|
|
●
|
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
|
12
|
-
|
12
|
106
|
124
|
Central items and other
|
6,964
|
27
|
-
|
27
|
-
|
6,991
|
|
-
|
-
|
-
|
-
|
-
|
-
|
Total loans
|
285,985
|
24,664
|
1,433
|
26,097
|
7,718
|
319,800
|
|
285
|
691
|
72
|
763
|
2,320
|
3,368
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
159,553
|
14,106
|
865
|
14,971
|
4,351
|
178,875
|
|
122
|
458
|
59
|
517
|
1,158
|
1,797
|
Wholesale
|
126,432
|
10,558
|
568
|
11,126
|
3,367
|
140,925
|
|
163
|
233
|
13
|
246
|
1,162
|
1,571
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Restated. Refer to Note 1 of the main announcement for further
details.
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the notes to this table refer to the following
page.
|
|
ECL provisions coverage
|
|
ECL
|
|||||||
|
|
Stage 2 (1,2)
|
|
|
|
Total
|
|
Amounts
|
||
|
Stage 1
|
≤30 DPD
|
>30 DPD
|
Total
|
Stage 3
|
Total
|
|
charge
|
Loss rate
|
written-off
|
30 June 2019
|
%
|
%
|
%
|
%
|
%
|
%
|
|
£m
|
basis points
|
£m
|
UK PB
|
0.07
|
2.88
|
7.48
|
3.09
|
38.86
|
0.80
|
|
181
|
23.70
|
90
|
Ulster Bank RoI
|
0.14
|
3.22
|
9.09
|
3.42
|
27.08
|
2.86
|
|
(21)
|
(17.88)
|
72
|
Personal (3)
|
0.08
|
2.13
|
8.11
|
2.32
|
24.50
|
3.64
|
|
(10)
|
(13.87)
|
64
|
Wholesale
|
0.23
|
5.59
|
11.11
|
5.78
|
57.31
|
1.62
|
|
(11)
|
(24.26)
|
8
|
Commercial Banking
|
0.14
|
2.04
|
1.73
|
2.02
|
39.57
|
1.21
|
|
202
|
39.66
|
276
|
Private Banking
|
0.08
|
1.12
|
2.86
|
1.69
|
10.98
|
0.27
|
|
(3)
|
(4.03)
|
1
|
Personal
|
0.04
|
1.48
|
-
|
1.18
|
9.55
|
0.19
|
|
(3)
|
(5.11)
|
1
|
Wholesale
|
0.28
|
0.65
|
4.03
|
2.17
|
25.00
|
0.57
|
|
-
|
-
|
-
|
RBS International
|
0.03
|
0.48
|
-
|
0.47
|
16.16
|
0.14
|
|
(3)
|
(3.86)
|
2
|
Personal
|
0.04
|
2.78
|
-
|
2.33
|
13.95
|
0.51
|
|
(1)
|
(7.30)
|
2
|
Wholesale
|
0.02
|
0.26
|
-
|
0.26
|
30.77
|
0.06
|
|
(2)
|
(3.13)
|
-
|
NatWest Markets
|
0.08
|
4.37
|
-
|
4.37
|
11.33
|
0.94
|
|
(36)
|
(68.68)
|
11
|
Central items and other
|
0.10
|
0.78
|
-
|
0.78
|
-
|
0.12
|
|
3
|
9.98
|
-
|
Total loans
|
0.10
|
2.53
|
5.17
|
2.65
|
31.95
|
1.02
|
|
323
|
19.88
|
452
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
Personal
|
0.07
|
2.80
|
6.90
|
2.99
|
30.15
|
0.98
|
|
167
|
18.39
|
157
|
Wholesale
|
0.13
|
2.16
|
2.65
|
2.18
|
34.19
|
1.06
|
|
156
|
21.76
|
295
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2018*
|
|
|
|
|
|
|
|
|
|
|
UK PB
|
0.07
|
3.05
|
6.62
|
3.25
|
31.29
|
0.75
|
|
339
|
22.6
|
445
|
Ulster Bank RoI
|
0.20
|
5.23
|
9.82
|
5.48
|
27.64
|
3.54
|
|
15
|
6.8
|
372
|
Personal (3)
|
0.12
|
5.40
|
10.48
|
5.76
|
24.62
|
4.27
|
|
20
|
13.6
|
343
|
Wholesale
|
0.33
|
4.88
|
-
|
4.82
|
69.68
|
2.12
|
|
(5)
|
(6.6)
|
29
|
Commercial Banking
|
0.14
|
2.05
|
1.86
|
2.04
|
38.48
|
1.22
|
|
147
|
14.3
|
572
|
Private Banking
|
0.09
|
1.32
|
3.31
|
1.88
|
8.89
|
0.30
|
|
(6)
|
(4.1)
|
7
|
Personal
|
0.05
|
1.64
|
-
|
1.44
|
8.37
|
0.22
|
|
(6)
|
(5.4)
|
5
|
Wholesale
|
0.27
|
1.02
|
3.97
|
2.17
|
13.64
|
0.55
|
|
-
|
-
|
2
|
RBS International
|
0.04
|
1.09
|
-
|
1.04
|
16.83
|
0.19
|
|
(2)
|
(1.5)
|
9
|
NatWest Markets
|
0.07
|
2.95
|
-
|
2.95
|
14.56
|
1.33
|
|
(92)
|
(98.6)
|
89
|
Central items and other
|
-
|
-
|
-
|
-
|
-
|
-
|
|
(3)
|
(4.3)
|
-
|
Total loans excluding
|
|
|
|
|
|
|
|
|
|
|
balances at central banks
|
0.10
|
2.80
|
5.02
|
2.92
|
30.06
|
1.05
|
|
398
|
12.5
|
1,494
|
Personal
|
0.08
|
3.25
|
6.82
|
3.45
|
26.61
|
1.00
|
|
354
|
19.8
|
776
|
Wholesale
|
0.13
|
2.21
|
2.29
|
2.21
|
34.51
|
1.11
|
|
44
|
3.1
|
718
|
Total loans
|
0.08
|
2.80
|
5.02
|
2.92
|
30.06
|
0.83
|
|
398
|
9.8
|
1,494
|
|
|
|
|
|
|
|
|
|
|
|
●
|
For UK
PB, the annualised loss rate of 24 basis points compared to 23
basis points for 2018, with the impairment charge for underlying
new defaults broadly stable in H1 2019. The overall coverage level
increased slightly driven by the uplift in Stage 3 which included
the effect of a loss rate model adjustment on unsecured lending.
The reduction in the total value of Stage 3 exposures reflected a
methodology refinement in the mortgage portfolio.
|
●
|
In
Ulster Bank RoI, the P&L benefited from a provision release due
to improvements in the portfolio performance reflective of the
prevailing macro economic environment.
|
●
|
In
Commercial Banking, the loss rate of 40 basis points increased from
2018 reflecting a small number of individual charges and a
reduction in the level of impairment releases. The coverage level
remained stable at 1.21%.
|
●
|
In
NatWest Markets, the negative loss rate reflected the impact of
impairment releases on the legacy portfolio and included a £27
million gain on purchased or originated credit impaired
assets.
|
|
Personal
|
|
Wholesale
|
|
Total
|
|||||||
|
|
Credit
|
Other
|
|
|
|
|
|
|
|
|
|
|
Mortgages (1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
FI
|
Sovereign
|
Total
|
|
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
Loans by geography
|
167,499
|
4,181
|
9,943
|
181,623
|
|
36,918
|
71,708
|
27,035
|
7,730
|
143,391
|
|
325,014
|
- UK
|
152,515
|
4,085
|
9,467
|
166,067
|
|
33,910
|
59,111
|
17,312
|
3,428
|
113,761
|
|
279,828
|
- RoI
|
14,119
|
96
|
223
|
14,438
|
|
1,225
|
4,131
|
194
|
3,662
|
9,212
|
|
23,650
|
- Other Europe
|
274
|
-
|
90
|
364
|
|
1,387
|
3,927
|
4,308
|
334
|
9,956
|
|
10,320
|
- RoW
|
591
|
-
|
163
|
754
|
|
396
|
4,539
|
5,221
|
306
|
10,462
|
|
11,216
|
Loans by asset quality (2,3)
|
167,499
|
4,181
|
9,943
|
181,623
|
|
36,918
|
71,708
|
27,035
|
7,730
|
143,391
|
|
325,014
|
- AQ1-AQ4
|
105,736
|
24
|
1,070
|
106,830
|
|
15,740
|
23,161
|
25,792
|
7,574
|
72,267
|
|
179,097
|
- AQ5-AQ8
|
57,317
|
3,955
|
7,935
|
69,207
|
|
19,548
|
46,230
|
1,219
|
150
|
67,147
|
|
136,354
|
- AQ9
|
1,144
|
62
|
310
|
1,516
|
|
114
|
605
|
2
|
1
|
722
|
|
2,238
|
- AQ10
|
3,302
|
140
|
628
|
4,070
|
|
1,516
|
1,712
|
22
|
5
|
3,255
|
|
7,325
|
Loans by stage
|
167,499
|
4,181
|
9,943
|
181,623
|
|
36,918
|
71,708
|
27,035
|
7,730
|
143,391
|
|
325,014
|
- Stage 1
|
152,647
|
2,831
|
7,144
|
162,622
|
|
33,252
|
61,854
|
26,537
|
7,719
|
129,362
|
|
291,984
|
- Stage 2
|
11,550
|
1,210
|
2,171
|
14,931
|
|
2,150
|
8,142
|
476
|
6
|
10,774
|
|
25,705
|
- Stage 3
|
3,302
|
140
|
628
|
4,070
|
|
1,516
|
1,712
|
22
|
5
|
3,255
|
|
7,325
|
Weighted average 12 months PDs *
|
|
|
|
|
|
|
|
|
|
|
|
|
- IFRS 9 (%)
|
0.33
|
4.15
|
2.84
|
0.55
|
|
0.73
|
0.91
|
0.12
|
0.07
|
0.71
|
|
0.61
|
- Basel (%)
|
0.83
|
3.82
|
4.02
|
1.06
|
|
0.98
|
1.59
|
0.22
|
0.08
|
1.07
|
|
1.07
|
ECL provisions by geography
|
739
|
224
|
824
|
1,787
|
|
424
|
1,050
|
32
|
9
|
1,515
|
|
3,302
|
- UK
|
236
|
221
|
805
|
1,262
|
|
361
|
681
|
17
|
6
|
1,065
|
|
2,327
|
- RoI
|
503
|
3
|
19
|
525
|
|
40
|
116
|
1
|
1
|
158
|
|
683
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
21
|
139
|
12
|
1
|
173
|
|
173
|
- RoW
|
-
|
-
|
-
|
-
|
|
2
|
114
|
2
|
1
|
119
|
|
119
|
ECL provisions by stage
|
739
|
224
|
824
|
1,787
|
|
424
|
1,050
|
32
|
9
|
1,515
|
|
3,302
|
- Stage 1
|
16
|
36
|
61
|
113
|
|
44
|
103
|
11
|
9
|
167
|
|
280
|
- Stage 2
|
96
|
100
|
251
|
447
|
|
41
|
185
|
9
|
-
|
235
|
|
682
|
- Stage 3
|
627
|
88
|
512
|
1,227
|
|
339
|
762
|
12
|
-
|
1,113
|
|
2,340
|
ECL provisions coverage (%)
|
0.44
|
5.36
|
8.29
|
0.98
|
|
1.15
|
1.46
|
0.12
|
0.12
|
1.06
|
|
1.02
|
- Stage 1 (%)
|
0.01
|
1.27
|
0.85
|
0.07
|
|
0.13
|
0.17
|
0.04
|
0.12
|
0.13
|
|
0.10
|
- Stage 2 (%)
|
0.83
|
8.26
|
11.56
|
2.99
|
|
1.91
|
2.27
|
1.89
|
-
|
2.18
|
|
2.65
|
- Stage 3 (%)
|
18.99
|
62.86
|
81.53
|
30.15
|
|
22.36
|
44.51
|
54.55
|
-
|
34.19
|
|
31.95
|
ECL charge
|
3
|
26
|
138
|
167
|
|
22
|
134
|
(2)
|
2
|
156
|
|
323
|
ECL loss rate (%)
|
-
|
1.24
|
2.78
|
0.18
|
|
0.12
|
0.37
|
(0.01)
|
0.05
|
0.22
|
|
0.20
|
Amounts written-off
|
71
|
35
|
51
|
157
|
|
173
|
112
|
10
|
-
|
295
|
|
452
|
Other financial assets by asset quality (3)
|
-
|
-
|
-
|
-
|
|
-
|
710
|
12,490
|
133,781
|
146,981
|
|
146,981
|
- AQ1-AQ4
|
-
|
-
|
-
|
-
|
|
-
|
115
|
11,825
|
133,781
|
145,721
|
|
145,721
|
- AQ5-AQ8
|
-
|
-
|
-
|
-
|
|
-
|
587
|
659
|
-
|
1,246
|
|
1,246
|
- AQ9
|
-
|
-
|
-
|
-
|
|
-
|
8
|
3
|
-
|
11
|
|
11
|
- AQ10
|
-
|
-
|
-
|
-
|
|
-
|
-
|
3
|
-
|
3
|
|
3
|
Off-balance sheet
|
12,883
|
16,768
|
12,390
|
42,041
|
|
16,230
|
53,157
|
26,949
|
39,064
|
135,400
|
|
177,441
|
Loan commitments
|
12,883
|
16,768
|
12,380
|
42,031
|
|
15,538
|
50,061
|
25,356
|
39,064
|
130,019
|
|
172,050
|
Financial guarantees
|
-
|
-
|
10
|
10
|
|
692
|
3,096
|
1,593
|
-
|
5,381
|
|
5,391
|
Off-balance sheet by asset quality (3)
|
12,883
|
16,768
|
12,390
|
42,041
|
|
16,230
|
53,157
|
26,949
|
39,064
|
135,400
|
|
177,441
|
- AQ1-AQ4
|
11,830
|
309
|
9,455
|
21,594
|
|
11,983
|
36,462
|
25,443
|
39,049
|
112,937
|
|
134,531
|
- AQ5-AQ8
|
1,043
|
16,166
|
2,924
|
20,133
|
|
4,125
|
16,349
|
1,504
|
15
|
21,993
|
|
42,126
|
- AQ9
|
1
|
4
|
11
|
16
|
|
8
|
88
|
-
|
-
|
96
|
|
112
|
- AQ10 (4)
|
9
|
289
|
-
|
298
|
|
114
|
258
|
2
|
-
|
374
|
|
672
|
|
|
|
|
|
||||||||
*Not within the scope of EY's review report.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the notes to this table refer to the following
page.
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
|
Wholesale
|
|
Total
|
|||||||
|
|
Credit
|
Other
|
|
|
|
|
|
|
|
|
|
|
Mortgages (1)
|
cards
|
personal
|
Total
|
|
Property
|
Corporate
|
FI
|
Sovereign
|
Total
|
|
|
31 December 2018
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
Loans by geography
|
165,081
|
4,216
|
9,578
|
178,875
|
|
36,707
|
72,240
|
25,011
|
6,967
|
140,925
|
|
319,800
|
- UK
|
150,233
|
4,112
|
9,117
|
163,462
|
|
33,855
|
60,657
|
11,611
|
3,089
|
109,212
|
|
272,674
|
- RoI
|
14,350
|
104
|
233
|
14,687
|
|
1,114
|
3,733
|
392
|
2,497
|
7,736
|
|
22,423
|
- Other Europe
|
102
|
-
|
67
|
169
|
|
1,395
|
3,760
|
5,903
|
1,088
|
12,146
|
|
12,315
|
- RoW
|
396
|
-
|
161
|
557
|
|
343
|
4,090
|
7,105
|
293
|
11,831
|
|
12,388
|
Loans by asset quality (2,3)
|
165,081
|
4,216
|
9,578
|
178,875
|
|
36,707
|
72,240
|
25,011
|
6,967
|
140,925
|
|
319,800
|
- AQ1-AQ4
|
104,989
|
35
|
1,040
|
106,064
|
|
16,133
|
22,587
|
22,397
|
6,802
|
67,919
|
|
173,983
|
- AQ5-AQ8
|
55,139
|
3,990
|
7,736
|
66,865
|
|
18,815
|
47,651
|
2,574
|
161
|
69,201
|
|
136,066
|
- AQ9
|
1,287
|
69
|
239
|
1,595
|
|
74
|
359
|
5
|
-
|
438
|
|
2,033
|
- AQ10
|
3,666
|
122
|
563
|
4,351
|
|
1,685
|
1,643
|
35
|
4
|
3,367
|
|
7,718
|
Loans by stage
|
165,081
|
4,216
|
9,578
|
178,875
|
|
36,707
|
72,240
|
25,011
|
6,967
|
140,925
|
|
319,800
|
- Stage 1
|
149,760
|
2,851
|
6,942
|
159,553
|
|
33,145
|
61,844
|
24,502
|
6,941
|
126,432
|
|
285,985
|
- Stage 2
|
11,655
|
1,243
|
2,073
|
14,971
|
|
1,877
|
8,753
|
474
|
22
|
11,126
|
|
26,097
|
- Stage 3
|
3,666
|
122
|
563
|
4,351
|
|
1,685
|
1,643
|
35
|
4
|
3,367
|
|
7,718
|
Weighted average 12 months PDs *
|
|
|
|
|
|
|
|
|
|
|
|
|
- IFRS 9 (%)
|
0.32
|
4.03
|
2.77
|
0.54
|
|
0.75
|
0.97
|
0.14
|
0.06
|
0.75
|
|
0.62
|
- Basel (%)
|
0.84
|
3.52
|
3.50
|
1.04
|
|
0.95
|
1.43
|
0.23
|
0.06
|
1.01
|
|
1.03
|
ECL provisions by geography
|
839
|
230
|
728
|
1,797
|
|
588
|
941
|
41
|
1
|
1,571
|
|
3,368
|
- UK
|
237
|
227
|
707
|
1,171
|
|
518
|
615
|
27
|
1
|
1,161
|
|
2,332
|
- RoI
|
602
|
3
|
21
|
626
|
|
43
|
125
|
2
|
-
|
170
|
|
796
|
- Other Europe
|
-
|
-
|
-
|
-
|
|
22
|
53
|
10
|
-
|
85
|
|
85
|
- RoW
|
-
|
-
|
-
|
-
|
|
5
|
148
|
2
|
-
|
155
|
|
155
|
ECL provisions by stage
|
839
|
230
|
728
|
1,797
|
|
588
|
941
|
41
|
1
|
1,571
|
|
3,368
|
- Stage 1
|
23
|
38
|
61
|
122
|
|
43
|
107
|
12
|
1
|
163
|
|
285
|
- Stage 2
|
150
|
120
|
247
|
517
|
|
39
|
200
|
7
|
-
|
246
|
|
763
|
- Stage 3
|
666
|
72
|
420
|
1,158
|
|
506
|
634
|
22
|
-
|
1,162
|
|
2,320
|
ECL provisions coverage (%)
|
0.51
|
5.46
|
7.60
|
1.00
|
|
1.60
|
1.30
|
0.16
|
0.01
|
1.11
|
|
1.05
|
- Stage 1 (%)
|
0.02
|
1.33
|
0.88
|
0.08
|
|
0.13
|
0.17
|
0.05
|
0.01
|
0.13
|
|
0.10
|
- Stage 2 (%)
|
1.29
|
9.65
|
11.92
|
3.45
|
|
2.08
|
2.28
|
1.48
|
-
|
2.21
|
|
2.92
|
- Stage 3 (%)
|
18.17
|
59.02
|
74.60
|
26.61
|
|
30.03
|
38.59
|
62.86
|
-
|
34.51
|
|
30.06
|
ECL charge
|
57
|
87
|
210
|
354
|
|
30
|
13
|
3
|
(2)
|
44
|
|
398
|
ECL loss rate (%)
|
0.03
|
2.06
|
2.19
|
0.20
|
|
0.08
|
0.02
|
0.01
|
(0.03)
|
0.03
|
|
0.12
|
Amounts written-off
|
368
|
79
|
329
|
776
|
|
292
|
395
|
31
|
-
|
718
|
|
1,494
|
Other financial assets by asset quality (3)
|
-
|
-
|
-
|
-
|
|
105
|
652
|
8,838
|
134,546
|
144,141
|
|
144,141
|
- AQ1-AQ4
|
-
|
-
|
-
|
-
|
|
105
|
10
|
8,110
|
134,546
|
142,771
|
|
142,771
|
- AQ5-AQ8
|
-
|
-
|
-
|
-
|
|
-
|
642
|
721
|
-
|
1,363
|
|
1,363
|
- AQ9
|
-
|
-
|
-
|
-
|
|
-
|
-
|
4
|
-
|
4
|
|
4
|
- AQ10
|
-
|
-
|
-
|
-
|
|
-
|
-
|
3
|
-
|
3
|
|
3
|
Off-balance sheet
|
13,228
|
16,613
|
12,229
|
42,070
|
|
16,044
|
52,730
|
28,761
|
29,277
|
126,812
|
|
168,882
|
Loan commitments
|
13,228
|
16,613
|
12,229
|
42,070
|
|
15,335
|
48,569
|
26,684
|
29,276
|
119,864
|
|
161,934
|
Financial guarantees
|
-
|
-
|
-
|
-
|
|
709
|
4,161
|
2,077
|
1
|
6,948
|
|
6,948
|
Off-balance sheet by asset quality (3)
|
13,228
|
16,613
|
12,229
|
42,070
|
|
16,044
|
52,730
|
28,761
|
29,277
|
126,812
|
|
168,882
|
- AQ1-AQ4
|
12,116
|
422
|
9,103
|
21,641
|
|
11,945
|
36,134
|
27,364
|
29,262
|
104,705
|
|
126,346
|
- AQ5-AQ8
|
1,101
|
15,900
|
3,116
|
20,117
|
|
3,928
|
16,390
|
1,397
|
15
|
21,730
|
|
41,847
|
- AQ9
|
1
|
8
|
10
|
19
|
|
6
|
46
|
-
|
-
|
52
|
|
71
|
- AQ10 (4)
|
10
|
283
|
-
|
293
|
|
165
|
160
|
-
|
-
|
325
|
|
618
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Not within the scope of EY's review report.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internal asset
quality band
|
Probability of
default range
|
Indicative S&P
rating
|
AQ1
|
0% -
0.034%
|
AAA to
AA
|
AQ2
|
0.034%
- 0.048%
|
AA to
AA-
|
AQ3
|
0.048%
- 0.095%
|
A+ to
A
|
AQ4
|
0.095%
- 0.381%
|
BBB+ to
BBB-
|
AQ5
|
0.381%
- 1.076%
|
BB+ to
BB
|
AQ6
|
1.076%
- 2.153%
|
BB- to
B+
|
AQ7
|
2.153%
- 6.089%
|
B+ to
B
|
AQ8
|
6.089%
- 17.222%
|
B- to
CCC+
|
AQ9
|
17.222%
- 100%
|
CCC to
C
|
AQ10
|
100%
|
D
|
|
FI
|
Property
|
Sovereigns
|
Other corporate
|
Total
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
£m
|
Forbearance (flow)
|
3
|
284
|
-
|
1,594
|
1,881
|
Heightened Monitoring and Risk of Credit Loss
|
88
|
1,082
|
-
|
3,771
|
4,941
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
Forbearance (flow)
|
14
|
305
|
-
|
2,247
|
2,566
|
Heightened Monitoring and Risk of Credit Loss
|
100
|
503
|
16
|
4,145
|
4,764
|
● Loans by
stage – The percentage of exposure in Stage 1 and Stage 2 was
broadly unchanged from the 2018 year end. The reduction in value of
mortgage Stage 3 exposures included a methodology change in the UK
PB portfolio and also the completion of the remainder of Ulster
Bank RoI’s 2018 sale of non-performing loans in H1
2019.
|
●
Weighted average 12
months PDs – In Wholesale, Basel PDs, which are based on a
through-the-cycle approach, tend to be higher than point-in-time
best estimate IFRS 9 PDs, which reflect the current state in the
economic cycle. Basel PDs also include an element of conservatism
associated with the regulatory capital framework. In Personal, the
Basel PDs, which are point-in-time estimates, also tend to be
higher also reflecting conservatism (conservatism is higher in
mortgages than other products), and an element of default rate
under-prediction in the IFRS 9 PD models. This overall default rate
under-prediction was mitigated by net ECL modelling overlays of
approximately £30 million at H1 2019, pending model
calibrations being implemented. The IFRS 9 PD for credit cards was
higher than the Basel equivalent and reflected the relative
sensitivity of the IFRS 9 model to forward-looking economic
drivers, as well as an IFRS 9 model over-prediction mitigated
within the ECL overlay.
|
● ECL provision by stage and coverage – The majority of
ECL by value in both Personal and Wholesale was in Stage 3.
Provision coverage was progressively higher by stage reflecting the
lifetime nature of losses in both Stage 2 and Stage 3. In the
Personal portfolio, provision coverage was materially lower in
mortgages relative to credit cards and other personal unsecured
products reflecting the secured nature of the facilities. For
Wholesale exposures, security and enterprise value mitigated losses
in Stage 3.
● In
mortgages, the reduction in Stage 1 and Stage 2 ECL was driven by
the movement of exposures into Stage 3 following a regulatory
driven revision to the definition of default in the Ulster Bank RoI
business. The corresponding increase in Stage 3 ECL was offset by
the completion of the remainder of Ulster Bank RoI’s 2018
sale of non-performing loans in H1 2019. The increase in ECL and
provision coverage on Other personal included the effect of a loss
rate model adjustment.
● The
ECL impairment charge for the half year was £323 million (20
basis points annualised), remaining below the longer term view of
normalised loss rates of 30 to 40 basis points. The charge in Q2
2019 was higher than Q1, driven by a small number of significant
individual charges.
|
●
Completed Wholesale forbearance in the six months to 30 June 2019
was £1.9 billion compared to £2.6 billion for the full
year 2018. Forbearance during the period was largely driven by
Services, Retail & Leisure, Property and Transport sectors. The
volume of customers completing forbearance was similar to 2018.
However, exposure levels increased due to a small number of
entities with large exposures. The portfolio continues to be
monitored closely with targeted sector reviews.
●
Heightened Monitoring and Risk of Credit Loss – The volume of
customers classified as Heightened Monitoring or Risk of Credit
Loss remained similar to December 2018 with exposure increasing
from £4.8 billion to £4.9 billion in the period to 30
June 2019. The increase in exposures was driven by the Heightened
Monitoring portfolio. With ongoing economic and political
uncertainty, key wholesale sectors continue to be reviewed at
senior credit forums with business appetite and underwriting
standards tightened where necessary.
|
|
|
|
|
||||||||
|
30 June 2019
|
|
31 December 2018
|
||||||||
|
UK
|
Ulster
|
Private
|
|
|
|
UK
|
Ulster
|
Private
|
|
|
|
PB
|
Bank RoI
|
Banking
|
RBSI
|
Total
|
|
PB
|
Bank RoI
|
Banking
|
RBSI
|
Total
|
Personal lending
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
£m
|
Mortgages
|
140,929
|
14,181
|
9,474
|
2,661
|
167,245
|
|
138,250
|
14,361
|
9,082
|
2,684
|
164,377
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
Owner occupied
|
125,719
|
13,070
|
8,302
|
1,756
|
148,847
|
|
122,642
|
13,105
|
7,953
|
1,781
|
145,481
|
Buy-to-let
|
15,210
|
1,111
|
1,172
|
905
|
18,398
|
|
15,608
|
1,256
|
1,129
|
903
|
18,896
|
Interest only - variable
|
7,062
|
179
|
3,585
|
431
|
11,257
|
|
8,358
|
188
|
3,871
|
489
|
12,906
|
Interest only - fixed
|
12,632
|
10
|
4,275
|
226
|
17,143
|
|
12,229
|
12
|
3,636
|
187
|
16,064
|
Mixed (1)
|
6,088
|
63
|
2
|
22
|
6,175
|
|
6,036
|
68
|
2
|
18
|
6,124
|
Impairment
provision (2)
|
215
|
502
|
5
|
13
|
735
|
|
212
|
602
|
5
|
16
|
835
|
Other personal lending (3)
|
12,179
|
317
|
1,654
|
52
|
14,202
|
|
11,633
|
330
|
1,676
|
55
|
13,694
|
Impairment provision
(2)
|
1,003
|
22
|
17
|
1
|
1,043
|
|
909
|
25
|
19
|
1
|
954
|
Total personal lending
|
153,108
|
14,498
|
11,128
|
2,713
|
181,447
|
|
149,883
|
14,691
|
10,758
|
2,739
|
178,071
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage LTV ratios
|
|
|
|
|
|
|
|
|
|
|
|
- Total portfolio
|
57%
|
61%
|
56%
|
58%
|
57%
|
|
56%
|
62%
|
56%
|
58%
|
57%
|
- Stage 1
|
57%
|
58%
|
56%
|
57%
|
57%
|
|
56%
|
58%
|
56%
|
57%
|
56%
|
- Stage 2
|
59%
|
66%
|
56%
|
66%
|
60%
|
|
58%
|
67%
|
58%
|
55%
|
59%
|
- Stage 3
|
56%
|
74%
|
58%
|
91%
|
67%
|
|
55%
|
77%
|
58%
|
99%
|
69%
|
- Buy-to-let
|
53%
|
63%
|
53%
|
53%
|
54%
|
|
53%
|
64%
|
53%
|
53%
|
54%
|
- Stage 1
|
52%
|
60%
|
53%
|
53%
|
53%
|
|
53%
|
58%
|
53%
|
52%
|
53%
|
- Stage 2
|
58%
|
68%
|
58%
|
48%
|
59%
|
|
57%
|
72%
|
53%
|
57%
|
60%
|
- Stage 3
|
59%
|
76%
|
61%
|
67%
|
68%
|
|
58%
|
78%
|
68%
|
75%
|
71%
|
Gross new mortgage lending
|
13,957
|
612
|
1,015
|
173
|
15,757
|
|
29,555
|
1,015
|
1,846
|
353
|
32,769
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
Owner occupied exposure
|
13,480
|
606
|
929
|
113
|
15,128
|
|
28,608
|
1,004
|
1,689
|
241
|
31,542
|
Weighted average LTV
|
70%
|
75%
|
64%
|
73%
|
70%
|
|
69%
|
73%
|
62%
|
68%
|
69%
|
Buy-to-let exposure
|
477
|
5
|
86
|
60
|
628
|
|
947
|
11
|
157
|
112
|
1,227
|
Weighted average LTV
|
62%
|
59%
|
57%
|
64%
|
61%
|
|
61%
|
57%
|
55%
|
61%
|
60%
|
Interest only variable rate
|
13
|
-
|
309
|
3
|
325
|
|
43
|
-
|
697
|
13
|
753
|
Interest only fixed rate
|
567
|
-
|
500
|
30
|
1,097
|
|
1,189
|
-
|
764
|
43
|
1,996
|
Mixed (1)
|
461
|
-
|
-
|
-
|
461
|
|
912
|
1
|
-
|
-
|
913
|
Mortgage forbearance
|
|
|
|
|
|
|
|
|
|
|
|
Forbearance flow
|
254
|
169
|
9
|
3
|
435
|
|
446
|
210
|
11
|
16
|
683
|
Forbearance stock
|
1,289
|
2,429
|
7
|
12
|
3,737
|
|
1,338
|
2,645
|
8
|
17
|
4,008
|
Current
|
683
|
1,265
|
4
|
10
|
1,962
|
|
724
|
1,291
|
6
|
14
|
2,035
|
1-3 months in arrears
|
351
|
204
|
3
|
1
|
559
|
|
350
|
261
|
-
|
1
|
612
|
>3 months in arrears
|
255
|
960
|
-
|
1
|
1,216
|
|
264
|
1,093
|
2
|
3
|
1,362
|
(1)
|
Includes
accounts which have an interest only sub-account and a capital and
interest sub-account to provide a more comprehensive view of
interest only exposures.
|
(2)
|
For UK
PB this excludes a non material amount of provisions held on
relatively small legacy portfolios.
|
(3)
|
Other
lending comprises unsecured lending except for Private Banking,
which includes both secured and unsecured lending. Other Lending
excludes loans that that are commercial in nature.
|
●
|
The
overall credit risk profile of the Personal portfolio, and its
performance against credit risk appetite, remained stable during
2019.
|
|
|
|
|
●
|
In UK
PB, lending grew by £2.7 billion in the first six months with
new lending partly offset by mortgage redemptions and repayments.
In Ulster Bank RoI, the reduction in the mortgage portfolio was
primarily driven by the completion of the remainder of Ulster Bank
RoI’s 2018 sale of non-performing loans in H1 2019, as well
as portfolio amortisation and redemptions outweighing new lending
in the first half of 2019.
|
|
|
|
|
●
|
New
mortgage lending was higher than in H1 2018. The existing mortgage
stock and new business were closely monitored against agreed risk
appetite parameters. These included loan-to-value ratios,
loan-to-income ratios, buy-to-let concentrations, new-build
concentrations and credit quality. Underwriting standards were
maintained during the period.
|
|
|
|
|
●
|
Mortgage
growth was driven by the owner-occupied portfolio. New mortgages in
the buy-to-let portfolio remained subdued as tax and regulatory
changes in the UK affected borrower activity.
|
|
|
|
|
●
|
The
mortgage portfolio loan-to-value ratio increased slightly in the
UK, reflecting slower UK house price growth.
|
|
|
|
|
●
|
The
stock of lending in Greater London and the South East was 42% of
the UK PB portfolio. (31 December 2018 – 42%). The average
weighted loan-to-value for these regions was 52% (31 December 2018
– 51%) compared to 57% for all regions.
|
|
|
|
|
●
|
By
value, the proportion of mortgages on interest only and mixed terms
(capital and interest only) reduced, driven by fewer buy-to-let
mortgages and low volumes of owner occupier interest only new
business.
|
|
|
|
|
●
|
As at
30 June 2019, 85% of customers in the UK PB mortgage portfolio were
on fixed rates (47% on five-year deals). In addition, 97% of all
new mortgage completions were fixed-rate deals (62% of which were
five-year deals), as customers sought to minimise the impact of
potential rate rises.
|
|
|
|
|
●
|
The
growth in unsecured lending during the first six months of 2019 was
driven by the UK PB unsecured loans portfolio. The bank also
reintroduced 0% balance transfer credit cards during the period
which has increased credit card exposure. Unsecured new business
increased 2% in the first half of 2019 (compared to H2 2018),
reflecting product offering differences, pricing initiatives, and
increased marketing activity.
|
|
|
|
|
●
|
Unsecured
credit quality improved modestly, reflecting active portfolio
management with tightening implemented across loan and credit card
portfolios in H1 2019 to ensure that performance of higher risk
customers remained within risk appetite.
|
|
Mortgages
|
|
|
|
ECL provisions
|
|
ECL provisions coverage (2)
|
||||||||||
|
|
Not within
|
|
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
IFRS 9 ECL
|
|
|
Gross new
|
|
|
|
|
|
|
|
|
|
|
UK PB
|
Stage 1
|
Stage 2
|
Stage 3
|
scope
|
Total
|
|
lending
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total (1)
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
≤50%
|
46,571
|
3,362
|
511
|
140
|
50,584
|
|
2,045
|
|
1
|
18
|
63
|
82
|
|
-
|
0.5
|
12.3
|
0.2
|
>50% and ≤70%
|
44,371
|
3,679
|
465
|
40
|
48,555
|
|
3,873
|
|
2
|
25
|
38
|
65
|
|
-
|
0.7
|
8.2
|
0.1
|
>70% and ≤80%
|
21,454
|
1,702
|
153
|
8
|
23,317
|
|
3,578
|
|
2
|
12
|
12
|
26
|
|
-
|
0.7
|
8.0
|
0.1
|
>80% and ≤90%
|
13,419
|
1,191
|
84
|
4
|
14,698
|
|
3,868
|
|
2
|
12
|
8
|
22
|
|
-
|
1.0
|
9.7
|
0.1
|
>90% and ≤100%
|
3,210
|
241
|
25
|
5
|
3,481
|
|
511
|
|
1
|
5
|
3
|
9
|
|
-
|
2.0
|
11.8
|
0.2
|
>100% and ≤110%
|
50
|
36
|
9
|
1
|
96
|
|
-
|
|
-
|
2
|
2
|
4
|
|
0.1
|
4.3
|
17.5
|
3.2
|
>110% and ≤130%
|
57
|
36
|
9
|
2
|
104
|
|
-
|
|
-
|
2
|
2
|
4
|
|
0.1
|
5.4
|
24.1
|
3.9
|
>130% and ≤150%
|
22
|
23
|
6
|
-
|
51
|
|
-
|
|
-
|
1
|
1
|
2
|
|
0.1
|
5.7
|
15.4
|
4.4
|
>150%
|
4
|
9
|
4
|
-
|
17
|
|
-
|
|
-
|
-
|
1
|
1
|
|
0.1
|
5.2
|
30.6
|
10.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total with LTVs
|
129,158
|
10,279
|
1,266
|
200
|
140,903
|
|
13,875
|
|
8
|
77
|
130
|
215
|
|
-
|
0.7
|
10.3
|
0.2
|
Other
|
22
|
3
|
1
|
-
|
26
|
|
82
|
|
-
|
-
|
-
|
-
|
|
0.1
|
4.5
|
48.1
|
2.2
|
Total
|
129,180
|
10,282
|
1,267
|
200
|
140,929
|
|
13,957
|
|
8
|
77
|
130
|
215
|
|
-
|
0.7
|
10.3
|
0.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
≤50%
|
47,111
|
3,423
|
516
|
153
|
51,203
|
|
4,779
|
|
2
|
16
|
64
|
82
|
|
-
|
0.5
|
12.4
|
0.2
|
>50% and ≤70%
|
44,037
|
3,632
|
459
|
49
|
48,177
|
|
8,535
|
|
2
|
23
|
39
|
64
|
|
-
|
0.6
|
8.5
|
0.1
|
>70% and ≤80%
|
20,345
|
1,490
|
135
|
15
|
21,985
|
|
7,434
|
|
1
|
11
|
11
|
23
|
|
-
|
0.7
|
8.1
|
0.1
|
>80% and ≤90%
|
12,733
|
1,118
|
81
|
12
|
13,944
|
|
7,524
|
|
2
|
12
|
8
|
22
|
|
-
|
1.1
|
10.0
|
0.2
|
>90% and ≤100%
|
2,343
|
178
|
24
|
7
|
2,552
|
|
1,104
|
|
1
|
4
|
3
|
8
|
|
-
|
2.4
|
12.1
|
0.3
|
>100% and ≤110%
|
57
|
35
|
8
|
1
|
101
|
|
-
|
|
-
|
2
|
1
|
3
|
|
0.1
|
4.6
|
14.1
|
2.8
|
>110% and ≤130%
|
53
|
41
|
9
|
2
|
105
|
|
-
|
|
-
|
2
|
1
|
3
|
|
0.1
|
5.4
|
14.6
|
3.4
|
>130% and ≤150%
|
23
|
23
|
6
|
-
|
52
|
|
-
|
|
-
|
1
|
1
|
2
|
|
0.1
|
6.2
|
13.4
|
4.3
|
>150%
|
3
|
9
|
3
|
-
|
15
|
|
-
|
|
-
|
1
|
1
|
2
|
|
0.1
|
6.2
|
17.3
|
7.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total with LTVs
|
126,705
|
9,949
|
1,241
|
239
|
138,134
|
|
29,376
|
|
8
|
72
|
129
|
209
|
|
-
|
0.7
|
10.4
|
0.2
|
Other
|
96
|
13
|
4
|
3
|
116
|
|
179
|
|
-
|
1
|
2
|
3
|
|
-
|
4.7
|
53.5
|
2.6
|
Total
|
126,801
|
9,962
|
1,245
|
242
|
138,250
|
|
29,555
|
|
8
|
73
|
131
|
212
|
|
-
|
0.7
|
10.5
|
0.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the notes to this table refer to the following
page.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgages
|
|
ECL provisions
|
|
ECL provisions coverage (2)
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ulster Bank RoI
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
≤50%
|
4,120
|
333
|
518
|
4,971
|
|
2
|
5
|
79
|
86
|
|
-
|
1.4
|
15.2
|
1.7
|
>50% and ≤70%
|
3,537
|
252
|
448
|
4,237
|
|
1
|
4
|
70
|
75
|
|
-
|
1.4
|
15.6
|
1.8
|
>70% and ≤80%
|
1,392
|
134
|
233
|
1,759
|
|
1
|
2
|
48
|
51
|
|
-
|
1.5
|
20.6
|
2.9
|
>80% and ≤90%
|
1,077
|
121
|
241
|
1,439
|
|
1
|
2
|
61
|
64
|
|
0.1
|
1.8
|
25.4
|
4.4
|
>90% and ≤100%
|
540
|
97
|
204
|
841
|
|
-
|
2
|
64
|
66
|
|
0.1
|
1.9
|
31.1
|
7.8
|
>100% and ≤110%
|
247
|
59
|
158
|
464
|
|
-
|
2
|
52
|
54
|
|
0.1
|
2.9
|
33.2
|
11.7
|
>110% and ≤130%
|
149
|
44
|
168
|
361
|
|
-
|
1
|
69
|
70
|
|
0.2
|
3.2
|
40.9
|
19.5
|
>130% and ≤150%
|
19
|
8
|
51
|
78
|
|
-
|
-
|
25
|
25
|
|
0.3
|
5.9
|
49.3
|
33.1
|
>150%
|
8
|
2
|
21
|
31
|
|
-
|
-
|
11
|
11
|
|
0.3
|
10.2
|
52.7
|
36.3
|
Total with LTVs
|
11,089
|
1,050
|
2,042
|
14,181
|
|
5
|
18
|
479
|
502
|
|
0.1
|
1.7
|
23.4
|
3.5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
≤50%
|
3,818
|
374
|
463
|
4,655
|
|
1
|
5
|
40
|
46
|
|
-
|
1.4
|
8.6
|
1.0
|
>50% and ≤70%
|
3,567
|
365
|
459
|
4,391
|
|
2
|
10
|
47
|
59
|
|
-
|
2.7
|
10.3
|
1.3
|
>70% and ≤80%
|
1,564
|
190
|
241
|
1,995
|
|
1
|
11
|
52
|
64
|
|
0.1
|
5.5
|
21.5
|
3.2
|
>80% and ≤90%
|
1,059
|
184
|
272
|
1,515
|
|
2
|
15
|
82
|
99
|
|
0.2
|
8.3
|
30.2
|
6.5
|
>90% and ≤100%
|
570
|
154
|
261
|
985
|
|
2
|
17
|
99
|
118
|
|
0.4
|
11.1
|
37.7
|
11.9
|
>100% and ≤110%
|
197
|
80
|
207
|
484
|
|
2
|
10
|
85
|
97
|
|
0.9
|
12.8
|
41.1
|
20.1
|
>110% and ≤130%
|
51
|
35
|
179
|
265
|
|
-
|
6
|
84
|
90
|
|
0.8
|
16.6
|
47.0
|
34.0
|
>130% and ≤150%
|
5
|
5
|
37
|
47
|
|
-
|
1
|
20
|
21
|
|
0.3
|
19.1
|
54.7
|
45.2
|
>150%
|
10
|
1
|
13
|
24
|
|
-
|
1
|
7
|
8
|
|
2.1
|
27.2
|
58.9
|
33.5
|
Total with LTVs
|
10,841
|
1,388
|
2,132
|
14,361
|
|
10
|
76
|
516
|
602
|
|
0.1
|
5.4
|
24.2
|
4.2
|
●
|
The UK
mortgage portfolio LTV ratio increased slightly reflecting slower
UK house price growth. In Ulster Bank RoI the small changes to
portfolio level LTVs were mainly driven by the implementation of an
enhanced indexation methodology that improves the granularity of
information at individual mortgage account level.
|
|
|
●
|
ECL
coverage rates increased through the LTV bands with both UK PB and
Ulster Bank RoI having only limited exposures in the highest LTV
bands. The relatively high coverage level in the lowest LTV band
for UK PB included the effect of the modelling approach that
recognised an element of expected loss on mortgages that are not
subject to formal repossession activity, and also discounting
expected recoveries over time. Similarly in Ulster Bank RoI, the
relatively high coverage level in the lower LTV bands is driven by
the implementation of a new modelling methodology that applies
higher losses to these LTV bands.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50%
|
80%
|
100%
|
|
|
Weighted
|
|
|
|
|
≤50%
|
≤80%
|
≤100%
|
≤150%
|
>150%
|
Total
|
average LTV
|
Other
|
Total
|
Total
|
LTV ratio value
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
%
|
£m
|
£m
|
%
|
30 June 2019
|
|
|
|
|
|
|
|
|
|
|
South East
|
13,336
|
18,064
|
4,099
|
11
|
-
|
35,510
|
56
|
8
|
35,518
|
25
|
Greater London
|
13,792
|
9,442
|
837
|
4
|
-
|
24,075
|
47
|
4
|
24,079
|
17
|
Scotland
|
3,591
|
5,987
|
1,188
|
2
|
-
|
10,768
|
58
|
1
|
10,769
|
8
|
North West
|
4,029
|
7,830
|
2,140
|
5
|
-
|
14,004
|
60
|
3
|
14,007
|
10
|
South West
|
4,265
|
7,089
|
1,323
|
7
|
-
|
12,684
|
57
|
2
|
12,686
|
9
|
West Midlands
|
2,791
|
5,653
|
1,735
|
5
|
-
|
10,184
|
61
|
1
|
10,185
|
7
|
Rest of the UK
|
8,780
|
17,807
|
6,856
|
218
|
17
|
33,678
|
63
|
7
|
33,685
|
24
|
Total
|
50,584
|
71,872
|
18,178
|
252
|
17
|
140,903
|
57
|
26
|
140,929
|
100
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
South East
|
14,699
|
17,147
|
2,843
|
8
|
-
|
34,697
|
53
|
27
|
34,724
|
25
|
Greater London
|
12,928
|
9,614
|
1,298
|
3
|
-
|
23,843
|
48
|
19
|
23,862
|
17
|
Scotland
|
3,205
|
5,612
|
1,844
|
11
|
-
|
10,672
|
60
|
8
|
10,680
|
8
|
North West
|
4,163
|
7,756
|
1,970
|
6
|
-
|
13,895
|
59
|
12
|
13,907
|
10
|
South West
|
4,231
|
6,843
|
1,292
|
8
|
-
|
12,374
|
57
|
9
|
12,383
|
9
|
West Midlands
|
3,036
|
5,642
|
1,192
|
4
|
-
|
9,874
|
58
|
7
|
9,881
|
7
|
Rest of the UK
|
8,942
|
17,548
|
6,056
|
217
|
16
|
32,779
|
62
|
34
|
32,813
|
24
|
Total
|
51,204
|
70,162
|
16,495
|
257
|
16
|
138,134
|
56
|
116
|
138,250
|
100
|
|
|
|
|
|
|
|
|
|
|
|
30 June 2019
|
|
31 December 2018
|
||||||
|
UK
|
RoI
|
Other
|
Total
|
|
UK
|
RoI
|
Other
|
Total
|
By geography and sub sector (1)
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
Investment
|
|
|
|
|
|
|
|
|
|
Residential (2)
|
4,571
|
382
|
27
|
4,980
|
|
4,426
|
363
|
54
|
4,843
|
Office (3)
|
3,014
|
150
|
621
|
3,785
|
|
2,889
|
164
|
651
|
3,704
|
Retail (4)
|
5,239
|
52
|
126
|
5,417
|
|
5,168
|
40
|
92
|
5,300
|
Industrial (5)
|
2,351
|
54
|
106
|
2,511
|
|
2,270
|
51
|
176
|
2,497
|
Mixed/other (6)
|
3,340
|
214
|
38
|
3,592
|
|
3,221
|
180
|
123
|
3,524
|
|
18,515
|
852
|
918
|
20,285
|
|
17,974
|
798
|
1,096
|
19,868
|
|
|
|
|
|
|
|
|
|
|
Development
|
|
|
|
|
|
|
|
|
|
Residential (2)
|
2,639
|
152
|
20
|
2,811
|
|
2,715
|
122
|
124
|
2,961
|
Office (3)
|
118
|
-
|
-
|
118
|
|
192
|
-
|
-
|
192
|
Retail (4)
|
103
|
7
|
1
|
111
|
|
94
|
7
|
1
|
102
|
Industrial (5)
|
120
|
2
|
-
|
122
|
|
119
|
2
|
12
|
133
|
Mixed/other (6)
|
27
|
3
|
-
|
30
|
|
32
|
2
|
-
|
34
|
|
3,007
|
164
|
21
|
3,192
|
|
3,152
|
133
|
137
|
3,422
|
|
|
|
|
|
|
|
|
|
|
Total
|
21,522
|
1,016
|
939
|
23,477
|
|
21,126
|
931
|
1,233
|
23,290
|
(1)
|
Geographical splits are based on country of collateral
risk.
|
(2)
|
Residential properties including houses, flats and student
accommodation.
|
(3)
|
Office properties including offices in central business districts,
regional headquarters and business parks.
|
(4)
|
Retail properties including high street retail, shopping centres,
restaurants, bars and gyms.
|
(5)
|
Industrial properties including distribution centres, manufacturing
and warehouses.
|
(6)
|
Mixed usage or other properties that do not fall within the other
categories above. Mixed generally relates to a mixture of
retail/office with residential.
|
|
Current exposure (gross of provisions) (1,2)
|
|
ECL provisions
|
|
ECL provisions coverage (4)
|
||||||||||
|
|
|
Not within
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IFRS 9 ECL
|
|
|
|
|
|
|
|
|
|
|
|
|
Stage 1
|
Stage 2
|
Stage 3
|
scope (3)
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
≤50%
|
8,836
|
264
|
45
|
794
|
9,939
|
|
8
|
5
|
12
|
25
|
|
0.1
|
1.8
|
26.3
|
0.3
|
>50% and ≤70%
|
4,674
|
464
|
79
|
781
|
5,998
|
|
6
|
6
|
12
|
24
|
|
0.1
|
1.3
|
14.9
|
0.5
|
>70% and ≤80%
|
266
|
92
|
36
|
15
|
409
|
|
1
|
1
|
9
|
11
|
|
0.3
|
1.1
|
24.8
|
2.7
|
>80% and ≤90%
|
70
|
7
|
22
|
2
|
101
|
|
-
|
-
|
4
|
4
|
|
0.4
|
4.7
|
16.3
|
4.2
|
>90% and ≤100%
|
14
|
4
|
24
|
1
|
43
|
|
-
|
1
|
12
|
13
|
|
0.7
|
15.1
|
50.4
|
29.3
|
>100% and ≤110%
|
24
|
4
|
12
|
-
|
40
|
|
-
|
-
|
4
|
4
|
|
0.4
|
5.0
|
36.1
|
11.7
|
>110% and ≤130%
|
13
|
12
|
114
|
4
|
143
|
|
-
|
1
|
29
|
30
|
|
0.7
|
5.0
|
24.7
|
20.9
|
>130% and ≤150%
|
7
|
3
|
5
|
-
|
15
|
|
-
|
-
|
2
|
2
|
|
1.0
|
14.1
|
48.4
|
20.2
|
>150%
|
37
|
5
|
30
|
-
|
72
|
|
-
|
1
|
20
|
21
|
|
0.6
|
10.8
|
68.4
|
29.3
|
Total with LTVs
|
13,941
|
855
|
367
|
1,597
|
16,760
|
|
15
|
15
|
104
|
134
|
|
0.1
|
1.7
|
28.2
|
0.9
|
Total portfolio average LTV (%)
|
44%
|
55%
|
101%
|
48%
|
46%
|
|
n/a
|
n/a
|
n/a
|
n/a
|
|
n/a
|
n/a
|
n/a
|
n/a
|
Other (5)
|
2,217
|
283
|
716
|
309
|
3,525
|
|
3
|
4
|
51
|
58
|
|
0.1
|
1.6
|
7.1
|
1.8
|
Development (6)
|
2,667
|
194
|
144
|
187
|
3,192
|
|
10
|
3
|
73
|
86
|
|
0.4
|
1.7
|
50.8
|
2.9
|
Total
|
18,824
|
1,332
|
1,227
|
2,093
|
23,477
|
|
28
|
22
|
228
|
278
|
|
0.2
|
1.6
|
18.6
|
1.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
≤50%
|
8,229
|
245
|
52
|
795
|
9,321
|
|
7
|
4
|
14
|
25
|
|
0.1
|
1.7
|
26.4
|
0.3
|
>50% and ≤70%
|
4,769
|
297
|
78
|
703
|
5,847
|
|
6
|
6
|
14
|
26
|
|
0.1
|
2.0
|
17.8
|
0.5
|
>70% and ≤80%
|
394
|
43
|
33
|
6
|
476
|
|
1
|
1
|
8
|
10
|
|
0.3
|
2.6
|
23.4
|
2.1
|
>80% and ≤90%
|
55
|
11
|
24
|
2
|
92
|
|
-
|
-
|
5
|
5
|
|
0.3
|
3.4
|
20.9
|
6.1
|
>90% and ≤100%
|
31
|
7
|
20
|
1
|
59
|
|
-
|
-
|
7
|
7
|
|
0.6
|
5.1
|
34.9
|
12.9
|
>100% and ≤110%
|
53
|
4
|
15
|
-
|
72
|
|
-
|
-
|
5
|
5
|
|
0.3
|
4.2
|
34.6
|
7.6
|
>110% and ≤130%
|
22
|
3
|
111
|
4
|
140
|
|
-
|
-
|
22
|
22
|
|
0.4
|
5.4
|
19.4
|
16.0
|
>130% and ≤150%
|
6
|
10
|
10
|
-
|
26
|
|
-
|
1
|
4
|
5
|
|
0.9
|
6.3
|
40.6
|
18.1
|
>150%
|
30
|
6
|
42
|
-
|
78
|
|
-
|
1
|
29
|
30
|
|
0.5
|
9.8
|
69.6
|
38.1
|
Total with LTVs
|
13,589
|
626
|
385
|
1,511
|
16,111
|
|
14
|
13
|
108
|
135
|
|
0.1
|
2.1
|
27.9
|
0.9
|
Total portfolio average LTV (%)
|
-
|
1
|
1
|
-
|
-
|
|
n/a
|
n/a
|
n/a
|
n/a
|
|
n/a
|
n/a
|
n/a
|
n/a
|
Other (5)
|
2,655
|
133
|
784
|
185
|
3,757
|
|
4
|
5
|
50
|
59
|
|
0.2
|
4.0
|
6.3
|
1.7
|
Development (6)
|
2,865
|
205
|
178
|
174
|
3,422
|
|
11
|
3
|
80
|
94
|
|
0.4
|
1.6
|
44.8
|
2.9
|
Total
|
19,109
|
964
|
1,347
|
1,870
|
23,290
|
|
29
|
21
|
238
|
288
|
|
0.2
|
2.3
|
17.6
|
1.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
●
|
Overall
– The majority of the CRE portfolio was managed in the UK
within Commercial Banking and Private Banking. Business appetite
and strategy remain aligned across the segments.
|
●
|
2019
trends – The portfolio remained broadly unchanged in size and
composition, although activity in the commercial property market in
H1 2019 has been slower than in previous years. While the office
and industrial sub-sectors have remained relatively resilient to
date, rents and values in the retail sub-sector and market
liquidity have declined significantly. The risk of a disorderly
exit from the EU persists. The mainstream residential CRE market
remained resilient, supported by high employment and a competitive
mortgage market. However, liquidity has been markedly reduced for
higher value homes and values in London reduced slightly from
recent highs. The build to rent market continues to grow, backed by
very strong demand from institutional investors.
|
●
|
Credit
quality – Despite the challenges in the sub-sector, the CRE
retail portfolio had a low default rate, with a limited number of
new defaults. The sub-sector was monitored on a regular basis and
credit quality was in line with the wider CRE
portfolio.
|
●
|
Risk
appetite – Lending criteria for commercial real estate are
considered conservative, with lower leverage required for new
London office originations, in addition to parts of the retail
sector.
|
●
|
Financial assets
presented in the flow statements include treasury liquidity
portfolios, comprising balances at central banks and debt
securities, as well as loans. Both modelled and non-modelled
portfolios are included.
|
●
|
Stage transfers
(for example, exposures moving from Stage 1 to Stage 2) are a key
feature of ECL movements, with the net re-measurement cost of
transitioning to a worse stage being a primary driver of income
statement charges. Similarly there is an ECL benefit for accounts
improving stage.
|
●
|
Changes in risk
parameters shows the reassessment of the ECL within a given stage,
including any ECL overlays and residual income statement gains or
losses at the point of write-off or accounting
write-down.
|
●
|
Other (P&L only
items) includes any subsequent changes in the value of written-down
assets (for example, fortuitous recoveries) along with other direct
write-off items such as direct recovery costs. Other (P&L only
items) affects the income statement but does not affect balance
sheet ECL movements.
|
●
|
Amounts written-off
– represent the gross asset written-down against accounts
with ECL, including the net asset write-down for any debt sale
activity.
|
●
|
There were small
ECL flows from Stage 3 to Stage 1. This does not however indicate
that accounts returned from Stage 3 to Stage 1 directly. On a
similar basis, there were flows from Stage 1 to Stage 3 including
transfers due to unexpected default events. The small number of
write-offs in Stage 1 and Stage 2 reflect the effect of
portfolio debt sales and also staging at the start of the analysis
period.
|
●
●
|
The impact of model
changes during H1 2019 was not material at a RBS Group-wide level
or in the portfolios disclosed below.
Reporting
enhancements since 31 December 2018 now mean all movements are
captured monthly and aggregated. Previously, for example, the main
Personal portfolios were prepared on a six month movement
basis.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
Group total
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2019
|
422,541
|
297
|
|
27,360
|
772
|
|
7,796
|
2,327
|
|
457,697
|
3,396
|
Currency translation and other adjustments
|
227
|
(2)
|
|
(2)
|
(2)
|
|
97
|
-
|
|
322
|
(4)
|
Transfers from Stage 1 to Stage 2
|
(13,427)
|
(54)
|
|
13,427
|
54
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
10,781
|
167
|
|
(10,781)
|
(167)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(216)
|
(3)
|
|
(1,663)
|
(136)
|
|
1,879
|
139
|
|
-
|
-
|
Transfers from Stage 3
|
241
|
15
|
|
727
|
64
|
|
(968)
|
(79)
|
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Net re-measurement of ECL on stage
transfer
|
|
(140)
|
|
|
279
|
|
|
307
|
|
|
446
|
Changes in risk parameters (model inputs)
|
|
(37)
|
|
|
(138)
|
|
|
172
|
|
|
(3)
|
Other changes in net exposure
|
(7,654)
|
37
|
|
(2,257)
|
(40)
|
|
(892)
|
(32)
|
|
(10,803)
|
(35)
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(85)
|
|
|
(85)
|
|
|
|
|
|
|
|
|
|
|
|
|
Income statement (releases)/charges
|
|
(140)
|
|
|
101
|
|
|
362
|
|
|
323
|
Amounts written-off
|
-
|
-
|
|
(4)
|
(4)
|
|
(448)
|
(448)
|
|
(452)
|
(452)
|
Other movements
|
|
-
|
|
|
-
|
|
|
(46)
|
|
|
(46)
|
At 30 June 2019
|
412,493
|
280
|
|
26,807
|
682
|
|
7,464
|
2,340
|
|
446,764
|
3,302
|
Net carrying amount
|
412,213
|
|
|
26,125
|
|
|
5,124
|
|
|
443,462
|
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
UK PB - mortgages
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2019
|
127,671
|
10
|
|
10,241
|
74
|
|
1,216
|
132
|
|
139,128
|
216
|
Transfers from Stage 1 to Stage 2
|
(3,535)
|
(1)
|
|
3,535
|
1
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
2,507
|
8
|
|
(2,507)
|
(8)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(8)
|
-
|
|
(324)
|
(11)
|
|
332
|
11
|
|
-
|
-
|
Transfers from Stage 3
|
12
|
1
|
|
188
|
15
|
|
(200)
|
(16)
|
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Net re-measurement of ECL on stage
transfer
|
|
(8)
|
|
|
15
|
|
|
9
|
|
|
16
|
Changes in risk parameters (model inputs)
|
|
-
|
|
|
(2)
|
|
|
32
|
|
|
30
|
Other changes in net exposure
|
1,559
|
(1)
|
|
(742)
|
(6)
|
|
(119)
|
(7)
|
|
698
|
(14)
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(14)
|
|
|
(14)
|
|
|
|
|
|
|
|
|
|
|
|
|
Income statement (releases)/charges
|
|
(9)
|
|
|
7
|
|
|
20
|
|
|
18
|
Amounts written-off
|
-
|
-
|
|
(1)
|
(1)
|
|
(11)
|
(11)
|
|
(12)
|
(12)
|
Other movements
|
|
-
|
|
|
-
|
|
|
(18)
|
|
|
(18)
|
At 30 June 2019
|
128,206
|
9
|
|
10,390
|
77
|
|
1,218
|
132
|
|
139,814
|
218
|
|
|
|
|
|
|
|
|
|
|
|
|
Net carrying amount
|
128,197
|
|
|
10,313
|
|
|
1,086
|
|
|
139,596
|
|
●
|
ECL
remained broadly stable across all stages.
|
●
|
ECL
transfers from Stage 3 back to Stage 1 and Stage 2 were higher than
those in unsecured lending, due to the higher cure activity
typically seen in mortgages.
|
●
|
The
increase in Stage 3 ECL changes in risk parameters reflected the
monthly assessment of the loss requirement, capturing underlying
portfolio movements.
|
●
|
Write-off
occurs once the repossessed property has been sold and there is a
residual shortfall balance remaining outstanding. Write-off would
typically be within five years from default but can be
longer.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
UK PB - credit cards
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2019
|
2,632
|
36
|
|
1,226
|
118
|
|
106
|
71
|
|
3,964
|
225
|
Transfers from Stage 1 to Stage 2
|
(617)
|
(11)
|
|
617
|
11
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
522
|
35
|
|
(522)
|
(35)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(10)
|
-
|
|
(65)
|
(21)
|
|
75
|
21
|
|
-
|
-
|
Transfers from Stage 3
|
-
|
-
|
|
5
|
3
|
|
(5)
|
(3)
|
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Net re-measurement of ECL on stage
transfer
|
|
(25)
|
|
|
73
|
|
|
28
|
|
-
|
76
|
Changes in risk parameters (model inputs)
|
|
(10)
|
|
|
(51)
|
|
|
8
|
|
-
|
(53)
|
Other changes in net exposure
|
23
|
9
|
|
(64)
|
-
|
|
(15)
|
(1)
|
|
(56)
|
8
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(5)
|
|
|
(5)
|
|
|
|
|
|
|
|
|
|
|
|
|
Income statement (releases)/charges
|
|
(26)
|
|
|
22
|
|
|
30
|
|
|
26
|
Amounts written off
|
-
|
-
|
|
-
|
-
|
|
(35)
|
(35)
|
|
(35)
|
(35)
|
Other movements
|
|
-
|
|
|
-
|
|
|
(3)
|
|
|
(3)
|
At 30 June 2019
|
2,550
|
34
|
|
1,197
|
98
|
|
126
|
86
|
|
3,873
|
218
|
Net carrying amount
|
2,516
|
|
|
1,099
|
|
|
40
|
|
|
3,655
|
|
|
|
|
|
|
|
|
|
|
|
|
|
●
|
Overall
ECL reduced slightly over the period. This was mainly due to lower
Stage 2 ECL, reflecting a recalibration of the modelled loss rate
to align to observed experience. The increase in Stage 3 exposures
and ECL reflected the impact of business-as-usual default flows,
which have been broadly stable in 2019.
|
●
|
The
portfolio continued to experience cash recoveries after write-off
which are reported in other (P&L only items). These benefited
the income statement without affecting ECL. The level has reduced
compared to prior years reflecting the debt sales executed in
2018.
|
●
|
Charge-off
(analogous to partial write-off) typically occurs after 12 missed
payments.
|
UK PB - Other personal unsecured
|
|
|
|
|
|
|
|
|
|
|
|
At 1 January 2019
|
5,073
|
54
|
|
1,970
|
239
|
|
495
|
394
|
|
7,538
|
687
|
Currency translation and other adjustments
|
217
|
-
|
|
10
|
-
|
|
6
|
2
|
|
233
|
2
|
Transfers from Stage 1 to Stage 2
|
(1,213)
|
(20)
|
|
1,213
|
20
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
593
|
40
|
|
(593)
|
(40)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(6)
|
-
|
|
(161)
|
(56)
|
|
167
|
56
|
|
-
|
-
|
Transfers from Stage 3
|
2
|
-
|
|
18
|
5
|
|
(20)
|
(5)
|
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Net re-measurement of ECL on stage
transfer
|
|
(31)
|
|
|
114
|
|
|
48
|
|
-
|
131
|
Changes in risk parameters (model inputs)
|
|
2
|
|
|
(23)
|
|
|
56
|
|
-
|
35
|
Other changes in net exposure
|
736
|
11
|
|
(296)
|
(17)
|
|
(18)
|
(4)
|
|
422
|
(10)
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(19)
|
|
|
(19)
|
|
|
|
|
|
|
|
|
|
|
|
|
Income statement (releases)/charges
|
|
(18)
|
|
|
74
|
|
|
81
|
|
|
137
|
Amounts written off
|
-
|
-
|
|
-
|
-
|
|
(43)
|
(43)
|
|
(43)
|
(43)
|
Other movements
|
|
-
|
|
|
-
|
|
|
(12)
|
|
|
(12)
|
At 30 June 2019
|
5,402
|
56
|
|
2,161
|
242
|
|
587
|
492
|
|
8,150
|
790
|
|
|
|
|
|
|
|
|
|
|
|
|
Net carrying amount
|
5,346
|
|
|
1,919
|
|
|
95
|
|
|
7,360
|
|
|
|
|
|
|
|
|
|
|
|
|
|
●
|
The
overall increase in ECL was driven by Stage 3 exposures which
included the effect of a loss rate model adjustment. Furthermore,
the value of new defaults was higher than write-offs and customer
debt repayments, and unlike in 2018, there were no debt sales in H1
2019.
|
|
●
|
There
was a modest increase in the rate of default over the last six
months from a low level addressed through the tightening of risk
appetite.
|
|
●
|
Stage 1
and Stage 2 ECL remained broadly stable.
|
|
●
|
The
portfolio continued to experience cash recoveries after write-off
which are reported in other (P&L only items). These benefited
the income statement without affecting ECL. The level has reduced
compared to prior years reflecting the debt sales executed in
2018.
|
|
●
|
Write-off occurs
once recovery activity with the customer has been concluded and
there are no further recoveries expected, but no later than six
years after default.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
Ulster Bank RoI - mortgages
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2019
|
10,782
|
11
|
|
1,394
|
75
|
|
2,137
|
516
|
|
14,313
|
602
|
Currency translation and other adjustments
|
4
|
(1)
|
|
(8)
|
(2)
|
|
(2)
|
(1)
|
|
(6)
|
(4)
|
Transfers from Stage 1 to Stage 2
|
(739)
|
(3)
|
|
739
|
3
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
889
|
14
|
|
(889)
|
(14)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(35)
|
(2)
|
|
(236)
|
(25)
|
|
271
|
27
|
|
-
|
-
|
Transfers from Stage 3
|
8
|
-
|
|
121
|
22
|
|
(129)
|
(22)
|
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Net re-measurement of ECL on stage
transfer
|
|
(11)
|
|
|
1
|
|
|
-
|
|
|
(10)
|
Changes in risk parameters (model inputs)
|
|
(4)
|
|
|
(40)
|
|
|
23
|
|
|
(21)
|
Other changes in net exposure
|
96
|
1
|
|
(64)
|
-
|
|
(177)
|
(2)
|
|
(145)
|
(1)
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
20
|
|
|
20
|
|
|
|
|
|
|
|
|
|
|
|
|
Income statement (releases)/charges
|
|
(14)
|
|
|
(39)
|
|
|
41
|
|
|
(12)
|
Amounts written off
|
-
|
-
|
|
(2)
|
(2)
|
|
(55)
|
(55)
|
|
(57)
|
(57)
|
Other movements
|
|
-
|
|
|
-
|
|
|
(7)
|
|
|
(7)
|
At 30 June 2019
|
11,005
|
5
|
|
1,055
|
18
|
|
2,045
|
479
|
|
14,105
|
502
|
|
|
|
|
|
|
|
|
|
|
|
|
Net carrying amount
|
11,000
|
|
|
1,037
|
|
|
1,566
|
|
|
13,603
|
|
●
|
The
overall ECL reduction reflected the completion of the remainder of
Ulster Bank RoI’s 2018 sale of non-performing loans in H1
2019 and ongoing improvements in underlying portfolio
performance.
|
●
|
The
transfers into Stage 3 were reflective of the implementation of an
enhanced Stage 3 definition, with £230 million of exposures
re-classified as Stage 3 assets under the new
definition.
|
●
|
The
reduction in Stage 2 ECL was driven by the implementation of the
enhanced Stage 3 definition and the re-allocation of post-model
adjustments to Stage 3 assets.
|
●
|
Write-off generally
occurs once the repossessed property has been sold and there is a
residual shortfall balance remaining outstanding which has been
deemed irrecoverable. There is no set time period within which
write-offs can occur.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
||
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
||
Commercial Banking - excluding business banking
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
||
At 1 January 2019
|
81,485
|
108
|
|
9,393
|
155
|
|
2,358
|
785
|
|
93,236
|
1,048
|
||
Currency translation and other adjustments
|
86
|
(3)
|
|
(10)
|
1
|
|
94
|
(3)
|
|
170
|
(5)
|
||
Inter-Group transfers
|
(319)
|
-
|
|
19
|
-
|
|
(1)
|
13
|
|
(301)
|
13
|
||
Transfers from Stage 1 to Stage 2
|
(5,804)
|
(10)
|
|
5,804
|
10
|
|
-
|
-
|
|
-
|
-
|
||
Transfers from Stage 2 to Stage 1
|
4,801
|
43
|
|
(4,801)
|
(43)
|
|
-
|
-
|
|
-
|
-
|
||
Transfers to Stage 3
|
(107)
|
-
|
|
(716)
|
(11)
|
|
823
|
11
|
|
-
|
-
|
||
Transfers from Stage 3
|
189
|
10
|
|
363
|
8
|
|
(552)
|
(18)
|
|
-
|
-
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Net re-measurement of ECL on stage
transfer
|
|
(43)
|
|
|
41
|
|
|
185
|
|
|
183
|
||
Changes in risk parameters (model inputs)
|
|
(5)
|
|
|
(1)
|
|
|
22
|
|
|
16
|
||
Other changes in net exposure
|
2,453
|
6
|
|
(982)
|
(7)
|
|
(403)
|
1
|
|
1,068
|
-
|
||
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(15)
|
|
|
(15)
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Income statement (releases)/charges
|
|
(42)
|
|
|
33
|
|
|
193
|
|
|
184
|
||
Amounts written off
|
-
|
-
|
|
-
|
-
|
|
(247)
|
(247)
|
|
(247)
|
(247)
|
||
Other movements
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
||
Unwinding of discount
|
|
-
|
|
|
-
|
|
|
(3)
|
|
|
(3)
|
||
At 30 June 2019
|
82,784
|
106
|
|
9,070
|
153
|
|
2,072
|
746
|
|
93,926
|
1,005
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Net carrying amount
|
82,678
|
|
|
8,917
|
|
|
1,326
|
|
|
92,921
|
|
||
|
|
|
●
|
ECL
decreased with write-offs exceeding the level of impairment charges
on new into default cases.
|
●
|
Stage 1
and Stage 2 ECL remained largely unchanged during H1 2019. Changes
to risk parameters in Stage 1 and Stage 2 largely reflected
improvements in underlying credit risk metrics which were partially
offset by regular updates to certain underlying
models.
|
●
|
Growth
in Stage 1 assets represented new business during the period. Stage
2 balances reduced as new transfers-in were offset by repayments
and loans transferring to Stage 1.
|
●
|
Stage 3
income statement charges increased during the period compared to
2018. This was due to a small number of individually significant
impairment charges which also impacted the transfers to Stage 3
during the period.
|
Commercial - business banking
|
|
|
|
|
|
|
|
|
|
|
|
At 1 January 2019
|
6,303
|
22
|
|
897
|
43
|
|
235
|
153
|
|
7,435
|
218
|
Currency translation and other adjustments
|
-
|
-
|
|
1
|
-
|
|
-
|
-
|
|
1
|
-
|
Transfers from Stage 1 to Stage 2
|
(483)
|
(3)
|
|
483
|
3
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
353
|
10
|
|
(353)
|
(10)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(9)
|
-
|
|
(70)
|
(10)
|
|
79
|
10
|
|
-
|
-
|
Transfers from Stage 3
|
4
|
1
|
|
13
|
3
|
|
(17)
|
(4)
|
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Net re-measurement of ECL on stage
transfer
|
|
(9)
|
|
|
25
|
|
|
26
|
|
|
42
|
Changes in risk parameters (model inputs)
|
|
(6)
|
|
|
(16)
|
|
|
28
|
|
|
6
|
Other changes in net exposure
|
199
|
2
|
|
(130)
|
(4)
|
|
(33)
|
(5)
|
|
36
|
(7)
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(21)
|
|
|
(21)
|
|
|
|
|
|
|
|
|
|
|
|
|
Income statement (releases)/charges
|
|
(13)
|
|
|
5
|
|
|
28
|
|
|
20
|
Amounts written off
|
-
|
-
|
|
-
|
-
|
|
(29)
|
(29)
|
|
(29)
|
(29)
|
Other movements
|
|
-
|
|
|
-
|
|
|
(2)
|
|
|
(2)
|
At 30 June 2019
|
6,367
|
17
|
|
841
|
34
|
|
235
|
177
|
|
7,443
|
228
|
|
|
|
|
|
|
|
|
|
|
|
|
Net carrying amount
|
6,350
|
|
|
807
|
|
|
58
|
|
|
7,215
|
|
●
|
The
overall increase in ECL was driven by Stage 3 including the effect
of a loss rate model adjustment. The reduction in Stage 1 and Stage
2 ECL was driven by calibrations to the ECL models.
|
●
|
The
flow of new defaults in the period increased slightly compared to
2018. This increase reflected an uplift in default rates within the
Business Banking portfolio (in particular for low value, unsecured
lending, representing 14% of Business Banking stock), which has
been addressed through a tightening of risk appetite.
|
●
|
The
portfolio continues to benefit from cash recoveries post write-off,
which are reported as other (P&L only items).
|
●
|
Write-off
occurs once recovery activity with the customer has been concluded
and there are no further recoveries expected, but no later than
five years after default.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
NatWest Markets (1)
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2019
|
32,758
|
7
|
|
732
|
14
|
|
708
|
112
|
|
34,198
|
133
|
Currency translation and other adjustments
|
38
|
1
|
|
(2)
|
-
|
|
-
|
(1)
|
|
36
|
-
|
Inter-Group transfers
|
(57)
|
-
|
|
8
|
-
|
|
1
|
(13)
|
|
(48)
|
(13)
|
Transfers from Stage 1 to Stage 2
|
(190)
|
-
|
|
190
|
-
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
281
|
2
|
|
(281)
|
(2)
|
|
-
|
-
|
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Net re-measurement of ECL on stage
transfer
|
|
(2)
|
|
|
1
|
|
|
-
|
|
|
(1)
|
Changes in risk parameters (model inputs)
|
|
(2)
|
|
|
(1)
|
|
|
(6)
|
|
|
(9)
|
Other changes in net exposure
|
1,204
|
2
|
|
(193)
|
(2)
|
|
1
|
-
|
|
1,012
|
-
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(26)
|
|
|
(26)
|
|
|
|
|
|
|
|
|
|
|
|
|
Income statement releases
|
|
(2)
|
|
|
(2)
|
|
|
(32)
|
|
|
(36)
|
Amounts written-off
|
-
|
-
|
|
-
|
-
|
|
(11)
|
(11)
|
|
(11)
|
(11)
|
Other movements
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
At 30 June 2019
|
34,034
|
8
|
|
454
|
10
|
|
699
|
81
|
|
35,187
|
99
|
|
|
|
|
|
|
|
|
|
|
|
|
Net carrying amount
|
34,026
|
|
|
444
|
|
|
618
|
|
|
35,088
|
|
(1)
|
Reflects NatWest Markets segment and includes NWM
N.V..
|
●
|
Stage 3
financial assets included £193 million (31 December 2018 -
£166 million) purchased or originated credit impaired (POCI)
assets. No ECL impairment was held on these positions and a
£27 million impairment recovery was recognised on these POCI
assets during H1 (included in other (P&L only
items).
|
●
|
Stage 1
and Stage 2 changes to risk parameters reflected an improvement in
underlying credit risk metrics.
|
●
|
The
increase in Stage 1 exposure was due to a combination of new
transactions and increased short-term placements with governments
and central banks following changes made for
ring-fencing.
|
Private Banking
|
|
|
|
|
|
|
|
|
|
|
|
At 1 January 2019
|
13,950
|
14
|
|
519
|
10
|
|
232
|
19
|
|
14,701
|
43
|
Currency translation and other adjustments
|
(3)
|
-
|
|
-
|
(1)
|
|
-
|
1
|
|
(3)
|
-
|
Transfers from Stage 1 to Stage 2
|
(284)
|
(1)
|
|
284
|
1
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
304
|
4
|
|
(304)
|
(4)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(25)
|
-
|
|
(48)
|
-
|
|
73
|
-
|
|
-
|
-
|
Transfers from Stage 3
|
7
|
-
|
|
1
|
4
|
|
(8)
|
(4)
|
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Net re-measurement of ECL on stage
transfer
|
|
(3)
|
|
|
1
|
|
|
-
|
|
|
(2)
|
Changes in risk parameters (model inputs)
|
|
(3)
|
|
|
(1)
|
|
|
6
|
|
|
2
|
Other changes in net exposure
|
532
|
1
|
|
(33)
|
(1)
|
|
(86)
|
(3)
|
|
413
|
(3)
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Income statement (releases)/charges
|
|
(5)
|
|
|
(1)
|
|
-
|
3
|
|
|
(3)
|
Amounts written off
|
|
-
|
|
|
-
|
|
(1)
|
(1)
|
|
(1)
|
(1)
|
Unwinding of discount
|
|
-
|
|
|
-
|
|
-
|
-
|
|
-
|
-
|
At 30 June 2019
|
14,481
|
12
|
|
419
|
9
|
|
210
|
19
|
|
15,110
|
40
|
|
|
|
|
|
|
|
|
|
|
|
|
Net carrying amount
|
14,469
|
|
|
410
|
|
|
191
|
|
|
15,070
|
|
●
|
ECL
reduced marginally due to an improvement in underlying Stage 1 and
Stage 2 credit quality.
|
●
|
Stage 1
exposure increased during the period reflecting growth in mortgages
with minimal ECL impact due to high credit quality. The reduction
in Stage 2 exposure was a result of both repayment of debt and the
transfer of assets to Stage 1.
|
|
Stage 1
|
|
Stage 2
|
|
Stage 3
|
|
Total
|
||||
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
Financial
|
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
|
assets
|
ECL
|
RBS International
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
At 1 January 2019
|
26,749
|
6
|
|
276
|
4
|
|
95
|
17
|
|
27,120
|
27
|
Currency translation and other adjustments
|
(55)
|
-
|
|
(1)
|
-
|
|
1
|
-
|
|
(55)
|
-
|
Inter-Group transfers
|
(598)
|
-
|
|
(27)
|
(1)
|
|
-
|
-
|
|
(625)
|
(1)
|
Transfers from Stage 1 to Stage 2
|
(342)
|
(2)
|
|
342
|
2
|
|
-
|
-
|
|
-
|
-
|
Transfers from Stage 2 to Stage 1
|
276
|
3
|
|
(276)
|
(3)
|
|
-
|
-
|
|
-
|
-
|
Transfers to Stage 3
|
(10)
|
-
|
|
(17)
|
-
|
|
27
|
-
|
|
-
|
-
|
Transfers from Stage 3
|
8
|
-
|
|
6
|
-
|
|
(14)
|
-
|
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
Net re-measurement of ECL on stage
transfer
|
|
(3)
|
|
|
1
|
|
|
-
|
|
|
(2)
|
Changes in risk parameters (model inputs)
|
|
(1)
|
|
|
-
|
|
|
3
|
|
|
2
|
Other changes in net exposure
|
1,424
|
1
|
|
132
|
(1)
|
|
(14)
|
(2)
|
|
1,542
|
(2)
|
Other (P&L only items)
|
|
-
|
|
|
-
|
|
|
(1)
|
|
|
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
Income statement releases
|
|
(3)
|
|
|
-
|
|
|
-
|
|
|
(3)
|
Amounts written off
|
-
|
-
|
|
-
|
-
|
|
(2)
|
(2)
|
|
(2)
|
(2)
|
Other movements
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
At 30 June 2019
|
27,452
|
4
|
|
435
|
2
|
|
93
|
16
|
|
27,980
|
22
|
|
|
|
|
|
|
|
|
|
|
|
|
Net carrying amount
|
27,448
|
|
|
433
|
|
|
77
|
|
|
27,958
|
|
●
|
The
level of ECL reduced in all stages during the period.
|
●
|
In
Stage 1, the increase in exposure was partly due to new lending,
but mainly due to the management of a liquidity portfolio across
banks and sovereign bond holdings, with low credit risk and minimal
ECL.
|
●
|
The
increase in Stage 2 exposure was driven by a combination of flows
from Stage 1 and balance increases on a small number of individual
exposures in the Wholesale portfolio where credit quality
deteriorated in the period. Increases in Stage 2 exposures were
largely limited to specific sectors.
|
●
|
Stage 2
ECL reduced in the period because exposure transferring in carried
lower ECL than exposure that transferred from Stage 2.
|
|
UK mortgages
|
|
RoI mortgages
|
|
Other mortgages
|
|
Credit cards
|
|
Other
|
|
Total
|
||||||
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
30 June 2019
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
Personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currently in arrears (>30 DPD)
|
529
|
12
|
|
31
|
2
|
|
-
|
-
|
|
15
|
5
|
|
91
|
19
|
|
666
|
38
|
Currently up-to-date
|
9,973
|
66
|
|
1,016
|
16
|
|
1
|
-
|
|
1,195
|
95
|
|
2,080
|
232
|
|
14,265
|
409
|
- PD deterioration
|
4,058
|
54
|
|
338
|
11
|
|
-
|
-
|
|
765
|
73
|
|
1,324
|
182
|
|
6,485
|
320
|
- Up-to-date, PD persistence
|
1,365
|
3
|
|
40
|
-
|
|
-
|
-
|
|
327
|
14
|
|
465
|
28
|
|
2,197
|
45
|
- Other driver (adverse credit, forbearance etc)
|
4,550
|
9
|
|
638
|
5
|
|
1
|
-
|
|
103
|
8
|
|
291
|
22
|
|
5,583
|
44
|
Total Stage 2
|
10,502
|
78
|
|
1,047
|
18
|
|
1
|
-
|
|
1,210
|
100
|
|
2,171
|
251
|
|
14,931
|
447
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currently in arrears (>30 DPD)
|
658
|
10
|
|
90
|
10
|
|
3
|
-
|
|
17
|
6
|
|
88
|
22
|
|
856
|
48
|
Currently up-to-date
|
9,612
|
64
|
|
1,292
|
66
|
|
-
|
-
|
|
1,226
|
114
|
|
1,985
|
225
|
|
14,115
|
469
|
- PD deterioration
|
3,855
|
54
|
|
680
|
44
|
|
-
|
-
|
|
778
|
85
|
|
1,255
|
176
|
|
6,568
|
359
|
- Up-to-date, PD persistence
|
1,448
|
5
|
|
54
|
1
|
|
-
|
-
|
|
337
|
17
|
|
440
|
26
|
|
2,279
|
49
|
- Other driver (adverse credit, forbearance etc)
|
4,309
|
5
|
|
558
|
21
|
|
-
|
-
|
|
111
|
12
|
|
290
|
23
|
|
5,268
|
61
|
Total Stage 2
|
10,270
|
74
|
|
1,382
|
76
|
|
3
|
-
|
|
1,243
|
120
|
|
2,073
|
247
|
|
14,971
|
517
|
●
|
ECL
coverage remained higher for accounts that are more than 30 days
past due. Also in line with expectations, accounts exhibiting PD
deterioration have a higher ECL coverage than accounts in Stage 2
for other reasons.
|
●
|
The ECL
reduction in the Ulster Bank RoI mortgages portfolio reflected the
movement of exposures into Stage 3 following a regulatory driven
revision to the definition of default in that
business.
|
|
Property
|
|
Corporate
|
|
FI
|
|
Other
|
|
Total
|
|||||
30 June 2019
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
|
Loans
|
ECL
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
£m
|
£m
|
|
Wholesale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currently in arrears (>30 DPD)
|
182
|
7
|
|
316
|
6
|
|
1
|
-
|
|
-
|
-
|
|
499
|
13
|
Currently up-to-date
|
1,968
|
34
|
|
7,826
|
179
|
|
475
|
9
|
|
6
|
-
|
|
10,275
|
222
|
- PD deterioration
|
865
|
21
|
|
4,712
|
123
|
|
384
|
7
|
|
4
|
-
|
|
5,965
|
151
|
- Up-to-date, PD persistence
|
45
|
1
|
|
152
|
3
|
|
2
|
-
|
|
-
|
-
|
|
199
|
4
|
- Other driver (forbearance, RoCL etc)
|
1,058
|
12
|
|
2,962
|
53
|
|
89
|
2
|
|
2
|
-
|
|
4,111
|
67
|
Total Stage 2
|
2,150
|
41
|
|
8,142
|
185
|
|
476
|
9
|
|
6
|
-
|
|
10,774
|
235
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currently in arrears (>30 DPD)
|
255
|
7
|
|
315
|
5
|
|
1
|
-
|
|
-
|
-
|
|
571
|
12
|
Currently up-to-date
|
1,622
|
32
|
|
8,438
|
195
|
|
473
|
7
|
|
22
|
-
|
|
10,555
|
234
|
- PD deterioration
|
924
|
23
|
|
5,564
|
138
|
|
281
|
6
|
|
8
|
-
|
|
6,777
|
167
|
- Up-to-date, PD persistence
|
57
|
1
|
|
170
|
5
|
|
4
|
-
|
|
-
|
-
|
|
231
|
6
|
- Other driver (forbearance, RoCL etc)
|
641
|
8
|
|
2,704
|
52
|
|
188
|
1
|
|
14
|
-
|
|
3,547
|
61
|
Total Stage 2
|
1,877
|
39
|
|
8,753
|
200
|
|
474
|
7
|
|
22
|
-
|
|
11,126
|
246
|
●
|
The ECL
coverage was broadly consistent in total. Coverage can, however,
vary across categories or sectors reflecting the individual
characteristics of the customer and exposure type.
|
●
|
The
reduction in Stage 2 exposure was primarily due to improvements in
PDs in the corporate portfolio. An increase in the RoCL portfolio,
driven by a small number of large cases, increased the other driver
category.
|
|
UK mortgages
|
|
RoI mortgages
|
|
Other mortgages
|
|
Credit cards
|
|
Other
|
|
Total
|
||||||
30 June 2019
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
Personal trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
4,458
|
42.5
|
|
362
|
34.5
|
|
-
|
-
|
|
780
|
64.5
|
|
1,379
|
63.5
|
|
6,979
|
46.7
|
PD persistence
|
1,366
|
13.0
|
|
40
|
3.8
|
|
-
|
-
|
|
328
|
27.1
|
|
467
|
21.5
|
|
2,201
|
14.7
|
Adverse credit bureau recorded with
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
credit reference agency
|
3,124
|
29.7
|
|
-
|
-
|
|
-
|
-
|
|
58
|
4.8
|
|
96
|
4.4
|
|
3,278
|
22.0
|
Forbearance support provided
|
189
|
1.8
|
|
4
|
0.4
|
|
-
|
-
|
|
-
|
-
|
|
13
|
0.6
|
|
206
|
1.4
|
Customers in collections
|
147
|
1.4
|
|
96
|
9.2
|
|
-
|
-
|
|
3
|
0.2
|
|
34
|
1.6
|
|
280
|
1.9
|
Other reasons (2)
|
1,110
|
10.6
|
|
545
|
52.1
|
|
1
|
100
|
|
41
|
3.4
|
|
157
|
7.2
|
|
1,854
|
12.4
|
Days past due >30
|
108
|
1.0
|
|
-
|
-
|
|
-
|
-
|
|
-
|
-
|
|
25
|
1.2
|
|
133
|
0.9
|
|
10,502
|
100
|
|
1,047
|
100
|
|
1
|
100
|
|
1,210
|
100
|
|
2,171
|
100
|
|
14,931
|
100
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
4,273
|
41.6
|
|
767
|
55.6
|
|
-
|
-
|
|
793
|
63.8
|
|
1,307
|
63.0
|
|
7,140
|
47.7
|
PD persistence
|
1,450
|
14.1
|
|
54
|
3.9
|
|
-
|
-
|
|
338
|
27.2
|
|
440
|
21.2
|
|
2,282
|
15.2
|
Adverse credit bureau recorded with
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
credit reference agency
|
2,996
|
29.2
|
|
-
|
-
|
|
-
|
-
|
|
61
|
4.9
|
|
101
|
4.9
|
|
3,158
|
21.1
|
Forbearance support provided
|
206
|
2.0
|
|
2
|
0.1
|
|
-
|
-
|
|
-
|
-
|
|
13
|
0.6
|
|
221
|
1.5
|
Customers in collections
|
144
|
1.4
|
|
57
|
4.1
|
|
-
|
-
|
|
5
|
0.4
|
|
36
|
1.7
|
|
242
|
1.6
|
Other reasons (2)
|
982
|
9.6
|
|
502
|
36.3
|
|
-
|
-
|
|
46
|
3.7
|
|
151
|
7.3
|
|
1,681
|
11.2
|
Days past due >30
|
219
|
2.1
|
|
-
|
-
|
|
3
|
100
|
|
-
|
-
|
|
25
|
1.2
|
|
247
|
1.6
|
|
10,270
|
100
|
|
1,382
|
100
|
|
3
|
100
|
|
1,243
|
100
|
|
2,073
|
100
|
|
14,971
|
100
|
●
|
PD
remained the primary driver of credit deterioration, which
including persistence, accounted for the majority of movements to
Stage 2. High risk back-stops, for example, forbearance and adverse
credit bureau, provide additional valuable discrimination
particularly in mortgages.
|
|
Property
|
|
Corporate
|
|
FI
|
|
Other
|
|
Total
|
|||||
30 June 2019
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
|
£m
|
%
|
Wholesale trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
883
|
40.9
|
|
4,756
|
58.3
|
|
384
|
80.7
|
|
4
|
66.7
|
|
6,027
|
55.9
|
PD persistence
|
45
|
2.1
|
|
153
|
1.9
|
|
2
|
0.4
|
|
-
|
-
|
|
200
|
1.9
|
Risk of Credit Loss
|
767
|
35.7
|
|
2,162
|
26.6
|
|
66
|
13.9
|
|
-
|
-
|
|
2,995
|
27.8
|
Forbearance support provided
|
62
|
2.9
|
|
159
|
2.0
|
|
-
|
-
|
|
-
|
-
|
|
221
|
2.1
|
Customers in collections
|
10
|
0.5
|
|
44
|
0.5
|
|
-
|
-
|
|
-
|
-
|
|
54
|
0.5
|
Other reasons (3)
|
227
|
10.6
|
|
634
|
7.8
|
|
23
|
4.8
|
|
2
|
33.3
|
|
886
|
8.2
|
Days past due >30
|
156
|
7.3
|
|
234
|
2.9
|
|
1
|
0.2
|
|
-
|
-
|
|
391
|
3.6
|
|
2,150
|
100
|
|
8,142
|
100
|
|
476
|
100
|
|
6
|
100
|
|
10,774
|
100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wholesale trigger (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PD movement
|
940
|
50.1
|
|
5,617
|
64.2
|
|
281
|
59.3
|
|
8
|
36.4
|
|
6,845
|
61.5
|
PD persistence
|
57
|
3.0
|
|
171
|
2.0
|
|
4
|
0.8
|
|
-
|
-
|
|
232
|
2.1
|
Risk of Credit Loss
|
321
|
17.1
|
|
1,964
|
22.4
|
|
103
|
21.7
|
|
-
|
-
|
|
2,388
|
21.5
|
Forbearance support provided
|
65
|
3.5
|
|
209
|
2.4
|
|
-
|
-
|
|
-
|
-
|
|
274
|
2.5
|
Customers in collections
|
9
|
0.5
|
|
43
|
0.5
|
|
-
|
-
|
|
-
|
-
|
|
52
|
0.5
|
Other reasons (3)
|
251
|
13.4
|
|
525
|
6.0
|
|
85
|
17.9
|
|
14
|
63.6
|
|
875
|
7.9
|
Days past due >30
|
234
|
12.5
|
|
224
|
2.6
|
|
1
|
0.2
|
|
-
|
-
|
|
460
|
4.1
|
|
1,877
|
100
|
|
8,753
|
100
|
|
474
|
100
|
|
22
|
100
|
|
11,126
|
100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The
table is produced on a hierarchical basis from top to bottom, for
example, accounts with PD deterioration may also trigger
backstop(s) but are only reported under PD
deterioration.
|
(2)
|
Includes
customers that have accessed payday lending, interest only
mortgages past end of term, a small number of mortgage customers on
a highly flexible mortgage significantly behind outline repayment
plan and customers breaching risk appetite thresholds for new
business acquisition. In the RoI mortgage portfolio, this reflected
customers who remained in probation following the conclusion of
forbearance support, exposures breaching risk appetite thresholds
for new business acquisition and exposures classified as
non-performing exposures under European Banking Authority
requirements.
|
(3)
|
Includes
customers where a PD assessment cannot be undertaken due to missing
PDs.
|
●
|
PD
remained the primary driver of credit deterioration, which
including persistence, accounted for 58% of Stage 2 exposure. The
Risk of Credit Loss framework accounted for a further 28%, an
increase from 22% at 31 December 2018, driven by a small number of
large cases.
|
|
|
|
|
|
|
|
|
30 June 2019
|
31 December 2018
|
||||
|
UK PB
|
Ulster Bank RoI
|
|
UK PB
|
Ulster Bank RoI
|
|
|
mortgages
|
mortgages
|
Wholesale
|
mortgages
|
mortgages
|
Wholesale
|
Stage 3 loans (£bn)
|
1.3
|
2.0
|
3.2
|
1.2
|
2.1
|
3.4
|
Vintage (time in default):
|
|
|
|
|
|
|
<1 year
|
28%
|
16%
|
30%
|
26%
|
7%
|
22%
|
1-3 years
|
22%
|
27%
|
13%
|
21%
|
12%
|
19%
|
3-5 years
|
12%
|
12%
|
8%
|
14%
|
14%
|
9%
|
5-10 years
|
32%
|
41%
|
49%
|
35%
|
63%
|
50%
|
>10 years
|
6%
|
4%
|
-
|
4%
|
4%
|
-
|
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
●
|
Mortgages
– The proportion of the Stage 3 defaulted population which
have been in default for over five years reflected RBS’s
support for customers in financial difficulty. When customers
continue to engage constructively with RBS making regular
payments, RBS continues to support them. RBS’s
provisioning approach can retain customers in Stage 3 for a
life-time loss provisioning calculation even when their arrears
status reverts to below 90 days past due.
|
●
|
Wholesale
– The value of Stage 3 loans in default for 5-10 years mainly
reflects customers in a protracted formal insolvency process or
subject to litigation or a complaints process.
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
||||||||||
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
|
Total
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
|
%
|
UK mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
95,880
|
3,640
|
|
99,520
|
|
5
|
10
|
|
15
|
|
0.01
|
0.27
|
|
|
0.02
|
AQ5-AQ8
|
44,773
|
6,053
|
|
50,826
|
|
5
|
46
|
|
51
|
|
0.01
|
0.76
|
|
|
0.10
|
AQ9
|
44
|
809
|
|
853
|
|
-
|
22
|
|
22
|
|
-
|
2.72
|
|
|
2.58
|
AQ10
|
|
|
1,316
|
1,316
|
|
|
|
148
|
148
|
|
|
|
11.25
|
|
11.25
|
|
140,697
|
10,502
|
1,316
|
152,515
|
|
10
|
78
|
148
|
236
|
|
0.01
|
0.74
|
11.25
|
|
0.15
|
RoI mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
5,356
|
161
|
|
5,517
|
|
2
|
1
|
|
3
|
|
0.04
|
0.62
|
|
|
0.05
|
AQ5-AQ8
|
5,730
|
598
|
|
6,328
|
|
4
|
11
|
|
15
|
|
0.07
|
1.84
|
|
|
0.24
|
AQ9
|
3
|
288
|
|
291
|
|
-
|
6
|
|
6
|
|
-
|
2.08
|
|
|
2.06
|
AQ10 (1)
|
|
|
1,983
|
1,983
|
|
|
|
479
|
479
|
|
|
|
24.16
|
|
24.16
|
|
11,089
|
1,047
|
1,983
|
14,119
|
|
6
|
18
|
479
|
503
|
|
0.05
|
1.72
|
24.16
|
|
3.56
|
Other mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
698
|
1
|
|
699
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
|
-
|
AQ5-AQ8
|
163
|
-
|
|
163
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
|
-
|
AQ9
|
-
|
-
|
|
-
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
|
-
|
AQ10
|
|
|
3
|
3
|
|
|
|
-
|
-
|
|
|
|
-
|
|
-
|
|
861
|
1
|
3
|
865
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
|
-
|
Credit cards
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
24
|
-
|
|
24
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
|
-
|
AQ5-AQ8
|
2,803
|
1,152
|
|
3,955
|
|
36
|
85
|
|
121
|
|
1.28
|
7.38
|
|
|
3.06
|
AQ9
|
4
|
58
|
|
62
|
|
-
|
15
|
|
15
|
|
-
|
25.86
|
|
|
24.19
|
AQ10
|
|
|
140
|
140
|
|
|
|
88
|
88
|
|
|
|
62.86
|
|
62.86
|
|
2,831
|
1,210
|
140
|
4,181
|
|
36
|
100
|
88
|
224
|
|
1.27
|
8.26
|
62.86
|
|
5.36
|
Other personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
1,014
|
56
|
|
1,070
|
|
4
|
6
|
|
10
|
|
0.39
|
10.71
|
|
|
0.93
|
AQ5-AQ8
|
6,046
|
1,889
|
|
7,935
|
|
54
|
185
|
|
239
|
|
0.89
|
9.79
|
|
|
3.01
|
AQ9
|
84
|
226
|
|
310
|
|
3
|
60
|
|
63
|
|
3.57
|
26.55
|
|
|
20.32
|
AQ10
|
|
|
628
|
628
|
|
|
|
512
|
512
|
|
|
|
81.53
|
|
81.53
|
|
7,144
|
2,171
|
628
|
9,943
|
|
61
|
251
|
512
|
824
|
|
0.85
|
11.56
|
81.53
|
|
8.29
|
Total personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
102,972
|
3,858
|
|
106,830
|
|
11
|
17
|
|
28
|
|
0.01
|
0.44
|
|
|
0.03
|
AQ5-AQ8
|
59,515
|
9,692
|
|
69,207
|
|
99
|
327
|
|
426
|
|
0.17
|
3.37
|
|
|
0.62
|
AQ9
|
135
|
1,381
|
|
1,516
|
|
3
|
103
|
|
106
|
|
2.22
|
7.46
|
|
|
6.99
|
AQ10
|
|
|
4,070
|
4,070
|
|
|
|
1,227
|
1,227
|
|
|
|
30.15
|
|
30.15
|
|
162,622
|
14,931
|
4,070
|
181,623
|
|
113
|
447
|
1,227
|
1,787
|
|
0.07
|
2.99
|
30.15
|
|
0.98
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the notes to this table refer to the following
page.
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross loans
|
|
ECL Provisions
|
|
ECL provisions coverage
|
|||||||||
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
31 December 2018
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
UK mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
95,618
|
3,621
|
|
99,239
|
|
6
|
11
|
|
17
|
|
0.01
|
0.30
|
|
0.02
|
AQ5-AQ8
|
42,771
|
5,845
|
|
48,616
|
|
6
|
46
|
|
52
|
|
0.01
|
0.79
|
|
0.11
|
AQ9
|
32
|
804
|
|
836
|
|
-
|
17
|
|
17
|
|
-
|
2.11
|
|
2.03
|
AQ10
|
|
|
1,541
|
1,541
|
|
|
-
|
151
|
151
|
|
|
-
|
9.80
|
9.80
|
|
138,421
|
10,270
|
1,541
|
150,232
|
|
12
|
74
|
151
|
237
|
|
0.01
|
0.72
|
9.80
|
0.16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RoI mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
5,164
|
226
|
|
5,390
|
|
4
|
5
|
|
9
|
|
0.08
|
2.21
|
|
0.17
|
AQ5-AQ8
|
5,668
|
717
|
|
6,385
|
|
7
|
32
|
|
39
|
|
0.12
|
4.46
|
|
0.61
|
AQ9
|
12
|
439
|
|
451
|
|
-
|
39
|
|
39
|
|
-
|
8.88
|
|
8.65
|
AQ10 (1)
|
|
|
2,124
|
2,124
|
|
|
|
515
|
515
|
|
|
|
24.25
|
24.25
|
|
10,844
|
1,382
|
2,124
|
14,350
|
|
11
|
76
|
515
|
602
|
|
0.10
|
5.50
|
24.25
|
4.20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other mortgages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
359
|
1
|
|
360
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
-
|
AQ5-AQ8
|
136
|
2
|
|
138
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
-
|
AQ10
|
|
|
1
|
1
|
|
|
|
-
|
|
|
|
|
-
|
-
|
|
495
|
3
|
1
|
499
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit cards
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
34
|
1
|
|
35
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
-
|
AQ5-AQ8
|
2,810
|
1,180
|
|
3,990
|
|
38
|
103
|
|
141
|
|
1.35
|
8.73
|
|
3.53
|
AQ9
|
7
|
62
|
|
69
|
|
-
|
17
|
|
17
|
|
-
|
27.42
|
|
24.64
|
AQ10
|
|
|
122
|
122
|
|
|
|
72
|
72
|
|
|
|
59.02
|
59.02
|
|
2,851
|
1,243
|
122
|
4,216
|
|
38
|
120
|
72
|
230
|
|
1.33
|
9.65
|
59.02
|
5.46
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
997
|
43
|
|
1,040
|
|
4
|
5
|
|
9
|
|
0.40
|
11.63
|
|
0.87
|
AQ5-AQ8
|
5,889
|
1,847
|
|
7,736
|
|
55
|
186
|
|
241
|
|
0.93
|
10.07
|
|
3.12
|
AQ9
|
56
|
183
|
|
239
|
|
2
|
56
|
|
58
|
|
3.57
|
30.60
|
|
24.27
|
AQ10
|
|
|
563
|
563
|
|
|
|
420
|
420
|
|
|
|
74.60
|
74.60
|
|
6,942
|
2,073
|
563
|
9,578
|
|
61
|
247
|
420
|
728
|
|
0.88
|
11.92
|
74.60
|
7.60
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total personal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
102,172
|
3,892
|
|
106,064
|
|
14
|
21
|
|
35
|
|
0.01
|
0.54
|
|
0.03
|
AQ5-AQ8
|
57,274
|
9,591
|
|
66,865
|
|
106
|
367
|
|
473
|
|
0.19
|
3.83
|
|
0.71
|
AQ9
|
107
|
1,488
|
|
1,595
|
|
2
|
129
|
|
131
|
|
1.87
|
8.67
|
|
8.21
|
AQ10
|
|
|
4,351
|
4,351
|
|
|
|
1,158
|
1,158
|
|
|
|
26.61
|
26.61
|
|
159,553
|
14,971
|
4,351
|
178,875
|
|
122
|
517
|
1,158
|
1,797
|
|
0.08
|
3.45
|
26.61
|
1.00
|
●
|
Overall
credit quality remained broadly stable with some movements at
product level. Mortgage exposures have a higher proportion in
AQ1-AQ4 than unsecured borrowing.
|
●
|
The
relatively high level of Stage 3 impaired assets (AQ10) in RoI
mortgages reflected their legacy mortgage portfolio and the
residual effects from the financial crisis. For UK mortgages, the
reduction in value of Stage 3 exposures included the effect of a
methodology change.
|
●
|
In
other personal, the relatively high level of exposures in AQ10
reflected the fact that impaired assets can be held on balance
sheet with commensurate ECL provision for up to six years after
default. The increase in ECL included the effect of a loss rate
model adjustment. Furthermore, the value of new defaults was higher
than write-offs and customer debt repayments, and unlike in 2018,
there were no debt sales in H1 2019.
|
●
|
ECL
provisions coverage shows the expected pattern with higher coverage
in the poorer asset quality bands, and also by stage.
|
●
|
In
Ulster Bank RoI mortgages, the reduction in Stage 1 and Stage 2 ECL
was driven by the movement of exposures into Stage 3 following a
regulatory driven revision to the definition of default in that
business. The corresponding increase in Stage 3 ECL was offset by
the completion of the remainder of Ulster Bank RoI’s 2018
sale of non-performing loans in H1 2019.
|
|
|
Gross loans
|
|
ECL provisions
|
|
ECL provisions coverage
|
|||||||||
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
|
Stage 1
|
Stage 2
|
Stage 3
|
Total
|
30 June 2019
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
%
|
%
|
%
|
%
|
Property
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
15,375
|
365
|
|
15,740
|
|
7
|
8
|
|
15
|
|
0.05
|
2.19
|
|
0.10
|
AQ5-AQ8
|
|
17,838
|
1,710
|
|
19,548
|
|
37
|
27
|
|
64
|
|
0.21
|
1.58
|
|
0.33
|
AQ9
|
|
39
|
75
|
|
114
|
|
-
|
6
|
|
6
|
|
-
|
8.00
|
|
5.26
|
AQ10
|
|
|
|
1,516
|
1,516
|
|
|
|
339
|
339
|
|
|
|
22.36
|
22.36
|
|
|
33,252
|
2,150
|
1,516
|
36,918
|
|
44
|
41
|
339
|
424
|
|
0.13
|
1.91
|
22.36
|
1.15
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
22,324
|
837
|
|
23,161
|
|
11
|
15
|
|
26
|
|
0.05
|
1.79
|
|
0.11
|
AQ5-AQ8
|
|
39,298
|
6,932
|
|
46,230
|
|
91
|
156
|
|
247
|
|
0.23
|
2.25
|
|
0.53
|
AQ9
|
|
232
|
373
|
|
605
|
|
1
|
14
|
|
15
|
|
0.43
|
3.75
|
|
2.48
|
AQ10
|
|
|
|
1,712
|
1,712
|
|
|
|
762
|
762
|
|
|
|
44.51
|
44.51
|
|
|
61,854
|
8,142
|
1,712
|
71,708
|
|
103
|
185
|
762
|
1,050
|
|
0.17
|
2.27
|
44.51
|
1.46
|
Financial institutions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
25,527
|
265
|
|
25,792
|
|
5
|
7
|
|
12
|
|
0.02
|
2.64
|
|
0.05
|
AQ5-AQ8
|
|
1,010
|
209
|
|
1,219
|
|
6
|
1
|
|
7
|
|
0.59
|
0.48
|
|
0.57
|
AQ9
|
|
-
|
2
|
|
2
|
|
-
|
1
|
|
1
|
|
-
|
50.00
|
|
50.00
|
AQ10
|
|
|
|
22
|
22
|
|
|
|
12
|
12
|
|
|
|
54.55
|
54.55
|
|
|
26,537
|
476
|
22
|
27,035
|
|
11
|
9
|
12
|
32
|
|
0.04
|
1.89
|
54.55
|
0.12
|
Sovereign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
7,570
|
4
|
|
7,574
|
|
9
|
-
|
|
9
|
|
0.12
|
-
|
|
0.12
|
AQ5-AQ8
|
|
148
|
2
|
|
150
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
-
|
AQ9
|
|
1
|
-
|
|
1
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
-
|
AQ10
|
|
|
|
5
|
5
|
|
|
|
-
|
-
|
|
|
|
-
|
-
|
|
|
7,719
|
6
|
5
|
7,730
|
|
9
|
-
|
-
|
9
|
|
0.12
|
-
|
-
|
0.12
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
70,796
|
1,471
|
|
72,267
|
|
32
|
30
|
|
62
|
|
0.05
|
2.04
|
|
0.09
|
AQ5-AQ8
|
|
58,294
|
8,853
|
|
67,147
|
|
134
|
184
|
|
318
|
|
0.23
|
2.08
|
|
0.47
|
AQ9
|
|
272
|
450
|
|
722
|
|
1
|
21
|
|
22
|
|
0.37
|
4.67
|
|
3.05
|
AQ10
|
|
|
|
3,255
|
3,255
|
|
|
|
1,113
|
1,113
|
|
|
|
34.19
|
34.19
|
|
|
129,362
|
10,774
|
3,255
|
143,391
|
|
167
|
235
|
1,113
|
1,515
|
|
0.13
|
2.18
|
34.19
|
1.06
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Property
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
15,740
|
393
|
|
16,133
|
|
8
|
9
|
|
17
|
|
0.05
|
2.29
|
|
0.11
|
AQ5-AQ8
|
|
17,397
|
1,418
|
|
18,815
|
|
35
|
26
|
|
61
|
|
0.20
|
1.83
|
|
0.32
|
AQ9
|
|
8
|
66
|
|
74
|
|
-
|
4
|
|
4
|
|
-
|
6.06
|
|
5.41
|
AQ10
|
|
|
|
1,685
|
1,685
|
|
|
|
506
|
506
|
|
|
|
30.03
|
30.03
|
|
|
33,145
|
1,877
|
1,685
|
36,707
|
|
43
|
39
|
506
|
588
|
|
0.13
|
2.08
|
30.03
|
1.60
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
21,814
|
773
|
|
22,587
|
|
13
|
14
|
|
27
|
|
0.06
|
1.81
|
|
0.12
|
AQ5-AQ8
|
|
40,004
|
7,647
|
|
47,651
|
|
93
|
171
|
|
264
|
|
0.23
|
2.24
|
|
0.55
|
AQ9
|
|
26
|
333
|
|
359
|
|
1
|
15
|
|
16
|
|
3.85
|
4.50
|
|
4.46
|
AQ10
|
|
|
|
1,643
|
1,643
|
|
|
|
634
|
634
|
|
|
|
38.59
|
38.59
|
|
|
61,844
|
8,753
|
1,643
|
72,240
|
|
107
|
200
|
634
|
941
|
|
0.17
|
2.28
|
38.59
|
1.30
|
Financial institutions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
22,150
|
247
|
|
22,397
|
|
5
|
5
|
|
10
|
|
0.02
|
2.02
|
|
0.04
|
AQ5-AQ8
|
|
2,352
|
222
|
|
2,574
|
|
7
|
2
|
|
9
|
|
0.30
|
0.90
|
|
0.35
|
AQ9
|
|
-
|
5
|
|
5
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
-
|
AQ10
|
|
|
|
35
|
35
|
|
|
|
22
|
22
|
|
|
|
62.86
|
62.86
|
|
|
24,502
|
474
|
35
|
25,011
|
|
12
|
7
|
22
|
41
|
|
0.05
|
1.48
|
62.86
|
0.16
|
Sovereign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
6,780
|
22
|
|
6,802
|
|
1
|
-
|
|
1
|
|
0.01
|
-
|
|
0.01
|
AQ5-AQ8
|
|
161
|
-
|
|
161
|
|
-
|
-
|
|
-
|
|
-
|
-
|
|
-
|
AQ10
|
|
|
|
4
|
4
|
|
|
|
-
|
-
|
|
|
|
-
|
-
|
|
|
6,941
|
22
|
4
|
6,967
|
|
1
|
-
|
-
|
1
|
|
0.01
|
-
|
-
|
0.01
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQ1-AQ4
|
|
66,484
|
1,435
|
|
67,919
|
|
27
|
28
|
|
55
|
|
0.04
|
1.95
|
|
0.08
|
AQ5-AQ8
|
|
59,914
|
9,287
|
|
69,201
|
|
135
|
199
|
|
334
|
|
0.23
|
2.14
|
|
0.48
|
AQ9
|
|
34
|
404
|
|
438
|
|
1
|
19
|
|
20
|
|
2.94
|
4.70
|
|
4.57
|
AQ10
|
|
|
|
3,367
|
3,367
|
|
|
|
1,162
|
1,162
|
|
|
|
34.51
|
34.51
|
|
|
126,432
|
11,126
|
3,367
|
140,925
|
|
163
|
246
|
1,162
|
1,571
|
|
0.13
|
2.21
|
34.51
|
1.11
|
●
|
Across
the Wholesale portfolio, the asset quality band distribution
differed reflecting the diverse nature of differing sectors, but
remained broadly unchanged during the first half of
2019.
|
●
|
The
reduction in Stage 3 provision coverage in property was driven by
the write-off of defaulted debt that carried a higher than average
level of impairment compared to the rest of the portfolio. The
lower coverage level in this sector reflected the secured nature of
the exposure.
|
|
Reverse repos
|
|
Repos
|
||||
|
|
|
Outside
|
|
|
|
Outside
|
|
|
Of which
|
netting
|
|
|
Of which
|
netting
|
|
Total
|
can be offset
|
arrangements
|
|
Total
|
can be offset
|
arrangements
|
30 June 2019
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Gross
|
80,146
|
75,389
|
4,757
|
|
85,931
|
83,534
|
2,397
|
IFRS offset
|
(49,125)
|
(49,125)
|
-
|
|
(49,125)
|
(49,125)
|
-
|
Carrying value
|
31,021
|
26,264
|
4,757
|
|
36,806
|
34,409
|
2,397
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Master netting arrangements
|
(1,191)
|
(1,191)
|
-
|
|
(1,191)
|
(1,191)
|
-
|
Securities collateral
|
(24,808)
|
(24,808)
|
-
|
|
(33,078)
|
(33,078)
|
-
|
Potential for offset not recognised under IFRS
|
(25,999)
|
(25,999)
|
-
|
|
(34,269)
|
(34,269)
|
-
|
Net
|
5,022
|
265
|
4,757
|
|
2,537
|
140
|
2,397
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
Gross
|
68,044
|
65,057
|
2,987
|
|
70,097
|
68,940
|
1,157
|
IFRS offset
|
(39,737)
|
(39,737)
|
-
|
|
(39,737)
|
(39,737)
|
-
|
Carrying value
|
28,307
|
25,320
|
2,987
|
|
30,360
|
29,203
|
1,157
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Master netting arrangements
|
(762)
|
(762)
|
-
|
|
(762)
|
(762)
|
-
|
Securities collateral
|
(24,548)
|
(24,548)
|
-
|
|
(28,441)
|
(28,441)
|
-
|
Potential for offset not recognised under IFRS
|
(25,310)
|
(25,310)
|
-
|
|
(29,203)
|
(29,203)
|
-
|
Net
|
2,997
|
10
|
2,987
|
|
1,157
|
-
|
1,157
|
|
30 June 2019
|
|
31 December 2018
|
||||||||
Notional
|
|
|
|
|
|
|
|||||
GBP
|
USD
|
Euro
|
Other
|
Total
|
Assets
|
Liabilities
|
Notional
|
Assets
|
Liabilities
|
||
£bn
|
£bn
|
£bn
|
£bn
|
£bn
|
£m
|
£m
|
£bn
|
£m
|
£m
|
||
Gross exposure
|
|
|
|
|
|
153,424
|
151,725
|
|
|
138,390
|
135,673
|
IFRS offset
|
|
|
|
|
|
(7,830)
|
(10,028)
|
|
|
(5,041)
|
(6,776)
|
Carrying value
|
3,014
|
6,317
|
5,214
|
1,942
|
16,487
|
145,594
|
141,697
|
|
13,979
|
133,349
|
128,897
|
Of which:
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate (1)
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps
|
|
|
|
|
|
91,365
|
88,255
|
|
|
81,855
|
74,004
|
Options purchased
|
|
|
|
|
|
18,124
|
-
|
|
|
14,481
|
-
|
Options written
|
|
|
|
|
|
-
|
15,847
|
|
|
-
|
16,371
|
Futures and forwards
|
|
|
|
|
|
68
|
73
|
|
|
74
|
69
|
Total
|
2,627
|
4,550
|
4,603
|
872
|
12,652
|
109,557
|
104,175
|
|
10,536
|
96,410
|
90,444
|
Exchange rate
|
|
|
|
|
|
|
|
|
|
|
|
Spot, forwards and futures
|
|
|
|
|
|
19,350
|
20,177
|
|
|
17,904
|
18,610
|
Currency swaps
|
|
|
|
|
|
10,079
|
10,453
|
|
|
11,322
|
12,062
|
Options purchased
|
|
|
|
|
|
6,329
|
-
|
|
|
7,319
|
-
|
Options written
|
|
|
|
|
|
-
|
6,617
|
|
|
-
|
7,558
|
Total
|
386
|
1,760
|
600
|
1,070
|
3,816
|
35,758
|
37,247
|
|
3,426
|
36,545
|
38,230
|
Credit
|
1
|
6
|
11
|
-
|
18
|
266
|
254
|
|
16
|
346
|
208
|
Equity and commodity
|
-
|
1
|
-
|
-
|
1
|
13
|
21
|
|
1
|
48
|
15
|
Carrying value
|
|
|
|
|
16,487
|
145,594
|
141,697
|
|
13,979
|
133,349
|
128,897
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty mark-to-market netting
|
|
|
|
|
|
(116,595)
|
(116,595)
|
|
|
(106,762)
|
(106,762)
|
Cash collateral
|
|
|
|
|
|
(19,927)
|
(17,592)
|
|
|
(17,937)
|
(15,227)
|
Securities collateral
|
|
|
|
|
|
(3,997)
|
(3,364)
|
|
|
(4,469)
|
(3,466)
|
Net exposure
|
|
|
|
|
|
5,075
|
4,146
|
|
|
4,181
|
3,442
|
Of which outside netting arrangements
|
|
|
|
|
1,891
|
3,874
|
|
|
2,061
|
1,708
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks (2)
|
|
|
|
|
|
258
|
903
|
|
|
362
|
443
|
Other financial institutions (3)
|
|
|
|
|
|
1,472
|
1,311
|
|
|
1,054
|
1,144
|
Corporate (4)
|
|
|
|
|
|
2,994
|
1,832
|
|
|
2,510
|
1,817
|
Government (5)
|
|
|
|
|
|
351
|
100
|
|
|
255
|
38
|
Net exposure
|
|
|
|
|
|
5,075
|
4,146
|
|
|
4,181
|
3,442
|
|
|
|
|
|
|
|
|
|
|
|
|
UK
|
|
|
|
|
|
2,635
|
1,332
|
|
|
1,935
|
1,304
|
Europe
|
|
|
|
|
|
1,280
|
2,460
|
|
|
1,308
|
1,465
|
US
|
|
|
|
|
|
844
|
80
|
|
|
588
|
298
|
RoW
|
|
|
|
|
|
316
|
274
|
|
|
350
|
375
|
Net exposure
|
|
|
|
|
|
5,075
|
4,146
|
|
|
4,181
|
3,442
|
|
Central and local government
|
Financial
|
|
|
||
|
UK
|
US
|
Other
|
institutions
|
Corporate
|
Total
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
AAA
|
-
|
-
|
3,198
|
1,928
|
4
|
5,130
|
AA to AA+
|
5,365
|
6,093
|
3,686
|
811
|
95
|
16,050
|
A to AA-
|
-
|
-
|
4,508
|
628
|
46
|
5,182
|
BBB- to A-
|
-
|
-
|
4,861
|
818
|
467
|
6,146
|
Non-investment grade
|
-
|
-
|
88
|
517
|
294
|
899
|
Unrated
|
-
|
-
|
-
|
505
|
121
|
626
|
Total
|
5,365
|
6,093
|
16,341
|
5,207
|
1,027
|
34,033
|
|
|
|
|
|
|
|
Short positions
|
(5,589)
|
(1,773)
|
(15,811)
|
(1,652)
|
(189)
|
(25,014)
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAA
|
-
|
-
|
2,093
|
1,459
|
7
|
3,559
|
AA to AA+
|
6,834
|
4,689
|
3,161
|
773
|
120
|
15,577
|
A to AA-
|
-
|
-
|
4,571
|
482
|
51
|
5,104
|
BBB- to A-
|
-
|
-
|
3,592
|
802
|
285
|
4,679
|
Non-investment grade
|
-
|
-
|
81
|
832
|
237
|
1,150
|
Unrated
|
-
|
-
|
-
|
572
|
8
|
580
|
Total
|
6,834
|
4,689
|
13,498
|
4,920
|
708
|
30,649
|
|
|
|
|
|
|
|
Short positions
|
(6,394)
|
(2,008)
|
(13,500)
|
(1,724)
|
(201)
|
(23,827)
|
|
|
|
|
|
|
|
|
Government
|
Banks
|
Other
|
Total
|
Short positions
|
Net of short positions
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
Western Europe
|
22,879
|
10,801
|
21,062
|
54,742
|
16,480
|
38,262
|
Of which: France
|
3,892
|
2,363
|
2,471
|
8,726
|
3,982
|
4,744
|
Of which: Germany
|
7,535
|
3,790
|
1,401
|
12,726
|
3,892
|
8,834
|
Of which: Netherlands
|
1,858
|
663
|
5,157
|
7,678
|
1,454
|
6,224
|
Of which: Italy
|
2,965
|
720
|
1,759
|
5,444
|
2,405
|
3,039
|
Of which: Spain
|
1,587
|
522
|
1,917
|
4,026
|
1,947
|
2,079
|
United States
|
14,093
|
5,657
|
8,582
|
28,332
|
1,868
|
26,464
|
Japan
|
4,611
|
3,512
|
431
|
8,554
|
13
|
8,541
|
Jersey
|
-
|
-
|
3,858
|
3,858
|
1
|
3,857
|
31 December 2018
|
|
|
|
|
|
|
Western Europe
|
21,121
|
19,003
|
16,741
|
56,865
|
14,103
|
42,762
|
Of which: France
|
3,396
|
10,209
|
1,579
|
15,184
|
1,626
|
13,558
|
Of which: Germany
|
8,023
|
3,086
|
1,145
|
12,254
|
5,397
|
6,857
|
Of which: Netherlands
|
1,142
|
675
|
3,739
|
5,556
|
985
|
4,571
|
Of which: Italy
|
2,179
|
248
|
584
|
3,011
|
1,796
|
1,215
|
Of which: Spain
|
891
|
450
|
1,848
|
3,189
|
1,164
|
2,025
|
United States
|
13,558
|
5,458
|
8,379
|
27,395
|
2,103
|
25,292
|
Japan
|
4,857
|
2,327
|
405
|
7,589
|
11
|
7,578
|
Jersey
|
-
|
5
|
3,064
|
3,069
|
2
|
3,067
|
|
● Non-traded market risk is now managed separately on both
sides of the ring-fence. However, it continues to be aggregated and
monitored against risk appetite at RBS level.
● Five- and ten-year sterling interest-rate swap
rates fell by 0.35%-0.40% in H1 2019. The structural hedge provides
some protection against volatility in interest rates and the yield
remained stable, falling by only 0.02% in H1 2019 from 1.23% to
1.21%.
|
|
● Following the Alawwal bank merger, RBS holds a minority
equity holding in SABB. This investment in the newly-merged entity
is held in NWM Plc. The investment is held at fair value. Changes
in value are recognised in reserves. This exposure is now captured
in the VaR table below.
● By 30 June 2019, the disposal of the
lender-option/borrower-option loan portfolio was materially
complete, reducing RBS’s exposure to changes in the credit
spread compared to the 2018 year-end.
|
|
Half year ended
|
|||||||||||||
|
30 June 2019
|
|
30 June 2018
|
|
31 December 2018
|
|||||||||
|
|
|
|
Period
|
|
|
|
|
Period
|
|
|
|
|
Period
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
Interest rate
|
11.9
|
14.0
|
9.3
|
9.9
|
|
19.4
|
28.2
|
8.9
|
19.2
|
|
9.3
|
11.6
|
7.3
|
11.6
|
Euro
|
1.2
|
1.8
|
0.7
|
1.8
|
|
2.7
|
3.9
|
1.3
|
2.9
|
|
1.4
|
2.4
|
1.0
|
1.0
|
Sterling
|
11.5
|
14.1
|
9.5
|
9.9
|
|
18.7
|
26.0
|
11.2
|
19.9
|
|
10.3
|
13.7
|
7.9
|
13.3
|
US dollar
|
4.7
|
6.0
|
3.8
|
3.8
|
|
5.6
|
6.8
|
1.5
|
1.5
|
|
3.7
|
8.7
|
1.4
|
8.7
|
Other
|
0.3
|
0.4
|
0.2
|
0.4
|
|
0.4
|
0.7
|
0.3
|
0.3
|
|
0.5
|
0.7
|
0.3
|
0.7
|
Credit spread
|
54.9
|
58.0
|
49.2
|
56.6
|
|
56.9
|
60.8
|
49.4
|
49.4
|
|
62.4
|
77.8
|
53.9
|
77.8
|
Foreign exchange
|
20.0
|
23.8
|
7.2
|
7.2
|
|
12.8
|
32.7
|
5.9
|
16.6
|
|
14.0
|
16.4
|
12.2
|
13.0
|
Equity
|
38.6
|
38.6
|
38.6
|
38.6
|
|
-
|
-
|
-
|
-
|
|
-
|
-
|
-
|
-
|
Pipeline risk
|
0.3
|
0.5
|
0.2
|
0.3
|
|
0.6
|
1.3
|
0.3
|
0.4
|
|
0.6
|
0.8
|
0.4
|
0.4
|
Diversification (1)
|
(70.5)
|
|
|
(50.7)
|
|
(29.3)
|
|
|
(22.6)
|
|
(20.6)
|
|
|
(20.5)
|
Total
|
55.2
|
61.9
|
48.1
|
61.9
|
|
60.4
|
69.8
|
54.9
|
63.0
|
|
65.7
|
82.3
|
61.4
|
82.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
RBS
benefits from diversification across various financial instrument
types, currencies and markets. The extent of the diversification
benefit depends on the correlation between the assets and risk
factors in the portfolio at a particular time. The diversification
factor is the sum of the VaR on individual risk types less the
total portfolio VaR.
|
●
|
The
increase in total VaR at the end of June 2019 compared to the
average, reflected the equity exposure to SABB following the
Alawwal bank merger in June 2019. The inclusion of this exposure
outweighed the decrease in the foreign exchange VaR at 30 June 2019
resulting from lower sensitivity to the Saudi Riyal exchange rate
following the merger.
|
|
Half year ended
|
||||||||||||||||
|
30 June 2019
|
|
30 June 2018
|
|
31 December 2018
|
||||||||||||
|
Incremental
|
Total
|
Spot
|
Average
|
Overall
|
|
Incremental
|
Total
|
Spot
|
Average
|
Overall
|
|
Incremental
|
Total
|
Spot
|
Average
|
Overall
|
|
income
|
income
|
notional
|
notional
|
yield
|
|
income
|
income
|
notional
|
notional
|
yield
|
|
income
|
income
|
notional
|
notional
|
yield
|
|
£m
|
£m
|
£bn
|
£bn
|
%
|
|
£m
|
£m
|
£bn
|
£bn
|
%
|
|
£m
|
£m
|
£bn
|
£bn
|
%
|
Equity
|
197
|
332
|
29
|
29
|
2.31
|
|
257
|
335
|
29
|
28
|
2.40
|
|
212
|
338
|
29
|
30
|
2.28
|
Product (1)
|
82
|
558
|
111
|
111
|
1.01
|
|
225
|
545
|
108
|
108
|
1.01
|
|
143
|
558
|
110
|
109
|
1.03
|
Other
|
27
|
84
|
21
|
21
|
0.79
|
|
50
|
80
|
21
|
21
|
0.75
|
|
39
|
86
|
22
|
22
|
0.78
|
Total
|
306
|
974
|
161
|
161
|
1.21
|
|
532
|
960
|
158
|
157
|
1.22
|
|
394
|
982
|
161
|
161
|
1.23
|
(1)
|
Refer
to the next table for a segmental split.
|
|
|
●
|
The
five year sterling swap rate fell to 0.83% at the end of June 2019
from 1.22% at December 2018. The ten-year sterling swap rate also
fell to 0.97% from 1.35%. However, the yield of the structural
hedge was relatively stable. At 1.21% the overall yield was also
higher than market swap rates at 30 June 2019.
|
●
|
Incremental
income in excess of three-month LIBOR fell in H1 2019 compared to
H2 2018. This was primarily due to higher three-month LIBOR
fixings, resulting in less income benefit from the
hedge.
|
|
|
|
|
|
Half year ended
|
||
30 June 2019
|
30 June 2018*
|
31 December 2018*
|
|
£m
|
£m
|
£m
|
|
UK Personal Banking
|
38
|
101
|
65
|
Commercial and Business Banking
|
44
|
122
|
78
|
Other
|
-
|
2
|
-
|
Total
|
82
|
225
|
143
|
(1)
|
For
further detail on incremental income related to product structural
hedges refer to the table below.
|
|
|
|
|
|
|
|
|
|
|
|
Parallel shifts in yield curve
|
|||
|
+25 basis points
|
-25 basis points
|
+100 basis points
|
-100 basis points
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
Euro
|
23
|
5
|
88
|
9
|
Sterling
|
201
|
(142)
|
707
|
(706)
|
US dollar
|
15
|
(9)
|
51
|
(52)
|
Other
|
(2)
|
2
|
(9)
|
15
|
Total
|
237
|
(144)
|
837
|
(734)
|
|
|
|
|
|
30 June 2018
|
|
|
|
|
Euro
|
6
|
4
|
26
|
4
|
Sterling
|
156
|
(173)
|
673
|
(674)
|
US dollar
|
9
|
(6)
|
43
|
(29)
|
Other
|
4
|
(3)
|
16
|
(7)
|
Total
|
175
|
(178)
|
758
|
(706)
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
Euro
|
29
|
(3)
|
114
|
(1)
|
Sterling
|
152
|
(201)
|
651
|
(717)
|
US dollar
|
15
|
(8)
|
63
|
(42)
|
Other
|
1
|
2
|
2
|
3
|
Total
|
197
|
(210)
|
830
|
(757)
|
|
|
|
|
|
Refer to the key points under the next table for
analysis.
|
|
|
|
|
|
|
|
|
|
+25 basis points parallel upward shift
|
|
-25 basis points parallel downward shift
|
||||
|
Year 1
|
Year 2 (1)
|
Year 3 (1)
|
|
Year 1
|
Year 2 (1)
|
Year 3 (1)
|
30 June 2019
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Structural hedges
|
32
|
99
|
171
|
|
(30)
|
(97)
|
(168)
|
Managed margin (2)
|
213
|
241
|
243
|
|
(129)
|
(104)
|
(108)
|
Other
|
(8)
|
-
|
-
|
|
15
|
-
|
-
|
Total
|
237
|
340
|
414
|
|
(144)
|
(201)
|
(276)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
Structural hedges
|
32
|
98
|
170
|
|
(32)
|
(98)
|
(167)
|
Managed margin (2)
|
150
|
171
|
170
|
|
(177)
|
(189)
|
(163)
|
Other
|
15
|
-
|
-
|
|
(2)
|
-
|
-
|
Total
|
197
|
269
|
340
|
|
(210)
|
(287)
|
(330)
|
●
|
Changes
to earnings sensitivity to rate shocks between December 2018 and
June 2019 were mainly driven by changes to estimates of how product
pricing will respond to interest rate shocks. These estimates
are regularly reviewed and are influenced by the overall level of
interest rates, the Group’s competitive position and other
strategic considerations.
|
●
|
Sensitivity
to a 100 basis point downward shift in yield curves was also
affected by the changes in the level of interest rates. In the
shock scenario, rates fell less at 30 June 2019 before hitting an
assumed zero per cent floor compared to 31 December 2018. This
resulted in a slightly lower adverse impact at 30 June
2019.
|
|
|
|
Net
|
|
Structural
|
|
|
|
Net
|
|
investments
|
|
foreign currency
|
|
Residual
|
|
investments
|
|
in foreign
|
Net
|
exposures
|
|
structural
|
in foreign
|
|
operations
|
investment
|
pre-economic
|
Economic
|
foreign currency
|
|
operations
|
NCI (1)
|
excluding NCI
|
hedges
|
hedges
|
hedges (2)
|
exposures
|
|
30 June 2019
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
US dollar
|
1,412
|
-
|
1,412
|
(33)
|
1,379
|
(1,379)
|
-
|
Euro
|
6,935
|
3
|
6,932
|
(1,711)
|
5,221
|
-
|
5,221
|
Other non-sterling
|
1,492
|
-
|
1,492
|
(145)
|
1,347
|
-
|
1,347
|
Total
|
9,839
|
3
|
9,836
|
(1,889)
|
7,947
|
(1,379)
|
6,568
|
|
|
|
|
|
|
|
|
31 December 2018
|
|
|
|
|
|
|
|
US dollar
|
553
|
-
|
553
|
(4)
|
549
|
(549)
|
-
|
Euro
|
6,428
|
33
|
6,395
|
(853)
|
5,542
|
-
|
5,542
|
Other non-sterling
|
2,600
|
710
|
1,890
|
(1,249)
|
641
|
(81)
|
560
|
Total
|
9,581
|
743
|
8,838
|
(2,106)
|
6,732
|
(630)
|
6,102
|
(1)
|
Non-controlling
interests (NCI) represents the structural foreign exchange exposure
not attributable to owners’ equity.
|
(2)
|
Economic
hedges of US dollar net investments in foreign operations represent
US dollar equity securities that do not qualify as net investment
hedges for accounting purposes. They provide an offset to
structural foreign exchange exposures to the extent that there are
net assets in overseas operations available. Economic hedges of
other currency net investments in foreign operations represent
monetary liabilities that are not booked as net investment
hedges.
|
●
|
Other
non-sterling net investments in foreign operations fell. This
reflected the Alawwal bank merger. The minority equity stake in
Saudi British Bank is too small to be consolidated as a net
investment in a foreign operation. The increase in euro net
investments in foreign operations also partly resulted from the
gain on the sale of NWM N.V.’s equity stake in SABB to NWM
Plc. NWM Plc has increased the capitalisation of its US
branch. This has reduced the branch’s debt funding and
NWM Plc’s regulatory exposure to fluctuations in the US
dollar exchange rate against sterling.
|
●
|
Changes
in exchange rates affect equity in proportion to structural foreign
currency exposures. At 30 June 2019, a 5% strengthening in all
foreign currencies against sterling would result in a £0.4
billion increase in equity reserves, while a 5% weakening in all
foreign currencies against sterling would result in a £0.4
billion reduction in equity reserves.
|
|
Half year ended
|
|||||||||||||
|
30 June 2019
|
|
30 June 2018
|
|
31 December 2018
|
|||||||||
|
|
|
|
Period
|
|
|
|
|
Period
|
|
|
|
|
Period
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
Average
|
Maximum
|
Minimum
|
end
|
|
Average
|
Maximum
|
Minimum
|
end
|
Traded VaR (1-day 99%)
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
£m
|
Interest rate
|
10.3
|
16.9
|
6.9
|
9.8
|
|
15.0
|
27.3
|
10.4
|
16.5
|
|
13.6
|
19.9
|
9.2
|
13.0
|
Credit spread
|
9.4
|
12.7
|
7.0
|
9.9
|
|
13.2
|
24.2
|
9.1
|
10.4
|
|
8.9
|
14.6
|
6.9
|
8.2
|
Currency
|
3.6
|
5.8
|
2.0
|
3.8
|
|
3.2
|
7.6
|
1.4
|
3.5
|
|
3.0
|
6.3
|
1.7
|
5.3
|
Equity
|
0.7
|
2.2
|
0.3
|
0.5
|
|
0.6
|
0.9
|
0.3
|
0.8
|
|
1.0
|
1.6
|
0.5
|
0.8
|
Commodity
|
0.2
|
0.5
|
-
|
0.2
|
|
0.4
|
1.0
|
0.1
|
0.5
|
|
0.2
|
0.6
|
-
|
0.1
|
Diversification (1)
|
(9.3)
|
|
|
(10.6)
|
|
(11.2)
|
|
|
(11.9)
|
|
(9.9)
|
|
|
(8.8)
|
Total
|
14.9
|
21.5
|
12.1
|
13.6
|
|
21.2
|
35.6
|
15.4
|
19.8
|
|
16.8
|
26.8
|
11.7
|
18.6
|
(1)
|
RBS
benefits from diversification across various financial instrument
types, currencies and markets. The extent of the diversification
benefit depends on the correlation between the assets and risk
factors in the portfolio at a particular time. The diversification
factor is the sum of the VaR on individual risk types less the
total portfolio VaR.
|
●
|
Traded
VaR remained broadly unchanged on an average basis during H1 2019
compared to H2 2018.
|
●
|
The
decrease, on an average basis compared to H1 2018, is attributed to
peaks in H1 2018 due to long euro rates positioning and bond
syndication activity.
|
●
|
RBS
continues to develop its cyber risk management and defence
strategies, including tracking prominent threat groups and working
with the National Cyber Security Centre through its Industry 100
initiative.
|
●
|
There was also continued oversight of the Group’s
preparations for the UK’s exit from the EU to ensure that
processes and systems are in place to ensure continuity of service
for customers. Additionally, continuing improvements to the
Group’s control environment, including further embedding of
the operational risk management framework and refresh of the risk
appetite framework, were also a focus.
|
●
|
Embedding the compliance and conduct risk framework across RBS was
a key focus in H1 2019. The complementary compliance and conduct
risk manual was also launched to support this work. Training
was completed across all three lines of defence, supported by
business-specific case studies.
|
●
|
Work continued on concluding most of RBS’s material
remediation projects in 2019. Some material projects remain under
active management, with plans in place to conclude the majority by
the end of the year. Meeting the PPI closure deadline of 29
August 2019, and ensuring the effective and timely management of
residual work thereafter, remains a key focus with the current
timeline being end of Q2 2020.
|
●
|
RBS reclassified climate change as a top risk and work continued on
integrating climate-related financial risks into the core risk
framework. This included work on scenario-based analysis for both
physical and transition risks. In March 2019, RBS also joined the
Climate Financial Risk Forum, established by the FCA and PRA
to develop practical tools to address climate-related
financial risks.
|
Measure
|
Basis of preparation
|
Additional analysis or reconciliation
|
RBS return on tangible equity
|
Annualised profit for the period attributable to ordinary
shareholders divided by average tangible equity. Average tangible
equity is total equity less intangible assets and other
owners’ equity.
|
Note 1
|
Segmental return on tangible equity
|
Segmental operating profit adjusted for tax and for preference
share dividends divided by average notional equity, allocated at an
operating segment specific rate, of the monthly average of
segmental risk-weighted assets incorporating the effect of capital
deductions (RWAes).
|
Note 1
|
Operating expenses analysis – management view
|
The
management analysis of strategic disposals in other income and
operating expenses shows strategic costs and litigation and conduct
costs in separate lines, these amounts are included in staff,
premises and equipment and other administrative expenses in the
statutory analysis.
|
Note
2
|
Cost:income ratio
|
Total
operating expenses less operating lease depreciation divided by
total income less operating lease depreciation.
|
Note
3
|
Commentary – adjusted periodically for specific
items
|
Group
and segmental business performance commentary have been adjusted
for the impact of specific items such as the Alawwal bank merger,
additional authorised push payments fraud costs, notable
items(detailed on Page 3), strategic, litigation and conduct
costs(detailed on Page 14 to 18).
|
Notable
items - Page 3
Strategic,
litigation and conduct costs – Pages 14 to 18.
|
Aggregation of business segments into franchises
|
Personal
& Ulster franchise results, combining the reportable segments
of UK Personal Banking (UK PB) and Ulster Bank RoI, Commercial
& Private Banking (CPB) franchise results, combining the
reportable segments of Commercial Banking and Private
Banking.
|
Page 26
Note 4
|
Bank net interest margin (NIM)
|
Net interest income of the banking business less the NatWest
Markets element as a percentage of interest-earning assets of the
banking business less the NatWest Markets element.
|
Note
4
|
Measure
|
Basis of preparation
|
Additional analysis or reconciliation
|
Loan:deposit ratio
|
Net customer loans held at amortised cost divided by total customer
deposits.
|
Note 5
|
Tangible net asset value
|
Tangible
equity divided by the number of ordinary shares in issue. Tangible
equity is ordinary shareholders’ interest less intangible
assets.
|
Page
2
|
NIM
|
Net interest income of the banking business as a percentage of
interest-earning assets of the banking business.
|
Pages
14 -18.
|
Funded assets
|
Total
assets less derivatives.
|
Page 14
-18.
|
ECL loss rate
|
The
annualised loan impairment charge divided by gross customer
loans.
|
Pages
35.
|
|
Half year ended
|
|
Quarter ended
|
|||
|
and as at
|
|
and as at
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
RBS return on tangible equity
|
2019
|
2018
|
|
2019
|
2019
|
2018
|
Profit attributable to ordinary shareholders (£m)
|
2,038
|
888
|
|
1,331
|
707
|
96
|
Adjustment for Alawwal bank merger gain (£m)
|
764
|
-
|
|
-
|
-
|
-
|
Adjusted profit attributable to ordinary shareholders
(£m)
|
1,274
|
-
|
|
-
|
-
|
-
|
Annualised profit attributable to ordinary shareholders
(£m)
|
4,076
|
1,776
|
|
5,324
|
2,828
|
384
|
Annualised adjusted profit attributable to ordinary shareholders
(£m)
|
2,548
|
-
|
|
-
|
-
|
-
|
|
|
|
|
|
|
|
Average total equity (£m)
|
46,310
|
48,773
|
|
46,179
|
46,516
|
48,578
|
Adjustment for other owners equity and intangibles
(£m)
|
(12,528)
|
(15,019)
|
|
(12,410)
|
(12,581)
|
(15,056)
|
Adjusted total tangible equity (£m)
|
33,782
|
33,754
|
|
33,769
|
33,935
|
33,522
|
|
|
|
|
|
|
|
Return on tangible equity (%)
|
12.1%
|
5.3%
|
|
15.8%
|
8.3%
|
1.1%
|
Return on tangible equity adjusting for impact of Alawwal bank
merger (%)
|
7.5%
|
|
|
|
|
|
|
|
|
|
|
||
|
UK
|
Ulster
|
Commercial & Private
|
|
|
|
|
Personal
|
Bank
|
Commercial
|
Private
|
RBS
|
NatWest
|
Half year ended 30 June 2019
|
Banking
|
RoI
|
Banking
|
Banking
|
International
|
Markets
|
Operating profit (£m)
|
1,037
|
23
|
701
|
155
|
194
|
300
|
Adjustment for tax (£m)
|
(290)
|
-
|
(196)
|
(43)
|
(27)
|
(84)
|
Preference share cost allocation (£m)
|
(36)
|
-
|
(82)
|
(8)
|
-
|
(30)
|
Adjusted attributable profit (£m)
|
711
|
23
|
423
|
104
|
167
|
186
|
Annualised adjusted attributable profit (£m)
|
1,422
|
46
|
846
|
207
|
334
|
372
|
Adjustment for Alawwal merger gain (£m)
|
-
|
-
|
-
|
-
|
-
|
(299)
|
Annualised adjusted profit attributable to
|
|
|
|
|
|
|
ordinary shareholders (£m)
|
1,422
|
46
|
846
|
207
|
334
|
73
|
Monthly average RWAe (£bn)
|
37.0
|
14.3
|
79.6
|
9.6
|
7.0
|
49.2
|
Equity factor
|
15.0%
|
15.0%
|
12.0%
|
13.0%
|
16.0%
|
15.0%
|
RWAe applying equity factor (£bn)
|
5.5
|
2.1
|
9.6
|
1.2
|
1.1
|
7.4
|
Return on equity (%)
|
25.6%
|
2.1%
|
8.8%
|
16.6%
|
29.7%
|
1.0%
|
|
|
|
|
|
|
|
Half year ended 30 June 2018*
|
|
|
|
|
|
|
Operating profit (£m)
|
1,129
|
86
|
1,215
|
156
|
173
|
46
|
Adjustment for tax (£m)
|
(316)
|
-
|
(340)
|
(44)
|
(24)
|
(13)
|
Preference share cost allocation (£m)
|
(40)
|
-
|
(94)
|
(12)
|
(8)
|
(54)
|
Adjusted attributable profit (£m)
|
773
|
86
|
781
|
100
|
141
|
(21)
|
Annualised adjusted attributable profit (£m)
|
1,546
|
172
|
1,562
|
200
|
282
|
(42)
|
Monthly average RWAe (£bn)
|
32.8
|
17.7
|
86.5
|
9.4
|
6.9
|
56.4
|
Equity factor
|
15.0%
|
14.0%
|
12.0%
|
13.5%
|
16.0%
|
15.0%
|
RWAe applying equity factor (£bn)
|
4.9
|
2.5
|
10.4
|
1.3
|
1.1
|
8.5
|
Return on equity
|
31.4%
|
7.0%
|
15.1%
|
15.8%
|
25.7%
|
-0.5%
|
* Restated. Refer to Note 1 for further details.
|
|
|
|
|
|
|
Appendix 2 Non-IFRS financial measures
|
|
|
|
|
||
1. Return on tangible equity continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UK
|
Ulster
|
Commercial & Private
|
|
|
|
|
Personal
|
Bank
|
Commercial
|
Private
|
RBS
|
NatWest
|
Quarter ended 30 June 2019
|
Banking
|
RoI
|
Banking
|
Banking
|
International
|
Markets
|
Operating profit (£m)
|
539
|
3
|
264
|
75
|
101
|
362
|
Adjustment for tax (£m)
|
(151)
|
-
|
(74)
|
(21)
|
(14)
|
(101)
|
Preference share cost allocation (£m)
|
(18)
|
-
|
(41)
|
(4)
|
-
|
(30)
|
Adjusted attributable profit (£m)
|
370
|
3
|
149
|
50
|
87
|
231
|
Annualised adjusted attributable profit (£m)
|
1,480
|
12
|
596
|
199
|
345
|
924
|
Adjustment for Alawwal merger gain (£m)
|
-
|
-
|
-
|
-
|
-
|
(598)
|
Annualised adjusted profit attributable to
|
|
|
|
|
|
|
ordinary shareholders (£m)
|
1,480
|
12
|
596
|
199
|
345
|
326
|
Monthly average RWAe (£bn)
|
37.2
|
14.3
|
80.1
|
9.6
|
7.0
|
49.1
|
Equity factor
|
15.0%
|
15.0%
|
12.0%
|
13.0%
|
16.0%
|
15.0%
|
RWAe applying equity factor (£bn)
|
5.6
|
2.1
|
9.6
|
1.2
|
1.1
|
7.4
|
Return on equity
|
26.5%
|
0.6%
|
6.2%
|
15.9%
|
30.8%
|
4.4%
|
Quarter ended 31 March 2019
|
|
|
|
|
|
|
Operating profit (£m)
|
498
|
20
|
437
|
80
|
93
|
(62)
|
Adjustment for tax (£m)
|
(139)
|
-
|
(122)
|
(23)
|
(13)
|
17
|
Preference share cost allocation (£m)
|
(18)
|
-
|
(41)
|
(4)
|
-
|
-
|
Adjusted attributable profit (£m)
|
341
|
20
|
274
|
53
|
80
|
(45)
|
Annualised adjusted attributable profit (£m)
|
1,364
|
80
|
1,096
|
212
|
320
|
(180)
|
Monthly average RWAe (£bn)
|
36.8
|
14.2
|
79.1
|
9.6
|
7.0
|
49.4
|
Equity factor
|
15.0%
|
15.0%
|
12.0%
|
13.0%
|
16.0%
|
15.0%
|
RWAe applying equity factor (£bn)
|
5.5
|
2.1
|
9.5
|
1.2
|
1.1
|
7.4
|
Return on equity
|
24.7%
|
3.8%
|
11.5%
|
17.1%
|
28.6%
|
-2.4%
|
Quarter ended 30 June 2018*
|
|
|
|
|
|
|
Operating profit (£m)
|
585
|
76
|
664
|
94
|
95
|
(51)
|
Adjustment for tax (£m)
|
(164)
|
-
|
(186)
|
(26)
|
(13)
|
14
|
Preference share cost allocation (£m)
|
(20)
|
-
|
(47)
|
(6)
|
(4)
|
(27)
|
Adjusted attributable profit (£m)
|
401
|
76
|
431
|
62
|
78
|
(64)
|
Annualised adjusted attributable profit (£m)
|
1,604
|
304
|
1,724
|
248
|
310
|
(256)
|
Monthly average RWAe (£bn)
|
32.4
|
17.4
|
87.4
|
9.5
|
6.9
|
56.4
|
Equity factor
|
15.0%
|
14.0%
|
12.0%
|
13.5%
|
16.0%
|
15.0%
|
RWAe applying equity factor (£bn)
|
4.9
|
2.4
|
10.5
|
1.3
|
1.1
|
8.5
|
Return on equity
|
33.0%
|
12.5%
|
16.4%
|
19.3%
|
27.9%
|
-3.0%
|
*Restated. Refer to Note 1 for further details.
|
|
|
|
|
|
|
Statutory analysis (1,2)
|
|
|
|
|
|
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2019
|
2018
|
|
2019
|
2019
|
2018
|
Operating expenses
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Staff expenses
|
2,028
|
2,086
|
|
1,017
|
1,011
|
1,031
|
Premises and equipment
|
558
|
644
|
|
293
|
265
|
274
|
Other administrative expenses
|
863
|
1,636
|
|
445
|
418
|
1,237
|
Administrative expenses
|
3,449
|
4,366
|
|
1,755
|
1,694
|
2,542
|
Depreciation and amortisation
|
621
|
338
|
|
377
|
244
|
175
|
Write down of other intangible assets
|
30
|
31
|
|
30
|
-
|
7
|
Total operating expenses
|
4,100
|
4,735
|
|
2,162
|
1,938
|
2,724
|
Non-statutory analysis
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2019
|
2018
|
|
2019
|
2019
|
2018
|
Operating expenses
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
Staff expenses
|
1,841
|
1,903
|
|
905
|
936
|
939
|
Premises and equipment
|
493
|
574
|
|
245
|
248
|
288
|
Other administrative expenses
|
673
|
760
|
|
318
|
355
|
413
|
Strategic costs (1)
|
629
|
350
|
|
434
|
195
|
141
|
Litigation and conduct costs (2)
|
60
|
801
|
|
55
|
5
|
782
|
Administrative expenses
|
3,696
|
4,388
|
|
1,957
|
1,739
|
2,563
|
Depreciation and amortisation
|
399
|
316
|
|
200
|
199
|
154
|
Write down of other intangible assets
|
5
|
31
|
|
5
|
-
|
7
|
Total
|
4,100
|
4,735
|
|
2,162
|
1,938
|
2,724
|
|
UK
|
|
Commercial & Private
|
|
|
|
|
|
|
Personal
|
Ulster Bank
|
Commercial
|
Private
|
RBS
|
NatWest
|
Central items
|
RBS
|
|
Banking
|
RoI
|
Banking
|
Banking
|
International
|
Markets
|
& other
|
Group
|
Half year ended 30 June 2019
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
Operating expenses
|
(1,229)
|
(281)
|
(1,262)
|
(232)
|
(119)
|
(678)
|
(299)
|
(4,100)
|
Operating lease depreciation
|
-
|
-
|
68
|
-
|
-
|
-
|
-
|
68
|
Adjusted operating expenses
|
(1,229)
|
(281)
|
(1,194)
|
(232)
|
(119)
|
(678)
|
(299)
|
(4,032)
|
|
|
|
|
|
|
|
|
|
Total income
|
2,447
|
283
|
2,165
|
384
|
310
|
942
|
586
|
7,117
|
Operating lease depreciation
|
-
|
-
|
(68)
|
-
|
-
|
-
|
-
|
(68)
|
Adjusted total income
|
2,447
|
283
|
2,097
|
384
|
310
|
942
|
586
|
7,049
|
|
|
|
|
|
|
|
|
|
Cost:income ratio (%)
|
50.2%
|
99.3%
|
56.9%
|
60.4%
|
38.4%
|
72.0%
|
nm
|
57.2%
|
Half year ended 30 June 2018 *
|
|
|
|
|
|
|
|
|
Operating expenses
|
(1,291)
|
(252)
|
(1,140)
|
(225)
|
(114)
|
(671)
|
(1,042)
|
(4,735)
|
Operating lease depreciation
|
-
|
-
|
57
|
-
|
-
|
-
|
-
|
57
|
Adjusted operating expenses
|
(1,291)
|
(252)
|
(1,083)
|
(225)
|
(114)
|
(671)
|
(1,042)
|
(4,678)
|
|
|
|
|
|
|
|
|
|
Total income
|
2,551
|
312
|
2,390
|
382
|
284
|
721
|
62
|
6,702
|
Operating lease depreciation
|
-
|
-
|
(57)
|
-
|
-
|
-
|
-
|
(57)
|
Adjusted total income
|
2,551
|
312
|
2,333
|
382
|
284
|
721
|
62
|
6,645
|
|
|
|
|
|
|
|
|
|
Cost:income ratio (%)
|
50.6%
|
80.8%
|
46.4%
|
58.9%
|
40.1%
|
93.1%
|
nm
|
70.4%
|
* Restated. Refer to Note 1 for further details.
|
|
|
|
|
|
|
|
|
UK
|
|
Commercial & Private
|
|
|
|
|
|
|
Personal
|
Ulster Bank
|
Commercial
|
Private
|
RBS
|
NatWest
|
Central items
|
RBS
|
|
Banking
|
RoI
|
Banking
|
Banking
|
International
|
Markets
|
& others
|
Group
|
Quarter ended 30 June 2019
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
£m
|
Operating expenses
|
(594)
|
(145)
|
(622)
|
(115)
|
(60)
|
(344)
|
(282)
|
(2,162)
|
Operating lease depreciation
|
-
|
-
|
34
|
-
|
-
|
-
|
-
|
34
|
Adjusted operating expenses
|
(594)
|
(145)
|
(588)
|
(115)
|
(60)
|
(344)
|
(282)
|
(2,128)
|
|
|
|
|
|
|
|
|
|
Total income
|
1,202
|
138
|
1,083
|
191
|
159
|
686
|
621
|
4,080
|
Operating lease depreciation
|
-
|
-
|
(34)
|
-
|
-
|
-
|
-
|
(34)
|
Adjusted total income
|
1,202
|
138
|
1,049
|
191
|
159
|
686
|
621
|
4,046
|
|
|
|
|
|
|
|
|
|
Cost:income ratio
|
49.4%
|
105.1%
|
56.1%
|
60.2%
|
37.7%
|
50.1%
|
nm
|
52.6%
|
Quarter ended 31 March 2019
|
|
|
|
|
|
|
|
|
Operating expenses
|
(635)
|
(136)
|
(640)
|
(117)
|
(59)
|
(334)
|
(17)
|
(1,938)
|
Operating lease depreciation
|
-
|
-
|
34
|
-
|
-
|
-
|
-
|
34
|
Adjusted operating expenses
|
(635)
|
(136)
|
(606)
|
(117)
|
(59)
|
(334)
|
(17)
|
(1,904)
|
|
|
|
|
|
|
|
|
|
Total income
|
1,245
|
145
|
1,082
|
193
|
151
|
256
|
(35)
|
3,037
|
Operating lease depreciation
|
-
|
-
|
(34)
|
-
|
-
|
-
|
-
|
(34)
|
Adjusted total income
|
1,245
|
145
|
1,048
|
193
|
151
|
256
|
(35)
|
3,003
|
|
|
|
|
|
|
|
|
|
Cost:income ratio
|
51.0%
|
93.8%
|
57.8%
|
60.6%
|
39.1%
|
130.5%
|
nm
|
63.4%
|
Quarter ended 30 June 2018 *
|
|
|
|
|
|
|
|
|
Operating expenses
|
(605)
|
(124)
|
(545)
|
(104)
|
(55)
|
(322)
|
(969)
|
(2,724)
|
Operating lease depreciation
|
-
|
-
|
26
|
-
|
-
|
-
|
-
|
26
|
Adjusted operating expenses
|
(605)
|
(124)
|
(519)
|
(104)
|
(55)
|
(322)
|
(969)
|
(2,698)
|
|
|
|
|
|
|
|
|
|
Total income
|
1,253
|
166
|
1,232
|
198
|
147
|
284
|
120
|
3,400
|
Operating lease depreciation
|
-
|
-
|
(26)
|
-
|
-
|
-
|
-
|
(26)
|
Adjusted total income
|
1,253
|
166
|
1,206
|
198
|
147
|
284
|
120
|
3,374
|
|
|
|
|
|
|
|
|
|
Cost:income ratio
|
48.3%
|
74.7%
|
43.0%
|
52.5%
|
37.4%
|
113.4%
|
nm
|
80.0%
|
|
Half year ended
|
|
Quarter ended
|
|||
|
30 June
|
30 June
|
|
30 June
|
31 March
|
30 June
|
|
2019
|
2018
|
|
2019
|
2019
|
2018
|
|
£m
|
£m
|
|
£m
|
£m
|
£m
|
RBS net interest income
|
4,004
|
4,326
|
|
1,971
|
2,033
|
2,180
|
NWM net interest income
|
122
|
(67)
|
|
91
|
31
|
(31)
|
Net interest income excluding NWM
|
4,126
|
4,259
|
|
2,062
|
2,064
|
2,149
|
Annualised net interest income
|
8,074
|
8,724
|
|
7,906
|
8,245
|
8,744
|
Annualised net interest income excluding NWM
|
8,320
|
8,589
|
|
8,271
|
8,371
|
8,620
|
Average interest earning assets (IEA)
|
440,309
|
431,211
|
|
444,800
|
435,768
|
434,928
|
NWM average IEA
|
33,261
|
27,134
|
|
34,436
|
32,072
|
26,981
|
Average IEA excluding NWM
|
407,048
|
404,077
|
|
410,364
|
403,696
|
407,947
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest margin
|
1.83%
|
2.02%
|
|
1.78%
|
1.89%
|
2.01%
|
Bank net interest margin (excluding NWM)
|
2.04%
|
2.13%
|
|
2.02%
|
2.07%
|
2.11%
|
|
|
|
As at
|
||
|
|
|
30 June
|
31 March
|
31 December
|
|
|
|
2019
|
2019
|
2018
|
|
|
|
£bn
|
£bn
|
£bn
|
Loans to customers - amortised cost
|
|
|
310.6
|
306.4
|
305.1
|
Customer deposits
|
|
|
361.6
|
355.2
|
360.9
|
Loan:deposit ratio (%)
|
|
|
86%
|
86%
|
85%
|
|
|
|
|
|
|
|
THE
ROYAL BANK OF SCOTLAND GROUP plc (Registrant)
|
|
|
|
By: /s/
Jan Cargill
|
|
|
|
Name:
Jan Cargill
|
|
Title:
Deputy Secretary
|