REG - Royal Bk Scot.Grp. - Half Yearly Report - Part 3 <Origin Href="QuoteRef">RBS.L</Origin> - Part 2
29/10/2014 09:17
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29,979 7,787 37,766 12,909 7,626 20,535 43 98 54
Retail and leisure 26,637 7,906 34,543 16,008 7,894 23,902 60 100 69
Services 23,991 8,232 32,223 14,319 8,232 22,551 60 100 70
TMT(4) 14,868 2,249 17,117 7,849 2,230 10,079 53 99 59
Total corporates 234,488 42,871 277,359 118,682 41,892 160,574 51 98 58
Personal
Mortgages
- Western Europe
- UK 113,427 7,716 121,143 13,554 3,031 16,585 12 39 14
- Ireland 16,279 37 16,316 15,609 16 15,625 96 43 96
- Other 227 335 562 22 128 150 10 38 27
- US 132 18,999 19,131 13 9,430 9,443 10 50 49
- RoW 439 540 979 51 206 257 12 38 26
Total mortgages 130,504 27,627 158,131 29,249 12,811 42,060 22 46 27
Other personal 32,338 14,537 46,875 14,226 10,715 24,941 44 74 53
Total personal 162,842 42,164 205,006 43,475 23,526 67,001 27 56 33
Other items 5,484 16,468 21,952 4,095 16,486 20,581 75 100 94
Total 575,187 191,983 767,170 223,417 98,502 321,919 39 51 42
For the notes to this table refer to the following page.
*Not within the scope of Deloitte LLP's review report
Appendix 1 Capital and risk management
Risk-weighted assets*: Credit risk: RWA density (continued)
EAD post CRM (1) RWAs RWA density
AIRB STD Total AIRB STD Total AIRB STD Total
31 December 2013 £m £m £m £m £m £m % % %
Sector cluster
Sovereign
Central banks 34,809 59,351 94,160 1,289 180 1,469 4 - 2
Central government 17,940 8,401 26,341 2,418 30 2,448 13 - 9
Other sovereign 5,323 5,525 10,848 1,451 149 1,600 27 3 15
Total sovereign 58,072 73,277 131,349 5,158 359 5,517 9 - 4
Financial institutions (FI)
Banks 37,718 2,769 40,487 11,922 689 12,611 32 25 31
Other FI (2) 43,460 14,033 57,493 16,391 7,940 24,331 38 57 42
SEs (3) 21,564 2,523 24,087 5,827 2,189 8,016 27 87 33
Total FI 102,742 19,325 122,067 34,140 10,818 44,958 33 56 37
Corporates
Property
- Western Europe
- UK 50,250 2,771 53,021 27,904 2,461 30,365 56 89 57
- Ireland 10,338 107 10,445 3,087 136 3,223 30 127 31
- Other 8,764 143 8,907 4,937 130 5,067 56 91 57
- US 1,126 6,527 7,653 600 6,272 6,872 53 96 90
- RoW 3,579 317 3,896 2,817 253 3,070 79 80 79
Total property 74,057 9,865 83,922 39,345 9,252 48,597 53 94 58
Natural resources 29,403 2,826 32,229 15,586 2,435 18,021 53 86 56
Transport 31,677 3,024 34,701 21,678 2,709 24,387 68 90 70
Manufacturing 24,649 7,775 32,424 13,607 7,599 21,206 55 98 65
Retail and leisure 23,974 7,744 31,718 18,302 7,591 25,893 76 98 82
Services 22,716 8,757 31,473 15,972 8,382 24,354 70 96 77
TMT(4) 13,550 2,222 15,772 8,470 2,198 10,668 63 99 68
Total corporates 220,026 42,213 262,239 132,960 40,166 173,126 60 95 66
Personal
Mortgages
- Western Europe
- UK 110,470 7,841 118,311 14,412 3,267 17,679 13 42 15
- Ireland 17,148 33 17,181 16,108 12 16,120 94 36 94
- Other 202 507 709 25 202 227 12 40 32
- US 121 19,717 19,838 15 9,756 9,771 12 49 49
- RoW 396 242 638 50 107 157 13 44 25
Total mortgages 128,337 28,340 156,677 30,610 13,344 43,954 24 47 28
Other personal 33,358 14,521 47,879 15,286 10,703 25,989 46 74 54
Total personal 161,695 42,861 204,556 45,896 24,047 69,943 28 56 34
Other items 4,756 19,189 23,945 4,061 15,798 19,859 85 82 83
Total 547,291 196,865 744,156 222,215 91,188 313,403 41 46 42
Notes:
(1) Exposure at default post credit risk mitigation.
(2) Non-bank financial institutions, such as US agencies, insurance companies, pension funds, hedge and leverage funds, broker-dealers and non-bank subsidiaries of banks.
(3) Structured entities primarily relate to securitisation related vehicles.
(4) Telecommunications, media and technology.
*Not within the scope of Deloitte LLP's review report
Appendix 1 Capital and risk management
Liquidity and funding risk
Liquidity and funding risk is the risk that the Group is unable to meet its financial obligations, including financing
wholesale maturities or customer deposit withdrawals, as they fall due. The risk arises through the maturity transformation
role that banks play and is dependent on company 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 factors, such as wholesale market
conditions and depositor and investor behaviour. For a description of the liquidity and funding risk framework, governance
and basis of preparation refer to the Risk and balance sheet management section of the 2013 Annual Report and Accounts.
Overview
· The liquidity position remains strong: the liquidity portfolio of £138 billion at 30 June 2014 covered short-term wholesale funding (STWF) four times.
· Liquid assets decreased by £8 billion mainly driven by a targeted decrease in financial institution deposits in Q1, partly offset by additional low-cost secondary liquidity. Average liquid asset balances were down in Q2 compared with Q1 reflecting proactive management of excess liquidity whilst retaining a prudent coverage of potential outflows.
· The loan:deposit ratio increased by 200 basis points to 96% from 94% at 31 December 2013 reflecting continued focus on reducing excess funding.
· STWF increased marginally to £33.6 billion mainly reflecting the upcoming redemption of trust preferred securities and large term debt deals falling into the less than 1 year to maturity bucket.
Appendix 1 Capital and risk management
Liquidity risk
Liquidity and related metrics*
The table below sets out the key liquidity and related metrics monitored by the Group.
30 June 31 March 31 December
2014 2014 2013
% % %
Stressed outflow coverage (1) 178 165 145
Liquidity coverage ratio (LCR) (2) 104 103 102
Net stable funding ratio (NSFR) (3) 111 110 118
Notes:
(1) RBS's liquidity risk appetite is based on the Individual Liquidity Adequacy Assessment (ILAA) which is measured by reference to the liquidity portfolio as a percentage of stressed liquidity outflows under the worst of three severe stress scenarios; a market-wide stress, an idiosyncratic stress and a combination of both. Liquidity risk adequacy is determined by the surplus of liquid assets over three month stressed outflows under the worst case stress. This assessment is performed in accordance with PRA
guidance.
(2) In January 2013, the BCBS published its final guidance for calculating LCR which is currently expected to come into effect from January 2015 on a phased basis. Pending the finalisation of the LCR rules within the EU, RBS monitors the LCR based on its own interpretations of current guidance available for EU LCR reporting. Therefore, the reported LCR will change over time with regulatory developments. Due to differences in interpretation of the rules RBS's ratio may not be comparable with those of other
financial institutions.
(3) The NSFR for all periods has been calculated using RBS's current interpretations of the existing rules relating to various BCBS guidance to date. Ratios for 31 March 2014 and 31 December 2013 have been revised accordingly. BCBS is expected to issue revised guidance on the NSFR towards the end of 2014 or early 2015.
Liquidity portfolio
The table below shows RBS's liquidity portfolio by product, liquidity value and 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 DLG (1) CFG Other Total Quarter H1 2014
30 June 2014 £m £m £m £m £m £m
Cash and balances at central banks 58,823 2,533 1,825 63,181 59,974 62,723
Central and local government bonds
AAA rated governments 5,583 2 - 5,585 4,241 3,527
AA- to AA+ rated governments and US agencies 5,622 6,224 - 11,846 10,701 11,155
11,205 6,226 - 17,431 14,942 14,682
Primary liquidity 70,028 8,759 1,825 80,612 74,916 77,405
Secondary liquidity (2) 54,928 934 1,597 57,459 53,420 53,986
Total liquidity value 124,956 9,693 3,422 138,071 128,336 131,391
Total carrying value 160,357 10,236 2,741 173,334
For the notes to this table refer to the following page.
*Not within the scope of Deloitte LLP's review report
Appendix 1 Capital and risk management
Liquidity risk (continued)
Liquidity portfolio (continued)
Liquidity value
Period end Average
UK
DLG (1) CFG Other Total Quarter Year
31 December 2013 £m £m £m £m £m £m
Cash and balances at central banks 71,121 824 2,417 74,362 76,242 80,933
Central and local government bonds
AAA rated governments and US agencies 3,320 - - 3,320 3,059 5,149
AA- to AA+ rated governments 5,822 6,369 96 12,287 13,429 12,423
Below AA rated governments - - - - - 151
Local government - - - - 7 148
9,142 6,369 96 15,607 16,495 17,871
Treasury bills - - - - 6 395
Primary liquidity 80,263 7,193 2,513 89,969 92,743 99,199
Secondary liquidity (2) 48,718 4,968 2,411 56,097 56,869 56,589
Total liquidity value 128,981 12,161 4,924 146,066 149,612 155,788
Total carrying value 159,743 17,520 6,970 184,233
The table below shows the currency split of the liquidity portfolio.
Total liquidity portfolio GBP USD EUR Other Total
£m £m £m £m £m
30 June 2014 91,073 33,028 12,579 1,391 138,071
31 December 2013 100,849 33,365 10,364 1,488 146,066
Notes:
(1) The PRA regulated UK Defined Liquidity Group (UK DLG) comprises the RBS's five licensed deposit taking UK banks: The Royal Bank of Scotland plc, National Westminster Bank Plc, Ulster Bank Limited, Coutts & Company and Adam & Company. In addition, certain of the Group's significant operating subsidiaries - RBS N.V., Citizens Financial Group Inc. and Ulster Bank Ireland Limited - hold liquidity portfolios of liquid assets that comply with local regulations that may differ from PRA rules.
(2) Includes assets eligible for discounting at the Bank of England and other central banks.
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 divisions. 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.
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 2014 33.6 55.1 101.6 123.1 17.7 (19.3) (1.6)
31 March 2014 31.0 50.8 101.5 121.3 15.6 (18.1) (2.5)
31 December 2013 32.4 51.5 108.1 127.2 16.2 (17.3) (1.1)
30 September 2013 34.6 55.1 113.6 134.1 18.1 (16.6) 1.5
30 June 2013 36.7 58.9 129.4 151.5 23.1 (17.1) 6.0
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.
Funding sources
The table below shows RBS's principal funding sources excluding repurchase agreements (repos).
30 June 2014 31 December 2013
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 21,430 - 21,430 19,086 - 19,086
other deposits 16,544 1,205 17,749 14,553 1,690 16,243
37,974 1,205 39,179 33,639 1,690 35,329
Debt securities in issue
commercial paper 1,091 - 1,091 1,583 - 1,583
certificates of deposit 1,751 97 1,848 2,212 65 2,277
medium-term notes 8,083 32,552 40,635 10,385 36,779 47,164
covered bonds 1,780 7,039 8,819 1,853 7,188 9,041
securitisations 511 6,183 6,694 514 7,240 7,754
13,216 45,871 59,087 16,547 51,272 67,819
Subordinated liabilities 3,885 20,924 24,809 1,350 22,662 24,012
Notes issued 17,101 66,795 83,896 17,897 73,934 91,831
Wholesale funding 55,075 68,000 123,075 51,536 75,624 127,160
Customer deposits
derivative cash collateral (1) 6,469 - 6,469 7,082 - 7,082
financial institution deposits 47,029 2,038 49,067 44,621 2,265 46,886
personal deposits 180,024 6,089 186,113 183,799 8,115 191,914
corporate deposits 156,451 3,157 159,608 167,100 4,687 171,787
Total customer deposits 389,973 11,284 401,257 402,602 15,067 417,669
Total funding excluding repos 445,048 79,284 524,332 454,138 90,691 544,829
Note:
(1) Cash collateral includes £5,720 million (31 December 2013 - £6,720 million) from financial institutions.
Appendix 1 Capital and risk management
Funding risk (continued)
Total funding by currency
GBP USD EUR Other Total
30 June 2014 £m £m £m £m £m
Deposits by banks 6,830 10,808 19,300 2,241 39,179
Debt securities in issue
- commercial paper 3 573 486 29 1,091
- certificates of deposit 494 1,116 237 1 1,848
- medium-term notes 5,287 10,319 20,285 4,744 40,635
- covered bonds 983 - 7,836 - 8,819
- securitisations 1,830 2,090 2,774 - 6,694
Subordinated liabilities 1,792 13,604 7,202 2,211 24,809
Wholesale funding 17,219 38,510 58,120 9,226 123,075
% of wholesale funding 14% 31% 47% 8% 100%
Customer deposits 271,438 79,877 40,137 9,805 401,257
Total funding excluding repos 288,657 118,387 98,257 19,031 524,332
% of total funding 55% 22% 19% 4% 100%
31 December 2013
Deposits by banks 7,418 8,337 17,004 2,570 35,329
Debt securities in issue
- commercial paper 4 897 682 - 1,583
- certificates of deposit 336 1,411 476 54 2,277
- medium-term notes 6,353 11,068 23,218 6,525 47,164
- covered bonds 984 - 8,057 - 9,041
- securitisations 1,897 2,748 3,109 - 7,754
Subordinated liabilities 1,857 10,502 8,984 2,669 24,012
Wholesale funding 18,849 34,963 61,530 11,818 127,160
% of wholesale funding 15% 28% 48% 9% 100%
Customer deposits 272,304 86,727 49,116 9,522 417,669
Total funding excluding repos 291,153 121,690 110,646 21,340 544,829
% of total funding 54% 22% 20% 4% 100%
Repos
The table below analyses RBS's repos by counterparty type.
30 June 31 December
2014 2013
£m £m
Financial institutions
- central and other banks 31,722 28,650
- other financial institutions 44,325 52,945
Corporate 7,215 3,539
83,262 85,134
Appendix 1 Capital and risk management
Funding risk (continued)
Segment loan:deposit ratios and funding surplus
The table below shows loans, deposits, loan:deposit ratios (LDR) and customer funding surplus/(gap) by reporting segment.
30 June 2014 31 December 2013
Funding Funding
Loans (1) Deposits (2) LDR surplus/(gap) Loans (1) Deposits (2) LDR surplus/(gap)
£m £m % £m £m £m % £m
UK PBB 126,422 145,971 87 19,549 124,828 144,841 86 20,013
Ulster Bank 22,423 20,688 108 (1,735) 26,068 21,651 120 (4,417)
PBB 148,845 166,659 89 17,814 150,896 166,492 91 15,596
Commercial Banking 83,980 87,987 95 4,007 83,454 90,883 92 7,429
Private Banking 16,525 35,890 46 19,365 16,644 37,173 45 20,529
CPB 100,505 123,877 81 23,372 100,098 128,056 78 27,958
CIB 68,978 55,492 124 (13,486) 68,148 64,734 105 (3,414)
Central items 844 1,002 84 158 289 1,081 27 792
CFG 51,722 52,923 98 1,201 50,279 55,118 91 4,839
RCR 15,658 1,304 nm (14,354) n/a n/a n/a n/a
Non-Core n/a n/a n/a n/a 22,880 2,188 nm (20,692)
386,552 401,257 96 14,705 392,590 417,669 94 25,079
nm = not meaningful
Notes:
(1) Excludes reverse repo agreements and net of impairment provisions.
(2) Excludes repo agreements.
£154 billion (or 38%) of the customer deposits included above are insured through the UK Financial Services Compensation
Scheme, US Federal Deposit Insurance Corporation scheme and other similar schemes. Of the personal and corporate deposits
above, 54% relate to personal customers.
Encumbrance
RBS's encumbrance ratios are set out below.
In general encumbrance ratios decreased marginally reflecting the balance sheet structure.
Encumbrance ratios 30 June 31 December
2014 2013
% %
Total 16 17
Excluding balances relating to derivatives transactions 17 19
Excluding balances relating to derivative and securities financing transactions 11 11
Appendix 1 Capital and risk management
Balance sheet encumbrance
Encumbered assets relating to: Unencumbered
Debt securities in issue Other secured liabilities Total Encumbered Readily realisable (3)
Securitisations Covered Secured encumbered assets as a Liquidity Other (4) Cannot be (5)
and conduits bonds Derivatives Repos balances (1) assets (2) % of related portfolio Other realisable encumbered Total
30 June 2014 £bn £bn £bn £bn £bn £bn assets £bn £bn £bn £bn £bn
Cash and balances at central banks - - - - 2.1 2.1 3 61.1 5.5 - - 68.7
Loans and advances to banks 4.8 0.3 9.7 - 0.3 15.1 52 2.1 7.9 3.8 - 28.9
Loans and advances to customers
- UK residential mortgages 13.2 14.9 - - - 28.1 25 67.9 7.9 8.1 - 112.0
- Irish residential mortgages 8.9 - - - 1.0 9.9 69 - 4.3 - 0.1 14.3
- US residential mortgages - - - - 10.4 10.4 55 1.4 - 0.4 6.8 19.0
- UK credit cards 3.0 - - - - 3.0 55 - 2.3 0.2 - 5.5
- UK personal loans 3.4 - - - - 3.4 37 - 3.0 2.8 - 9.2
- other 7.6 - 17.1 - 1.0 25.7 11 7.5 13.5 138.4 41.5 226.6
Reverse repurchase agreements
and stock borrowing - - - - - - - - - - 81.7 81.7
Debt securities 0.3 - 7.4 44.9 2.6 55.2 49 15.8 40.1 1.4 0.3 112.8
Equity shares - - 0.2 5.1 - 5.3 68 - 1.0 0.3 1.2 7.8
Settlement balances - - - - - - - - - - 19.7 19.7
Derivatives - - - - - - - - - - 274.9 274.9
Intangible assets - - - - - - - - - - 12.2 12.2
Property, plant and equipment - - - - 0.3 0.3 4 - - 5.5 1.3 7.1
Deferred tax - - - - - - - - - - 3.1 3.1
Prepayments, accrued income and other assets - - - - - - - - - - 7.4 7.4
Assets of disposal groups - - - - - - - - - - 0.2 0.2
41.2 15.2 34.4 50.0 17.7 158.5 155.8 85.5 160.9 450.4 1,011.1
Securities retained 17.5
Total liquidity portfolio 173.3
Liabilities secured
Intra-Group - secondary liquidity (16.4) - - - - (16.4)
Intra-Group - other (14.5) - - - - (14.5)
Third-party (6) (6.7) (8.8) (34.4) (83.3) (10.4) (143.6)
(37.6) (8.8) (34.4) (83.3) (10.4) (174.5)
For the notes to this table refer to page 22.
Appendix 1 Capital and risk management
Balance sheet encumbrance (continued)
Encumbered assets relating to: Unencumbered
Debt securities in issue Other secured liabilities Total Encumbered Readily realisable (3)
Securitisations Covered Secured encumbered assets as a Liquidity Other (4) Cannot be (5)
and conduits bonds Derivatives Repos balances (1) assets (2) % of related portfolio Other realisable encumbered Total
31 December 2013 £bn £bn £bn £bn £bn £bn assets £bn £bn £bn £bn £bn
Cash and balances at central banks - - - - - - - 74.3 8.4 - - 82.7
Loans and advances to banks 5.8 0.5 10.3 - - 16.6 60 0.1 10.9 - - 27.6
Loans and advances to customers
- UK residential mortgages 14.6 16.2 - - - 30.8 28 60.8 18.6 - - 110.2
- Irish residential mortgages 9.3 - - - 1.2 10.5 70 0.7 3.8 - 0.1 15.1
- US residential mortgages - - - - 3.5 3.5 18 9.5 6.7 - - 19.7
- UK credit cards 3.4 - - - - 3.4 52 - 3.1 - - 6.5
- UK personal loans 3.4 - - - - 3.4 38 - 5.5 - - 8.9
- other 13.5 - 18.1 - 0.8 32.4 14 4.4 9.6 175.6 10.2 232.2
Reverse repurchase agreements
and stock borrowing - - - - - - - - - -
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