Bank Name: The Royal Bank of Scotland Group Public Limited Company
LEI Code: 2138005O9XJIJN4JPN90
Country Code: UK
Test Period: 31/12/2015 to 31/12/2018
Test Type: EU-wide Stress Test
Key Metrics: Net interest income, profit or loss, capital ratios, risk exposure amounts, and coverage ratios
Key Financial Metrics
Metric
Actual (31/12/2015)
Baseline Scenario (31/12/2018)
Adverse Scenario (31/12/2018)
Net Interest Income (3y Cumulative)
-
35,242.21
34,513.59
Gains or (Losses) on Financial Assets (3y Cumulative)
-
5,100.92
1,630.94
Impairment or Reversal of Impairment (3y Cumulative)
-
-4,651.59
-10,785.05
Profit or Loss for the Year (3y Cumulative)
-
7,539.47
-15,193.28
Common Equity Tier 1 (CET1) Capital
51,382.39
54,829.46
32,124.04
CET1 Ratio
15.5%
15.9%
8.1%
Fully Loaded CET1 Ratio
15.5%
15.9%
8.1%
Tier 1 Capital
63,257.82
62,782.57
40,077.15
Total Leverage Ratio Exposures
957,127.87
957,127.87
957,127.87
Leverage Ratio
6.6%
6.6%
4.2%
Fully Loaded Leverage Ratio
5.6%
6.0%
3.6%
Coverage Ratio - Default Stock
42.93%
40.61%
43.08%
Memorandum Items
Item
Baseline Scenario
Adverse Scenario
Total amount of instruments with mandatory conversion into ordinary shares (cumulative conversions)
-
0
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions that convert into CET1 or are written down upon a trigger event
-
2,734
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario
-
0
Risk Exposure and Stock of Provisions
Exposure Values and Risk Exposure Amounts
Category
A-IRB Non-defaulted
A-IRB Defaulted
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Risk Exposure
F-IRB Risk Exposure
A-IRB Stock of Provisions
F-IRB Stock of Provisions
Central banks and central governments
100,315
0
0
0
5,828
0
0
0
Institutions
32,572
0
0
0
11,461
0
5
0
Corporates
208,487
6,214
32,253
3,562
95,607
285
229
3,407
Corporates - Specialised Lending
3,305
791
32,253
3,562
2,627
0
33
412
Corporates - SME
33,059
2,674
0
0
16,585
0
45
1,450
Retail
234,405
10,043
0
0
40,897
8,448
525
3,530
Retail - Secured on real estate property
186,183
6,698
0
0
22,995
6,185
269
1,403
Retail - Secured on real estate property - SME
1,565
88
0
0
519
62
0
46
Retail - Secured on real estate property - non-SME
184,618
6,604
0
0
22,435
6,122
269
1,356
Retail - Qualifying Revolving
31,577
839
0
0
8,266
431
9
542
Retail - Other Retail
16,645
2,512
0
0
9,676
1,832
247
1,585
Retail - Other Retail - SME
10,472
1,244
0
0
4,165
1,125
23
734
Retail - Other Retail - non-SME
6,173
1,272
0
0
5,511
707
224
852
Equity
1,213
0
3,410
0
0
0
0
0
Other non-credit obligation assets
3,763
0
1,342
7
0
0
0
0
IRB TOTAL
580,756
16,268
158,546
8,740
760
6,937
35
1,786
Summary of Key Observations
Capital Ratios: The bank maintains a CET1 ratio of 15.5% in the actual scenario, improving slightly to 15.9% in the baseline scenario, but declining significantly to 8.1% in the adverse scenario. The leverage ratio also drops from 6.6% to 4.2% in the adverse scenario.
Profitability: The bank reports a profit of 7,539.47 mln EUR in the baseline scenario, but incurs a loss of 15,193.28 mln EUR in the adverse scenario, indicating a significant risk to profitability under stress conditions.
Risk Exposure: The total risk exposure increases from 330,566.21 mln EUR in the actual scenario to 397,334.57 mln EUR in the adverse scenario, showing a rise in potential losses.
Provisions: The bank's stock of provisions for defaulted assets increases under the adverse scenario, particularly for corporates and retail sectors, reflecting higher expected credit losses.
Coverage Ratio: The coverage ratio for default stock declines slightly from 42.93% to 40.61% in the baseline scenario, but increases slightly to 43.08% in the adverse scenario, indicating a moderate ability to absorb losses.
Eligible Instruments: The bank has 2,734 mln EUR of Additional Tier 1 and Tier 2 instruments eligible for conversion into CET1 or written down under trigger events, but none of these are triggered in the adverse scenario.
Summary of Other Jurisdictions
Jurisdiction
IRB Total
Coverage Ratio - Default Stock
United States
1,963
54.3%
Germany
25,624
43.8%
Netherlands
16,944
42.2%
France
12,753
33.8%
Channel Islands
5,175
65.5%
Key Notes
The coverage ratio for default stock is used to assess the bank's ability to absorb potential losses.
Provisions are calculated as the stock of provisions for defaulted assets divided by the default stock.
The IRB Total reflects the total risk exposure and provisions for each jurisdiction.
The baseline scenario represents a moderate economic downturn, while the adverse scenario is a severe one.
