RBS.L Regulatory News (RBS)

●

Capital, liquidity and funding risk (pages 1 to 7);

●

Credit risk - Economic loss drivers(page 8);

●

Credit risk - Banking activities (page 9);

●

Credit risk - Banking activities segmental exposure (pages 10 to 12);

●

Credit risk - Banking activities sector analysis (pages 13 to 15);

●

Credit risk - Banking activities personal portfolio (pages 16 to 20);

●

Credit risk - Banking activities CRE (pages 21);

●

Credit risk - Banking activities flow statements (pages 22 to 28);

●

Credit risk - Asset quality (pages 29 to 33);

●

Credit risk - Trading activities (pages 34 to 36);

●

Credit risk - Cross border exposure (page 36);

●

Non-traded market risk (pages 37 to 41);

●

Traded market risk (page 41); and

●

Other risks (page 42)

●

The CET1 ratio decreased by 20 basis points to 16.0% as a result of the £2.0 billion attributable profit, offset by a foreseeable 5p ordinary dividend accrual of £0.6 billion, 12p special dividend of £1.4 billion and the impact of IFRS 16.

●

RWAs decreased by £0.2 billion in H1 2019. Credit risk decreased by £0.8 billion driven by the completion of the merger of Alawwal bank and SABB reducing credit risk by £4.6 billion, offset by increases in credit risk driven by the £1.3 billion uplift due to adoption of IFRS 16 from 1 January 2019, an increase due to PD calibrations affecting asset quality and growth in asset size. Counterparty credit risk increased primarily due to increased exposures.

●

The leverage ratio decreased to 5.2% driven by decreased capital.

●

The total loss absorbing capital ratio of 32.1% is above the BOE requirement of 24.0% by 1 January 2020.

●

In the first half of 2019, RBSG issued £3.0 billion new MREL eligible senior debt and redeemed a €1.0 billion Tier 2 security, with £0.5 billion of non-MREL RBSG senior debt also being repaid on maturity during the period. In subsidiaries, NWB issued a £750 million covered bond and NatWest Markets Plc maintained active issuance programmes for senior unsecured and secured notes, with net issuance of around £3 billion in the period.

●

RBSG participation in the Bank of England's Term Funding Scheme reduced by £4 billion.

●

The liquidity coverage ratio decreased from 158% to 154% driven by reductions in NWM Plc's liquidity position due to seasonally low outflows at 31 December 2018.

●

The net stable funding ratio was relatively consistent at 140% compared to 141% for FY 2018.

Minimum requirements

Type

CET1

Total Tier 1

Total capital

System wide

Pillar 1 minimum requirements

4.5%

6.0%

8.0%

Capital conservation buffer

2.5%

2.5%

2.5%

Countercyclical capital buffer (1)

0.7%

0.7%

0.7%

G-SIB buffer (2)

1.0%

1.0%

1.0%

Bank specific

Pillar 2A (4)

2.0%

2.7%

3.6%

Total (excluding PRA buffer) (5)

10.7%

12.9%

15.8%

Capital ratios at 30 June 2019

16.0%

18.2%

20.9%

(1)

The countercyclical capital buffer (CCyB) applied to UK designated assets is set by the Financial Policy Committee (FPC). The UK CCyB is currently 1.0% (effective from November 2018). The Republic of Ireland CCyB is currently 0.0%, the CBI have announced an increase to 1.0% effective July 2019. Foreign exposures may be subject to different CCyB rates depending on the rate set in those jurisdictions. Firm specific CCyB is based on a weighted average at CCyB's applicable to countries in which the Bank has exposures.

(2)

Globally systemically important banks (G-SIBs), as designated by the Financial Stability Board (FSB), are subject to an additional capital buffer of between 1.0% and 3.5%. In November 2018 the FSB announced that RBS is no longer a G-SIB. From 1 January 2020, RBS will be released from this global buffer requirement.

(3)

The Group will be subject to a systemic risk buffer (SRB) and this will apply at the ring-fenced bank sub-group level rather than at the consolidated group level. As from 1 August 2019 NWH will be subject to a Systemic Risk Buffer of 1.5%. Where the Systemic Risk Buffer is greater than the G-SII buffer, the PRA may require the consolidated group to hold a higher level of capital through the PRA buffer and Leverage Ratio Group add-on.

(4)

From 1 January 2015, UK banks have been required to meet at least 56% of its Pillar 2A capital requirement with CET1 capital and with balance with Additional Tier 1 and/or Tier 2 capital. Additional capital requirements under Pillar 2A may be specified by the PRA as a ratio or as an absolute value. The table sets out an implied ratio to cover the full value of Pillar 2A requirements.

(5)

The Group may be subject to a PRA buffer requirement as set by the PRA. The PRA buffer consists of two components:

- A risk management and governance buffer that is set as a scalar, up to 40% of the Pillar 1 and Pillar 2A requirements.

- A buffer to cover stress risks informed by the results of the BoE concurrent stress testing results.

- The PRA requires that the level of this buffer is not publicly disclosed.

(6)

The capital conservation buffer, the countercyclical capital buffer, the G-SIB buffer and systemic risk buffer (where applicable) make up the combined buffer. If the Group fails to meet the combined buffer requirement, it is subject to restrictions on distributions on CET1 instruments, discretionary coupons on AT1 instruments and on payment of variable remuneration or discretionary pension benefits. These restrictions are calculated by reference to the Group's Maximum Distributable Amount (MDA). Where a PRA buffer is applicable, the MDA trigger is below the PRA buffer and MDA restrictions are not automatically triggered if the Group fails to meet its PRA buffer. The MDA is calculated as the amount of interim or year-end profits not yet incorporated into CET1 capital multiplied by a factor ranging from 0 to 0.6 depending on the size of the CET1 shortfall against the combined buffer.

CET1

AT1

Tier 2

Total

£m

£m

£m

£m

At 1 January 2019

30,639 

4,051 

6,483 

41,173 

Profit for the year

711 

- 

- 

711 

Own credit

144 

- 

- 

144 

Share capital and reserve movements in respect of employee share schemes

49 

- 

- 

49 

Foreign exchange reserve

(296)

- 

- 

(296)

FVOCI reserves

(78)

- 

- 

(78)

Goodwill and intangibles deduction

(15)

- 

- 

(15)

Deferred tax assets

(129)

- 

- 

(129)

Prudential valuation adjustments

75 

- 

- 

75 

Expected loss less impairment

(72)

- 

- 

(72)

Net dated subordinated debt/grandfathered instruments

- 

- 

(1,400)

(1,400)

Foreign exchange movements

- 

- 

36 

36 

Foreseeable ordinary and special dividends

(728)

- 

- 

(728)

Other movements

(109)

- 

- 

(109)

At 30 June 2019

30,191 

4,051 

5,119 

39,361 

Counterparty

Operational

Credit risk

credit risk

Market risk

risk

Total RWAs

£bn

£bn

£bn

£bn

£bn

At 1 January 2019

137.9 

13.6 

14.8 

22.4 

188.7 

Foreign exchange movement

0.1 

- 

- 

- 

0.1 

Business movements (1)

2.9 

0.4 

(0.4)

0.2 

3.1 

Risk parameter changes (2)

0.7 

0.1 

- 

- 

0.8 

Model updates (3)

0.2 

- 

0.2 

- 

0.4 

Other movements (4)

(4.7)

0.1 

- 

- 

(4.6)

At 30 June 2019

137.1 

14.2 

14.6 

22.6 

188.5 

Personal & Ulster

Commercial & Private

Central

Ulster

Commercial

Private

NatWest

items

Total RWAs

UK PB

Bank RoI

Banking

Banking

RBSI

Markets

& other

Total

£bn

£bn

£bn

£bn

£bn

£bn

£bn

£bn

At 1 January 2019 *

34.3 

14.7 

78.4 

9.4 

6.9 

44.9 

0.1 

188.7 

Foreign exchange movement

- 

- 

0.1 

- 

- 

- 

- 

0.1 

Business movements (1)

1.4 

(0.1)

1.0 

0.3 

0.2 

- 

0.3 

3.1 

Risk parameter changes (2)

1.3 

(0.4)

(0.2)

- 

- 

0.1 

- 

0.8 

Model updates (3)

- 

- 

0.2 

- 

- 

0.2 

- 

0.4 

Other movements (4)

- 

- 

(1.7)

- 

(0.2)

(3.8)

1.1 

(4.6)

At 30 June 2019

37.0 

14.2 

77.8 

9.7 

6.9 

41.4 

1.5 

188.5 

Credit risk

29.3 

13.2 

68.5 

8.4 

6.1 

10.1 

1.5 

137.1 

Counterparty credit risk

0.1 

- 

0.2 

0.1 

- 

13.8 

- 

14.2 

Market risk

0.1 

- 

0.3 

- 

- 

14.2 

- 

14.6 

Operational risk

7.5 

1.0 

8.8 

1.2 

0.8 

3.3 

- 

22.6 

Total RWAs

37.0 

14.2 

77.8 

9.7 

6.9 

41.4 

1.5 

188.5 

(1)

Included within business movements is the £1.3 billion uplift in credit risk due to adoption of IFRS 16 from 1 January 2019.

(2)

Risk parameter changes relate to asset quality metrics of customers and counterparties such as probability of default (PD) and loss given default (LGD).

(3)

Model updates relates primarily to revision in LGD models for the UK mid-corporate portfolios.

(4)

Other primarily reflects the reduction following the Alawwal bank merger. Other also reflects assets which have transferred between Commercial Banking, RBSI, Central items and NatWest Markets.

30 June 2019

31 December 2018

PRA

PRA

End-point

transitional

End-point

transitional

CRR basis

basis

CRR basis

basis

£m

£m

£m

£m

Shareholders' equity (excluding non-controlling interests)

 Shareholders' equity

46,221 

46,221 

45,736 

45,736 

 Preference shares - equity

(496)

(496)

(496)

(496)

 Other equity instruments

(4,058)

(4,058)

(4,058)

(4,058)

41,667 

41,667 

41,182 

41,182 

Regulatory adjustments and deductions

 Own credit

(261)

(261)

(405)

(405)

 Defined benefit pension fund adjustment

(400)

(400)

(394)

(394)

 Cash flow hedging reserve

(117)

(117)

191 

191 

 Deferred tax assets

(869)

(869)

(740)

(740)

 Prudential valuation adjustments

(419)

(419)

(494)

(494)

 Goodwill and other intangible assets

(6,631)

(6,631)

(6,616)

(6,616)

 Expected losses less impairments

(726)

(726)

(654)

(654)

 Foreseeable ordinary and special dividends

(2,053)

(2,053)

(1,326)

(1,326)

 Other regulatory adjustments

- 

- 

(105)

(105)

(11,476)

(11,476)

(10,543)

(10,543)

CET1 capital

30,191 

30,191 

30,639 

30,639 

Additional Tier 1 (AT1) capital

 Qualifying instruments and related share premium

4,051 

4,051 

4,051 

4,051 

 Qualifying instruments and related share premium subject to phase out

- 

1,398 

- 

1,393 

 Qualifying instruments issued by subsidiaries and held by third parties

subject to phase out

- 

140 

- 

140 

AT1 capital

4,051 

5,589 

4,051 

5,584 

Tier 1 capital

34,242 

35,780 

34,690 

36,223 

Qualifying Tier 2 capital

 Qualifying instruments and related share premium

4,969 

5,054 

6,301 

6,386 

 Qualifying instruments issued by subsidiaries and held by third parties

150 

1,498 

182 

1,565 

Tier 2 capital

5,119 

6,552 

6,483 

7,951 

Total regulatory capital

39,361 

42,332 

41,173 

44,174 

30 June 2019

31 December 2018

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)

30.2 

30.2 

30.2 

30.2 

30.6 

30.6 

30.6 

30.6 

Tier 1 capital: end-point CRR compliant AT1

of which: RBSG (holdco)

4.0 

4.0 

4.0 

4.0 

4.0 

4.0 

4.0 

4.0 

of which: RBSG operating subsidiaries (opcos)

- 

- 

- 

- 

- 

- 

- 

- 

4.0 

4.0 

4.0 

4.0 

4.0 

4.0 

4.0 

4.0 

Tier 1 capital: end-point CRR non compliant

of which: holdco

1.4 

1.6 

1.4 

0.5 

1.4 

1.6 

1.4 

0.5 

of which: opcos

0.1 

0.1 

0.1 

0.1 

0.1 

0.1 

0.1 

0.1 

1.5 

1.7 

1.5 

0.6 

1.5 

1.7 

1.5 

0.6 

Tier 2 capital: end-point CRR compliant

of which: holdco

5.9 

6.1 

5.0 

4.3 

6.8 

6.7 

6.3 

5.1 

of which: opcos

0.5 

0.5 

0.3 

0.5 

0.5 

0.5 

0.3 

0.5 

6.4 

6.6 

5.3 

4.8 

7.3 

7.2 

6.6 

5.6 

Tier 2 capital: end-point CRR non compliant

of which: holdco

0.1 

0.1 

0.1 

0.1 

0.1 

0.1 

0.1 

0.1 

of which: opcos

1.6 

2.0 

1.3 

1.7 

1.9 

2.0 

1.4 

1.6 

1.7 

2.1 

1.4 

1.8 

2.0 

2.1 

1.5 

1.7 

Senior unsecured debt securities issued by:

RBSG holdco

19.4 

20.0 

- 

19.2 

16.8 

16.8 

- 

15.5 

RBS opcos

20.6 

20.5 

- 

- 

17.1 

16.9 

- 

- 

40.0 

40.5 

- 

19.2 

33.9 

33.7 

- 

15.5 

Total

83.8 

85.0 

42.4 

60.6 

79.3 

79.3 

44.2 

58.0 

RWAs

188.5 

188.7 

CRR leverage exposure

659.1 

644.5 

LAC as a ratio of RWAs

32.1%

30.7%

LAC as a ratio of CRR leverage exposure

9.2%

9.0%

(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 current MREL criteria.

(3)

LAC value reflects RBS's interpretation of the Bank of England's approach to setting a minimum requirement for own funds and eligible liabilities (MREL), published in June 2018. MREL policy and requirements remain subject to further potential development, 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 MREL criteria. The LAC calculation includes eligible Tier 1 and Tier 2 securities before the application of any regulatory caps or adjustments.

(4)

Corresponding shareholders' equity was £46.2 billion (31 December 2018 - £45.7 billion).

(5)

Regulatory amounts reported for AT1, Tier 1 and Tier 2 instruments are before grandfathering restrictions imposed by CRR.

30 June 2019

31 December 2018

Short-term

Long-term

Short-term

Long-term

less than

more than

less than

more than

1 year

1 year

Total

1 year

1 year

Total

£m

£m

£m

£m

£m

£m

Personal and corporate deposits

Personal (1)

180,503 

1,376 

181,879 

178,293 

1,499 

179,792 

Corporate (2)

132,323 

272 

132,595 

131,575 

142 

131,717 

312,826 

1,648 

314,474 

309,868 

1,641 

311,509 

Financial institutions deposits

Banks (3)

6,581 

13,315 

19,896 

6,758 

15,865 

22,623 

Non-bank financial institutions (NBFI) (4)

46,977 

1,092 

48,069 

46,800 

564 

47,364 

53,558 

14,407 

67,965 

53,558 

16,429 

69,987 

Debt securities in issue

Commercial papers (CPs) and certificates of deposits (CDs)

3,192 

16 

3,208 

3,157 

- 

3,157 

Medium-term notes

7,651 

29,662 

37,313 

4,928 

25,596 

30,524 

Covered bonds

1,252 

4,888 

6,140 

- 

5,367 

5,367 

Securitisations

- 

1,215 

1,215 

- 

1,375 

1,375 

12,095 

35,781 

47,876 

8,085 

32,338 

40,423 

Subordinated liabilities

134 

9,674 

9,808 

299 

10,236 

10,535 

Repos (5)

Sovereign

1,479 

- 

1,479 

405 

- 

405 

Financial institutions

34,431 

424 

34,855 

29,664 

- 

29,664 

Corporate

472 

- 

472 

291 

- 

291 

36,382 

424 

36,806 

30,360 

- 

30,360 

Total funding

414,995 

61,934 

476,929 

402,170 

60,644 

462,814 

Of which: available in resolution (6)

- 

25,943 

25,943 

- 

22,909 

22,909 

CET 1 capital

30,191 

30,639 

CRR Leverage exposure

659,105 

644,498 

Funded assets

584,274 

560,886 

Funding coverage of CET 1 capital

16 

15 

Funding as a % of leverage exposure

72%

72%

Funding as a % of funded assets

82%

83%

Funding available in resolution as a % of CET1 capital

86%

75%

Funding available in resolution as a % of leverage exposure

4%

4%

Liquidity value

30 June 2019

31 December 2018

UK DoL

UK DoL

RBSG (1)

Sub (2)

NWM Plc

RBSG (1)

Sub (2)

NWM Plc

£m

£m

£m

£m

£m

£m

Cash and balances at central banks

83,979 

56,173 

12,783 

83,781 

59,745 

11,005 

Central and local government bonds

AAA rated governments

5,914 

2,458 

1,532 

8,188 

4,386 

615 

AA- to AA+ rated governments

and US agencies

41,013 

30,427 

4,260 

35,683 

25,845 

5,256 

Below AA rated governments

1,594 

- 

1,274 

- 

- 

- 

48,521 

32,885 

7,066 

43,871 

30,231 

5,871 

Primary liquidity

132,500 

89,058 

19,849 

127,652 

89,976 

16,876 

Secondary liquidity (3)

70,575 

69,652 

344 

70,231 

69,642 

344 

Total liquidity value

203,075 

158,710 

20,193 

197,882 

159,618 

17,220 

Total carrying value

232,653 

187,874 

20,408 

225,039 

186,340 

17,388 

(1)

RBSG includes UK DoLSub, NatWest Markets Plc and other significant operating subsidiaries that hold liquidity portfolios. These include RBS International, NWM N.V. and Ulster Bank Ireland DAC who hold managed portfolios that comply with local regulations that may differ from PRA rules.

(2)

UK DoLSub comprises RBSG's four licensed deposit-taking UK banks within the ring-fenced bank: National Westminster Bank Plc, The Royal Bank of Scotland

plc, Coutts & Co and Ulster Bank Limited.

(3)

Secondary liquidity represents assets pre-positioned with central bank refinancing facilities. 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.

30 June 2019

31 December 2018

Upside 2

Upside 1

Base case

Downside 1

Downside 2

Upside 2

Upside 1

Base case

Downside 1

Downside 2

 %

 %

 %

 %

 %

%

%

 %

%

 %

UK

GDP - change

2.5 

2.2 

1.6 

1.3 

0.9 

2.6 

2.3 

1.7 

1.5 

1.1 

Unemployment

3.2 

3.7 

4.7 

5.4 

6.5 

3.3 

3.8 

5.0 

5.6 

6.9 

House Price Inflation - change

4.7 

3.7 

1.7 

1.0 

(0.9)

4.3 

3.3 

1.7 

1.1 

(0.5)

Bank of England base rate

1.3 

1.2 

1.0 

0.1 

- 

1.7 

1.3 

1.1 

0.5 

- 

Republic of Ireland

GDP - change

5.3 

4.3 

3.5 

3.1 

2.4 

4.3 

3.6 

3.0 

3.1 

2.8 

Unemployment

4.1 

4.5 

5.1 

5.9 

6.7 

4.2 

4.6 

5.2 

6.0 

6.8 

House Price Inflation - change

10.0 

7.3 

3.9 

2.8 

(0.1)

9.2 

6.8 

4.0 

3.2 

0.8 

European Central Bank base rate

1.5 

0.8 

0.1 

- 

- 

1.3 

0.8 

0.3 

- 

- 

World GDP - change

3.9 

3.4 

2.8 

2.5 

2.0 

3.6 

3.2 

2.7 

2.5 

2.3 

Probability weight

12.7 

14.8 

30.0 

29.7 

12.7 

12.8 

17.0 

30.0 

25.6 

14.6 

●

Scenario selection - Two upside and two downside scenarios from Moody's inventory of scenarios were chosen. The aim is to obtain downside scenarios that are not as severe as stress tests, so typically they have a severity of around one in ten and one in five of approximate likelihood, along with corresponding upsides.

●

Severity assessment - Having selected the most appropriate scenarios their severity is then assessed based on the behaviour of UK GDP by calculating a variety of measures such as average growth, deviation from baseline and peak to trough falls. These measures are compared against a set of 1,000 model runs, following which, a percentile in the distribution is established which most closely corresponds to the scenario.

●

Probability assignment - Having established the relevant percentile points, probability weights are assigned to ensure that the scenarios produce an unbiased result. If the severity assessment step shows the scenarios to be broadly symmetric, then this will result in a symmetric probability weight (same probability weight above and below the base case). However, if the downsides are not as extreme as the upsides, then a higher probability weight is allocated to the downsides to ensure the unbiasedness requirement is satisfied. This adjustment is made purely to restore unbiasedness, not to address any relative skew in the distribution of risks in the economic outlook.

●

Loans: £325 billion of which Stage 1 £292 billion; Stage 2 £25.7 billion; and Stage 3 £7.3 billion (31 December 2018 - £319.8 billion of which Stage 1 £286.0 billion; Stage 2 £26.1 billion; and Stage 3 £7.7 billion).

●

Other financial assets: £147 billion of which Stage 1 £146.8 billion; Stage 2 £0.2 billion; and Stage 3 nil (31 December 2018 - £144.1 billion of which Stage 1 £144.1 billion; Stage 2 nil; and Stage 3 nil).

●

Settlement balances, items in the course of collection, cash balances and other non-credit risk assets of £10.1 billion. These were assessed as having no ECL unless there was evidence that they were credit impaired.

●

Equity shares of £1.1 billion as not within the IFRS 9 ECL framework by definition.

●

Fair value adjustments of £1.1 billion on loans hedged by interest rate swaps, where the underlying loan was within the IFRS 9 ECL scope.

●

Group-originated securitisations, where ECL was captured on the underlying loans of £0.4 billion.

●

Commercial cards which operate in a similar manner to charge cards, with balances repaid monthly via mandated direct debit with the underlying risk of loss captured within the customer's linked current account of £0.4 billion.

Ulster

Commercial

Private

Central items

UK PB

Bank RoI

Banking

Banking

RBSI

NWM

& other

Total

30 June 2019

£m

£m

£m

£m

£m

£m

£m

£m

Loans - amortised cost

Stage 1

137,384 

19,684 

90,287 

14,198 

15,011 

9,539 

5,881 

291,984 

Stage 2

13,515 

1,638 

9,237 

531 

426 

229 

129 

25,705 

Stage 3

1,827 

2,171 

2,340 

173 

99 

715 

- 

7,325 

152,726 

23,493 

101,864 

14,902 

15,536 

10,483 

6,010 

325,014 

ECL provisions (1)

Stage 1

99 

28 

123 

12 

4 

8 

6 

280 

Stage 2

417 

56 

187 

9 

2 

10 

1 

682 

Stage 3

710 

588 

926 

19 

16 

81 

- 

2,340 

1,226 

672 

1,236 

40 

22 

99 

7 

3,302 

ECL provisions coverage (2)

Stage 1 (%)

0.07 

0.14 

0.14 

0.08 

0.03 

0.08 

0.10 

0.10 

Stage 2 (%)

3.09 

3.42 

2.02 

1.69 

0.47 

4.37 

0.78 

2.65 

Stage 3 (%)

38.86 

27.08 

39.57 

10.98 

16.16 

11.33 

- 

31.95 

0.80 

2.86 

1.21 

0.27 

0.14 

0.94 

0.12 

1.02 

Impairment losses

ECL charge (3)

181 

(21)

202 

(3)

(3)

(36)

3 

323 

Stage 1

(53)

(24)

(55)

(5)

(3)

(2)

2 

(140)

Stage 2

103 

(38)

38 

(1)

- 

(2)

1 

101 

Stage 3

131 

41 

219 

3 

- 

(32)

- 

362 

ECL loss rate - annualised (basis points)

23.70 

(17.88)

39.66 

(4.03)

(3.86)

(68.68)

9.98 

19.88 

Amounts written-off

90 

72 

276 

1 

2 

11 

- 

452 

31 December 2018*

Loans - amortised cost

Stage 1

134,836 

17,822 

91,034 

13,750 

13,383 

8,196 

6,964 

285,985 

Stage 2

13,245 

2,080 

9,518 

531 

289 

407 

27 

26,097 

Stage 3

1,908 

2,308 

2,448 

225 

101 

728 

- 

7,718 

149,989 

22,210 

103,000 

14,506 

13,773 

9,331 

6,991 

319,800 

ECL provisions (1)

Stage 1

101 

35 

124 

13 

6 

6 

- 

285 

Stage 2

430 

114 

194 

10 

3 

12 

- 

763 

Stage 3

597 

638 

942 

20 

17 

106 

- 

2,320 

1,128 

787 

1,260 

43 

26 

124 

- 

3,368 

ECL provisions coverage (2)

Stage 1 (%)

0.07 

0.20 

0.14 

0.09 

0.04 

0.07 

- 

0.10 

Stage 2 (%)

3.25 

5.48 

2.04 

1.88 

1.04 

2.95 

- 

2.92 

Stage 3 (%)

31.29 

27.64 

38.48 

8.89 

16.83 

14.56 

- 

30.06 

0.75 

3.54 

1.22 

0.30 

0.19 

1.33 

- 

1.05 

Impairment losses

ECL charge (3)

339 

15 

147 

(6)

(2)

(92)

(3)

398 

ECL loss rate - annualised (basis points)

22.60 

6.75 

14.27 

(4.14)

(1.45)

(98.60)

(4.29)

12.45 

Amounts written-off

445 

372 

572 

7 

9 

89 

- 

1,494 

●

Total ECL provisions reduced slightly in the first half of 2019. The reduced ECL requirement in Stage 1 and Stage 2 performing exposures offset a small increased provisioning requirement in Stage 3 exposures. The ECL requirement arising from the economic uncertainty associated with Brexit is formally reviewed by the Provisions Committee at the end of each quarter. As at the end of H1 2019, the modelled impact remained unchanged from the year end at £101 million.

●

In UK PB, the ECL levels remained broadly stable in Stage 1 and Stage 2 with the increase in Stage 3 including the effect of a loss rate model adjustment on unsecured lending. In addition, the value of new defaults was higher than write-offs and debt repayments by customers, and unlike in 2018, there were no debt sales in H1 2019.

●

In Ulster Bank RoI, the reduction in ECL was driven by ongoing improvements in the portfolio performance and the completion of the remainder of the Bank's 2018 sale of non-performing loans in H1 2019.

●

In Commercial Banking, the ECL balance reduced marginally with write-offs of legacy positions more than offsetting the small number of significant individual charges during the period.

●

The impairment charge for the half year was £323 million (20 basis points annualised), remaining below the longer term view of normalised loss rates of between 30 and 40 basis points. The charge in Q2 2019 was higher than Q1, driven by a small number of significant individual charges within Commercial Banking.

Gross loans

ECL provisions (2)

Stage 2 (1)

Stage 2 (1)

Stage 1

≤30 DPD

>30 DPD

Total

Stage 3

Total

Stage 1

≤30 DPD

>30 DPD

Total

Stage 3

Total

30 June 2019

£m

£m

£m

£m

£m

£m

£m

£m

£m

£m

£m

£m

UK PB

137,384 

12,900 

615 

13,515 

1,827 

152,726 

99 

371 

46 

417 

710 

1,226 

Ulster Bank RoI

19,684 

1,583 

55 

1,638 

2,171 

23,493 

28 

51 

5 

56 

588 

672 

Personal (3)

11,304 

1,082 

37 

1,119 

2,000 

14,423 

9 

23 

3 

26 

490 

525 

Wholesale

8,380 

501 

18 

519 

171 

9,070 

19 

28 

2 

30 

98 

147 

Commercial Banking

90,287 

8,891 

346 

9,237 

2,340 

101,864 

123 

181 

6 

187 

926 

1,236 

Private Banking

14,198 

356 

175 

531 

173 

14,902 

12 

4 

5 

9 

19 

40 

Personal

11,324 

203 

51 

254 

157 

11,735 

4 

3 

- 

3 

15 

22 

Wholesale

2,874 

153 

124 

277 

16 

3,167 

8 

1 

5 

6 

4 

18 

RBS International

15,011 

417 

9 

426 

99 

15,536 

4 

2 

- 

2 

16 

22 

Personal

2,610 

36 

7 

43 

86 

2,739 

1 

1 

- 

1 

12 

14 

Wholesale

12,401 

381 

2 

383 

13 

12,797 

3 

1 

- 

1 

4 

8 

NatWest Markets

9,539 

229 

- 

229 

715 

10,483 

8 

10 

- 

10 

81 

99 

Central items and other

5,881 

129 

- 

129 

- 

6,010 

6 

1 

- 

1 

- 

7 

Total loans

291,984 

24,505 

1,200 

25,705 

7,325 

325,014 

280 

620 

62 

682 

2,340 

3,302 

Of which:

Personal

162,622 

14,221 

710 

14,931 

4,070 

181,623 

113 

398 

49 

447 

1,227 

1,787 

Wholesale

129,362 

10,284 

490 

10,774 

3,255 

143,391 

167 

222 

13 

235 

1,113 

1,515 

31 December 2018*

UK PB

134,836 

12,521 

725 

13,245 

1,908 

149,989 

101 

382 

48 

430 

597 

1,128 

Ulster Bank RoI

17,822 

1,968 

112 

2,080 

2,308 

22,210 

35 

103 

11 

114 

638 

787 

Personal (3)

11,059 

1,353 

105 

1,458 

2,153 

14,670 

13 

73 

11 

84 

530 

627 

Wholesale

6,763 

615 

7 

622 

155 

7,540 

22 

30 

- 

30 

108 

160 

Commercial Banking

91,034 

9,087 

430 

9,518 

2,448 

103,000 

124 

186 

8 

194 

942 

1,260 

Private Banking

13,750 

380 

151 

531 

225 

14,506 

13 

5 

5 

10 

20 

43 

Personal

10,803 

183 

25 

208 

203 

11,214 

5 

3 

- 

3 

17 

25 

Wholesale

2,947 

197 

126 

323 

22 

3,292 

8 

2 

5 

7 

3 

18 

RBS International

13,383 

274 

15 

289 

101 

13,773 

6 

3 

- 

3 

17 

26 

NatWest Markets

8,196 

407 

- 

407 

728 

9,331 

6