Statement on the publication of the 2016 EBA EU-wide stress test results
The Royal Bank of Scotland Group plc ("RBS") notes the announcement made by the European Banking Authority (“EBA”) and the Prudential Regulation Authority (“PRA”) regarding the results of the 2016 EBA EU-wide stress test.
01 August 2016

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
|
Fully loaded Basel 3 |
31 December 2015 published CET1 radio | 15.5% |
(GBPm) | |
3-year cumulative net interest income | 25,331 |
3-year cumulative gains on financial assets and liabilities held for trading or designated at fair value through profit and loss, net | 1,197 |
3-year cumulative impairments on financial assets not measured at fair value through profit or loss | (7,916) |
3-year cumulative profit / (loss) before tax from continuing operations(1) | (10,686) |
CET1 capital | 25,577 |
EBA calculated risk-weighted assets | 291,624 |
Resulting EBA-calculated CET1 ratio in 2018 | 8.1% |
(1) Including stressed conduct and litigation losses.
Table 2 – EBA leverage ratio stress test result under the adverse scenario
|
Fully loaded Basel 3 |
31 December 2015 published leverage ratio | 5.6% |
(GBPm) | |
Tier 1 capital | 29,415 |
Total leverage ratio exposures | 702,484 |
Resulting EBA-calculated CET1 ratio | 3.6% |
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, 5th August 2016.
Posted In
Latest news
RBS has today committed to helping 2.5 million people in the UK each year to improve their financial capability.
RBS has executed a £1.1bn securitisation deal with Macquarie Infrastructure Debt Investment Solutions (MIDIS), which will allow the bank to recycle capital and increase lending to the sustainable or renewable energy sectors.
RBS has today announced a new £1 billion in funding through NatWest to support female entrepreneurs in the UK to scale and grow – the largest intervention by a UK lender focused specifically on female-led businesses.
We’re now NatWest Group
Come and visit us for all our latest news, insights and everything NatWest Group.