholding in NatWest Group plc by
2025-2026 subject to market conditions. Accordingly, following
various prior sell-downs of parts of its shareholding in NatWest
Group plc, HM Treasury is no longer a “controlling shareholder” of
NatWest Group plc. As at 13 January 2025, HM Treasury held
8.90% of the ordinary share capital with voting rights of NatWest
Group plc.
HM Treasury has indicated that it intends to respect the
commercial decisions of NatWest Group and that NatWest Group
entities (including NWB Group) will continue to have their own
independent board of directors and management team
determining their own strategy. However, for as long as HM
Treasury remains NatWest Group plc’s largest single shareholder,
HM Treasury and UK Government Investments Limited (‘UKGI’)
(as manager of HM Treasury’s shareholding) could exercise, or be
perceived as being capable of exercising, influence over NatWest
Group (including NWB Group) including: changes to NatWest
Group’s (including NWB Group) directors and senior management,
NatWest Group’s (including NWB Group) capital strategy, dividend
policy, remuneration policy or the conduct by NatWest Group’s
(including NWB Group) of its operations. HM Treasury or UKGI’s
approach largely depends on government policy, which could
change. Any exercise of such influence, or the perception that
such influence may be exercised, may have an adverse effect on
NatWest Group, which may in turn adversely affect the
governance, business strategy, future results, financial condition
and/or prospects of NWB Group.
The way in which HM Treasury or UKGI exercises HM Treasury’s
rights as the largest single shareholder of NatWest Group could
give rise to conflicts between the interests of HM Treasury and
the interests of other shareholders, including as a result of a
change in government policy.
In addition, NWB Plc is a wholly owned subsidiary of NatWest
Group plc, and NatWest Group plc therefore controls NWB
Group’s board of directors, corporate policies and strategic
direction. The interests of NatWest Group plc as an equity holder
and as NWB Group’s parent may differ from the interests of NWB
Group or of potential investors in NWB Group’s securities.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
Business change and execution risk
The implementation and execution of NatWest Group’s (of
which NWB Group forms part) strategy carries execution
and operational risks and it may
not achieve its stated aims
and targeted outcomes.
NatWest Group’s strategy (including the strategic priorities of
disciplined growth, bank-wide simplification and active balance
sheet and risk management) and NWB Group’s strategy are
intended to reflect the rapidly changing environment and
backdrop of significant disruption in society driven by technology
and changing customer expectations. Further, shifting trends
including digitalisation, decarbonisation, automation, artificial
intelligence, e-commerce and hybrid working, have resulted in
significant market volatility and change. There is also increasing
investor, employee, stakeholder, regulatory and customer scrutiny
regarding how businesses address these changes and related
environmental challenges, including climate change, biodiversity
and other sustainability issues, (such as, how NatWest Group
supports its customers’ transition to net zero, is tackling
inequality, working conditions, workplace health, safety and
wellbeing, diversity and inclusion, data protection and
management, workforce management, human rights and supply
chain management).
As part of NatWest Group’s strategy, in December 2023, a
transfer pricing arrangement between NWB Group and NWM
Group allowing a sharing of certain Commercial & Institutional
(‘C&I’) business segment profits through payment from NWB
Group to NWM Group was approved. Weaker performance in
NWM Group, could lead to a higher payment from NWB Group to
NWM Group and therefore reduced profitability in NWB Group.
Many factors may adversely impact the successful implementation
of NatWest Group’s strategy, including:

macroeconomic challenges which may adversely affect NWB
Group’s customers and could in turn adversely impact certain
strategic initiatives for NWB Group (see ‘NWB Group, its
customers and its counterparties face continued economic
and political risks and
uncertainties in the UK and global markets, including as a
result of inflation and interest rates, supply chain disruption,
and geopolitical developments’);

changing customer expectations and behaviour in response to
macroeconomic conditions or developments, technology and
other factors which could reduce the profitability,
competitiveness, or volume of services NWB Group offers;

the rapid emergence and deployment of new technologies
(such as artificial intelligence, quantum computing, blockchain
and digital currencies) resulting in a potential shift across the
market, towards products and services that are not part of
NWB Group’s core offering today;

increased competitive threats from incumbent banks, fintech
companies, large retail and technology conglomerates and
other new market entrants (including those that emerge from
mergers and consolidations) who may have competitive
advantages in terms of scale, technology and customer
engagement; and
Risk factors continued
NWB Group
Annual Report and Accounts 2024
175

changes to the regulatory environment and associated
requirements which could lead to shifts in operating cost and
regulatory capital requirements, that impact NWB Group’s
product offerings and business models; (see ‘NWB Group’s
businesses are subject to substantial regulation and oversight,
which are constantly evolving and may adversely affect NWB
Group’; and NWB Group could incur losses or be required to
maintain higher levels of capital as a result of limitations or
failure of various models)
Delivery of NWB Group’s strategy will require:

maintaining effective governance, procedures, systems and
controls giving effect to NatWest Group’s strategy;

managing a broad range of risks and opportunities related to
changes in the macroeconomic environment, customer
expectations and behaviour, technology, regulation,
competitiveness and climate and other sustainability-related
areas;

achieving the stated financial, capital and operational targets
and expectations within the relevant timeframes; and

continued cost-controlling measures, which may result in
provisions in connection with a lower NatWest Group (and
NWB Group) cost base, may divert investment from other
areas, and may vary considerably from year to year.
In pursuing NatWest Group’s strategy, NWB Group may not be
able to successfully: (i) implement some or all aspects of its
strategy; (ii) meet any or all of the related targets or expectations
of its strategy and otherwise realise the anticipated benefits of its
strategy, in a timely manner, or at all; or (iii) realise the intended
strategic objectives of any other future strategic or growth
initiative. The scale and scope of NatWest Group’s (and NWB
Group’s) strategy and the intended changes continue to present
material business, operational and regulatory (including
compliance with the UK ring-fencing regime), conflicts, legal,
execution, IT system, cybersecurity, internal culture, conduct and
people risks. Implementing changes and strategic actions,
including in respect of any growth, simplification or cost-saving
initiatives, requires the effective application of robust governance
and controls frameworks and IT systems; and there is a risk that
NatWest Group (and NWB Group) may not be successful in these
respects. The implementation of NatWest Group’s strategy could
result in materially higher costs or risks than initially contemplated
(including due to material uncertainties and factors outside of
NatWest Group’s control) and may not be completed as planned
(both in terms of substantive targets and timing), or at all. This
could lead to additional management actions by NatWest Group
(or NWB Group).
Additionally, as a result of the UK’s withdrawal from the EU,
certain aspects of the services provided by NWB Group require
local licences or individual equivalence decisions (temporary or
otherwise) by relevant regulators. In April 2024, the European
Parliament approved the Banking Package (CRR III/CRD VI). From
10 January 2027, non-EU firms providing ‘banking services’ will be
required to apply for and obtain authorisation to operate as third
country branches in each relevant EU member state where they
provide these services, unless an exemption applies. NatWest
Group continues to evaluate its EU operating model, making
adaptations as necessary. Changes to, or uncertainty regarding,
NWB Group’s EU operating model have been, and may continue
to be, costly and may: (i) adversely affect customers and
counterparties who are dependent on trading with the EU or
personnel from the EU; and/or (ii) result in further costs and/or
regulatory sanction due to a failure to receive the required
regulatory permissions and/or further changes to NatWest
Group’s business operations, product offering, customer
engagement, and regulatory requirements.
Each of these risks, and others identified in this section entitled
‘Principal Risks and Uncertainties’, individually or collectively could
jeopardise the implementation and delivery of NatWest Group’s
strategy, impact NWB Group’s products and services offering, its
reputation with customers or business model and adversely affect
NWB Group’s ability to deliver its strategy and meet its targets,
guidance, and forecasts.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
Acquisitions, divestments, or other transactions by NatWest
Group (and/or NWB Group) may not be successful.
NatWest Group (of which NWB Group forms part) may decide to
undertake acquisitions, investments, the purchase of assets and
liabilities, divestments, restructurings, reorganisations, joint
ventures and other strategic partnerships, as well as other
transactions and initiatives. In doing so, NatWest Group (which
includes NWB Group) may have to compete with larger banks or
financial institutions or other larger entities offering financial
services products (including those that emerge from mergers and
consolidations, as well as retail and technology conglomerates).
These competitors may have more bargaining power in
negotiations than NatWest Group (or NWB Group), and therefore
may be in a position to extract more advantageous terms than
NatWest Group (and NWB Group). See also, ‘NWB Group
operates in markets that are highly competitive, with competitive
pressures and technology disruption’.
NatWest Group (of which NWB Group forms part), may pursue
these transactions and initiatives to, amongst others: (i) enhance
capabilities that may lead to better productivity or cost
efficiencies; (ii) acquire talent; (iii) pursue new products or expand
existing products; and/or (iv) enter new markets or enhance its
presence in existing markets. In pursuing its strategy, NWB Group
may not fully realise the expected benefits and value from the
above-mentioned transactions and initiatives in the time, or to the
degree anticipated, or at all.
In particular, NatWest Group (and NWB Group) may: (i) fail to
realise the business rationale for the transaction or initiative, or
rely on assumptions underlying the business plans supporting the
valuation of a target transaction or initiative that may prove
inaccurate, for example, regarding synergies and expected
commercial demand; (ii) fail to successfully integrate any acquired
businesses, investment, joint-venture or assets (including in
respect of technologies, existing strategies, products, governance,
systems and controls, and human capital) or to successfully divest
or restructure a business; (iii) fail to retain key employees,
customers and suppliers of any acquired or restructured business;
(iv) be required or wish to terminate pre-existing contractual
relationships, which could prove costly and/or be executed on
unfavourable terms and conditions; (v) fail to discover certain
contingent or undisclosed liabilities in businesses that it acquires,
or its due diligence to discover any such liabilities may be
inadequate; and (vi) not obtain necessary regulatory and other
approvals (or onerous conditions may be attached to such
approvals). Accordingly, NatWest Group (or NWB Group) may not
be successful in achieving its strategy and any particular
transaction may not succeed, may be limited in scope or scale
and may not conclude on the terms contemplated, or at all.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
176
The transfer of NatWest Group’s Western European
corporate portfolio involves certain risks.
To improve efficiencies and best serve customers following the
UK’s withdrawal from the EU, certain assets, liabilities,
transactions and activities of NatWest Group (including its
Western European corporate portfolio, principally consisting of
term funding and revolving credit facilities), are expected to be: (i)
transferred from the ring-fenced subgroup of NatWest Group, to
NWM Group and/or (ii) transferred to the ring-fenced subgroup of
NatWest Group from NWM Group, subject to regulatory and
customer requirements. The timing, success and quantum of any
of these transfers remain uncertain as is the impact of these
transactions on its results of operations.
As a result, this may have a material adverse effect on NatWest
Group’s (including NWB Group’s) future results, financial condition,
prospects, and/or reputation.
Financial resilience risk
NWB Group may not achieve its ambitions or targets, meet
its guidance, or generate sustainable returns.
NatWest Group has set a number of financial, capital and
operational targets and provided guidance for NWB Group
including in respect of: funding plans and requirements, employee
engagement, diversity and inclusion as well as climate-related
targets (including its climate and sustainable funding and financing
targets) and customer satisfaction targets.
NWB Group’s ability to meet NatWest Group and NWB Group’s
respective ambitions, targets and guidance and make
discretionary capital distributions, is subject to various internal and
external factors, risks and uncertainties. These include, but are
not limited to: UK and global macroeconomic, political, market and
regulatory uncertainties, customer behaviour, operational risks
and risks relating to NWB Group’s business model and strategy
(including risks associated with climate and other sustainability-
related issues), competitive pressures, and litigation, governmental
actions, investigations and regulatory matters. If assumptions,
judgements and estimates (for example about future economic
conditions) prove to be incorrect, NatWest Group may not achieve
any or all of its ambitions or targets, or meet its guidance. A
number of factors may impact NWB Group’s ability to maintain its
current CET1 ratio, including impairments, limited organic capital
generation or unanticipated increases in RWAs. See also ‘The
implementation and execution of NatWest Group’s (of which NWB
Group forms part) strategy carries execution and operational risks
and it may not achieve its stated aims and targeted outcomes.’
Any failure of NWB Group to achieve NatWest Group and NWB
Group’s respective ambitions, targets or meet its guidance may
have a material adverse effect on NatWest Group’s future results,
financial condition, prospects, and/or reputation.
NWB Group has significant exposure to counterparty and
borrower risk including credit losses, which may have an
adverse effect on NWB Group.
NWB Group has exposure to many different sectors, customers
and counterparties, and risks arising from actual or perceived
changes in credit quality and the recoverability of monies due
from borrowers and other counterparties are inherent in a wide
range of NWB Group’s businesses. NWB Group’s lending strategy
and associated processes and systems may fail to identify,
anticipate or quickly react to weaknesses or risks in a particular
sector, market, borrower or counterparty, or NatWest Group’s
credit risk appetite relative to competitors, or fail to appropriately
value physical or financial collateral. This may result in increased
default rates or a higher loss given default for loans, which may,
in turn, impact NWB Group’s profitability. Refer to ‘Risk and
capital management — Credit Risk’.
The credit quality of NWB Group’s borrowers and other
counterparties may be affected by UK and global macroeconomic
and political uncertainties, as well as prevailing economic and
market conditions. Refer to ‘NWB Group, its customers and its
counterparties face continued economic and political risks and
uncertainties in the UK and global markets, including as a result of
inflation and interest rates, supply chain disruption, and
geopolitical developments’. Any further deterioration in these
conditions or changes to legal or regulatory landscapes could
worsen borrower and counterparty credit quality or impact the
enforcement of contractual rights, increasing credit risk. Any
increase in drawings upon committed credit facilities may also
increase NWB Group’s RWAs. In addition, the level of household
indebtedness (on a per capita basis) in the UK remains high. The
ability of households and businesses to service their debts could
be worsened by a period of high unemployment, or high interest
rates or inflation, particularly if prolonged.
NWB Group may be affected by volatility in property prices
(including as a result of UK political or economic conditions) given
that NWB Group’s mortgage loan portfolio as at 31 December
2024, amounted to £197.1 billion, representing 58% of NWB
Group’s total loan exposure.
If property prices in the UK were to weaken this could lead to
higher impairment charges, particularly if default rates also
increase. In addition, NWB Group’s credit risk may be
exacerbated if the collateral that it holds cannot be realised as a
result of market conditions, regulatory intervention, or other
applicable laws, or if it is liquidated at prices not sufficient to
recover the net amount outstanding to NWB Group after
accounting for any IFRS 9 provisions already made. This is most
likely to occur during periods of illiquidity or depressed asset
valuations.
Concerns about, or a default by, a financial institution or
intermediary could lead to significant liquidity problems and losses
or defaults by other financial institutions or intermediaries, since
the commercial and financial soundness of many financial
institutions and intermediaries is closely related and
interdependent as a result of credit, trading, clearing and other
relationships. Any perceived lack of creditworthiness of a
counterparty or borrower may lead to market-wide liquidity
problems and losses for NWB Group. In addition, the value of
collateral may be correlated with the probability of default by the
relevant counterparty (‘wrong way risk’), which would increase
NWB Group’s potential loss. Any of the above risks may also
adversely affect financial intermediaries, such as clearing
agencies, clearing houses, banks, securities firms and exchanges
with which NWB Group interacts on a regular basis. See also,
‘NWB Group may not meet the prudential regulatory
requirements for liquidity and funding or may not be able to
adequately access sources of liquidity and funding, which could
trigger the execution of certain management actions or recovery
options.’
As a result, adverse changes in borrower and counterparty credit
risk may cause additional impairment charges under IFRS 9,
increased repurchase demands, higher costs, additional write-
downs and losses for NWB Group and an inability to engage in
routine funding transactions. If NWB Group experiences losses
and a reduction in profitability, this is likely to affect the
recoverable value of fixed assets, including goodwill and deferred
taxes, which may lead to write-downs.
NWB Group has applied an internal analysis of multiple economic
scenarios (MES) together with the determination of specific
overlay adjustments to inform its IFRS 9 ECL (Expected Credit
Loss).
Risk factors continued
NWB Group
Annual Report and Accounts 2024
177
The recognition and measurement of ECL is complex and involves
the use of significant judgement and estimation. This includes the
formulation and incorporation of multiple forward-looking
economic scenarios into ECL to meet the measurement objective
of IFRS 9. The ECL provision is sensitive to the model inputs and
economic assumptions underlying the estimate. Going forward,
NWB Group anticipates observable credit deterioration of a
proportion of assets resulting in a systematic uplift in defaults,
which is mitigated by those economic assumption scenarios being
reflected in the Stage 2 ECL across portfolios, along with a
combination of post model overlays in both wholesale and retail
portfolios reflecting the uncertainty of credit outcomes. See also,
‘Risk and capital management — Credit Risk’. A credit
deterioration would also lead to RWA increases. Furthermore, the
assumptions and judgements used in the MES and ECL
assessment at 31 December 2024 may not prove to be adequate
resulting in incremental ECL provisions for NWB Group.
In line with certain mandated COVID-19 pandemic support
schemes, NWB Group assisted customers with a number of
initiatives including NWB Group’s participation in the Bounce Back
Loan Scheme (‘BBLS’), the Coronavirus Business Interruption
Loan Scheme (‘CBILS’) and the Coronavirus Large Business
Interruption Loan Scheme (‘CLBILS’) products. NWB Group sought
to manage the risks of fraud and money laundering against the
need for the fast and efficient release of funds to customers and
businesses. NWB Group may be exposed to fraud, conduct and
litigation risks arising from inappropriate approval (or denial) of
BBLS, CBILS or CLBILS or the enforcing or pursuing repayment of
BBLS, CBILS and CLBILS (or a failure to exercise forbearance),
which may have an adverse effect on NWB Group’s reputation
and results of operations. The implementation of the initiatives
and efforts mentioned above may result in litigation, regulatory
and government actions and proceedings. These actions may
result in judgements, settlements, penalties, fines, or removal of
recourse to the government guarantee provided under those
schemes for impacted loans.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group operates in markets that are highly competitive,
with competitive pressures and technology disruption.
NWB Group faces increasing competitive pressures and
technology disruption from incumbent traditional UK banks,
challenger banks and building societies (including those resulting
from mergers between these entities), fintech companies, large
technology conglomerates and new market entrants who could
look to scale technology and/or other competitive advantages to
compete with NWB Group for customer engagement. “BigTech”
companies are seen as threats to incumbent banking providers
because of their customer innovation and global reach. In
addition, digital-first banks (often referred to as “neobanks”) and
fintechs are aiming to compete with incumbent banking providers
on the basis that customers increasingly use a constellation of
providers to support their complex and evolving needs (e.g.,
personal financial management and paying for goods and services
in foreign currency).
NWB Group expects competition to continue and intensify in
response to various trends including: evolving customer
behaviour, technological changes (including digital currencies,
stablecoins and the growth of digital banking), competitor
behaviour, new market entrants, competitive foreign exchange
offerings, industry trends resulting in increased disaggregation or
unbundling of financial services or, conversely, the re-
intermediation of traditional banking services, and the impact of
regulatory actions, among others.
In particular, NWB Group may be unable to grow or retain its
market share due to new (or more competitive) banking, lending
and payment products and services that are offered by rapidly
evolving incumbents and challengers (including shadow banks,
alternative or direct lenders and new entrants). These competitive
pressures and the introduction of disruptive technology may result
in a shift in customer behaviour and impact NWB Group’s
revenues and profitability. Moreover, innovations in biometrics,
artificial intelligence, automation, cloud services, blockchain,
cryptocurrencies and quantum computing may rapidly facilitate
industry transformation.
Increasingly, many of NWB Group’s products and services are,
and will become, more technology intensive, including through
digitalisation, automation, and the use of artificial intelligence while
needing to continue complying with applicable and evolving
regulations. NWB Group’s ability to develop or acquire digital
solutions and their integration into NWB Group’s structures,
systems and controls has become increasingly important for
retaining and growing NWB Group’s market share and customer-
facing businesses.
NWB Group’s innovation strategy, which includes investing in its IT
capability to address increasing customer and merchant use of
online and mobile banking technology, as well as selective
acquisitions (such as fintech ventures, including Mettle, Rooster
Money, Boxed and Cushon), may not be successful or may not
result in NWB Group offering innovative products and services in
the future. Furthermore, current or future competitors may be
more successful than NWB Group in implementing technologies
for delivering products or services to their customers, which may
adversely affect its competitive position. In addition, continued
consolidation and/or technological developments in the financial
services industry could result in the emergence of new
competitors or NWB Group’s competitors gaining greater capital
and other resources, including the ability to offer a broader, more
attractive and/or better value range of products and services and
geographic diversity. For example, new market entrants, including
non-traditional financial services providers, such as retail or
technology conglomerates, may have competitive advantages in
scale, technology and customer engagement and may be able to
develop and deliver financial services at a lower cost base.
NWB Group may also fail to identify future opportunities, or fail to
derive benefits from technological innovation, changing customer
behaviour and changing regulatory demands. Competitors may
be better able to attract and retain customers and key
employees, have more effective IT systems, have access to lower
cost funding and/or be able to attract deposits on more
favourable terms than NWB Group. Although NWB Group invests
in new technologies and participates in industry and research-led
technology development initiatives, such investments may be
insufficient or ineffective, especially given NWB Group’s focus on
business simplification and cost efficiencies. This could affect NWB
Group’s ability to offer innovative products or technologies to
customers.
If NWB Group is unable to offer competitive, attractive and
innovative products that are also profitable and released in a
timely manner; it will lose market share, incur losses on some or
all of its initiatives and possibly lose growth opportunities. For
example, NWB Group is investing in the automation of certain
solutions and interactions within its customer-facing businesses,
including through artificial intelligence. There can be no certainty
that such initiatives will allow NWB Group to compete effectively
or will deliver the expected cost savings. In addition, the
implementation of NWB Group’s strategy, delivery on its climate
ambition and cost-controlling measures, may also have an impact
on its ability to compete effectively and maintain satisfactory
returns.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
178
Moreover, activist investors have increasingly become engaged
and interventionist in recent years, which may pose a threat to
NWB Group’s strategic initiatives.
Some of these trends have been catalysed by various regulatory
and competition policy interventions, including the UK initiative on
Open Banking, ‘Open Finance’ and other remedies imposed by
the Competition and Markets Authority (‘CMA’), which are
designed to further promote competition within the financial
sector.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group may not meet the prudential regulatory
requirements for liquidity and funding or may not be able to
adequately access sources of liquidity and funding, which
could trigger the execution of certain management actions
or recovery options.
Liquidity and the ability to raise funds continues to be a key area
of focus for NWB Group and the industry as a whole. NatWest
Group and NWB Plc (as a member of the Domestic Liquidity sub-
group) are required by regulators in the UK, the EU and other
jurisdictions in which they undertake regulated activities to
maintain adequate liquidity and funding resources. To satisfy its
liquidity and funding requirements, NWB Group may therefore
access sources of liquidity and funding through retail and
wholesale deposits, as well as through the debt capital markets.
As at 31 December 2024, NWB Plc held £343.1 billion in deposits
from banks and customers.
Level of deposits at NWB Group may fluctuate due to factors
outside of its control, such as a loss of customers, loss of
customer and/or investor confidence (including in individual
NatWest Group entities or as a result of volatility in the financial
industry), changes in customer behaviour, changes in interest
rates, government support, increasing competitive pressures for
retail and corporate customer deposits or the reduction or
cessation of deposits by wholesale depositors, which could result
in a significant outflow of deposits within a short period of time.
An inability to grow, or any material decrease in NWB Group’s
deposits could, particularly if accompanied by one or more of the
other factors mentioned above, adversely affect NWB Group’s
ability to satisfy its liquidity or funding needs, or comply with its
related regulatory requirements. In turn, this could require NWB
Group to adapt its funding plans or change its operations.
Macroeconomic developments, political uncertainty, changes in
interest rates, and market volatility could affect NWB Group’s
ability to access sources of liquidity and funding on satisfactory
terms, or at all. This may result in higher funding costs and failure
to comply with regulatory capital, funding and leverage
requirements. As a result, NWB Group could be required to
change its funding plans.
This could exacerbate funding and
liquidity risk, which may adversely affect NWB Group.
If NWB Plc’s liquidity position and/or funding were to come under
stress, and if NWB Group were unable to raise funds through
deposits, in the debt capital markets or through other reliable
funding sources, on acceptable terms, or at all, its liquidity position
would likely be adversely affected and it might be unable to meet
deposit withdrawals on demand or at their contractual maturity,
to repay borrowings as they mature, to meet its obligations under
committed financing facilities, to comply with regulatory funding
requirements, to undertake certain capital and/or debt
management activities, and/or to fund new loans, investments
and businesses, or make capital distributions to NatWest Group.
If, under a stress scenario, the level of liquidity falls outside of
NWB Group’s risk appetite, there are a range of recovery
management actions that NWB Group could take to manage its
liquidity levels, but any such actions may not be sufficient to
restore adequate liquidity levels and the related implementation
may have adverse consequences for NWB Group’s operations.
Under the PRA Rulebook, NatWest Group must maintain a
recovery plan acceptable to its regulator, such that a breach of
NWB Group’s applicable liquidity requirements may trigger the
application of NatWest Group’s recovery plan to attempt to
remediate a deficient liquidity position.
NWB Group may need to liquidate assets to meet its liabilities,
including disposals of assets not previously identified for disposal
to reduce its funding commitments or trigger the execution of
certain management actions or recovery options. In a time of
reduced liquidity, NWB Group may be unable to sell its assets, at
attractive prices, or at all, which may have a material adverse
effect on NWB Group’s liquidity.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group may not meet the prudential regulatory
requirements for regulatory capital and MREL, or manage its
capital effectively, which could trigger the execution of
certain management actions or recovery options.
NatWest Group and NWB Plc (via the Domestic Liquidity sub-
group) are required by regulators in the UK, the EU and other
jurisdictions in which they undertake regulated activities to
maintain adequate financial resources.
Adequate levels of capital provide NatWest Group (including NWB
Group) with financial flexibility specifically in its core UK operations
in the face of turbulence and uncertainty in the UK and the global
economy.
As at 31 December 2024, NWB Plc’s CET1 ratio was 11.4%. A
number of subsidiaries and sub-groups within NWB Group,
principally banking entities, are subject to various individual
regulatory capital requirements in the UK and overseas. NatWest
Group plc currently targets a CET1 ratio in the range of 13-14%
by 31 December 2025. NatWest Group plc’s target CET1 ratio is
based on a combination of its views on the appropriate level of
capital and its actual and expected regulatory requirements and
internal modelling, including stress scenarios and management’s
and/or the PRA’s views on appropriate buffers above minimum
required operating levels. NatWest Group’s current capital
strategy for NWB Plc is based on: the expected accumulation of
additional capital through the accrual of retained earnings over
time; the receipt of assets and resultant RWAs from other
NatWest Group entities; RWA growth in the form of regulatory
uplifts and lending growth and other capital management
initiatives which focus on improving capital efficiency through
improved data and upstreaming of dividends from NWB Plc to
NatWest Group plc and ensuring NatWest Group meets its
medium to long term targets.
A number of factors may impact NWB Group’s ability to maintain
its CET1 ratio target and achieve its capital strategy. These
include:

a depletion of its capital resources through increased costs or
liabilities or reduced profits (for example, due to an increase in
provisions due to a deterioration in UK economic conditions);

an increase in the quantum of RWAs/leverage exposure in
excess of that expected, including due to regulatory changes
(including their interpretation or application) or a failure in
internal controls or procedures to accurately measure and
report RWAs/leverage exposure;
Risk factors continued
NWB Group
Annual Report and Accounts 2024
179

changes in prudential regulatory requirements including NWB
Plc’s total capital requirement/leverage requirement set by the
PRA, including Pillar 2 requirements, as applicable, and
regulatory buffers as well as any applicable scalars;

reduced upstreaming of dividends from NWB Group plc’s
subsidiaries because of changes in their financial performance
and/or the extent to which local capital requirements exceed
NWB Plc’s target ratio; and

limitations on the use of double leverage (i.e. NWB Group’s use
of debt to invest in the equity of its subsidiaries, as a result of
the BoE’s and/or NWB Group’s evolving views on distribution
of capital within groups).
In addition to regulatory capital, NWB Plc is required to maintain a
set quantum of internal MREL set as the higher of: (i) two times
the sum of Pillar 1 and Pillar 2A, or (ii) if subject to a leverage ratio
requirement, two times the applicable requirement. The BoE has
identified single point-of-entry at NatWest Group plc, as the
preferred resolution strategy for NatWest Group. As a result,
NatWest Group plc is the only entity that can externally issue
securities that count towards its MREL requirements, the
proceeds of which can then be downstreamed to meet the
internal MREL requirements of its operating entities, including
NWB Plc. NWB Plc is therefore dependent not only on NatWest
Group plc to fund its internal MREL targets over time, but also on
NatWest Group plc’s ability to issue and maintain sufficient
amounts of external MREL liabilities to support NWB Plc. In turn,
NWB Plc is required to fund the internal capital and MREL
requirements of its subsidiaries. See also, ‘NWB Group is reliant on
NatWest Group for capital and funding support, and is
substantially reliant on NatWest Group plc’s ability to issue
sufficient amounts of capital and external MREL securities and
downstream the proceeds to NWB Group. The inability to do so
may adversely affect NWB Group.’
If, under a stress scenario, the level of regulatory capital or MREL
falls outside of NWB Group’s risk appetite, there are a range of
recovery management actions (focused on risk reduction and
mitigation) that NWB Group could seek to take to manage its
capital levels, but any such actions may not be sufficient to
restore adequate capital levels. Under the PRA Rulebook, NatWest
Group must maintain a recovery plan acceptable to its regulator,
such that a breach of NWB Group’s applicable capital or leverage
requirements may trigger the application of NatWest Group’s
recovery plan to remediate a deficient capital position.
NatWest Group’s regulator may request that NWB Group carry
out certain capital management actions or, if NatWest Group plc’s
CET1 ratio falls below 7%, certain regulatory capital instruments
issued by NatWest Group plc will be written-down or converted
into equity, and there may be an issue of additional equity by
NatWest Group plc, which could result in the reduction in value of
the holdings of NatWest Group plc’s existing shareholders. The
success of such issuances will also be dependent on favourable
market conditions and NatWest Group may not be able to raise
the amount of capital required on acceptable terms, or at all.
Separately, NatWest Group may address a shortage of capital by
taking action to reduce leverage exposure and/or RWAs via asset
or business disposals. These actions may, in turn, affect: NWB
Group’s product offering, credit ratings, ability to operate its
businesses, pursue its strategy and strategic opportunities, any of
which may adversely affect NWB Group. See also, ‘NatWest
Group (including NWB Group) may become subject to the
application of UK statutory stabilisation or resolution powers
which may result in, for example, the write-down or conversion of
NWB Group’s eligible liabilities.’; and also ‘NWB Group may be
adversely affected if NatWest Group fails to meet the
requirements of regulatory stress tests’.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group is reliant on NatWest Group for capital and
funding support, and is substantially reliant on NatWest
Group plc’s ability to issue sufficient amounts of capital and
external MREL securities and downstream the proceeds to
NWB Group. The inability to do so may adversely affect NWB
Group.
NWB Plc receives capital and funding from NatWest Group. NWB
Plc has set target levels for different tiers of capital and for the
internal MREL, as percentages of its RWAs. The level of capital
and funding required for NWB Plc to meet its internal targets is
therefore a function of the level of RWAs and its leverage
exposure in NWB Plc and this may vary over time.
NWB Plc’s internal MREL comprises the capital value of regulatory
capital instruments and loss-absorbing senior funding issued by
NWB Plc to its ultimate parent, NatWest Group plc. The BoE has
identified that the preferred resolution strategy for NatWest Group
is as a single point of entry at NatWest Group plc. As a result, only
NatWest Group plc is able to issue Group MREL eligible liabilities to
third-party investors, using the proceeds to fund the internal
MREL targets and/or requirements of its operating entities,
including NWB Plc.
NWB Plc is therefore dependent on NatWest Group plc to fund its
internal capital targets and its ability to source appropriate
funding at NatWest Group plc level to support this. NWB Plc is
also dependent on NatWest Group plc to fund its internal MREL
target over time and its ability to raise and maintain sufficient
amounts of external MREL liabilities to support this.
If NatWest Group plc is unable to issue adequate levels of MREL
securities such that it is unable to downstream sufficient amounts
to NWB Plc, this could lead to a failure of NWB Group to meet its
own individual internal MREL requirements as well as the internal
MREL requirements of subsidiaries within NWB Group, which in
either case may have a material adverse effect on NWB Group’s
future results, financial condition, prospects, and reputation. See
also, ‘NWB Group may not meet the prudential regulatory
requirements for capital and MREL, or manage its capital
effectively, which could trigger the execution of certain
management actions or recovery options’.
Any reduction in the credit rating and/or outlooks assigned
to NatWest Group plc, any of its subsidiaries (including NWB
Plc or other NWB Group subsidiaries) or any of their
respective debt securities could adversely affect the
availability of funding for NWB Group, reduce NWB Group’s
liquidity and funding position and increase the cost of
funding.
Rating agencies regularly review NatWest Group plc, NWB Plc and
other NatWest Group entities’ credit ratings and outlooks. NWB
Group entities’ credit ratings and outlooks could be negatively
affected (directly and indirectly) by a number of factors that can
change over time, including without limitation: credit rating
agencies’ assessment of NWB Group’s strategy and
management’s capability; its financial condition including in
respect of profitability, asset quality, capital, funding and liquidity,
and risk management practices; the level of political support for
the sectors and regions in which NWB Group operates; the legal
and regulatory frameworks applicable to NWB Group’s legal
structure; business activities and the rights of its creditors;
changes in rating methodologies; changes in the relative size of
the loss-absorbing buffers protecting bondholders and depositors;
the competitive environment; political, geopolitical and economic
conditions in NWB Group’s key markets (including inflation and
Risk factors continued
NWB Group
Annual Report and Accounts 2024
180
interest rates, supply chain disruptions and geopolitical
developments); any reduction of the UK’s sovereign credit rating
and market uncertainty. In addition, credit rating agencies are
increasingly taking into account sustainability-related factors,
including climate, environmental, social and governance related
risk, as part of the credit rating analysis, as are investors in their
investment decisions.
Any reductions in the credit ratings of NatWest Group plc, NWB
Plc or of certain other NatWest Group entities could significantly
affect NWB Group. Adverse consequences for NWB Group from
downgrades could include, without limitation, a reduction in the
access to capital markets or in the size of its deposit base, and
trigger additional collateral or other requirements in its funding
arrangements or the need to amend such arrangements, which
could adversely affect NWB Group’s liquidity and funding position,
cost of funding and could limit the range of counterparties willing
to enter into transactions with NWB Group on favourable terms,
or at all. This may in turn adversely affect NWB Group’s
competitive position and threaten its prospects.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group may be adversely affected if NatWest Group
fails to meet the requirements of regulatory stress tests.
NatWest Group is subject to annual and other stress tests by its
regulator in the UK. Stress tests are designed to assess the
resilience of banks such as NWB Group to potential adverse
economic or financial developments and ensure that they have
robust, forward-looking capital planning processes that account
for the risks associated with their business profile. If the stress
tests reveal that a bank’s existing regulatory capital buffers are
not sufficient to absorb the impact of the stress, then it is possible
that the NWB Group may need to take action to strengthen its
capital position.
Failure by NatWest Group to meet the quantitative and qualitative
requirements of the stress tests as set forth by its UK regulator
may result in: NatWest Group’s regulators requiring NatWest
Group to generate additional capital, reputational damage,
increased supervision and/or regulatory sanctions, restrictions on
capital distributions and loss of investor confidence.
Any of the above may have a material adverse effect on NatWest
Group’s future results, financial condition, prospects, and/or
reputation and, in turn, NWB Group.
NWB Group could incur losses or be required to maintain
higher levels of capital as a result of limitations or failure of
various models.
Given the complexity of NWB Group’s business, strategy and
capital requirements, NWB Group relies on models for a wide
range of purposes, including to manage its business, assess the
value of its assets and its risk exposure, as well as to anticipate
capital and funding requirements (including to facilitate NatWest
Group’s mandated stress testing). In addition, NWB Group utilises
models for valuations, credit approvals, calculation of loan
impairment charges on an IFRS 9 basis, financial reporting and to
help address financial crime (criminal activities in the form of
money laundering, terrorist financing, bribery and corruption, tax
evasion and sanctions as well as external or internal fraud
(collectively, ‘financial crime’). NWB Group’s models, and the
parameters and assumptions on which they are based, are
periodically reviewed.
Model outputs are inherently uncertain, because they are
imperfect representations of real-world phenomena, are
simplifications of complex real-world systems and processes, and
are based on a limited set of observations. NWB Group may face
adverse consequences as a result of actions or decisions based on
models that are poorly developed, incorrectly implemented, non-
compliant, outdated or used inappropriately. This includes models
that are based on inaccurate or non-representative data (for
example, where there have been changes in the micro or
macroeconomic environment in which NWB Group operates) or
as a result of the modelled outcome being misunderstood, or used
for purposes for which it was not designed. This could result in
findings of deficiencies by NatWest Group’s (and in particular,
NWB Group’s) regulators (including as part of NatWest Group’s
mandated stress testing), increased capital requirements, may
render some business lines uneconomical, may require
management action or may subject NWB Group to regulatory
sanction, any of which in turn may also have an adverse effect on
NWB Group and its customers.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group’s financial statements are sensitive to underlying
accounting policies, judgements, estimates and assumptions.
The preparation of financial statements requires management to
make judgements, estimates and assumptions that affect the
reported amounts of assets, liabilities, income, expenses,
exposures and RWAs. While estimates, judgements and
assumptions take into account historical experience and other
factors (including market practice and expectations of future
events that are believed to be reasonable under the
circumstances), actual results may differ due to the inherent
uncertainty in making estimates, judgements and assumptions
(particularly those involving the use of complex models).
Further, accounting policy and financial statement reporting
requirements increasingly require management to adjust existing
judgements, estimates and assumptions for the effects of climate-
related, sustainability and other matters that are inherently
uncertain and for which there is little historical experience which
may affect the comparability of NWB Group’s future financial
results with its historical results. Actual results may differ due to
the inherent uncertainty in making climate-related and
sustainability estimates, judgements and assumptions.
Accounting policies deemed critical to NWB Group’s results and
financial position, based upon materiality and significant
judgements and estimates, involve a high degree of uncertainty
and may have a material impact on its results. For 2024, these
include loan impairments, fair value, and deferred tax. These are
set out in ‘Critical accounting policies’.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
Changes in accounting standards may materially impact
NWB Group’s financial results.
NWB Group prepares its consolidated financial statements in
conformity with the requirements of the Companies Act 2006 and
in accordance with IFRS as issued by the International Accounting
Standards Board. Changes in accounting standards or guidance
by accounting bodies or in the timing of their implementation,
whether immediate or foreseeable, could result in NWB Group
having to recognise additional liabilities on its balance sheet, or in
further write-downs or impairments to its assets, and could also
have an adverse effect on NWB Group.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
181
From time to time, the International Accounting Standards Board
may issue new accounting standards or interpretations that could
materially impact how NWB Group calculates, reports and
discloses its financial results and financial condition, and which
may affect NWB Group capital ratios, including the CET1 ratio
and the required levels of regulatory capital. New accounting
standards and interpretations that have been issued by the
International Accounting Standards Board but which have not yet
been adopted by NWB Group are discussed in ‘Future accounting
developments’.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NatWest Group (including NWB Group) may become subject
to the application of UK statutory stabilisation or resolution
powers which may result in, for example, the write-down or
conversion of NWB Group’s eligible liabilities.
The BoE, the PRA, the FCA, and HM Treasury (together, the
‘Authorities’) are granted substantial powers to resolve and
stabilise UK-incorporated financial institutions. Five stabilisation
options exist: (i) transfer of all of the business of a relevant entity
or the shares of the relevant entity to a private sector purchaser;
(ii) transfer of all or part of the business of the relevant entity to a
‘bridge bank’ wholly or partially-owned by the BoE; (iii) transfer of
part of the assets, rights or liabilities of the relevant entity to one
or more asset management vehicles for management of the
transferor’s assets, rights or liabilities; (iv) the write-down,
conversion, transfer, modification, or suspension of the relevant
entity’s equity, capital instruments and liabilities; and (v)
temporary public ownership of the relevant entity. These options
may be applied to NatWest Group plc as the parent company or
to NWB Group, as a subsidiary, where certain conditions are met
(such as, whether the firm is failing or likely to fail, or whether it is
reasonably likely that action will be taken (outside of resolution)
that will result in the firm no longer failing or being likely to fail).
Moreover, there are modified insolvency and administration
procedures for relevant entities within NatWest Group, and the
Authorities have the power to modify or override certain
contractual arrangements in certain circumstances and amend
the law for the purpose of enabling their powers to be used
effectively and may promulgate provisions with retrospective
applicability.
Under the UK Banking Act 2009, the Authorities are generally
required to have regard to specified objectives in exercising the
powers provided for by the UK Banking Act 2009. One of the
objectives (which is required to be balanced as appropriate with
the other specified objectives) refers to the protection and
enhancement of the stability of the financial system of the UK.
Moreover, the ‘no creditor worse off’ safeguard provides that
where certain resolution actions are taken, the Authorities are
required to ensure that no creditor is in a worse position than if
the bank had entered into normal insolvency proceedings.
Although, this safeguard may not apply in relation to an
application of the separate write-down and conversion power
relating to capital instruments in circumstances where a
stabilisation power is not also used, the UK Banking Act 2009 still
requires the Authorities to respect the hierarchy on insolvency
when using the write-down and conversion power. Further,
holders of debt instruments which are subject to the power may,
however, have ordinary shares transferred to or issued to them
by way of compensation.
Uncertainty exists as to how the Authorities may exercise their
powers including the determination of actions to be undertaken in
relation to the ordinary shares and other securities issued by
NatWest Group (including NWB Group), which may depend on
factors outside of NWB Group’s control.
Moreover, the UK Banking Act 2009 provisions remain largely
untested in practice, particularly in respect of resolutions of large
financial institutions and groups. If NatWest Group is at or is
approaching the point such that regulatory intervention is
required, there may be a corresponding material adverse effect
on NWB Group’s future results, financial condition, prospects,
and/or reputation.
NatWest Group is subject to regulatory oversight in respect
of resolution, and NWB Group could be adversely affected
should the BoE in the future deem NatWest Group’s
preparations to be inadequate.
NatWest Group is subject to regulatory oversight by the BoE and
the PRA and is required (under the PRA rulebook) to carry out an
assessment of its preparations for resolution, submit a report of
the assessment to the PRA, and disclose a summary of this
report. NatWest Group has dedicated significant resources
towards the preparation of NatWest Group for a potential
resolution scenario. In August 2024, the BoE communicated its
assessment of NatWest Group’s preparations and did not identify
any areas for further enhancement, shortcomings, deficiencies or
substantive impediments. NatWest Group, and in turn NWB, could
be adversely affected should future BoE assessments deem
NatWest Group’s preparations to be inadequate.
If future BoE assessments identify any areas for further
enhancement, shortcomings, deficiencies or substantive
impediments in NatWest Group’s ability to achieve the resolvability
outcomes, or reveals that NatWest Group is not adequately
prepared to be resolved, or does not have adequate plans in
place to meet resolvability requirements, NatWest Group may be
required to take action to enhance its preparations to be
resolvable, resulting in additional costs and the dedication of
additional resources. Such a scenario may have an impact on
NatWest Group (and NWB Group) as, depending on the BoE’s
assessment, potential action may include, but is not limited to,
restrictions on maximum individual and aggregate exposures, a
requirement to dispose of specified assets, a requirement to
change its legal or operational structure, a requirement to cease
carrying out certain activities, and/or to maintain a specified
amount of MREL. This may also impact NatWest Group’s (and
NWB Group’s) strategic plans.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, reputation,
and/or lead to a loss of investor confidence.
Operational and IT resilience risk
Operational risks (including reliance on third party suppliers
and outsourcing of certain activities) are inherent in NWB
Group’s businesses.
Operational risk is the risk of loss or disruption resulting from
inadequate or failed internal processes, procedures, people or
systems, or from external events, including legal and regulatory
risks, third party processes, procedures, people or systems. NWB
Group offers a diverse range of products and services supported
directly or indirectly by third party suppliers. As a result,
operational risks or losses can arise from a number of internal or
external factors (including for example, payment errors or
financial crime and fraud), for which there is continued scrutiny by
third parties of NWB Group’s compliance with financial crime
requirements; see ‘NWB Group is exposed to the risks of various
litigation matters, regulatory and governmental actions and
investigations as well as remedial undertakings, the outcomes of
which are inherently difficult to predict, and which could have an
adverse effect on NWB Group.’
Risk factors continued
NWB Group
Annual Report and Accounts 2024
182
These risks are also present when NWB Group relies on critical
service providers (suppliers) or vendors to provide services to it or
its customers, as is increasingly the case as NWB Group
outsources certain activities, including with respect to the
implementation of technologies, innovation (such as cloud-based
services and artificial intelligence) and responding to regulatory
and market changes.
Operational risks also exist due to the implementation of NatWest
Group’s strategy, and the organisational and operational changes
involved, including: NatWest Group’s cost-controlling and
simplification measures; continued digitalisation and the
integration of artificial intelligence in the business; acquisition,
divestments and other transactions; the implementation of
recommendations from internal and external reviews with respect
to certain governance processes, policies, systems and controls of
NatWest Group entities including with respect to customer
account closures; and conditions affecting the financial services
industry generally (including macroeconomic and other
geopolitical developments) as well as the legal and regulatory
uncertainty resulting from these conditions. Any of the above may
place significant pressure on NWB Group’s ability to maintain
effective internal controls and governance frameworks.
NWB Group also faces operational risks as it continues to invest in
the automation of certain solutions and customer interactions,
including through artificial intelligence. Such initiatives may result
in operational, reputational and conduct risks if the technology is
not used appropriately, is defective or inadequate, or is not fully
integrated into NWB Group’s current solutions, systems and
controls.
NWB Group increasingly provides certain shared critical services
and operations, including, without limitation, property, technology,
finance, accounting, treasury, legal, risk, regulatory compliance
and reporting, financial crime, human resources, and certain other
support and administrative functions to other entities within
NatWest Group (in particular, NWM Plc) and receives income in
respect of these services. As a result, NWB Group may be
exposed to a loss of income if these services are not required to
the same extent, or are no longer required at all.
The effective management of operational risks is critical to
meeting customer service expectations and retaining and
attracting customer business. Although NWB Group has
implemented risk controls and mitigation actions, with resources
and planning having been devoted to mitigate operational risk,
such measures may not be effective in controlling each of the
operational risks faced by NWB Group.
Ineffective management of such risks may have a material
adverse effect on NWB Group’s future results, financial condition,
prospects, and/or reputation.
NWB Group is subject to sophisticated and frequent
cyberattacks, and compliance with cybersecurity and data
protection regulations is becoming increasingly complex.
NatWest Group experiences a constant threat from cyberattacks
across the entire NatWest Group (including NWB Group) and
against NatWest Group and NWB Group’s supply chain networks,
reinforcing the importance of the due diligence of, ongoing risk
management of, and close working relationship with, the third
parties on which NWB Group relies. NWB Group is reliant on
technology, against which there is a constantly evolving series of
attacks that are increasing in terms of frequency, sophistication,
impact and severity. As cyberattacks evolve and become more
sophisticated, NWB Group is required to continue to invest
significant resources in additional capability designed to defend
against emerging threats.
Third parties continue to make hostile attempts to gain access to,
introduce malware (including ransomware) into, and exploit
potential vulnerabilities of, financial services institutions’ IT
systems, including those of NWB Group. For example, in 2024,
NWB Group and its supply chain were subjected to a small
number of attempted Distributed Denial of Service and
ransomware attacks. These hostile attempts were addressed
without material impact on NatWest Group or its customers by
deploying cybersecurity capabilities and controls that seek to
manage the impact of any such attacks, and sustain availability of
services for NWB Group’s customers. Consequently, NWB Group
continues to invest significant resources in developing and
evolving cybersecurity capabilities and controls that are designed
to mitigate the potential effect of such attacks. However, given
the nature of the threat, there can be no assurance that these
capabilities and controls will prevent the potential adverse effect
of an attack from occurring. See also, ‘NWB Group’s operations
are highly dependent on its complex IT systems and any IT failure
could adversely affect NWB Group.’
Any failure in NWB Group’s information and cybersecurity policies,
procedures or controls, may result in significant financial losses,
major business disruption, inability to deliver customer services, or
loss of, or ability to access, data or systems or other sensitive
information (including as a result of an outage) and may cause
associated reputational damage. Any of these factors could
increase costs (including costs relating to notification of, or
compensation for customers, credit monitoring or card
reissuance), result in regulatory investigations or sanctions being
imposed, or may affect NWB Group’s ability to retain and attract
customers. Regulators in the UK, US, Europe and Asia continue to
recognise cybersecurity as an important systemic risk to the
financial sector and have highlighted the need for financial
institutions to improve their monitoring and control of, and
resilience (particularly of critical services) to cyberattacks, and to
provide timely reporting or notification of them, as appropriate
(including, for example, the SEC cybersecurity requirements and
the new EU Digital Operational Resilience Act (‘DORA’)).
Furthermore, cyberattacks on NWB Group’s counterparties and
suppliers may also have an adverse effect on NWB Group’s
operations.
Additionally, malicious third parties may induce employees,
customers, third party providers or other users with access to
NWB Group’s systems to wrongfully disclose sensitive information
to gain access to NWB Group’s data or systems or that of NWB
Group’s customers or employees.
Cybersecurity and information security events can derive from
groups or factors such as: internal or external threat actors,
human error, fraud or malice on the part of NWB Group’s
employees or third parties, including third party providers, or may
result from technological failure (including defective, inadequate or
inappropriately used artificial intelligence based solutions).
NWB Group expects greater regulatory engagement, supervision
and enforcement to continue in relation to its overall resilience to
withstand IT and IT-related disruption, either through a
cyberattack or some other disruptive event. Such increased
regulatory engagement, supervision and enforcement is uncertain
in relation to the scope, cost, consequence and the pace of
change, which may have a material adverse effect on NWB
Group. Due to NWB Group’s reliance on technology, the adoption
of innovative solutions, the integration of automated processes
and artificial intelligence in its business, and the increasing
sophistication, frequency and impact of cyberattacks, such
attacks may have an adverse effect on NWB Group.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
183
In accordance with applicable UK and EU data protection, and
cybersecurity laws and regulations, NWB Group is required to
ensure it implements timely, appropriate and effective
organisational and technological safeguards against unauthorised
or unlawful access to the data of NWB Group, its customers and
its employees. In order to meet this requirement, NWB Group
relies on the effectiveness of its internal policies, controls and
procedures to protect the confidentiality, integrity and availability
of information held on its IT systems, networks and devices as
well as with third parties with whom NWB Group interacts.
A failure to monitor and manage data in accordance with
applicable requirements may result in financial losses, regulatory
fines and investigations and associated reputational damage.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group’s operations and strategy are highly dependent
on the accuracy and effective use of data.
NWB Group relies on the availability, sourcing, and effective use of
accurate and high quality data to support, monitor, evaluate,
manage and enhance its operations, innovate its products
offering, meet its regulatory obligations, and deliver its strategy.
Investment is being made in data tools and analytics, including
raising awareness around ethical data usage (for example, in
relation to the use of artificial intelligence) and privacy across
NWB Group. The availability and accessibility of current, complete,
detailed, accurate and, wherever possible, machine-readable
customer segment and sub-sector data, together with
appropriate governance and accountability for data, is fast
becoming a critical strategic asset, which is subject to increased
regulatory focus. Failure to have or be able to access that data or
the ineffective use or governance of that data could result in a
failure to manage and report important risks and opportunities or
satisfy customers’ expectations including the inability to deliver
products and services. This could also place NWB Group at a
competitive disadvantage by increasing its costs, inhibiting its
efforts to reduce costs or its ability to improve its systems,
controls and processes. Any of the above could result in a failure
to deliver NWB Group’s strategy. These data weaknesses and
limitations, or the unethical or inappropriate use of data, and/or
non-compliance with data protection laws could give rise to
conduct and litigation risks and may increase the risk of
operational challenges, losses, reputational damage or other
adverse consequences due to inappropriate models, systems,
processes, decisions or other actions.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group’s operations are highly dependent on its
complex IT systems and any IT failure could adversely affect
NWB Group.
NWB Group’s operations are highly dependent on the ability to
process a very large number of transactions efficiently and
accurately while complying with applicable laws and regulations.
The proper functioning of NatWest Group’s (including NWB
Group’s) transactional and payment systems, financial crime and
fraud detection systems and controls, risk management, credit
analysis and reporting, accounting, customer service and other IT
systems, including cloud services providers (some of which are
owned and operated by other entities in NatWest Group or third
parties), as well as the communication networks between their
branches and main data processing centres, is critical to NWB
Group’s operations.
Individually or collectively, any system failure (including defective
or inadequate automated processes or artificial intelligence based
solutions), loss of service availability, mobile banking disruption, or
breach of data security could potentially cause significant damage
to: (i) important business services across NWB Group; and (ii)
NWB Group’s ability to provide services to its customers, which
could result in reputational damage, significant compensation
costs and regulatory sanctions (including fines resulting from
regulatory investigations), or a breach of applicable regulations
and could affect NWB Group’s regulatory approvals, competitive
position, business and brands, which could undermine its ability to
attract and retain customers and talent.
NWB Group outsources certain functions as it innovates and
offers new digital solutions to its customers to meet the demand
for online and mobile banking. Outsourcing alongside remote
working heighten the above risks. NWB Group uses IT systems
that enable remote working interface with third-party systems,
and NWB Group could experience service denials or disruptions if
such IT systems exceed capacity or if NWB Group or a third-party
system fails or experiences any interruptions, all of which could
result in business and customer interruption and related
reputational damage, significant compensation costs, regulatory
sanctions and/or a breach of applicable regulations.
In 2024, NWB Group continued to make considerable investments
to further simplify, upgrade and improve its IT and technology
capabilities (including migration of certain services to cloud
platforms). NWB Group continues to develop and enhance digital
services for its customers and seeks to improve its competitive
position through integrating automated processes and artificial
intelligence based solutions in its business and by enhancing
controls and procedures and strengthening the resilience of
services including cybersecurity. Any failure of these investment
and rationalisation initiatives to achieve the expected results, due
to cost challenges, poor implementation, defects or otherwise,
may adversely affect NWB Group’s operations, its reputation and
ability to retain or grow its customer business or adversely affect
its competitive position.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group relies on attracting, retaining and developing
diverse senior management and skilled personnel, and is
required to maintain good employee relations.
NWB Group’s success depends on its ability to attract, retain
(through creating an inclusive environment), and develop highly
skilled and qualified diverse personnel, including senior
management, directors and key employees (including technology
and data focused roles), in a highly competitive market and under
internal cost efficiency pressures.
NWB Group’s ability to attract, retain and develop highly skilled
and qualified diverse senior management and skilled personnel
may be more difficult due to cost-controlling measures, failure to
pay employees competitive compensation, heightened regulatory
oversight of banks and the increasing scrutiny of, and (in some
cases) restrictions placed upon, employee compensation
arrangements. In addition, certain economic, market and
regulatory conditions and political developments may reduce the
pool of candidates for key management and non-executive roles,
including non-executive directors with the right skills, knowledge
and experience, or may increase the number of departures of
existing employees. Moreover, a failure to foster a diverse and
inclusive workforce may adversely affect NWB Group’s employee
engagement and the formulation and execution of its strategy,
and could also have an adverse effect on its reputation with
employees, customers, investors and regulators.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
184
Many of NWB Group’s employees in the UK, the Republic of
Ireland and continental Europe are represented by employee
representative bodies, including trade unions and works councils.
Engagement with its employees and such bodies is important to
NWB Group in maintaining good employee relations. Any failure to
do so may adversely affect NWB Group’s ability to operate its
business effectively.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
A failure in NWB Group’s risk management framework could
adversely affect NWB Group, including its ability to achieve
its strategic objectives.
Risk management is an integral part of all of NWB Group’s
activities and delivery of its long-term strategy. NatWest Group’s
Enterprise-Wide Risk Management Framework sets out the
approach for managing risk within the NWB Group including in
relation to risk governance and risk appetite. A failure to adhere
to this framework and to agreed risk appetite statements, or any
material weaknesses or deficiencies in the framework’s controls
and procedures, could adversely affect NatWest Group’s financial
condition and strategic delivery, as well as accurate reporting of
risk exposures.
In addition, financial crime risk management is dependent on the
use and effectiveness of financial crime assessment, systems and
controls. Weak or ineffective financial crime processes and
controls may risk NWB Group inadvertently facilitating financial
crime which may result in regulatory investigation, sanction,
litigation, fines and/or reputational damage. Financial crime
continues to evolve, whether through fraud, scams, cyberattacks
or other criminal activity. These risks are exacerbated as NWB
Group continues to innovate its product offering and increasingly
offers digital solutions to its customers, including through mobile
banking.
NatWest Group (including NWB Group) has made and continues
to make significant, multi-year investments to strengthen and
improve its overall financial crime control framework with
prevention systems and capabilities, including investment in new
technologies and capabilities to further enhance customer due
diligence, transaction monitoring, sanctions and anti-bribery and
corruption systems.
Financial risk management is highly dependent on the use and
effectiveness of internal stress tests and models and ineffective
risk management may arise from a wide variety of factors,
including lack of transparency or incomplete risk reporting,
manual processes and controls, inaccurate data, inadequate IT
systems, unidentified conflicts or misaligned incentives, lack of
accountability control and governance, incomplete risk monitoring
and management, insufficient challenges or assurance processes,
or a failure to commence or timely complete risk remediation
projects. Failure to manage risks effectively, or within regulatory
expectations, could adversely affect NWB Group’s reputation or
its relationship with its regulators, customers, shareholders or
other stakeholders.
NWB Group’s operations are inherently exposed to conduct risks,
which include business decisions, actions or reward mechanisms
that are not responsive to or aligned with NWB Group’s
regulatory obligations, customers’ needs or do not reflect NWB
Group’s strategy, ineffective product management, unethical or
inappropriate use of data, information asymmetry, implementation
and utilisation of new technologies, outsourcing of customer
service and product delivery, inappropriate behaviour towards
customers, customer outcomes, the possibility of mis-selling of
financial products and mishandling of customer complaints. Some
of these risks have materialised in the past and ineffective
management and oversight of conduct risks may lead to further
remediation and regulatory intervention or enforcement.
NWB Group’s businesses are also exposed to risks from
employee, contractor or service providers misconduct including
non-compliance with policies and regulations, negligence or fraud
(including financial crimes and fraud), any of which could result in
regulatory fines or sanctions and serious reputational or financial
harm to NWB Group. Hybrid working arrangements for NWB
Group employees place heavy reliance on the IT systems that
enable remote working and may place additional pressure on
NWB Group’s ability to maintain effective internal controls and
governance frameworks and increase operational risk.
Hybrid working arrangements are also subject to regulatory
scrutiny to ensure adequate recording, surveillance and
supervision of regulated activities, and compliance with regulatory
requirements and expectations, including requirements to: meet
threshold conditions for regulated activities; ensure the ability to
oversee functions (including any outsourced functions); ensure no
detriment is caused to customers; and ensure no increased risk of
financial crime.
In addition, the UK’s Net Zero Strategy and NatWest Group’s
(including NWB Group) strategy relating to climate and
sustainability are important drivers as to how NWB Group
integrates climate (including physical and transition risks) and
other sustainability-related risks into its risk management
framework and practices (including for financing activities or
engaging with counterparties (including suppliers)). Furthermore,
legislative and regulatory authorities are publishing expectations
as to how banks should prudently manage and transparently
disclose climate and other sustainability-related risks. Any failure
of NWB Group to fully and timely embed climate and other
sustainability-related risks into its risk management practices and
framework to appropriately identify, assess, prioritise and monitor
such risks may have an adverse effect on NWB Group.
Similarly, if NWB Group is unable to apply the appropriate product
governance processes in line with NatWest Group’s (including
NWB Group) strategy and applicable legal and regulatory
requirements, it may have an adverse effect on NWB Group.
NWB Group seeks to embed a risk awareness culture across the
organisation and has implemented policies and allocated new
resources across all levels of the organisation to manage and
mitigate conduct risk and expects to continue to invest in risk
management, including the ongoing development of a NatWest
Group risk management strategy in line with regulatory
expectations. However, such efforts may not insulate NWB Group
from instances of misconduct and no assurance can be given that
NWB Group’s strategy and control framework will be effective.
Any failure in NWB Group’s risk management framework may
result in the inability to achieve its strategic objectives for its
customers, employees and wider stakeholders.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group’s operations are subject to inherent reputational
risk.
Reputational risk relates to stakeholder and public perceptions of
NWB Group arising from an actual or perceived failure to meet
stakeholder or the public’s expectations, including with respect to
NatWest Group’s strategy and related targets or due to any
events, behaviour, action or inaction by NWB Group, its
employees or those with whom NWB Group is associated. See
also, ‘NWB Group’s businesses are subject to substantial
regulation and oversight, which are constantly evolving and may
adversely affect NWB Group.’ This includes harm to its brand,
which may be detrimental to NWB Group’s business, including its
ability to build or sustain business relationships with customers,
stakeholders and regulators, and may cause low employee
morale, regulatory censure or reduced access to, or an increase
in the cost of, funding.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
185
Reputational risk may arise whenever there is, or there is
perceived to be, a material lapse in standards of integrity,
controls, compliance, customer or operating efficiency, or
regulatory or press scrutiny, and may adversely affect NWB
Group’s ability to attract and retain customers.
In particular, NWB Group’s ability to attract and retain customers
(particularly, corporate/institutional and retail depositors), and
talent, and engage with counterparties may be adversely affected
by factors including: negative public opinion resulting from the
actual or perceived manner in which NWB Group or any other
member of NatWest Group conducts or modifies its business
activities and operations, media coverage (whether accurate or
otherwise), employee misconduct, NWB Group’s financial
performance, IT systems failures or cyberattacks, data breaches,
financial crime and fraud, the level of direct and indirect
government support, or the actual or perceived practices in the
banking and financial industry in general, or a wide variety of
other factors.
Technologies, in particular online social networks and other
broadcast tools that facilitate communication with large audiences
in short timeframes and with minimal costs, may also significantly
increase and accelerate the impact of damaging information and
allegations.
Although NWB Group has a Reputational Risk Policy and
framework to identify, measure and manage material reputational
risk exposures, there is a risk that it may not be successful in
avoiding or mitigating damage to its business or its various brands
from reputational risk.
Any of the above aspects of reputational risk may have a material
adverse effect on NWB Group’s future results, financial condition,
prospects, and/or reputation.
Legal and regulatory risk
NWB Group’s businesses are subject to substantial regulation
and oversight, which are constantly evolving and may
adversely affect NWB Group.
NWB Group is subject to extensive laws, regulations, guidelines,
corporate governance practice and disclosure requirements,
administrative actions and policies in each jurisdiction in which it
operates, which represents ongoing compliance and conduct
risks. Many of these are constantly evolving and are subject to
further material changes, which may increase compliance and
conduct risks, particularly as the laws of different jurisdictions
(including those of the EU/EEA and UK) diverge. NWB Group
expects government and regulatory intervention in the financial
services industry to remain high for the foreseeable future.
Regulators and governments continue to focus on reforming the
prudential regulation of the financial services industry and the way
financial services are conducted. Measures have included:
enhanced capital, liquidity and funding requirements, through
initiatives such as the Basel 3.1 standards implementation (and
any resulting effect on RWAs and models), the UK ring-fencing
regime, the strengthening of the recovery and resolution
framework applicable to financial institutions in the UK, EU and
US, financial industry reforms (such as the FSMA 2023), corporate
governance requirements, rules relating to the compensation of
senior management and other employees, enhanced data
protection and IT resilience requirements (such as DORA),
financial market infrastructure reforms, enhanced regulations in
respect of the provision of ‘investment services and activities’.
There is also increased regulatory focus in certain areas, including
conduct, model risk governance, consumer protection in retail or
other financial markets (such as the FCA’s rules governing
interactions with and the provision of services to retail customers,
the ‘Consumer Duty’), competition and disputes regimes, anti-
money laundering, anti-corruption, anti-bribery, anti-tax evasion,
payment systems, sanctions and anti-terrorism laws and
regulations.
In addition, there is significant oversight by competition
authorities. The competitive landscape for banks and other
financial institutions in the UK, EU/EEA, US and Asia is rapidly
changing. Recent regulatory and legal changes have resulted and
may continue to result, in new market participants and changed
competitive dynamics in certain key areas. Regulatory and
competition authorities, including the CMA, are also looking at and
focusing more on how they can support competition and
innovation in digital and other markets. Future competition
investigations, market reviews, or regulation of mergers may lead
to the imposition of financial penalties or market remedies that
may adversely affect NatWest Group’s competitive or financial
position. Recent regulatory changes and heightened levels of
public and regulatory scrutiny in the UK, EU and US have resulted
in increased capital, funding and liquidity requirements, changes in
the competitive landscape, changes in other regulatory
requirements and increased operating costs, and have impacted,
and will continue to impact, product offerings and business
models.
Moreover, uncertainties remain as to the extent to which EU/EEA
laws will diverge from UK law. For example, bank regulation in the
UK may diverge from European bank regulation following the
enactment of the Financial Services and Markets Act 2023
(‘FSMA 2023’) and the Retained EU Law (Revocation and Reform)
Act 2023. In particular, FSMA 2023 provides for the revocation of
retained EU laws relating to financial services regulation, but sets
out that this process will likely take a number of years and the
intention is that specific retained EU laws will not be revoked until
such time as replacement regulatory rules are in place. The
actions taken by regulators in response to any new or revised
bank regulation and other rules affecting financial services, may
adversely affect NWB Group, including its business, non-UK
operations, group structure, compliance costs, intragroup
arrangements and capital requirements.
Other areas in which, and examples of where, governmental
policies, regulatory and accounting changes, and increased public
and regulatory scrutiny may have an adverse effect (some of
which could be material) on NWB Group include, but are not
limited to:

general changes in government, regulatory, competition, or
central bank policy (such as changes to the BoE levy
(including as a result of the proposed Bank Resolution
(Recapitalisation) Bill), or changes in regulatory regimes that
may influence investor decisions in the jurisdictions in which
NWB Group operates;

rules relating to foreign ownership, expropriation,
nationalisation and confiscation or appropriation of assets;

increased scrutiny including from the CMA, FCA and Payment
Systems Regulator (‘PSR’) for the protection and resilience of,
and competition and innovation in, digital and other markets,
UK payment systems (with the development of the
government’s National Payments Vision and Strategy) and
retail banking developments relating to the UK initiative on
Open Banking, Open Finance and the European directive on
payment services;

the ongoing compliance with CMA’s Market Orders including
the Retail Banking Market Order 2017 and SME Undertakings;

ongoing competition litigation in the English courts around
payment card interchange fees, combined with increased
regulatory scrutiny (from the PSR) of the Visa and Mastercard
card schemes;

increased risk of new class action claims being brought
against NWB Group in the Competition Appeal Tribunal for
breaches of competition law;

increased risk of legal action against NWB Group for financing
or contributing to climate change and nature-related
degradation;

new or increased regulations relating to customer data
protection as well as IT controls and resilience, such as the
India Digital Personal Data Protection Act 2023;
Risk factors continued
NWB Group
Annual Report and Accounts 2024
186

the introduction of, and changes to, taxes, levies or fees
applicable to NWB Group’s operations, changes in tax rates
(including changes to the taxation of non-UK domiciled
individuals), changes in the scope and administration of the
Bank Levy, increases in the bank corporation tax surcharge in
the UK, restrictions on the tax deductibility of interest
payments or further restrictions imposed on the treatment of
carry-forward tax losses that reduce the value of deferred tax
assets and require increased payments of tax;

the potential introduction by the BoE of a Central Bank Digital
Currency which could result in deposit outflows, higher
funding costs, and/or other implications for UK banks;

regulatory enforcement in the form of PRA imposed financial
penalties for failings in banks’ regulatory reporting governance
and controls, and ongoing regulatory scrutiny; the PRA’s
thematic reviews of the governance, controls and processes
for preparing regulatory returns of selected UK banks,
including NatWest Group (of which NWB Group is a part of);

changes in policy and practice regarding enforcement,
investigations and sanctions, supervisory activities and
reviews;

the introduction of regulatory requirements to ensure
sufficient access by the general public to cash services such
as branches and ATMs;

‘Dear CEO’ and similar letters issued by supervisors and
regulators from time to time;

recent or proposed US regulations around cybersecurity
incidents, climate disclosures and other climate and
sustainability-related rules, or greenwashing;

new or increased regulations relating to financial crime; and

any regulatory requirements relating to the use of artificial
intelligence and large language models across the financial
services industry (such as the European Union Artificial
Intelligence Act).
Any of these developments (including any failure to comply with
or correctly interpret new rules and regulations) could also have
an adverse effect on NWB Group’s authorisations and licences,
the products and services that it may offer, its reputation and the
value of its assets, NWB Group’s operations or legal entity
structure, and the manner in which it conducts its business.
Material consequences could arise should NWB Group be found
non-compliant with these regulatory requirements. Regulatory
developments may also result in an increased number of
regulatory investigations and proceedings and have increased the
risks relating to NWB Group’s ability to comply with the applicable
body of rules and regulations in the manner and within the
timeframes required.
Changes in laws, rules or regulations, or in their interpretation or
enforcement, or the implementation of new laws, rules or
regulations, including contradictory or conflicting laws, rules or
regulations by key regulators or policymakers in different
jurisdictions, or failure by NWB Group to comply with such laws,
rules and regulations, may adversely affect NWB Group’s
business, results of operations and outlook. In addition,
uncertainty and insufficient international regulatory coordination
as enhanced supervisory standards are developed and
implemented may adversely affect NWB Group’s reputation,
ability to engage in effective business, capital and risk
management planning.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
NWB Group is exposed to the risks of various litigation
matters, regulatory and governmental actions and
investigations as well as remedial undertakings, the
outcomes of which are inherently difficult to predict, and
which could have an adverse effect on NWB Group.
NWB Group’s operations are diverse and complex and it operates
in legal and regulatory environments that expose it to potentially
significant civil actions (including those following on from
regulatory sanction), as well as criminal, regulatory and
governmental proceedings. NWB Group has resolved a number of
legal and regulatory actions over the past several years but
continues to be, and may in the future be, involved in such actions
in the UK, the US, Europe, and other jurisdictions.
NWB Group is, has been or will likely be involved in a number of
significant legal and regulatory actions, including investigations,
proceedings and ongoing reviews (both formal and informal) by
governmental law enforcement and other agencies and litigation
proceedings, including in relation to the setting of benchmark
rates such as LIBOR and related derivatives trading, product mis-
selling, customer mistreatment, anti-money laundering, antitrust,
VAT recovery, record keeping, reporting, and various other
issues. There is also an increasing risk of new class action claims
being brought against NWB Group in the Competition Appeal
Tribunal for breaches of competition law, as well as a risk of
activist actions, particularly relating to climate change and
sustainability-related matters. Legal and regulatory actions are
subject to many uncertainties, and their outcomes, including the
timing, amount of fines, damages or settlements or the form of
any settlements, which may be material and in excess of any
related provisions, are often difficult to predict, particularly in the
early stages of a case or investigation. NWB Group’s expectation
for resolution may change and substantial additional provisions
and costs may be recognised in respect of any matter. For
additional information relating to legal, and regulatory proceedings
and matters to which NWB Group is currently exposed, see
‘Litigation and regulatory matters’ at Note 26 to the consolidated
accounts.
Recently resolved matters or adverse outcomes or resolution of
current or future legal, regulatory or other matters, including
conduct-related reviews, and redress projects, could increase the
risk of greater regulatory and third-party scrutiny and/or result in
future legal or regulatory actions, and could have material
financial, reputational, or collateral consequences for NWB
Group’s business and result in restrictions or limitations on NWB
Group’s operations.
These may include the effective or actual disqualification from
carrying on certain regulated activities and consequences
resulting from the need to reapply for various important licences
or obtain waivers to conduct certain existing activities of NWB
Group, which may take a significant period of time and the results
and implications of which are uncertain. Disqualification from
carrying on any activities, whether automatically as a result of the
resolution of a particular matter or as a result of the failure to
obtain such licences or waivers may have an adverse effect on
NWB Group. This in turn and/or any fines, settlement payments or
penalties may have an adverse effect on NWB Group. Similar
consequences could result from legal or regulatory actions
relating to other parts of NatWest Group.
Failure to comply with undertakings made by NWB Group to its
regulators may result in additional measures or penalties being
taken against NWB Group.
In addition, any failure to administer conduct redress processes
adequately, or to handle individual complaints fairly or
appropriately, could result in further claims as well as the
imposition of additional measures or limitations on NWB Group’s
operations, additional supervision by NWB Group’s regulators, and
loss of investor confidence.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
187
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
Changes in tax legislation (or application thereof) or failure
to generate future taxable profits may impact the
recoverability of certain deferred tax assets recognised by
NWB Group.
In accordance with the accounting policies set out in ‘Critical
accounting policies’, NWB Group has recognised deferred tax
assets on losses available to relieve future profits from tax only to
the extent it is probable that they will be recovered. The deferred
tax assets are quantified on the basis of current tax legislation
and accounting standards and are subject to change in respect of
the future rates of tax or the rules for computing taxable profits
and offsetting allowable losses.
Failure to generate sufficient future taxable profits or further
changes in tax legislation or the application thereof (including with
respect to rates of tax) or changes in accounting standards may
reduce the recoverable amount of the recognised tax loss
deferred tax assets, amounting to £333 million as at 31 December
2024. Changes to the treatment of certain deferred tax assets
may impact NWB Group’s capital position. In addition, NWB
Group’s interpretation or application of relevant tax laws may
differ from those of the relevant tax authorities and provisions are
made for potential tax liabilities that may arise on the basis of the
amounts expected to be paid to tax authorities. The amounts
ultimately paid may differ materially from the amounts provided
depending on the ultimate resolution of such matters.
Any of the above may have a material adverse effect on NWB
Group’s future results, financial condition, prospects, and/or
reputation.
Climate and sustainability-related risks
NWB Group and its Value Chain face climate and
sustainability-related risks that may adversely affect NWB
Group.
Climate change has been identified as a source of systemic risk,
with potentially severe consequences for financial institutions. The
financial impacts of climate-related risks are expected to be
widespread and may disrupt the orderly functioning of financial
markets and have an adverse effect on financial institutions,
including NWB Group.
Financial and non-financial risks from climate change can arise
through physical and transition risks. In addition, physical and
transition risks can trigger further losses, stemming directly or
indirectly from legal claims, litigation and conduct liability (referred
to as ‘liability risk’).
Whilst there are significant uncertainties relating to the location,
magnitude and timing of climate-related physical risks, scientific
research suggests physical risks may occur in increasing
frequency and severity. Climate-related events like flood, wildfires
and climatic changes can damage assets and disrupt operations,
leading to increased costs, changes in asset values and loan
defaults. Damage or disruption to NWB Group customers’ and
counterparties’ (including suppliers’) properties, premises and
operations could disrupt business, result in the deterioration of the
value of collateral or insurance shortfalls, impair asset values and
negatively impact the creditworthiness of customers and their
ability and/or willingness to pay fees, afford new products or
repay their debts, leading to increased default rates,
delinquencies, write-offs and impairment charges in NWB Group’s
portfolios. In addition, NWB Group’s premises and operations, or
those of its critical outsourced functions may experience damage
or disruption leading to increased costs for NWB Group.
To meet the goals of the UK’s Net Zero Strategy by 2050 will
require a net-zero transition across all sectors of the UK
economy. The timing and pace of the transition to a net-zero
economy will depend on many factors and uncertainties and may
be near-term, gradual and orderly, or delayed, rapid and
disorderly, or a combination of these. A transition to a net-zero
economy requires significant and timely policy and regulatory
changes, immediate actions from national and regional
governments, new technological innovations and changes to
supply and demand systems within industries. The transition to a
net-zero economy may also trigger changes in consumer
behaviour and market sentiment. In addition, there is significant
uncertainty about how climate change and the world’s transition
to a net-zero economy will unfold over time and how and when
climate and other sustainability-related risks will manifest. These
timeframes are considerably longer than NWB Group’s historical
and current strategic, financial, resilience and investment planning
horizons.
NWB Group and its value chain (including its investors, customers,
counterparties (including its suppliers), business partners and
employees) (‘NWB Group’s Value Chain’) may face financial and
non-financial risks arising from broader (i.e. non-climate-related)
sustainability issues such as risks relating to nature loss (such as
the loss and/or decline of the state of nature including but not
limited to, the reduction of any aspect of biological diversity and
other forms of environmental degradation such as air, water and
land pollution, soil quality degradation and water stress). NatWest
Group recognises that climate and nature-related risks are
interlinked and therefore NatWest Group aims to work towards
enhancing processes and capabilities to include assessments of
nature-related risks and opportunities within governance, risk
management and stakeholder engagement practices
.
Climate and nature-related risks may:
– adversely affect the broader economy, influencing interest rates,
inflation and growth, impacting profitability and stability;
– adversely affect asset pricing and valuations of NWB Group’s
own and other securities and, in turn, the wider financial system;
– adversely affect economic activities directly (for example
through lower corporate profitability or the devaluation of assets)
or indirectly (for example through macro-financial changes);
– adversely affect the viability or resilience of business models
over the medium to longer term, particularly those business
models most vulnerable to climate and sustainability-related risks;
– trigger losses stemming directly or indirectly from liability risks
and/or reputational damage, including as a result of adverse
media coverage, activists, the public, NWB Group’s Value Chain
associating NWB Group or its customers with adverse climate and
sustainability-related issues;
– adversely affect NWB Group’s ability to contribute to deliver on
NatWest Group’s strategy, including achieving its climate
ambitions and targets; and
– exacerbate other risk categories to which NWB Group is
exposed, including credit risk, operational risk (including business
continuity), market risk (both traded and non-traded), liquidity and
funding risk (for example, net cash outflows or depletion of
liquidity buffers), reputational risk, pension risk, regulatory
compliance risk and conduct risk.
In addition to nature-related risks, NWB Group and NWB Group’s
Value Chain may face financial and non-financial risks arising from
other sustainability-related issues such as (i) risks related to social
issues (including human rights), for example, negative impact on
people’s standard of living and health, political and geopolitical
tensions and conflict endangering people’s lives and security,
displacement of communities, the violation of indigenous people’s
Risk factors continued
NWB Group
Annual Report and Accounts 2024
188
rights, unjust working conditions and labour rights breaches
(including discrimination, lack of diversity and inclusion, inequality,
gender/ethnicity pay gap and payments under the minimum
wage), modern slavery, accessible banking and financial inclusion,
financial crime, data privacy breaches, innovation, digitalisation
and AI, and lack of support for the vulnerable; and (ii)
governance-related risks (including board diversity, ethical
corporate culture, executive compensation and management
structure).
There is also growing expectation from customers, investors,
policymakers, regulators and society of the need for a ‘just
transition’ – in recognition that the transition to net zero should
happen in a way that is as fair and inclusive as possible to
everyone concerned. Although NatWest Group (including NWB
Group) continues to evaluate and assess whether and, if so, how
it integrates ‘just transition’ considerations into its strategy and
decision-making, a failure (or perception of failure) by NatWest
Group (including NWB Group) to sufficiently factor these
considerations into existing products and service offerings may
adversely affect NatWest Group (including NWB Group), including
NatWest Group’s (including NWB Group) reputation.
If NWB Group fails to identify, assess, prioritise, monitor, react to
and prevent appropriately: (i) climate and sustainability-related
impacts, risks and opportunities; and (ii) changing regulatory and
market expectations and societal preferences that NWB Group
and NWB Group’s Value Chain face, in a timely manner or at all,
this may have a material adverse effect on NWB Group’s
business, future results, financial condition, prospects (including
cash flows, access to finance or cost of capital over the short,
medium or long term), reputation or the price of its securities.
NatWest Group’s strategy relating to climate change,
ambitions, targets and transition plan entail significant
execution and/or reputational risks and are unlikely to be
achieved without significant and timely government policy,
technology and customer behavioural changes.
At NatWest Group’s Annual General Meeting in April 2022,
ordinary shareholders passed an advisory ‘Say on Climate’
resolution endorsing NatWest Group’s previously announced
strategic direction on climate change, including its ambitions to at
least halve the climate impact of its financing activity by 2030,
achieve alignment with the 2015 Paris Agreement and reach net
zero across its financed emissions, assets under management and
operational value chain by 2050. NatWest Group may also
announce other climate and sustainability-related ambitions,
targets and initiatives and/or retire or change existing ones.
Making the changes necessary by NWB Group to contribute to
achieve NatWest Group’s climate ambitions and targets and
executing its transition plan, together with the active
management of climate and sustainability-related risks and other
regulatory, policy and market changes, is likely to necessitate
material changes to NWB Group’s business, operating model, its
existing exposures and the products and services NWB Group
provides to its customers (potentially on accelerated timescales).
NWB Group may be required to: (i) in the medium and long term
significantly reduce its financed emissions and its exposure to
customers that do not align with a transition to net zero or do not
have a credible transition plan in place, and (ii) divest or
discontinue certain activities for regulatory or legal reasons or in
response to the transition to a less carbon-dependent economy.
Increases in lending and financing activities may wholly or partially
offset some or all these reductions, which may increase the
extent of changes and reductions necessary.
Making the necessary changes, or failing to make the necessary
changes in a timely manner, or at all to achieve NatWest Group’s
climate ambitions and targets and executing its transition plan,
together with the active management of climate and
sustainability-related risks and other regulatory, policy and market
changes may have an adverse effect on NatWest Group and
NatWest Group’s ability to achieve its climate and financial
ambitions and targets, take advantage of climate change-related
opportunities and generate sustainable returns.
NWB Group’s ability to contribute to achieving NatWest Group’s
strategy, including contributing to achieve NatWest Group’s
climate ambitions and targets, will significantly depend on many
factors and uncertainties beyond NWB Group’s control. These
include: (i) the extent and pace of climate change, including the
timing and manifestation of physical and transition risks; (ii) the
macroeconomic environment; (iii) the effectiveness of actions of
governments, legislators, regulators and businesses; (iv) the
response of the wider society, NWB Group’s Value Chain and
other stakeholders to mitigate the impact of climate and
sustainability-related risks; (v) changes in customer behaviour and
demand; (vi) appetite for new markets, credit appetite,
concentration risk appetite, lending opportunities; (vii)
developments in the available technology; (viii) the rollout of low
carbon infrastructure; and (ix) the availability of accurate,
verifiable, reliable, auditable, consistent and comparable data.
These external factors and other uncertainties will make it
challenging for NWB Group to contribute to achieving NatWest
Group’s climate ambitions and targets and there is a significant
risk that all or some of these ambitions and targets will not be
achieved or not achieved within the intended timescales.
NWB Group’s ability to contribute to achieving NatWest Group’s
climate ambitions and targets depends to a significant extent on
the timely implementation and integration of appropriate
government policies. The UK Climate Change Committee (‘UK
CCC’) 2024 Progress Report to the UK Parliament states that the
UK is not on track to hit its legislated target to reduce emissions in
2030 by 68% compared to 1990 levels and only a third of the
emission reductions required to achieve the UK’s 2030 target are
currently covered by credible plans, with action needed across all
sectors of the economy. NatWest Group’s climate ambitions are
unlikely to be achieved without timely and appropriate
government policy and technology developments, as well as
supplier, customer and societal response required to support the
transition.
The UK CCC is expected to publish its Seventh Carbon Budget on
26 February 2025. NatWest Group expects this to take into
account new UK policy initiatives announced by the UK
government in November 2024 and NatWest Group plans to
review its climate ambitions in the context of the of the UK’s
Seventh Carbon Budget, once released.
Climate and sustainability matters are also becoming increasingly
politicised and polarised. Some of NWB Group’s customers,
investors or other stakeholders may decide not to do business
with NWB Group because, according to their own assessment,
NatWest Group’s (including NWB Group) strategy, ambitions and
targets related to climate and sustainability do not meet their
expectations, either for lacking the necessary ambition or
progress, or for being perceived as overly concerned about
sustainability.
Any delay or failure by NWB Group in putting into effect, making
progress against or meeting NatWest Group’s climate and
sustainability-related ambitions, targets and plans may have a
material adverse effect on NWB Group’s future results, financial
condition, prospects, and/or reputation and may increase the
climate and sustainability-related risks NWB Group faces.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
189
There are significant limitations related to accessing
accurate, reliable, verifiable, auditable, consistent and
comparable climate and other sustainability-related data
that contribute to substantial uncertainties in accurately
modelling and reporting on climate and sustainability
information, as well as making appropriate important
internal decisions.
Accurate assessment and reporting of climate and sustainability-
related impacts, risks,
opportunities and other climate and
sustainability-related matters, and related metrics depends on
access to accurate, reliable, verifiable, auditable, consistent and
comparable data from counterparties (including suppliers),
customers, or other third parties. Data of adequate quality may
not be generally available or, if available, may not be accurate,
reliable, verifiable, auditable, consistent, or comparable
.
In the
absence of other sources, reporting on climate and sustainability-
related matters (including reporting on NatWest Group’s (including
NWB Group) financed emissions) may be based on estimated or
aggregated information developed by third parties (or customers)
that may be prepared in an inconsistent way using different
methodologies, interpretations, or assumptions that may not be
accurate for a given counterparty (including supplier) or customer.
There may also be data gaps and limitations that are addressed
using estimates based on assumptions about matters that are
inherently uncertain or proxy data, such as sectoral averages or
use of emissions estimated by a third party, again developed in a
variety of ways and in some cases not in a timely manner causing
data to be potentially outdated at the time when they are used.
Significant risks, uncertainties and variables are inherent in the
assessment, measurement and mitigation of climate and
sustainability-related risks. These include data quality gaps and
limitations mentioned above, as well as the pace at which climate
science, greenhouse gas accounting standards and various
emissions reduction solutions develop. In addition, there is
significant uncertainty about how climate change and the world’s
transition to a net-zero economy will unfold over time and how
and when climate and sustainability-related risks will manifest.
These timeframes are considerably longer than NWB Group’s
historical and current strategic, financial, resilience and
investment planning horizons.
As a result, NWB Group’s assessment of climate and sustainability
impacts, risks, opportunities and other climate and sustainability-
related matters is likely to evolve and its climate and
sustainability-related disclosures may be amended, updated or
restated in the future as the quality and completeness of NWB
Group’s data and methodologies continue to improve.
These data quality challenges, gaps and limitations may also have
a material impact on NWB Group’s ability to make effective
business decisions about climate and sustainability-related
impacts, risks, opportunities and other climate and sustainability-
related matters, including risk management decisions, to comply
with disclosure requirements and to monitor and report progress
in meeting ambitions, targets and pathways all of which may have
an adverse effect on NWB Group.
Climate-related risks are challenging to model due to their
forward-looking nature, the lack of and/or quality of historical
testing capabilities, lack of accuracy, standardisation and
incompleteness of emissions and other climate and sub-sector
related data and the immature nature of risk measurement and
modelling methodologies. As a result, it is very difficult to predict
and model the impact of climate-related risks into precise financial
and economic outcomes. The evaluation of climate-related risk
exposure and the development of associated potential risk
mitigation techniques also largely depend on the choice of climate
scenario modelling methodology and the assumptions made which
involves a number of risks and uncertainties.
Accordingly, these risks and uncertainties coupled with
significantly long timeframes make the outputs of climate-related
risk modelling, climate-related targets (including emission
reduction targets) and pathways, inherently more uncertain than
outputs modelled for traditional financial planning cycles based on
historical financial information.
Capabilities within NWB Group to appropriately assess, model,
report and manage climate and sustainability-related impacts and
risks and the suitability of the assumptions required to model and
manage climate and sustainability-related risks appropriately
continue to develop and mature. Even when those capabilities are
appropriately developed, the high level of uncertainty regarding
any assumptions modelled, the highly subjective nature of risk
measurement and mitigation techniques, incorrect or inadequate
assumptions and judgements and data quality gaps and limitations
may lead to inadequate risk management information and
frameworks, or ineffective business adaptation or mitigation
strategies or regulatory non-compliance.
Any of the above may have a material adverse effect on NWB
Group’s business, future results, financial condition, prospects,
reputation and the price of its securities.
NWB Group is becoming subject to more extensive, and
sophisticated climate and other sustainability-related laws,
regulation and oversight and there is an increasing risk of
regulatory enforcement, investigation and litigation.
NWB Group and its subsidiaries are increasingly becoming subject
to more extensive, and sophisticated sustainability-related laws
and regulations in the UK, EU and the US, including in relation to
mandatory climate and other sustainability reporting and due
diligence, climate transition plan, product labelling and combatting
“greenwashing”.
Compliance with these complex, evolving and often diverging
legal, regulatory and supervisory requirements and voluntary
standards and initiatives is likely to require NWB Group to
implement significant changes to its business models, IT systems,
products, governance, internal controls over financial and non-
financial reporting, disclosure controls and procedures, modelling
capability and risk management systems, which may increase the
cost of doing business, result in higher capital requirements, and
entail additional change risk and increased compliance, regulatory
sanctions, conduct and litigation (including settlements) costs. A
failure by NWB Group or any of its subsidiaries to comply with
these climate and sustainability-related legal, regulatory and
supervisory requirements and standards and meet expectations
of NWB Group’s Value Chain in this respect may result in
investigations and regulatory sanction each of which may have an
adverse effect on NWB Group and the successful implementation
of NatWest Group’s (including NWB Group) strategy relating to
climate and sustainability.
Certain non-UK subsidiaries of NWB Group in the EU and
elsewhere may also be subject to EU, national and other climate
and sustainability laws and regulations which in some cases may
differ. Divergence between UK, EU, US and other climate and
sustainability-related legal, regulatory and supervisory
requirements and their interpretation may increase the cost of
doing business (including increased operating costs) and may
result in regulatory non-compliance and litigation risk.
Failure by NWB Group to comply with these divergent legal,
regulatory and supervisory requirements (if applicable to NWB
Group) may have an adverse effect on NWB Group’s ability to
contribute to the successful implementation of NatWest Group’s
strategy relating to climate change including when contributing to
setting up NatWest Group’s climate ambitions and targets and to
executing NatWest Group’s transition plan and may result in NWB
Group and/or its subsidiaries not meeting investors’ expectations.
Risk factors continued
NWB Group
Annual Report and Accounts 2024
190
Increasing new climate and sustainability-related jurisprudence,
laws and regulations in the UK and other jurisdictions, regulatory
scrutiny, expose financial institutions, including NWB Group, to
face increasing litigation, conduct, enforcement and contract
liability risks related to climate change, nature-related
degradation, human rights violations and other social, governance
and sustainability-related issues. Furthermore, regulatory and
enforcement activity around climate and sustainability initiatives
that promote more extensive sustainability-related requirements
and those that impose divestment and other sanctions against
financial institutions that implement climate and sustainability-
related initiatives is becoming increasingly divergent and
conflicting between jurisdictions, in particular in the United States.
Any failure of NWB Group to develop and implement robust and
effective governance, controls and procedures over climate and
sustainability-related impact assessment, disclosure, reporting and
other communications and sustainability-related claims (including
in relation to NWB Group’s products, services and strategy) and
comply with them in line with applicable legal and regulatory
requirements and expectations, may give rise to increased
complaints, regulatory enforcement (including sanctions),
investigation and litigation and may adversely affect NWB Group’s
regulatory compliance, investor base and reputation.
Furthermore, there is a risk that shareholders, campaign groups,
customers and activist groups could seek to take legal action
against NWB Group for financing or contributing to actual or
perceived harm to the environment or people, climate change,
nature-related degradation and human rights violations, failure to
implement or follow adequate governance procedures and for not
supporting the principles of ‘just transition’ (i.e. maximising the
social benefits of the transition, mitigating the social risks of the
transition, empowering those affected by the change, anticipating
future shifts to address issues up front and mobilising investments
from the public and private sectors).
Any of the above may have a material adverse effect on NWB
Group’s business, future results, financial condition, prospects,
reputation and the price of its securities.
Forward-looking statements
NWB Group
Annual Report and Accounts 2024
191
Cautionary statement regarding forward-looking statements
This document may include forward-looking statements within the meaning of the United States Private Securities Litigation Reform
Act of 1995, such as statements with respect to NWB Group’s financial condition, results of operations and business, including its
strategic priorities, financial, investment and capital targets, and climate and sustainability related targets, commitments and ambitions
described herein. Statements that are not historical facts, including statements about NWB Group’s beliefs and expectations, are
forward-looking statements. Words such as ‘expect’, ‘estimate’, ‘project’, ‘anticipate’, ‘commit’, ‘believe’, ‘should’, ‘intend’, ‘will’, ‘plan’,
‘could’, ‘target’, ‘goal’, ‘objective’, ‘may’, ‘outlook’, ‘prospects’ and similar expressions or variations on these expressions are intended
to identify forward-looking statements. In particular, this document may include forward-looking statements relating, but not limited to:
NWB Group’s economic and political risks, its regulatory capital position and related requirements, its financial position, profitability and
financial performance (including financial, capital, cost savings and operational targets), the implementation of NatWest Group’s
strategy, its climate and sustainability related ambitions and targets, its access to adequate sources of liquidity and funding, its ongoing
compliance with the UK ring-fencing regime and ensuring operational continuity in resolution, its impairment losses and credit
exposures under certain specified scenarios, substantial regulation and oversight, ongoing legal, regulatory and governmental actions
and investigations. Forward-looking statements are subject to a number of risks and uncertainties that might cause actual results and
performance to differ materially from any expected future results or performance expressed or implied by the forward-looking
statements. Factors that could cause or contribute to differences in current expectations include, but are not limited to, future growth
initiatives (including acquisitions, joint ventures and strategic partnerships), the outcome of legal, regulatory and governmental actions
and investigations, the level and extent of future impairments and write-downs, legislative, political, fiscal and regulatory developments,
accounting standards, competitive conditions, technological developments, interest and exchange rate fluctuations, and general
economic and political conditions, exposure to third party risk, operational risk, compliance and conduct risk, cyber, data and IT risk,
financial crime risk, key person risk, credit rating risk, model risk, reputational risk, and the impact of climate related risks and the
transitioning to a net zero economy. These and other factors, risks and uncertainties that may impact any forward-looking statement
or the NWB Group's actual results are discussed in the NWB Plc's 2024 Annual Report and Accounts. The forward-looking statements
contained in this document speak only as of the date of this document and NWB Plc does not assume or undertake any obligation or
responsibility to update any of the forward-looking statements contained in this document, whether as a result of new information,
future events or otherwise, except to the extent legally required.