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: EBA stress tests
• UBIL: Comprehensive Assessment disclosure, EBA stress tests
• RBS N.V: Comprehensive Assessment disclosure, EBA stress tests
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.