EBA欧洲银行-EBA_ST_UK_2138005O9XJIJN4JPN90_34页_5mb

报告摘要

2018 EU-wide Stress Test Summary: The Royal Bank of Scotland Group Plc

Core Information

Bank Name: The Royal Bank of Scotland Group Plc
LEI Code: 2138005O9XJIJN4JPN90
Country Code: UK
Test Type: EU-wide Stress Test
Year: 2018

Key Financial Metrics

Profit and Income

Net Interest Income:
- Actual (31/12/2017): 10,302 mln EUR
- Baseline Scenario (31/12/2018-2020): 9,842 mln EUR (2018), 9,846 mln EUR (2019), 9,783 mln EUR (2020)
- Adverse Scenario (31/12/2018-2020): 9,805 mln EUR (2018), 9,369 mln EUR (2019), 9,078 mln EUR (2020)
Gains/Losses on Financial Assets:
- Actual: 715 mln EUR
- Baseline: 907 mln EUR (2018), 907 mln EUR (2019), 907 mln EUR (2020)
- Adverse: -1,650 mln EUR (2018), 680 mln EUR (2019), 680 mln EUR (2020)
Impairment Reversal:
- Actual: -630 mln EUR
- Baseline: -1,003 mln EUR (2018), -630 mln EUR (2019), -587 mln EUR (2020)
- Adverse: -7,664 mln EUR (2018), -1,428 mln EUR (2019), -1,297 mln EUR (2020)
Profit for the Year:
- Actual: 1,594 mln EUR
- Baseline: 3,163 mln EUR (2018), 3,440 mln EUR (2019), 3,427 mln EUR (2020)
- Adverse: -9,007 mln EUR (2018), 1,523 mln EUR (2019), 1,717 mln EUR (2020)

Capital Ratios

Common Equity Tier 1 (CET1) Ratio:
- Actual: 15.91%
- Baseline: 16.17% (2017), 17.26% (2018), 17.92% (2019), 18.50% (2020)
- Adverse: 9.89% (2018), 9.48% (2019), 9.92% (2020)
Fully Loaded CET1 Ratio:
- Actual: 15.91%
- Baseline: 16.17% (2017), 17.22% (2018), 17.90% (2019), 18.50% (2020)
- Adverse: 9.89% (2018), 9.48% (2019), 9.92% (2020)
Tier 1 Capital:
- Actual: 44,577 mln EUR
- Baseline: 45,164 mln EUR (2017), 48,165 mln EUR (2018), 50,137 mln EUR (2019), 51,947 mln EUR (2020)
- Adverse: 38,878 mln EUR (2018), 37,394 mln EUR (2019), 37,023 mln EUR (2020)
Leverage Ratio:
- Actual: 5.82%
- Baseline: 5.90% (2017), 6.29% (2018), 6.54% (2019), 6.78% (2020)
- Adverse: 5.07% (2018), 4.88% (2019), 4.83% (2020)
Fully Loaded Leverage Ratio:
- Actual: 5.30%
- Baseline: 5.37% (2017), 5.75% (2018), 6.02% (2019), 6.26% (2020)
- Adverse: 4.10% (2018), 4.20% (2019), 4.30% (2020)

Total Risk Exposure

Total Risk Exposure (all transitional adjustments included):
- Actual: 226,440 mln EUR
- Baseline: 229,504 mln EUR (2018), 232,054 mln EUR (2019), 234,466 mln EUR (2020)
- Adverse: 271,569 mln EUR (2018), 291,359 mln EUR (2019), 286,489 mln EUR (2020)

Credit Risk IRB Summary

Exposure Breakdown

Central banks and central governments:
- Exposure values: A-IRB (Non-defaulted: 1,015 mln EUR, Defaulted: 0)
- Risk exposure amounts: A-IRB (Non-defaulted: 33 mln EUR, Defaulted: 0)
- Performing exposure: 742 mln EUR
- Non-performing exposure: 0
- Stock of provisions: 0
- Coverage Ratio: 50.9%
Institutions:
- Exposure values: A-IRB (Non-defaulted: 3,866 mln EUR, Defaulted: 0)
- Risk exposure amounts: A-IRB (Non-defaulted: 1,488 mln EUR, Defaulted: 0)
- Performing exposure: 930 mln EUR
- Non-performing exposure: 0
- Stock of provisions: 0
- Coverage Ratio: 41.0%
Corporates (Specialised Lending):
- Exposure values: A-IRB (Non-defaulted: 97,847 mln EUR, Defaulted: 1,638 mln EUR)
- Risk exposure amounts: A-IRB (Non-defaulted: 43,298 mln EUR, Defaulted: 11 mln EUR)
- Performing exposure: 111,644 mln EUR
- Non-performing exposure: 19,528 mln EUR
- Stock of provisions: 6,397 mln EUR
- Coverage Ratio: 30.9%
Corporates (SME):
- Exposure values: A-IRB (Non-defaulted: 24,720 mln EUR, Defaulted: 719 mln EUR)
- Risk exposure amounts: A-IRB (Non-defaulted: 12,795 mln EUR, Defaulted: 0)
- Performing exposure: 24,197 mln EUR
- Non-performing exposure: 931 mln EUR
- Stock of provisions: 428 mln EUR
- Coverage Ratio: 41.0%
Retail (Secured on Real Estate):
- Exposure values: A-IRB (Non-defaulted: 204,071 mln EUR, Defaulted: 3,175 mln EUR)
- Risk exposure amounts: A-IRB (Non-defaulted: 26,406 mln EUR, Defaulted: 1,571 mln EUR)
- Performing exposure: 195,891 mln EUR
- Non-performing exposure: 3,186 mln EUR
- Stock of provisions: 1,701 mln EUR
- Coverage Ratio: 39.5%
Retail (Other Retail):
- Exposure values: A-IRB (Non-defaulted: 15,278 mln EUR, Defaulted: 1,045 mln EUR)
- Risk exposure amounts: A-IRB (Non-defaulted: 9,361 mln EUR, Defaulted: 664 mln EUR)
- Performing exposure: 13,651 mln EUR
- Non-performing exposure: 931 mln EUR
- Stock of provisions: 821 mln EUR
- Coverage Ratio: 61.6%
Retail (Secured on Real Estate - SME):
- Exposure values: A-IRB (Non-defaulted: 15,046 mln EUR, Defaulted: 2,923 mln EUR)
- Risk exposure amounts: A-IRB (Non-defaulted: 10,451 mln EUR, Defaulted: 5,236 mln EUR)
- Performing exposure: 156,862 mln EUR
- Non-performing exposure: 5,819 mln EUR
- Stock of provisions: 1,373 mln EUR
- Coverage Ratio: 20.5%
Retail (Other Retail - SME):
- Exposure values: A-IRB (Non-defaulted: 9,461 mln EUR, Defaulted: 358 mln EUR)
- Risk exposure amounts: A-IRB (Non-defaulted: 3,793 mln EUR, Defaulted: 227 mln EUR)
- Performing exposure: 8,109 mln EUR
- Non-performing exposure: 405 mln EUR
- Stock of provisions: 260 mln EUR
- Coverage Ratio: 55.6%
Retail (Other Retail - non-SME):
- Exposure values: A-IRB (Non-defaulted: 5,817 mln EUR, Defaulted: 687 mln EUR)
- Risk exposure amounts: A-IRB (Non-defaulted: 5,569 mln EUR, Defaulted: 437 mln EUR)
- Performing exposure: 5,542 mln EUR
- Non-performing exposure: 667 mln EUR
- Stock of provisions: 580 mln EUR
- Coverage Ratio: 65.0%
IRB Total:
- Exposure values: A-IRB (Non-defaulted: 306,798 mln EUR, Defaulted: 4,814 mln EUR)
- Risk exposure amounts: A-IRB (Non-defaulted: 71,224 mln EUR, Defaulted: 1,582 mln EUR)
- Performing exposure: 308,913 mln EUR
- Non-performing exposure: 5,621 mln EUR
- Stock of provisions: 2,915 mln EUR
- Coverage Ratio: 39.5%

Additional Notes

Mandatory Conversion Instruments:
- Total instruments with mandatory conversion into ordinary shares: 0 mln EUR (cumulative conversions)
Eligible Instruments for Regulatory Capital:
- Total: 4,565 mln EUR
- Of which: eligible instruments with trigger above CET1 in adverse scenario: 0 mln EUR

Country-Specific Data (UK, Germany, Ireland, Channel Islands)

United Kingdom

IRB Total: 463,152 mln EUR
Non-performing exposure: 11,764 mln EUR
Stock of provisions: 4,534 mln EUR
Coverage Ratio: 30.9%

Germany

IRB Total: 306,798 mln EUR
Non-performing exposure: 5,621 mln EUR
Stock of provisions: 2,915 mln EUR
Coverage Ratio: 39.5%

Ireland

IRB Total: 24,991 mln EUR
Non-performing exposure: 5,621 mln EUR
Stock of provisions: 2,915 mln EUR
Coverage Ratio: 30.9%

Channel Islands

IRB Total: 22,892 mln EUR
Non-performing exposure: 40 mln EUR
Stock of provisions: 15 mln EUR
Coverage Ratio: 51.6%

Key Observations

The bank's Common Equity Tier 1 (CET1) ratio improves in the baseline scenario, reaching 18.50% by 2020, but declines significantly in the adverse scenario to 9.92%.
Leverage ratio also shows improvement in the baseline scenario, increasing to 6.78% by 2020, but drops to 4.30% in the adverse scenario.
Non-performing exposures increase under the adverse scenario, particularly in the UK and Ireland, with a coverage ratio that remains stable or slightly improves.
The risk exposure rises in the adverse scenario, especially in the UK, indicating increased credit risk under stress conditions.
The stock of provisions increases in the adverse scenario, reflecting higher expected credit losses.
Eligible instruments for regulatory capital are stable across scenarios, with no triggers above CET1 in the adverse scenario.