any reason you suspect rbs is at 11 cf Lloyd’s at 21%?
Lloyd’s contribution to NII from their structural hedge was 2.7bn GBP in 2018, on an average hedge notional of 172.5bn GBP during the year, i.e. 1.57% of average notional.
Over the same period, RBS’s corresponding contribution to NII was 0.9bn GBP, on an average hedge notional of 159.0bn GBP during the year, i.e. 0.58% of average notional.
The difference must be due to a lower average received fixed rate on the swap portfolio, which could be the result of a) a shorter average duration (in an upward-sloping yield curve environment that entails a lower fixed rate in a fixed/floating swap), or b) the timing of entering into the swaps, or a combination of both.
And based on your sums, once the tfs rolls over into wholesale funding the nim will drop by another ~12bps, all else being equal?
Yes, that is correct, all else being equal.
Cheers
