ABN AMRO Bank N.V.
Pillar 3 Report 2023
ABN AMRO Pillar 3 report 2023
Table of contents
1. Pillar 3 intro⁜
Notes to the reader⁜⠠尨⁜⠠ |
5 |
Key metrics and overview of RWEA⁜⠠尨⁜ |
7 |
EU KM1 - Key metrics template |
8 |
EU OV1 - Overview of total risk exposure amounts |
9 |
EU OVC - ICAAP information |
10 |
Risk management objectives and policies |
11 |
EU OVA - Institution risk management approach |
11 |
EU OVB - Information on governance arrangements |
11 |
Scope of application |
28 |
EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and |
|
mapping of financial statement categories with regulatory risk categories |
28 |
EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in |
|
financial statements |
30 |
EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity) |
31 |
EU LIA - Explanations of differences between accounting and regulatory exposure amounts |
32 |
EU LIB - Other qualitative information on the scope of application |
32 |
EU PV1 - Prudent valuation adjustments (PVA) |
33 |
2. Own funds, leverage & liquidity⁜
Own funds |
35 |
EU CC1 - Composition of regulatory own funds |
36 |
EU CC2 - Reconciliation of regulatory own funds to balance sheet in the audited financial statements |
40 |
EU CCA - Main features of regulatory own funds instruments and eligible liabilities instruments |
41 |
Countercyclical capital buffer |
46 |
EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the |
|
countercyclical capital buffer |
46 |
EU CCyB2 - Amount of institution-specific countercyclical capital buffer |
50 |
Leverage ratio |
51 |
EU LR1 - LRSum - Summary reconciliation of accounting assets and leverage ratio exposures |
51 |
EU LR3 - LRSpl -Split-up of on-balance sheet exposures (excluding derivatives, SFTs and |
|
exempted exposures) |
51 |
EU LR2 - LRCom - Leverage ratio common disclosure |
52 |
EU LRA - Disclosure of LR qualitative information |
53 |
Liquidity requirements |
54 |
EU LIQA - Liquidity risk management |
54 |
EU LIQ1 - Quantitative information of LCR |
55 |
EU LIQB - Qualitative information on LCR, which complements template EU LIQ1 |
56 |
EU LIQ2 - Net Stable Funding Ratio |
57 |
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ABN AMRO Pillar 3 report 2023
3. Credit risk⁜
Credit risk quality⁜⠠尨 |
61 |
EU CRA - General qualitative information about credit risk |
61 |
EU CRB - Additional disclosure related to the credit quality of assets |
64 |
EU CR1 - Performing and non-performing exposures and related provisions |
69 |
EU CR1-A - Maturity of exposures |
75 |
EU CR2 - Changes in the stock of non-performing loans and advances |
75 |
EU CQ1 - Credit quality of forborne exposures |
76 |
EU CQ3 - Credit quality of performing and non-performing exposures by past due days |
78 |
EU CQ4 - Quality of non-performing exposures by geography |
82 |
EU CQ5 - Credit quality of loans and advances by industry |
85 |
EU CQ7 - Collateral obtained by taking possession and execution processes |
87 |
Use of credit risk mitigation techniques |
88 |
EU CRC - Qualitative disclosure requirements related to CRM techniques |
88 |
EU CR3 - CRM techniques overview: Disclosure of the use of CRM techniques |
90 |
Use of the standardised approach |
91 |
EU CRD - Qualitative disclosure requirements related to standardised approach |
91 |
EU CR4 - Standardised approach - Credit risk exposure and CRM effects |
91 |
EU CR5 - Standardised approach |
93 |
Use of the IRB approach to credit risk |
97 |
EU CRE - Qualitative disclosure requirements related to IRB approach |
97 |
EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range |
99 |
EU CR6-A - Scope of the use of IRB and SA approaches |
118 |
EU CR7-A - IRB approach - Disclosure of the extent of the use of CRM techniques |
119 |
EU CR8 - RWEA flow statements of credit risk exposures under the IRB approach |
124 |
EU CR9 - IRB approach - Back-testing of PD per exposure class (fixed PD scale) |
124 |
Specialised lending |
133 |
EU CR10.5 - Equity exposures under the simple risk-weighted approach |
133 |
Counterparty credit risk |
135 |
EU CCRA - Qualitative disclosure related to counterparty credit risk (CCR) |
135 |
EU CCR1 - Analysis of CCR exposure by approach |
136 |
EU CCR2 - Transactions subject to own funds requirements for CVA risk |
137 |
EU CCR3 - Standardised approach - CCR exposures by regulatory exposure class and risk weights |
137 |
EU CCR4 - IRB approach - CCR exposures by portfolio and PD scale |
139 |
EU CCR5 - Composition of collateral for exposures to CCR |
150 |
EU CCR6 - Credit derivatives exposures |
151 |
EU CCR8 - Exposures to CCPs |
152 |
4. Securitisation, market & operational risk⁜
Exposure to securitisation positions |
154 |
EU SECA - Qualitative disclosure requirements related to securitisation exposures |
154 |
EU SEC1 - Securitisation exposures in the non-trading book |
154 |
EU SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital |
|
requirements - institution acting as investor |
157 |
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ABN AMRO Pillar 3 report 2023
Market risk |
160 |
EU MRA - Qualitative disclosure requirements related to market risk |
160 |
EU MR1 - Market risk under the standardised approach |
162 |
EU MRB - Qualitative disclosure requirements for institutions using the Internal Market Risk Models |
162 |
EU MR2-A - Market risk under the Internal Market Approach |
164 |
EU MR2-B - RWEA flow statements of market risk exposures under the IMA |
164 |
EU MR3 - IMA values for trading portfolios |
165 |
EU MR4 - Comparison of VaR estimates with gains/losses |
165 |
EU IRRBBA - Qualitative information on interest rate risk of non-trading book activities |
166 |
EU IRRBB1 - Interest rate risks of non-trading book activities |
167 |
Operational risk |
168 |
EU ORA - Qualitative information on operational risk |
168 |
EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts⁜⠀ |
170 |
5. Remuneration⁜
Remuneration policy |
173 |
EU REMA - Remuneration policy |
173 |
EU REM1 - Remuneration awarded for the financial year |
187 |
EU REM2 - Special payments to staff whose professional activities have a material impact on institutions' |
|
risk -profile (identified staff) |
188 |
EU REM3 - Deferred remuneration |
189 |
EU REM4 - Remuneration of EUR 1 million or more per year |
191 |
EU REM5 - Information on remuneration of staff whose professional activities have a material impact on |
|
institutions' risk profile (identified staff) |
191 |
6. Other⁜
Encumbered and unencumbered assets |
193 |
EU AE1 - Encumbered and unencumbered assets |
193 |
EU AE2 - Collateral received and own debt securities issued |
194 |
EU AE3 - Sources of encumbrance |
194 |
EU AE4 - Accompanying narrative information |
195 |
ESG disclosures |
196 |
Table 1, 2 and 3 - Qualitative information on Environmental risk, Social risk and Governance risk |
196 |
ESG1 - Banking book- Climate Change transition risk: Credit quality of exposures by sector, emissions and |
|
residual maturity |
233 |
ESG2 - Banking book - Climate change transition risk: Loans collateralised by immovable property - |
|
Energy efficiency of the collateral |
242 |
ESG4 - Banking book - Climate change transition risk: Exposures to top 20 carbon-intensive firms |
245 |
ESG5 - Banking book - Climate change physical risk: Exposures subject to physical risk |
246 |
ESG6 - Summary of GAR KPIs |
250 |
ESG7 - Mitigating actions: Assets for the calculation of GAR |
251 |
ESG8 - GAR (%) |
255 |
ESG10 - Other climate change mitigating actions that are not covered in the EU Taxonomy |
258 |
Disclaimer & cautionary statements |
261 |
3
1.Pillar 3 intro
ABN AMRO Pillar 3 Report 2023
About this report
Welcome to ABN AMRO's 2023 Pillar 3 Report.
The purpose of this report is to provide information about ABN AMRO's regulatory capital adequacy, risk exposure, risk management, remuneration and ESG exposures and risks.
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 as a separate report. 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 III of Part Eight of Regulation (EU) No 575/2013. The Pillar 3 Report 2023 includes all the required disclosures, which have been prepared in accordance with the regulations mentioned above.
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 fully-loaded figures, as the phase-in period came to an end on 1 January 2023. The figures presented in this document are not required to be, nor have they been, audited or reviewed by our external auditor. In this report, the terms 'risk-weighted assets (RWA)' and 'risk-weighted exposure amount (RWEA)' are used interchangeably. Similarly, this report may use 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 is 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.
5
ABN AMRO Pillar 3 Report 2023
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 at Consolidated level. ABN AMRO is below this 5% threshold and for that reason parts of and/or complete tables for EU CR2a, EU CQ2, EU CQ6 and EU CQ8 are not applicable.
- EU CR7 - IRB approach - Effect on the RWEA of credit derivatives used as CRM techniques: ABN AMRO does not typically secure its credit exposure by buying protection via credit derivatives. At present, the credit derivatives ABN AMRO has are not used for RWEA reduction via credit risk mitigation. ABN AMRO does use credit derivatives to hedge CVA risk.
- EU CR9.1 - IRB approach - Back-testing of PD per exposure class (only for PD estimates according to point (f) of article 180(1) CRR) is not applicable as we do not apply Article 180(1)(f).
- EU CR10 - Specialised lending and equity exposures under the simple risk-weighted approach: Templates EU CR10.1 - EU CR10.4 are for specialised lending calculated based on the slotting approach, which is not applied by ABN AMRO. These templates are therefore not applicable to ABN AMRO.
- EU CCR7 - RWEA flow statements of CCR exposures under the IMM: ABN AMRO does not use the Internal Model Method (IMM) methodology for measuring the EAD for counterparty credit risk exposures. Instead, we apply the Standardised Approach for Counterparty Credit Risk (SA-CCR)to calculate the EAD for derivatives and the Financial Collateral Comprehensive Method (FCCM) for securities financing transactions (CRR 220/222). Therefore, this template is not applicable.
- EU SEC2 - Securitisation exposures in the trading book: ABN AMRO does not have any exposure to securitisation positions in its trading book.
- EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - Bank acting as originator or as sponsor: As at 31 December 2023 there are no securitisation positions of which ABN AMRO is the originator or sponsor.
- EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments: ABN AMRO does not have the role of originator or sponsor in any of the securitisation transactions, therefore there are no 'exposures securitised by the institution'.
Comparative figures for first-time reporting of new or adjusted templates
Comparative figures for first-time reporting of new templates or templates adjusted by the final draft ITS are not required to be disclosed. ABN AMRO discloses comparative figures for comparability and analytical purposes, if available. As a result, narratives of new or adjusted templates might not provide explanations at a detailed level.
Regulation implemented
As from 31 December 2022, ABN AMRO has disclosed information on environmental, social and governance risks (ESG risks), including physical risks and transition risks. Additional ESG disclosure requirements became effective from Q4 2023 Pillar 3 reporting onwards. In March 2021 EBA published a Consultation Paper, followed by the final ITS on ESG disclosures on 24 January 2022. The ITS supports comparable disclosures that show how climate change may exacerbate other risks within banks' balance sheets, how banks are mitigating those risks and banks' exposures to sustainable activities. The framework allows investors and stakeholder to compare sustainability performances of banks. The ITS entered into force in June 2022. ABN AMRO's first disclosure was included in the 2022 Pillar 3 Report. From then onwards, disclosure is made biannually. The qualitative disclosures (tables 1, 2 and 3) and templates 1, 2, 4, 5 and 10 were applicable from 31 December 2022, whereas templates 6, 7 and 8 are effective from 31 Decemeber 2023, template 3 from 30 June 2024 and template 9 (voluntary) from 31 December 2024.
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ABN AMRO Pillar 3 Report 2023
Key metrics and overview of RWEA
Highlights
- The CET1 ratio under Basel III decreased to 14.3% (30 September 2023: 15.0%), mainly due to the decrease in CET1 capital and an increase in RWEA.
- Total RWEA increased to EUR 140.2 billion (30 September 2023: EUR 136.6 billion), mainly reflecting a rise in credit risk RWEA and, to a lesser extent, market risk RWEA, partly offset by a decrease in operational risk RWEA. Credit risk RWEA increased mainly due to model updates, partly offset by seasonal business developments.
- Total capital decreased to EUR 26.3 billion (30 September 2023: EUR 27.0 billion), mainly due to the permission granted by the ECB for a third share buyback of EUR 500 million.
- The leverage ratio increased to 5.3% as of 31 December 2023 (30 September 2023: 5.2%), mainly due to a seasonal decrease in on-balance sheet exposures, partly offset by the deduction of the share buyback from Tier 1 capital.
- The banks' consolidated LCR was 144% at the end of December 2023, based on a 12-month rolling average. This is in line with the previous quarter (30 September 2023: 144%).
- The NSFR increased to 140% (30 September 2023: 135%). This was mainly due to the increase in available stable funding as a result of increased client deposit volume.
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ABN AMRO Pillar 3 Report 2023
EU KM1 - Key metrics template
A |
B |
C |
D |
E |
||
(in millions) |
31 December |
30 September |
30 June |
31 March |
31 December |
|
2023 |
2023 |
2023 |
2023 |
2022 |
||
Available own funds (amounts) |
||||||
1 |
Common Equity Tier 1 (CET1) capital |
20,003 |
20,544 |
20,051 |
19,727 |
19,507 |
2 |
Tier 1 capital |
21,985 |
22,526 |
22,033 |
21,709 |
21,489 |
3 |
Total capital |
26,264 |
26,981 |
26,522 |
25,587 |
26,938 |
Risk-weighted exposure amounts (RWEA) |
||||||
4 |
Total RWEA |
140,187 |
136,570 |
134,487 |
131,748 |
128,593 |
Capital ratios (as % of RWEA) |
||||||
5 |
Common Equity Tier 1 ratio (%) |
14.3% |
15.0% |
14.9% |
15.0% |
15.2% |
6 |
Tier 1 ratio (%) |
15.7% |
16.5% |
16.4% |
16.5% |
16.7% |
7 |
Total capital ratio (%) |
18.7% |
19.8% |
19.7% |
19.4% |
20.9% |
Additional own funds requirements to address risks other than the risk of excessive leverage (as % of RWEA)
EU 7a Additional own funds requirements to address risks other than the risk of excessive leverage (%)
EU 7b - of which to be made up of CET1 capital (percentage points) EU 7c - of which to be made up of Tier 1 capital (percentage points) EU 7d Total SREP own funds requirements (%)
Combined buffer requirement (as % of RWEA)
8 Capital conservation buffer (%)
EU 8a Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)
- Institution specific countercyclical capital buffer (%) EU 9a Systemic risk buffer (%)
- Global Systemically Important Institution buffer (%)
EU |
Other Systemically Important Intitution buffer |
10a |
|
11 |
Combined buffer requirement (%) |
EU |
Overall capital requirements (%) |
11a |
12 CET1 available after meeting the total SREP own funds requirements
(%)
Leverage ratio
- Total exposure measure
- Leverage ratio (%)
Additional own funds requirements to address risks of |
|
excessive leverage (as % of total exposure amount) |
|
EU |
Additional own funds requirements to address the risk of excessive |
14a |
leverage (%) |
EU |
- of which to be made up of CET1 capital (percentage points) |
14b |
|
EU |
Total SREP leverage ratio requirements (%) |
14c |
Leverage ratio buffer and overall leverage ratio requirement |
(as % of total exposure measure) |
|
EU |
Leverage ratio buffer requirement (%) |
14d |
|
EU |
Overall leverage ratio requirements (%) |
14e |
Liquidity Coverage Ratio |
15 |
Total high-quality liquid assets (HQLA) (Weighted value-average) |
EU |
Cash outflows - Total weighted value |
16a |
|
EU |
Cash inflows - Total weighted value |
16b |
- Total net cash outflows (adjusted value)
-
Liquidity coverage ratio (%)
Net Stable Funding Ratio - Total available stable funding
- Total required stable funding
- NSFR ratio (%)
2.0% |
2.0% |
2.0% |
2.0% |
2.0% |
1.1% |
1.1% |
1.1% |
1.1% |
1.1% |
1.5% |
1.5% |
1.5% |
1.5% |
1.5% |
10.0% |
10.0% |
10.0% |
10.0% |
10.0% |
2.5% |
2.5% |
2.5% |
2.5% |
2.5% |
0.95% |
0.95% |
0.90% |
0.13% |
0.10% |
1.5% |
1.5% |
1.5% |
1.5% |
1.5% |
4.95% |
4.95% |
4.90% |
4.13% |
4.10% |
14.95% |
14.95% |
14.90% |
14.13% |
14.10% |
8.18% |
8.99% |
8.88% |
8.98% |
9.21% |
412,957 |
433,088 |
436,936 |
437,797 |
413,525 |
5.3% |
5.2% |
5.0% |
5.0% |
5.2% |
3.0% |
3.0% |
3.0% |
3.0% |
3.0% |
3.0% |
3.0% |
3.0% |
3.0% |
3.0% |
97,015 |
99,135 |
101,705 |
101,867 |
103,019 |
96,333 |
97,979 |
100,475 |
102,075 |
103,038 |
29,122 |
28,991 |
29,721 |
30,734 |
31,664 |
67,211 |
68,988 |
70,754 |
71,341 |
71,374 |
144% |
144% |
144% |
143% |
144% |
263,379 |
256,293 |
258,856 |
254,557 |
252,330 |
188,458 |
189,393 |
188,669 |
186,860 |
189,530 |
140% |
135% |
137% |
136% |
133% |
8
ABN AMRO Pillar 3 Report 2023
On 31 December 2023, the CET1 ratio under Basel III was 14.3% (30 September 2023: 15.0%). In comparison with Q3 2023, the CET1 ratio decreased mainly due to a decrease in CET1 capital and an increase in RWEA. Total RWEA increased by EUR 3.6 billion compared to 30 September 2023, mainly reflecting a rise in credit risk RWEA due to EUR
3.8 billion for model updates, partly offset by seasonal business developments. The model updates are related to a review of the Corporates PD model and the transfer of portfolios to the Standardised and IRB/Foundation approach. CET1 capital decreased, mainly due to the permission granted by the ECB for a third share buyback of EUR 500 million. This decrease was partly offset by the addition of the Q4 2023 net profit of EUR 545 million, excluding a 50% dividend reservation. All capital ratios were in line with the bank's risk appetite and comfortably above regulatory requirements.
EU OV1 - Overview of total risk exposure amounts
A |
B |
C |
D |
E |
F |
||
31 December 2023 |
30 September 2023 |
31 December 2022 |
|||||
(in millions) |
Total own funds |
Total own funds |
Total own funds |
||||
TREA |
requirements |
TREA |
requirements |
TREA |
requirements |
||
1 |
Credit risk (excluding CCR) |
115,996 |
9,280 |
111,711 |
8,937 |
104,939 |
8,395 |
2 |
- of which the Standardised Approach |
5,848 |
468 |
6,176 |
494 |
7,134 |
571 |
3 |
- of which the foundation IRB (F-IRB) |
10,848 |
868 |
11,086 |
887 |
10,144 |
812 |
approach1) |
|||||||
4 |
- of which slotting approach |
||||||
EU 4a |
- of which equities under the simple risk- |
||||||
weighted approach |
2,358 |
189 |
2,160 |
173 |
1,923 |
154 |
|
5 |
- of which the advanced IRB (A-IRB) |
||||||
approach |
63,895 |
5,112 |
63,201 |
5,056 |
61,533 |
4,923 |
- Counterparty Credit Risk (CCR)
- - of which the Standardised Approach
- - of which internal model method (IMM) EU 8a - of which exposures to a CCP
EU 8b - of which credit valuation adjustment (CVA)
9 - of which other CCR
- Settlement risk
- Securitisation exposures in the non-trading book (after the cap)
- - of which SEC-IRBA approach
- - of which SEC-ERBA (including IAA)
- - of which SEC-SA approach
EU 19a - of which 1250%
- Position, foreign exchange and commodities risks (Market risk)
- - of which Standardised Approach
- - of which IMA
EU |
Large exposures |
22a |
|
23 Operational risk
EU 23a - of which basic indicator approach
EU
23b - of which Standardised Approach EU 23c - of which advanced measurement
approach
6,494 |
519 |
6,966 |
557 |
5,428 |
434 |
3,027 |
242 |
3,160 |
253 |
2,794 |
224 |
713 |
57 |
568 |
45 |
413 |
33 |
261 |
21 |
302 |
24 |
274 |
22 |
2,492 |
199 |
2,937 |
235 |
1,947 |
156 |
277 |
22 |
237 |
19 |
253 |
20 |
47 |
4 |
22 |
2 |
19 |
1 |
230 |
18 |
215 |
17 |
235 |
19 |
1,956 |
156 |
2,191 |
175 |
2,005 |
160 |
2 |
2 |
2 |
|||
1,954 |
156 |
2,189 |
175 |
2,003 |
160 |
15,465 |
1,237 |
15,465 |
1,237 |
15,967 |
1,277 |
533 |
43 |
||||
15,465 |
1,237 |
15,465 |
1,237 |
||
15,434 |
1,235 |
24 Amounts below the thresholds for deduction (subject to 250% risk
weight) (For information) |
1,304 |
104 |
1,297 |
104 |
1,495 |
120 |
29 Total |
140,187 |
11,215 |
136,570 |
10,926 |
128,593 |
10,287 |
- Following EBA's instructions for this template, the amount reported under F-IRB also includes Other non-credit obligation assets.
- Following EBA's instructions for this template, the amount of which the advanced IRB approach is excluding Equity exposures subject to risk weights and CIU exposures subject to the fall-back approach.
Total RWEA increased by EUR 3.6 billion compared to 30 September 2023, mainly reflecting a rise in credit risk RWEA due to model updates, partly offset by seasonal business developments. The model updates are related to a review of the Corporates PD model and the impact of future portfolio transfers to the standardised and IRB/Foundation
9
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Disclaimer
ABN Amro Bank NV published this content on 12 March 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 13 March 2024 06:33:29 UTC.