Statement on the publication of the 2016 EBA EU-wide stress

The 2016 EBA EU-wide stress test does not contain a pass/fail threshold. These results will be used as an input into our capital plan submitted to the PRA.

On a fully loaded Basel 3 basis, RBS’s modelled Common Equity Tier 1 (“CET1”) ratio under the adverse scenario was 8.1% as at 31 December 2018. The low point CET1 ratio under this scenario was 7.8% as at 31 December 2017.

RBS’s modelled leverage ratio under the adverse scenario was 3.6% on a fully loaded Basel 3 basis and 4.2% under the PRA transitional definition for leverage ratio as at 31 December 2018. The low point leverage ratio under this scenario was 3.5% on a fully loaded Basel 3 basis as at 31 December 2016 and 4.2% under the PRA transitional definition as at 31 December 2017.

The cumulative impacts on modelled operating profit, impairments in the banking book and losses in the trading book under the adverse scenario over the three years to 31 December 2018 are shown in the table below.

Table 1 – EBA CET1 ratio stress test result under the Adverse scenario

(1) Including stressed conduct and litigation losses.

Table 2 – EBA leverage ratio stress test result under the adverse scenario

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

The EBA stress test results cannot be used to infer outcomes of the 2016 Bank of England (“BoE”) stress tests for UK banks. There are key distinctions between the two regulatory stress tests, including a static balance sheet assumption for the EBA exercise therefore a number of initiatives such as balance sheet reduction (including asset sales and divestments), business growth and cost savings are not factored into the stress outcomes.

The EBA stress tests, like those run by the BoE, currently include substantial stressed conduct and litigation charges in the adverse scenario only, primarily in relation to US RMBS.

Commenting on the results, Ewen Stevenson, Chief Financial Officer, said:

“The EBA stress test results demonstrate our continued progress towards transforming the balance sheet to being safe and sustainable. Over recent years we have materially strengthened our CET1 ratio, substantially reduced our balance sheet and leverage, and continued to de-risk our asset exposures.

We are confident that in delivering our strategy, we will transform RBS into a low risk, resilient bank.”

RBS will announce its 2016 Interim Results on Friday, 5^th August 2016.

Click here to read more about the detailed results of the stress test, as well as information on RBS exposures to central, regional and local governments in the European Economic Area.