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RNS Number : 3327V
Royal Bank of Scotland Group PLC
27 October 2014
The Royal Bank of Scotland Group plc
Statement on the publication of the 2014 EBA EU-wide stress test
results
26 October 2014
The Royal Bank of Scotland Group plc ("RBS") notes the
announcements made today by the European Banking Authority ("EBA")
and the Prudential Regulation Authority ("PRA") regarding the
results of the 2014 EBA EU-wide stress test.
RBS's transitional Common Equity Tier 1 ("CET1") ratio under the
modelled adverse scenario was 8.2% under the EBA's published
capital definitions and prescribed approach and 6.7% under the PRA
definition. This was 1.2% above the post-stress minimum ratio
requirement of 5.5% used in this exercise.
The equivalent ratio under the EBA modelled adverse scenario on
a 'fully loaded' Basel 3 basis is also 6.7%.
The cumulative impact on operating profit, impairment in the
banking book and losses in the trading book for the modelled
stresses under the adverse scenario over the three years to 31
December 2016 are shown in the table below:
Outcome of the modelled adverse scenario at 31 December
2016.
Transitional Transitional Fully
(EBA definition) (PRA definition)(1) loaded
2013 published CET1 ratio 11.0% 8.6% 8.6%
EBA stress test results (EURm)
------------------------------------------- ------------------ --------------------- ---------
3-year cumulative operating profit
before impairments 8,179 8,179 8,179
3-year cumulative stress banking
book impairment (20,010) (20,010) (20,010)
3-year cumulative losses from
stress in trading book (4,166) (4,166) (4,166)
of which stress valuation losses
due to sovereign shock (284) (284) (284)
EBA calculated risk-weighted
assets 476,639 476,639 476,639
------------------------------------------- ------------------ --------------------- ---------
Resulting EBA-calculated CET1
ratio 8.2% 6.7% 6.7%
------------------------------------------- ------------------ --------------------- ---------
Note: The EBA stress test results are based on hypothetical
adverse and baseline macroeconomic scenarios and a common
methodology developed by the EBA (including a static balance sheet)
applied across all participating banks. Neither the baseline
scenario nor the adverse scenario should in any way be construed as
an RBS forecast or directly compared to other information prepared
by RBS. Citizens exposures are excluded from the credit disclosure
template.
(1) The PRA has required that the transitional CET1 ratio used
in the stress test is under the PRA definition and not the EBA
methodology (with one exception - explained below). In accordance
with the PRA's Policy Statement PS7/2013 issued in December 2013 on
the implementation of CRD IV, all regulatory adjustments and
deductions to CET1 have been applied in full (without transition
relief) . The one exception referred (which is in line with the EBA
methodology) is that recognition in the CET1 capital position of
unrealised losses / gains on sovereign is phased in.
RBS continues to make good progress in improving its regulatory
CET1 ratio. The ratio improved by 150 basis points to 10.1% as at
30 June 2014 from the CRR end-point basis CET1 ratio of 8.6% as at
31 December 2013. This improvement reflected actions taken to
reduce legacy asset exposures coupled with a significant
improvement in trading performance. RBS continues to target a CRR
end-point basis CET1 ratio of around 11% at 31 December 2015 and
above 12% by the end of 2016.
RBS also notes that two of its subsidiaries were subject to the
European Central Bank's ("ECB") Comprehensive Assessment. Both have
reported CET1 ratios above the post-stress minimum ratio
requirement under the ECB-modelled adverse scenario:
-- Ulster Bank Ireland Limited's ("UBIL") transitional Common
Equity Tier 1 ratio under the modelled adverse scenario was 6.2%,
which is based on the ECB's published capital definitions and
prescribed approach.
-- The Royal Bank of Scotland N.V.'s ("RBS NV") transitional
Common Equity Tier 1 ratio under the modelled adverse scenario was
7.2%, which is based on the ECB's published capital definitions and
prescribed approach.
RBS Group plc will announce its Q3 2014 Interim Results on
Friday, 31 October 2014.
The detailed results of the capital exercise, as well as
information on RBS exposures to central, regional and local
governments in the EEA, are available via the links below:
-- RBS: http://storage.eba.europa.eu/documents/10180/851773/UK_2138005O9XJIJN4JPN90.pdf
-- UBIL: http://www.ecb.europa.eu/ssm/assessment/html/index.en.html
-- RBS NV: http://www.ecb.europa.eu/ssm/assessment/html/index.en.html
For further information, please contact:
Investor Relations
Richard O'Connor
Head of Investor Relations
+44 (0) 20 7672 1758
RBS Media Relations
+44 (0) 131 523 4205
Forward Looking Statements
This announcement contains forward-looking statements within the
meaning of the Private Securities Litigation Reform Act of 1995,
including those related to RBS and its subsidiaries' regulatory
capital position, risk-weighted assets, impairment losses and
credit exposures under certain specified scenarios. In addition,
forward-looking statements may include, without limitation,
statements typically containing words such as "intends", "expects",
"anticipates", "targets", "plans", "estimates" and words of similar
import. These statements concern or may affect future matters, such
as RBS's future economic results, business plans and current
strategies. Forward-looking statements are subject to a number of
risks and uncertainties that might cause actual results and
performance to differ materially from any expected future results
or performance expressed or implied by the forward-looking
statements. Factors that could cause or contribute to differences
in current expectations include, but are not limited to,
legislative, fiscal and regulatory developments, competitive
conditions, technological developments, exchange rate fluctuations
and general economic conditions. These and other factors, risks and
uncertainties that may impact any forward-looking statement or
RBS's actual results are discussed in RBS's UK Annual Report and
materials filed with, or furnished to, the US Securities and
Exchange Commission, including, but not limited to, RBS's Reports
on Form 6-K and most recent Annual Report on Form 20-F. The
forward-looking statements contained in this announcement speak
only as of the date of this announcement and RBS does not assume or
undertake any obligation or responsibility to update any of the
forward-looking statements contained in this announcement, whether
as a result of new information, future events or otherwise, except
to the extent legally required.
ENDS
This information is provided by RNS
The company news service from the London Stock Exchange
END
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