The Royal Bank of Scotland Group Plc 22 May 2020 Update Post 1Q Results

FINANCIAL INSTITUTIONS

CREDIT OPINION The Royal Bank of Scotland Group plc 22 May 2020 Update post 1Q results

Update Summary Rating Rationale The long-term senior unsecured debt rating of The Royal Bank of Scotland Group plc (RBSG) is Baa2 with a positive outlook.

RBSG's baa2 Baseline Credit Assessment (BCA) is driven by: (1) its strong capital position, which is higher than that of its peers and above its own target; (2) strong retail and corporate RATINGS franchises which mitigate ongoing pressures on revenue and credit impairments due

Domicile Edinburgh, United to Corponavirus-led weak economic environment; (3) its improved risk framework and Kingdom governance; and 4) its exposure to more volatile, complex and loss-making capital markets Long Term CRR Not Assigned activities. Long Term Debt Baa2 Type Senior Unsecured - Fgn RBSG is the ultimate parent and holding company of the ring-fenced operating company Curr Outlook Positive National Westminster Bank plc (NatWest Bank; baa1; A2 positive) and of the non-ring- Long Term Deposit Not Assigned fenced operating company NatWest Markets Plc (NatWest Markets, formerly RBS plc; ba2; Baa2 positive). Please see the ratings section at the end of this report for more information. The ratings and outlook shown Exhibit 1 reflect information as of the publication date. Rating Scorecard - Key Financial Ratios1

RBSG (BCA: baa2) Median baa2-rated banks 25% 45% Contacts 40% 20% 35% Alessandro Roccati +44.20.7772.1603 Liquidity Factors 30% Senior Vice President 15% 25% [email protected] 20% 10% Laurie Mayers +44.20.7772.5582 15% Solvency Factors Solvency Associate Managing Director 5% 10% 5% [email protected] 2.8% 21.3% 23.7% 38.3% 0% 0.4% 0% Nick Hill +33.1.5330.1029 Asset Risk: Capital: Profitability: Funding Structure: Liquid Resources: Problem Loans/ Tangible Common Net Income/ Market Funds/ Liquid Banking MD-Banking Gross Loans Equity/Risk-Weighted Tangible Assets Tangible Banking Assets/Tangible [email protected] Assets Assets Banking Assets Solvency Factors (LHS) Liquidity Factors (RHS) Maxwell Price +44.20.7772.1778 Source: Moody's Banking Financial Metrics Associate Analyst [email protected]

CLIENT SERVICES Americas 1-212-553-1653 Asia Pacific 852-3551-3077 Japan 81-3-5408-4100 EMEA 44-20-7772-5454 MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Credit Strengths » High capitalization

» Strong franchises in UK retail and commercial banking

» Sound funding and liquidity

Credit Challenges » Credit risk converging towards peers. Market activities downsizing but loss-making

» Profitability hampered by current negative economic environment and ongoing restructuring costs

Rating Outlook RBSG’s senior unsecured debt ratings carry a positive outlook, incorporating our view that during the next eighteen months the group will largely complete its complex multi-year restructuring exercise and will generate more stable and sustainable earnings.

The rapid and widening spread of the coronavirus outbreak, deteriorating global economic outlook, falling oil prices, and asset price declines are creating a severe and extensive credit shock across many sectors, regions and markets. The banking sector has been one of the sectors affected by the shock given the expected impact on asset quality and profitability. Although the initial shock from the coronavirus has been similar across countries, economic outcomes will differ because of different capacities to withstand the shock. The overall risks to our baseline forecasts2 for all countries are skewed to the downside. Factors that Could Lead to an Upgrade » RBSG’s BCA and ratings could be upgraded If the firm were to return to sustainable profitability in line with that of its higher-rated peers, continue to generate capital organically and substantially complete its multi-year restructuring exercise. The ratings could also be upgraded as a result of a sizeable increase in the outstanding liabilities that could be bailed in, resulting in a lower loss- given-failure for senior creditors.

Factors that Could Lead to a Downgrade » RBSG’s BCA and ratings could be downgraded if the group's restructuring and de-risking strategy fails to deliver further improvements in its credit fundamentals or with a significant deterioration in the operating environment beyond our base case expectations. The ratings could also be downgraded as a result of a sizeable reduction in the outstanding liabilities that could be bailed in, resulting in a higher loss-given-failure for senior creditors.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history.

2 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Key indicators

Exhibit 2 The Royal Bank of Scotland Group plc (Consolidated Financials) [1]

12-192 12-182 12-172 12-162 12-152 CAGR/Avg.3 Total Assets (GBP Billion) 564.4 554.3 571.4 552.2 547.3 0.84 Total Assets (USD Billion) 747.6 706.0 773.0 682.3 806.6 (1.9)4 Tangible Common Equity (GBP Billion) 38.1 40.2 40.0 38.7 43.3 (3.1)4 Tangible Common Equity (USD Billion) 50.5 51.1 54.1 47.8 63.8 (5.7)4 Problem Loans / Gross Loans (%) 2.1 2.6 3.6 3.3 4.1 3.15 Tangible Common Equity / Risk Weighted Assets (%) 21.3 21.3 19.9 17.0 17.8 19.56 Problem Loans / (Tangible Common Equity + Loan Loss Reserve) (%) 15.7 18.6 25.8 23.9 24.1 21.65 Net Interest Margin (%) 1.4 1.4 1.5 1.3 1.4 1.45 PPI / Average RWA (%) 1.3 1.5 0.9 -2.5 -0.8 0.16 Net Income / Tangible Assets (%) 0.8 0.0 0.4 0.0 -0.3 0.25 Cost / Income Ratio (%) 79.8 75.9 84.6 158.2 122.1 104.15 Market Funds / Tangible Banking Assets (%) 23.7 23.8 24.0 21.6 21.3 22.95 Liquid Banking Assets / Tangible Banking Assets (%) 38.3 39.3 40.4 36.0 38.5 38.55 Gross Loans / Due to Customers (%) 87.1 87.4 87.9 91.0 89.2 88.55 [1]All figures and ratios are adjusted using Moody's standard adjustments. [2]Basel III - fully loaded or transitional phase-in; IFRS. [3]May include rounding differences because of the scale of reported amounts. [4]Compound annual growth rate (%) based on the periods for the latest accounting regime. [5]Simple average of periods for the latest accounting regime. [6]Simple average of Basel III periods. Sources: Moody's Investors Service and company filings

Profile Strong franchises in retail and commercial banking

RBSG maintains a leading position in the UK financial services market, where it mainly operates under the NatWest, RBS and Ulster brands. The group also has a relatively small but profitable UK-based wealth management business (Coutts, unrated). Retail and commercial activities continue to provide good underlying “shock absorbers” against the potential earnings volatility stemming from the bank's capital markets activities, restructuring costs and operational risk and costs.

RBSG has made substantial progress in its restructuring plan, including: the de-risking of its balance sheet and the reduction of non-core assets; improving its core Personal and Business Banking and Commercial and Private Banking businesses in the UK and in Ireland. However, the group will further downsize and refocus its capital markets business: its subsidiary NatWest Markets will provide a simplified product suite (it will continue to provide currencies, rates and financing activities and substantially reduce the capital allocated to institutional rates) and will focus on corporate clients as compared to its current focus on institutional clients. If successfully executed, the plan will improve NatWest Markets’ credit profile by returning it to modest levels of profitability and reducing its reliance on institutional client revenues. However, execution risk is elevated, and we expect NatWest Markets to report net losses in 2020-22.

RBSG's operations are heavily influenced by the operating environment in the UK (UK, Aa2 negative) and its Macro Profile is currently Strong+. Banks in the United Kingdom (UK, Aa2 negative) operate in a large, flexible and competitive economy with high levels of wealth. We believe that operating conditions for UK banks will deteriorate over the next 12-18 months, driven by an uncertain economic backdrop due to the coronavirus, as well as the UK's preparation to leave the European Union (Aaa stable).

RBSG recently announced that the group would be renamed NatWest Group plc later in 2020.

3 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Detailed Credit Considerations Numbers quoted reflect 1Q 2020 results.

Credit risk converging towards peers. Market activities downsizing but loss-making

RBSG's credit quality has materially improved as a result of a reduction in problem loans and the disposal of non-core assets, but remains slightly below its large domestic peers. IFRS 9 Stage 3 customer loans as a proportion of gross loans were 1.9% at 31 December 2019, compared with 2.6% as at 31 December 2018.

Litigation and legacy risks have also receded, and RBSG has now settled all major outstanding litigation. The August 2018 settlement with the Department of Justice (DoJ) removed tail risk related to the substantial RMBS litigation. The group had £1.2 billion of outstanding provisions to cover residual Payment Protection Insurance (PPI) mis-selling risk at end-2019, of which £100 million was released during Q1 2020. These achievements will allow RBSG’s management to focus more closely on completing the planned restructuring of the bank. This will benefit bondholders if it is substantially achieved.

RBSG retains a decreased but still large presence in capital markets through NatWest Markets: the NatWest Markets division had £39 billion of RWAs at end-March 2020, around 20% of the group total: according to plan, NatWest Markets’ RWAs will decrease to £20 billion (around 10% of the group total) and its CET1 capital will decrease by around £3 billion to £3 billion over the medium term. Our one-notch negative adjustment for “opacity and complexity” reflects the risks and high volatility inherent in RBSG’s capital markets activities, as well as the complexity of the group’s multi-year restructuring program.

Our assigned Asset Risk score of baa2 reflects both the improvement RBSG has achieved in credit quality and significantly decreased tail risk from litigation and conduct risks.

High capitalization

RBSG has one of the highest capital ratios among domestic and international peers, with a CET1 ratio of 16.6% at end-March 2020, well in excess of the required maximum distributable amount (MDA) requirement of 9.0%, (4.5% plus a 1.9% Pillar 2A add-on, conservation buffer of 2.5%; the countercyclical capital buffer requirement is now zero). Our Tangible Common Equity / Risk Weighted Assets ratio of 21.3% includes high-trigger Additional Tier 1 (AT1) instruments.

We expect the group's CET1 regulatory capital ratio to decrease in 2020 but to remain well above the group’s new target CET1 ratio of c.13-14% over the medium term: modest organic capital generation in 2019 and 2020 will be more than offset by capital consumption due to substantial RWA growth, and further pension contributions.

RBSG reported a CRR leverage ratio of 5.1% and a UK leverage ratio of 5.8% at end-March 2020, which is well above the UK Prudential Regulation Authority's current 3.25% requirement.

Exhibit 3 Capital position remains strong RBSG’s CET1 ratio (end-point) and Basel III leverage ratio

CET1 ratio Leverage ratio £1.1 bn RMBS charge 20% £2.0 bn pension charge 18% 16.7% 16.6% 16.4% 16.1% 16.2% 16.2% 16.0% 16.2% 15.5% 15.9% 15.7% 16%

14%

12%

10%

8% 5.8% 5.3% 5.3% 5.4% 5.4% 5.4% 6% 5.2% 5.2% 5.2% 5.0% 5.1%

0% Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Source: RBS’s quarterly Interim Management Statements, Moody's

4 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

The firm expects its minimum requirement for own funds and eligible liabilities (MREL) to be around 26.1% of RWAs (including capital buffers) on 1 January 2022 (“the end-state”) based on illustrative £200 billion RWAs.

We assign a capital score of a1, reflecting the strong capital position of the group, mitigated by our view that RBSG's ability to issue capital as a regular course-of-business action, is somewhat constrained by the UK government's (Aa2 negative) majority stake, following the state bail-out of the bank in October 2008.

Profitability hampered by current negative economic environment and ongoing restructuring costs

Q1 2020 group net attributable profit was £288 million compared with an attributable profit of £707 million for the same period the prior year. The RoTE was 3.6%. Revenue decreased 4% to £3.2 billion, driven by a lower net interest margin (NIM) of 1.89% due to narrowing mortgage and lending spreads. Total operating costs decreased moderately to £1.8 billion, helped by lower litigation and conduct charges. The reported cost to income ratio was 58%.

NatWest Markets' reported a profit before tax of £206 million, compared with a loss of £62 million in the prior year quarter, driven by higher income in the Rates business within capital markets and £155 million gain from own credit adjustments. Operating expenses were flat at £342 million.

We expect weak profitability in 2020, due to a sharp increase in credit impairments and lower revenue related to the coronavirus environment; we anticipate profitability will partially recover in 2021, provided economies rebound, as the coronavirus pandemic fades.

The group is affected by Brexit, being one of the largest UK domestic banks. Our ratings incorporate the expectation of a “soft Brexit” (the exit of the UK from the EU with a negotiated agreement). We view that a “hard Brexit” (were no agreement to be reached by the end of December) will result in a weaker growth outlook for the UK. The Coronavirus crisis will likely result in an even weaker operating environment with lower economic growth and higher unemployment, resulting into lower revenue and higher credit costs, which will translate into lower profitability than was previously expected

We assign a ba1 score for Profitability, reflecting the effect on profitability of ongoing macroeconomic pressures and restructuring charges.

Funding and liquidity are sound

We assign a combined liquidity score of a3 to RBSG. This reflects both the banks confidence-sensitive wholesale funding requirement to service their ongoing capital market activities and high levels of liquidity maintained at the group, mitigating short term funding risks and Brexit uncertainty.

RBSG's exposure to wholesale funding is moderate: its loans / deposit ratio was 91% at end-March 2020 and the stock of wholesale funding was £86 billion in the same period, of which £32 billion is short-term (including long term debt with less than 12 months maturity). At end-March 2020, RBSG reported a Basel 3 Net Stable Funding Ratio (NSFR) of 138%.

The group's liquidity is sound: the liquidity buffer of £201 billion at end-March 2020, well in excess of the £86 billion wholesale funds, indicating a much stronger liquidity position than many of its European peers. At end-March 2020, RBSG reported a Liquidity Coverage Ratio (LCR) of 152%.

Environmental, social and governance considerations The global banking sector has been classified as “Low” risk in our environmental (E) risk heatmap3 and as “Moderate” risk in our social (S) risk heatmap4.

Environmental risks exposure is low for RBSG, in line with our general view for the banking sector. RBSG is exposed to some high- carbon emission sectors, which are prone to environmental risks. However, as part of their full year 2019 results, RBSG stated they intend to stop lending and underwriting to major oil & gas producers, unless they have a credible transition plan in place by the end of 2021 which is in alignment with the 2015 Paris Agreement. In 2019 power and oil & gas amounted to c.1% of the group's lending exposures. However, RBSG's exposures are well-diversified geographically and on an single name basis. We consider that such risk exposure is unlikely to translate into a meaningful credit impact in the outlook horizon.

5 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Social risk is moderate for RBSG, including considerations in relation to the coronavirus outbreak, given the substantial implications for public health and safety and deteriorating global economic outlook, creating a severe and extensive credit shock across many sectors, regions and markets. The firm, like other UK banks, is regularly subject to investigations by the UK Financial Conduct Authority (FCA) on customer protection and fair treatment. Since the financial crisis, RBSG has made around £6.2 billion in provisions for costs and customer redress related to the mis-selling of Payment Protection Insurance (PPI). Investigations represent significant reputational risk for banks.

Governance5 is highly relevant to RBSG, as it is to all banks. Corporate governance weaknesses can lead to a deterioration in a bank’s credit quality, while governance strengths can benefit its credit profile. Governance risks are largely internal rather than externally driven. The bank’s risk and control infrastructure is adequate and has not shown any shortfalls in recent years. Nonetheless, corporate governance remains a key credit consideration and requires ongoing monitoring. Notching Considerations Loss Given Failure We apply our advanced Loss Given Failure (LGF) analysis to RBSG because it is domiciled in the UK, which we consider as an operational resolution regime. Our standard assumptions include: (1) residual tangible common equity at failure of 3% of tangible banking assets; (2) losses post-failure of 8% of tangible banking assets; (3) junior wholesale deposits accounting for 26% of the bank's total deposit book; (4) a 25% run-off in junior wholesale deposits; (5) a 5% run-off in preferred deposits; and (6) a 25% probability of deposits being preferred to senior unsecured debt. Our tangible banking assets (TBAs) exclude Ulster Bank Ireland DAC's (A2 senior debt rating; ba1 BCA) assets as the entitty is based outside the UK.

Our advanced LGF analysis shows a moderate loss-given-failure for senior unsecured debt (which we consider structurally subordinated to operating companies' senior debt), resulting from the combination of its own volume and the amount of debt subordinated to it; this results in a preliminary rating assessment in line with the notional BCA of baa2. Our advanced LGF analysis shows a high level loss-given-failure for junior securities, given the small volume of debt and limited protection from more subordinated instruments and residual equity. We also incorporate additional notching for junior subordinated and preference share instruments reflecting coupon suspension risk ahead of failure.

Government Support For RBSG's Baa2 senior unsecured debt ratings, we consider the probability of government support from the UK government (Aa2 stable) to be low and therefore we do not include uplift for government support. This is because such support, if needed, would likely only be provided to the operating entities, in order to enable them to maintain critical functions and mitigate risks to financial stability from their failure.

6 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Rating methodology and scorecard factors

Exhibit 4 The Royal Bank of Scotland Group plc Macro Factors Weighted Macro Profile Strong + 100%

Factor Historic Initial Expected Assigned Score Key driver #1 Key driver #2 Ratio Score Trend Solvency Asset Risk Problem Loans / Gross Loans 2.8% a2 ←→ baa2 Operational risk Expected trend Capital Tangible Common Equity / Risk Weighted Assets 21.3% aa1 ←→ a1 Access to capital Expected trend (Basel III - fully loaded) Profitability Net Income / Tangible Assets 0.4% ba1 ←→ ba1 Expected trend Combined Solvency Score a2 baa1 Liquidity Funding Structure Market Funds / Tangible Banking Assets 23.7% baa1 ←→ baa1 Term structure Expected trend Liquid Resources Liquid Banking Assets / Tangible Banking Assets 38.3% a1 ←→ a1 Stock of liquid assets Combined Liquidity Score a3 a3 Financial Profile baa1 Qualitative Adjustments Adjustment Business Diversification 0 Opacity and Complexity -1 Corporate Behavior 0 Total Qualitative Adjustments -1 Sovereign or Affiliate constraint Aa2 BCA Scorecard-indicated Outcome - Range baa1 - baa3 Assigned BCA baa2 Affiliate Support notching 0 Adjusted BCA baa2

Balance Sheet is not applicable.

7 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Debt Class De Jure waterfall De Facto waterfall Notching LGF Assigned AdditionalPreliminary Instrument Sub- Instrument Sub- De Jure De Facto Notching LGF Notching Rating volume + ordination volume + ordination Guidance notching Assessment subordination subordination vs. Adjusted BCA Senior unsecured holding company debt ------0 0 baa2 Dated subordinated holding company ------1 0 baa3 debt Junior subordinated holding company ------1 -1 ba1 debt Holding company cumulative preference ------1 -2 ba2 shares Holding company non-cumulative ------1 -2 ba2 preference shares

Instrument Class Loss Given Additional Preliminary Rating Government Local Currency Foreign Failure notching notching Assessment Support notching Rating Currency Rating Senior unsecured holding company debt 0 0 baa2 0 Baa2 Baa2 Dated subordinated holding company -1 0 baa3 0 Baa3 Baa3 debt Junior subordinated holding company -1 -1 ba1 0 (P)Ba1 Ba1 (hyb) debt Holding company cumulative preference -1 -2 ba2 0 (P)Ba2 shares Holding company non-cumulative -1 -2 ba2 0 Ba2 (hyb) Ba2 (hyb) preference shares [1] Where dashes are shown for a particular factor (or sub-factor), the score is based on non-public information. Source: Moody’s Investors Service

8 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Ratings

Exhibit 5 Category Moody's Rating THE ROYAL BANK OF SCOTLAND GROUP PLC Outlook Positive Baseline Credit Assessment baa2 Adjusted Baseline Credit Assessment baa2 Senior Unsecured Baa2 Subordinate Baa3 Jr Subordinate Ba1 (hyb) Pref. Stock Non-cumulative Ba2 (hyb) Pref. Shelf Non-cumulative (P)Ba2 Commercial Paper P-2 Other Short Term (P)P-2 NATWEST MARKETS PLC Outlook Positive Counterparty Risk Rating A3/P-2 Bank Deposits Baa2/P-2 Baseline Credit Assessment ba2 Adjusted Baseline Credit Assessment ba1 Counterparty Risk Assessment A3(cr)/P-2(cr) Senior Unsecured Baa2 Subordinate Ba3 Jr Subordinate -Dom Curr Ba3 (hyb) Commercial Paper P-2 Other Short Term (P)P-2 THE ROYAL BANK OF SCOTLAND INTERNATIONAL LTD Outlook Positive Counterparty Risk Rating A3/P-2 Bank Deposits Baa1/P-2 Baseline Credit Assessment baa1 Adjusted Baseline Credit Assessment baa1 Counterparty Risk Assessment A3(cr)/P-2(cr) Issuer Rating Baa1 Commercial Paper P-2 Source: Moody's Investors Service

9 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Endnotes 1 Scorecard ratios are derived as follows: (Problem Loans/Gross Loans, Net Income/Tangible Assets) worse of [average of the last three years and latest interim period, latest period annual or interim]; (TCE/RWA) latest reported period; (Market Funds/Tangible Banking Assets, Liquid Banking Assets/Tangible Banking Assets) latest annual period. 2 Our latest macroeconomic forecasts are included in Global Macro Outlook 2020-21: Global recession is deepening rapidly as restrictions exact high economic cost, published on 28 April 2020. 3 Environmental risks can be defined as environmental hazards encompassing the impacts of air pollution, soil/water pollution, water shortages and natural and man-made hazards (physical risks). Additionally, regulatory or policy risks, like the impact of carbon regulation or other regulatory restrictions, including the related transition risks like policy, legal, technology and market shifts, that could impair the evaluation of assets are an important factor. Certain banks could face a higher risk from concentrated lending to individual sectors or operations exposed to the aforementioned risks. 4 Social risk considerations represent a broad spectrum, including customer relations, human capital, demographic and societal trends, health and safety and responsible production. The most relevant social risks for banks arise from the way they interact with their customers. Social risks are particularly high in the area of data security and customer privacy, which is partly mitigated by sizeable technology investments and banks’ long track record of handling sensitive client data. Fines and reputational damage because of product mis-selling or other types of misconduct is a further social risk. Societal trends are also relevant in a number of areas, such as shifting customer preferences toward digital banking services increasing information technology costs, ageing population concerns in several countries affecting demand for financial services or socially driven policy agendas that may translate into regulations that affect banks’ revenue bases. Pressure on profitability can be particularly severe for small banks that have limited options to mitigate declines in net interest income, their main revenue source. By contrast, large institutions equipped with resources to invest in new businesses or technology will be somewhat able to overcome these challenges. 5 Corporate governance is a well-established key driver for banks and related risks are typically included in our evaluation of the banks' financial profile. Corporate governance is a well-established key driver for banks and related risks are typically included in our evaluation of the banks' financial profile may be captured in individual adjustments to the BCA. Corporate governance weaknesses can lead to a deterioration in a company’s credit quality, while governance strengths can benefit its credit profile. When credit quality deteriorates due to poor governance, such as break-down in controls resulting in financial misconduct, it can take a long time to recover. Governance risks are also largely internal rather than externally driven.

10 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

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By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors. Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively. MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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12 22 May 2020 The Royal Bank of Scotland Group plc: Update post 1Q results