REG - Royal Bk Scot.Grp. - G-SIB Indicators Disclosure <Origin Href="QuoteRef">RBS.L</Origin>

NatwestAnnouncement

29/10/2014 09:21

RNS Number : 9924N
Royal Bank of Scotland Group PLC
01 August 2014
01 August 2014
The Royal Bank of Scotland Group plc - G-SIB Indicators Disclosure
The Basel Committee on Banking Supervision ('BCBS') is conducting a data collection exercise as part of the methodology to assess the systemic importance of banks in a global context, as outlined in the July 2013 document 'Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement'. The Royal Bank of Scotland Group plc ('RBS') is assessed as a global systemically important bank ('GSIB'). The indicators selected by BCBS reflect the size of banks, their interconnectedness, the lack of readily available substitutes or financial institution infrastructure for the services they provide, their global (cross-jurisdictional) activity and their complexity.
The PRA has requested us to publish the full template containing data as of and for the year ended 31 December 2013, based on the 2014 guidance and related FAQs issued by the BCBS. This data has also been submitted to BCBS and will be used to determine the relevant GSIB buffer applicable to RBS when implemented in 2016.
This information was made available on the RBS website at the close of business on 31st July 2014, via the following link: http://www.investors.rbs.com/results-centre/archived-group-results/2014.aspx
Summary
The 12 summary indicators at 31 December 2013 and basis of preparation are set out below. 
Category
Individual indicator
Note
Indicator
m
Indicator
m

Size
Total exposure as defined BCBS leverage ratio guidance issued in January 2014
a
1,162,209
1,394,038 1,394,038

Inter-connectedness
Intra-financial system assets
 b
173,412
208,003

Intra-financial system liabilities
165,925
199,022

Securities outstanding
c
117,370
140,782

Substitutability / financial system infrastructure
Payment activity 
d
39,556,478
47,446,897

Assets under custody
e
51,287
61,517

Underwritten transactions in debt and equity markets
f
96,243
115,441

Complexity
Notional amount of over-the-counter derivatives
g
38,180,016
45,795,869

Trading and available-for-sale securities 
h
31,734
38,064

Level 3 assets
i
6,761
8,110

Cross-jurisdictional activity
Cross-jurisdictional claims
j
384,301
460,958

Cross-jurisdictional liabilities
k
289,006
346,655

Notes:
a
Based on December 2012 version of the Basel III monitoring exercise. The exposure above differs slightly from the leverage exposure included in RBS's 2013 Annual Report and Accounts (ARA) which reflects guidance in the proposal issued by the BCBS.
b
Relates to transactions with financial institutions; the components are over-the-counter derivatives, including potential future exposures, funds deposited and undrawn committed lines.
c
Carrying value of securities issued, generally as reflected in the 2013 ARA.
d
Payments made in the year by currency; includes correspondent banking but excludes intra-group transactions. This data is not part of RBS's financial or regulatory reporting systems and processes and is therefore not possible to validate against other information. The data is primarily sourced from SWIFT.
e
Based on client money assets, as reported in CMAR returns for UK legal entities and similar information for the rest of RBS.
f
Transactions underwritten by RBS during 2013, sourced from industry standard deal platform.
g
Includes OTCs derivatives cleared through central counterparties as well as those settled bilaterally, as published in the 2013 ARA. 
h
Reflects balances reported in 2013 accounts adjusted for offsetting of securities that meet the definition of Level 1 and Level 2 (after haircuts) as per BCBS definition relating to liquidity coverage ratio.
i
Based on level 3 as defined in IFRS 13 'Fair value measurements' as reflected in 2013 ARA.
j
Based on the for Bank of England country exposures statistical return.
k
Based on the for Bank of England country exposures statistical return for UK legal entities and similar information for the rest of RBS.




GSIB template
The full template is set out below:
General bank data


Section 1: General Information


(1) Reporting date
31 December 2013

(2) Reporting currency and unit
GBP million unless otherwise stated

(3) Euro conversion rate
1.199472232

(4) Accounting standard
IFRS

(5) Location of public disclosure
www.investors.rbs.com/results-centre/archived-group-results/2014.aspx
Size indicator


Section 2: Total exposures


a. Counterparty exposure of derivatives contracts (method 1)
54,224

b. Gross value of securities financing transactions (SFTs)
117,071

c. Counterparty exposure of SFTs
19,117

d. Other assets
674,034

(1) Securities received in SFTs that are recognised as assets
0

e. Total on-balance sheet items (sum of items 2.a, 2.b, 2.c, and 2.d, minus 2.d.(1))
864,446

f. Potential future exposure of derivative contracts (method 1)
127,976

g. Notional amount of off-balance sheet items with a 0% CCF
62,273

(1) Unconditionally cancellable credit card commitments
27,053

(2) Other unconditionally cancellable commitments 
35,220

h. Notional amount of off-balance sheet items with a 20% CCF
16,389

i. Notional amount of off-balance sheet items with a 50% CCF
145,304

j. Notional amount of off-balance sheet items with a 100% CCF
18,045

k. Total off-balance sheet items (sum of items 2.f, 2.g, and 2.h through 2.j, minus 0.9 times the sum of items 2.g.(1) and 2.g.(2))


313,941

l. Entities consolidated for accounting purposes but not for risk-based regulatory purposes:


(1) On-balance sheet assets
366

(2) Potential future exposure of derivatives contracts
0

(3) Unconditionally cancellable commitments
0

(4) Other off-balance sheet commitments
0

(5) Investment value in the consolidated entities
111

m. Regulatory adjustments
16,433

Total exposures indicator (sum of items 2.e, 2.k, 2.l.(1), 2.l.(2), 0.1 times 2.l.(3), 2.l.(4), minus the sum of items 2.l.(5) and 2.m)
1,162,209


Interconnectedness indicators


Section 3: Intra-financial system assets


a. Funds deposited with or lent to other financial institutions
62,446

(1) Certificates of deposit 
4

b. Undrawn committed lines extended to other financial institutions
17,378

c. Holdings of securities issued by other financial institutions:


(1) Secured debt securities
4,640

(2) Senior unsecured debt securities
3,941

(3) Subordinated debt securities
547

(4) Commercial paper 
16

(5) Stock (including par and surplus of common and preferred shares)
2,948

(6) Offsetting short positions in relation to the specific stock holdings included in item 3.c.(5)
165

d. Net positive current exposure of securities financing transactions with other financial institutions
2,628

e. Over-the-counter (OTC) derivatives with other financial institutions that have a net positive fair value:


(1) Net positive fair value (include collateral held if it is within the master netting agreement)
7,850

(2) Potential future exposure
71,183

Intra-financial system assets indicator (sum of items 3.a, 3.b through 3.c.(5), 3.d, 3.e.(1), and 3.e.(2), minus 3.c.(6))


173,412

Section 4: Intra-financial system liabilities


a. Deposits due to depository institutions
35,016

b. Deposits due to non-depository financial institutions
54,569

c. Undrawn committed lines obtained from other financial institutions
4,943

d. Net negative current exposure of securities financing transactions with other financial institutions
1,473

e. OTC derivatives with other financial institutions that have a net negative fair value:


(1) Net negative fair value (include collateral provided if it is within the master netting agreement)
14,482

(2) Potential future exposure
55,442

Intra-financial system liabilities indicator (sum of items 4.a through 4.e.(2))
165,925

Section 5: Securities outstanding


a. Secured debt securities
16,795

b. Senior unsecured debt securities
47,164

c. Subordinated debt securities
24,012

d. Commercial paper
1,583

e. Certificates of deposit
2,277

f. Common equity
20,972

g. Preferred shares and any other forms of subordinated funding not captured in item 5.c.
4,567

Securities outstanding indicator (sum of items 5.a through 5.g)
117,370


Substitutability/Financial Institution Infrastructure Indicators







Section 6: Payments made in the reporting year (excluding 
Reported in
Amount in millions of the specified currency


Intra-group payments)

a. Australian dollars
AUD
AUD 984,171
609,480

b. Brazilian real
BRL
BRL 85
25

c. Canadian dollars
CAD
CAD 862,885
536,092

d. Swiss francs
CHF
CHF 567,421
391,446

e. Chinese yuan
CNY
CNY 1,746,992
181,778

f. Euros
EUR
EUR 6,779,317
5,757,403

g. British pounds
GBP
GBP 19,230,405
19,230,405

h. Hong Kong dollars
HKD
HKD 4,490,031
370,322

i. Indian rupee
INR
INR 2,469,253
27,083

j. Japanese yen
JPY
JPY 114,145,429
749,294

k. Swedish krona
SEK
SEK 2,791,256
274,136

l. United States dollars
USD
USD 17,865,137
11,429,015

Payments activity indicator (sum of items 6.a through 6.l)
39,556,478
Section 7: Assets under custody

a. Assets under custody indicator
51,287
Section 8: Underwritten transactions in Debt and Equity Markets

a. Equity underwriting activity
124
b. Debt underwriting activity
96,119
Underwriting activity indicator (sum of items 8.a and 8.b)
96,243
Complexity indicators


Section 9: Notional amount of over-the-counter (OTC) Derivatives


a. OTC derivatives cleared through a central counterparty
22,598,790

b. OTC derivatives settled bilaterally
15,581,226

OTC derivatives indicator (sum of items 9.a and 9.b)
38,180,016

Section 10: Trading and available-for-sale securities


a. Held-for-trading securities (HFT)
73,774

b. Available-for-sale securities (AFS)
61,104

c. Trading and AFS securities that meet the definition of Level 1 assets
83,380

d. Trading and AFS securities that meet the definition of Level 2 assets, with haircuts
19,764

Trading and AFS securities indicator (sum of items 10.a and 10.b, minus the sum of 10.c and 10.d)
31,734
Section 11: Level 3 Assets


a. Level 3 assets indicator
6,761
Cross-Jurisdictional Activity Indicators


Section 12: Cross-Jurisdictional Claims


a. Foreign claims on an ultimate risk basis (excluding derivatives activity)
384,301

Cross-jurisdictional claims indicator (item 12.a)
384,301

Section 13: Cross-Jurisdictional Liabilities


a. Foreign liabilities (excluding derivatives and local liabilities in local currency)
181,892

(1) Any foreign liabilities to related offices included in item 13.a.
28,756

b. Local liabilities in local currency (excluding derivatives activity)
135,870

Cross-jurisdictional liabilities indicator (sum of items 13.a and 13.b, minus 13.a.(1))
289,006

This information is provided by RNS
The company news service from the London Stock Exchange
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