Natwest Group Plc · LSE:NWG

Natwest — The Royal Bank of Scotland Group — Investor Presentation (April 2009)

18 slides from Natwest's investor presentation, Apr 16, 2009

1. Slide 1: Pillar 3 Disclosure - Full Year 2008

   The Royal Bank of Scotland Group Pillar 3 Disclosure - Full Year 2008 16 April 2009

2. Slide 2: Introduction

   Introduction „ Background „ Scope & basis of disclosure „ Selected Tables „ Q&A Slide 2

3. Slide 3: Background - Presenters

   Background - Presenters „ Jonathan Gray (Head of Policy & Advisory, Group Regulatory & Operational Risk) – Responsible for the Group level relationship with the regulatory bodies „ Gavin Smyth (Head of Risk Business Improvement & Change) – Pillar 3 programme manager „ Chantal Geall (Deputy Group Chi

4. Slide 4: Scope - Basel II

   Scope - Basel II Pillar 1 – Minimum Capital Requirements 8 Requires RWAs to be calculated for credit operational and market risk 8 Separate operational risk charge from 8 Various approaches with differing levels credit risk of sophistication 8 Make capital requirements more sensitive to the risk tak

5. Slide 5: RBS Basel II Approaches

   RBS Basel II Approaches Pillar 1 Pillar 2 Basel II - AIRB Basel II - TSA Basel II - STD IRRBB Basel II - STD Basel II - VaR Key Basel I Credit Risk Operational Risk Market Risk Pillar 2 Risk Slide 5

6. Slide 6: Structure of Pillar 3 Disclosure

   Structure of Pillar 3 Disclosure Capital Capital Resources Adequacy Credit Risk: Market Operational Past Due & Interest Rate IRB Risk Risk Impaired Risk Banking Credit Risk: Non-trading Standardised Book Equities Credit Risk Mitigation Counterparty Credit Risk Securitisation Slide 6

7. Slide 7: Basis of Disclosure

   Basis of Disclosure „ Consistency with 2008 Report & Accounts – Regulatory consolidation – Definition of exposure – Disclosure varies by Basel II approach „ Comparability with other banks – Varied international implementation of Basel II Accord – Inconsistent reporting definitions – Varied scope of

8. Slide 8: Selected Tables

   Selected Tables

9. Slide 9: Credit Risk RWAs & Minimum Capital Requirements

   Credit Risk RWAs & Minimum Capital Requirements 31 December 2008 Credit RWAs Minimum capital Credit Risk Approach post CRM requirement £m £m Advanced IRB 237,578 19,006 Standardised 107,596 8,609 Counterparty credit risk 61,087 4,887 406,261 32,502 ABN AMRO – Basel I 206,217 16,497 612,478 48,999 „

10. Slide 10: Credit Risk Exposure by Approach

    Credit Risk Exposure by Approach Exposure Exposure Credit Risk Approach (excl CCR) (incl CCR) £m £m Advanced IRB 643,919 42% 863,341 56% Standardised 161,477 11% 166,041 11% Counterparty credit risk 223,986 14% ABN AMRO – Basel I 505,079 33% 505,079 33% 1,534,461 100% 1,534,461 100% „ Including coun

11. Slide 11: Credit Risk IRB Exposures

    Credit Risk IRB Exposures 31 December 2008 Credit RWAs post CRM Minimum capital requirement IRB exposure class and sub-class £m £m Central governments and central banks 576 46 Institutions 3,717 297 Corporates 153,287 12,263 Retail 57,907 4,632 Retail SME 14,837 1,187 Retail secured by real estate c

12. Slide 12: Credit Risk IRB Exposures by AQ band

    Credit Risk IRB Exposures by AQ band 31 December 2009 Exposure Exposure Undrawn Undrawn Central governments and central EAD post CRM weighted weighted commitments weighted banks by asset quality band £m average risk- average LGD £m average CCF weight AQ1 69,984 6.3% 0.6% 14,636 17.5% AQ2 49 38.0% 39

13. Slide 13: IRB Expected Loss vs. Actual Loss 2008

    Credit Risk IRB Expected Loss vs. Actual Loss 2008 Expected loss as at 31 Impairment charge for IRB exposure class Dec 2007 year ended 31 Dec 08 £m £m Central governments and central banks 5 - Institutions 40 81 Corporates 2,470 2,307 Retail SME 993 142 Retail secured by real estate collateral 158 5

14. Slide 14: IRB Actual vs. Predicted Defaults for 2008

    Credit Risk IRB Actual vs. Predicted Defaults for 2008 Probability of default Actual defaults for year IRB exposure class as at 31 Dec 2007 ended 31 Dec 08 % % Central governments and central banks 0.83 - Institutions 1.04 0.23 Corporates 1.72 2.70 Retail SME 3.78 4.37 Retail secured by real estate

15. Slide 15: Credit Risk Standardised Exposures

    Credit Risk Standardised Exposures 31st December 2008 Credit RWAs post CRM Minimum capital Standardised exposure class £m requirement £m Central governments and central banks 1 - Regional governments and local authorities 21 2 Administrative bodies and non-commercial undertakings 97 8 Multilateral d

16. Slide 16: Market Risk Minimum Capital Requirements

    Market Risk Minimum Capital Requirements Market risk: trading book & other business minimum capital 31 December 2008 requirement £m Trading book business – interest rate position risk requirement 145 Business activities – commodity position risk requirement 3 Total (standard method) 148 Capital requ

17. Slide 17: Significant Subsidiaries

    Significant Subsidiaries 31st December 2008 RBS NatWest Ulster Bank Minimum capital requirements - ABN AMRO Citizens Consolidated Consolidated Group Risk Type £m £m £m £m £m Credit risk 33,188 8,042 2,218 16,497 5,818 Market risk 2,418 261 8 1,299 - Operational risk 2,932 1,197 145 - 418 38,538 9,50

18. Slide 18: Questions?

    Questions?

The Royal Bank of Scotland Group — Investor Presentation (April 2009) on 6ix