ABN AMRO Bank N.V.
Pillar 3 Report 2021
ABN AMRO Pillar 3 report 2021
Table of contents
|
Notes to the reader |
4 |
|
Key metrics and overview of RWEA |
6 |
|
EU OV1 - Overview of risk-weighted exposure amounts |
6 |
|
EU KM1 - Key metrics template |
7 |
|
EU OVC - ICAAP information |
8 |
|
Risk management objectives and policies |
9 |
|
EU OVA - Institution risk management approach |
9 |
|
EU OVB - Information on governance arrangements |
9 |
|
Scope of application |
22 |
|
EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory |
|
|
risk categories |
22 |
|
EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements |
24 |
|
EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity) |
25 |
|
EU LIA - Explanations of differences between accounting and regulatory exposure amounts |
27 |
|
EU LIB - Other qualitative information on the scope of application |
27 |
|
EU PV1 - Prudent valuation adjustments (PVA) |
28 |
|
Own funds |
29 |
|
EU CC1 - Composition of regulatory own funds |
30 |
|
EU CC2 - Reconciliation of regulatory own funds to balance sheet in the audited financial statements |
33 |
|
EU CCA - Main features of regulatory own funds instruments and eligible liabilities instruments |
34 |
|
Countercyclical capital buffer |
40 |
|
EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer |
40 |
|
EU CCyB2 - Amount of institution-specific countercyclical capital buffer |
43 |
|
Leverage ratio |
44 |
|
EU LR1 - LRSum - Summary reconciliation of accounting assets and leverage ratio exposures |
44 |
|
EU LR3 - LRSpl -Split-up of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) |
44 |
|
EU LR2 - LRCom - Leverage ratio common disclosure |
45 |
|
EU LRA - Disclosure of LR qualitative information |
47 |
|
Liquidity requirements |
48 |
|
EU LIQA - Liquidity risk management |
48 |
|
EU LIQ1 - Quantitative information of LCR |
50 |
|
EU LIQB - Qualitative information on LCR, which complements template EU LIQ1 |
50 |
|
EU LIQ2 - Net Stable Funding Ratio |
52 |
ABN AMRO Pillar 3 report 2021
|
Credit risk |
54 |
|
Credit risk quality |
54 |
|
EU CRA - General qualitative information about credit risk |
54 |
|
EU CRB - Additional disclosure related to the credit quality of assets |
56 |
|
EU CR1 - Performing and non-performing exposures and related provisions |
63 |
|
EU CR1-A - Maturity of exposures |
68 |
|
EU CR2 - Changes in the stock of non-performing loans and advances |
69 |
|
EU CQ1 - Credit quality of forborne exposures |
70 |
|
EU CQ3 - Credit quality of performing and non-performing exposures by past due days |
72 |
|
EU CQ4 - Quality of non-performing exposures by geography |
76 |
|
EU CQ5 - Credit quality of loans and advances to non-financial corporations by industry |
78 |
|
EU CQ7 - Collateral obtained by taking possession and execution processes |
79 |
|
Use of credit risk mitigation techniques |
80 |
|
EU CRC - Qualitative disclosure requirements related to CRM techniques |
80 |
|
EU CR3 - CRM techniques overview: Disclosure of the use of CRM techniques |
82 |
|
Use of the standardised approach |
83 |
|
EU CRD - Qualitative disclosure requirements related to standardised approach |
83 |
|
EU CR4 - Standardised approach - Credit risk exposure and CRM effects |
84 |
|
EU CR5 - Standardised approach |
86 |
|
Use of the IRB approach to credit risk |
89 |
|
EU CRE - Qualitative disclosure requirements related to IRB approach |
89 |
|
EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range |
90 |
|
EU CR6-A - Scope of the use of IRB and SA approaches |
100 |
|
EU CR7-A - IRB approach - Disclosure of the extent of the use of CRM techniques |
100 |
|
EU CR8 - RWEA flow statements of credit risk exposures under the IRB approach |
103 |
|
EU CR9 - IRB approach - Back-testing of PD per exposure class (fixed PD scale) |
103 |
|
Specialised lending |
108 |
|
EU CR10.5 - Equity exposures under the simple risk-weighted approach |
108 |
|
Counterparty credit risk |
108 |
|
EU CCRA - Qualitative disclosure related to counterparty credit risk (CCR) |
108 |
|
EU CCR1 - Analysis of CCR exposure by approach |
110 |
|
EU CCR2 - Transactions subject to own funds requirements for CVA risk |
111 |
|
EU CCR3 - Standardised approach - CCR exposures by regulatory exposure class and risk weights |
111 |
|
EU CCR4 - IRB approach - CCR exposures by exposure class and PD scale |
113 |
|
EU CCR5 - Composition of collateral for exposures to CCR |
118 |
|
EU CCR6 - Credit derivatives exposures |
119 |
|
EU CCR8 - Exposures to CCPs |
119 |
|
Exposure to securitisation positions |
120 |
|
EU SECA - Qualitative disclosure requirements related to securitisation exposures |
120 |
|
EU SEC1 - Securitisation exposures in the non-trading book |
121 |
|
EU SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor |
124 |
|
EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments |
126 |
ABN AMRO Pillar 3 report 2021
|
Market risk |
128 |
|
EU MRA - Qualitative disclosure requirements related to market risk |
128 |
|
EU MR1 - Market risk under the standardised approach |
130 |
|
EU MRB - Qualitative disclosure requirements for institutions using the Internal Market Risk Models |
130 |
|
EU MR2-A - Market risk under the Internal Market Approach (IMA) |
132 |
|
EU MR2-B - RWEA flow statements of market risk exposures under the IMA |
132 |
|
EU MR3 - IMA values for trading portfolios |
133 |
|
EU MR4 - Comparison of VaR estimates with gains/losses |
133 |
|
EU IRRBBA - Qualitative information on interest rate risk of non-trading book activities |
134 |
|
EU IRRBB1 - Interest rate risks of non-trading book activities |
135 |
|
Operational risk |
136 |
|
EU ORA - Qualitative information on operational risk |
136 |
|
EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts |
138 |
|
Remuneration policy |
139 |
|
EU REMA - Remuneration policy |
139 |
|
EU REM1 - Remuneration awarded for the financial year |
149 |
|
EU REM2 - Special payments to staff whose professional activities have a material impact on institutions' risk -profile (identified staff) |
150 |
|
EU REM3 - Deferred remuneration |
151 |
|
EU REM4 - Remuneration of EUR 1 million or more per year |
153 |
|
EU REM5 - Information on remuneration of staff whose professional activities have a material impact on institutions' risk profile (identified staff) |
153 |
|
Encumbered and unencumbered assets |
154 |
|
EU AE1 - Encumbered and unencumbered assets |
154 |
|
EU AE2 - Collateral received and own debt securities issued |
155 |
|
EU AE3 - Sources of encumbrance |
155 |
|
EU AE4 - Accompanying narrative information |
156 |
|
Covid-19-related disclosures |
157 |
|
EBA/GL/2020/02 Template 1 - Information on loans and advances subject to legislative and non-legislative moratoria |
157 |
|
EBA/GL/2020/02 Template 2 - Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of moratoria |
160 |
|
EBA/GL/2020/02 Template 3 - Information on newly originated loans and advances provided under newly applicable public guarantee schemes introduced |
|
|
in response to Covid-19 crisis |
161 |
|
Disclaimer & cautionary statements |
162 |
|
ABN AMRO Pillar 3 report 2021 |
4 |
About this report
Welcome to ABN AMRO's 2021 Pillar 3 Report.
The purpose of this report is to provide information about ABN AMRO's regulatory capital adequacy, risk exposure and risk management.
Our annual reporting suite
Every year we publish our annual reporting suite, combining relevant annual disclosures on our performance of the year and other topics. Our Integrated Annual Report is our primary statutory and regulatory reporting disclosure. In addition, we publish other reports, including the bank's Impact Report, Pillar 3 Report and Human Rights Update.
Though published as part of our annual reporting suite, all reports (including this Pillar 3 Report) have their own individual purpose and should be read stand-alone. Content in this report may draw on the Integrated Annual Report, but should not be seen as a substitute for it.
Notes to the reader
This Pillar 3 Report provides the consolidated disclosures of ABN AMRO Bank N.V. required by Capital Requirements Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (Part Eight) and the final draft Implementing Technical Standards (ITS) on public disclosures by institutions of the information referred to in Titles II and
- of Part Eight of Regulation (EU) No 575/2013. The Pillar 3 Report 2021 includes all the required disclosures, which have been prepared in accordance with the above-mentioned regulations.
Presentation of information
This report is presented in euros (EUR), which is ABN AMRO's functional and presentation currency, rounded to the nearest million (unless otherwise stated). Certain figures in this report may not tally exactly due to rounding. Furthermore, certain percentages in this document have been calculated using rounded figures. The capital figures in the Pillar 3 Report are based on CRR phased-in figures. The figures presented in this document are not required to be, nor have they been, audited or reviewed by our external auditor. This report uses the terms 'Risk-weighted assets (RWA)' and 'Risk-weighted exposure amount (RWEA)' interchangeably. Similarly, this report uses the terms 'banking book' and 'non-trading book' interchangeably.
Waiver policy (omitting templates and tables)
In accordance with Article 432 of the CRR, ABN AMRO may omit one or more of the required disclosures where the information provided by those disclosures is not regarded as material or is not applicable to its operations. Information in disclosures shall be regarded as material where its omission or misstatement could change or influence the assessment or decision of a user of that information relying on it for the purpose of making economic decisions.
ABN AMRO shall, in accordance with Article 432 of the CRR, explain the reasons for omitting any information required in the templates and tables included in the final draft ITS.
The following templates have been identified as not applicable to ABN AMRO and are therefore not included in this report:
- EU INS1 - Insurance participations and EU INS2 - Financial conglomerates information on own funds and capital adequacy ratio are not applicable as we do not apply the option provided for in CRR Article 49.1 of not deducting investments in insurance subsidiaries from regulatory capital. Instead, we record investments in insurance subsidiaries
under significant investments in accordance with CRR Article 48.
- This ITS applies a 5% NPE ratio threshold. ABN AMRO is below this 5% threshold and for that reason parts of and/or
complete tables for EU CR2a, EU CQ2, EU CQ4, EU CQ5, EU CQ6 and EU CQ8 are not applicable.
- EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range: The template for F-IRBapproach is not applicable because ABN AMRO currently does not apply F-IRBto credit risk exposures. Similarly, the F-IRBapproach is not applicable for template EU CR7-A - IRB approach - Disclosure of the extent of the use of CRM techniques.
This is an excerpt of the original content. To continue reading it, access the original document here.
Attachments
Disclaimer
ABN Amro Bank NV published this content on 09 March 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 09 March 2022 07:11:31 UTC.