ABN AMRO Bank N.V.
Pillar 3 Report First quarter 2024
ABN AMRO Bank Pillar 3 Report first quarter 2024
Table of contents
Notes to the reader |
3 |
|
Key metrics and overview of RWEA |
4 |
|
Key metrics template |
EU KM1 |
5 |
Overview of total risk exposure amounts |
EU OV1 |
7 |
Liquidity requirements |
8 |
|
Qualitative information on LCR, which complements template EU LIQ1 |
EU LIQB |
8 |
Quantitative information on LCR |
EU LIQ1 |
9 |
Credit risk |
10 |
|
RWEA flow statements of credit risk exposures under the IRB approach |
EU CR8 |
10 |
Market risk |
11 |
|
RWEA flow statements of market risk exposures under the IMA |
EU MR2-B |
11 |
Disclaimer & cautionary statements |
12 |
2
ABN AMRO Bank Pillar 3 Report first quarter 2024
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 (Part Eight) and the final draft Implementing Technical Standards (ITS) on public disclosures by institutions of the information referred to in Titles
- and III of Part Eight of Regulation (EU) No 575/2013. The Pillar 3 report for the first quarter of 2024 includes an update on the quarterly required disclosures, which provide comprehensive information about risk, funding and capital management. The templates included in this Pillar 3 Report have been prepared in accordance with the abovementioned 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 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 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 template has been identified as not applicable to ABN AMRO and is therefore not included in this report:
- EU CCR7 - RWEA flow statements of CCR exposures under the IMM: ABN AMRO does not use the Internal Model Method (IMM) 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) method for securities financing transactions (CRR 220/222). Therefore, this template is not applicable.
3
ABN AMRO Bank Pillar 3 Report first quarter 2024
Key metrics and overview of RWEA
Highlights
- The CET1 ratio under Basel III decreased to 13.8% (31 December 2023: 14.3%), mainly due to an increase in RWEA and capital deductions.
- Total RWEA increased to EUR 144.2 billion (31 December 2023: EUR 140.2 billion), primarily driven by a rise in credit risk RWEA.
- Total Capital increased to EUR 26.9 billion (31 December 2023: EUR 26.3 billion), mainly due to the issuance of a EUR 750 million AT1 instrument.
- The leverage ratio decreased to 5.2% as of 31 March 2024 (31 December 2023: 5.3%). This was mainly due to the increase in on-balance sheet exposures, partly offset by an increase of Tier 1 capital, mainly due to the issuance of a EUR 750 million AT1 instrument.
4
ABN AMRO Bank Pillar 3 Report first quarter 2024
EU KM1 - Key metrics template
On 31 March 2024, the CET1 ratio under Basel III was 13.8% (31 December 2023: 14.3%). In comparison with
Q4 2023, the CET1 ratio decreased due to an increase in RWEA and capital deductions. Total RWEA increased by EUR 4.0 billion compared to 31 December 2023, primarily driven by a rise in credit risk RWEA, which included EUR 1.7 billion in model-relatedadd-ons and seasonal business developments at Clearing. The Q1 2024 net profit, amounting to EUR 647 million after deduction of AT1 coupons, was added to CET1 capital excluding a 50% dividend reservation. CET1 capital was impacted by capital deductions, which included the effect of the transfer of portfolios to less sophisticated approaches. All capital ratios were in line with the bank's risk appetite and comfortably above regulatory requirements.
A |
B |
C |
D |
E |
||
(in millions) |
31 March |
31 December |
30 September |
30 June |
31 March |
|
2024 |
2023 |
2023 |
2023 |
2023 |
||
Available own funds (amounts) |
||||||
1 |
Common Equity Tier 1 (CET1) capital |
19,952 |
20,003 |
20,544 |
20,051 |
19,727 |
2 |
Tier 1 capital |
22,680 |
21,985 |
22,526 |
22,033 |
21,709 |
3 |
Total capital |
26,856 |
26,264 |
26,981 |
26,522 |
25,587 |
Risk-weighted exposure amounts (RWEA) |
||||||
4 |
Total RWEA |
144,174 |
140,187 |
136,570 |
134,487 |
131,748 |
Capital ratios (as % of RWEA) |
||||||
5 |
Common Equity Tier 1 ratio (%) |
13.8% |
14.3% |
15.0% |
14.9% |
15.0% |
6 |
Tier 1 ratio (%) |
15.7% |
15.7% |
16.5% |
16.4% |
16.5% |
7 |
Total capital ratio (%) |
18.6% |
18.7% |
19.8% |
19.7% |
19.4% |
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 10a Other Systemically Important Intitution buffer
- Combined buffer requirement (%)
EU 11a Overall capital requirements (%)
12 CET1 available after meeting the total SREP own funds requirements (%)
Leverage ratio
- Total exposure measure
- Leverage ratio (%)
2.3% |
2.0% |
2.0% |
2.0% |
2.0% |
1.3% |
1.1% |
1.1% |
1.1% |
1.1% |
1.7% |
1.5% |
1.5% |
1.5% |
1.5% |
10.3% |
10.0% |
10.0% |
10.0% |
10.0% |
2.5% |
2.5% |
2.5% |
2.5% |
2.5% |
0.98% |
0.95% |
0.95% |
0.90% |
0.13% |
1.5% |
1.5% |
1.5% |
1.5% |
1.5% |
4.98% |
4.95% |
4.95% |
4.90% |
4.13% |
15.23% |
14.95% |
14.95% |
14.90% |
14.13% |
8.04% |
8.18% |
8.99% |
8.88% |
8.98% |
435,207 |
412,957 |
433,088 |
436,936 |
437,797 |
5.2% |
5.3% |
5.2% |
5.0% |
5.0% |
continued >
5
ABN AMRO Bank Pillar 3 Report first quarter 2024
A |
B |
C |
D |
E |
|
(in millions) |
31 March |
31 December |
30 September |
30 June |
31 March |
2024 |
2023 |
2023 |
2023 |
2023 |
Additional own funds requirements to address risks of excessive leverage (as % of total exposure measure)
EU 14a |
Additional own funds requirements to address the risk of |
|||||
excessive leverage (%) |
||||||
EU 14b |
- of which to be made up of CET1 capital (percentage points) |
|||||
EU 14c |
Total SREP leverage ratio requirements (%) |
3.0% |
3.0% |
3.0% |
3.0% |
3.0% |
Leverage ratio buffer and overall leverage ratio requirement (as % of total exposure measure)
EU 14d Leverage ratio buffer requirement (%)
EU 14e Overall leverage ratio requirements (%)
Liquidity Coverage Ratio
- Total high-quality liquid assets (HQLA) (Weighted value-average) EU 16a Cash outflows - Total weighted value
EU 16b Cash inflows - Total weighted value
- Total net cash outflows (adjusted value)
-
Liquidity coverage ratio (%)
Net Stable Funding Ratio - Total available stable funding
- Total required stable funding
- NSFR ratio (%)
3.0% |
3.0% |
3.0% |
3.0% |
3.0% |
95,026 |
97,015 |
99,135 |
101,705 |
101,867 |
96,104 |
96,333 |
97,979 |
100,475 |
102,075 |
29,823 |
29,122 |
28,991 |
29,721 |
30,734 |
66,281 |
67,211 |
68,988 |
70,754 |
71,341 |
144% |
144% |
144% |
144% |
143% |
262,226 |
263,379 |
256,671 |
258,856 |
254,557 |
191,710 |
188,458 |
189,450 |
188,669 |
186,860 |
137% |
140% |
135% |
137% |
136% |
6
ABN AMRO Bank Pillar 3 Report first quarter 2024
EU OV1 - Overview of total risk exposure amounts
Total RWEA increased to EUR 144.2 billion at 31 March 2024 (31 December 2023: EUR 140.2 billion), primarily driven by a rise in credit risk RWEA. This included a net EUR 1.7 billion model-relatedadd-on, as well as an increase related to seasonal business developments at Clearing. We are continuing the review of our credit risk RWEA models, which may lead to further model updates and RWEA add-ons under both Basel III and Basel IV.
Operational risk RWA increased slightly to EUR 16.0 billion (31 December 2023: EUR 15.5 billion). Under the standardised approach (TSA), operational risk RWA is based on a three-year average of the operating income. The average operating income increased due to the addition of the 2023 income to replace the 2020 figure. As of Q1, RWA for operational risk is allocated to client units based on client units' total income, in line with the standardised approach (TSA). RWA related to market risk increased slightly due to position changes, partially offsetting a decrease of the capital multipliers for value-at-risk (VaR) and stressed-VaR.
A |
B |
C |
D |
||
31 March |
31 December |
||||
2024 |
2023 |
||||
(in millions) |
Total own funds |
Total own funds |
|||
TREA |
requirements |
TREA |
requirements |
||
1 |
Credit risk (excluding CCR) |
117,797 |
9,424 |
115,996 |
9,280 |
2 |
- of which the Standardised Approach |
7,123 |
570 |
5,848 |
468 |
3 |
- of which the foundation IRB (F-IRB) approach1) |
29,785 |
2,383 |
10,848 |
868 |
4 |
- of which slotting approach |
||||
EU 4a |
- of which equities under the simple risk-weighted approach |
2,399 |
192 |
2,358 |
189 |
5 |
- of which the advanced IRB (A-IRB) approach |
47,778 |
3,822 |
63,895 |
5,112 |
6 |
Counterparty Credit Risk (CCR) |
7,608 |
609 |
6,494 |
519 |
7 |
- of which the Standardised Approach |
3,623 |
290 |
3,027 |
242 |
8 |
- of which internal model method (IMM) |
||||
EU 8a |
- of which exposures to a CCP |
769 |
61 |
713 |
57 |
EU 8b |
- of which credit valuation adjustment (CVA) |
253 |
20 |
261 |
21 |
9 |
- of which other CCR |
2,963 |
237 |
2,492 |
199 |
15 |
Settlement risk |
||||
16 |
Securitisation exposures in the non-trading book (after the |
341 |
27 |
277 |
22 |
cap) |
|||||
17 |
- of which SEC-IRBA approach |
||||
18 |
- of which SEC-ERBA (including IAA) |
47 |
4 |
47 |
4 |
19 |
- of which SEC-SA approach |
293 |
23 |
230 |
18 |
EU 19a |
- of which 1250% |
||||
20 |
Position, foreign exchange and commodities risks (Market risk) |
2,451 |
196 |
1,956 |
156 |
21 |
- of which Standardised Approach |
2 |
2 |
||
22 |
- of which IMA |
2,449 |
196 |
1,954 |
156 |
EU 22a |
Large exposures |
||||
23 |
Operational risk |
15,977 |
1,278 |
15,465 |
1,237 |
EU 23a |
- of which basic indicator approach |
||||
EU 23b |
- of which Standardised Approach |
15,977 |
1,278 |
15,465 |
1,237 |
EU 23c |
- of which advanced measurement approach |
24 Amounts below the thresholds for deduction (subject to 250%
risk weight) (For information) |
1,366 |
109 |
1,304 |
104 |
29 Total |
144,174 |
11,534 |
140,187 |
11,215 |
- 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.
7
ABN AMRO Bank Pillar 3 Report first quarter 2024
Liquidity requirements
EU LIQB - Qualitative information on LCR, which complements template EU LIQ1
The consolidated LCR amounted to 144% at the end of March 2024, based on a 12-month rolling average. This is in line with the previous quarter (31 December 2023: 144%).
Concentration of funding sources
Liquidity risks are mitigated by maintaining a sufficiently large liquidity buffer and a stable and diversified funding mix to safeguard access to liquidity at any time. ABN AMRO's main source of funding consists of client deposits and is well diversified across its client segments Personal & Business Banking, Wealth Management and Corporate Banking. The remainder of the bank's funding is raised through various long-term wholesale funding instruments. Short-term wholesale funding is raised via commercial paper and certificates of deposit programmes.
Composition of liquidity buffer
The LCR eligible liquidity buffer (excluding retained notes) at 31 March 2024 amounted to EUR 95.0 billion, based on a 12-month rolling average and was composed mainly of cash at central banks and government bonds. This is in line with the previous quarter (31 December 2023: EUR 97.0 billion).
Derivative exposures and potential collateral calls
To manage liquidity risk regarding derivative exposures and potential collateral calls, the bank has an adequate pool of collateral at its disposal, which is managed proactively in accordance with its collateral management framework. This enables the bank to secure payment traffic with the central bank, meet margin calls for financial markets transactions (e.g. derivatives, securities financing and clearing) and manage the liquidity buffer within the approved risk appetite.
Currency mismatch in the LCR
The bank's liquidity management focuses on significant currencies. The bank's current significant currencies are the euro and the US dollar, given that the aggregate liabilities denominated in these currencies amount to 5% or more of the bank's total liabilities. The liquidity buffer reflects the composition of the balance sheet as it comprises cash and securities primarily in euros and secondarily in US dollars. The LCR for US dollars is monitored and reported as well.
Other items
The EU LIQ1 template is focused on the consolidated LCR. The bank also monitors, reports and when necessary steers the LCR for subsidiaries (taking into account local regulations) and other regulatory scopes (including sub-liquidity group scope).
8
ABN AMRO Bank Pillar 3 Report first quarter 2024
EU LIQ1 - Quantitative information on LCR
A |
B |
C |
D |
E |
F |
G |
H |
|||
Total unweighted value (average) |
Total weighted value (average) |
|||||||||
31 March |
31 December |
30 September |
30 June |
31 March |
31 December 30 September |
30 June |
||||
2024 |
2023 |
2023 |
2023 |
2024 |
2023 |
2023 |
2023 |
|||
Data points used in the calculation of averages |
Data points used in the calculation of averages |
|||||||||
(in millions) |
12 |
12 |
12 |
12 |
12 |
12 |
12 |
12 |
||
High-quality liquid assets |
||||||||||
(HQLA) |
||||||||||
1 |
Total high-quality liquid assets |
95,026 |
97,015 |
99,135 |
101,705 |
|||||
Cash - outflows |
||||||||||
2 |
Retail deposits and deposits from |
|||||||||
small business customers, of which: |
145,216 |
144,558 |
144,118 |
143,940 |
10,575 |
10,654 |
10,782 |
10,927 |
||
3 |
Stable deposits |
88,260 |
88,554 |
88,747 |
88,904 |
4,413 |
4,428 |
4,437 |
4,445 |
|
4 |
Less stable deposits |
45,067 |
45,484 |
46,160 |
46,891 |
5,872 |
5,892 |
5,956 |
6,040 |
|
5 |
Unsecured wholesale funding |
110,667 |
113,207 |
117,484 |
123,670 |
56,274 |
56,551 |
57,926 |
59,279 |
|
6 |
Operational deposits (all |
|||||||||
counterparties) and deposits in |
||||||||||
networks of cooperative banks |
35,045 |
38,731 |
42,484 |
48,416 |
8,735 |
9,647 |
10,578 |
12,057 |
||
7 |
Non-operational deposits (all |
|||||||||
counterparties) |
71,604 |
70,241 |
71,001 |
71,565 |
43,521 |
42,669 |
43,349 |
43,531 |
||
8 |
Unsecured debt |
4,018 |
4,235 |
3,999 |
3,690 |
4,018 |
4,235 |
3,999 |
3,690 |
|
9 |
Secured wholesale funding |
4,923 |
5,134 |
5,206 |
5,411 |
|||||
10 |
Additional requirements |
56,262 |
55,013 |
54,188 |
53,772 |
14,962 |
14,865 |
14,623 |
14,662 |
11 Outflows related to derivative exposures and other collateral
requirements |
10,063 |
9,342 |
9,084 |
8,991 |
8,093 |
8,044 |
7,982 |
8,032 |
|
12 |
Outflows related to loss of funding on |
||||||||
debt products |
305 |
294 |
161 |
163 |
305 |
294 |
161 |
163 |
|
13 |
Credit and liquidity facilities |
45,895 |
45,378 |
44,943 |
44,619 |
6,565 |
6,528 |
6,479 |
6,467 |
14 |
Other contractual funding obligations |
9,328 |
8,675 |
9,300 |
10,456 |
6,812 |
6,298 |
6,339 |
6,825 |
15 |
Other contingent funding obligations |
41,771 |
42,250 |
43,258 |
44,757 |
2,558 |
2,832 |
3,103 |
3,372 |
- Total cash outflows Cash - inflows
- Secured lending (e.g. reverse repos)
- Inflows from fully performing expo- sures
- Other cash inflows
EU-19a (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)
EU-19b (Excess inflows from a related specialised credit institution)
32,982 |
32,951 |
31,492 |
31,279 |
16,150 |
15,317 |
15,074 |
15,233 |
11,167 |
11,507 |
13,266 |
16,602 |
96,104 |
96,333 |
97,979 |
100,475 |
12,579 |
12,178 |
11,413 |
10,953 |
13,550 |
13,111 |
13,393 |
14,058 |
3,694 |
3,834 |
4,185 |
4,710 |
20 |
Total cash inflows |
60,298 |
59,775 |
59,832 |
63,114 |
29,823 |
29,122 |
28,991 |
29,721 |
|
EU-20a |
Fully exempt inflows |
|||||||||
EU-20b |
Inflows subject to 90% cap |
|||||||||
EU-20c |
Inflows subject to 75% cap |
53,952 |
53,571 |
53,350 |
56,519 |
29,823 |
29,122 |
28,991 |
29,721 |
|
Total adjusted value |
||||||||||
EU-21 |
Liquidity buffer |
95,026 |
97,015 |
99,135 |
101,705 |
|||||
22 |
Total net cash outflows |
66,281 |
67,211 |
68,988 |
70,754 |
|||||
23 |
Liquidity coverage ratio |
144% |
144% |
144% |
144% |
9
ABN AMRO Bank Pillar 3 Report first quarter 2024
Credit risk
EU CR8 - RWEA flow statements of credit risk exposures under the IRB approach
As at 31 March 2024, credit risk RWEA under the IRB approach increased to EUR 81.2 billion (31 December 2023: EUR 78.3 billion). This was mainly the result of methodology and policy changes due to specific portfolio movements from the Advanced-IRB approach to the Foundation-IRB approach. A rise in exposures (asset size) and foreign exchange movements also contributed to the increase.
The movement presented as "Methodology and policy" had only very limited impact on the bank's CET1 ratio. This is because prior to obtaining the supervisor's approval to move specific portfolios to a different approach, the bank had already voluntarily included the expected additional RWEA in 'other risk exposure amounts'. In the EU OV1 template, these 'other risk exposure amounts' are included as part of credit risk. However, following EBA's mapping they were not included in the EU CR8 template, which is why they appear as an increase here. Similarly, the impact of the model-relatedadd-on mentioned earlier is not yet included in the EU CR8 figures. Ahead of the full implementation of that model update in the bank's systems, the impact has already been included in Total RWEA as part of 'other risk exposure amounts'.
A |
B |
|
31 March 2024 |
31 December 2023 |
|
(in millions) |
RWEA |
RWEA |
- RWEA as at the end of the previous reporting period1
- Asset size (+/-)
- Asset quality (+/-)
- Model updates (+/-)
- Methodology and policy (+/-)
- Acquisitions and disposals (+/-)
- Foreign exchange movements (+/-)
- Other (+/-)
- RWEA as at the end of the reporting period
78,292 |
77,588 |
190 |
-222 |
98 |
1,121 |
2,436 |
|
146 |
-195 |
81,162 |
78,292 |
1 Following EBA's mapping for this template, the RWEA includes 'Equity IRB' (which includes IRB CIUs that receive the fall-back approach). For this reason, the CR8 RWEA does not reconcile with the credit risk RWEA reported in the EU OV1 template.
10
Attachments
Disclaimer
ABN Amro Bank NV published this content on 15 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 15 May 2024 11:10:41 UTC.