Natwest Group PLC

Share Issue/Capital Change • Dec 9, 2011

Composition of capital as of 30 September 2011 (CRD3 rules)

Name of the bank:	ROYAL BANK OF SCOTLAND GROUP plc GB088
		September 2011
Capital position CRD3 rules	Million EUR	% RWA	References to COREP reporting
A) Common equity before deductions (Original own funds without hybrid instruments and government support measures other than ordinary shares) (+)	64,231		COREP CA 1.1 - hybrid instruments and government support measures other than ordinary shares
Of which: (+) eligible capital and reserves	83,501		COREP CA 1.1.1 + COREP line 1.1.2.1
Of which: (-) intangibles assets (including goodwill)	-17,013		Net amount included in T1 own funds (COREP line 1.1.5.1)
Of which: (-/+) adjustment to valuation differences in other AFS assets (1)	437		Prudential filters for regulatory capital (COREP line 1.1.2.6.06)
B) Deductions from common equity (Elements deducted from original own funds) (-)	-10,716		COREP CA 1.3.T1* (negative amount)
Of which: (-) deductions of participations and subordinated claims	-350		Total of items as defined by Article 57 (l), (m), (n) (o) and (p) of Directive 2006/48/EC and deducted from original own funds (COREP lines from 1.3.1 to 1.3.5 included in line 1.3.T1*)
Of which: (-) securitisation exposures not included in RWA according with CRD3 (2)	7,027		COREP line 1.3.7 included in line 1.3.T1* (50% securitisation exposures in the banking and trading book subject to 1250% risk weight; Art. 57 (r) of Directive 2006/48/EC)
Of which: (-) IRB provision shortfall and IRB equity expected loss amounts (before tax)	-3,339		As defined by Article 57 (q) of Directive 2006/48/EC (COREP line 1.3.8 included in 1.3.T1*)
C) Common equity (A+B)	53,515	10.54%
Of which: ordinary shares subscribed by government	52,039		Paid up ordinary shares subscribed by government
D) Other Existing government support measures (+)	0
E) Core Tier 1 including existing government support measures (C+D)	53,515	10.54%	Common equity + Existing government support measures included in T1 other than ordinary shares
Shortfall to 9% before application sovereign capital buffer	0	0.00%	9%RWA-Core Tier 1 including existing government support measures; if >0.
F) Hybrid instruments not subscribed by government	11,587		Net amount included in T1 own funds (COREP line 1.1.4.1a + COREP lines from 1.1.2.201 to 1.1.2.205 + COREP line 1.1.5.2a (negative amount)) not subscribed by government
Tier 1 Capital (E+F) (Total original own funds for general solvency purposes)	65,102	12.82%	COREP CA 1.4 = COREP CA 1.1 + COREP CA 1.3.T1* (negative amount)
RWA as of end September 2011 including add-on for CRD3 (2)	507,746
Of which: RWA add-on for CRD III as of end September 2011 (2)	19,304
Sovereign Capital buffer
G) Prudential filter (AFS sovereign assets in EEA as of 30th September 2011) (-/+)	-1,212		Please report the prudential filter as a positive number if the AFS revaluation reserve for sovereign assets is negative. Please report the prudetnial filter as a negative number if the AFS revaluation reserve is positive. If the bank does not apply a prudential filter on AFS sovereign assets, please fill in zero.
H) Difference between the book value and the fair value of sovereign assets (Bonds and Loans and advances) in the HTM and Loans & Receivables portfolios (3).	77		Difference between the book value and the fair value at the reference date. Please provide a positive number if the book value is larger than the fair value of sovereign assets. Please provide a negative number if the book value is smaller than the fair value of the sovereign assets.
Sovereign capital buffer for exposures in EEA (G+H)	0	0.00%	Sum of Prudential filter and valuation. If negative it is set to 0
Overall Shortfall after including sovereign capital buffer	0	0.00%	9%RWA-(Core Tier 1 including existing government support measures-Sovereign capital buffer for exposures in EEA); if >0.
Notes and definitions

(2) According with CRD3 it can include also 50% securitisation exposures in the trading book subject to 1250% risk weight and not included in RWA.

(3) It includes also possible differences between the book value and the fair value of: i) direct sovereign exposures in derivatives; ii) indirect sovereign exposures in the banking and trading book

(1) The amount is already included in the computation of the eligible capital and reserves and it is provided separately for information purposes.

Name of the bank: GB088 ROYAL BANK OF SCOTLAND GROUP plc

		G GROSS DIRECT LONG EXPOSURES (accounting value gross of provisions) (1)	H	I	J	K NET DIRECT POSITIONS to other counterparties only where there is maturity matching) (1)	L (gross of provisions and write-off exposures (long) net of cash short position of sovereign debt	M N O P Q DIRECT SOVEREIGN INDIRECT SOVEREIGN (3) EXPOSURES IN EXPOSURES Memo Item (1) Prudential filter DERIVATIVES (on and off balance sheet) Provisions and AFS sovereign assets write-off on			R Reserve AFS sovereign assets	S Fair value of Cash
Residual Maturity	Country		of which: loans and advances in the HTM and Loans and receivables portfolios		of which: Available for sale financial assets (AFS)	of which: Financial assets designated at fair value through profit or loss (FVO)	of which: Financial assets held for trading(2)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Nominal Value Debt securities in HTM and Loans and Receivables portfolios	Sovereign assets (loans, advances and debt securities) (+)	(including the fair value of Cash flow and fair value hedging contracts) (4) (+/-)	(gross the fair value of Cash flow and fair value hedging contracts) (4) (+/-)	flow and fair value hedging contracts on AFS sovereign assets (4) (+/-)
3M		0	0	0	0	0	0	26	0	0		0	0	0
1Y 2Y		27 15	0 0	23 12	7 2	0 0	16 11	0 35	0 0	0 0		1 0	0 0	0 0
3Y 5Y	Austria	82 72	0 0	25 67	0 0	0 0	25 67	0 825	9 -11	0 0		0 0	0 -3	0 -3
10Y		250	0	137	0	0	137	0	14	0		0	7	-9
15Y Tot		421 866	0 0	381 646	333 342	0 0	48 304	0 886	0 13	0 0	0	36 37	61 65	-89 -102
3M 1Y		10 394	0 261	9 293	0 0	0 0	9 32	10 17	0 0	0 0		0 0	0 0	0 0
2Y		117	0	-30	9	0	-39	3	-1	0		1	0	0
3Y 5Y	Belgium	340 15	0 0	297 -137	0 0	0 0	297 -137	0 291	4 -13	0 0		0 0	0 0	0 0
10Y		729	0	606	524	0	82	0 0	15 0	0 0		62 42	25 38	-54 -115
15Y Tot		460 2,065	0 261	223 1,260	357 890	0 0	-134 110	321	5	0	0	106	63	-170
3M 1Y		0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0		0 0	0 0	0 0
2Y		0	0	0	0	0	0	0 0	0 0	0 0		0 0	0 0	0 0
3Y 5Y	Bulgaria	0 0	0 0	0 0	0 0	0 0	0 0	0	1	0		0	0	0
10Y 15Y		0 0	0 0	0 0	0 0	0 0	0 0	0 0	-1 0	0 0		0 0	0 0	0 0
Tot		0	0	0	0	0	0	0 0	0 0	0 0	0	0 0	0 0	0 0
3M 1Y		0 0	0 0	0 0	0 0	0 0	0 0	0	0	0		0	0	0
2Y 3Y		0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0		0 0	0 0	0 0
5Y	Cyprus	0	0	0	0	0	0	0 0	0 0	0 0		0 0	0 0	0 0
10Y 15Y		0 0	0 0	0 0	0 0	0 0	0 0	0	0	0		0	0	0
Tot 3M		0 167	0 0	0 167	0 9	0 0	0 159	0 0	0 0	0 0	0	0 0	0 0	0 0
1Y		0	0	0	0	0	0	5 0	0 0	0 0		0 0	0 0	0 0
2Y 3Y	Czech Republic	18 2	0 0	18 2	18 0	0 0	0 2	0	0	0		0	0	0
5Y 10Y		23 158	0 0	21 158	23 92	0 0	-3 66	105 0	0 0	0 0		0 1	0 5	0 -6
15Y Tot		3 372	0 0	3 369	3 145	0 0	0 224	0 110	0 0	0 0	0	0 1	0 5	0 -6
3M		405	0	405	0	0	405	0	0	0		0	0	0
1Y 2Y		1,668 10	76 0	1,668 6	499 0	0 0	1,092 6	91 0	0 0	0 0		-2 0	0 0	0 0
3Y 5Y	Denmark	0 0	0 0	0 0	0 0	0 0	0 0	0 11	8 2	0 0		0 0	0 0	0 0
10Y		4	0	4	0	0	4	0	-2	0		0	2	0
15Y Tot		4 2,091	0 76	4 2,087	0 499	0 0	4 1,512	0 102	0 8	0 0	0	0 -2	0 2	0 0
3M 1Y		0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0		0 0	0 0	0 0
2Y		0	0	0	0	0	0	0	0	0		0	0	0
3Y 5Y	Estonia	0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0		0 0	0 0	0 0
10Y 15Y		0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0	0 0		0 0	0 0	0 0
Tot		0	0	0	0	0	0	0	0	0	0	0	0	0
3M 1Y		0 118	0 0	0 113	0 0	0 0	0 113	497 0	0 0	0 0		0 0	0 0	0 0
2Y		71	0	66	0	0	66	0 0	0 0	0 0		0 0	0 0	0 0
3Y 5Y	Finland	5 2	0 0	5 -14	0 0	0 0	5 -14	464	-3	0		0	0	0
10Y 15Y		235 128	10 128	168 112	43 0	0 0	114 -17	0 0	4 0	0 0		0 0	5 0	-5 0
Tot		560	139	450	43	0	268	961 11	1 0	0 0	0	0 -9	5 0	-5 0
3M 1Y		425 8,910	0 0	392 8,829	397 454	0 0	-5 8,375	1	0	0		-10	0	0
2Y 3Y		744 1,849	0 0	-2,881 1,433	441 1,531	0 0	-3,321 -97	18 1	0 0	0 0		-10 -34	7 38	-3 -16
5Y	France	1,363	0	611	718	0	-107	473	36	0		-16	31	-21
10Y 15Y		2,435 1,419	35 496	1,943 512	1,400 373	0 0	508 -357	0 0	0 0	0 0		-31 -8	133 56	-7 -99
Tot		17,145	531	10,840	5,314	0	4,995	504	36	0	0	-118	265	-147

		GROSS DIRECT LONG EXPOSURES (accounting value gross of provisions) (1)			to other counterparties only where there is maturity matching) (1)	NET DIRECT POSITIONS	(gross of provisions and write-off exposures (long) net of cash short position of sovereign debt	DIRECT SOVEREIGN EXPOSURES IN (1) DERIVATIVES	INDIRECT SOVEREIGN (3) EXPOSURES (on and off balance sheet)		Memo Item Prudential filter Provisions and write-off on (including the fair		AFS sovereign assets	Reserve AFS sovereign assets	Fair value of Cash flow and fair value (gross the fair value of
Residual Maturity	Country		of which: loans and advances in the HTM and Loans and receivables portfolios		of which: Available for sale financial assets (AFS)	of which: Financial assets designated at fair value through profit or loss (FVO)	of which: Financial assets held for trading(2)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Nominal Value Debt securities in HTM and Loans and Receivables portfolios	Sovereign assets (loans, advances and debt securities) (+)	value of Cash flow and fair value hedging contracts) (4) (+/-)	Cash flow and fair value hedging contracts) (4) (+/-)	hedging contracts on AFS sovereign assets (4) (+/-)
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Austria Germany	500 2,852 4,160 2,687 3,910 4,387 2,112 20,607	0 0 0 0 0 0 0 0	496 2,666 3,854 2,507 3,204 3,478 1,857 18,062	457 1,050 1,468 1,954 2,973 3,400 1,488 12,790	0 0 0 0 0 0 0 0	39 1,616 2,386 553 231 78 369 5,272	6,388 11 16 46 773 0 0 7,234	0 0 0 0 -20 27 0 7	0 0 0 0 0 0 0 0	0	-18 -42 -58 -77 -118 -135 -59 -507	0 1 13 100 214 328 232 888	0 0 -8 -80 -76 -123 -95 -382
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Greece (5)	0 41 24 98 35 392 239 830	0 8 0 0 0 0 0 8	0 41 19 98 35 392 237 822	0 0 0 0 20 377 216 614	0 0 0 0 0 0 0 0	0 33 19 98 14 14 21 200	0 0 0 0 12 0 0 12	-2 16 65 -6 18 25 0 117	0 0 0 0 0 0 0 0	1,205	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Hungary	20 2 4 4 6 4 0 40	0 0 0 0 0 0 0 0	20 2 5 1 6 -6 0 28	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	20 2 4 2 6 -5 0 29	0 0 0 0 0 0 0 0	-1 -1 0 0 5 5 0 8	0 0 0 0 0 0 0 0	0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Iceland	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Ireland	0 1 1 7 25 185 11 229	0 0 0 5 18 28 11 62	0 1 -4 7 23 157 11 195	0 0 0 0 0 132 0 132	0 0 0 0 0 0 0 0	0 1 -4 2 4 -4 1 0	0 36 0 0 0 0 0 36	0 1 0 5 -44 24 0 -13	0 0 0 0 0 0 0 0	0	0 0 0 0 0 46 0 46	0 0 0 0 0 -24 0 -24	0 0 0 0 0 -22 0 -22
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Italy	115 2,844 215 471 1,026 1,728 440 6,840	0 0 0 0 0 0 0 0	115 1,288 -604 -1,574 366 608 140 339	0 0 0 0 48 840 95 983	0 0 0 0 0 0 0 0	115 1,288 -604 -1,574 318 -232 44 -644	0 0 6 0 118 0 0 124	0 2 -1 -42 -64 149 2 46	0 0 0 0 0 0 0 0	0	0 0 0 0 11 188 21 220	0 0 0 0 0 -32 -17 -50	0 0 0 0 0 -129 -42 -171
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Latvia	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 2 0 1 2 -3 0 1	0 0 0 0 0 0 0 0	0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Liechtenstein	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Lithuania	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 -1	0 0 0 0 0 0 0 0	0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Luxembourg	0 0 0 0 0 0 3 3	0 0 0 0 0 0 0 0	0 0 0 0 0 0 3 3	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 3 3	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0

			GROSS DIRECT LONG EXPOSURES (accounting value gross of provisions) (1)			NET DIRECT POSITIONS to other counterparties only where there is maturity matching) (1)	DIRECT SOVEREIGN (gross of provisions and write-off exposures (long) net of cash short position of sovereign debt EXPOSURES IN DERIVATIVES		INDIRECT SOVEREIGN (3) EXPOSURES (on and off balance sheet)	Memo Item	Provisions and write-off on	Prudential filter AFS sovereign assets	Reserve AFS sovereign assets	Fair value of Cash flow and fair value
Residual Maturity	Country		of which: loans and advances in the HTM and Loans and receivables portfolios		of which: Available for sale financial assets (AFS)	of which: Financial assets designated at fair value through profit or loss (FVO)	of which: Financial assets held for trading(2)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Nominal Value Debt securities in HTM and Loans and Receivables portfolios	Sovereign assets (loans, advances and debt securities) (+)	(including the fair value of Cash flow and fair value hedging contracts) (4) (+/-)	(gross the fair value of Cash flow and fair value hedging contracts) (4) (+/-)	hedging contracts on AFS sovereign assets (4) (+/-)
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Austria Malta	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0
3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Netherlands	28 4,649 468 295 426 1,511 389 7,766	3 2,603 0 0 0 0 0 2,606	28 4,599 455 147 292 1,113 26 6,662	7 1,331 45 150 218 1,134 289 3,173	0 0 0 0 0 0 0 0	19 665 411 -2 75 -21 -262 884	0 0 56 0 123 0 0 179	0 0 0 9 -3 -3 0 3	0 0 0 0 0 0 0 0	0	0 -39 -1 -4 -6 -33 -8 -93	0 0 24 0 17 128 75 244	0 0 -15 0 -18 -47 -69 -150
3M 1Y 2Y 3Y 5Y 10Y 15Y	Norway	0 54 1 0 3 19 0	0 49 0 0 0 0 0	0 52 0 0 2 11 0	0 0 0 0 0 0 0	0 0 0 0 0 0 0	0 3 0 0 2 11 0	2,028 0 5 1 124 0 0	0 0 0 0 -1 0 0	0 0 0 0 0 0 0	0	0 0 0 0 0 0 0	0 0 0 0 0 0 0	0 0 0 0 0 0 0
Tot 3M 1Y 2Y 3Y 5Y 10Y 15Y	Poland	78 0 157 0 16 1 7 6	49 0 42 0 0 0 0 0	66 0 156 -13 6 -12 7 0	0 0 113 0 0 0 0 0	0 0 0 0 0 0 0 0	17 0 1 -13 6 -12 7 0	2,158 0 0 0 0 2 0 0	0 0 0 2 -2 5 -5 0	0 0 0 0 0 0 0 0		0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0
Tot 3M 1Y 2Y 3Y 5Y 10Y 15Y	Portugal	187 64 8 0 0 10 99 26	42 50 0 0 0 0 0 0	144 63 6 -67 -2 -14 22 24	113 0 0 0 0 0 57 19	0 0 0 0 0 0 0 0	-11 13 6 -67 -2 -14 -35 5	2 0 0 1 0 22 0 0	-1 0 -8 32 33 -145 102 0	0 0 0 0 0 0 0 0	0	0 0 0 0 0 0 46 15	0 0 0 0 0 0 -30 -13	0 0 0 0 0 0 -12 -7
Tot 3M 1Y 2Y 3Y 5Y 10Y 15Y	Romania	207 125 123 10 58 16 30 0	50 0 3 0 5 0 27 0	31 125 123 10 58 15 30 0	76 121 104 9 25 11 2 0	0 0 0 0 0 0 0 0	-95 5 17 1 28 4 2 0	24 0 0 0 0 0 0 0	15 0 1 -2 -1 1 -3 0	0 0 0 0 0 0 0 0	0	62 0 0 0 0 0 0 0	-43 0 0 0 0 0 0 0	-18 0 0 0 0 0 0 0
Tot 3M 1Y 2Y 3Y 5Y 10Y 15Y	Slovakia	363 0 0 0 0 0 21 0	34 0 0 0 0 0 0 0	362 0 0 0 -3 -3 19 0	272 0 0 0 0 0 21 0	0 0 0 0 0 0 0 0	55 0 0 0 -3 -3 -2 0	0 0 2 18 30 0 0 0	-3 0 0 0 0 1 1 0	0 0 0 0 0 0 0 0	0	0 0 0 0 0 0 2 0	0 0 0 0 0 0 1 0	0 0 0 0 0 0 -2 0
Tot 3M 1Y 2Y 3Y 5Y 10Y 15Y	Slovenia	21 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	13 0 0 0 0 0 0 0	21 0 0 0 0 0 0 0	0 0 0 0 0 0 0 0	-8 0 0 0 0 0 0 0	50 0 0 0 0 0 0 0	1 0 0 0 -1 0 0 0	0 0 0 0 0 0 0 0	0	2 0 0 0 0 0 0 0	1 0 0 0 0 0 0 0	-2 0 0 0 0 0 0 0
Tot 3M 1Y 2Y 3Y 5Y 10Y	Spain	0 146 328 37 26 102 340	0 0 11 0 0 0 0	0 146 244 -126 -278 -435 116	0 44 0 0 0 0 49	0 0 0 0 0 0 0	0 102 233 -126 -278 -435 67	0 0 0 0 0 53 0 0	-1 0 2 -6 -21 -39 85 0	0 0 0 0 0 0 0 0	0	0 5 0 0 0 0 6 0	0 0 0 0 0 -5 0 0	0 0 0 0 0 -6 0 0
15Y Tot 3M 1Y 2Y 3Y 5Y 10Y 15Y Tot	Sweden	122 1,101 88 1 104 163 128 149 293 926	0 11 88 0 0 0 0 68 185 341	-32 -365 88 -36 95 150 -20 71 257 605	0 94 0 0 0 0 46 0 0 46	0 0 0 0 0 0 0 0 0 0	-32 -470 0 -36 95 150 -66 3 72 219	53 94 0 33 3 83 0 0 212	21 0 0 0 7 0 -4 0 4	0 0 0 0 0 0 0 0 0	0 0	11 0 0 0 0 0 0 0 0	-5 0 0 0 0 0 0 0 0	-6 0 0 0 0 0 0 0 0

		GROSS DIRECT LONG EXPOSURES (accounting value gross of provisions) (1)			NET DIRECT POSITIONS (gross of provisions and write-off exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching) (1)		DIRECT SOVEREIGN EXPOSURES IN (1) DERIVATIVES	INDIRECT SOVEREIGN (3) EXPOSURES (on and off balance sheet)	Memo Item	Provisions and write-off on	Prudential filter AFS sovereign assets	Reserve AFS sovereign assets	Fair value of Cash flow and fair value
Residual Maturity	Country		of which: loans and advances in the HTM and Loans and receivables portfolios		of which: Available for sale financial assets (AFS)	of which: Financial assets designated at fair value through profit or loss (FVO)	of which: Financial assets held for trading(2)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Nominal Value Debt securities in HTM and Loans and Receivables portfolios	Sovereign assets (loans, advances and debt securities) (+)	(including the fair value of Cash flow and fair value hedging contracts) (4) (+/-)	(gross the fair value of Cash flow and fair value hedging contracts) (4) (+/-)	hedging contracts on AFS sovereign assets (4) (+/-)
3M		3,664	2,595	3,423	976	0	-147	20,000	0	0		-62	0	0
1Y		559	7	461	0	0	454	76	0	0		0	0	0
2Y		954	3	648	217	0	428	0	0	0		-14	0	0
3Y		767	5	656	542	0	109	7	0	0		-34	0	0
5Y	Austria United Kingdom	3,640	6	3,135	2,701	0	428	34	0	0		-171	49	0
10Y		7,780	13	7,362	6,387	0	962	0	0	0		-405	585	-35
15Y		12,134	1,760	10,472	4,555	0	4,158	0	0	0		-289	620	-244
Tot		29,498	4,387	26,157	15,379	0	6,390	20,117	0	0	0	-976	1,254	-279
	TOTAL EEA 30	91,795	8,597	68,774	40,925	0	19,253	33,087	269	0	1,205	-1,212	2,671	-1,458

(3) The exposures reported include the positions towards counterparts (other than sovereign) on sovereign credit risk (i.e. CDS, financial guarantees) booked in all the accounting portfolio (on-off balance sheet). Irrespective of the denomination and or accounting classification of the positions the economic substance over the form must be used as a criteria for the identification of the exposures to be included in this column. This item does not include exposures to counterparts (other than sovereign) with full or partial government guarantees by central, regional and local governments

(4) According with CEBS Guidelines on prudential filters it is required a consistent treatment of gains and losses resulting from a transaction whereby a cash flow hedge is created for an available for sale instrument: i.e. if the gains on the hedged item are recognised in additional own funds, so should the results of the corresponding cash flow hedging derivative. Moreover if fair-value hedging contracts on sovereign assets are taken in consideration for the computation of the prudential filters (before their removal), the FV of such contracts must be reported in the column AB.

(5) Please report gross and net direct positions before eventual write-off (PSI); in the column provisions must be included eventual write-off (PSI).

Notes and definitions

(1) The exposures reported cover only exposures to central, regional and local governments on immediate borrower basis, and do not include exposures to other counterparts with full or partial government guarantees (2) The banks disclose the exposures in the "Financial assets held for trading" portfolio after offsetting the cash short positions having the same maturities.

Composition of RWA as of 30 September 2011

Name of the bank:	GB088	ROYAL BANK OF SCOTLAND GROUP plc

(in million Euro)

	Rules at the end of September	CRD 3 rules
Total RWA (1)	488,442	507,746
RWA for credit risk	381,221	387,248
RWA Securitisation and re-securitisations	11,229	14,823
RWA Other credit risk	369,992	372,425
RWA for market risk	63,464	76,741
RWA operational risk	43,757	43,757
Transitional floors (2)	-	-
RWA Other	-	-

option 1

Notes and definitions

(1) The RWA calculated according to CRD III can be based on models that have not yet been approved by the National Supervisory Authority.

(2) All IRB/AMA banks in the exercise have applied transitional floor which assess the impact 80% of the Basel 1 requirements. However, wide divergences in national approaches to the floors means that two main approaches have been identified as set out in the methodological note. The transitional floor has been applied according to the following approach:

Name of the bank: GB088 ROYAL BANK OF SCOTLAND GROUP plc

	Credit default swaps (CDS) and other contracts (1)
	Bank is protection seller	Bank is protection buyer
Country (2)	Notional amount	Notional amounts
	outstanding	outstanding
	(3)	(3)
Austria	1,485	1,473
Belgium	1,397	1,479
Bulgaria	355	361
Cyprus	-	-
Czech Republic	139	185
Denmark	578	601
Estonia	4	4
Finland	428	351
France	3,352	4,120
Germany	2,803	2,827
Greece	3,152	3,375
Hungary	1,737	1,769
Iceland	132	147
Ireland	2,303	2,242
Italy	14,005	13,735
Latvia	175	179
Liechtenstein	-	-
Lithuania	98	99
Luxembourg	-	-
Malta	-	-
Netherlands	1,100	1,088
Norway	343	346
Poland	967	1,028
Portugal	3,581	3,494
Romania	662	635
Slovakia	239	233
Slovenia	84	89
Spain	5,905	5,917
Sweden	603	644
United Kingdom	63	63

CDS and other contract Sovereign exposures (central, regional and local governments) in EEA towards other counterparties, as of 30 September 2011, mln EUR

(1) It includes credit derivatives and other credit risk transfer contracts/instruments that irrespective of the denomination respresent indirect exposures

(as protection seller/buyer) on sovereign risk (reference entity)

(2) The country identifies the reference entity single name of the CDS and other contracts.

(3) Notional amounts outstanding: Nominal or notional amounts outstanding are defined as the gross nominal or notional value of all contracts concluded and not yet settled on the reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts at the time of reporting.