RBS 2015 Annual Report Download - page 51

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Sizing future capital / funding requirements
£2bn AT1 issuance targeted for 2016,
subject to market conditions
No Tier 2 issuance plans in 2016 given
outstanding pool
MREL expected to exceed TLAC , final
requirements subject to regulatory
finalisation and completion of resolution
plans
Target building MREL compliant Senior
‘HoldCo’ issuance
- £3-5bn issuance targeted for 2016
G-SIB 1.0%
Capital Conservation 2.5%
CET1 Pillar 1 4.5%
AT1 ~2.4%
MREL eligible bonds
up to 13%
Discretionary Buffers
CET1 Pillar 2A ~2.8%
Tier 2 ~3.3%
MREL up
to 26%
Illustrative future loss absorbency requirements
Scaled to Minimum Requirements for Own Funds and Eligible Liabilities (“MREL”) based on Bank of England Consultation
(1) Assumes PRA buffer (Pillar 2B) not being in excess of Systemic Risk / G-SIB & Capital Conservation Buffer and no material Counter Cyclical Buffer. Requirements expected to change over time. (2) Based on RBS
interpretation of the BoE’ consultation published on 11 December 2015. MREL policy and requirements remain subject to further consultation. RBS estimated requirements remain subject to change. (3) G-SIB requirement
currently 1.5%, will reduce to 1.0% on 1 Jan 2017. (4) Based on twice Pillar 1 and Pillar 2A requirements at a total capital level, subject to regulatory discretion. (5) RBS’s Pillar 2A requirement was 5.0% of RWAs as at 31
December 2015. 56% of the total Pillar 2A requirement, or 2.8% of RWAs, must be met from CET1 capital. Pillar 2A requirement held constant over the period for illustration purposes. Requirement is expected to vary over time
and is subject to at least annual review. Following our announced changes to pension accounting and planned scheme contributions in response to amendments to IFRIC 14, RBS anticipates a reduction in RBS’s future core
capital requirements. The timing of any such core capital offsets are likely to occur at the earliest 1 January 2017 and will depend on the PRA’s assessment of RBS’s core capital position in future. (6) Total Loss Absorbing Capacity
requirements for G-SIB’s. (7) Subject to market conditions.
(3)
(4)
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(5)
(7)
(6)
(1)
(2)