Royal Bank of Scotland : G-SIB Indicators Disclosure

Category

Individual indicator

Note

Indicator

£m

Indicator

€m

Size

Total exposure as defined BCBS leverage ratio guidance issued in January 2014

a

1,162,209

1,394,038 1,394,038

Inter-connectedness

Intra-financial system assets

b

173,412

208,003

Intra-financial system liabilities

165,925

199,022

Securities outstanding

c

117,370

140,782

Substitutability / financial system infrastructure

Payment activity

d

39,556,478

47,446,897

Assets under custody

e

51,287

61,517

Underwritten transactions in debt and equity markets

f

96,243

115,441

Complexity

Notional amount of over-the-counter derivatives

g

38,180,016

45,795,869

Trading and available-for-sale securities

h

31,734

38,064

Level 3 assets

i

6,761

8,110

Cross-jurisdictional activity

Cross-jurisdictional claims

j

384,301

460,958

Cross-jurisdictional liabilities

k

289,006

346,655

a

Based on December 2012 version of the Basel III monitoring exercise. The exposure above differs slightly from the leverage exposure included in RBS's 2013 Annual Report and Accounts (ARA) which reflects guidance in the proposal issued by the BCBS.

b

Relates to transactions with financial institutions; the components are over-the-counter derivatives, including potential future exposures, funds deposited and undrawn committed lines.

c

Carrying value of securities issued, generally as reflected in the 2013 ARA.

d

Payments made in the year by currency; includes correspondent banking but excludes intra-group transactions. This data is not part of RBS's financial or regulatory reporting systems and processes and is therefore not possible to validate against other information. The data is primarily sourced from SWIFT.

e

Based on client money assets, as reported in CMAR returns for UK legal entities and similar information for the rest of RBS.

f

Transactions underwritten by RBS during 2013, sourced from industry standard deal platform.

g

Includes OTCs derivatives cleared through central counterparties as well as those settled bilaterally, as published in the 2013 ARA.

h

Reflects balances reported in 2013 accounts adjusted for offsetting of securities that meet the definition of Level 1 and Level 2 (after haircuts) as per BCBS definition relating to liquidity coverage ratio.

i

Based on level 3 as defined in IFRS 13 'Fair value measurements' as reflected in 2013 ARA.

j

Based on the for Bank of England country exposures statistical return.

k

Based on the for Bank of England country exposures statistical return for UK legal entities and similar information for the rest of RBS.

General bank data

Section 1: General Information

(1) Reporting date

31 December 2013

(2) Reporting currency and unit

GBP million unless otherwise stated

(3) Euro conversion rate

1.199472232

(4) Accounting standard

IFRS

(5) Location of public disclosure

www.investors.rbs.com/results-centre/archived-group-results/2014.aspx

Size indicator

Section 2: Total exposures

a. Counterparty exposure of derivatives contracts (method 1)

54,224

b. Gross value of securities financing transactions (SFTs)

117,071

c. Counterparty exposure of SFTs

19,117

d. Other assets

674,034

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

0

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

864,446

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

127,976

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

62,273

(1) Unconditionally cancellable credit card commitments

27,053

(2) Other unconditionally cancellable commitments

35,220

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

16,389

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

145,304

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

18,045

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

313,941

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

(1) On-balance sheet assets

366

(2) Potential future exposure of derivatives contracts

0

(3) Unconditionally cancellable commitments

0

(4) Other off-balance sheet commitments

0

(5) Investment value in the consolidated entities

111

m. Regulatory adjustments

16,433

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

1,162,209

Interconnectedness indicators

Section 3: Intra-financial system assets

a. Funds deposited with or lent to other financial institutions

62,446

(1) Certificates of deposit

4

b. Undrawn committed lines extended to other financial institutions

17,378

c. Holdings of securities issued by other financial institutions:

(1) Secured debt securities

4,640

(2) Senior unsecured debt securities

3,941

(3) Subordinated debt securities

547

(4) Commercial paper

16

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

2,948

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

165

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

2,628

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

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

7,850

(2) Potential future exposure

71,183

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

173,412

Section 4: Intra-financial system liabilities

a. Deposits due to depository institutions

35,016

b. Deposits due to non-depository financial institutions

54,569

c. Undrawn committed lines obtained from other financial institutions

4,943

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

1,473

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

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

14,482

(2) Potential future exposure

55,442

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

165,925

Section 5: Securities outstanding

a. Secured debt securities

16,795

b. Senior unsecured debt securities

47,164

c. Subordinated debt securities

24,012

d. Commercial paper

1,583

e. Certificates of deposit

2,277

f. Common equity

20,972

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

4,567

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

117,370

Substitutability/Financial Institution Infrastructure Indicators

Section 6: Payments made in the reporting year (excluding

Reported in

Amount in millions of the specified currency

Intra-group payments)

a. Australian dollars

AUD

AUD 984,171

609,480

b. Brazilian real

BRL

BRL 85

25

c. Canadian dollars

CAD

CAD 862,885

536,092

d. Swiss francs

CHF

CHF 567,421

391,446

e. Chinese yuan

CNY

CNY 1,746,992

181,778

f. Euros

EUR

EUR 6,779,317

5,757,403

g. British pounds

GBP

GBP 19,230,405

19,230,405

h. Hong Kong dollars

HKD

HKD 4,490,031

370,322

i. Indian rupee

INR

INR 2,469,253

27,083

j. Japanese yen

JPY

JPY 114,145,429

749,294

k. Swedish krona

SEK

SEK 2,791,256

274,136

l. United States dollars

USD

USD 17,865,137

11,429,015

Payments activity indicator (sum of items 6.a through 6.l)

39,556,478

Section 7: Assets under custody

a. Assets under custody indicator

51,287

Section 8: Underwritten transactions in Debt and Equity Markets

a. Equity underwriting activity

124

b. Debt underwriting activity

96,119

Underwriting activity indicator (sum of items 8.a and 8.b)

96,243

Complexity indicators

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

a. OTC derivatives cleared through a central counterparty

22,598,790

b. OTC derivatives settled bilaterally

15,581,226

OTC derivatives indicator (sum of items 9.a and 9.b)

38,180,016

Section 10: Trading and available-for-sale securities

a. Held-for-trading securities (HFT)

73,774

b. Available-for-sale securities (AFS)

61,104

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

83,380

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

19,764

Trading and AFS securities indicator (sum of items 10.a and 10.b, minus the sum of 10.c and 10.d)

31,734

Section 11: Level 3 Assets

a. Level 3 assets indicator

6,761

Cross-Jurisdictional Activity Indicators

Section 12: Cross-Jurisdictional Claims

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

384,301

Cross-jurisdictional claims indicator (item 12.a)

384,301

Section 13: Cross-Jurisdictional Liabilities

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

181,892

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

28,756

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

135,870

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

289,006