REG - Royal Bk Scot.Grp. - Half Year Report - Part 2 <Origin Href="QuoteRef">RBS.L</Origin> - Part 2
05/08/2016 07:08
- Part 2: For the preceding part double click ID:nRSE3371Ga
Treasury's liquidity portfolio and greater credit spread volatility, primarily affecting US dollar bond swap spreads with tenors of over ten years.
· Non-traded interest rate VaR, capturing the risk arising from earnings from retail and commercial banking activities, was £21 million and was broadly stable during the
period, with fluctuations well within risk appetite.
· The sensitivity of net interest income to an immediate upward 25 basis point shift in interest rates from the base-case forecast was broadly unchanged at £68 million, but
the impact of a downward shift increased from £96 million to £140 million.
· The equity structural hedge fell to £35 billion from £42 billion, primarily reflecting the £4.2 billion pension fund payment and the £1.2 billion final DAS dividend
payment.
*Not within the scope of Ernst & Young LLP's review report.
Appendix 1 Capital and risk management
General overview* (continued)
Risk type Overview
Operational · Development of the operational risk framework continued, including: (i) the cascade of RBS-wide risk appetite statements for the most material risks; and (ii) the embedding of the enhanced Risk & Control Assessment approach developed in 2015. The effects on the bank's risk profile of the wide-ranging change portfolio, especially the divestment of Williams & Glyn, continued to be closely monitored.
Reputational · The importance of managing reputational risk is reinforced through an overarching risk appetite statement. This addresses the internal risk of RBS making decisions without taking reputational risk into account.
· The most material threats to RBS's reputation continued to originate from conduct issues, both historical and more recent.
Pension · RBS made a £4.2 billion payment to the RBS Group Pension Fund in March 2016. This removed an element of pension risk. RBS and the Trustee also agreed that the next valuation of the RBS Group Pension Fund will take place as at 31 December 2018, providing greater certainty to pension funding commitments until at least 2019, an important period running up to the implementation of UK ring-fencing legislation.
Business · RBS continued to reduce its business risk profile by implementing its strategic plan to shift the business mix towards the UK and retail and commercial banking segments, with higher risk activities in CIB and Capital Resolution curtailed through disposals and run-downs. RBS also continued with its simplification and cost reduction programmes.
· Market conditions have become more volatile following the EU Referendum result, and RBS continues closely to monitor and assess the operating environment and its impact on business risk.
*Not within the scope of Ernst & Young LLP's review report.
Appendix 1 Capital and risk management
Capital management*
RBS aims to maintain an appropriate level of capital to meet its business needs and regulatory requirements, and operates
within an agreed risk appetite. The appropriate level of capital is determined based on the aims of: (i) meeting minimum
regulatory capital requirements; and (ii) ensuring RBS maintains sufficient capital to uphold customer, investor and rating
agency confidence in the organisation, thereby supporting its business franchises and funding capacity. For a description
of the capital management framework, governance and basis of preparation refer to Capital management in the 2015 Annual
Report and Accounts.
Pillar 2A and MDA
RBS's current total Pillar 2A requirement is 5.0% of RWAs (31 December 2015 - 5.0%). From 1 January 2015, 56% of the total
Pillar 2A or 2.8% of RWAs is required to be met from CET1 capital. Pillar 2A is a point in time regulatory assessment of
the amount of capital required to meet the overall financial adequacy rules. This PRA assessment may change over time,
including as a result of an at least annual assessment and supervisory review of RBS's Internal Capital Adequacy Assessment
Process (ICAAP); the latest ICAAP based on the end of 2015 data was submitted to the PRA for supervisory review in May
2016.
RBS's capital risk appetite framework, which informs its capital targets, includes consideration of the maximum
distributable amount (MDA) requirements. These requirements are expected to be phased in from 2016, with full
implementation by 2019.
Based on current capital requirements, on the illustrative assumption that current estimates of Pillar 2A remain constant,
RBS estimates that its 'fully phased' CET1 MDA requirement would be 10.8% in 2019, assuming RBS's current risk profile is
unchanged. It should be noted that this estimate does not reflect the anticipated impact of RBS's planned restructuring,
changes in the regulatory framework or other factors that could impact target CET 1 ratio. The estimated 2019 MDA
requirement comprises:
● 4.5% Pillar 1 minimum CET1 ratio;
● 2.5% Capital conservation buffer;
● 2.8% Pillar 2A CET1 ratio; and
● 1.0% Global Systemically Important Institution buffer.
Based on the assumptions above, assuming a 13% steady state CET1 capital ratio is achieved, RBS currently estimates that it
would have headroom of 2.2% to fully phased MDA trigger in 2019. This headroom will be subject to ongoing review to reflect
our risk appetite and accommodate regulatory and other changes.
Developments in prudential regulation
Following the EU Referendum, a period of uncertainty is expected regarding the regulatory landscape that will apply at the
point in time that the UK leaves the EU. EU regulation will continue to apply during the intervening period, expected to be
two years or longer, whilst the UK remains a member of the EU. RBS remains actively engaged and continues to monitor
developments with the regulatory bodies in the UK and beyond regarding the scope of regulation that may apply to RBS in the
future. In its July 2016 Financial Stability Report, the FPC reduced the countercyclical buffer rate to UK bank's exposures
from 0.5% to 0%.
*Not within the scope of Ernst & Young LLP's review report.
Appendix 1 Capital and risk management
Pillar 2A and MDA* (continued)
In the first half of 2016 the Basel Committee of Banking Supervision (BCBS) framework has continued to evolve, additionally
there have been revisions to Capital Requirements Regulations (CRR) and additional local rules for UK banks from the PRA.
The BCBS developments were:
● Credit risk: the proposals on Standardised and Internal Ratings Based approaches to calculating credit risk (including counterparty) restrict both portfolios where internal models are permitted to be used, and modelling approaches where modelling persists. Whist the final requirements are not expected until end 2016, capital requirements are expected to increase.
● Market risk:
○ The Interest Rate Risk in the Banking Book (IRRBB) standard issued in April 2016 maintains the Pillar 2 approach with enhanced market disclosure (Pillar 3), allowing
local supervisors to take account of individual circumstances when setting capital requirements.
○ The Fundamental Review of the Trading Book final standard was issued in January 2016. The major changes include: revisions to the approach for banking book/trading book
boundary, the replacement of VaR with an expected shortfall model and new, more risk sensitive standardised methodologies which will need to be calculated for the entire
book, regardless of whether a firm has permission to use a modelled approach. Capital requirements are expected to increase.
● Operational risk: The consultation published in March 2016 addresses perceived weakness in the current framework by revising the calculation methodology to include a firm's past operational losses, including conduct and litigation; capital requirements are expected to increase under these proposals.
● Pillar 3 disclosures: The 'Phase 2' proposal was issued in March 2016 and focused on the consolidation of separate disclosure requirements and initiatives currently in development. A number of initiatives are subject to substantial debate or industry interpretation.
● Leverage: The comprehensive review is likely to result in changes of approach for leverage exposure, including but not limited to: settlement balances, derivative exposures and off-balance sheet items.
● MREL: The EBA launched a consultation in July 2016 on the implementation and design of MREL, the EU equivalent of TLAC, but the scope is not limited to G-SIBs. The requirement will be set on a case- by-case basis by the resolution authorities. We currently anticipate initial guidance from the Bank of England on its proposed approach to MREL in the second half of 2016.
*Not within the scope of Ernst & Young LLP's review report.
Appendix 1 Capital and risk management
Capital management disclosures
Refer to Analysis of results - Capital and leverage for information on Capital, RWAs and leverage and the Pillar 3
supplement for capital and leverage relating to significant subsidiaries and also CRR templates.
Capital resources
End-point CRR basis (1) PRA transitional basis (1)
30 June 31 March 31 December 30 June 31 March 31 December
2016 2016 2015 2016 2016 2015
£m £m £m £m £m £m
Shareholders' equity (excluding
non-controlling interests)
Shareholders' equity 52,907 53,377 53,431 52,907 53,377 53,431
Preference shares - equity (3,305) (3,305) (3,305) (3,305) (3,305) (3,305)
Other equity instruments (2,536) (2,646) (2,646) (2,536) (2,646) (2,646)
47,066 47,426 47,480 47,066 47,426 47,480
Regulatory adjustments and deductions
Own credit (587) (371) (104) (587) (371) (104)
Defined benefit pension fund adjustment (209) (458) (161) (209) (458) (161)
Cash flow hedging reserve (1,603) (1,141) (458) (1,603) (1,141) (458)
Deferred tax assets (1,040) (1,075) (1,110) (1,040) (1,075) (1,110)
Prudential valuation adjustments (603) (408) (381) (603) (408) (381)
Goodwill and other intangible assets (6,525) (6,534) (6,537) (6,525) (6,534) (6,537)
Expected losses less impairments (831) (936) (1,035) (831) (936) (1,035)
Other regulatory adjustments (14) (73) (86) (14) (73) (64)
(11,412) (10,996) (9,872) (11,412) (10,996) (9,850)
CET1 capital 35,654 36,430 37,608 35,654 36,430 37,630
Additional Tier 1 (AT1) capital
Eligible AT1 1,997 1,997 1,997 1,997 1,997 1,997
Qualifying instruments and related
share premium subject to phase out - - - 4,365 4,365 5,092
Qualifying instruments issued by
subsidiaries and held by third parties - - - 1,394 1,394 1,627
AT1 capital 1,997 1,997 1,997 7,756 7,756 8,716
Tier 1 capital 37,651 38,427 39,605 43,410 44,186 46,346
Qualifying Tier 2 capital
Qualifying instruments and related
share premium 6,443 5,960 5,745 7,188 6,406 6,265
Qualifying instruments issued by
subsidiaries and held by third parties 2,585 2,462 2,257 5,855 6,622 7,354
Tier 2 capital 9,028 8,422 8,002 13,043 13,028 13,619
Total regulatory capital 46,679 46,849 47,607 56,453 57,214 59,965
Note:
(1) Capital Requirements Regulation (CRR) as implemented by the Prudential Regulation Authority in the UK, with effect from 1 January 2014. All regulatory adjustments and deductions to CET1 have been applied in full for the end-point CRR basis with the exception of unrealised gains on available-for-sale (AFS) securities which has been included from 2015 for the PRA transitional basis.
Appendix 1 Capital and risk management
Capital flow statement*
The table below analyses the movement in end-point CRR CET1, AT1 and Tier 2 capital during the half year ended 30 June
2016.
CET1 AT1 Tier 2 Total
£m £m £m £m
At 1 January 2016 37,608 1,997 8,002 47,607
Loss for the period (2,045) - - (2,045)
Own credit (483) - - (483)
Share capital and reserve movements in respect of employee share schemes 187 - - 187
Ordinary shares issued 85 - - 85
Foreign exchange reserve 1,032 - - 1,032
AFS reserves (75) - - (75)
Goodwill and intangibles deduction 12 - - 12
Deferred tax assets 70 - - 70
Prudential valuation adjustments (222) - - (222)
Expected loss over impairment provisions 204 - - 204
Net dated subordinated debt/grandfathered instruments - - (364) (364)
Foreign exchange movements - - 1,390 1,390
Other movements (719) - - (719)
At 30 June 2016 35,654 1,997 9,028 46,679
*Not within the scope of Ernst & Young LLP's review report.
Appendix 1 Capital and risk management
Loss absorbing capital*
The following table illustrates the components of estimated loss absorbing capital (LAC) in RBSG plc and operating
subsidiaries.
At 30 June 2016 31 December 2015
Balance Balance
Par sheet Regulatory LAC Par sheet Regulatory LAC
value (1) value value (2) value (3) value (1) value value (2) value (3)
£bn £bn £bn £bn £bn £bn £bn £bn
CET1 capital (4) 35.7 35.7 35.7 35.7 37.6 37.6 37.6 37.6
Tier 1 capital: end point CRR compliant AT1
of which: RBSG plc (holdco) 2.0 2.0 2.0 2.0 2.0 2.0 2.0 2.0
of which: RBSG operating subsidiaries (opcos) - - - - - - - -
2.0 2.0 2.0 2.0 2.0 2.0 2.0 2.0
Tier 1 capital: non-end point CRR compliant
of which: holdco 6.1 6.4 6.0 4.7 6.0 6.0 5.9 4.6
of which: opcos 0.3 0.3 0.3 0.3 2.5 2.5 2.5 0.3
6.4 6.7 6.3 5.0 8.5 8.5 8.4 4.9
Tier 2 capital: end point CRR compliant
of which: holdco 6.5 7.0 6.4 5.2 5.8 5.9 5.7 4.4
of which: opcos 5.8 6.0 4.0 5.4 5.1 5.5 3.8 5.5
12.3 13.0 10.4 10.6 10.9 11.4 9.5 9.9
Tier 2 capital: non-end point CRR compliant
of which: holdco 0.3 0.3 0.2 0.1 0.3 0.3 0.2 0.1
of which: opcos 3.6 3.9 2.7 3.2 3.3 3.6 3.0 2.9
3.9 4.2 2.9 3.3 3.6 3.9 3.2 3.0
Senior unsecured debt securities issued by:
RBSG holdco 5.9 6.0 - 3.3 4.9 5.0 - 2.9
RBSG opcos 13.7 14.3 - - 17.7 18.1 - -
19.6 20.3 - 3.3 22.6 23.1 - 2.9
Total 79.9 81.9 57.3 59.9 85.2 86.5 60.7 60.3
RWAs 245.2 242.6
Leverage exposure 720.7 702.5
LAC as a ratio of RWAs 24.4% 24.9%
LAC as a ratio of leverage exposure 8.3% 8.6%
Notes:
(1) Par value reflects the nominal value of securities issued.
(2) Regulatory capital instruments issued from operating companies are included in the transitional LAC calculation, to the extent they meet the TLAC/MREL criteria.
(3) LAC value reflects RBS's interpretation of the 9 November 2015 FSB Term Sheet on TLAC and the Bank of England's consultation on their approach to setting MREL, published on 11 December 2015. MREL policy and requirements remain subject to further consultation, as such RBS estimated position remains subject to potential change. Liabilities excluded from LAC include instruments with less than one year remaining to maturity, structured debt, operating company senior debt, and other instruments that do not
meet the TLAC/MREL criteria.
(4) Corresponding shareholders' equity was £52.9 billion (31 December 2015 - £53.4 billion).
(5) Regulatory amounts reported for AT1, Tier 1 and Tier 2 instruments are before grandfathering restrictions imposed by CRR.
*Not within the scope of Ernst & Young LLP's review report.
Appendix 1 Capital and risk management
Risk-weighted assets*
The tables below analyse the movement in RWAs on the end-point CRR basis during the half year, by key drivers.
Credit risk RWAs
Non-counterparty Counterparty Total
£bn £bn £bn
At 1 January 2016 166.4 23.4 189.8
Foreign exchange movement 7.5 - 7.5
Business movements (3.5) 3.1 (0.4)
Risk parameter changes 2.3 (1.2) 1.1
Methodology changes (0.2) - (0.2)
Model updates 0.7 1.1 1.8
Other changes (0.7) (0.3) (1.0)
At 30 June 2016 172.5 26.1 198.6
Modelled (1) 135.3 23.0 158.3
Non-modelled 37.2 3.1 40.3
172.5 26.1 198.6
Market risk RWAs Operational
CIB Other Total risk RWAs Total
£bn £bn £bn £bn £bn
At 1 January 2016 13.8 7.4 21.2 31.6 52.8
Business and market movements (0.4) 0.1 (0.3) (5.9) (6.2)
At 30 June 2016 13.4 7.5 20.9 25.7 46.6
Modelled (1) 11.5 5.0 16.5 - 16.5
Non-modelled 1.9 2.5 4.4 25.7 30.1
13.4 7.5 20.9 25.7 46.6
Note:
(1) Modelled refers to advanced internal ratings (AIRB) basis for non-counterparty credit risk, internal model method (IMM) for counterparty credit risk, and value-at-risk and related models for market risk. These principally relate to Commercial Banking (£62.5 billion).
*Not within the scope of Ernst & Young LLP's review report.
Appendix 1 Capital and risk management
Risk-weighted assets* (continued)
The table below analyses the movement in end-point CRR RWAs by segment during the half year.
Ulster Central
Bank Commercial Private Capital items
UK PBB RoI Banking Banking RBSI CIB Resolution W&G & other Total
Total RWAs £bn £bn £bn £bn £bn £bn £bn £bn £bn £bn
At 1 January 2016 33.3 19.4 72.3 8.7 8.3 33.1 49.0 9.9 8.6 242.6
Foreign exchange movement - 2.3 1.5 - 0.5 0.3 2.5 - 0.4 7.5
Business movements 0.5 (0.2) 2.7 0.2 0.8 2.6 (6.4) (0.2) (6.6) (6.6)
Risk parameter changes (1) 3.9 (0.8) (0.1) - - 0.1 (2.1) 0.2 (0.1) 1.1
Methodology changes - - - (0.1) - - (0.1) - - (0.2)
Model updates (2) 0.1 - 0.2 - - 0.6 0.5 - 0.4 1.8
Other changes (0.8) 0.2 0.9 (0.7) - - (1.1) - 0.5 (1.0)
At 30 June 2016 37.0 20.9 77.5 8.1 9.6 36.7 42.3 9.9 3.2 245.2
Credit risk
- non-counterparty 29.1 19.7 71.0 7.0 8.9 4.6 22.7 8.5 1.0 172.5
- counterparty - 0.1 - - - 14.7 11.2 - 0.1 26.1
Market risk - - - - - 13.4 5.6 - 1.9 20.9
Operational risk 7.9 1.1 6.5 1.1 0.7 4.0 2.8 1.4 0.2 25.7
Total RWAs 37.0 20.9 77.5 8.1 9.6 36.7 42.3 9.9 3.2 245.2
Notes:
(1) Risk parameter changes relate to changes in credit quality metrics of customers and counterparties such as probability of default (PD) and loss given default (LGD).
(2) Credit risk models were updated during the year including: - UK PBB: non standard LGD model for mortgages and business banking EAD model. - CIB: large corporate PD model.
Key points
· The CET1 ratio of 14.5% decreased by 100 basis points which reflected a decrease in CET1 capital (£2.0 billion) and higher RWAs (£2.6 billion).
· RWAs increased by £2.6 billion to £245.2 billion in H1 2016, primarily as a result of adverse exchange rate movements (£7.5 billion) and risk parameter recalibrations (£1.1 billion) negating the improvements in operational risk RWAs (£5.9 billion).
· The foreign exchange movement occurred primarily in Capital Resolution (£2.5 billion), Ulster Bank RoI (£2.3 billion) and Commercial Banking (£1.5 billion) as sterling weakened against major currencies following the EU Referendum.
· The annual operational risk recalculation resulted in a decrease of £2.0 billion and a further £3.9 billion reduction relating to the removal of the element relating to Citizens, following PRA approval.
· UK PBB RWAs increased by £3.7 billion following ongoing UK mortgage PD calibration and loan growth. This was partially offset by the transfer of Northern Ireland loans to Commercial Banking.
· Growth in both new and existing lending and the transfer of Northern Ireland loans from UK PBB were the key contributors to the £5.2 billion increase in Commercial Banking.
· RWAs in CIB increased by £3.6 billion reflecting market volatility, foreign exchange movements alongside implementation of new risk metric models.
· Private Banking RWAs decreased by £0.6 billion primarily due to mortgage calibration improvements relating to buy-to-let mortgages.
· Capital Resolution RWAs continued to decrease in line with risk reduction strategy with RWAs falling by £6.7 billion. Reductions were across portfolios, the largest in Markets (£3.1 billion) relating to derivative restructuring, Global Transaction Services exits and run-off (£1.4 billion) and some of the Shipping portfolio being impaired following difficult market conditions and a fall in vessel values (£1 billion).
· The Central items decrease of £5.4 billion is significantly driven by the operational risk reduction relating to Citizens.
*Not within the scope of Ernst & Young LLP's review report.
Appendix 1 Capital and risk management
Liquidity and funding risk
Liquidity and funding risk is the risk that RBS is unable to meet its financial obligations, including financing wholesale
maturities or customer deposit withdrawals, as and when they fall due. The risk arises through the maturity transformation
role that banks perform. It is dependent on RBS specific factors such as maturity profile, composition of sources and uses
of funding, the quality and size of the liquidity portfolio as well as broader market factors, such as wholesale market
conditions alongside depositor and investor behaviour. For a description of the liquidity and funding risk framework,
governance and basis of preparation refer to Capital and risk management - Liquidity and funding risk in the 2015 Annual
Report and Accounts.
Regulatory developments
The UK liquidity regime follows the EU CRD IV framework which is expected to remain in force within the UK legal framework
for the foreseeable future. RBS will continue to monitor the regulatory landscape with respect to liquidity as it evolves
following the result of the EU Referendum.
Liquidity risk
Key metrics*
The table below sets out the key liquidity and related metrics monitored by RBS.
30 June 31 March 31 December
2016 2016 2015
Liquidity portfolio £153bn £157bn £156bn
Stressed outflow coverage (SCR) (1) 213% 218% 227%
LCR (2) 116% 121% 136%
NSFR (3) 119% 119% 121%
Loan:deposit ratio 92% 90% 89%
Notes:
(1) RBS's liquidity risk appetite is measured by reference to the liquidity portfolio as a percentage of stressed contractual and behavioural outflows under the worst of three severe stress scenarios of a market-wide stress, an idiosyncratic stress and a combination of both in RBS' ILAA. This assessment is performed in accordance with PRA guidance.
(2) On 1 October 2015 the LCR became the PRA's primary regulatory liquidity standard. It is a Pillar 1 metric to which the PRA apply Pillar 2 add-ons. UK banks are required to meet a minimum standard of 80% initially rising to 100% by 1 January 2018. The published LCR excludes Pillar 2 add-ons. RBS calculates the LCR using its own interpretations of the EU LCR Delegated Act, which may change over time and may not be fully comparable with those of other financial institutions.
(3) BCBS issued its final recommendations for the implementation of the net stable funding ratio in October 2014, proposing an implementation date of 1 January 2018. Pending further guidelines from the EU and the PRA, RBS uses the definitions and proposals from the BCBS paper and internal interpretations, to calculate the NSFR. Consequently RBS's ratio may change over time and may not be comparable with those of other financial institutions.
*Not within the scope of Ernst & Young LLP's review report.
Appendix 1 Capital and risk management
Liquidity portfolio
The table below shows the liquidity portfolio by product, liquidity value and by carrying value. Liquidity value is lower
than carrying value as it is stated after discounts applied by the Bank of England and other central banks to instruments,
within the secondary liquidity portfolio, eligible for discounting.
Liquidity value
Period end Average
UK DoLSub (1) Other Total Quarter H1 2016
30 June 2016 £m £m £m £m £m
Cash and balances at central banks 52,758 2,873 55,631 57,380 61,037
Central and local government bonds
AAA rated governments 4,712 644 5,356 4,362 4,144
AA- to AA+ rated governments and US agencies 19,781 1,293 21,074 22,059 23,172
24,493 1,937 26,430 26,421 27,316
Primary liquidity 77,251 4,810 82,061 83,801 88,353
Secondary liquidity (2) 69,456 1,261 70,717 66,083 65,642
Total liquidity value 146,707 6,071 152,778 149,884 153,995
Total carrying value 173,235 6,274 179,509
31 December 2015 FY 2015
Cash and balances at central banks 67,790 1,611 69,401 70,978 69,736
Central and local government bonds
AAA rated governments 3,201 1,098 4,299 4,254 5,263
AA- to AA+ rated governments and US agencies 18,238 3,216 21,454 23,597 22,546
Below AA rated governments - - - - 46
Local government - - - - 12
21,439 4,314 25,753 27,851 27,867
Primary liquidity 89,229 5,925 95,154 98,829 97,603
Secondary liquidity (2) 59,201 1,369 60,570 57,841 57,654
Total liquidity value 148,430 7,294 155,724 156,670 155,257
Total carrying value 181,240 7,494 188,734
Notes:
(1) The PRA regulated UK Domestic Liquidity Subgroup (UK DoLSub) comprising RBS's five licensed deposit-taking UK banks: The Royal Bank of Scotland plc, National Westminster Bank Plc, Ulster Bank Limited, Coutts & Co and Adam & Company plc. In addition, certain of RBS's significant operating subsidiaries - RBS N.V. and Ulster Bank Ireland DAC - hold managed portfolios that comply with local regulations that may differ from PRA rules.
(2) Comprises assets eligible for discounting at the Bank of England and other central banks.
(3) FY 2015 average includes Citizens up to the date of deconsolidation; excluding Citizens: £143,945 million.
Appendix 1 Capital and risk management
Funding risk
The composition of RBS's balance sheet is a function of the broad array of product offerings and diverse markets served by
its core businesses. The structural composition of the balance sheet is augmented as needed through active management of
both asset and liability portfolios. The objective of these activities is to optimise the liquidity profile, while ensuring
adequate coverage of all cash requirements under extreme stress conditions.
The table below summarises the key funding metrics.
Short-term wholesale Total wholesale Net inter-bank
funding (1) funding funding (2)
Excluding Including Excluding Including Deposits Loans (3) Net
derivative derivative derivative derivative inter-bank
collateral collateral collateral collateral funding
£bn £bn £bn £bn £bn £bn £bn
30 June 2016 14.7 38.3 55.1 78.6 7.8 (8.3) (0.5)
31 March 2016 16.6 39.9 58.9 82.3 8.4 (8.9) (0.5)
31 December 2015 17.2 37.6 58.7 79.1 7.7 (7.3) 0.4
30 September 2015 16.8 39.0 65.9 88.1 8.4 (10.2) (1.8)
30 June 2015 (4) 25.0 47.0 76.4 98.4 13.5 (12.3) 1.2
Notes:
(1) Short-term wholesale funding is funding with a residual maturity of less than one year.
(2) Excludes derivative cash collateral.
(3) Principally short-term balances.
(4) Incorporating Citizens short-term and total wholesale funding including and excluding derivative collateral of £4.5 billion and £5.9 billion respectively.
The table below shows the carrying values of the principal funding sources.
30 June 2016 31 December 2015
Short-term Long-term Short-term Long-term
less than more than Total less than more than Total
1 year 1 year 1 year 1 year
£m £m £m £m £m £m
Deposits by banks
derivative cash collateral 23,576 - 23,576 20,367 - 20,367
other deposits (1) 7,576 236 7,812 7,336 359 7,695
31,152 236 31,388 27,703 359 28,062
Debt securities in issue
certificates of deposit 271 58 329 742 202 944
medium-term notes 5,042 14,994 20,036 6,639 15,540 22,179
covered bonds 737 3,840 4,577 2,171 3,414 5,585
securitisations 3 2,203 2,206 4 2,438 2,442
6,053 21,095 27,148 9,556 21,594 31,150
Subordinated liabilities 1,066 19,047 20,113 323 19,524 19,847
Notes issued 7,119 40,142 47,261 9,879 41,118 50,997
Wholesale funding 38,271 40,378 78,649 37,582 41,477 79,059
Customer deposits
derivative cash collateral (2) 13,005 - 13,005 10,373 - 10,373
financial institution deposits 50,479 984 51,463 45,134 1,226 46,360
personal deposits 158,239 2,449 160,688 154,066 3,212 157,278
corporate deposits 129,511 1,182 130,693 130,514 1,466
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