EBA欧洲银行-GB088_11页_954kb

Summary of the 2011 EBA EU-wide Stress Test for Royal Bank of Scotland Group

Core Tier 1 Capital Ratio

• As of 31 December 2010:

  • Operating profit before impairments: 11,438 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -11,173 million EUR
  • Risk weighted assets (RWA): 607,351 million EUR
  • Core Tier 1 capital: 58,982 million EUR
  • Core Tier 1 capital ratio: 9.7%

• After 2 years in the adverse scenario (excluding mitigating actions):

  • Core Tier 1 capital ratio: 6.3%

• Additional capital needed to reach a 5% Core Tier 1 capital benchmark:

  • 28,614 million EUR (difference from the 5% benchmark)

Impact of Mitigating Measures

• Mitigating measures implemented before 30 April 2011:

  • Government support: Increased Core Tier 1 capital ratio by 4.7 percentage points (from 6.3% to 9.2%).
  • Capital raisings: Improved Core Tier 1 capital ratio by 2.3 percentage points (from 9.2% to 9.1%).
  • Mandatory restructuring plans: Reduced RWA by 14,317 million EUR and had a minimal impact on Core Tier 1 capital ratio.
  • Use of provisions and reserves: Contributed to the capital ratio but the exact impact is not specified in the table.
  • Divestments and management actions: Had a positive impact on capital ratio, though the exact amount is not quantified.
  • Other disinvestments and restructuring measures: Included future mandatory restructuring not yet approved with the EU Commission, contributing to capital ratio improvement.

• Supervisory Recognised Capital Ratio (as of 31 December 2012):

  • 6.3% (after all current and future mitigating actions).

Profit and Loss Outcomes

• 2-year cumulative operating profit before impairments:

  • 9,454 million EUR

• 2-year cumulative impairment losses on financial and non-financial assets in the banking book:

  • -25,894 million EUR

• 2-year cumulative losses from the stress in the trading book:

  • -4,426 million EUR
    • Of which: valuation losses due to sovereign shock: -579 million EUR

• Net profit after tax:

  • -5,401 million EUR (2012 adverse scenario)

• Operating profit after impairments and other losses from the stress:

  • -4,390 million EUR

Provisions and Loss Coverage

• Stock of provisions:

  • Increased from 21,209 million EUR (2010) to 45,424 million EUR (2012 adverse scenario).
  • Provisions for non-defaulted assets increased, particularly for sovereigns and financial institutions.

• Coverage ratio (defaulted assets):

  • Corporate (excluding commercial real estate): 22.3%
  • Retail (excluding commercial real estate): 24.3%
  • Commercial real estate: 36.0%

• Loss rates (for non-defaulted assets):

  • Corporate (excluding commercial real estate): 1.0%
  • Retail (excluding commercial real estate): 0.9%
  • Commercial real estate: 1.5%

Capital Composition as of 31 December 2010

• Common equity (before deductions): 67,372 million EUR (11.1% of RWA)
• Deductions from common equity:
  • -8,391 million EUR (1.4% of RWA)
• Common equity (after deductions): 58,982 million EUR (9.7% of RWA)
• Tier 1 capital (including government support): 70,732 million EUR (11.6% of RWA)
• Tier 2 capital: 14,161 million EUR (2.3% of RWA)
• Tier 3 capital: 0 million EUR (0.0% of RWA)
• Total capital: 79,373 million EUR (13.1% of RWA)

Notes and Methodology

• The stress test was conducted using the EBA common methodology, which includes a static balance sheet assumption and incorporates regulatory transitional floors.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The baseline and adverse scenarios are not forecasts but stress test outcomes.
• Deferred tax assets were reported at 4,986 million EUR.
• Funding cost increased from 139 bps (2010) to 373 bps (2012 adverse scenario).

Summary of Key Points

• The bank's capital position weakened significantly under the adverse scenario, with a Core Tier 1 capital ratio of 6.3% as of 31 December 2012.
• Mitigating actions such as government support, capital raisings, and restructuring plans improved the capital ratio to 9.2% in the baseline scenario.
• Impairment losses and trading losses were substantial, particularly in the adverse scenario.
• Provisions increased over time, especially for non-defaulted assets, contributing to the capital buffer.
• The EBA methodology was used to compute the results, and additional measures considered by national authorities are also included in the capital ratio.