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"1342131000", "decimals": -3, "dimensions": { "concept": "ifrs-full:LiabilitiesArisingFromFinancingActivities", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00", "ifrs-full:LiabilitiesArisingFromFinancingActivitiesAxis": "ifrs-full:DebtSecuritiesMember", "unit": "iso4217:EUR" } }, "f-570": { "value": "473881000", "decimals": -3, "dimensions": { "concept": "ifrs-full:LiabilitiesArisingFromFinancingActivities", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00", "ifrs-full:LiabilitiesArisingFromFinancingActivitiesAxis": "ifrs-full:FinancialLiabilitiesAtFairValueThroughProfitOrLossCategoryMember", "unit": "iso4217:EUR" } }, "f-571": { "value": "1986894000", "decimals": -3, "dimensions": { "concept": "ifrs-full:LiabilitiesArisingFromFinancingActivities", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-572": { "value": "
General
Van Lanschot Kempen NV is an independent specialist
wealth manager. Our purpose is to preserve and create
wealth for our clients and for society in a sustainable way.
Van Lanschot Kempen NV (\"Van\u00a0Lanschot Kempen\") has its
registered office at Hooge Steenweg 29, 5211 JN
\u00b4s\u00a0Hertogenbosch, the Netherlands. Van Lanschot Kempen is
a public limited company incorporated under Dutch law and
registered under number 16038212 at the Chamber of
Commerce. Depositary receipts for Class A ordinary shares
are publicly traded on the Euronext markets.
The consolidated financial statements of Van Lanschot
Kempen at 31 December 2023 were prepared by the
Management Board and approved by the Supervisory Board
on 21\u00a0February 2024, and will be submitted to the annual
general meeting of shareholders for adoption on
23\u00a0May\u00a02024.
", "dimensions": { "concept": "ifrs-full:DisclosureOfGeneralInformationAboutFinancialStatementsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-573": { "value": "Van Lanschot Kempen NV is an independent specialist wealth manager. Our purpose is to preserve and create wealth for our clients and for society in a sustainable way.", "dimensions": { "concept": "ifrs-full:DescriptionOfNatureOfEntitysOperationsAndPrincipalActivities", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-574": { "value": "Van Lanschot Kempen NV", "dimensions": { "concept": "ifrs-full:NameOfUltimateParentOfGroup", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-575": { "value": "Van Lanschot Kempen NV", "dimensions": { "concept": "ifrs-full:NameOfParentEntity", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-576": { "value": "Van Lanschot Kempen NV", "dimensions": { "concept": "ifrs-full:NameOfReportingEntityOrOtherMeansOfIdentification", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-577": { "value": "Hooge Steenweg 29, 5211 JN \u00b4s\u00a0Hertogenbosch, the Netherlands", "dimensions": { "concept": "ifrs-full:AddressOfRegisteredOfficeOfEntity", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-578": { "value": "the Netherlands", "dimensions": { "concept": "ifrs-full:CountryOfIncorporation", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-579": { "value": "the Netherlands", "dimensions": { "concept": "ifrs-full:DomicileOfEntity", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-580": { "value": "the Netherlands", "dimensions": { "concept": "ifrs-full:PrincipalPlaceOfBusiness", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-581": { "value": "public limited company", "dimensions": { "concept": "ifrs-full:LegalFormOfEntity", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-582": { "value": "
The consolidated financial statements of Van Lanschot
Kempen at 31 December 2023 were prepared by the
Management Board and approved by the Supervisory Board
on 21\u00a0February 2024, and will be submitted to the annual
general meeting of shareholders for adoption on
23\u00a0May\u00a02024.
", "dimensions": { "concept": "ifrs-full:DisclosureOfAuthorisationOfFinancialStatementsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-583": { "value": "
Basis of preparation
The consolidated financial statements of Van Lanschot
Kempen and its subsidiaries have been prepared in
accordance with International Financial Reporting
Standards (IFRS) as adopted by the European Union (EU),
and with Part 9, Book 2 of the Dutch Civil Code. Unless
stated otherwise, assets and liabilities are measured at
historical cost.
", "dimensions": { "concept": "ifrs-full:DisclosureOfBasisOfPreparationOfFinancialStatementsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-584": { "value": "
The consolidated financial statements of Van Lanschot
Kempen and its subsidiaries have been prepared in
accordance with International Financial Reporting
Standards (IFRS) as adopted by the European Union (EU),
and with Part 9, Book 2 of the Dutch Civil Code. Unless
stated otherwise, assets and liabilities are measured at
historical cost", "dimensions": { "concept": "ifrs-full:StatementOfIFRSCompliance", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-585": { "value": "
Continuity
The Management Board has examined the ability of
Van\u00a0Lanschot Kempen to continue its operations. The
Management Board is not aware of any material
uncertainties that cast significant doubt on our \u2013 i.e.
Van\u00a0Lanschot Kempen's \u2013 ability to continue as a going
concern. The consolidated financial statements have been
prepared on this basis.
Economic context
After a resilient economy in the first half 2023, longer-dated
interest rates declined in the second half, while stock prices
rallied towards year-end. Inflationary impacts from 2022
continued to trickle through to the rest of the economy, and
many collective labour agreements (CLAs) were negotiated
at substantial increases. Because energy prices peaked late
in 2022, the overall inflation figure for 2023 was almost nil.
The ECB has responded with a further tightening of
monetary policy. A lot is still unknown about the impact of
these and future developments on the private clients,
entrepreneurs and family businesses we finance. That said,
the impact of current economic circumstances is considered
to be limited for Van Lanschot Kempen. In general, we have
not experienced major disquiet among our clients, either
existing or new.
Van Lanschot Kempen's capital and liquidity positions
remain robust and our net result in 2023 amounted to
\u20ac125.2 million (2022: \u20ac84.3 million).
In 2023, the impact on our credit portfolio of the uncertain
economic circumstances was limited. This is reflected in a
decrease in loss allowance for expected credit losses (ECL)
and a lower management overlay at year end. The
management overlay takes into account uncertainties in the
economic outlook/macroeconomic climate which are not yet
considered to be fully reflected in the model parameters. For
more information, see \"Risk management\", under 3.8, Loss
allowance for expected credit losses (including sensitivity
analyses we have performed). Developments following the
collapse of several banks in the US have also increased our
attention to our amortised cost and fair value through other
comprehensive income (FVOCI) bond portfolios. The
negative revaluation, when measured at fair value, remains
limited for both portfolios and we carefully assess the
duration of both portfolios in isolation, as well as in the
general scope of balance sheet steering. Aside from the
impact on our own balance sheet, we\u2019ve also seen a marked
decrease in deal flow in our Investment Banking segment.
This led to a loss in this segment in the first half of 2023, but
after we took decisive action it made only a marginal impact
on the bottom line in the second half of 2023. Especially in
the real estate sector, the unprecedented rise in interest
rates has led to very seriously diminished deal flow as
market participants had to reevaluate their strategies and
portfolios. The end of the year was marked by some green
shoots and we were able to complete several deals for our
clients.
", "dimensions": { "concept": "ifrs-full:DisclosureOfGoingConcernExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-586": { "value": "
Functional and reporting currency
The consolidated financial statements are denominated in
euros, Van Lanschot Kempen's functional and reporting
currency. Unless stated otherwise, all amounts are
presented in thousands of euros. The totals may not always
match the sum of the individual values due to rounding.
Functional currency
Items in the statement of financial position pertaining to
each group company are stated in the currency of the
economic environment in which the entity operates (i.e. the
functional currency).
Group companies
The assets, liabilities, income and expenses of group
companies that use a functional currency other than the
reporting currency are translated as follows:
\u2013 Assets and liabilities are translated using the closing
exchange rate at the reporting date;
\u2013 Income and expenses are translated using the rate
prevailing on the transaction date;
\u2013 Remaining exchange-related gains or losses are
recognised as a separate component of equity.
Upon consolidation, exchange-related gains or losses arising
from monetary items forming part of a net investment in
foreign subsidiaries are recognised in equity. Exchange-
related gains or losses on borrowings and other items
designated as hedging instruments for such investments are
also recognised in equity.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFunctionalCurrencyExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-587": { "value": "
Changes in accounting policies
The accounting policies adopted in the preparation of our
consolidated financial statements for the year ended
31\u00a0December 2023 remain unchanged from the prior year,
except for the adoption of new standards and
interpretations effective from 1 January 2023.
Changes in published IFRS standards and
interpretations
The IFRS standards listed below became effective from
1\u00a0January 2023 and have been applied to our financial
statements for 2023. The application of these standards had
no material impact on Van Lanschot Kempen\u2019s equity or
result. Application of the amended standards generally
entails amendment or expansion of notes.
Definition of Accounting estimates \u2013 Amendments to IAS 8
The amendments clarify the distinction between changes in
accounting estimates and changes in accounting policies and
the correction of errors. They also clarify how entities use
measurement techniques and inputs to develop accounting
estimates. The amendments should provide guidance for
entities in determining whether changes are to be treated as
changes in estimates, changes in policies, or errors. The
amendments apply to changes in accounting policies and
changes in accounting estimates that occur on or after the
start of the effective date.
Disclosure of Accounting Policies \u2013 Amendments to IAS 1
and IFRS Practice Statement 2
The amendments provide guidance and examples to help
entities apply materiality judgements to accounting policy
disclosures. The amendments intend for entities to disclose
more useful accounting policy disclosures by replacing the
requirement for entities to disclose their \"significant\"
accounting policies with a requirement to disclose their
\"material\" accounting policies. In addition, guidance is
provided on how entities apply the concept of materiality in
making decisions about accounting policy disclosures.
Deferred Tax related to Assets and Liabilities arising from a
Single Transaction \u2013 Amendments to IAS 2
The amendments clarify that where payments that settle a
liability are deductible for tax purposes, it is a matter of
judgement (having considered the applicable tax law)
whether such deductions are attributable for tax purposes
to the liability recognised in the financial statements (and
interest expense) or to the related asset component (and
interest expense). This judgement is important in
determining whether any temporary differences exist on
initial recognition of the asset and liability.
Under the amendments, the initial recognition exception
does not apply to transactions that, on initial recognition,
give rise to equal taxable and deductible temporary
differences. It only applies if the recognition of a lease asset
and lease liability (or decommissioning a liability or
decommissioning an asset component) give rise to taxable
and deductible temporary differences that are not equal.
Nevertheless, it is possible that the resulting deferred tax
assets and liabilities are not equal (e.g. if the entity is unable
to benefit from the tax deductions or if different tax rates
apply to the taxable and deductible temporary differences).
In such cases, an entity would need to account for the
difference between the deferred tax asset and liability in
profit or loss.
An entity should apply the amendments to transactions that
occur on or after the beginning of the earliest comparative
period presented. In addition, at the beginning of the earliest
comparative period presented, it should also recognise a
deferred tax asset (provided that sufficient taxable profit is
available) and a deferred tax liability for all deductible and
taxable temporary differences associated with leases and
decommissioning obligations.
International Tax Reform Pillar Two Model Rules -
Amendments to IAS 12
The amendments introduce a mandatory temporary
exception from recognition and disclosure of information
about deferred taxes arising from the jurisdictional
implementation of the Pillar 2 model rules. Entities are
required to disclose known or reasonably estimable
information on the entity's exposure to Pillar 2 income taxes.", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-588": { "value": "
Published IFRS standards and
interpretations not yet effective
In addition to the IFRS standards and interpretations
referred to above, a number of IFRS standards and
interpretations are new or have been amended, and apply to
financial statements for periods beginning on or after
1\u00a0January 2024 . We have not applied the standards outlined
below in the 2023 financial statements. Unless stated
otherwise, standards will be applied as soon as they become
effective and have been endorsed by the EU.
Lease Liability in a Sale and Leaseback \u2013 Amendments to
IFRS 16
The amendment specifies the requirements that a seller-
lessee uses in measuring the lease liability arising in a sale-
and-leaseback transaction, to ensure the seller-lessee does
not recognise any amount of the gain or loss that relates to
the right of use it retains. The amendment is effective for
annual reporting periods beginning on or after 1 January
2024 and must be applied retrospectively for sale-and-
leaseback transactions entered into after initial application
of IFRS 16. The amendment is not expected to have a
material impact on the results or equity of the company.
Classification of Liabilities as Current or Non-current and
Non-current Liabilities with Covenants - Amendments to
IAS 1
The amendments clarify the requirements for classifying
liabilities as current or non-current. Entities need to
consider whether some of the amendments may impact their
current practice and covenant testing. We currently apply
the exception provided by IAS1.60 and no distinction is
made between current and non-current liabilities in the
financial statements. The amendments are therefore not
expected to have a material impact on the results or equity
of the company.
", "dimensions": { "concept": "ifrs-full:DescriptionOfOtherAccountingPoliciesRelevantToUnderstandingOfFinancialStatements", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-589": { "value": "
Significant accounting judgements and
estimates
We have identified those accounting policies which involve
the most complex or subjective decisions or assessments. In
the process of applying these accounting policies, we use
estimates, assumptions and judgements which can have a
significant impact on the amounts recognised in the financial
statements. These estimates and assumptions are based on
the most recent information available and include the impact
of the uncertain economic circumstances caused by
developments around the war in Ukraine among other
factors. The actual amounts may differ in the future. Where
applicable, the impact of the uncertain economic
circumstances on assumptions used are explained further in
the consolidated financial statements. The most significant
estimates and assumptions relate to the determination of
significant influence, fair value of financial instruments,
acquisitions, impairments of financial assets, and the
carrying value of goodwill and other intangible assets.
Determination of significant influence
We have applied critical judgement to determine significant
influence in companies in which we hold minority interest
smaller than 20%. Our influence on the financial and
operating policy decisions at some minority interest is more
in line with that in an associate, e.g. veto rights in decisions
on the issuance of new shares and decisions on amendments
to the Articles of Association. For that reason, we classify
these as associates and apply equity accounting instead of
IFRS 9 fair value accounting. For further information, see the
disclosure on Investments in associates using the equity
method.
Determination of fair value
The fair value of financial instruments not traded in an active
market is determined on the basis of cash flow, option and
other valuation models. These models are based on the
market circumstances prevailing at the reporting date.
Estimates mainly relate to future cash flows and discount
rates. For the fair value level classification and more details,
see \u201cRisk management\u201d, under 14, Fair value.
Acquisitions
In the case of acquisitions, it is necessary to determine the
fair value of the acquired assets (including any intangible
assets and goodwill acquired), as well as of liabilities and
obligations not recognised in the statement of financial
position. Estimates are used for this, particularly for those
items not traded on an active market. Management
consideration is also needed to determine the moment of the
change of control and thus the moment of consolidation of
an acquired entity.
Impairments of financial assets
We recognise a loss allowance for expected credit losses
(ECL) on financial assets measured at amortised cost or fair
value through other comprehensive income (OCI), as well as
for financial guarantees and loan commitments. When there
has been no significant deterioration in credit risk since
initial recognition, ECL is recognised based on a 12-month
expected credit losses (Stage 1). When a significant increase
in credit risk has occurred, ECL is recognised based on a
lifetime expected credit losses (Stage 2). For impaired loans
(Stage 3), a lifetime ECL is recognised. The impairments of
financial assets are determined as a critical estimate. For
more information on deterioration in credit risk, see \u201cRisk
management\u201d, under 3.8, Loss allowance for expected credit
losses.
Impairments of goodwill and other intangible assets
We calculate the recoverable amount for each cash-
generating unit (CGU) or group of CGUs as the higher of the
fair value of the asset less costs of disposal and its value in
use. The value-in-use calculation reflects an estimate of
future cash flows, base-case scenario analysis and discount
rates. The fair value less costs of disposal calculation uses
price-earnings multiples of our peer group and future cash
flows are used. Future cash flow estimates are based on our
strategic plans and different types of investigation into
possible trends. Events and factors that could have a
significant impact on these estimates include market
expectations, effects of mergers and acquisitions,
competitive conditions, client behaviour and changes in
client relationships, cost structure, trends in interest rates
and risks, and other circumstances specific to the industry
and sector. We carried out an annual impairment test on
goodwill arising from acquisitions in prior years. For more
information on the assumptions used, see Note\u00a010, Goodwill
and other intangible assets. In addition, an annual test is
carried out for indications of impairment of other intangible
assets with a finite useful life.
Other accounting estimates
Impairments of non-financial assets
The recoverable amount of a non-financial asset is the higher
of the fair value of the asset less costs to sell and its value in
use. This fair value less costs to sell is the price that would be
received on the sale of an asset or paid on the transfer of a
liability in an orderly transaction between market
participants at the valuation date. To determine whether
assets are impaired, the individual assets are allocated to the
lowest level at which cash flows can be identified (cash-
generating units). Non-financial assets that have been
subject to impairment, other than goodwill paid, are
reviewed annually to determine whether the impairment can
be reversed. Non-financial assets, other than goodwill paid,
are tested for impairment annually by assessing whether
there are any indications that these assets are impaired.
Deferred tax assets
Deferred tax assets are recognised only if it is probable that
taxable profits will be realised in the near future against
which these temporary differences can be offset. Estimates
are used when determining future taxable profits, since
these are inherently subject to uncertainty.
Actuarial assumptions for provisions
Pension liabilities are determined using actuarial
calculations. These calculations use assumptions regarding
elements such as the discount rate, future trends in salaries
and returns on investments. These assumptions are subject
to estimation uncertainty. See Note 17, Provisions.
Other provisions
Other provisions are determined on the basis of the most
recent estimates of the expected costs. The timing of the
cash outflow related to these provisions is by nature
uncertain, given the unpredictability of the outcome and
time required to conclude these claims and obligations. In
determining these provisions, where applicable, we take into
consideration the opinion of legal experts", "dimensions": { "concept": "ifrs-full:DisclosureOfAccountingJudgementsAndEstimatesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-590": { "value": "
Determination of fair value
The fair value of financial instruments not traded in an active
market is determined on the basis of cash flow, option and
other valuation models. These models are based on the
market circumstances prevailing at the reporting date.
Estimates mainly relate to future cash flows and discount
rates. For the fair value level classification and more details,
see \u201cRisk management\u201d, under 14, Fair value.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-591": { "value": "
Impairments of financial assets
We recognise a loss allowance for expected credit losses
(ECL) on financial assets measured at amortised cost or fair
value through other comprehensive income (OCI), as well as
for financial guarantees and loan commitments. When there
has been no significant deterioration in credit risk since
initial recognition, ECL is recognised based on a 12-month
expected credit losses (Stage 1). When a significant increase
in credit risk has occurred, ECL is recognised based on a
lifetime expected credit losses (Stage 2). For impaired loans
(Stage 3), a lifetime ECL is recognised. The impairments of
financial assets are determined as a critical estimate. For
more information on deterioration in credit risk, see \u201cRisk
management\u201d, under 3.8, Loss allowance for expected credit
losses.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-592": { "value": "
Impairments of non-financial assets
The recoverable amount of a non-financial asset is the higher
of the fair value of the asset less costs to sell and its value in
use. This fair value less costs to sell is the price that would be
received on the sale of an asset or paid on the transfer of a
liability in an orderly transaction between market
participants at the valuation date. To determine whether
assets are impaired, the individual assets are allocated to the
lowest level at which cash flows can be identified (cash-
generating units). Non-financial assets that have been
subject to impairment, other than goodwill paid, are
reviewed annually to determine whether the impairment can
be reversed. Non-financial assets, other than goodwill paid,
are tested for impairment annually by assessing whether
there are any indications that these assets are impaired.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfNonfinancialAssetsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-594": { "value": "
Basis of consolidation
Subsidiaries
The consolidated financial statements of Van Lanschot
Kempen comprise the financial statements of Van Lanschot
Kempen and its subsidiaries. These have been prepared at
31 December 2023 using accounting policies consistent with
those used in the previous year, and their financial year is
concurrent with the calendar year.
Subsidiaries (including the consolidated structured entities)
are associates in which Van Lanschot Kempen exercises
decisive control. Van Lanschot Kempen has decisive control
over an entity when it has power over that entity and is
exposed to or has rights to variable income from its
involvement in the entity, and is able to use its power over
the entity to influence the entity\u2019s income. The assessment
of control is based on the actual relationship between
Van\u00a0Lanschot Kempen and the entity. Factors taken into
account include existing and potential voting rights. A right is
a material right if its holder is able to exercise that right in
practice.
Van Lanschot Kempen has power over an entity if its existing
and potential voting rights amount to more than 50%. If
these rights amount to less than 50%, Van Lanschot Kempen
determines whether it has power over the entity pursuant to
contractual agreements. In making this assessment, a
distinction is made between substantive and protective
rights. Substantive rights are rights which enable the
decision-making power of an enterprise to be influenced
directly and which give Van Lanschot Kempen decisive
control over an entity. Examples include the right to appoint
and dismiss members of the Management Board, and to set
the level of their remuneration. Protective rights are rights
which protect the interests of an entity in another entity, but
which do not directly confer decision-making powers.
Protective rights do not give Van Lanschot Kempen decisive
control over an entity. When acquiring non-controlling
interests, Van Lanschot Kempen in principle includes only
protective rights in the contractual agreement. These are
rights of approval which enable Van Lanschot Kempen to
protect its minority position without acquiring decision-
making power. Examples of protective rights are rights of
approval in respect of the issue of shares and effecting
significant acquisitions.
Intra-group transactions are eliminated in the consolidation
process. Subsidiaries are consolidated from the date of
incorporation or acquisition, being the date on which
Van\u00a0Lanschot Kempen acquires control, and are
consolidated until the date that such control ceases.
We consolidate interests in investment funds if we have
power over the investment fund and are exposed to or have
rights to variable income stemming from our involvement
and are able to use our power over the investment fund to
influence the variable income. The assessment of control is
based on the actual relationship between Van Lanschot
Kempen and the investment fund. Van Lanschot Kempen
takes into account its interest for its own account and its
own role, or that of one of its group companies, as fund
manager.
In the case of subsidiaries not fully controlled by
Van\u00a0Lanschot Kempen, the non-controlling interest in equity
is presented separately in the consolidated statement of
financial position as a component of total equity. The profit
or loss for the reporting period that can be attributed to the
non-controlling interest is disclosed separately.
Acquisitions
Acquisitions are recognised using the acquisition method.
Accordingly, the cost of an acquisition is allocated to the fair
value of the acquired assets (inclusive of any intangible
assets not previously recognised in the statement of
financial position), liabilities and obligations not recognised
in the statement of financial position.
Goodwill, being the difference between the cost of the
acquisition (including assumed debts) and our interest in the
fair value of acquired assets, liabilities and obligations not
recognised in the statement of financial position at the
acquisition date, is capitalised as an intangible asset. If this
difference is negative (negative goodwill), it is taken directly
to the statement of income. Goodwill is not amortised. For
more information on its valuation, see Note 10, Goodwill and
other intangible assets.
A non-controlling interest in the company acquired is
recognised at the fair value prevailing on the acquisition date
or at the proportionate share in the identifiable assets and
liabilities of the company acquired. Results of companies
acquired are disclosed in the statement of income from the
date at which control is obtained.
Adjustments to the fair value of acquired assets and
liabilities at the acquisition date which are identified within
12 months of the acquisition may lead to adjustment of
goodwill. Adjustments identified after expiry of one year are
disclosed in the statement of income.
On disposal of group companies, the difference between the
sale proceeds and the acquisition cost (including goodwill) is
included in the statement of income together with any
unrealised gain or loss.
Summary of material accounting policies
Foreign currencies
Functional currency
Items in the statement of financial position pertaining to
each group company are stated in the currency of the
economic environment in which the entity operates (i.e. the
functional currency).
Group companies
The assets, liabilities, income and expenses of group
companies that use a functional currency other than the
reporting currency are translated as follows:
\u2013 Assets and liabilities are translated using the closing
exchange rate at the reporting date;
\u2013 Income and expenses are translated using the rate
prevailing on the transaction date;
\u2013 Remaining exchange-related gains or losses are
recognised as a separate component of equity.
Upon consolidation, exchange-related gains or losses arising
from monetary items forming part of a net investment in
foreign subsidiaries are recognised in equity. Exchange-
related gains or losses on borrowings and other items
designated as hedging instruments for such investments are
also recognised in equity.
Transactions and line items
On initial recognition, transactions in foreign currencies are
translated into the functional currency at the exchange rates
prevailing on the transaction date. Translation differences
arising on the settlement of such transactions or on the
translation of monetary assets and liabilities denominated in
foreign currencies are recognised in the statement of
income, except where they are recognised in equity as
qualifying cash flow hedges or qualifying net investment
hedges in foreign subsidiaries.
In general, translation differences in the statement of
income are included in the result on financial transactions.
Translation differences on non-monetary items measured at
fair value through profit or loss are reported as part of the
fair value gain or loss. Non-monetary items are translated
into the reporting currency at the same time as the
determination of their fair value. By translation on the
reporting date, currency translation differences on non-
monetary items measured at fair value through equity are
included in the revaluation reserve in equity.
Non-monetary items not measured at fair value are
translated at the exchange rate prevailing on the original
transaction date.
Recognition of financial assets in the statement of financial
position
Purchases of financial assets designated at fair value
through profit or loss whose value is subject to change, or
financial assets at fair value through other comprehensive
income, or other financial assets at amortised costs, which
are settled according to standard market conventions, are
recognised on the transaction date, i.e. the date on which we
undertake to purchase or sell the asset concerned. Loans and
advances are recognised on the settlement date, i.e. the date
on which we receive the asset.
Derecognition of financial assets and liabilities in the
statement of financial position
Financial assets are derecognised when:
\u2013 Our rights to the cash flows from the asset expire;
\u2013 We have retained the right to receive the cash flows
from an asset, but have an obligation to pay these in full
to a third party under a special agreement;
\u2013 We have transferred our rights to the cash flows from
the asset and have transferred substantially all the risks
and rewards;
\u2013 We have not transferred substantially all the risks and
rewards but have transferred control over the asset.
If we have transferred our rights to the cash flows from an
asset, but have not transferred substantially all the risks and
rewards of the asset and have not transferred control, the
asset is recognised as long as we have continued
involvement in the asset.
A financial liability is derecognised as soon as the obligation
under the liability is discharged, cancelled or expired.
Special purpose entities
We have placed parts of our loan portfolio in special purpose
entities (SPEs), which comprise only covered bond
companies. If we have effective control over an SPE, it is
consolidated. We have control over an entity when we have
power over that entity and are exposed to or have rights to
variable income from our involvement in the entity and are
able to use our power over the entity to influence the
entity\u2019s income.
The accounting principles followed by Van Lanschot Kempen
are applied when consolidating SPEs.
Transfers of financial assets
All or a part of a financial asset is transferred if:
\u2013 The contractual rights to receive the cash flows from
that financial asset are transferred; or
\u2013 The contractual rights to receive the cash flows from
that financial asset are retained, but a contractual
obligation is assumed to pay the cash flows to one or
more recipients under an arrangement.
Derivatives
A derivative is initially recognised at fair value on the
effective date of the contract. After initial recognition, the
derivative is subsequently remeasured at fair value and
changes in value are taken to the statement of income under
Result on financial transactions. Fair values are based on
stock exchange prices, cash flow models, or option and other
valuation models.
Hedge accounting
We use derivatives, such as interest rate swaps, to hedge our
exposure to interest rate risks. The carrying amount of
assets and liabilities which are hedged through fair value
hedging and which would otherwise be recognised at cost is
adjusted for changes in the fair value that can be attributed
to the hedged risks. Any gains or losses arising from changes
in the fair value of derivatives not relating to the hedged
risks are taken directly to the statement of income.
At the inception of a hedge transaction, we formally
designate and document the hedge relationship and the
financial risk management objective when entering into the
hedge transaction. The documentation includes
identification of the hedging instrument, the hedged item or
transaction, the nature of the risk being hedged and how we
will assess the hedging instrument\u2019s effectiveness in
offsetting the exposure to risks.
Hedges that qualify for hedge accounting are recognised as
follows:
Fair value hedges
Fair value hedges are hedges of the exposure to changes in
the fair value of an asset or liability arising as a result of
interest rate changes. Changes in the value of the hedging
instrument are taken to the statement of income.
Any change in the fair value of the hedged item is also
recognised in the statement of income, in so far as the
hedging instrument has been effective in the preceding
period.
A hedge relationship ends if the hedging instrument is sold,
expires or is exercised, or if the hedging transaction no
longer meets the criteria for hedge accounting, with the
remaining value adjustment of the hedged item amortised
through profit or loss until the end of its term.
We apply micro fair value hedge accounting and macro fair
value hedge accounting.
Micro fair value hedges
From 1 January 2022, we have applied hedge accounting for
micro fair value hedges based on IFRS 9. A fair value hedge is
classified as a micro fair value hedge when the hedged item
(or group of items) is a distinctively identifiable asset or
liability hedged by one or a few hedging instruments. Debt
securities at fair value through other comprehensive income
and issued debt securities are hedged for interest rate risk in
a micro fair value hedge. Effectiveness is assessed and
documented on a monthly basis in order to determine that
the hedge has been highly effective throughout the financial
reporting periods for which it was intended. If necessary,
adjustments are made to the hedge relationship.
Macro fair value hedges
We apply macro fair value hedges for fixed rate mortgages.
A portfolio of mortgages is identified comprising
homogeneous loans based on their contractual interest
rates, maturity and other risk characteristics. Mortgages
within the identified portfolio are allocated into repricing
term buckets based on expected repricing dates rather than
contractual repricing dates. The hedging instruments are
designated appropriately to those repricing term buckets.
Such hedges are considered to be effective if we may expect,
both upon inception and during the term of the hedge, that
changes in the fair value or cash flows of the hedged item will
be almost fully offset by changes in the fair value or cash
flows of the hedging instrument, in so far as they relate to
the hedged risk, and the actual outcome is within a range of
80-125%. Effectiveness is assessed and documented on a
monthly basis in order to determine that the hedge has been
highly effective throughout the financial reporting periods
for which it was intended. We apply the EU carve-out on
portfolio fair value hedges.
Cash flow hedges
Cash flow hedges are hedges of the exposure to fluctuations
in the cash flow of an asset, liability or future transaction
arising as a result of interest rate changes and/or inflation.
The portion of the gain or loss on the hedging instrument
that has been determined to be an effective hedge is
recognised directly in equity until the hedged item affects
the statement of income, while the ineffective portion is
recognised in the statement of income.
If the hedging instrument expires or is sold, or if it can no
longer be designated as a hedge, accumulated gains and
losses remain in equity until the expected future transaction
is taken to the statement of income. If the expected future
transaction is no longer likely to take place, the accumulated
result is transferred directly from equity to the statement of
income.
Embedded derivatives
Financial assets with embedded derivatives are considered
in their entirety when determining whether their cash flows
are solely payment of principal and interest.
If the hybrid contract contains a host that is not an asset, the
embedded derivatives are separated from the host contract
and treated as separate derivatives when:
\u2013 The economic characteristics are not closely related to
those of the host contract;
\u2013 A separate instrument with the same terms would meet
the definition of a derivative;
\u2013 The hybrid contract is not measured at fair value through
profit or loss.
Day 1 profit
Discrepancies between the transaction price and the fair
value may arise if valuation techniques are applied at the
time of the transaction. Such a discrepancy is referred to as a
Day 1 profit. Any resulting profit or loss is recognised
directly in the statement of income if the valuation method is
based on observable inputs in an active market. In the event
of unobservable inputs, the gain or loss is amortised over the
term of the transaction.
Netting of financial assets and liabilities
Financial assets and liabilities are netted and presented in
the consolidated financial statements at the net amount
when we have a legally enforceable right to offset the
recognised amounts and there is an intention to settle on a
net basis, or to realise the asset and settle the liability
simultaneously. See 3.7, Risk management.
Statement of financial position
Cash and cash equivalents and balances at central banks
Cash and cash equivalents and balances at central banks
comprise, at nominal value, cash in hand and deposits with a
term of less than three months, investments readily
convertible into a known amount of cash with an
insignificant risk of value changes, balances at central banks
and balances withdrawable on demand at other banks in
respect of which the risk of value changes is insignificant.
The amount due from De Nederlandsche Bank (DNB) arising
from the minimum reserve requirement is also included in
this item, as well as the irrevocable payment commitments
cash collateral regarding the Single Resolution Fund.
Due from banks
Amounts due from banks are initially recognised at fair value
and subsequently at amortised cost using the effective
interest method.
Derivatives
Derivatives are carried at fair value. The positive and
negative values of derivatives are shown separately on the
face of the statement of financial position on the assets side
and the liabilities side, respectively. The values of derivatives
with a positive and negative value, concluded with the same
counterparty, are only netted if the cash flows are settled on
a net basis and this is permitted under law. Changes in the
value of derivatives are taken directly to the line item Result
on financial transactions. If the hedge is completely effective,
the net impact on the statement of income is nil. The
difference, in so far as this remains within the ranges set,
reflects ineffectiveness and is taken to the statement of
income.
Derivatives include:
\u2013 The fair value of derivatives held for trading
Derivatives held for trading include transactions for own
account whereby the aim is to actively sell them in the
short term. Client option positions whereby offsetting
market transactions are conducted for all option
positions held by our clients on a one-on-one basis are
also included in this item;
\u2013 Economic hedges
Economic hedges are derivatives used to manage risks
without applying hedge accounting;
\u2013 Structured product derivatives
Structured product derivatives are instruments to hedge
structured products sold to clients, without application
of hedge accounting;
\u2013 Derivatives with application of hedge accounting
These are derivatives used as hedging instruments in the
application of hedge accounting.
Financial assets at fair value through profit or loss
Assets that do not meet the criteria for amortised cost or fair
value through other comprehensive income (FVOCI) are
measured at fair value through profit or loss (FVPL).
Additionally, any instrument for which the contractual cash
flow characteristics are not solely payments of principal and
interest (SPPI) are measured at FVPL. No restrictions are set
for sales within the fair value through profit or loss portfolio.
Interest earned on these assets is recognised as interest
income under Other interest income. All other realised and
unrealised gains and losses on remeasuring debt instruments
at fair value are recognised under Result on financial
transactions. All realised and unrealised gains and losses on
remeasuring equity instruments at fair value are recognised
under Income from securities and associates.
Financial assets at fair value through profit or loss include
financial assets from trading activities. These are
transactions for our own account whereby the aim is to
actively sell these instruments in the short term. Financial
assets from trading activities consist of the trading portfolio
of both equity instruments and debt instruments. The
financial assets from trading activities are recognised at fair
value with effect from the trade date and value adjustments
are taken to the statement of income under Result on
financial transactions.
Financial assets at fair value through other comprehensive
income
A debt instrument that is held within the hold to collect and
sell business model and meets the SPPI test is measured at
fair value, with fair value adjustments recognised in Other
comprehensive income unless the asset is designated at fair
value through profit or loss. Sales as a result of managing
everyday liquidity needs, maintaining a particular interest
yield profile on the secondary market, or to match the
duration and sales required by regulators, are consistent
with the objective of the hold to collect and sell portfolio.
Under FVOCI, a financial asset is measured at its fair value
and changes in the carrying amount are taken through OCI,
except for the recognition of impairment gains or losses,
interest revenue and foreign exchange gains and losses on
the instrument\u2019s amortised cost which are recognised in the
statement of income. When the financial asset is
derecognised, the cumulative gain or loss previously
recognised in OCI is reclassified from equity to the
statement of income and recognised in Result on financial
transactions. Interest income from these financial assets is
included in Interest income using the effective interest
method.
Loans and advances to the public and private sectors
Loans and advances to the public and private sectors are
initially recognised at fair value plus transaction costs
directly attributable to the acquisition of the financial asset,
and are subsequently amortised using the effective interest
rate method less any allowance for impairment. The loss
allowance for expected credit losses is recognised in the
statement of income.
Other financial assets at amortised cost
A debt instrument that is held within the hold to collect
business model and meets the SPPI test is measured at
amortised cost unless the asset is designated at fair value
through profit or loss. Under this measurement category, the
financial asset is initially recognised at fair value plus
transaction costs that are directly attributable to the
acquisition of the financial asset, and subsequently
recognised at amortised cost less the principal repayments,
plus or minus the cumulative amortisation using the
effective interest method of any difference between that
initial amount and the maturity amount and adjusted for any
impairment allowance. The impairment is recognised in the
statement of income. Interest income from these financial
assets is included in Interest income using the effective
interest rate method.
Investments in associates using the equity method
These investments have been designated by management as
transactions held indefinitely, and as a result of the acquired
control can be classified as investments in associates using
the equity method. These are investments in entities where
we have significant influence but not control. If there is a
change in the equity of the associate, we recognise our share
in this change and include it in Other comprehensive income.
This also applies to results of associates recognised in our
statement of income.
In the first year of investment, investments classified as
investments in associates using the equity method are
recognised at cost, and where applicable are adjusted for any
changes in the value of the associate\u2019s individual receivables
and payables occurring after the acquisition, measured using
the policies applied by Van Lanschot Kempen.
The recoverable amount of the investments in associates
using the equity method is determined each quarter. The
valuation methods applied to assess the carrying value are
the capitalisation method (peer group analysis), the
discounted cash flow method and the disclosed net asset
value method. An impairment is recognised if the
recoverable amount is lower than the carrying amount.
The capitalisation method determines the value of a
business by multiplying the operating profit (EBIT) and the
operating profit before depreciation and amortisation
(EBITDA) by a multiplier factor derived from similar listed
companies (the peer group), if applicable also taking account
of a discount for poor liquidity and minority shareholding.
EBIT and EBITDA are adjusted for one-off items where
applicable.
The discounted cash flow method calculates the enterprise
value by discounting the forecast operational cash flows at a
discount rate for the planning period and a final value based
on the extrapolation of the operating profit.
The discount rate is determined on the basis of the discount
rate of listed companies with a high degree of similarity and
on the specific characteristics of the company. If applicable,
the discounted cash flow method takes account of a discount
for poor liquidity and minority shareholdings.
The company\u2019s net debt is then deducted from the value
resulting from the capitalisation method and/or discounted
cash flow method and multiplied by the share in the capital
structure in order to derive the shareholder value from the
enterprise value.
The disclosed net asset value method determines the value
of a company based on the statement of financial position.
If our share in the associate\u2019s losses is equal to or exceeds
our interest in the associate, no further losses are recognised
unless we have assumed obligations or made payments for
these associates.
Property and equipment
Property and equipment comprise buildings in own use,
right-of-use assets, operation system software and
information technology, communication and safety
equipment, renovation & refurbishment, and furniture and
fixtures. Property and equipment are initially carried at cost
and subsequently measured at historical cost less
accumulated depreciation and accumulated impairments.
The carrying value includes the costs for replacement of part
of the existing property as soon as these costs are incurred,
but excludes day-to-day servicing costs. Depreciation is
calculated on a straight-line basis over the useful life of the
asset.
Lease contracts which we entered into as a lessee are
classified as right-of-use assets. Right-of-use assets are
presented as part of Property and equipment in the
statement of financial position and are measured at cost,
comprising the following:
\u2013 The amount of the initial measurement of the lease
liability;
\u2013 Any lease payments made at or before the
commencement date less any lease incentives received;
\u2013 Any initial direct costs;
\u2013 Restoration costs.
Depreciation is applied using the same method as for wholly-
owned tangible assets.
The recoverable amount of individual property items within
the different CGUs or group of CGUs is determined every
year, irrespective of whether there is any indication of
impairment, and more often if market conditions so dictate.
The recoverable amount is the higher of the fair value less
costs to sell or the value in use. The fair value less costs to
sell is determined by an independent surveyor. If the fair
value less costs to sell is below the carrying amount, the
value in use is determined. This value is calculated using the
value-in-use method. If the value in use is also below the
carrying amount, an impairment is recognised for the
difference between the carrying amount and the higher of
the fair value less costs to sell and the value in use.
Estimated useful life of property and equipment (years)
Buildings
25-40
Right-of-use assets
1-10
Operating system software and IT
3-5
Communication equipment
5
Safety equipment
15
Renovation & refurbishment
10-15
Furniture and fixtures
5-10
Operating system software expenses are capitalised if they
are identifiable, if there is a likelihood that future economic
benefits will flow to Van Lanschot Kempen and if costs can
be measured reliably.
Goodwill and other intangible assets
Goodwill represents the difference between the fair value of
the acquired assets (including intangible assets) and
liabilities, and the purchase price paid (excluding acquisition
costs). Goodwill paid is included in the financial statements
at cost less any accumulated impairment losses. Goodwill
paid is tested for impairment annually or whenever events or
changes in circumstances indicate that the carrying value
may be impaired. An impairment is calculated based on the
difference between the carrying value and the recoverable
amount of the CGU to which the goodwill relates. A CGU\u2019s
recoverable amount is the higher of its fair value less costs of
disposal and its value in use.
The fair value less costs of disposal uses price-earnings
multiples for our peer group and estimated future cash
flows. The value in use is determined by discounting the
future equity cash flows generated by each CGU or group of
CGUs to their net present value using a cost of equity for
each CGU or group of CGUs. If the recoverable amount of a
CGU is lower than its carrying amount, goodwill is impaired.
The impairment is first applied in full to the goodwill and
then pro rata to the individual assets.
Other intangible assets with a finite useful life, such as client
relationships, brand names and application software, are
capitalised at cost and amortised on a straight-line basis over
their respective useful lives. For acquired intangible assets,
an annual useful life test is conducted to assess indications of
impairment. For client relationships, changes in AuM
volumes are assessed. For acquired brand names and
application software, the future continuation of these
intangible assets are evaluated.
Estimated useful life of intangible assets (years)
Client relationships
5-20
Brand names
5-20
Application software
3-5
Tax assets and liabilities
Tax assets and liabilities are stated at face value. Current
and deferred tax assets and liabilities are offset if they relate
to the same tax authority, concern the same type of tax, if it
is permitted under law to offset these tax positions and if the
tax positions are expected to be settled simultaneously.
Deferred taxes are recognised on the face of the statement
of financial position if the valuation of an asset or liability
temporarily differs from the valuation for tax purposes.
Deferred taxes are calculated using the tax rates prevailing
on the reporting date. Deferred tax assets are recognised
only if it is probable that taxable profits will be realised in the
near future against which these temporary differences can
be offset.
Deferred tax assets and liabilities are assessed at every
reporting date and derecognised to the extent necessary.
This derecognition will be reversed if it is probable that
sufficient taxable profits will be available.
Changes in the value of investments at fair value through
other comprehensive income and movements in the value of
derivatives forming part of a cash flow hedge are recognised
in equity net of deferred tax. Deferred tax assets and
liabilities cease to be recognised when these movements in
value are realised. Current tax is taken to the statement of
income on realisation of the movement in value.
Other assets
Other assets comprise interest receivables, commission
receivables and other receivables, and are carried at the
lower of cost or the recoverable amount. This recoverable
amount is the estimated selling or settlement price in the
ordinary course of business less the relevant variable costs
to sell. The recoverable amount less the relevant variable
costs to sell is based on the appraisal value as determined by
an independent surveyor if applicable. Other assets are
initially recognised at fair value excluding transaction costs.
After initial recognition, they are recognised at amortised
cost using the effective interest method.
Due to banks
Amounts due to banks are initially recognised at fair value
excluding transaction costs. After their initial recognition,
they are recognised at amortised cost using the effective
interest method.
Public and private sector liabilities
Public and private sector liabilities are initially recognised at
fair value excluding transaction costs. After their initial
recognition, they are recognised at amortised cost using the
effective interest method.
Financial liabilities at fair value through profit or loss
Financial liabilities at fair value through profit or loss
comprise financial instruments which management believes
should be recognised at fair value through profit or loss
based on one of the following reasons:
\u2013 Designation eliminates or significantly reduces
inconsistencies in measurement and recognition which
would otherwise arise as a result of liabilities being
valued or income and expenses being recognised under
different accounting policies; or
\u2013 The contract in which the financial instrument is included
contains one or more embedded derivatives and the
entire contract is recognised at fair value through profit
or loss. This is only permitted if the embedded derivative
has significant influence on the contractually agreed cash
flows.
The valuation takes account of our own credit risk. Own
credit risk is recognised in equity under the line item Other
reserves. See also Note 21, Total equity. The remaining
amount of change in the fair value of the financial liabilities
at fair value is recognised in Result on financial transactions
and Net interest income for the interest charges on medium
term notes.
Financial liabilities at fair value through profit or loss include
financial liabilities from trading activities. These are
transactions for own account whereby the aim is to
repurchase these instruments in the short term. These
instruments are stated at fair value, with movements in
value recognised in the statement of income under Result on
financial transactions. This line item comprises short
positions on the trading portfolio in both equity instruments
and debt instruments. Recognition is from the date on which
the contract is concluded.
Issued debt securities
Issued debt securities are initially recognised at fair value
excluding transaction costs. After initial recognition, issued
debt securities are carried at amortised cost using the
effective interest method. Repurchase of our own debt
securities is offset in the consolidated financial statements
against the liability; the difference between the cost and the
carrying amount based on the remaining term is taken to the
statement of income.
Provisions
A provision is a liability of uncertain timing or amount. A
provision is included in the statement of financial position if
we have an obligation as a result of a past event, it is
probable that an outflow of resources will be required to
settle the obligation, and a reliable estimate can be made.
Provisions are discounted if the time value of money for the
liability has a material effect. The most material types of
provisions are the provision for pensions, provisions for
long-service benefits and restructuring provisions.
Provision for pensions
We operate defined benefit plans and defined contribution
plans. Under defined contribution plans, contributions to
pension providers are taken to the statement of income as
staff costs. We have no further payment obligations with
respect to defined contribution plans once the contributions
have been paid.
A defined benefit plan is a pension plan which defines the
amount of pension benefit that an employee will receive on
retirement. Factors such as age, years of service and salary
are taken into account when determining the amounts to be
paid. The provision for defined benefit plans is the present
value of the defined benefit obligation at the reporting date
less the fair value of plan assets.
Differences between the expected and actual return on plan
assets, actuarial gains and losses and changes in the effect of
the asset ceiling are recognised directly in equity; net
interest is recognised under Other interest expense in the
statement of income.
Provisions for long-service benefits
Employees receive a bonus to mark a long-service
anniversary of 25 and 40 years. The obligation is calculated
on an actuarial basis.
Restructuring provision
A provision for restructuring is recognised only if the
recognition criteria are met. We have a constructive
obligation if we have a detailed formal restructuring plan
identifying at least the business or part of the business
concerned, the principal locations affected, the number of
employees affected, a detailed estimate of the expenditure
to be undertaken and a suitable timeframe. Employees are
also notified of the main features of the plan.
Other liabilities
Other liabilities are initially recognised at fair value
excluding transaction costs. After their initial recognition,
they are recognised at amortised cost using the effective
interest method.
Lease liabilities are presented in the statement of financial
position as part of Other liabilities. Interest payments and
amortisation in the year are charged to the statement of
income on a straight-line basis over the term of the lease,
and disclosed within the statement of income.
Lease liabilities consist of interest and amortisation
payments and are initially measured at the present value of
the remaining lease payments, discounted using the lessee\u2019s
incremental borrowing rate.
Subordinated loans
Subordinated loans are initially recognised at fair value
excluding transaction costs. After initial recognition, they
are carried at amortised cost. Purchases of our own
subordinated loans are offset against the liability in the
consolidated financial statements. The difference between
cost and the carrying amount based on the remaining term is
taken to the statement of income.
Equity
Direct costs of new share issues are deducted from equity,
taking account of taxes.
If we purchase treasury shares, the purchase price, including
direct transaction costs after tax, is deducted from equity.
Treasury shares that we purchase do not qualify for profit or
dividend and are not included in the calculation of earnings
per share.
Obligations not recognised in the statement of financial
position
This includes obligations that represent a potential credit
risk and where it is either not probable that it will lead to an
outflow of resources or that a reliable estimate can be made.
For the other obligations not recognised in the statement of
financial position, see \u201cCommitments\u201d in the supplementary
notes.
Contingent assets and liabilities and irrevocable
commitments
Contingent liabilities are carried at the contract value and
relate in particular to guarantees and irrevocable letters of
credit. This item consists of unused overdraft facilities, sale
and repurchase commitments, irrevocable payment
commitments for the Single Resolution Fund (SRF)\u00a0and all
other obligations resulting from irrevocable commitments
that could give rise to loans.
Statement of income
General
Revenue is recognised when it is likely that the economic
benefits will flow to Van Lanschot Kempen and the revenue
can be measured reliably. Costs are allocated as far as
possible to the period in which the services were rendered
or to the relevant proceeds.
Net interest income
This item consists of income earned on lending and costs of
borrowing, derivatives, related commission, and other
income/expense similar to interest. The amortisation of
remaining value adjustments on mortgage portfolios of fair
value hedges which expired in the past is presented under
Interest income.
Interest income and interest expense are recognised in the
statement of income on an accrual basis, using the effective
interest method. The effective interest rate is the rate that
exactly discounts estimated cash flows over the life of the
financial instrument, or a shorter period when appropriate,
to the net carrying amount of the financial asset or liability.
When calculating the effective interest rate, we take into
account all contractual terms of the financial instrument (for
example early repayment) but not future losses due to
uncollectible amounts.
Negative interest paid is recognised under Interest income,
and negative interest received is recognised under Interest
expense.
Income from securities and associates
All dividends received from investments in equity
instruments are recognised directly in the statement of
income under Other income from securities and associates
when they are made payable. Our share in the results of
equity-valued associates is recognised under Income from
securities and associates using the equity method. Dividends
received are deducted from the carrying amount of the
equity-valued associate. Due to the fact that these
investments in associates using the equity method are part
of our investment strategy, we present income from these as
part of our operating activities. This line item also includes
results realised on the sale of associates using the equity
method, which are recognised upon closing of the
transaction.
Net commission income
This item comprises the income, other than income similar to
interest, earned on wealth management services provided to
third parties. It also includes fees charged to managed
investment funds. Commission paid to third parties is
accounted for as commission expense. We receive
commission for the wide range of services we provide to
clients. This can be divided into commission on a transaction
basis and periodic commission charged to the client during
the year.
Commission on a transaction basis
Commission income on a transaction basis is recognised in
the periods in which we provide the services. Transaction
commission for which we only provide a service on the
transaction date (e.g. commission on buying and selling
shares) is taken directly to the statement of income.
Transaction commission for which we have to provide a
service in the future (e.g. commission on structured
products) forms part of the amortised cost and is recognised
in the statement of income over the expected term of the
instrument.
Periodic commission
Periodic commission (e.g. management fees) is recognised in
the statement of income in the period in which the services
are provided.
Result on financial transactions
Result on securities trading includes realised and unrealised
value differences on gains and losses on financial
instruments relating to the securities trading portfolio.
Exchange and price gains and losses on trading in other
financial instruments are recognised under Result on foreign
currency trading. Gains and losses due to ineffectiveness in
hedge accounting are recognised under Unrealised gains/
losses on derivatives under hedge accounting. When
financial assets at fair value through OCI are derecognised,
the cumulative gain or loss is reclassified to Realised gains or
losses on financial assets at fair value through other
comprehensive income. Result on economic hedges includes
realised and unrealised gains and losses on derivatives that
are not included in a hedge accounting model. Result on
financial instruments at fair value through profit or loss
comprises unrealised value differences and interest
expenses on financial liabilities at fair value through profit or
loss with the exception of the interest charges on medium
term notes, which are recognised under Net interest income.
Other income
Other income comprises income from categories not listed
above, for example income resulting from the consolidation
of non-banking subsidiaries.
Staff costs
Staff costs comprise wages and salaries, pension and early
retirement costs, other social security costs and other staff
costs such as remuneration in the form of share-based
employee benefits.
Share-based payments
Employees may be eligible to receive remuneration in the
form of share-based payments. The cost of equity-settled
transactions with employees is measured by reference to the
fair value at the date on which the equity instruments are
granted. The fair value is determined based on the share
price on the grant date, taking into account the discounted
value of expected dividends over the vesting period. The
cost of equity-settled transactions is recognised, together
with a corresponding increase in equity, in the period in
which the employee\u2019s performance criteria are fulfilled,
ending on the date on which the employee becomes fully
entitled to the award (the vesting date).
Partnership plan and partnership investment incentive
The partnership plan is a participation plan that allows key
senior staff to contribute to and participate in the success of
Van Lanschot Kempen. Its purpose is to anchor leadership
more broadly in our organisation, to further encourage
ownership and entrepreneurial spirit, and to create more
long-term alignment with our shareholders and clients.
Partners' contributions remain in the partnership during
their full tenure as a partner. Partners receive a discount of
18.5% as their interest is subject to a lock-up period of five
years. This discount is accounted for as an equity-settled
share-based payment, and it is recognised immediately as an
expense, with a corresponding increase in equity.
The purpose of the partnership investment incentive is to
enhance return perspectives. If awarded, a partnership
investment incentive will apply with respect to the
contributions made in the relevant contribution round for
five financial years and will be calculated at the end of each
of those years in accordance with the partnership
investment incentive formula. Since the entitlement to the
partnership investment incentive for a financial year is
subject to continued service until the end of the financial
year and the actual performance achieved, the estimated
cost is recognised over the relevant vesting period.
The partnership investment incentive will be paid to
partners in two components: 70% in Van Lanschot Kempen
shares and 30% in cash. The portion settled in shares is
accounted for as an equity-settled share-based payment and
the portion settled in cash is accounted for as a long-term
employee benefit.
Other administrative expenses
Other administrative expenses are allocated to the period in
which the products and services are delivered.
Depreciation and amortisation
Depreciation and amortisation costs are determined on the
basis of estimated useful life and charged to the statement of
income.
Impairments
This item comprises the balance of the required impairments
and reversals of such impairments, including those on
financial instruments, on investments in associates using the
equity method, on property and equipment, and on goodwill
and other intangible assets.
Income tax
Tax on operating profit is recognised in the statement of
income in accordance with applicable tax law in the
jurisdictions in which we operate. Tax effects of any losses
incurred in certain jurisdictions are recognised as assets
when it is probable that sufficient future profits will be
available in the relevant jurisdiction against which these
losses can be offset.
Earnings per ordinary share
Earnings per ordinary share are calculated by dividing the
profit for the year available to ordinary shareholders by the
weighted average number of ordinary shares outstanding
during the period. Diluted earnings per ordinary share are
calculated by dividing the profit available to ordinary
shareholders by the weighted average number of ordinary
shares outstanding during the period, adjusted for possible
dilution as a result of, for example, outstanding option rights.
Statement of cash flows
The statement of cash flows is prepared using the indirect
method. It distinguishes between cash flows from operating,
investing and financing activities. Cash flows from operating
activities include net changes in loans and advances,
deposits from/with banks, public and private sector
liabilities, and dividends received from investments in equity
instruments. Investing activities include acquisition,
redemption and sales of debt instruments, equity
investments, associates using the equity method, property
and equipment, goodwill and other intangible assets, and
dividend received from investments in associates using the
equity method. Financing activities include issues and
repayments of share plans, debt instruments and issued debt
securities, and dividends and capital returns paid to
shareholders. Cash and cash equivalents comprise, at face
value, all cash in hand, balances at central banks and
balances withdrawable on demand at other banks. Investing
and financing transactions that do not require the use of
cash or cash equivalents are excluded from the statement of
cash flows.
Segment information
The different operating segments form the basis for our
primary segmentation. An operating segment is a business
unit that can earn revenues and incur expenses and whose
operating results are regularly reviewed by management or
the chief operating decision maker and for which discrete
financial information is available. Additional information is
reported geographically based on where the business
activities are located. Intra-segment transactions are
conducted on commercial terms and market conditions (at
arm\u2019s length).
", "dimensions": { "concept": "ifrs-full:DisclosureOfMaterialAccountingPolicyInformationExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-593": { "value": "
Basis of consolidation
Subsidiaries
The consolidated financial statements of Van Lanschot
Kempen comprise the financial statements of Van Lanschot
Kempen and its subsidiaries. These have been prepared at
31 December 2023 using accounting policies consistent with
those used in the previous year, and their financial year is
concurrent with the calendar year.
Subsidiaries (including the consolidated structured entities)
are associates in which Van Lanschot Kempen exercises
decisive control. Van Lanschot Kempen has decisive control
over an entity when it has power over that entity and is
exposed to or has rights to variable income from its
involvement in the entity, and is able to use its power over
the entity to influence the entity\u2019s income. The assessment
of control is based on the actual relationship between
Van\u00a0Lanschot Kempen and the entity. Factors taken into
account include existing and potential voting rights. A right is
a material right if its holder is able to exercise that right in
practice.
Van Lanschot Kempen has power over an entity if its existing
and potential voting rights amount to more than 50%. If
these rights amount to less than 50%, Van Lanschot Kempen
determines whether it has power over the entity pursuant to
contractual agreements. In making this assessment, a
distinction is made between substantive and protective
rights. Substantive rights are rights which enable the
decision-making power of an enterprise to be influenced
directly and which give Van Lanschot Kempen decisive
control over an entity. Examples include the right to appoint
and dismiss members of the Management Board, and to set
the level of their remuneration. Protective rights are rights
which protect the interests of an entity in another entity, but
which do not directly confer decision-making powers.
Protective rights do not give Van Lanschot Kempen decisive
control over an entity. When acquiring non-controlling
interests, Van Lanschot Kempen in principle includes only
protective rights in the contractual agreement. These are
rights of approval which enable Van Lanschot Kempen to
protect its minority position without acquiring decision-
making power. Examples of protective rights are rights of
approval in respect of the issue of shares and effecting
significant acquisitions.
Intra-group transactions are eliminated in the consolidation
process. Subsidiaries are consolidated from the date of
incorporation or acquisition, being the date on which
Van\u00a0Lanschot Kempen acquires control, and are
consolidated until the date that such control ceases.
We consolidate interests in investment funds if we have
power over the investment fund and are exposed to or have
rights to variable income stemming from our involvement
and are able to use our power over the investment fund to
influence the variable income. The assessment of control is
based on the actual relationship between Van Lanschot
Kempen and the investment fund. Van Lanschot Kempen
takes into account its interest for its own account and its
own role, or that of one of its group companies, as fund
manager.
In the case of subsidiaries not fully controlled by
Van\u00a0Lanschot Kempen, the non-controlling interest in equity
is presented separately in the consolidated statement of
financial position as a component of total equity. The profit
or loss for the reporting period that can be attributed to the
non-controlling interest is disclosed separately.
Acquisitions
Acquisitions are recognised using the acquisition method.
Accordingly, the cost of an acquisition is allocated to the fair
value of the acquired assets (inclusive of any intangible
assets not previously recognised in the statement of
financial position), liabilities and obligations not recognised
in the statement of financial position.
Goodwill, being the difference between the cost of the
acquisition (including assumed debts) and our interest in the
fair value of acquired assets, liabilities and obligations not
recognised in the statement of financial position at the
acquisition date, is capitalised as an intangible asset. If this
difference is negative (negative goodwill), it is taken directly
to the statement of income. Goodwill is not amortised. For
more information on its valuation, see Note 10, Goodwill and
other intangible assets.
A non-controlling interest in the company acquired is
recognised at the fair value prevailing on the acquisition date
or at the proportionate share in the identifiable assets and
liabilities of the company acquired. Results of companies
acquired are disclosed in the statement of income from the
date at which control is obtained.
Adjustments to the fair value of acquired assets and
liabilities at the acquisition date which are identified within
12 months of the acquisition may lead to adjustment of
goodwill. Adjustments identified after expiry of one year are
disclosed in the statement of income.
On disposal of group companies, the difference between the
sale proceeds and the acquisition cost (including goodwill) is
included in the statement of income together with any
unrealised gain or loss.
", "dimensions": { "concept": "ifrs-full:DisclosureOfBasisOfConsolidationExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-595": { "value": "
Subsidiaries
The consolidated financial statements of Van Lanschot
Kempen comprise the financial statements of Van Lanschot
Kempen and its subsidiaries. These have been prepared at
31 December 2023 using accounting policies consistent with
those used in the previous year, and their financial year is
concurrent with the calendar year.
Subsidiaries (including the consolidated structured entities)
are associates in which Van Lanschot Kempen exercises
decisive control. Van Lanschot Kempen has decisive control
over an entity when it has power over that entity and is
exposed to or has rights to variable income from its
involvement in the entity, and is able to use its power over
the entity to influence the entity\u2019s income. The assessment
of control is based on the actual relationship between
Van\u00a0Lanschot Kempen and the entity. Factors taken into
account include existing and potential voting rights. A right is
a material right if its holder is able to exercise that right in
practice.
Van Lanschot Kempen has power over an entity if its existing
and potential voting rights amount to more than 50%. If
these rights amount to less than 50%, Van Lanschot Kempen
determines whether it has power over the entity pursuant to
contractual agreements. In making this assessment, a
distinction is made between substantive and protective
rights. Substantive rights are rights which enable the
decision-making power of an enterprise to be influenced
directly and which give Van Lanschot Kempen decisive
control over an entity. Examples include the right to appoint
and dismiss members of the Management Board, and to set
the level of their remuneration. Protective rights are rights
which protect the interests of an entity in another entity, but
which do not directly confer decision-making powers.
Protective rights do not give Van Lanschot Kempen decisive
control over an entity. When acquiring non-controlling
interests, Van Lanschot Kempen in principle includes only
protective rights in the contractual agreement. These are
rights of approval which enable Van Lanschot Kempen to
protect its minority position without acquiring decision-
making power. Examples of protective rights are rights of
approval in respect of the issue of shares and effecting
significant acquisitions.
Intra-group transactions are eliminated in the consolidation
process. Subsidiaries are consolidated from the date of
incorporation or acquisition, being the date on which
Van\u00a0Lanschot Kempen acquires control, and are
consolidated until the date that such control ceases.
We consolidate interests in investment funds if we have
power over the investment fund and are exposed to or have
rights to variable income stemming from our involvement
and are able to use our power over the investment fund to
influence the variable income. The assessment of control is
based on the actual relationship between Van Lanschot
Kempen and the investment fund. Van Lanschot Kempen
takes into account its interest for its own account and its
own role, or that of one of its group companies, as fund
manager.
In the case of subsidiaries not fully controlled by
Van\u00a0Lanschot Kempen, the non-controlling interest in equity
is presented separately in the consolidated statement of
financial position as a component of total equity. The profit
or loss for the reporting period that can be attributed to the
non-controlling interest is disclosed separately.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSubsidiariesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-596": { "value": "
Acquisitions
Acquisitions are recognised using the acquisition method.
Accordingly, the cost of an acquisition is allocated to the fair
value of the acquired assets (inclusive of any intangible
assets not previously recognised in the statement of
financial position), liabilities and obligations not recognised
in the statement of financial position.
Goodwill, being the difference between the cost of the
acquisition (including assumed debts) and our interest in the
fair value of acquired assets, liabilities and obligations not
recognised in the statement of financial position at the
acquisition date, is capitalised as an intangible asset. If this
difference is negative (negative goodwill), it is taken directly
to the statement of income. Goodwill is not amortised. For
more information on its valuation, see Note 10, Goodwill and
other intangible assets.
A non-controlling interest in the company acquired is
recognised at the fair value prevailing on the acquisition date
or at the proportionate share in the identifiable assets and
liabilities of the company acquired. Results of companies
acquired are disclosed in the statement of income from the
date at which control is obtained.
Adjustments to the fair value of acquired assets and
liabilities at the acquisition date which are identified within
12 months of the acquisition may lead to adjustment of
goodwill. Adjustments identified after expiry of one year are
disclosed in the statement of income.
On disposal of group companies, the difference between the
sale proceeds and the acquisition cost (including goodwill) is
included in the statement of income together with any
unrealised gain or loss.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsAndGoodwillExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-597": { "value": "
Acquisitions
Acquisitions are recognised using the acquisition method.
Accordingly, the cost of an acquisition is allocated to the fair
value of the acquired assets (inclusive of any intangible
assets not previously recognised in the statement of
financial position), liabilities and obligations not recognised
in the statement of financial position.
A non-controlling interest in the company acquired is
recognised at the fair value prevailing on the acquisition date
or at the proportionate share in the identifiable assets and
liabilities of the company acquired. Results of companies
acquired are disclosed in the statement of income from the
date at which control is obtained.
Adjustments to the fair value of acquired assets and
liabilities at the acquisition date which are identified within
12 months of the acquisition may lead to adjustment of
goodwill. Adjustments identified after expiry of one year are
disclosed in the statement of income.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-598": { "value": "
Goodwill, being the difference between the cost of the
acquisition (including assumed debts) and our interest in the
fair value of acquired assets, liabilities and obligations not
recognised in the statement of financial position at the
acquisition date, is capitalised as an intangible asset. If this
difference is negative (negative goodwill), it is taken directly
to the statement of income. Goodwill is not amortised. For
more information on its valuation, see Note 10, Goodwill and
other intangible assets.
Goodwill and other intangible assets
Goodwill represents the difference between the fair value of
the acquired assets (including intangible assets) and
liabilities, and the purchase price paid (excluding acquisition
costs). Goodwill paid is included in the financial statements
at cost less any accumulated impairment losses. Goodwill
paid is tested for impairment annually or whenever events or
changes in circumstances indicate that the carrying value
may be impaired. An impairment is calculated based on the
difference between the carrying value and the recoverable
amount of the CGU to which the goodwill relates. A CGU\u2019s
recoverable amount is the higher of its fair value less costs of
disposal and its value in use.
The fair value less costs of disposal uses price-earnings
multiples for our peer group and estimated future cash
flows. The value in use is determined by discounting the
future equity cash flows generated by each CGU or group of
CGUs to their net present value using a cost of equity for
each CGU or group of CGUs. If the recoverable amount of a
CGU is lower than its carrying amount, goodwill is impaired.
The impairment is first applied in full to the goodwill and
then pro rata to the individual assets.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForGoodwillExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-599": { "value": "
On disposal of group companies, the difference between the
sale proceeds and the acquisition cost (including goodwill) is
included in the statement of income together with any
unrealised gain or loss.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDiscontinuedOperationsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-600": { "value": "
Transactions and line items
On initial recognition, transactions in foreign currencies are
translated into the functional currency at the exchange rates
prevailing on the transaction date. Translation differences
arising on the settlement of such transactions or on the
translation of monetary assets and liabilities denominated in
foreign currencies are recognised in the statement of
income, except where they are recognised in equity as
qualifying cash flow hedges or qualifying net investment
hedges in foreign subsidiaries.
In general, translation differences in the statement of
income are included in the result on financial transactions.
Translation differences on non-monetary items measured at
fair value through profit or loss are reported as part of the
fair value gain or loss. Non-monetary items are translated
into the reporting currency at the same time as the
determination of their fair value. By translation on the
reporting date, currency translation differences on non-
monetary items measured at fair value through equity are
included in the revaluation reserve in equity.
Non-monetary items not measured at fair value are
translated at the exchange rate prevailing on the original
transaction date.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForForeignCurrencyTranslationExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-602": { "value": "
Derecognition of financial assets and liabilities in the
statement of financial position
Financial assets are derecognised when:
\u2013 Our rights to the cash flows from the asset expire;
\u2013 We have retained the right to receive the cash flows
from an asset, but have an obligation to pay these in full
to a third party under a special agreement;
\u2013 We have transferred our rights to the cash flows from
the asset and have transferred substantially all the risks
and rewards;
\u2013 We have not transferred substantially all the risks and
rewards but have transferred control over the asset.
If we have transferred our rights to the cash flows from an
asset, but have not transferred substantially all the risks and
rewards of the asset and have not transferred control, the
asset is recognised as long as we have continued
involvement in the asset.
A financial liability is derecognised as soon as the obligation
under the liability is discharged, cancelled or expired.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerecognitionOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-601": { "value": "
Derecognition of financial assets and liabilities in the
statement of financial position
Financial assets are derecognised when:
\u2013 Our rights to the cash flows from the asset expire;
\u2013 We have retained the right to receive the cash flows
from an asset, but have an obligation to pay these in full
to a third party under a special agreement;
\u2013 We have transferred our rights to the cash flows from
the asset and have transferred substantially all the risks
and rewards;
\u2013 We have not transferred substantially all the risks and
rewards but have transferred control over the asset.
If we have transferred our rights to the cash flows from an
asset, but have not transferred substantially all the risks and
rewards of the asset and have not transferred control, the
asset is recognised as long as we have continued
involvement in the asset.
Financial assets at fair value through profit or loss
Assets that do not meet the criteria for amortised cost or fair
value through other comprehensive income (FVOCI) are
measured at fair value through profit or loss (FVPL).
Additionally, any instrument for which the contractual cash
flow characteristics are not solely payments of principal and
interest (SPPI) are measured at FVPL. No restrictions are set
for sales within the fair value through profit or loss portfolio.
Interest earned on these assets is recognised as interest
income under Other interest income. All other realised and
unrealised gains and losses on remeasuring debt instruments
at fair value are recognised under Result on financial
transactions. All realised and unrealised gains and losses on
remeasuring equity instruments at fair value are recognised
under Income from securities and associates.
Financial assets at fair value through profit or loss include
financial assets from trading activities. These are
transactions for our own account whereby the aim is to
actively sell these instruments in the short term. Financial
assets from trading activities consist of the trading portfolio
of both equity instruments and debt instruments. The
financial assets from trading activities are recognised at fair
value with effect from the trade date and value adjustments
are taken to the statement of income under Result on
financial transactions.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialAssetsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-603": { "value": "
A financial liability is derecognised as soon as the obligation
under the liability is discharged, cancelled or expired
Financial liabilities at fair value through profit or loss
Financial liabilities at fair value through profit or loss
comprise financial instruments which management believes
should be recognised at fair value through profit or loss
based on one of the following reasons:
\u2013 Designation eliminates or significantly reduces
inconsistencies in measurement and recognition which
would otherwise arise as a result of liabilities being
valued or income and expenses being recognised under
different accounting policies; or
\u2013 The contract in which the financial instrument is included
contains one or more embedded derivatives and the
entire contract is recognised at fair value through profit
or loss. This is only permitted if the embedded derivative
has significant influence on the contractually agreed cash
flows.
The valuation takes account of our own credit risk. Own
credit risk is recognised in equity under the line item Other
reserves. See also Note 21, Total equity. The remaining
amount of change in the fair value of the financial liabilities
at fair value is recognised in Result on financial transactions
and Net interest income for the interest charges on medium
term notes.
Financial liabilities at fair value through profit or loss include
financial liabilities from trading activities. These are
transactions for own account whereby the aim is to
repurchase these instruments in the short term. These
instruments are stated at fair value, with movements in
value recognised in the statement of income under Result on
financial transactions. This line item comprises short
positions on the trading portfolio in both equity instruments
and debt instruments. Recognition is from the date on which
the contract is concluded.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-605": { "value": "
Derivatives
A derivative is initially recognised at fair value on the
effective date of the contract. After initial recognition, the
derivative is subsequently remeasured at fair value and
changes in value are taken to the statement of income under
Result on financial transactions. Fair values are based on
stock exchange prices, cash flow models, or option and other
valuation models.
Hedge accounting
We use derivatives, such as interest rate swaps, to hedge our
exposure to interest rate risks. The carrying amount of
assets and liabilities which are hedged through fair value
hedging and which would otherwise be recognised at cost is
adjusted for changes in the fair value that can be attributed
to the hedged risks. Any gains or losses arising from changes
in the fair value of derivatives not relating to the hedged
risks are taken directly to the statement of income.
At the inception of a hedge transaction, we formally
designate and document the hedge relationship and the
financial risk management objective when entering into the
hedge transaction. The documentation includes
identification of the hedging instrument, the hedged item or
transaction, the nature of the risk being hedged and how we
will assess the hedging instrument\u2019s effectiveness in
offsetting the exposure to risks.
Hedges that qualify for hedge accounting are recognised as
follows:
Fair value hedges
Fair value hedges are hedges of the exposure to changes in
the fair value of an asset or liability arising as a result of
interest rate changes. Changes in the value of the hedging
instrument are taken to the statement of income.
Any change in the fair value of the hedged item is also
recognised in the statement of income, in so far as the
hedging instrument has been effective in the preceding
period.
A hedge relationship ends if the hedging instrument is sold,
expires or is exercised, or if the hedging transaction no
longer meets the criteria for hedge accounting, with the
remaining value adjustment of the hedged item amortised
through profit or loss until the end of its term.
We apply micro fair value hedge accounting and macro fair
value hedge accounting.
Micro fair value hedges
From 1 January 2022, we have applied hedge accounting for
micro fair value hedges based on IFRS 9. A fair value hedge is
classified as a micro fair value hedge when the hedged item
(or group of items) is a distinctively identifiable asset or
liability hedged by one or a few hedging instruments. Debt
securities at fair value through other comprehensive income
and issued debt securities are hedged for interest rate risk in
a micro fair value hedge. Effectiveness is assessed and
documented on a monthly basis in order to determine that
the hedge has been highly effective throughout the financial
reporting periods for which it was intended. If necessary,
adjustments are made to the hedge relationship.
Macro fair value hedges
We apply macro fair value hedges for fixed rate mortgages.
A portfolio of mortgages is identified comprising
homogeneous loans based on their contractual interest
rates, maturity and other risk characteristics. Mortgages
within the identified portfolio are allocated into repricing
term buckets based on expected repricing dates rather than
contractual repricing dates. The hedging instruments are
designated appropriately to those repricing term buckets.
Such hedges are considered to be effective if we may expect,
both upon inception and during the term of the hedge, that
changes in the fair value or cash flows of the hedged item will
be almost fully offset by changes in the fair value or cash
flows of the hedging instrument, in so far as they relate to
the hedged risk, and the actual outcome is within a range of
80-125%. Effectiveness is assessed and documented on a
monthly basis in order to determine that the hedge has been
highly effective throughout the financial reporting periods
for which it was intended. We apply the EU carve-out on
portfolio fair value hedges.
Cash flow hedges
Cash flow hedges are hedges of the exposure to fluctuations
in the cash flow of an asset, liability or future transaction
arising as a result of interest rate changes and/or inflation.
The portion of the gain or loss on the hedging instrument
that has been determined to be an effective hedge is
recognised directly in equity until the hedged item affects
the statement of income, while the ineffective portion is
recognised in the statement of income.
If the hedging instrument expires or is sold, or if it can no
longer be designated as a hedge, accumulated gains and
losses remain in equity until the expected future transaction
is taken to the statement of income. If the expected future
transaction is no longer likely to take place, the accumulated
result is transferred directly from equity to the statement of
income.
Embedded derivatives
Financial assets with embedded derivatives are considered
in their entirety when determining whether their cash flows
are solely payment of principal and interest.
If the hybrid contract contains a host that is not an asset, the
embedded derivatives are separated from the host contract
and treated as separate derivatives when:
\u2013 The economic characteristics are not closely related to
those of the host contract;
\u2013 A separate instrument with the same terms would meet
the definition of a derivative;
\u2013 The hybrid contract is not measured at fair value through
profit or loss.
Day 1 profit
Discrepancies between the transaction price and the fair
value may arise if valuation techniques are applied at the
time of the transaction. Such a discrepancy is referred to as a
Day 1 profit. Any resulting profit or loss is recognised
directly in the statement of income if the valuation method is
based on observable inputs in an active market. In the event
of unobservable inputs, the gain or loss is amortised over the
term of the transaction.
Derivatives
Derivatives are carried at fair value. The positive and
negative values of derivatives are shown separately on the
face of the statement of financial position on the assets side
and the liabilities side, respectively. The values of derivatives
with a positive and negative value, concluded with the same
counterparty, are only netted if the cash flows are settled on
a net basis and this is permitted under law. Changes in the
value of derivatives are taken directly to the line item Result
on financial transactions. If the hedge is completely effective,
the net impact on the statement of income is nil. The
difference, in so far as this remains within the ranges set,
reflects ineffectiveness and is taken to the statement of
income.
Derivatives include:
\u2013 The fair value of derivatives held for trading
Derivatives held for trading include transactions for own
account whereby the aim is to actively sell them in the
short term. Client option positions whereby offsetting
market transactions are conducted for all option
positions held by our clients on a one-on-one basis are
also included in this item;
\u2013 Economic hedges
Economic hedges are derivatives used to manage risks
without applying hedge accounting;
\u2013 Structured product derivatives
Structured product derivatives are instruments to hedge
structured products sold to clients, without application
of hedge accounting;
\u2013 Derivatives with application of hedge accounting
These are derivatives used as hedging instruments in the
application of hedge accounting.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-604": { "value": "
Derivatives
A derivative is initially recognised at fair value on the
effective date of the contract. After initial recognition, the
derivative is subsequently remeasured at fair value and
changes in value are taken to the statement of income under
Result on financial transactions. Fair values are based on
stock exchange prices, cash flow models, or option and other
valuation models.
Hedge accounting
We use derivatives, such as interest rate swaps, to hedge our
exposure to interest rate risks. The carrying amount of
assets and liabilities which are hedged through fair value
hedging and which would otherwise be recognised at cost is
adjusted for changes in the fair value that can be attributed
to the hedged risks. Any gains or losses arising from changes
in the fair value of derivatives not relating to the hedged
risks are taken directly to the statement of income.
At the inception of a hedge transaction, we formally
designate and document the hedge relationship and the
financial risk management objective when entering into the
hedge transaction. The documentation includes
identification of the hedging instrument, the hedged item or
transaction, the nature of the risk being hedged and how we
will assess the hedging instrument\u2019s effectiveness in
offsetting the exposure to risks.
Hedges that qualify for hedge accounting are recognised as
follows:
Fair value hedges
Fair value hedges are hedges of the exposure to changes in
the fair value of an asset or liability arising as a result of
interest rate changes. Changes in the value of the hedging
instrument are taken to the statement of income.
Any change in the fair value of the hedged item is also
recognised in the statement of income, in so far as the
hedging instrument has been effective in the preceding
period.
A hedge relationship ends if the hedging instrument is sold,
expires or is exercised, or if the hedging transaction no
longer meets the criteria for hedge accounting, with the
remaining value adjustment of the hedged item amortised
through profit or loss until the end of its term.
We apply micro fair value hedge accounting and macro fair
value hedge accounting.
Micro fair value hedges
From 1 January 2022, we have applied hedge accounting for
micro fair value hedges based on IFRS 9. A fair value hedge is
classified as a micro fair value hedge when the hedged item
(or group of items) is a distinctively identifiable asset or
liability hedged by one or a few hedging instruments. Debt
securities at fair value through other comprehensive income
and issued debt securities are hedged for interest rate risk in
a micro fair value hedge. Effectiveness is assessed and
documented on a monthly basis in order to determine that
the hedge has been highly effective throughout the financial
reporting periods for which it was intended. If necessary,
adjustments are made to the hedge relationship.
Macro fair value hedges
We apply macro fair value hedges for fixed rate mortgages.
A portfolio of mortgages is identified comprising
homogeneous loans based on their contractual interest
rates, maturity and other risk characteristics. Mortgages
within the identified portfolio are allocated into repricing
term buckets based on expected repricing dates rather than
contractual repricing dates. The hedging instruments are
designated appropriately to those repricing term buckets.
Such hedges are considered to be effective if we may expect,
both upon inception and during the term of the hedge, that
changes in the fair value or cash flows of the hedged item will
be almost fully offset by changes in the fair value or cash
flows of the hedging instrument, in so far as they relate to
the hedged risk, and the actual outcome is within a range of
80-125%. Effectiveness is assessed and documented on a
monthly basis in order to determine that the hedge has been
highly effective throughout the financial reporting periods
for which it was intended. We apply the EU carve-out on
portfolio fair value hedges.
Cash flow hedges
Cash flow hedges are hedges of the exposure to fluctuations
in the cash flow of an asset, liability or future transaction
arising as a result of interest rate changes and/or inflation.
The portion of the gain or loss on the hedging instrument
that has been determined to be an effective hedge is
recognised directly in equity until the hedged item affects
the statement of income, while the ineffective portion is
recognised in the statement of income.
If the hedging instrument expires or is sold, or if it can no
longer be designated as a hedge, accumulated gains and
losses remain in equity until the expected future transaction
is taken to the statement of income. If the expected future
transaction is no longer likely to take place, the accumulated
result is transferred directly from equity to the statement of
income.
Embedded derivatives
Financial assets with embedded derivatives are considered
in their entirety when determining whether their cash flows
are solely payment of principal and interest.
If the hybrid contract contains a host that is not an asset, the
embedded derivatives are separated from the host contract
and treated as separate derivatives when:
\u2013 The economic characteristics are not closely related to
those of the host contract;
\u2013 A separate instrument with the same terms would meet
the definition of a derivative;
\u2013 The hybrid contract is not measured at fair value through
profit or loss.
Day 1 profit
Discrepancies between the transaction price and the fair
value may arise if valuation techniques are applied at the
time of the transaction. Such a discrepancy is referred to as a
Day 1 profit. Any resulting profit or loss is recognised
directly in the statement of income if the valuation method is
based on observable inputs in an active market. In the event
of unobservable inputs, the gain or loss is amortised over the
term of the transaction.
Derivatives
Derivatives are carried at fair value. The positive and
negative values of derivatives are shown separately on the
face of the statement of financial position on the assets side
and the liabilities side, respectively. The values of derivatives
with a positive and negative value, concluded with the same
counterparty, are only netted if the cash flows are settled on
a net basis and this is permitted under law. Changes in the
value of derivatives are taken directly to the line item Result
on financial transactions. If the hedge is completely effective,
the net impact on the statement of income is nil. The
difference, in so far as this remains within the ranges set,
reflects ineffectiveness and is taken to the statement of
income.
Derivatives include:
\u2013 The fair value of derivatives held for trading
Derivatives held for trading include transactions for own
account whereby the aim is to actively sell them in the
short term. Client option positions whereby offsetting
market transactions are conducted for all option
positions held by our clients on a one-on-one basis are
also included in this item;
\u2013 Economic hedges
Economic hedges are derivatives used to manage risks
without applying hedge accounting;
\u2013 Structured product derivatives
Structured product derivatives are instruments to hedge
structured products sold to clients, without application
of hedge accounting;
\u2013 Derivatives with application of hedge accounting
These are derivatives used as hedging instruments in the
application of hedge accounting.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsAndHedgingExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-606": { "value": "
Hedge accounting
We use derivatives, such as interest rate swaps, to hedge our
exposure to interest rate risks. The carrying amount of
assets and liabilities which are hedged through fair value
hedging and which would otherwise be recognised at cost is
adjusted for changes in the fair value that can be attributed
to the hedged risks. Any gains or losses arising from changes
in the fair value of derivatives not relating to the hedged
risks are taken directly to the statement of income.
At the inception of a hedge transaction, we formally
designate and document the hedge relationship and the
financial risk management objective when entering into the
hedge transaction. The documentation includes
identification of the hedging instrument, the hedged item or
transaction, the nature of the risk being hedged and how we
will assess the hedging instrument\u2019s effectiveness in
offsetting the exposure to risks.
Hedges that qualify for hedge accounting are recognised as
follows:
Fair value hedges
Fair value hedges are hedges of the exposure to changes in
the fair value of an asset or liability arising as a result of
interest rate changes. Changes in the value of the hedging
instrument are taken to the statement of income.
Any change in the fair value of the hedged item is also
recognised in the statement of income, in so far as the
hedging instrument has been effective in the preceding
period.
A hedge relationship ends if the hedging instrument is sold,
expires or is exercised, or if the hedging transaction no
longer meets the criteria for hedge accounting, with the
remaining value adjustment of the hedged item amortised
through profit or loss until the end of its term.
We apply micro fair value hedge accounting and macro fair
value hedge accounting.
Micro fair value hedges
From 1 January 2022, we have applied hedge accounting for
micro fair value hedges based on IFRS 9. A fair value hedge is
classified as a micro fair value hedge when the hedged item
(or group of items) is a distinctively identifiable asset or
liability hedged by one or a few hedging instruments. Debt
securities at fair value through other comprehensive income
and issued debt securities are hedged for interest rate risk in
a micro fair value hedge. Effectiveness is assessed and
documented on a monthly basis in order to determine that
the hedge has been highly effective throughout the financial
reporting periods for which it was intended. If necessary,
adjustments are made to the hedge relationship.
Macro fair value hedges
We apply macro fair value hedges for fixed rate mortgages.
A portfolio of mortgages is identified comprising
homogeneous loans based on their contractual interest
rates, maturity and other risk characteristics. Mortgages
within the identified portfolio are allocated into repricing
term buckets based on expected repricing dates rather than
contractual repricing dates. The hedging instruments are
designated appropriately to those repricing term buckets.
Such hedges are considered to be effective if we may expect,
both upon inception and during the term of the hedge, that
changes in the fair value or cash flows of the hedged item will
be almost fully offset by changes in the fair value or cash
flows of the hedging instrument, in so far as they relate to
the hedged risk, and the actual outcome is within a range of
80-125%. Effectiveness is assessed and documented on a
monthly basis in order to determine that the hedge has been
highly effective throughout the financial reporting periods
for which it was intended. We apply the EU carve-out on
portfolio fair value hedges.
Cash flow hedges
Cash flow hedges are hedges of the exposure to fluctuations
in the cash flow of an asset, liability or future transaction
arising as a result of interest rate changes and/or inflation.
The portion of the gain or loss on the hedging instrument
that has been determined to be an effective hedge is
recognised directly in equity until the hedged item affects
the statement of income, while the ineffective portion is
recognised in the statement of income.
If the hedging instrument expires or is sold, or if it can no
longer be designated as a hedge, accumulated gains and
losses remain in equity until the expected future transaction
is taken to the statement of income. If the expected future
transaction is no longer likely to take place, the accumulated
result is transferred directly from equity to the statement of
income.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForHedgingExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-607": { "value": "
Day 1 profit
Discrepancies between the transaction price and the fair
value may arise if valuation techniques are applied at the
time of the transaction. Such a discrepancy is referred to as a
Day 1 profit. Any resulting profit or loss is recognised
directly in the statement of income if the valuation method is
based on observable inputs in an active market. In the event
of unobservable inputs, the gain or loss is amortised over the
term of the transaction.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForRecognisingDifferenceBetweenFairValueAtInitialRecognitionAndAmountDeterminedUsingValuationTechniqueExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-608": { "value": "
Netting of financial assets and liabilities
Financial assets and liabilities are netted and presented in
the consolidated financial statements at the net amount
when we have a legally enforceable right to offset the
recognised amounts and there is an intention to settle on a
net basis, or to realise the asset and settle the liability
simultaneously. See 3.7, Risk management.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForOffsettingOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-609": { "value": "
Cash and cash equivalents and balances at central banks
Cash and cash equivalents and balances at central banks
comprise, at nominal value, cash in hand and deposits with a
term of less than three months, investments readily
convertible into a known amount of cash with an
insignificant risk of value changes, balances at central banks
and balances withdrawable on demand at other banks in
respect of which the risk of value changes is insignificant.
The amount due from De Nederlandsche Bank (DNB) arising
from the minimum reserve requirement is also included in
this item, as well as the irrevocable payment commitments
cash collateral regarding the Single Resolution Fund.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyToDetermineComponentsOfCashAndCashEquivalents", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-610": { "value": "
Financial assets at fair value through profit or loss
Assets that do not meet the criteria for amortised cost or fair
value through other comprehensive income (FVOCI) are
measured at fair value through profit or loss (FVPL).
Additionally, any instrument for which the contractual cash
flow characteristics are not solely payments of principal and
interest (SPPI) are measured at FVPL. No restrictions are set
for sales within the fair value through profit or loss portfolio.
Interest earned on these assets is recognised as interest
income under Other interest income. All other realised and
unrealised gains and losses on remeasuring debt instruments
at fair value are recognised under Result on financial
transactions. All realised and unrealised gains and losses on
remeasuring equity instruments at fair value are recognised
under Income from securities and associates.
Financial assets at fair value through profit or loss include
financial assets from trading activities. These are
transactions for our own account whereby the aim is to
actively sell these instruments in the short term. Financial
assets from trading activities consist of the trading portfolio
of both equity instruments and debt instruments. The
financial assets from trading activities are recognised at fair
value with effect from the trade date and value adjustments
are taken to the statement of income under Result on
financial transactions.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-611": { "value": "
Loans and advances to the public and private sectors
Loans and advances to the public and private sectors are
initially recognised at fair value plus transaction costs
directly attributable to the acquisition of the financial asset,
and are subsequently amortised using the effective interest
rate method less any allowance for impairment. The loss
allowance for expected credit losses is recognised in the
statement of income.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForLoansAndReceivablesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-612": { "value": "
Investments in associates using the equity method
These investments have been designated by management as
transactions held indefinitely, and as a result of the acquired
control can be classified as investments in associates using
the equity method. These are investments in entities where
we have significant influence but not control. If there is a
change in the equity of the associate, we recognise our share
in this change and include it in Other comprehensive income.
This also applies to results of associates recognised in our
statement of income.
In the first year of investment, investments classified as
investments in associates using the equity method are
recognised at cost, and where applicable are adjusted for any
changes in the value of the associate\u2019s individual receivables
and payables occurring after the acquisition, measured using
the policies applied by Van Lanschot Kempen.
The recoverable amount of the investments in associates
using the equity method is determined each quarter. The
valuation methods applied to assess the carrying value are
the capitalisation method (peer group analysis), the
discounted cash flow method and the disclosed net asset
value method. An impairment is recognised if the
recoverable amount is lower than the carrying amount.
The capitalisation method determines the value of a
business by multiplying the operating profit (EBIT) and the
operating profit before depreciation and amortisation
(EBITDA) by a multiplier factor derived from similar listed
companies (the peer group), if applicable also taking account
of a discount for poor liquidity and minority shareholding.
EBIT and EBITDA are adjusted for one-off items where
applicable.
The discounted cash flow method calculates the enterprise
value by discounting the forecast operational cash flows at a
discount rate for the planning period and a final value based
on the extrapolation of the operating profit.
The discount rate is determined on the basis of the discount
rate of listed companies with a high degree of similarity and
on the specific characteristics of the company. If applicable,
the discounted cash flow method takes account of a discount
for poor liquidity and minority shareholdings.
The company\u2019s net debt is then deducted from the value
resulting from the capitalisation method and/or discounted
cash flow method and multiplied by the share in the capital
structure in order to derive the shareholder value from the
enterprise value.
The disclosed net asset value method determines the value
of a company based on the statement of financial position.
If our share in the associate\u2019s losses is equal to or exceeds
our interest in the associate, no further losses are recognised
unless we have assumed obligations or made payments for
these associates.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociates", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-613": { "value": "
Property and equipment
Property and equipment comprise buildings in own use,
right-of-use assets, operation system software and
information technology, communication and safety
equipment, renovation & refurbishment, and furniture and
fixtures. Property and equipment are initially carried at cost
and subsequently measured at historical cost less
accumulated depreciation and accumulated impairments.
The carrying value includes the costs for replacement of part
of the existing property as soon as these costs are incurred,
but excludes day-to-day servicing costs. Depreciation is
calculated on a straight-line basis over the useful life of the
asset.
Lease contracts which we entered into as a lessee are
classified as right-of-use assets. Right-of-use assets are
presented as part of Property and equipment in the
statement of financial position and are measured at cost,
comprising the following:
\u2013 The amount of the initial measurement of the lease
liability;
\u2013 Any lease payments made at or before the
commencement date less any lease incentives received;
\u2013 Any initial direct costs;
\u2013 Restoration costs.
Depreciation is applied using the same method as for wholly-
owned tangible assets.
The recoverable amount of individual property items within
the different CGUs or group of CGUs is determined every
year, irrespective of whether there is any indication of
impairment, and more often if market conditions so dictate.
The recoverable amount is the higher of the fair value less
costs to sell or the value in use. The fair value less costs to
sell is determined by an independent surveyor. If the fair
value less costs to sell is below the carrying amount, the
value in use is determined. This value is calculated using the
value-in-use method. If the value in use is also below the
carrying amount, an impairment is recognised for the
difference between the carrying amount and the higher of
the fair value less costs to sell and the value in use.
Estimated useful life of property and equipment (years)
Buildings
25-40
Right-of-use assets
1-10
Operating system software and IT
3-5
Communication equipment
5
Safety equipment
15
Renovation & refurbishment
10-15
Furniture and fixtures
5-10
Operating system software expenses are capitalised if they
are identifiable, if there is a likelihood that future economic
benefits will flow to Van Lanschot Kempen and if costs can
be measured reliably.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-614": { "value": "
Goodwill and other intangible assets
Goodwill represents the difference between the fair value of
the acquired assets (including intangible assets) and
liabilities, and the purchase price paid (excluding acquisition
costs). Goodwill paid is included in the financial statements
at cost less any accumulated impairment losses. Goodwill
paid is tested for impairment annually or whenever events or
changes in circumstances indicate that the carrying value
may be impaired. An impairment is calculated based on the
difference between the carrying value and the recoverable
amount of the CGU to which the goodwill relates. A CGU\u2019s
recoverable amount is the higher of its fair value less costs of
disposal and its value in use.
The fair value less costs of disposal uses price-earnings
multiples for our peer group and estimated future cash
flows. The value in use is determined by discounting the
future equity cash flows generated by each CGU or group of
CGUs to their net present value using a cost of equity for
each CGU or group of CGUs. If the recoverable amount of a
CGU is lower than its carrying amount, goodwill is impaired.
The impairment is first applied in full to the goodwill and
then pro rata to the individual assets.
Other intangible assets with a finite useful life, such as client
relationships, brand names and application software, are
capitalised at cost and amortised on a straight-line basis over
their respective useful lives. For acquired intangible assets,
an annual useful life test is conducted to assess indications of
impairment. For client relationships, changes in AuM
volumes are assessed. For acquired brand names and
application software, the future continuation of these
intangible assets are evaluated.
Estimated useful life of intangible assets (years)
Client relationships
5-20
Brand names
5-20
Application software
3-5
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsAndGoodwillExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-615": { "value": "
Other intangible assets with a finite useful life, such as client
relationships, brand names and application software, are
capitalised at cost and amortised on a straight-line basis over
their respective useful lives. For acquired intangible assets,
an annual useful life test is conducted to assess indications of
impairment. For client relationships, changes in AuM
volumes are assessed. For acquired brand names and
application software, the future continuation of these
intangible assets are evaluated.
Estimated useful life of intangible assets (years)
Client relationships
5-20
Brand names
5-20
Application software
3-5
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsOtherThanGoodwillExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-616": { "value": "
Tax assets and liabilities
Tax assets and liabilities are stated at face value. Current
and deferred tax assets and liabilities are offset if they relate
to the same tax authority, concern the same type of tax, if it
is permitted under law to offset these tax positions and if the
tax positions are expected to be settled simultaneously.
Deferred taxes are recognised on the face of the statement
of financial position if the valuation of an asset or liability
temporarily differs from the valuation for tax purposes.
Deferred taxes are calculated using the tax rates prevailing
on the reporting date. Deferred tax assets are recognised
only if it is probable that taxable profits will be realised in the
near future against which these temporary differences can
be offset.
Deferred tax assets and liabilities are assessed at every
reporting date and derecognised to the extent necessary.
This derecognition will be reversed if it is probable that
sufficient taxable profits will be available.
Changes in the value of investments at fair value through
other comprehensive income and movements in the value of
derivatives forming part of a cash flow hedge are recognised
in equity net of deferred tax. Deferred tax assets and
liabilities cease to be recognised when these movements in
value are realised. Current tax is taken to the statement of
income on realisation of the movement in value.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredIncomeTaxExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-617": { "value": "
Other assets
Other assets comprise interest receivables, commission
receivables and other receivables, and are carried at the
lower of cost or the recoverable amount. This recoverable
amount is the estimated selling or settlement price in the
ordinary course of business less the relevant variable costs
to sell. The recoverable amount less the relevant variable
costs to sell is based on the appraisal value as determined by
an independent surveyor if applicable. Other assets are
initially recognised at fair value excluding transaction costs.
After initial recognition, they are recognised at amortised
cost using the effective interest method.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForTradeAndOtherReceivablesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-618": { "value": "
Due to banks
Amounts due to banks are initially recognised at fair value
excluding transaction costs. After their initial recognition,
they are recognised at amortised cost using the effective
interest method.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBorrowingsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-619": { "value": "
Provisions
A provision is a liability of uncertain timing or amount. A
provision is included in the statement of financial position if
we have an obligation as a result of a past event, it is
probable that an outflow of resources will be required to
settle the obligation, and a reliable estimate can be made.
Provisions are discounted if the time value of money for the
liability has a material effect. The most material types of
provisions are the provision for pensions, provisions for
long-service benefits and restructuring provisions.
Provision for pensions
We operate defined benefit plans and defined contribution
plans. Under defined contribution plans, contributions to
pension providers are taken to the statement of income as
staff costs. We have no further payment obligations with
respect to defined contribution plans once the contributions
have been paid.
A defined benefit plan is a pension plan which defines the
amount of pension benefit that an employee will receive on
retirement. Factors such as age, years of service and salary
are taken into account when determining the amounts to be
paid. The provision for defined benefit plans is the present
value of the defined benefit obligation at the reporting date
less the fair value of plan assets.
Differences between the expected and actual return on plan
assets, actuarial gains and losses and changes in the effect of
the asset ceiling are recognised directly in equity; net
interest is recognised under Other interest expense in the
statement of income.
Provisions for long-service benefits
Employees receive a bonus to mark a long-service
anniversary of 25 and 40 years. The obligation is calculated
on an actuarial basis.
Restructuring provision
A provision for restructuring is recognised only if the
recognition criteria are met. We have a constructive
obligation if we have a detailed formal restructuring plan
identifying at least the business or part of the business
concerned, the principal locations affected, the number of
employees affected, a detailed estimate of the expenditure
to be undertaken and a suitable timeframe. Employees are
also notified of the main features of the plan.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForProvisionsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-620": { "value": "
Other liabilities
Other liabilities are initially recognised at fair value
excluding transaction costs. After their initial recognition,
they are recognised at amortised cost using the effective
interest method.
Lease liabilities are presented in the statement of financial
position as part of Other liabilities. Interest payments and
amortisation in the year are charged to the statement of
income on a straight-line basis over the term of the lease,
and disclosed within the statement of income.
Lease liabilities consist of interest and amortisation
payments and are initially measured at the present value of
the remaining lease payments, discounted using the lessee\u2019s
incremental borrowing rate.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForTradeAndOtherPayablesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-621": { "value": "
Lease liabilities are presented in the statement of financial
position as part of Other liabilities. Interest payments and
amortisation in the year are charged to the statement of
income on a straight-line basis over the term of the lease,
and disclosed within the statement of income.
Lease liabilities consist of interest and amortisation
payments and are initially measured at the present value of
the remaining lease payments, discounted using the lessee\u2019s
incremental borrowing rate.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForLeasesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-622": { "value": "
Equity
Direct costs of new share issues are deducted from equity,
taking account of taxes.
If we purchase treasury shares, the purchase price, including
direct transaction costs after tax, is deducted from equity.
Treasury shares that we purchase do not qualify for profit or
dividend and are not included in the calculation of earnings
per share.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIssuedCapitalExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-623": { "value": "
If we purchase treasury shares, the purchase price, including
direct transaction costs after tax, is deducted from equity.
Treasury shares that we purchase do not qualify for profit or
dividend and are not included in the calculation of earnings
per share.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForTreasurySharesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-625": { "value": "
Contingent assets and liabilities and irrevocable
commitments
Contingent liabilities are carried at the contract value and
relate in particular to guarantees and irrevocable letters of
credit. This item consists of unused overdraft facilities, sale
and repurchase commitments, irrevocable payment
commitments for the Single Resolution Fund (SRF)\u00a0and all
other obligations resulting from irrevocable commitments
that could give rise to loans.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForContingentLiabilitiesAndContingentAssetsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-624": { "value": "
Contingent assets and liabilities and irrevocable
commitments
Contingent liabilities are carried at the contract value and
relate in particular to guarantees and irrevocable letters of
credit. This item consists of unused overdraft facilities, sale
and repurchase commitments, irrevocable payment
commitments for the Single Resolution Fund (SRF)\u00a0and all
other obligations resulting from irrevocable commitments
that could give rise to loans", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialGuaranteesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-626": { "value": "
General
Revenue is recognised when it is likely that the economic
benefits will flow to Van Lanschot Kempen and the revenue
can be measured reliably. Costs are allocated as far as
possible to the period in which the services were rendered
or to the relevant proceeds.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForRecognitionOfRevenue", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-627": { "value": "
Net interest income
This item consists of income earned on lending and costs of
borrowing, derivatives, related commission, and other
income/expense similar to interest. The amortisation of
remaining value adjustments on mortgage portfolios of fair
value hedges which expired in the past is presented under
Interest income.
Interest income and interest expense are recognised in the
statement of income on an accrual basis, using the effective
interest method. The effective interest rate is the rate that
exactly discounts estimated cash flows over the life of the
financial instrument, or a shorter period when appropriate,
to the net carrying amount of the financial asset or liability.
When calculating the effective interest rate, we take into
account all contractual terms of the financial instrument (for
example early repayment) but not future losses due to
uncollectible amounts.
Negative interest paid is recognised under Interest income,
and negative interest received is recognised under Interest
expense.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInterestIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-628": { "value": "
Net commission income
This item comprises the income, other than income similar to
interest, earned on wealth management services provided to
third parties. It also includes fees charged to managed
investment funds. Commission paid to third parties is
accounted for as commission expense. We receive
commission for the wide range of services we provide to
clients. This can be divided into commission on a transaction
basis and periodic commission charged to the client during
the year.
Commission on a transaction basis
Commission income on a transaction basis is recognised in
the periods in which we provide the services. Transaction
commission for which we only provide a service on the
transaction date (e.g. commission on buying and selling
shares) is taken directly to the statement of income.
Transaction commission for which we have to provide a
service in the future (e.g. commission on structured
products) forms part of the amortised cost and is recognised
in the statement of income over the expected term of the
instrument.
Periodic commission
Periodic commission (e.g. management fees) is recognised in
the statement of income in the period in which the services
are provided.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFeeAndCommissionIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-629": { "value": "
Result on financial transactions
Result on securities trading includes realised and unrealised
value differences on gains and losses on financial
instruments relating to the securities trading portfolio.
Exchange and price gains and losses on trading in other
financial instruments are recognised under Result on foreign
currency trading. Gains and losses due to ineffectiveness in
hedge accounting are recognised under Unrealised gains/
losses on derivatives under hedge accounting. When
financial assets at fair value through OCI are derecognised,
the cumulative gain or loss is reclassified to Realised gains or
losses on financial assets at fair value through other
comprehensive income. Result on economic hedges includes
realised and unrealised gains and losses on derivatives that
are not included in a hedge accounting model. Result on
financial instruments at fair value through profit or loss
comprises unrealised value differences and interest
expenses on financial liabilities at fair value through profit or
loss with the exception of the interest charges on medium
term notes, which are recognised under Net interest income.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForTradingIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-630": { "value": "
Staff costs
Staff costs comprise wages and salaries, pension and early
retirement costs, other social security costs and other staff
costs such as remuneration in the form of share-based
employee benefits.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForEmployeeBenefitsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-631": { "value": "
Share-based payments
Employees may be eligible to receive remuneration in the
form of share-based payments. The cost of equity-settled
transactions with employees is measured by reference to the
fair value at the date on which the equity instruments are
granted. The fair value is determined based on the share
price on the grant date, taking into account the discounted
value of expected dividends over the vesting period. The
cost of equity-settled transactions is recognised, together
with a corresponding increase in equity, in the period in
which the employee\u2019s performance criteria are fulfilled,
ending on the date on which the employee becomes fully
entitled to the award (the vesting date).
Partnership plan and partnership investment incentive
The partnership plan is a participation plan that allows key
senior staff to contribute to and participate in the success of
Van Lanschot Kempen. Its purpose is to anchor leadership
more broadly in our organisation, to further encourage
ownership and entrepreneurial spirit, and to create more
long-term alignment with our shareholders and clients.
Partners' contributions remain in the partnership during
their full tenure as a partner. Partners receive a discount of
18.5% as their interest is subject to a lock-up period of five
years. This discount is accounted for as an equity-settled
share-based payment, and it is recognised immediately as an
expense, with a corresponding increase in equity.
The purpose of the partnership investment incentive is to
enhance return perspectives. If awarded, a partnership
investment incentive will apply with respect to the
contributions made in the relevant contribution round for
five financial years and will be calculated at the end of each
of those years in accordance with the partnership
investment incentive formula. Since the entitlement to the
partnership investment incentive for a financial year is
subject to continued service until the end of the financial
year and the actual performance achieved, the estimated
cost is recognised over the relevant vesting period.
The partnership investment incentive will be paid to
partners in two components: 70% in Van Lanschot Kempen
shares and 30% in cash. The portion settled in shares is
accounted for as an equity-settled share-based payment and
the portion settled in cash is accounted for as a long-term
employee benefit.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSharebasedPaymentTransactionsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-632": { "value": "
Depreciation and amortisation
Depreciation and amortisation costs are determined on the
basis of estimated useful life and charged to the statement of
income.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDepreciationExpenseExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-633": { "value": "
Impairments
This item comprises the balance of the required impairments
and reversals of such impairments, including those on
financial instruments, on investments in associates using the
equity method, on property and equipment, and on goodwill
and other intangible assets.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfAssetsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-634": { "value": "
Income tax
Tax on operating profit is recognised in the statement of
income in accordance with applicable tax law in the
jurisdictions in which we operate. Tax effects of any losses
incurred in certain jurisdictions are recognised as assets
when it is probable that sufficient future profits will be
available in the relevant jurisdiction against which these
losses can be offset.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIncomeTaxExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-635": { "value": "
Earnings per ordinary share
Earnings per ordinary share are calculated by dividing the
profit for the year available to ordinary shareholders by the
weighted average number of ordinary shares outstanding
during the period. Diluted earnings per ordinary share are
calculated by dividing the profit available to ordinary
shareholders by the weighted average number of ordinary
shares outstanding during the period, adjusted for possible
dilution as a result of, for example, outstanding option rights.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForEarningsPerShareExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-636": { "value": "
Statement of cash flows
The statement of cash flows is prepared using the indirect
method. It distinguishes between cash flows from operating,
investing and financing activities. Cash flows from operating
activities include net changes in loans and advances,
deposits from/with banks, public and private sector
liabilities, and dividends received from investments in equity
instruments. Investing activities include acquisition,
redemption and sales of debt instruments, equity
investments, associates using the equity method, property
and equipment, goodwill and other intangible assets, and
dividend received from investments in associates using the
equity method. Financing activities include issues and
repayments of share plans, debt instruments and issued debt
securities, and dividends and capital returns paid to
shareholders. Cash and cash equivalents comprise, at face
value, all cash in hand, balances at central banks and
balances withdrawable on demand at other banks. Investing
and financing transactions that do not require the use of
cash or cash equivalents are excluded from the statement of
cash flows.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForCashFlowsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-637": { "value": "
Segment information
The different operating segments form the basis for our
primary segmentation. An operating segment is a business
unit that can earn revenues and incur expenses and whose
operating results are regularly reviewed by management or
the chief operating decision maker and for which discrete
financial information is available. Additional information is
reported geographically based on where the business
activities are located. Intra-segment transactions are
conducted on commercial terms and market conditions (at
arm\u2019s length).
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSegmentReportingExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-638": { "value": "
Risk management
1. Risk, capital management and compliance
Our front-office functions are essential in delivering services
to our clients. The risk management function \u2013 which
comprises Compliance, Financial Risk Management and Non-
Financial Risk Management \u2013 supports the front office,
clients and other stakeholders in ensuring that the risks taken
by Van Lanschot Kempen are controlled and comply with our
risk appetite and legal requirements. This section describes
our risk appetite, the organisational and governance
arrangements that are in place regarding risk management,
and the three lines of defence principle. After describing
these general arrangements, the section continues with
credit risk, market risk, settlement risk, credit valuation
adjustment (CVA) risk, strategic risk, interest rate risk,
liquidity risk, securitisation risk, climate change and
sustainability risk, operational risk, compliance risk, financial
reporting risk and assets at fair value.
1.1 Risk appetite
Solid capital and liquidity ratios are essential prerequisites for
a successful proposition to our clients and the financial
stability of Van Lanschot Kempen in general. This is reflected
in our risk appetite statement. We aim to have a simple and
transparent balance sheet.
We have a robust risk appetite framework in place. Every
year, the Management Board assesses and updates the risk
appetite statement, which translates our risk appetite into
strategic limits. The risk appetite statement is then submitted
to the Supervisory Board for review and approval. Quarterly
risk appetite reports serve as important discussion
documents for the continuous review of our risk profile.
1.2 Organisation of risk, capital management and
compliance
The purpose of our risk management framework is to identify
and analyse risks at an early stage, as well as to mitigate and
monitor those risks. Adequate internal control procedures
and reporting systems, including the application of standards
and limits, are key elements of our risk management
framework.
The organisation of our risk management framework is based
on the three lines of defence principle. Day-to-day
responsibility for risk control lies with the front office and/or
operational departments (the first line of defence), including
Internal Control and Finance, Reporting & Control.
Compliance, Financial Risk Management and Non-Financial
Risk Management form the second line of defence for
financial and non-financial risks. These departments are
responsible for initiating risk policies and the supervision of
controls within Van Lanschot Kempen.
Internal Audit forms the third line of defence and is
responsible for performing independent audits on activities
of the first and second line. The department reports to the
Chair of the Management Board and to the Chair of the Audit
Committee. The three lines of defence set-up creates a clear,
balanced and appropriate division of tasks, powers and
responsibilities, and ensures independent and effective
operation of the risk management function.
Financial Risk Management and Asset & Liability
Management (ALM) stand at the core of capital management.
We actively manage our capital base to cover risks inherent
to our business and meet the capital adequacy requirements
of De Nederlandsche Bank (DNB). The adequacy of our
capital is monitored by using the rules and ratios established
by the Basel Committee on Banking Supervision as
transposed into EU law through the Capital Requirements
Regulation (CRR). This legal framework also forms the basis
for supervision by DNB through the Capital Requirements
Directive (CRD) and the Financial Supervision Act (Wft). Over
the reporting period, we fully complied with all capital
requirements. Both external and internal capital adequacy
targets are taken into account, and the central focus is on
safeguarding our financial solidity and stability. Each year, a
capital and funding plan is prepared for capital management
purposes.
Table 1.2 Risk, capital management and compliance framework
Supervision
1.2.1
Supervisory Board
\u2013 Risk and Compliance Committee
\u2013 Audit Committee
Risk, capital management and compliance
1.2.2
Management Board
\u2013 Group Risk Committee
\u2013 Credit Risk Committee
\u2013 Market Risk Committee
\u2013 Asset & Liability Committee
\u2013 Sustainability Board
\u2013 Compliance & Operational Risk Committee
Implementation and review
1.2.3
Financial Risk
Management,
Non-Financial Risk
Management, and
Compliance
Internal Audit
Asset & Liability
Management
Finance,
Reporting &
Control
Execution
1.2.4
Client
Management &
Origination
Investment
Strategies &
Solutions
Treasury
Credit Approval
and Financial
Restructuring &
Recovery
1.2.1 Supervision
The Supervisory Board oversees the risks and capital
requirements in relation to the group\u2019s operations and
portfolio composition.
The Risk and Compliance Committee focuses on all identified
risks in the group\u2019s business activities, as well as the risk
management framework. Compliance risks and matters
regarding duty of care are also discussed in this committee,
which also prepares decision-making by the Supervisory
Board on risk matters.
The Audit Committee is tasked with advising the Supervisory
Board on financial reporting, internal and external audits.
1.2.2 Risk, capital management and compliance
The Management Board is responsible for developing and
executing Van Lanschot Kempen's strategy. This includes our
capital and funding plan, which is based on a number of risk,
capital management and compliance policies.
The primary objective of our capital management is to ensure
that we comply with external and internal capital
requirements in order to support our businesses and to
create value for our stakeholders. We manage our capital
structure by taking into account changes in economic
conditions and the risk characteristics of our activities. To
maintain and/or manage our capital structure, we may adjust
the amount of dividend payments to shareholders, return
capital to shareholders or issue capital securities. These
adjustments are under constant review by the Management
Board. Lastly, requests or demands by our supervisors DNB
and/or ECB can also influence capital management.
The Management Board also bears responsibility for ensuring
the proper operation of the processes that safeguard the
group\u2019s liquidity and capital position. In addition, it is required
to provide information to the Supervisory Board, which in
turn assesses the risk appetite of the group. To ensure the
various risk types are managed properly, the Management
Board has set up the following risk and compliance
committees:
Group Risk Committee
The Group Risk Committee, discusses group-wide risk
management themes.The committee brings together,
discusses and monitors the various risk types on an
integrated level. The committee sets the annual risk appetite
statement and discusses the risk appetite report and
emerging trends in the risk profile. Other areas covered
include recovery and resolution planning.
The committee includes all members of the Management
Board. The CRO chairs this committee, with other members
representing Financial Risk Management, Non-Financial Risk
Management and Compliance.
Credit Risk Committee
The Credit Risk Committee sets and adjusts the group\u2019s
overall credit risk policy and translates this into acceptance
and portfolio management policies. In executing its tasks, the
committee bears in mind our strategic objectives and the
guiding principles informing the risk appetite statement. The
committee is also responsible for all IRB and IFRS models.
This committee includes the CRO and the Management
Board member responsible for Client Management &
Origination. The CRO chairs this committee; other members
represent Financial Risk Management, Private Clients and
Credit Approval and Financial Restructuring & Recovery.
Market Risk Committee
The Market Risk Committee focuses on all market risks
within Van\u00a0Lanschot Kempen. Market risk is the risk of loss as
a result of changes in market variables, including interest
rates (excluding interest rate risk in the banking book),
exchange rates and equity prices. It also considers variables
not directly observable in the market, such as volatility and
correlations, which also influence the value of certain
financial instruments. Market risks at Investment Banking
Clients arise from securities trading to facilitate our clients
(mainly equities and equity derivatives). Van Lanschot
Kempen is exposed to a certain amount of market risk (mainly
foreign exchange and structured products activities) through
its treasury activities. Our foreign exchange risk is limited, as
transactions involving currency exchanges are offset in the
market within very tight limits. Van Lanschot Kempen is also
exposed to market risk as a result of management book
investments.
This committee includes the CRO and the CFO. The CRO
chairs the committee, with other members representing
Financial Risk Management, Investment Banking, Trading &
Sales and Treasury.
Asset & Liability Committee
The Asset & Liability Committee (ALCO) is responsible for
managing risks that result from mismatches between assets
and liabilities (interest rate and liquidity risks), as well as the
capital position of the bank. ALCO\u2019s main task is to\u00a0 oversee
the asset and liability management process. The committee
sets policies on interest rate risk in the banking book1,
liquidity and funding risk, funds transfer pricing and
capitalisation, and it monitors the development of the balance
sheet and balance-sheet projections.
This committee includes the Chair of the Management Board,
the CRO, the CFO and the Management Board member
responsible for Client Management & Origination. The CFO
chairs the committee, with other members representing ALM,
Treasury, Financial Risk Management and Finance Reporting
& Control.
Compliance & Operational Risk Committee
The Compliance & Operational Risk Committee is responsible
for the implementation and execution of our compliance and
operational risk management policies. The committee
assesses compliance and operational risks, and ensures
remedial actions are taken where required. The committee
also challenges and approves the annual plans of the Non-
Financial Risk Management and Compliance departments.
Among other matters, the root causes of major operational
risk incidents are discussed in this committee.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 The banking book comprises all assets not held for trading under the regulatory definition.
This committee includes the Chair of the Management Board,
the CRO, the CFO, the Management Board member
responsible for Private Banking and Investment Banking
clients, the Board member responsible for Investment
Management clients, and the General Counsel/Company
Secretary. The CRO chairs this committee, with other
members representing Non-Financial Risk Management,
Compliance and Financial Risk Management. The Head of
Internal Audit has a standing invitation to attend.
Sustainability Board
The Sustainability board is responsible for driving and
implementing the sustainability strategy for Van Lanschot
Kempen and is accountable for embedding sustainability-
related goals in our own organisation, our balance sheet and
our investments. In addition, the Sustainability Board is the
risk owner for all sustainability-related risks within
Van\u00a0Lanschot Kempen and responsible for all sustainability-
related policies, KPI setting, risk appetite setting and
sustainability monitoring.
The Sustainability Board is chaired by the CEO, with the
Management Board member responsible for Investment
Management clients and other members representing\u00a0
Private Clients, Financial Risk Management, Compliance,
Strategy, IT and Procurement.
Second-line departments (FRM, NFRM and Compliance) take
the lead in preparing the meetings of the committees
described above, with the exception of ALCO, where Asset &
Liability Management is in charge, and the Sustainability
Board, where the Corporate Sustainability Centre is in
charge. We also have a number of committees that form part
of the first line of defence and that cover specific risk-related
topics, such as the Credit Committee and Client Management
& Origination's Product Approval & Review Committee.
1.2.3 Implementation and review of risk, capital
management and compliance policies
Implementation and monitoring of our risk and capital
policies is carried out by Financial Risk Management, Non-
Financial Risk Management, ALM and Finance, Reporting &
Control. In addition, Compliance carries out the
implementation, monitoring and/or review of compliance
policies.
Financial Risk Management is responsible for:
\u2013 Second-line monitoring and management of all risks
relating to the statement of financial position at group
level, including modelling, measuring, managing and
reporting on our credit, market, interest rate, liquidity and
strategic risks;
\u2013 The risk appetite process;
\u2013 Preparing, developing and maintaining policy documents;
\u2013 Issuing daily market risk reports;
\u2013 Proactively and reactively providing advice on managing
risks;
\u2013 Raising risk awareness among staff in order to improve
their ability to strike a sound balance between risk and
return.
Non-Financial Risk Management is responsible for:
\u2013 Business continuity management;
\u2013 Information security (second-line monitoring);
\u2013 Preparing, developing and maintaining policy documents;
\u2013 Proactively and reactively providing advice on managing
risks;
\u2013 Raising risk awareness among staff in order to improve
their ability to strike a sound balance between risk and
return.
Financial Risk Management and ALM are responsible for:
\u2013 Preparing ICAAP and ILAAP documentation as well as the
recovery plan.
Finance, Reporting & Control is responsible for the financial
accounting and business control function. Through its various
reports, Finance, Reporting & Control fulfils an important role
in challenging the businesses. These reports include monthly
management reports and cost control reports, and are used
to monitor the progress of business plans.
Compliance has both an advisory and a monitoring role with
respect to compliance with applicable laws, rules, regulations,
internal policies and procedures, and industry standards
relevant for Van Lanschot Kempen. As compliance risks are
part of Van Lanschot Kempen's overall risk governance,
Compliance as an independent function is involved in and
supports the management of compliance risks by identifying,
assessing, monitoring and reporting on such risks.
Compliance risks include risks such as personal data integrity,
financial crime, business conduct and client protection risks.
Internal Audit periodically reviews parts of the design and
effectiveness of the risk organisation and the execution of
our risk, capital management and compliance policies in
accordance with their annual audit plan. The applicable
policies form the starting point for the independent review by
Internal Audit. Processes, infrastructure, organisation and
systems are audited based on these policies in order to
determine whether the organisation adequately executes its
risk, capital management and compliance policies.
1.2.4 Execution of risk, capital management and compliance
policies
Client Management & Origination (CMO) and Investment
Strategies & Solutions (ISS) prepare their own business plans.
On the basis of these plans, current and future risks are
assessed, including expected capital and liquidity
requirements. These assessments serve as input for the
various risk committees.
1.3 Capital requirements
The standards set by the Basel Committee on Banking
Supervision, and translated into law and regulations (CRR and
CRD, Wft), apply to all Dutch banks. The Basel framework
consists of three pillars:
\u2013 Pillar 1 stipulates capital requirements for credit, market
and operational risk.
\u2013 Pillar 2 requires banks to have internal processes for risk
management and to calculate the capital requirements
needed to address all risks that are not included in Pillar 1.
The Supervisory Review and Evaluation Process (SREP) is
also part of Pillar 2.
\u2013 Pillar 3 sets out requirements for disclosure of
information about the institution\u2019s risk profile to external
stakeholders.
Our website provides Pillar 3 disclosures (unaudited)
including a detailed breakdown of our portfolio of loans to
companies and institutions. Meanwhile, our remuneration
policy is explained both in a remuneration section of this
annual report and a Pillar 3 disclosure (unaudited), both also
on our website.
1.4 Individual risks
The following sections detail the individual risk types to
which we are exposed. They therefore cover a combination of
Pillar 1 and Pillar 2 capital requirements. The risk types
covered are:
\u2013 Strategic risk (Section 2);
\u2013 Credit risk (Section 3);
\u2013 Market risk (Section 4);
\u2013 Settlement risk (Section 5);
\u2013 CVA risk (Section 6);
\u2013 Interest rate risk (Section 7);
\u2013 Liquidity risk (Section 8);
\u2013 Securitisation risk (Section 9);
\u2013 Climate change and sustainability risks (Section 10);
\u2013 Operational risk (Section 11);
\u2013 Compliance risk (Section 12);
\u2013 Financial reporting risk (Section 13).
2. Strategic risk
Strategic risk can be defined as the threat to our results or
equity arising from a failure to respond (adequately) to
changes in external factors or from incorrect strategic
decisions. External factors include the actions of competitors,
clients, potential market entrants and public authorities.
Strategic risk is not inherently undesirable, since there can
also be an upside to taking these risks. We take a forward-
looking approach to strategic risk, keep a close eye on
external developments and set our strategic priorities
accordingly. Our strategy puts a strong focus on organic and
inorganic growth to profit from economies of scale. Existing
risk management practices and measures are assessed
regularly to ensure that possible new risks that may arise
from changes in strategic direction or in the business
environment are addressed adequately.
3. Credit risk
Credit risk is defined as the risk that a counterparty or client
is no longer able to fulfil its obligations. Our credit risk
policies focus on the counterparty risks associated with
lending to private clients and SMEs. Strict selection criteria
for new clients and active credit management for existing
clients are applied to safeguard the quality of the loan
portfolio. Our lending activities are required to be in line with
stated objectives, and individual assessments are used to
ascertain this.
As well as from lending activities, credit risk also arises from:
\u2013 Investment activities;
\u2013 International payment transactions and cash
management;
\u2013 FX and hedging activities;
\u2013 Settlement risk.
Our investment activities relate to the management of our
liquidity buffer and equity investments. For the liquidity
buffer, a limit framework is in place to manage and monitor
associated credit risks.
Counterparty credit risk with respect to financial institutions
arises from international payment transactions, cash
management, FX and hedging activities. Some of these
activities also involve settlement risk. For derivatives
transactions, counterparty credit risk is mitigated by daily
margining.
We apply a strict policy when determining and monitoring
country and counterparty (financial institutions) limits. The
country limits serve as a cross limit for financial institutions,
meaning that the counterparty risks in respect of financial
institutions in one country are limited by the relevant country
limit, as the country limit is usually lower than the aggregate
of the individual counterparty limits.
Limits on financial institutions and countries are determined
using a number of hard criteria such as external ratings, BIS
ratios, capital ratios, country of origin and gross domestic
product (for countries). Limits can also be adjusted and
withdrawn on a daily basis.
3.1 Loans and advances
3.1.1 Credit acceptance
Our loan approval policy focuses on maintaining a high-
quality loan portfolio. The credit risk concentration mainly
lies within our Private Clients segment in the Netherlands.
Loan reviews and the authority to approve loans are
delegated to a limited number of teams, mainly our Credit
Approval team.
The authority to approve large loans rests with the Credit
Committee, which comprises representatives of the relevant
divisions as well as members of the Management Board.
The mid- and back-office for nearly all residential mortgage
loans is carried out by a third party. A service level agreement
(SLA) is in place to ensure adequate control of the operational
risks, including the outsourcing risk.
The acceptance process is not outsourced, with the exception
of our white label loans \u2013 residential mortgages offered by a
third party. The acceptance and management of credit risks
has been outsourced to this third party, within our strict
guidelines and in accordance with prevailing legal
requirements.
New loan requests are assessed to determine if they are in
line with our strategy and policies, and we adopt a
conservative approach to granting them.
3.1.2 Credit management \u2013 policy and processes
To achieve and attain a high-quality loan portfolio, strict
credit management is required. Credit management is carried
out at both individual loan and portfolio level. At the
individual loan level, explicit attention is devoted to the
management of unauthorised overdrafts and accounts past
due. Loans with an elevated risk profile are subjected to a risk
check. In addition, a portion of the portfolio is regularly
reviewed and the credit risk of individual clients is scrutinised
as part of this review. The frequency of reviews varies
according to the individual borrower\u2019s risk profile, but they
take place at least annually. In addition to financial analyses,
reviews take account of future developments in a client\u2019s
situation (partly in the light of relevant macroeconomic
trends).
A deterioration in a client\u2019s risk profile may lead to closer
supervision, an adjusted rating, corrective measures (such as
requiring additional collateral or increasing the frequency of
financial reporting), involvement of the Credit Approval and
Financial Restructuring & Recovery department or a
combination of these measures. It may also lead to a stage
transfer under IFRS 9 \u2013 see Section 3.8.
At portfolio level, credit risks are monitored on a monthly
basis. In addition, several early warning indicators are used to
draw up a watch list, which is discussed bi-monthly. A detailed
credit risk report and any relevant developments or expected
developments are discussed in the Credit Risk Committee on
a quarterly basis. Any negative trend identified in the risk
profile of a particular client segment, sector or loan type, can
lead to the adjustment of the relevant lending policy. Trends
in sectors where there is a concentration risk are monitored
particularly closely.
If the review, risk check, payment arrears or external signals
point to an increased risk of discontinuity, the Financial
Restructuring & Recovery team is involved in the credit
management process. An estimate is made of the probability
of continuity. Depending on the seriousness and magnitude of
the problem, either monitoring or intensive supervision is
applied. If there are objective indicators of impairment the
Financial Restructuring & Recovery team draws up an
impairment proposal. The Impairment Committee determines
the impairment for the whole credit portfolio on a quarterly
basis.
Active management of past due loans enables potential
problem loans to be identified at an early stage. If an
individual assessment identifies an increased risk, the
Financial Restructuring & Recovery team will supervise the
client. Increased credit risk occurs in situations including the
following:
\u2013 If clients fail to meet their payment obligations;
\u2013 If clients report difficulties in meeting future payments,
e.g. because of a divorce, unemployment etc.;
\u2013 In the event of a default (see Section 3.1.3);
\u2013 For business clients, in the event of a significant decrease
in turnover, breach of one or more covenants, a debt
service coverage ratio < 1, etc.
The primary goal of the Financial Restructuring & Recovery
team is to migrate clients back to accounts with regular status
(i.e. not under the supervision of Financial Restructuring &
Recovery) by reducing their credit risk. The aim is to do this in
accordance with the loan agreements made with these
clients, but forbearance measures are applied if necessary.
For more information on forborne exposures, see Section 3.2.
3.1.3 Credit risk measurement
We have developed internal models for measuring and
monitoring credit risk for the majority of the loan portfolio.
Some of these internal models are also used to determine the
required capital that has to be set aside for absorbing
unexpected credit losses. For this reason, the models, the use
of these models and the model governance have to adhere to
strict requirements set out in the CRR.
The CRR distinguishes three approaches for determining the
required capital for credit risk: the standardised approach
(SA), the foundation internal ratings-based (F-IRB) approach,
and the advanced internal ratings-based (A-IRB) approach.
We use SA and A-IRB for our loan portfolios.
The standardised approach prescribes a set of rules for
determining the required capital based on various
characteristics such as client type, loan type, collateral type,
and external rating. Under A-IRB, banks are allowed to use
own estimates for probability of default (PD), exposure at
default (EAD) and loss given default (LGD). PD is defined as
the likelihood that a client will default within one year, the
EAD is defined as the bank\u2019s expected exposure at the time a
client defaults, and the LGD is the expected loss percentage
in the event that a client defaults. As a result, A-IRB is more
risk-sensitive than SA.
We have approval from DNB to determine and report the
required regulatory capital for our residential mortgage
exposures portfolio using the A-IRB approach. Our models
are captured by our model governance framework.
As part of this, the performance of our A-IRB models is
periodically monitored, and these models are also periodically
validated against independent models.
The PD model is mostly based on behavioural aspects of the
client and the LGD models on the underlying collateral. For
the capital calculations a so-called downturn LGD is applied,
i.e. the expected loss at default during an economic downturn.
Estimation of the EAD is based on the limit and credit
utilisation.
The SA method has been used for capital calculations in all
our other retail and non-retail portfolios.
IRB equity portfolio
The IRB equity portfolio includes our positions in equities in
the investment portfolio, subordinated receivables, non-
controlling interests and shareholdings which appear on
Van\u00a0Lanschot Kempen's company statement of financial
position. We use the simple risk-weighted method to
calculate the risk-weighted assets for positions in shares.
In this method, a specific risk weighting (190%, 290% or
370%) is assigned to each position, based on a number of
characteristics. A risk weighting of 250% is applied for
significant investments in financial institutions that are not
deducted from equity because they fall below the regulatory
threshold. Positions taken in shares and subordinated loans
of wholly owned subsidiaries are excluded from IRB. These
are reported using the SA method.
Other loans and advances
The risk-weighted assets of other portfolios, such as the debt
securities in our investment portfolio managed by the
Treasury department (i.e. excluding retail, non-retail and
equity), are calculated on the basis of the SA method.
Definition of default and credit-impaired assets
Our definition of default is informed by EBA guidelines. Most
notably, the materiality threshold complies with the uniform
European standard. A financial asset is credit-impaired when
one or more events have occurred that have a detrimental
impact on the estimated future cash flows:
\u2013 A breach of contract such as a more than 90 days past due
event with a materiality of more than \u20ac100 and more than
1% of total credit obligation (retail exposures) or more
than \u20ac500 and more than 1% of total credit obligation for
non-retail exposures;
\u2013 Significant financial difficulty of the issuer or the
borrower and an inability to meet future payments;
\u2013 Concession(s) granted to the borrower that the lender
would not otherwise consider, relating to the borrower\u2019s
financial difficulties (forbearance);
\u2013 A growing likelihood that the borrower will enter
bankruptcy or other financial restructuring;
\u2013 The disappearance of an active market for that financial
asset because of financial market difficulties;
\u2013 The purchase or origination of a financial asset at a deep
discount that reflects the incurred credit loss.
It may not always be possible to identify a single discrete
event; instead the combined effect of several events may
have caused financial assets to become impaired. All impaired
assets are also classified as defaulted by Van\u00a0Lanschot
Kempen under CRR rules. Van Lanschot Kempen has
implemented one definition that serves for all its different
purposes.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.2 Forborne exposures
A loan is considered forborne if the borrower is unable to
meet their contractual obligations towards the bank and the
bank decides to make a concession to the client by modifying
the terms and conditions of the loan agreement. The
objective of this modification is to enable the borrower to
meet the renewed obligations, and it would not have been
offered if those circumstances had not arisen. Forbearance
actions may include one or more of the following measures:
\u2013 Amendment of the original terms and conditions of the
loan agreement that the client cannot meet due to
financial difficulties, with a view to restoring the client\u2019s
payment capacity;
\u2013 Full or partial refinancing of a forborne exposure.
The purpose of the measures taken in forbearance situations
is to maximise the chance of restoring the borrower\u2019s
payment capacity and to minimise the risk of losses due to
having to write off all or part of the loan. Measures must offer
the client an appropriate and sustainable solution, enabling
them to comply with the original obligations arising from the
credit agreement in due course.
Applying forbearance measures is exclusively reserved for
the Financial Restructuring & Recovery team, which pursues
a policy based on general principles and translates this to the
specific situation of the individual client. Given the nature of
these loans, the Financial Restructuring & Recovery team
carries out intensive credit management. Before any new
arrangements are agreed, a detailed analysis is made of the
client, their financial situation and the likelihood of income
recovery. The outcome of this analysis may have
consequences for the client\u2019s review frequency and the size
of any loan loss provision to be made. If the client qualifies for
appropriate forbearance measures, a proposal will be drawn
up and submitted to the competent assessor(s) for approval.
If a forbearance measure is granted, the client is classified as
a non-performing exposure.
In practice, forbearance measures do not always have the
desired effect \u2013 i.e. the recovery of the client\u2019s payment
capacity or an end to the process of declining payment
capacity. This may, for example, be the result of a further
deterioration in the client\u2019s financial circumstances or the
failure of those circumstances to improve as expected. Such
cases are reanalysed and a strategy is redefined. However,
the principle is explicitly maintained that the forbearance
measure must be appropriate, sustainable and effective. Any
new arrangements agreed with the borrower must also meet
these strict criteria.
A forbearance situation ends when the non-performing
status has no longer been applied to the loan for a probation
period of two years. The non-performing status must last a
minimum of one year starting from the last forbearance
measure. Moreover, the client must have made significant
and regular payments of interest and/or principal during at
least half of the probation period. During the two-year
probation period, no payments by the borrower may be in
arrears for more than 30 days. If this condition is not met, the
probation period will start again from the date the client is no
longer in arrears for more than 30 days.
The recording and monitoring of loans which are subject to
forbearance is carried out by the Financial Restructuring &
Recovery team. Each quarter, and where appropriate more
frequently for specific loans, an individual assessment is
carried out of forborne exposures which are in default, in
relation to any provision made. In addition to this quarterly
assessment (as part of the provisioning process), these loans
are subject to extensive credit risk management, the intensity
and frequency of which will as far as possible match the
specific circumstances of the loan.
Tables 3.2.A through 3.2.C show the total volume of forborne
exposures. We apply several types of forbearance measures
(see Table 3.2.A).
Following the decision to apply such a measure, a loan
remains under the supervision of the Financial Restructuring
& Recovery team until the forbearance situation has ended.
Table 3.2.A Types of forborne exposure
31/12/2023
31/12/2022
Total
26,210
27,667
Capitalisation of arrears/interest
\u2014
430
Refinancing or new loans
1,881
2,954
Interest payment only
\u2014
488
Reduction of repayments
7,619
9,320
Deferred payment of financing costs
741
417
Extension of loan term
2,548
11,593
Reduction in interest rate
3,747
2,466
Sale by agreement/assisted sale
1,041
\u2014
Other alteration of contract conditions/covenants
8,364
\u2014
Partial or total debt forgiveness
268
\u2014
Tables 3.2.B and 3.2.C provide an insight into the underlying
collateral of forborne loans. This breakdown is based on the
collateral used under Basel regulations, with the exception of
commercial real estate, for which collateral is based on
market values. The value in the Total primary collateral
column is the lower of the subscription value or the value of
the collateral.
Table 3.2.B Forborne exposures by collateral at 31/12/2023
Balance
outstanding
Mortgage
collateral
Commercial real
estate
Financial
collateral
Total primary
collateral
Secondary
collateral and
unsecured loans
Total
26,210
2,368
16,596
2,044
21,008
5,202
Mortgage loans
2,368
2,368
\u2014
\u2014
2,368
\u2014
Current accounts
5,550
\u2014
\u2014
2,044
2,044
3,505
Loans
18,293
\u2014
16,596
\u2014
16,596
1,697
Table 3.2.C Forborne exposures by collateral at 31/12/2022
Balance
outstanding
Mortgage
collateral
Commercial real
estate
Financial
collateral
Total primary
collateral
Secondary
collateral and
unsecured loans
Total
27,667
2,531
8,874
9,711
21,116
6,551
Mortgage loans
2,531
2,531
\u2014
\u2014
2,531
\u2014
Current accounts
14,598
\u2014
\u2014
9,711
9,711
4,887
Loans
10,538
\u2014
8,874
\u2014
8,874
1,664
Write-off policy
We write off loans as soon as there is sufficient certainty
about the loss after the sale of collateral and after exploring
other redress opportunities.
3.3 Breakdown of the loan portfolio
We adopt a cautious approach to granting unsecured loans.
Our loan book mainly consists of loans to Private Clients such
as loans secured by residential real estate, a number of
commercial real estate loans and Lombard loans. The
remainder of the loan portfolio comprises consumer loans
and customised financing for private banking clients.
Mortgage loans also include Kempen Dutch Inflation Fund, a
fund that invests in leasehold contracts primarily in
connection with Dutch residential real estate to create an
investment in long-term inflation-linked cash flows.
Table 3.3 Breakdown of loan portfolio by
entity excluding impairments
31/12/2023
31/12/2022
Limit
Utilisation
Limit
Utilisation
Total
9,672,400
9,199,580
9,788,935
9,403,957
Van Lanschot Kempen
9,136,786
8,810,598
9,261,440
8,973,764
Kempen Dutch Inflation Fund
132,786
132,786
163,062
163,062
Other
402,828
256,196
364,433
267,131
3.4 Collateral
In general, collateral can be used for all current and future
amounts owed by a debtor. In addition to residential
mortgage collateral and guarantees provided by governments
and credit institutions, commercial real estate, financial
collateral, receivables, stocks and inventories may serve as
collateral.
Tables 3.4.A and 3.4.B provide insight into the underlying
collateral of the loan portfolio.
Table 3.4.A Loans and advances to the public and private sectors by collateral at 31/12/2023
Balance
outstanding
Mortgage
collateral
Commercial
real estate
Financial
collateral
Other
Total
collateralised
loans
Unsecured
loans
Total
9,303,365
7,401,403
109,032
631,503
273,668
8,415,607
887,758
Mortgage loans
6,851,876
6,760,199
7,310
842
1,929
6,770,280
81,596
Loans
1,790,128
537,152
95,411
361,308
268,136
1,262,007
528,121
Current accounts
409,293
67,725
6,311
134,203
3,604
211,843
197,450
Securities-backed loans and settlement
receivables
248,976
36,327
\u2014
135,150
\u2014
171,477
77,499
Subordinated loans
3,092
\u2014
\u2014
\u2014
\u2014
\u2014
3,092
Table 3.4.B Loans and advances to the public and private sectors by collateral at 31/12/2022
Balance
outstanding
Mortgage
collateral
Commercial
real estate
Financial
collateral
Other
Total
collateralised
loans
Unsecured
loans
Total
9,594,137
7,516,452
149,649
725,364
300,562
8,692,026
902,111
Mortgage loans
6,938,851
6,869,041
8,262
1,003
468
6,878,774
60,077
Loans
1,819,385
511,050
133,392
328,645
297,263
1,270,350
549,035
Current accounts
572,801
99,767
7,995
217,252
2,831
327,844
244,956
Securities-backed loans and settlement
receivables
263,101
36,595
\u2014
178,463
\u2014
215,058
48,043
Tables 3.4.A and 3.4.B have been drawn up on the basis of the
definitions contained in the Basel regulations. The balance
outstanding is the carrying amount excluding value
adjustments for fair value hedge accounting. The collateral
value is the lower of the balance outstanding of the related
loan or the value of the collateral itself.
The category Other mainly comprises loans for which
collateral has been pledged in the form of operating assets,
inventories and receivables, as well as collateral which for
technical reasons is not directly linked to a specific loan. The
total amount of unsecured loans is small.
The loan-to-value (LTV) of our mortgage loans is based on
indexed foreclosure values, in line with generally accepted
standards for LTV determination. The weighted average LTV
at year-end 2023 was 64% (2022: 63%).
3.5 Concentration within the loan portfolio
About 92% (2022: 91%) of our loan portfolio consists of loans
to our private wealth clients. For the credit risk in this
portfolio, see Section\u00a03.8, Loss allowance for expected credit
losses. We aim for a diversified loan portfolio, reflecting our
risk appetite. We have set limits for concentrations in
individual sectors.
3.5.1 Individual loan concentrations
The ten largest loans to individual clients other than financial
institutions totalled \u20ac179 million at year-end 2023, compared
with a total loan portfolio of \u20ac7.8 billion (2022: \u20ac227 million;
total loan portfolio \u20ac8.1 billion). In this calculation, Lombard
loans secured by non-single stock are excluded.
3.5.2 Geographical concentrations
In line with our strategy, the majority of lending takes place in
the Netherlands. The geographical breakdown is based on
client locations.
Table 3.5.2 Loans and advances to the public and private sectors by geographical area
31/12/2023
31/12/2022
Total
9,161,433
9,363,958
Netherlands
8,486,270
8,654,618
Belgium
464,301
472,882
Other
210,862
236,459
3.6 Encumbered and unencumbered assets
Certain items in the statement of financial position are
classified as encumbered. Tables 3.6.A and 3.6.B provide
insight into the financial assets treated as encumbered. These
tables have been drawn up on the basis of carrying value.
Encumbered assets
Pledged as collateral:
\u2013 Cash pledged to a counterparty bank or central clearing
party as security for obligations stemming from
derivatives (CSA contracts);
\u2013 Investments in debt instruments pledged to DNB or
counterparty banks in the context of payments, repo
transactions or securities and derivatives clearing
purposes;
\u2013 Mortgage loans and receivables that act as a guarantee
for debt instruments which have been been placed with
institutional investors in the form of covered bonds or
have been pledged as collateral to DNB, e.g. for
transaction settlements.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 Other:
\u2013 Statutory reserve deposits with central banks;
\u2013 Reserve accounts of the covered bond entities to which
we have no access.
Unencumbered assets
Eligible as collateral:
\u2013 Investments in debt instruments which appear on the
ECB eligible list of marketable assets but are not classified
as encumbered at the reporting date;
\u2013 Mortgage loans and advances on underlying debt
instruments which are held by us and which appear on the
ECB eligible list of marketable assets but are not classified
as encumbered at the reporting date.
Table 3.6.A Encumbered and unencumbered
assets
Encumbered assets
Unencumbered assets
31/12/2023
Pledged as
collateral
Other
Eligible as
collateral
Not eligible as
collateral
Total
Total
2,081,098
129,779
3,237,799
10,359,817
15,808,493
Cash and cash equivalents and balances at central
banks
\u2014
123,637
\u2014
2,801,681
2,925,318
Due from banks
41,948
6,142
\u2014
29,411
77,501
Financial assets at fair value through profit or loss
\u2014
\u2014
130,245
104,348
234,593
Financial assets at fair value through other
comprehensive income
20,428
\u2014
1,785,096
402,990
2,208,514
Loans and advances to the public and private
sectors
1,830,000
\u2014
525,000
6,806,433
9,161,433
Other financial assets at amortised cost
188,722
\u2014
797,458
214,954
1,201,134
Table 3.6.B Encumbered and unencumbered
assets
Encumbered assets
Unencumbered assets
31/12/2022
Pledged as
collateral
Other
Eligible as
collateral
Not eligible as
collateral
Total
Total
1,932,706
137,549
2,718,923
10,997,565
15,786,744
Cash and cash equivalents and balances at central
banks
\u2014
128,940
\u2014
3,012,845
3,141,785
Due from banks
46,463
8,610
\u2014
53,113
108,186
Financial assets at fair value through profit or loss
54,799
\u2014
175,828
148,891
379,518
Financial assets at fair value through other
comprehensive income
62,298
\u2014
1,332,544
310,096
1,704,938
Loans and advances to the public and private
sectors
1,696,010
\u2014
382,600
7,285,348
9,363,958
Other financial assets at amortised cost
73,136
\u2014
827,951
187,272
1,088,358
3.7 Netting of financial assets and liabilities
Tables 3.7.A and 3.7.B show the netting of financial assets and
liabilities. The right to net derivatives is laid down in a master
netting agreement per counterparty. For information about
the netting criteria, see \u201cSummary of significant accounting
principles\u201d.
Table 3.7.A Netting of financial assets and liabilities\u00a0 31/12/2023
Gross
Gross in the
statement of
financial position
Net in the
statement of
financial position
Related amounts
not netted in the
statement of
financial position
Net
Derivatives (assets)
882,882
540,356
342,526
126,341
216,185
Derivatives (liabilities)
785,934
540,356
245,578
126,341
119,237
Table 3.7.B Netting of financial assets and liabilities\u00a0 31/12/2022
Gross
Gross in the
statement of
financial position
Net in the
statement of
financial position
Related amounts
not netted in the
statement of
financial position
Net
Derivatives (assets)
816,045
266,403
549,642
98,302
451,340
Derivatives (liabilities)
492,906
266,403
226,503
98,302
128,201
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.8 Loss allowance for expected credit losses
Under the IFRS 9 standard, we recognise a loss allowance for
ECL on financial assets measured at amortised cost or fair
value through other comprehensive income, as well as for
financial guarantees and loan commitments. When there is no
significant deterioration in credit risk since initial recognition,
ECL is recognised based on a 12-month expected credit
losses (Stage 1). When a significant increase in credit risk has
occurred, ECL is recognised based on a lifetime ECL (Stage 2).
For impaired loans (Stage 3), a lifetime ECL is recognised.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.8.1 Expected loss measurement
We measure expected credit losses by using a sophisticated
approach and an alternative approach. For the sophisticated
approach we use models to calculate the ECL, governed by a
model governance framework. Under this framework, the
performance of the models is periodically monitored, and
these models are also periodically validated. In 2023, the
following IFRS 9 models were validated: exposure at default
(EAD) model, loss given no cure (LGN) model and the macro
economic variables (MEV) generator. Every quarter, the
models are subject to performance monitoring. If models are
performing outside the agreed threshold, recalibration or
ultimately redevelopment will follow. In recent years, several
recalibrations have been carried out; no redevelopment has
yet been necessary.
In both approaches, ECL reflects an unbiased probability-
weighted amount that is determined by evaluating a range of
possible outcomes, the time value of money, and reasonable
and verifiable information that is available without undue
cost or effort at the reporting date about past events, current
conditions and forecasts of future economic conditions. Both
approaches calculate a 12-month and a lifetime ECL for the
exposures of all three stages.
After the risk stage determination in the stage calculation,
the relevant ECL is assigned:
\u2013 12-month ECL for Stage 1;
\u2013 Lifetime ECL for Stage 2 and Stage 3.
The key elements of the ECL calculation are the probability of
default (PD), exposure at default (EAD), cure rate (CR), and
loss given non-cure (LGN). LGN is an estimate of the loss
arising in the event of a default without cure occurring at a
given time. It is based on the difference between the
contractual cash flows due and those that the lender would
expect to receive, including from the realisation of any
collateral.
In addition to these four key elements, we incorporate
forward-looking information for the sophisticated approach.
We identify macroeconomic variables and consider three
macroeconomic scenarios in calculating ECL:
\u2013 A base-case scenario;
\u2013 An upside scenario;
\u2013 A downside scenario.
These scenarios are associated with different PDs, EADs and
LGNs. In the process of building the PD, cure rate and LGN
models for IFRS, we included several macroeconomic risk
drivers in the long list of risk drivers. Those determined as
best-performing during modelling were selected to be part of
the model. The macroeconomic scenarios are generated
based on inputs from CPB Netherlands' Bureau for Economic
Policy Analysis, DNB, ECB and Van Lanschot Kempen\u2019s
economic experts. The reported ECL (12-month or lifetime,
depending on the stage) is a weighted ECL average per
macroeconomic scenario. The table below shows the
macroeconomic variables used for the sophisticated
approach. However, we believe our models do not fully
incorporate the unique current economic environment. To
address the uncertain economic environment, we have
applied a management overlay (see Section 3.8.7).
Model
Macroeconomic variables
PD calibration
\u2013 Gross domestic product (GDP)
\u2013 Volume of exports (EXP)
Cure rate
\u2013 Residential real estate price (RREP)
\u2013 Volume of exports (EXP)
LGN
\u2013 Gross domestic product (GDP)
\u2013 Residential real estate price (RREP)
\u2013 Unemployment (UNEMP)
EAD
n/a
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.8.2 Significant deterioration in credit risk
To determine the deterioration in credit risk of a financial
instrument since initial recognition, we compare the risk of
default at the reporting date with the risk of default on initial
recognition.
To calculate the lifetime probability of default (LPD) at
origination and the LPD at reporting date, we use four PD
models: private individuals, small and medium-sized
enterprises, corporates, and commercial real estate. If the
increase in LPD exceeds the designated threshold, the
exposure is transferred to Stage 2 and the lifetime ECL is
calculated.
A backstop is applied and financial instruments that are
materially overdrawn and more than 30 days past due are
transferred from Stage 1 to Stage 2. If the financial
instrument is credit-impaired, it is transferred to Stage 3.
3.8.3 Financial instruments following the sophisticated
approach
For the majority of financial instruments included in the line
item Loans and advances to the public and private sectors,
including mortgage loans, loans, current accounts,
subordinated loans and financial guarantees and loan
commitments, we apply a sophisticated approach to calculate
expected credit losses (ECL). This approach uses an umbrella
model that combines the following sub-models:
\u2013 Various models that provide the expected flow of
exposures to the default state;
\u2013 A PD calibration model giving the flow from performing to
default;
\u2013 A full prepayment model and amortisation model giving
the outflow from the portfolio of an entire exposure due
to prepayment or contract expiration;
\u2013 A migration model providing flows from performing rating
classes to other performing rating classes;
\u2013 A cure rate model giving the flow from default to
performing classes and the non-cure state;
\u2013 Various product-level models that give the expected
exposure at the moment a client goes into default;
\u2013 An amortisation model showing the contractual payments
during the lifetime of a product and the part of the
exposure flowing out of the portfolio due to partial
prepayments;
\u2013 An EAD model giving the exposure as a function of the
limit or outstanding amount just before default;
\u2013 A product-level model evaluating the part of EAD that
may be lost \u2013 the loss given loss (LGL) model;
\u2013 A discount factor to discount the loss from the moment of
default to the moment of reporting.
3.8.4 Financial instruments following the alternative
approach
We apply an alternative approach for cash and cash
equivalents, due from banks, debt instruments at amortised
cost, debt instruments at fair value through other
comprehensive income, and loans and securities-backed
loans issued by the Belgian branch and Van Lanschot Kempen
(Schweiz) AG. The alternative approach comprises an
investments model and a foreign loan model.
3.8.5 Investments model
The investments model is applied to calculate the ECL for
cash and cash equivalents, due from banks, debt instruments
at amortised cost, and debt instruments at fair value through
other comprehensive income. These financial instruments all
have a low risk profile. All such exposures are assigned to
Stage 1 as long as their external rating is investment grade.
We use a simplified model to calculate 12-month ECL, using
publicly available data for PD and LGD based on external
ratings. If financial assets are downgraded below investment
grade, these assets will be sold.
3.8.6 Foreign loans model
For the loans and securities-backed loans issued by the
Belgian branch and Van Lanschot Kempen (Schweiz) AG, we
have developed a foreign loans model. These two portfolios
fall outside the scope of the A-IRB models and no
requirements on historical data have been set. The foreign
loans model calculates ECL as the sum of future exposure
discounted at the effective interest rate at recognition for
non-revolving products and the current effective interest
rate for revolving products. In 2023, we recalibrated the
Belgian foreign loan sub-model.
3.8.7 Management overlay
The continued economic uncertainty, further exacerbated by
geopolitical unrest, is, in our view, still not fully captured by
the IFRS 9 models, and so we have kept our general
management overlay in place. Our models are based on
observable data (days past due on loans, number of loans in
default, etc.), which do not show signs of stress. Neither do
external data such as provisions for other Dutch banks \u2013
which have clients with lower financial buffers on average \u2013
nor\u00a0 Dutch unemployment rates indicate economic
headwinds. As a result, we consider our models to be correct
given that these are bound by observable data \u2013 resulting in
the need for an overlay. This overlay applies to all loan
portfolios and exposures included in the scope of our
sophisticated approach IFRS 9 framework. It focuses on PD-
specific adjustments, since we believe a more general overlay
will materialise mostly in the probability of client default. The
overlay consists of two adjustments. First, one of the PD
model risk drivers, the amount of arrears, has changed from
12-month moving average to point-in-time to reflect recent
arrears behaviour. Second, it is reasonable to assume that
discretionary income could be impacted and result in
increased arrears. Also, borrowers subject to an interest rate
reset could face significantly higher financing costs. Based on
expert judgement, we shocked the PD for the entire portfolio.
In addition, we have made an adjustment to the methodology
for determining the weights of the economic scenarios. Until
2023, this was part of the management overlay. From the end
of 2023, we incorporated this into our regular IFRS 9 models,
thereby removing it from the management overlay. The
weights of the economic scenarios are determined every
quarter by our Investment Strategy Research department.
The management overlay resulted in a provision of
\u20ac3.4\u00a0million (2022: \u20ac5.2 million). A lower management
overlay is logical in light of the recent more positive
information for the economy, which has reduced the chances
of a severe recession. Even after incorporating this overlay,
the net impact on our credit portfolio was relatively limited.
This is reflected in the relatively small increase in ECL.
3.8.8 Loss allowances
The table below shows the ECL loss allowances and the
corresponding book values (including revocable and
irrevocable commitments), categorised by balance sheet line
item and ECL by stage.
Table 3.8.A\u00a0 Loss allowance for expected credit losses
31/12/2023
31/12/2022
Carrying value
(excluding
impairments)
Expected credit
losses
Carrying value
(excluding
impairments)
Expected credit
losses
Total
16,766,183
40,767
16,588,712
42,532
Cash and cash equivalents and balances at central banks
2,925,318
0
3,141,785
\u2014
Due from banks
77,501
\u2014
108,186
1
Financial assets at fair value through other comprehensive
income
2,208,514
280
1,704,938
49
Loans and advances to the public and private sectors
9,525,767
38,146
9,691,633
39,999
Other financial assets at amortised cost
1,201,267
133
1,088,408
49
Financial guarantees and loan commitments
827,816
2,207
853,762
2,435
The table below shows total loss allowances recognised by
IFRS 9 stage. The total change in Stage 3 amounted to an
increase of \u20ac0.8 million (2022: decrease of \u20ac15.5 million); of
this amount, \u20ac5.6 million (2022: \u20ac2.0 million) is related to
write-offs and \u20ac6.4 million (2022: releases of \u20ac13.5 million) to
additions of loss allowances at Stage 3.
Table 3.8.B Loss allowance recognised by IFRS 9 stage
31/12/2023
31/12/2022
Write-offs
Change in
provision
Total change
Stage 1
5,701
6,861
\u2014
-1,160
-1,160
Stage 2
7,338
8,735
\u2014
-1,397
-1,397
Stage 3
27,729
26,936
-5,618
6,411
793
Total
40,767
42,532
-5,618
3,854
-1,765
The table below shows the IFRS 9 stage and coverage ratios
for loss allowances recognised in the loan portfolio,
categorised by ECL stage.
Table 3.8.C IFRS 9 stage and
coverage ratio by ECL stage
(\u20ac million)
As at 31 December 2023
As at 31 December 2022
Loan
portfolio
Provision
Coverage
ratio
Stage ratio
Loan
portfolio
Provision
Coverage
ratio
Stage ratio
Stage 1
7,760
4.3
0.1%
84.4%
8,057
6.1
0.1%
85.7%
Stage 2
1,314
6.1
0.5%
14.3%
1,241
7.0
0.6%
13.2%
Stage 3
126
27.7
22.0%
1.4%
106
26.9
25.4%
1.1%
Total
9,200
38.1
0.4%
9,404
40.0
0.4%
Stage 1
Model-based Stage 1 provisions on loans decreased by
\u20ac1.8\u00a0million to \u20ac4.3 million, partly explained by slightly lower
Stage 1 exposures. However, the main driver was the
adjustment of the model for Belgian Lombard loans. The
coverage ratio remained stable.
Stage 2
Stage 2 provisions went down from \u20ac7.0 million to
\u20ac6.1\u00a0million in 2023, with the Stage 2 exposure adding
\u20ac73\u00a0million. The decrease in provisions was mainly caused by
the release of the management overlay in Stage 2. The
coverage ratio decreased slightly compared with 2022.
Stage 3
The baseline for Stage 3 provisions is determined by the
Financial Restructuring & Recovery team, with limited IFRS 9
model adjustments. In 2023, Stage 3 provisions rose slightly
to \u20ac27.7 million. This was due to a release of provisions on the
resolution of some specific impaired exposures and write-
offs, offset by increased provisioning on existing impaired
loans and new defaults. The total impaired exposure
advanced to \u20ac126\u00a0million, while the coverage ratio decreased
slightly compared with 2022.
Loss allowances for ECL change over time for several
reasons: the credit risk of financial instruments may
significantly increase or decrease, financial instruments may
become credit-impaired, or new financial assets may be
purchased. The following tables explain the changes in the
loss allowances during the year and the loss allowance
recognised in the statement of income.
Table 3.8.D Changes in loss allowance for Financial assets at
fair value through other comprehensive income
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
49
\u2014
\u2014
49
Additions or releases without transfer
-13
\u2014
\u2014
-13
Financial assets originated or purchased
245
\u2014
\u2014
245
Total balance excluding write-offs
280
\u2014
\u2014
280
At 31 December 2023
280
\u2014
\u2014
280
Table 3.8.E Changes in loss allowance for Financial assets at
fair value through other comprehensive income
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
328
\u2014
\u2014
328
Additions or releases without transfer
-335
\u2014
\u2014
-335
Financial assets originated or purchased
55
\u2014
\u2014
55
Total balance excluding write-offs
49
\u2014
\u2014
49
At 31 December 2022
49
\u2014
\u2014
49
Table 3.8.F Changes in loss allowance for expected credit
losses of Loans and advances to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
6,098
6,974
26,927
39,998
Additions or releases without transfer
-2,608
-2,305
-1,517
-6,430
Transfer to Stage 1
260
-4,166
-1,843
-5,749
Transfer to Stage 2
-485
5,870
\u2014
5,385
Transfer to Stage 3
-24
-266
9,745
9,455
Financial assets originated or purchased
1,105
\u2014
\u2014
1,105
Total balance excluding write-offs
4,346
6,107
33,312
43,765
Amounts written off
\u2014
\u2014
-5,618
-5,618
At 31 December 2023
4,346
6,107
27,694
38,146
Table 3.8.G Changes in loss allowance for expected credit
losses of Loans and advances to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
3,593
3,477
42,383
49,452
Additions or releases without transfer
1,202
3,411
-16,202
-11,589
Transfer to Stage 1
864
-8,378
-736
-8,250
Transfer to Stage 2
-620
8,550
-972
6,959
Transfer to Stage 3
-479
-86
4,503
3,938
Financial assets originated or purchased
1,538
\u2014
\u2014
1,538
Total balance excluding write-offs
6,098
6,974
28,976
42,048
Amounts written off
\u2014
\u2014
-2,049
-2,049
At 31 December 2022
6,098
6,974
26,927
39,998
Table 3.8.H Changes in impairments of Other financial assets at
amortised cost
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
49
\u2014
\u2014
49
Additions or releases without transfer
67
\u2014
\u2014
67
Financial assets originated or purchased
17
\u2014
\u2014
17
Total balance excluding write-offs
133
\u2014
\u2014
133
At 31 December 2023
133
\u2014
\u2014
133
Table 3.8.I Changes in impairments of Other financial assets at
amortised cost
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
8
\u2014
\u2014
8
Additions or releases without transfer
-3
\u2014
\u2014
-3
Financial assets originated or purchased
44
\u2014
\u2014
44
Total balance excluding write-offs
49
\u2014
\u2014
49
At 31 December 2022
49
\u2014
\u2014
49
Table 3.8.J Changes in impairments of Financial guarantees and
loan commitments
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
664
1,761
10
2,435
Additions or releases without transfer
268
-530
10
-253
Transfer to Stage 1
5
-84
\u2014
-78
Transfer to Stage 2
-8
85
\u2014
76
Transfer to Stage 3
\u2014
-1
15
14
Financial assets originated or purchased
13
\u2014
\u2014
13
Total balance excluding write-offs
942
1,230
35
2,207
At 31 December 2023
942
1,230
35
2,207
Table 3.8.K Changes in impairments of Financial guarantees
and loan commitments
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
722
1,041
21
1,784
Additions or releases without transfer
411
1,150
-10
1,551
Transfer to Stage 1
30
-437
-340
-747
Transfer to Stage 2
-33
158
-11
114
Transfer to Stage 3
-475
-151
350
-276
Financial assets originated or purchased
9
\u2014
\u2014
9
Total balance excluding write-offs
664
1,761
10
2,435
At 31 December 2022
664
1,761
10
2,435
All financial instruments included in the line items Cash and
cash equivalents, Due from banks, and Debt instruments at
amortised cost are classified in Stage 1, and no transfers have
taken place.
3.8.9 Credit quality
Van Lanschot Kempen allocates each exposure to a credit risk
grade based on a variety of data that are determined to be
predictive of the risk of default. Credit risk grades are defined
using qualitative (applying experienced credit judgement) and
quantitative factors that are indicative of risk of default.
These factors vary depending on the nature of the exposure
and the type of borrower.
We use internally developed rating pools for the line items
Loans and advances to the public and private sectors and
Financial guarantees and loan commitments.
Credit grade
Description
Investment grade
Non-credit-impaired financial assets that are not placed under the supervision of the Financial Restructuring &
Recovery team, internal rating pool 1
Standard monitoring
Non-credit-impaired financial assets that are not placed under the supervision of the Financial Restructuring &
Recovery team, internal rating pools 2 to 4
Special monitoring
Non-credit-impaired financial assets that are placed under the supervision of the Financial Restructuring &
Recovery team
Default
Credit-impaired financial assets
All financial instruments under the line items Cash and cash
equivalents, Due from banks, Debt instruments at amortised
cost and Debt instruments at fair value through other
comprehensive income are investment grade, which means
their external rating is at least BBB-. We use external ratings
for these line items.
The credit quality of the line items Loans and advances to the
public and private sectors and Financial guarantees and loan
commitments is shown in the tables below. Assessment of
credit quality is based on our internal credit rating system
and year-end stage classification. The amounts presented are
gross of impairment allowances.
Table 3.8.L Credit quality of Loans and advances to the public
and private sectors 31/12/2023
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
6,337,169
\u2014
\u2014
6,337,169
Standard monitoring (BB+ to B-)
1,634,816
1,478,121
\u2014
3,112,937
Special monitoring (CCC to C)
\u2014
90,814
20,312
111,126
Default (DDD to D)
\u2014
\u2014
106,468
106,468
Gross carrying amount
7,971,984
1,568,935
126,779
9,667,699
Loss allowance
4,345
6,108
27,694
38,146
Carrying amount
7,967,640
1,562,828
99,085
9,629,553
Table 3.8.M Credit quality of Loans and advances to the public
and private sectors 31/12/2022
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
6,390,315
\u2014
\u2014
6,390,315
Standard monitoring (BB+ to B-)
2,007,080
1,393,965
\u2014
3,401,045
Special monitoring (CCC to C)
3,482
57,747
\u2014
61,229
Default (DDD to D)
\u2014
\u2014
109,221
109,221
Gross carrying amount
8,400,877
1,451,712
109,221
9,961,810
Loss allowance
6,098
6,974
26,926
39,998
Carrying amount
8,394,779
1,444,738
82,295
9,921,812
Table 3.8.N Credit quality of Financial guarantees and loan
commitments\u00a0 31/12/2023
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
663,322
\u2014
\u2014
663,322
Standard monitoring (BB+ to B-)
27,897
133,083
\u2014
160,980
Special monitoring (CCC to C)
\u2014
79
153
232
Default (DDD to D)
\u2014
\u2014
3,282
3,282
Gross carrying amount
691,219
133,163
3,435
827,816
Loss allowance
942
1,230
35
2,207
Carrying amount
690,277
131,932
3,400
825,609
\u00a0
Table 3.8.O Credit quality of Financial guarantees and loan
commitments\u00a0 31/12/2022
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
634,825
\u2014
\u2014
634,825
Standard monitoring (BB+ to B-)
41,098
174,019
\u2014
215,117
Special monitoring (CCC to C)
21
540
\u2014
561
Default (DDD to D)
\u2014
\u2014
3,258
3,258
Gross carrying amount
675,944
174,559
3,258
853,761
Loss allowance
664
1,761
10
2,435
Carrying amount
675,280
172,798
3,248
851,326
3.8.10 Macroeconomic variables
We incorporate forward-looking information for the
sophisticated approach. We use macroeconomic variables
and consider three macroeconomic scenarios in calculating
ECL: a base-case scenario, an upside scenario, and a downside
scenario. The weightings of the scenarios were 10% for the
upside scenario, 40% for the downside scenario and 50% for
the base-case scenario as at 31\u00a0December 2022.
In 2023, we made an adjustment to the methodology for
determining the weights of the economic scenarios. The
dynamic weighting of macroeconomic scenarios was part of
the management overlay, but is now included in the regular
IFRS 9 models. At the end of 2023, the weightings were 10%
for the upside scenario, 20% for the downside scenario and
70% for the base-case scenario.
The table below shows the macroeconomic variables used for
the sophisticated approach.
Table 3.8.P Macroeconomic variables
As at 31 December 2023
As at 31 December 2022
2023
2024
2025
2022
2023
2024
Gross domestic product
Base-case scenario
0.13%
0.33%
1.03%
4.27%
0.87%
1.67%
Upside scenario
2.98%
3.18%
3.88%
6.92%
3.52%
4.32%
Downside scenario
-2.83%
-2.63%
-1.93%
1.34%
-2.06%
-1.26%
Volume of exports
Base-case scenario
-0.85%
0.05%
2.35%
4.64%
2.64%
2.74%
Upside scenario
4.35%
5.25%
7.55%
9.67%
7.67%
7.77%
Downside scenario
-6.25%
-5.35%
-3.05%
-0.94%
-2.94%
-2.84%
Total investments
Base-case scenario
2.67%
0.17%
0.17%
2.69%
1.39%
1.39%
Upside scenario
9.63%
7.13%
7.13%
9.72%
8.42%
8.42%
Downside scenario
-4.57%
-7.07%
-7.07%
-5.10%
-6.40%
-6.40%
Private consumption
Base-case scenario
0.23%
0.43%
0.93%
5.89%
-0.21%
1.89%
Upside scenario
3.68%
3.88%
4.38%
9.17%
3.07%
5.17%
Downside scenario
-3.35%
-3.15%
-2.65%
2.26%
-3.84%
-1.74%
Residential real estate price
Base-case scenario
-3.26%
0.44%
2.04%
14.01%
-2.99%
-3.19%
Upside scenario
0.87%
4.57%
6.17%
17.98%
0.98%
0.78%
Downside scenario
-7.55%
-3.85%
-2.25%
9.61%
-7.39%
-7.59%
Government consumption
Base-case scenario
2.51%
3.11%
2.41%
0.01%
3.41%
3.01%
Upside scenario
3.03%
3.63%
2.93%
0.36%
3.76%
3.36%
Downside scenario
1.96%
2.56%
1.86%
-0.38%
3.02%
2.62%
For the portfolios that fall under the scope of IFRS 9, we
perform a scenario analysis to calculate the sensitivity of the
ECL to macroeconomic variables. The main economic drivers
of the ECL are gross domestic product (GDP), volume of
exports (EXP), total investments (TI), private consumption
(PC), residential real estate price (RREP) and government
consumption (GC). In the table below, ECLs are shown per
stage and per scenario.
Table 3.8.Q Sensitivity analysis as at 31 December 2023
Stage 1
Stage 2
Stage 3
Total
Change
Probability-weighted
5,701
7,338
27,729
40,767
Base-case scenario
5,538
7,172
27,663
40,373
-394
Upside scenario
3,994
5,811
26,504
36,308
-4,459
Downside scenario
7,124
8,682
28,571
44,377
3,610
3.9 Collateral credit-impaired financial instruments
In general, collateral can be used for all current and future
amounts owed by a debtor. In addition to residential
mortgage collateral and guarantees provided by governments
and credit institutions, commercial real estate, financial
collateral, receivables, stocks and inventories may serve as
collateral. The majority of collateral is not directly linked to a
specific financing arrangement.
For credit-impaired financial instruments, the Financial
Restructuring & Recovery team determines the liquidation or
recovery value of the available collateral, based on the most
recent valuation reports and applying the applicable haircuts.
The table below shows the collateral for financial instruments
considered credit-impaired.
Table 3.8.R Collateral for credit-impaired instruments as at 31
December 2023
Gross exposure
Impairment
Carrying amount
Value of collateral
Loans and advances to public and private sectors
126,700
27,780
98,920
199,999
Financial guarantees and loan commitments
3,282
34
3,248
5,234
No impairment is recognised for credit-impaired financial
instruments if the collateral is sufficient to cover the
outstanding obligation. The total carrying amount of credit-
impaired financial instruments for which there is no
impairment recognised is \u20ac31.7 million (2022: \u20ac41.1 million).
4. Market risk
Market risk is the risk of loss as a result of changes in market
variables, including interest rates, exchange rates and share
prices. Other variables not directly observable in the market,
such as volatility, long-term dividend expectations and
correlations, can also influence the value of financial
instruments. The market risk to which we are exposed can be
divided into three components. Firstly, the market risk to
which Van\u00a0Lanschot Kempen Treasury is exposed in respect
of its structured products activities (part of the Other
activities operating segment) and services to clients.
Secondly, market risk stemming from trading activities in
institutional securities, which is concentrated in the
Investment Banking Clients operating segment. Lastly,
exposure to market risks is also generated by investments in
Van Lanschot Kempen\u2019s management book of \u20ac79.1 million
(2022: \u20ac118.8 million). These investments provide seed
capital for newly launched Van Lanschot Kempen funds and
allow us to co-invest with our clients.
4.1 Trading activities in securities
Our trading activities in securities mainly comprise equities,
equity derivatives and interest rate derivatives. Equities are
concentrated in the Investment Banking Clients operating
segment (equity brokerage) while equity derivatives and
interest rate derivatives are concentrated in Van\u00a0Lanschot
Kempen Treasury (structured products activities). In
response to the higher interest rate environment, we have
seen a shift among our clients from complex equity
structured notes to simpler structured notes.
A governance structure has been created to facilitate
effective risk management. This is based on the three lines of
defence model, where the first line has direct insights in the
live risk exposures and is responsible for staying within the
set limits, the second line monitors daily to ensure that limits
are respected, and Internal Audit performs periodic audits on
the policies and procedures set by Risk Management and
evaluates effectiveness and completeness. The risks are
managed using value at risk (VaR) limits as well as gross and
net limits. Daily stress tests provide information about
changes in portfolio values in extreme market conditions and
complement the VaR calculation.
The VaR for the trading portfolios is computed daily, based on
a one-day time horizon with a 97.5% confidence level on one
year of historical data.
Other risks relating to derivatives, such as stock market
changes and volatility, and interest rate changes (delta, vega
and rho respectively) are embedded in our structured notes.
These risks are separately monitored on a daily basis or more
frequently if necessary.
Separate limits are in place for all risk drivers. VaR and other
relevant risk parameters are reported to senior management
(including two Management Board members) on a daily basis.
The embedded derivatives sold to our clients are hedged by
Van Lanschot Kempen. The majority of the complex market
risks (exotic risks) are hedged on a back-to-back basis. The
non-exotic risks and limited exotic risks due to secondary
market trading are hedged via the macro-hedging strategy.
This means that the complex derivatives sold to clients are
broken down into individual risk drivers (i.e. delta exposure
on S&P500 or Euro Stoxx 50). The total macro exposure per
risk driver is calculated and this is hedged by using relatively
simple (mostly listed) options. All risk drivers have limits both
on an individual as well as on an aggregate level and we
monitor them daily and/or intra-day. This highly granular
view of limits results in limited basis risks.
Table 4.1 Trading activities VaR
2023
2022
Derivatives-related
Share-related
Derivatives-related
Share-related
At 31 December
32
70
82
118
Highest VaR
275
288
280
311
Lowest VaR
9
39
42
66
Average VaR
114
157
152
156
4.2 Market risk due to foreign exchange positions
To a limited degree, treasury activities (mainly foreign
exchange exposure, comprising client transactions and own
positions) result in positions exposed to market risks. The
Treasury department is part of the Other activities operating
segment. The majority of transactions and positions in the
statement of financial position are denominated in euros.
Exchange rate risk is managed within the required limits and
an authorisation structure applies.
Foreign exchange positions are shown in Table 4.2.B and
include all cash, forward and option positions of the entities in
scope of consolidation.
Table 4.2.A Exchange rate risk of treasury trading activities (total gross nominal foreign exchange
position translated to euros)
2023
2022
At 31 December
245
-294
Highest position
780
798
Lowest position
-4,646
-3,118
Average position
-126
367
Table 4.2.B Foreign exchange positions
2023
2022
Total
592
502
US dollar
216
-94
Danish krone
103
146
Singapore dollar
101
87
Canadian dollar
45
204
Hong Kong dollar
36
305
Pound sterling
31
-687
Swiss franc
8
155
New Zealand dollar
5
22
Australian dollar
-29
144
Other
77
220
The capital requirement for exchange rate risk was
\u20ac0.1\u00a0million at year-end 2023 (2022: \u20ac0.1 million). This
amounts to 7% of the net open positions in each currency
(2022: 5%). Under the Basel IV rule set, which will take effect
as of 2025, our capital requirements for exchange rate risk
amounted to \u20ac0.3\u00a0million at year-end 2023 (2022:
\u20ac0.3\u00a0million).
Credit spread risk in the banking book (CSRBB) is the risk of
volatility in earnings and/or equity, caused by spread
movements of the yield on banking book instruments that are
classified at fair value, versus the swap curve.
For\u00a0Van\u00a0Lanschot Kempen, CSRBB is mainly concentrated in
the investment and liquidity portfolios. CSRBB limits have
been imposed on these portfolios, which are monitored by
ALCO on a monthly basis.
4.3 Market risk capitalisation
We use the maturity method to calculate the capital
adequacy requirement in respect of the general risk on debt
instruments in the trading portfolio. Share-related
instruments are share instruments included under Financial
assets from trading activities (see Table 4.3).
Table 4.3 Market risk
31/12/2023
31/12/2022
Risk weighting
Capital adequacy
requirement
Risk weighting
Capital adequacy
requirement
Total
170,930
13,674
203,308
16,265
Interest-related instruments
120,287
9,623
155,210
12,417
Share-related instruments
49,943
3,995
46,756
3,741
Currency-related instruments
700
56
1,342
107
Weighting and requirements
We use the standardised approach for all types of market
risk. The market risk of interest rate derivatives is included
under Interest-related instruments; the market risk of share-
related derivatives is included under Share-related
instruments; and the market risk of currency derivatives is
included under Currency-related instruments.
5. Settlement risk
We are required to hold capital for financial transactions that
are not settled within five days of the agreed deadline, if the
difference between the agreed settlement price and the price
at the reporting date could lead to a loss. Settlement risk is
monitored and managed on a daily basis.
At year-end 2023, financial transactions totalling \u20ac9.1\u00a0million
(2022: \u20ac11.0 million) had to be reported in the context of
settlement risk.
6. CVA risk
Under the CRR, account must also be taken of the risk-
weighted assets in relation to CVA, which must be adequate
to cover the risk of a deterioration in the creditworthiness of
the counterparty in a derivatives transaction (bilateral or
centrally cleared). This CVA capital adequacy requirement is
additional to requirements applying to the risk-weighted
assets in relation to the \u201cregular\u201d default risk of a
counterparty. We use the standardised method to calculate
the capital requirement for CVA.
7. Interest rate risk
Interest rate risk in the banking book (IRRBB) is the exposure
to adverse market interest rate movements, arising from
banking book activities. Adverse interest rate movements
may impact a bank\u2019s current and/or future earnings, capital
and market value. Responsibility for IRRBB management has
been delegated by the Management Board to ALCO.
Interest rate risks in non-banking book items are managed as
part of market risk.
Our main source of interest rate risk is the maturity mismatch
between assets and liabilities. In general, assets have longer
interest rate maturities than liabilities, contractually as well
as behaviourally. We model client behaviour with respect to
the prepayment patterns of mortgages and loans and the
interest rate risk profiles of savings and current accounts.
When modelling this, model risk arises because actually
observed client behaviour may deviate from assumptions.
Differences between assumed and actually observed client
behaviour could have a material adverse impact on future
results.
We manage interest rate risk from both a long- and a short-
term perspective. The short-term interest rate risk is
addressed mainly from a net interest income perspective
(delta net interest income, or \u0394NII). This involves an analysis
of the interest income under a number of market interest rate
scenarios, relative to the baseline scenario in which interest
rates are expected to develop based on forward rates.
In 2023, all \u0394NII scenarios remained within risk appetite
limits. By year-end 2023, the most adverse scenario was a
scenario in which short term interest rates come down again.
The \u0394NII for this scenario was -6.6% at the end of 2023 (end
of 2022: -4.5%, in a scenario in which interest rates would
flatten). Table 7.A shows the interest rate risk metrics.
Table 7.A Interest rate risk metrics
31/12/2023
31/12/2022
Delta net interest income (\u0394NII)
-6.6%
-4.5%
Delta economic value of equity (\u0394EVE)
-5.3%
-8.4%
We address long-term interest rate risk by means of the
economic value approach, which looks at how movements in
interest rates impact the value of the bank\u2019s assets and
liabilities. The rule-of-thumb metric for economic value
analysis is duration of equity, which indicates the net impact
of parallel interest rate changes on economic value, assuming
a linear relationship between these parameters.
Although we use duration of equity as a rule of thumb for
economic value sensitivity, we also calculate economic value
changes under various scenarios. In doing so, all interest rate
cash flows are replotted and revalued at shocked interest
rate curves and we use coupon rates that are stripped from
margins. In 2023, all delta economic value of equity (\u0394EVE)
scenarios remained within risk appetite limits. By year-end
2023, the most adverse scenario was an instant upwards
shock of 200 basis points. The \u0394EVE for this scenario was
-5.3% at the end of 2023 (end of 2022: -8.4%).
We aim to neutralise the impact of differences in accounting
classifications on interest rate steering. Hence, we mostly
hedge the interest rate risk in fair value through profit or loss
items in the banking book on a back-to-back basis, by means
of interest rate swaps. By doing so, we make sure that Result
on financial transactions \u2013 to the extent that it arises from
banking book items \u2013 is only impacted by market changes in
credit spreads over the swap curve and that there is no net
impact from changes in the swap curve itself. For this reason,
the \u0394NII scenarios we use to assess our interest rate risk
profile do not affect the Result on financial transactions.
We use hedge accounting to offset changes in the market
value of derivatives that are used for hedging portfolios
classified at amortised cost or at fair value through other
comprehensive income .
8. Liquidity risk
The main objective of our liquidity risk management is to
ensure that we are able to maintain or generate sufficient
cash resources to meet our payment obligations in full as they
come due, on acceptable terms. One of the key elements of
our approach towards liquidity risk management is to
maintain stakeholder confidence in the bank\u2019s solidity at all
times.
The main source of liquidity risk that we are exposed to
relates to the share of client deposits in our funding base.
Although client deposits have proven to be relatively price-
inelastic and sticky over time, the withdrawable nature of
such deposits poses potential outflow risks, especially for
those deposits not covered by the deposit guarantee scheme
(DGS).
The roll-over risk with respect to maturing capital market
funding is less substantial for us, since our client deposit base
comfortably funds our entire loan book. To still obtain a
certain degree of diversification in our funding mix, we have
covered bond programmes in place.
To manage liquidity risks, we use a forward-looking liquidity
risk management framework that enables the comprehensive
measurement, evaluation and calibration of indicators related
to liquidity risk. The framework consists of the risk appetite
statement, the liquidity buffer, monitoring and reporting,
forecasting, funding planning and contingency planning.
Limits for liquidity risk are revised on an annual basis as part
of the risk appetite limit structure. Limits set include, but are
not limited to, levels of the liquidity coverage ratio, the net
stable funding ratio and stress test survival periods, which are
reported to ALCO on a monthly basis. In addition to the
regular monthly liquidity reporting, the liquidity buffer and
client deposit flows are monitored in the weekly liquidity
report. This report includes metrics that have been identified
as early warning indicators for possible liquidity stress. The
liquidity buffer is the main defensive element against liquidity
risk, and the quality and size of the buffer are monitored
frequently, along with inflows and outflows in the client
deposit base.
Finally, each year we outline our capital and funding planning
for a three-year horizon, both under regular circumstances in
the capital and funding plan, and under potential future stress
or emergency situations in the liquidity contingency plan,
complemented by the recovery plan.
Part of our liquidity and funding planning is scenario analysis,
of which stress testing is a key element. By means of stress
testing, we assess our resilience to a variety of adverse
liquidity events \u2013 Van Lanschot Kempen-specific events,
system-wide events, and a combination of these two.
8.1 Contractual maturity
Tables 8.1.A and 8.1.B show the assets and liabilities based on
their remaining contractual terms to maturity at the
reporting date, without taking behavioural aspects into
account. These amounts correspond with the amounts
included in the consolidated statement of financial position.
Items with no maturity, such as equity instruments, assets
and liabilities classified as held for sale, and provisions are
presented separately.
Derivative liabilities are included on a net basis if cash flows
are settled net. For other derivative liabilities the contractual
gross cash flow payable is included.
As savings and current accounts do not have fixed terms, the
balances of non-maturing instruments are presented within
the withdrawable on demand category.
Due from banks and amounts due to banks include collateral
delivered and received related to derivatives transactions.
Allocation of this collateral over the maturity buckets is
conducted in accordance with the maturity classification of
the derivative contracts.
Table 8.1.A Contractual maturity of assets and liabilities at 31/12/2023
Withdrawable
on demand
< 3
months
3 to 12
months
1 to 5 years
More than 5
years
Subtotal
Maturity
not
applicable
Total
Assets
Cash and cash equivalents and
balances at central banks
2,925,317
\u2014
\u2014
\u2014
\u2014
2,925,317
\u2014
2,925,317
Due from banks
23,348
3,849
1,240
43,022
6,043
77,501
\u2014
77,501
Derivatives
\u2014
12,213
35,092
77,910
217,311
342,526
\u2014
342,526
Financial assets at fair value
through profit or loss
77,167
\u2014
\u2014
132,374
\u2014
209,541
25,052
234,593
Financial assets at fair value
through other comprehensive
income
\u2014
95,179
111,667
1,201,120
800,548
2,208,514
\u2014
2,208,514
Loans and advances to the public
and private sectors
632,067
61,524
84,642
637,404
7,745,796
9,161,433
\u2014
9,161,433
Other financial assets at
amortised cost
\u2014
\u2014
56,451
1,000,493
144,190
1,201,134
\u2014
1,201,134
Investments in associates using
the equity method
\u2014
\u2014
\u2014
\u2014
\u2014
\u2014
110,889
110,889
Other assets1
\u2014
125,436
59,718
41,718
5,002
231,874
342,103
573,977
Total assets
3,657,899
298,202
348,810
3,134,041
8,918,889
16,357,840
478,044
16,835,885
Total assets excluding
derivatives
3,657,899
285,988
313,718
3,056,131
8,701,578
16,015,315
478,044
16,493,359
Equity and liabilities
Due to banks
29,388
\u2014
102,230
118,046
840
250,504
\u2014
250,504
Public and private sector
liabilities
9,136,974
2,447,651
699,545
160,950
128,694
12,573,814
\u2014
12,573,814
Derivatives
\u2014
14,860
26,178
144,017
60,522
245,578
\u2014
245,578
Financial liabilities at fair value
through profit or loss
\u2014
22,414
88,208
331,811
24,239
466,672
\u2014
466,672
Issued debt securities
\u2014
\u2014
\u2014
1,473,639
\u2014
1,473,639
\u2014
1,473,639
Lease liabilities
\u2014
24
732
32,558
5,292
38,606
\u2014
38,606
Other liabilities2
\u2014
108,076
127,332
\u2014
\u2014
235,408
32,650
268,058
Subordinated loans
\u2014
16,034
\u2014
\u2014
154,205
170,238
\u2014
170,238
Equity
\u2014
\u2014
\u2014
\u2014
\u2014
\u2014
1,348,777
1,348,777
Total equity and liabilities
9,166,362
2,609,059
1,044,225
2,261,020
373,791
15,454,457
1,381,428
16,835,885
Total equity and liabilities
excluding derivatives
9,166,362
2,594,199
1,018,046
2,117,003
313,269
15,208,880
1,381,428
16,590,307
On-balance gap
-5,508,463
-2,310,858
-695,415
873,021
8,545,098
903,383
-903,383
\u2014
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 Includes Property and equipment, Goodwill and other intangible assets, Current tax assets, Deferred tax assets and Other assets as presented in the consolidated
\u00a0 statement of financial position.
2 Includes Provision, Current tax liabilities, Deferred tax liabilities and Other liabilities as presented in the consolidated statement of financial position.
Table 8.1.B Contractual maturity of assets and liabilities at 31/12/2022
Withdrawable
on demand
< 3
months
3 to 12
months
1 to 5 years
More than 5
years
Subtotal
Maturity
not
applicable
Total
Assets
Cash and cash equivalents and
balances at central banks
3,141,785
\u2014
\u2014
\u2014
\u2014
3,141,785
\u2014
3,141,785
Due from banks
22,057
30,159
363
48,655
6,953
108,186
\u2014
108,186
Derivatives
\u2014
13,656
49,078
106,491
380,417
549,642
\u2014
549,642
Financial assets at fair value
through profit or loss
109,889
71,843
160,759
308
\u2014
342,799
36,720
379,518
Financial assets at fair value
through other comprehensive
income
\u2014
83,394
153,090
1,316,014
152,441
1,704,938
\u2014
1,704,938
Loans and advances to the public
and private sectors
799,659
46,712
88,837
588,290
7,840,461
9,363,958
\u2014
9,363,958
Other financial assets at
amortised cost
\u2014
\u2014
99,351
766,456
222,551
1,088,358
\u2014
1,088,358
Investments in associates using
the equity method
\u2014
\u2014
\u2014
\u2014
\u2014
\u2014
103,265
103,265
Other assets1
\u2014
117,545
71,910
38,189
11,020
238,664
339,597
578,262
Total assets
4,073,390
363,309
623,388
2,864,402
8,613,842
16,538,331
479,582
17,017,913
Total assets excluding
derivatives
4,073,390
349,653
574,309
2,757,911
8,233,425
15,988,688
479,582
16,468,270
Equity and liabilities
Due to banks
24,058
\u2014
201,438
160,837
730
387,063
\u2014
387,063
Public and private sector
liabilities
11,465,723
561,975
424,167
106,234
168,095
12,726,194
\u2014
12,726,194
Derivatives
\u2014
15,805
67,400
116,027
27,272
226,503
\u2014
226,503
Financial liabilities at fair value
through profit or loss
\u2014
24,708
72,113
322,638
54,424
473,883
\u2014
473,883
Issued debt securities
\u2014
411,737
\u2014
451,181
479,213
1,342,131
\u2014
1,342,131
Lease liabilities
\u2014
37
487
26,706
11,843
39,073
\u2014
39,073
Other liabilities2
\u2014
75,175
162,342
\u2014
\u2014
237,517
32,293
269,811
Subordinated loans
\u2014
\u2014
\u2014
16,298
154,584
170,882
\u2014
170,882
Equity
\u2014
\u2014
\u2014
\u2014
\u2014
\u2014
1,382,372
1,382,372
Total equity and liabilities
11,489,781
1,089,437
927,948
1,199,920
896,161
15,603,247
1,414,666
17,017,913
Total equity and liabilities
excluding derivatives
11,489,781
1,073,632
860,548
1,083,893
868,889
15,376,744
1,414,666
16,791,410
On-balance gap
-7,416,392
-726,128
-304,560
1,664,482
7,717,681
935,083
-935,084
\u2014
The assets comprise many long-term mortgage loans while
the liabilities are made up of many short-term deposits. This
results in a gap between the Withdrawable on demand and
More than five years columns. Potential liquidity risks are
addressed by means of monthly stress tests \u2013 discussed
monthly in ALCO \u2013 that test the bank\u2019s resilience to a variety
of adverse liquidity events and take behavioural aspects into
account.
For each transaction we have guaranteed, the maximum
guaranteed amount is included in the relevant term bucket
under which the bank first has the right to terminate the
transaction. For each obligation arising from an irrevocable
commitment, the committed amount is classified in the
relevant term bucket under which we first have the right to
withdraw the commitment.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 Includes Property and equipment, Goodwill and other intangible assets, Current tax assets, Deferred tax assets and Other assets as presented in the consolidated
\u00a0 statement of financial position.
2 Includes Provision, Current tax liabilities, Deferred tax liabilities and Other liabilities as presented in the consolidated statement of financial position.
8.2 Contractual maturities of undiscounted cash flow of
financial liabilities
Tables 8.2.A and 8.2.B show liabilities by maturity based on
contractual, undiscounted cash flows and including related
future cash flows, such as interest payments. Repayments
which are subject to notice are treated as if notice were to be
given immediately. However, we expect that many clients will
not request repayment at the earliest possible date, and the
tables below do not reflect the expected cash flows as
indicated by our deposit retention history.
Table 8.2.A Contractual maturities of undiscounted cash flow of liabilities at 31/12/2023
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than 5
years
Total
Due to banks
23,269
6,120
106,680
118,046
840
254,954
Public and private sector liabilities
9,153,065
2,442,877
730,461
200,111
143,603
12,670,118
Derivatives
65,705
16,119
37,476
106,247
20,030
245,578
Financial liabilities at fair value through profit or
loss
\u2014
32,694
98,630
381,615
25,716
538,655
Issued debt securities
\u2014
16,875
17,500
1,598,125
\u2014
1,632,500
Subordinated loans
\u2014
17,235
6,410
103,641
114,888
242,174
Total undiscounted liabilities
9,242,039
2,531,919
997,158
2,507,784
305,079
15,583,979
Table 8.2.B Contractual maturities of undiscounted cash flow of liabilities at 31/12/2022
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than 5
years
Total
Due to banks
15,052
9,006
201,438
160,837
730
387,063
Public and private sector liabilities
11,473,179
556,061
441,313
164,912
169,387
12,804,852
Derivatives
106,085
17,627
34,404
66,597
1,792
226,503
Financial liabilities at fair value through profit or
loss
\u2014
25,526
81,415
360,762
63,633
531,335
Issued debt securities
\u2014
435,840
\u2014
567,500
512,500
1,515,840
Subordinated loans
\u2014
2,166
12,775
121,240
192,445
328,626
Total undiscounted liabilities
11,594,315
1,046,225
771,345
1,441,847
940,487
15,794,220
9. Securitisation risk
We treat securitisation as an asset class in our investment
portfolio. We are not party to any synthetic securitisations
and have no trading position in securitisation transactions.
Funding
We do not structure securitisations for other entities and
have no outstanding securitisation transactions in which we
act as a sponsor, seller and/or servicer.
Investments
Part of our liquidity investment portfolio is invested in
residential mortgage-backed securities (RMBS). We invest
only in the most senior and AAA-rated RMBS tranches. If they
comply with the simple, transparent and standardised (STS)
requirements, these securitisations qualify as high-quality
liquid assets. All our RMBS investments are ECB eligible,
meaning that they have at least two ratings from an external
credit assessment institution (ECAI).
As the investments are part of the liquidity buffer, they can be
used as collateral, in repo transactions, or sold if necessary.
The holdings in RMBS represent a minor share of the total
investment portfolio.
Risk exposures within the investment portfolio
The credit risks of the investments are not hedged. Our
investment portfolio as a whole is monitored by the Treasury
department and the Credit Approval team on a daily basis.
The portfolio is monitored on nominal limits as well as on
credit risk limits.
Management
Interest rate risk is limited, as RMBS are typically floating-
rate notes. Interest rate risk is monitored at balance sheet
level and includes the investment portfolio. We use the SEC-
ERBA methodology to calculate the total risk exposure of
RMBS investments.
10. Climate change and sustainability risks
Sustainability risks relate to environmental, social and
governance (ESG) themes. As these are relatively new types
of risk, we are still developing policies and frameworks, and
are collecting data to manage them. Currently, the most
measurable ESG risks are climate-related, and these are
discussed in more detail in this section. Climate change risk
reflects the physical and/or transitional impacts of a change
in the climate on Van Lanschot Kempen's financial position
and/or reputation. Based on the factors as discussed below,
we conclude that no impairments as a result of sustainability
risks are necessary. However, sustainability risks could very
well lead to a combination of financial, reputational and legal
problems in the long term if not addressed proactively. Our
approach to managing climate risks includes aligning our
organisation with the ECB's expectations as set out in its
guidance on climate-related and environmental risks. The risk
to our activities posed by climate change is periodically
assessed.
Climate change risks are addressed and managed via our
sustainability risk policy. This policy assures that risks are
assessed from an integrated/holistic perspective, taking all
risk drivers and activities into account. Starting from 2023,
we have made significant improvements by putting a formal
framework in place (part of this sustainability risk policy) to
both identify potential climate risks and to assess the
materiality of these risks. This has resulted in increased
granularity of our risk analyses to provide further insight into
our risk profile, as reflected in the table below. Sustainability
risks have an effect on our on- and off-balance sheet
activities.
Table 10 Balance sheet based on sustainability criteria\u00a0 (\u20ac million)
31/12/2023
31/12/2022
1
Cash at central banks
2,820
3,049
2
Sovereign, semi-sovereign, supranational and agency bonds
1,584
1,224
3
Covered bonds and RMBS
1,941
1,737
4
Corporate bonds
\u2014
33
5
Residential mortgages
7,018
7,033
6
Family business & entrepreneurs
594
871
7
Lombard loans
724
738
8
Real estate loans
325
353
9
Other loans
500
368
10
Van Lanschot Kempen's management book
79
119
11
Equity trading activities
13
17
12
Structured product activities
37
49
13
Other items
1,200
1,427
Total assets
16,836
17,018
On-balance sheet activities
1. We believe that the sustainability risks of our central bank
exposures are limited. Our main exposure is via DNB. DNB
has exposure to national commercial banks via their
investments in relatively safe assets and is backed by a
sovereign entity. The risks run by DNB and the Eurosystem
at large are mitigated by the fact that the Eurosystem can
correct unacceptable risks by changing supervisory rules.
Moreover, DNB, as a monetary authority, is able to accept
temporarily negative equity positions, so even large losses
arising from a sustainability risk event can be absorbed.
2. Our (semi-)sovereign, supranational and agency debt
holdings are mainly from issuers in the European Union,
Canada and Belgium. Their debt has a minimum credit
rating of AA-, making these issuers capable of withstanding
major costs as a result of physical or transitional risks. Also,
by signing the Paris Agreement, these issuers' countries
have committed to build resilience against the
consequences of climate change \u2013 e.g. rising sea levels \u2013
thereby reducing local physical climate risks.
3. Our covered bonds and RMBS holdings are all rated AAA.
The majority of the financial assets backed by mortgages
are located in the Netherlands and France. Currently, no
loan level data is available to calculate the specific ESG risks
on these positions. For our RMBS instruments \u2013 where we
have direct exposure to the underlying pool of mortgages \u2013
some general analytics are available. The geographical
distribution of the mortgage pools does not materially
differ from the total issuers mortgage pool, thereby
reducing the physical risks. Moreover, there is a substantial
credit enhancement present in the RMBS transactions,
which ranges from 4.0% to 55.2%, and the average LTVs
range from 44.3% to 75.6%. The RMBS instruments in the
lower range of the credit enhancement are also in the lower
range of LTVs. Covered bonds give additional protection
through dual recourse, as the underlying mortgage pool will
only be resorted to if the issuing bank defaults. What's
more, the mortgage pool is continuously monitored and, if
needed, adapted to meet the criteria of the asset cover test.
Physical concentration is also taken into account. In our
opinion the mortgage-backed financial assets we have
invested in are thus capable of withstanding costs arising
from physical or transitional risks.
4. Corporate bonds are potentially significantly prone to
climate risks when the issuing corporation is heavily
impacted by changes in climate and policies (for example
fossil fuel companies). Currently we do not hold any
corporate bonds.
5. Residential mortgages represent our most concentrated
position in terms of (potential) sustainability risks. Given
the geographical characteristics of the Netherlands, we are
mainly exposed to physical risks related to fluvial and
pluvial flooding and the effect of drought on the stability of
building foundations (pole rot and changes in surface level).
Regarding fluvial and pluvial flooding, we combine highly
detailed data on flooding risk in the Netherlands
(probability of flood and, if a flood event takes place, the
distribution of potential water levels) and specific
characteristics of the collateral (house/apartment) to
quantify the potential impact on collateral valuations.
Based on internally defined flooding scenarios we
determine our exposure to flooding risk. The limited
average LTV increase as a result of flood damage, given the
low probability of such an event, implies that actual
projected losses are expected to be manageable. At the
same time, given our solid capital position, a temporary
increase in regulatory capital (as a result of lower collateral
valuations after a flood, which directly impact capital under
IRB) is also manageable. We have also carried out a similar
analysis on the effect of drought on the stability of building
foundations, again using highly detailed data on the risk of
pole rot and changes in building surfaces to calculate
potential economic risk as well as the effect on our capital.
Given the limited number of houses on timber supports and
the limited impact in terms of changes in foundation
stability, these factors are seen as manageable.
Our residential mortgage portfolio is also prone to
transitional risks which could impact the value of the
collateral in future due to rising energy prices and/or
renovation costs to meet future legislation on energy
efficiency/emissions. Using the characteristics of the
collateral (building year, size, current energy label, etc.), we
determined the renovation costs needed to improve the
energy efficiency of the collateral.We then deducted these
renovation costs from the current market value of the
collateral to derive a stressed market value as a result of
transition risk (we assume non-renovated collateral will be
worth less in the future). Given the limited renovation costs,
our low average LTV and the on average significant assets
of our clients, the transition risks are limited and non-
material. In addition, the IFRS provision for defaulted
mortgages (IFRS\u00a09, Stage 3) is determined per individual
credit file by the Financial Restructuring & Recovery team.
If there are significant climate risks relating to defaulted
loans, those risks are taken into consideration when the
IFRS\u00a09 provision is determined.
6. Family business & entrepreneurial loans mostly comprise
niche lending to health care specialists and to business
professionals such as main audit and law firm partners.
These business professionals have limited direct exposure
to climate and environmental risks. The same holds for
healthcare specialists, such a pharmacists, general
practitioners and veterinarians. Based on the limited
exposures and non-impacted sectors, the sustainability
risks are limited and non-material. If loans are in default, the
IFRS provision for Stage 3 is determined per individual
credit file by the Financial Restructuring & Recovery team.
If there are significant climate risks relating to our Stage 3
loans, those risks are taken into consideration when the
IFRS 9 provision is determined.
7. For our Lombard loans, there are several general risk
protection features in place to limit credit losses. We only
allow loans up to 70% of the pledged investment portfolio
and apply a client-specific limit based on their financial
situation. When the 70% threshold is reached, securities
will be automatically sold to lower the loan amount and
thereby the risk level. In addition, the underlying
investment portfolio must be well diversified in order to
limit downside risk. The probability that a climate-related
event will have such a severe impact on a well-diversified
client portfolio that the LTV increases above 100% is
deemed very limited.
8. Our real estate loans comprise both residential and
commercial properties and are quite limited in size, at
\u20ac342\u00a0million. Van Lanschot Kempen's exposure to
commercial mortgages is limited, due to the run-off of our
corporate banking activities. Lending policies regarding
office buildings and rental properties have been updated to
reflect more stringent rules on the energy efficiency of the
collateral. For office buildings, a minimum energy label C is
required from 2023 onwards and for residential rental
properties, a minimum label of D is required for new loans.
Given the limited exposure, we conclude that there is no
material climate risk to our real estate loan portfolio.
9. Other loans mostly consists of current account assets and
the remainder of the corporate banking loans. Given the
generally short-term nature of the current account assets
and limited size and nature of our corporate banking loans,
the climate risk is deemed immaterial.
10. Van Lanschot Kempen's investments include our co-
investments in Van Lanschot Kempen investment funds via
our own management book, amounting to a total position of
\u20ac79.1\u00a0million, which we invest in accordance with our
sustainable investment policies. For the positions in our
management book we assess sustainability risks via three
defined stress scenarios. Losses resulting from this stress
test are limited and well within our current trading limits.
We deem these risks to be immaterial.
11. Equity brokerage is aimed at agency trading with the
purpose of client facilitation. In the process of facilitating
trades for clients, residual equity positions can be
(temporarily) held on our own accounts. If these positions
become too large, they will be hedged with financial
instruments such as derivatives. Given the nature of the
trading book (short holding positions, daily position
management), we have limited exposure to climate risks.
For the equity positions in our trading book, we assess
sustainability risks via three defined stress scenarios.
Losses resulting from this stress test are limited and well
within our current trading limits. We thus deem these risks
to be immaterial.
12. The Structured Products activities revolve around issuing
medium-term notes (mostly Van Lanschot Kempen notes)
combined with a derivative. In most cases, this derivative is
associated with a well-diversified equity index (for example
the EuroStoxx50 or the S&P 500 index), and this generally
results in less exposure to climate risk than more
concentrated equity positions in specific single stocks.
Additionally, nearly all market risk present at the
Structured Products desk is hedged (largely back-to-back),
resulting in very limited exposures to climate risks that can
materialise through financial market movements. We
conclude that these risks do not pose a material risk.
13. Other items comprise various relatively small items, with
no large concentrations, and hence no material risk.
Off-balance sheet activities
In our investment management process, the physical and
transitional impacts of climate change are taken into account
when investments are made or external asset managers are
selected. On both a quantitative and qualitative basis, Risk
Management measures and analyses the sustainability risks
related to our investment management activities. All
sustainability-related policy for our assets under
management (AuM) are defined by the Sustainability
Investment Council and approved by the Sustainability
Board.
Compliance, legal and operational risks associated with
climate change and sustainability risks
For our own organisation, physical climate risks are defined
as the risk of flooding, drought and other natural hazards that
could put the regular execution of our operations at risk. This
type of risk is included in our business continuity stress-
testing methodology among several scenarios that could lead
to a prolonged disruption of facility usage. From a transition
climate risk perspective, the most prominent risk for our
organisation is the risk of non-compliance with changes in
regulatory requirements, which could result in regulatory
fines or lawsuits due to sustainability misrepresentation
(\"greenwashing\"). The mitigation of this risk is implemented
through our three lines of defence approach.
11. Operational risk
Operational risks are potential losses that result from
inadequate or failed internal processes, systems, inadequate
or incorrect human actions, external events and fraud.
Operational risk also includes cybercrime & information
security risk, which is defined as the risk that the
confidentiality, integrity and/or availability of Van Lanschot
Kempen's information assets is compromised by internal
failure of IT equipment, resulting in financial or reputational
damage, and/or regulatory sanctions. Within Van Lanschot
Kempen, operational losses are classified using operational
loss event types as set out in the Basel framework.
We have created a range of instruments for identifying,
evaluating, monitoring and managing operational risks to
support the bank\u2019s management in their roles as risk owners.
\u2013 Operational risk appetite: This appetite defines the level
of \u2013 quantitative and qualitative \u2013 operational risk we are
willing to accept. Exceeding this appetite requires the
attention of the Management Board and will lead to
additional mitigation measures as and when necessary.
\u2013 Risk identification and assessment via risk and control
self-assessments and scenario analysis:
\u2013 Risk and control self-assessment is a tool that allows
line managers to systematically identify and assess
risks so that steps can be taken to manage any risks
outside the risk appetite. Risk and control self-
assessments are carried out, at tactical (department)
level, on the most important value chains of the
organisation and on our most important programmes
and projects. These assessments are re-performed
periodically in order to reassess and update the
existing operational risk level.
\u2013 Scenario analyses are used to assess low frequency
but high-impact risks. The results of these analyses
are used to provide insight into the adequacy of the
Pillar 1 capital requirement vis-\u00e0-vis the operational
risk profile.
\u2013 Risk response: Management is responsible for deciding
how to treat risk, and whether to mitigate, accept or
transfer (insure) it:
\u2013 Action tracking: Action tracking is used to track
progress made in the delivery of actions to mitigate
identified risks, arising from risk and control self-
assessments, failing controls, analysis of incidents or
complaints, findings by Internal Audit and external
regulators, and other relevant events.
\u2013 Control effectiveness monitoring: To ensure that the
most important risks (key risks) are mitigated
sufficiently, key controls have been defined; these are
assessed on a regular basis to determine their
effectiveness.
\u2013 Risk insurance: To protect the organisation against
major operational risk-related losses, we have taken
out insurance policies that cover claims and losses
resulting from the services offered. Broadly speaking,
these policies are a combination of fraud and
professional liability insurance, directors\u2019 liability
insurance and various other liability and accident
insurance policies.
\u2013 Risk acceptance: If a risk is assessed to be outside of
the risk appetite and it is not possible or economically
viable to lower the risk, the risk can be accepted at
Management Board level.
\u2013 Risk monitoring:
\u2013 Incident management: Risks that materialise through
an incident are registered in our incidents database
via the incident management process. For severe
incidents, root cause analyses are carried out. The
incidents database allows the systematic recording
and analysis of losses resulting from operational risks.
It contains information about losses incurred as a
result of operational risks in prior years and the
current year and forms the foundation of
Van\u00a0Lanschot Kempen's operational risk management
measurement system. A total of 97 incidents (2022:
88 incidents) entailing a loss of more than \u20ac1,000
were logged in the database in 2023, resulting in a
total loss of \u20ac0.8 million (2022: \u20ac1.2 million).
\u2013 Risk measurement: This is based on key risk
indicators (early warnings), which highlight trends
and/or provide prospective information about
operational risks.
\u2013 Risk meetings: Periodic meetings with risk owners are
held to monitor the development of the risk profile in
relation to the risk appetite.
Information risk
Information risk relates to the protection of client and
corporate information. Both automated and manual
information processing are carried out. Taking the right
measures on the basis of targeted risk analyses of business
and IT processes ensures that both our client data and our
corporate data are adequately protected and access to this
data is ensured.
Third-party risk
In line with our strategy, we outsource certain processes to
carefully selected third parties. From an operational risk
perspective, this means replacing processing and transaction
risks with third-party risk, which is defined as follows: the risk
of failing to manage third-party relationships and risk
appropriately. A comprehensive risk control framework is in
place to handle third-party risk. Contracts containing access
and audit rights as well as independent assurance on third-
party performance are included in this framework.
Fraud risk
The main mitigants for fraud risk are strong processes with
checks and balances (i.e. the four-eyes principle) and access
control. Internal fraud risk is defined as the risk of
unexpected financial, material or reputational loss as the
result of the fraudulent actions of people internal to the
organisation. Incidents such as internal fraud cases are dealt
with in accordance with the incident management procedure,
which requires a root cause analysis to be conducted, and
adequate follow-up to prevent reoccurrence. In 2023, no
internal fraud event was identified nor any attempt to
commit internal fraud. No investigation of any person
regarding internal fraud therefore needed to be conducted.
External fraud risk is defined as fraud attempted or
perpetrated against the organisation by an external party (i.e.
a party without a direct relationship to Van Lanschot
Kempen) without the involvement of an employee or affiliate
of the organisation. We recognise that there is an increasing
trend of external fraud risk in both attempts and total impact
and we are continuously improving our capabilities for
detecting, stopping or recovering external fraud attempts.
Business continuity management
Business continuity analyses are carried out as part of our
business continuity management process in order to gain
insight into critical processes and the resources needed to
ensure continuity of service and address potential threats.
Embedding business continuity management in the
organisation is essential to give the bank sufficient resilience
against the impact of an incident or disaster. Business
continuity thus has universal scope within the bank; it
comprises policies, standards and procedures aimed at
safeguarding critical processes or enabling a restart within a
specified timeframe in the event of a disaster. The objective is
to keep any financial, reputational and/or other material
damage to a minimum, both for us and for our clients.
Procedures are tested on a regular basis, with tests of
fallback procedures and crisis governance carried out every
year. Furthermore, crisis management teams and crisis
support teams are trained regularly in crisis management
techniques, and practise using case studies.
12. Compliance risk
When operating in financial markets, it is important that we
conduct our business activities in accordance with the
expectations of our clients, employees, shareholders and
supervisory authorities. We also follow high ethical
standards, in alignment with our shared values, code of
conduct and risk appetite, and within the boundaries of
applicable laws, rules, regulations, internal policies,
procedures and industry standards relevant for our business.
Van Lanschot Kempen has established a compliance
framework to manage compliance risks appropriately, to
ensure business operations adhere to laws, rules and
regulations, and to make sure we act in the best interests of
our clients. The compliance framework applies across the
entire organisation, including international locations.
Compliance risk can be described as the threat posed to our
organisation\u2019s financial, organisational or reputational
standing resulting from violations of regulatory
requirements, industry standards or internal policies and
procedures. Non-compliance with these requirements could
potentially result in reputational damage, claims from clients
or other stakeholders, enforcement actions from legal and
supervisory authorities, fines and other liabilities, even the
potential loss of licence, which could negatively impact our
business, results and profitability, and the financial sector as a
whole.
In addition, the regulatory landscape governing the financial
sector is becoming more dynamic, and complex, while
regulators are also becoming more critical. Being compliant
with applicable laws and regulations and continuing to stay
abreast of new emerging trends is resources-intensive.
Financial crime risks
As a gatekeeper of the financial system, we face the potential
risk of being accidentally involved in illegal activities related
to financial and economic crimes, such as money laundering,
tax evasion and financing of terrorism. As a result, we may
face reputational damage, fines, or other sanctions from
regulators, which could significantly impact our organisation.
Client protection risks
To make sure that we act in the best interest of our clients, a
thorough product governance process is conducted when
offering, developing, or distributing (new) financial products
and services. This also relates to marketing and
communication materials. Our organisation is mainly exposed
to the risk of claims from clients, shareholders or other
stakeholders who might feel treated unfairly because of
information or advice received or because products or
services have not met their expectations.
Business conduct risks
Business conduct risks refer to the potential of our
organisation\u2019s actions to negatively impact the financial
markets, clients, or other stakeholders, including society as a
whole. Adverse effects on market stability, market abuse or
misconduct by employees could negatively impact our
organisation and result in reputational damage, fines or
enforcement actions by legal and supervisory authorities. It is
crucial that we maintain and safeguard the integrity of the
financial system and conduct our business in line with
applicable laws and regulations. Business conduct risks are
managed by having proper policies and processes in place, as
well as promoting ethical behaviour and responsible business
conduct among employees.
Personal data integrity risks
Personal data integrity risks relate to data privacy, data
retention and adherence to the General Data Protection
Regulation (GDPR). We operate a personal data integrity
programme to protect the data of clients and employees, to
support the organisation in its obligations and to foster
awareness, as well as to establish internal policies, advise on
data privacy matters and monitor compliance with data
privacy laws.
13. Financial reporting risk
The Management Board is responsible for designing and
implementing an adequate system of internal control for our
financial reporting. The system is designed to provide
reasonable assurance as to the reliability of financial
reporting and that the financial statements are prepared in
accordance with generally accepted accounting principles
and applicable legislation and regulations.
We have the following tools in place to manage financial
reporting risks:
\u2013 Periodic management reports and KPI dashboards,
accompanied by analysis of financial and non-financial
figures and trends;
\u2013 A risk and control framework describing processes and
procedures, and setting out primary controls such as
authorisations and segregation of duties;
\u2013 The findings from the review of the operational
effectiveness of the internal control system by Internal
Audit, which are discussed with the Management Board,
the Audit Committee and the Supervisory Board;
\u2013 The Van Lanschot Kempen Accounting Manual, which
sets out the principles we pursue with respect to financial
accounting;
\u2013 Assessment and approval of the annual report by the
Management Board and discussion of this by the Audit
Committee and by the Supervisory Board.
The management teams of the relevant divisions have
provided the Management Board with in-control statements
on the extent of internal control, based on the results of
testing procedures for the risk and control framework, the
risks reported on a quarterly basis, the follow-up of these
risks, and the incidents reported. Risk Management and
Compliance have evaluated these statements and verified
that the business is in control. As well as mitigating reporting
risk, in-control statements are a key cornerstone of the
organisation's operational resilience.
14. Fair value
14.1 Financial assets at fair value through profit or loss
A portion of the financial instruments are measured at fair
value in the statement of financial position. Tables 14.1.A and
14.1.B provide a breakdown of these instruments into three
levels. The fair value is based either on quoted prices in active
markets, inputs other than quoted prices that are observable
in the market, or inputs based on data not observable in the
market.
We have developed a policy on the criteria for allocating
financial instruments recognised in the statement of financial
position at fair value to each of the three levels. A review is
carried out at the end of each reporting period to determine
whether any changes have taken place in the hierarchy
between the levels.
Level 1: Quoted prices in active markets
The fair value of financial instruments traded in an active
market is based on the price at the reporting date (market
price). The bid price is applied for financial assets and the
offer price for financial liabilities. Since these instruments are
traded in an active market, their prices adequately reflect
current and frequent market transactions between unrelated
parties.
Level 2: Inputs observable in the markets
The fair value of financial instruments not traded in an active
market (e.g. over-the-counter financial derivatives) is
established using cash flow and option valuation models.
Using estimates, we make assumptions based on the market
conditions (observable data) at the reporting date.
The estimated present value of future cash flows is used to
determine the fair value of the other financial instruments.
The fair value of interest rate swaps is calculated as the
present value of estimated future cash flows. The discount
rate is the same as the market interest rate at the reporting
date for a similar instrument subject to the same conditions,
taking into account collateral furnished under credit support
annexes (CSAs).
The fair value of forward currency contracts is calculated by
reference to forward exchange rates at the reporting date.
This is subsequently discounted to determine the present
value.
Estimates and judgements made are based on past
experience as well as other factors, including expectations
with respect to future events that could reasonably occur
given current circumstances. Estimates and judgements are
assessed on an ongoing basis.
Level 3: Significance of unobservable market data
The financial instruments in this category are assessed on an
individual basis. Their valuation is based on the best estimate
of management by reference to the most recent prices, prices
of similar instruments and, to a not insignificant extent,
information not observable in the market. Unobservable
inputs may include volatility, correlation, seasonality and
credit spreads.
A valuation technique is used in which at least one input that
has a significant effect on the instrument\u2019s valuation is not
based on observable market data. Valuation techniques used
include:
\u2013 The net asset value method;
\u2013 Discounted cash flow projections based on reliable
estimates of future cash flows;
\u2013 The option model.
A significant effect on the instrument\u2019s valuation is
considered to be present when the unobservable input
accounts for at least 10% of the total instrument\u2019s fair value
and exceeds a threshold of \u20ac50,000. The effect of fair value
adjustments on the instrument\u2019s valuation is included in the
assessment.
Table 14.1.A Financial instruments at fair value at 31/12/2023
Level 1
Level 2
Level 3
Total
Assets
Derivatives (FVPL)
36,829
303,097
2,600
342,526
Financial assets at fair value through profit or loss
198,435
28,197
7,960
234,593
Financial assets at fair value through other comprehensive income
2,208,514
\u2014
\u2014
2,208,514
Total assets
2,443,778
331,294
10,561
2,785,633
Liabilities
Derivatives (FVPL)
36,764
206,013
2,800
245,578
Financial liabilities at fair value through profit or loss
455
466,217
\u2014
466,672
Total liabilities
37,219
672,230
2,800
712,249
Table 14.1.B Financial instruments at fair value at 31/12/2022
Level 1
Level 2
Level 3
Total
Assets
Derivatives (FVPL)
35,623
513,611
408
549,642
Financial assets at fair value through profit or loss
316,620
54,320
8,579
379,519
Financial assets at fair value through other comprehensive income
1,704,938
\u2014
\u2014
1,704,938
Total assets
2,057,181
567,931
8,987
2,634,099
Liabilities
Derivatives (FVPL)
35,614
182,648
8,241
226,503
Financial liabilities at fair value through profit or loss
2
421,323
52,559
473,884
Total liabilities
35,616
603,971
60,800
700,387
Transfers of financial assets or liabilities between levels
We have developed a policy document for the fair value
hierarchy. This divides the variables used into observable and
unobservable market inputs. If the unobservable input
variables are significant, the instrument is classified as Level
3. An unobservable input variable is significant if the change
in the fair value due to the application of the variable is
greater than the threshold values. Our policy is to recognise
transfers into and out of fair value hierarchy levels at the end
of the reporting period.
In 2023, our valuation technique remained unchanged, with
non-observable input variables being assessed on
significance. As a result of this assessment, some financial
instruments included in Derivatives (liabilities) and in
Financial liabilities at fair value through profit or loss have
been transferred from Level 2 to Level 3 and vice versa.
The Derivatives receivables and payables and Financial
liabilities at fair value through profit or loss were transferred
to Level 2 as a result of the input variables\u2019 correlation and
seasonality; the shorter remaining term to maturity of these
financial instruments meant that these input variables
qualified as non-significant, justifying a transfer to Level 2. In
the case of Derivatives (assets), there were no transfers from
Level 2 to Level 3 and vice versa. In the case of Financial
liabilities at fair value through profit or loss, it involved
transfers of \u20ac43.0 million from Level 3 to Level 2, there where
no transfers from Level 2 to 3. The transfer of Derivatives
(liabilities) includes a \u20ac3.8 million shift from Level 3 to Level 2.
Breakdown of movements in financial assets and liabilities
classified under Level 3
Tables 14.1.C and 14.1.D provide a breakdown of the
movements in all financial assets and liabilities classified as
Level 3 items and recognised at fair value in the statement of
financial position.
Table 14.1.C Breakdown of changes in financial assets less liabilities classified as Level 3 in 2023
At 1
January
To statement
of income
To equity2
Issues
Settlements
Transfers
At 31
December
Assets
Derivatives (FVPL)
408
\u2014
\u2014
2,600
-395
-13
2,600
Financial assets at fair value through profit
or loss
8,579
26
\u2014
230
-799
-76
7,960
Total assets
8,987
26
\u2014
2,830
-1,194
-89
10,561
Liabilities
Derivatives (FVPL)
8,241
-1,883
\u2014
2,541
-2,327
-3,772
2,800
Financial liabilities at fair value through
profit or loss
52,559
2,027
\u2014
\u2014
-11,578
-43,008
\u2014
Total liabilities
60,801
144
\u2014
2,541
-13,905
-46,780
2,800
Total assets less liabilities
-51,813
-117
\u2014
289
12,711
46,691
7,761
Table 14.1.D Breakdown of changes in financial assets less liabilities classified as Level 3 in 2022
At 1
January
To statement
of income
To equity2
Issues
Settlements
Transfers
At 31
December
Assets
Derivatives (FVPL)
225
\u2014
\u2014
408
-225
\u2014
408
Financial assets at fair value through profit
or loss
28,796
377
\u2014
\u2014
-20,595
\u2014
8,579
Total assets
29,021
377
\u2014
408
-20,820
\u2014
8,987
Liabilities
Derivatives (FVPL)
743
5,499
\u2014
-192
1,151
1,039
8,241
Financial liabilities at fair value through
profit or loss
56,019
-7,713
\u2014
8,094
-3,840
\u2014
52,559
Total liabilities
56,762
-2,214
\u2014
7,902
-2,689
1,039
60,801
Total assets less liabilities
-27,741
2,591
\u2014
-7,494
-18,131
-1,039
-51,813
Table 14.1.E Fair value changes recognised in
profit or loss of financial instruments classified as
Level 3
2023
2022
Realised
Unrealised
Total
Realised
Unrealised
Total
Income from securities and associates
-2
-92
-94
\u2014
250
250
Result on financial transactions
\u2014
-23
-23
\u2014
2,342
2,342
Total
-2
-115
-117
\u2014
2,591
2,591
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
2 The changes in value recognised in equity are included in the statement of comprehensive income as Revaluation of financial assets at fair value through other
\u00a0 \u00a0 comprehensive income.
Table 14.1.F Notes on valuation inputs and relationships to fair value using unobservable market inputs (Level 3)
Fair value
Significant
unobservable inputs
Range of inputs (probability-
weighted average)3
Relationships of
unobservable inputs
to fair value4
31/12/2023
31/12/2022
31/12/2023
31/12/2022
Assets
Derivatives
Structured product
derivatives
\u2013 Equity swaps
2,600
408
Volatility
15.5% - 21.9%
(17.7%)
16.0% - 24.7%
(20.2%)
Changed volatility (6.4
percentage points)
would decrease fair
value by \u20ac3.0m
Correlation
-14.4% - 19.4%
(1.0%)
-19.9% - 23.6%
(4.4%)
Changed correlation
(48.6 percentage
points) would decrease
fair value by \u20ac0.2m
Dividend
1.1% - 3.4%
(2.3%)
0.9% - 5.8%
(4.1%)
Changed dividend (2.4
percentage points)
would decrease fair
value by \u20ac0.3m
Financial assets at fair
value through profit or loss
Debt instruments: company
cumprefs (shareholdings)
(FVPL mandatory)
1,124
1,623
Interest rates
6% - 10% (8%)
6% - 10% (8%)
Changed interest rate
(1.0 percentage points)
would decrease the
fair value by \u20ac0.0m
Discount rates
6% - 10% (8%)
6% - 10% (8%)
Changed discount rate
(1.0 percentage points)
would decrease the
fair value by \u20ac0.0m
Shares, unlisted
6,836
6,956
Most recent published
net asset values of the
underlying assets
n/a
n/a
n/a
Cost or lower market
value
n/a
n/a
n/a
Multiple analyses of
comparable companies
less a discount for
illiquidity and company
size based on EVCA
guidelines
n/a
n/a
n/a
Most recently known
share price
n/a
n/a
n/a
EBITA
n/a
n/a
n/a
Issue or transfer price
n/a
n/a
n/a
Market price on final
trading day
n/a
n/a
n/a
Face value less
provisions
n/a
n/a
n/a
Total assets
10,561
8,987
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
3 When no range of the significant unobservable input used in the valuation of the asset/liability applies, this is indicated by \"n/a\".
4 When there is no relationship of the unobservable input with the fair value of the asset/liability, this is indicated by \"n/a\".
Table 14.1.F Notes on valuation inputs and relationships to fair value using unobservable market inputs (Level 3) (continued)
Fair value
Significant
unobservable inputs
Range of inputs (probability-
weighted average) 5
Relationships of
unobservable inputs
to fair value6
31/12/2023
31/12/2022
31/12/2023
31/12/2022
Liabilities
Derivatives
Structured product
derivatives
\u2013 Equity swaps
2,800
8,241
Volatility
13.8% - 19.6%
(17.3%)
16.0% - 26.3%
(21.4%)
Changed volatility (5.8
percentage points)
would increase fair
value by \u20ac3.0m
Correlation
-20.1% - 25.8%
(1.9%)
-19.9% - 25.6%
(5.3%)
Changed correlation
(45.9 percentage
points) would increase
fair value by \u20ac0.1m
Dividend
2.9% - 6.1%
(3.5%)
0.9% - 5.8.%
(3.4%)
Changed dividend (3.2
percentage points)
would increase fair
value by \u20ac0.8m
Financial liabilities at fair
value through profit or loss
Structured debt
instruments
\u2014
52,559
Volatility
n/a
n/a
n/a
Correlation
n/a
n/a
n/a
Other financial liabilities at
fair value through profit or
loss
\u2014
2,126
Volatility
n/a
n/a
n/a
Correlation
n/a
n/a
n/a
Total liabilities
2,800
62,927
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
5 When no range of the significant unobservable input used in the valuation of the asset/liability applies, this is indicated by \"n/a\".
6 When there is no relationship of the unobservable input with the fair value of the asset/liability, this is indicated by \"n/a\".
14.2 Financial instruments at amortised cost
Table 14.2 shows the carrying amount and fair value of
financial instruments at amortised cost, with the exception of
line items Cash and cash equivalents and balances at central
banks, Other assets and Other liabilities. For these financial
instruments the carrying amount is a reasonable
approximation of the fair value.
The value of financial instruments at amortised cost is taken
as the amount for which the instrument could be exchanged
in a commercial transaction between willing parties, other
than in a forced or liquidation sale. If there is an active
market, we use the market value to determine the fair value.
For financial instruments for which no market prices are
available, the fair values shown in Table 14.2 are estimated on
the basis of the present value or using other estimation or
valuation methods.
Table 14.2 Financial instruments at amortised cost
31/12/2023
31/12/2022
Fair value
Carrying
amount
Fair value
Carrying
amount\u00a0
Level
Valuation method
Significant observable
and unobservable
market inputs
Assets
Due from banks
77,296
77,501
107,613
108,186
2
Discounted cash flows using
applicable money market
rates
Interest rate and
discount rate
Loans and advances to the
public and private sectors
8,602,008
9,161,433
8,799,384
9,363,958
3
Discounted cash flows using
current market fees for
comparable loans and taking
into account the
creditworthiness of the
counterparty
Interest rate, discount
rate and counterparty
credit risk
Other financial assets at
amortised cost
1,198,442
1,201,134
1,056,539
1,088,358
1
Quoted prices in active
markets
-
Total assets
9,877,746
10,440,068
9,963,537
10,560,503
Liabilities
Due to banks
252,367
250,504
386,985
387,063
2
Discounted cash flows using
applicable money market
rates for liabilities
Interest rate and
discount rate
Public and private sector
liabilities
12,401,813
12,573,814
12,771,653
12,726,194
3
Discounted cash flows using
applicable money market
rates for liabilities with a
comparable term to
maturity7
Interest rate, discount
rate and own credit risk
Issued debt securities
1,472,220
1,473,639
1,346,005
1,342,131
1
Quoted prices in active
markets
Interest rate and
discount rate
Subordinated loans
181,194
170,238
172,073
170,882
3
Discounted cash flows using
applicable money market
rates for debt instruments
with a comparable term to
maturity, taking account of
own credit risk
Interest rate, discount
rate and own credit risk
Total liabilities
14,307,595
14,468,194
14,676,716
14,626,270
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
7 The fair values of client deposits without contractual maturities (non-maturing deposits or NMDs) are approximated by the \"economic values\" that we calculate for\u00a0
\u00a0 these products as part of our interest rate risk management. We gauge their interest rate sensitivity (duration) by means of replicating portfolios, in which NMDs are
\u00a0 \"invested\" in fixed income instruments (swaps) with various interest rate maturities. To arrive at economic values, we discount these replicating portfolio investments\u2019
\u00a0 cash flows at current market interest rates (swap rates).
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialRiskManagementExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-639": { "value": "
1. Risk, capital management and compliance
Our front-office functions are essential in delivering services
to our clients. The risk management function \u2013 which
comprises Compliance, Financial Risk Management and Non-
Financial Risk Management \u2013 supports the front office,
clients and other stakeholders in ensuring that the risks taken
by Van Lanschot Kempen are controlled and comply with our
risk appetite and legal requirements. This section describes
our risk appetite, the organisational and governance
arrangements that are in place regarding risk management,
and the three lines of defence principle. After describing
these general arrangements, the section continues with
credit risk, market risk, settlement risk, credit valuation
adjustment (CVA) risk, strategic risk, interest rate risk,
liquidity risk, securitisation risk, climate change and
sustainability risk, operational risk, compliance risk, financial
reporting risk and assets at fair value.
1.1 Risk appetite
Solid capital and liquidity ratios are essential prerequisites for
a successful proposition to our clients and the financial
stability of Van Lanschot Kempen in general. This is reflected
in our risk appetite statement. We aim to have a simple and
transparent balance sheet.
We have a robust risk appetite framework in place. Every
year, the Management Board assesses and updates the risk
appetite statement, which translates our risk appetite into
strategic limits. The risk appetite statement is then submitted
to the Supervisory Board for review and approval. Quarterly
risk appetite reports serve as important discussion
documents for the continuous review of our risk profile.
1.2 Organisation of risk, capital management and
compliance
The purpose of our risk management framework is to identify
and analyse risks at an early stage, as well as to mitigate and
monitor those risks. Adequate internal control procedures
and reporting systems, including the application of standards
and limits, are key elements of our risk management
framework.
The organisation of our risk management framework is based
on the three lines of defence principle. Day-to-day
responsibility for risk control lies with the front office and/or
operational departments (the first line of defence), including
Internal Control and Finance, Reporting & Control.
Compliance, Financial Risk Management and Non-Financial
Risk Management form the second line of defence for
financial and non-financial risks. These departments are
responsible for initiating risk policies and the supervision of
controls within Van Lanschot Kempen.
Internal Audit forms the third line of defence and is
responsible for performing independent audits on activities
of the first and second line. The department reports to the
Chair of the Management Board and to the Chair of the Audit
Committee. The three lines of defence set-up creates a clear,
balanced and appropriate division of tasks, powers and
responsibilities, and ensures independent and effective
operation of the risk management function.
Financial Risk Management and Asset & Liability
Management (ALM) stand at the core of capital management.
We actively manage our capital base to cover risks inherent
to our business and meet the capital adequacy requirements
of De Nederlandsche Bank (DNB). The adequacy of our
capital is monitored by using the rules and ratios established
by the Basel Committee on Banking Supervision as
transposed into EU law through the Capital Requirements
Regulation (CRR). This legal framework also forms the basis
for supervision by DNB through the Capital Requirements
Directive (CRD) and the Financial Supervision Act (Wft). Over
the reporting period, we fully complied with all capital
requirements. Both external and internal capital adequacy
targets are taken into account, and the central focus is on
safeguarding our financial solidity and stability. Each year, a
capital and funding plan is prepared for capital management
purposes.
Table 1.2 Risk, capital management and compliance framework
Supervision
1.2.1
Supervisory Board
\u2013 Risk and Compliance Committee
\u2013 Audit Committee
Risk, capital management and compliance
1.2.2
Management Board
\u2013 Group Risk Committee
\u2013 Credit Risk Committee
\u2013 Market Risk Committee
\u2013 Asset & Liability Committee
\u2013 Sustainability Board
\u2013 Compliance & Operational Risk Committee
Implementation and review
1.2.3
Financial Risk
Management,
Non-Financial Risk
Management, and
Compliance
Internal Audit
Asset & Liability
Management
Finance,
Reporting &
Control
Execution
1.2.4
Client
Management &
Origination
Investment
Strategies &
Solutions
Treasury
Credit Approval
and Financial
Restructuring &
Recovery
1.2.1 Supervision
The Supervisory Board oversees the risks and capital
requirements in relation to the group\u2019s operations and
portfolio composition.
The Risk and Compliance Committee focuses on all identified
risks in the group\u2019s business activities, as well as the risk
management framework. Compliance risks and matters
regarding duty of care are also discussed in this committee,
which also prepares decision-making by the Supervisory
Board on risk matters.
The Audit Committee is tasked with advising the Supervisory
Board on financial reporting, internal and external audits.
1.2.2 Risk, capital management and compliance
The Management Board is responsible for developing and
executing Van Lanschot Kempen's strategy. This includes our
capital and funding plan, which is based on a number of risk,
capital management and compliance policies.
The primary objective of our capital management is to ensure
that we comply with external and internal capital
requirements in order to support our businesses and to
create value for our stakeholders. We manage our capital
structure by taking into account changes in economic
conditions and the risk characteristics of our activities. To
maintain and/or manage our capital structure, we may adjust
the amount of dividend payments to shareholders, return
capital to shareholders or issue capital securities. These
adjustments are under constant review by the Management
Board. Lastly, requests or demands by our supervisors DNB
and/or ECB can also influence capital management.
The Management Board also bears responsibility for ensuring
the proper operation of the processes that safeguard the
group\u2019s liquidity and capital position. In addition, it is required
to provide information to the Supervisory Board, which in
turn assesses the risk appetite of the group. To ensure the
various risk types are managed properly, the Management
Board has set up the following risk and compliance
committees:
Group Risk Committee
The Group Risk Committee, discusses group-wide risk
management themes.The committee brings together,
discusses and monitors the various risk types on an
integrated level. The committee sets the annual risk appetite
statement and discusses the risk appetite report and
emerging trends in the risk profile. Other areas covered
include recovery and resolution planning.
The committee includes all members of the Management
Board. The CRO chairs this committee, with other members
representing Financial Risk Management, Non-Financial Risk
Management and Compliance.
Credit Risk Committee
The Credit Risk Committee sets and adjusts the group\u2019s
overall credit risk policy and translates this into acceptance
and portfolio management policies. In executing its tasks, the
committee bears in mind our strategic objectives and the
guiding principles informing the risk appetite statement. The
committee is also responsible for all IRB and IFRS models.
This committee includes the CRO and the Management
Board member responsible for Client Management &
Origination. The CRO chairs this committee; other members
represent Financial Risk Management, Private Clients and
Credit Approval and Financial Restructuring & Recovery.
Market Risk Committee
The Market Risk Committee focuses on all market risks
within Van\u00a0Lanschot Kempen. Market risk is the risk of loss as
a result of changes in market variables, including interest
rates (excluding interest rate risk in the banking book),
exchange rates and equity prices. It also considers variables
not directly observable in the market, such as volatility and
correlations, which also influence the value of certain
financial instruments. Market risks at Investment Banking
Clients arise from securities trading to facilitate our clients
(mainly equities and equity derivatives). Van Lanschot
Kempen is exposed to a certain amount of market risk (mainly
foreign exchange and structured products activities) through
its treasury activities. Our foreign exchange risk is limited, as
transactions involving currency exchanges are offset in the
market within very tight limits. Van Lanschot Kempen is also
exposed to market risk as a result of management book
investments.
This committee includes the CRO and the CFO. The CRO
chairs the committee, with other members representing
Financial Risk Management, Investment Banking, Trading &
Sales and Treasury.
Asset & Liability Committee
The Asset & Liability Committee (ALCO) is responsible for
managing risks that result from mismatches between assets
and liabilities (interest rate and liquidity risks), as well as the
capital position of the bank. ALCO\u2019s main task is to\u00a0 oversee
the asset and liability management process. The committee
sets policies on interest rate risk in the banking book1,
liquidity and funding risk, funds transfer pricing and
capitalisation, and it monitors the development of the balance
sheet and balance-sheet projections.
This committee includes the Chair of the Management Board,
the CRO, the CFO and the Management Board member
responsible for Client Management & Origination. The CFO
chairs the committee, with other members representing ALM,
Treasury, Financial Risk Management and Finance Reporting
& Control.
Compliance & Operational Risk Committee
The Compliance & Operational Risk Committee is responsible
for the implementation and execution of our compliance and
operational risk management policies. The committee
assesses compliance and operational risks, and ensures
remedial actions are taken where required. The committee
also challenges and approves the annual plans of the Non-
Financial Risk Management and Compliance departments.
Among other matters, the root causes of major operational
risk incidents are discussed in this committee.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 The banking book comprises all assets not held for trading under the regulatory definition.
This committee includes the Chair of the Management Board,
the CRO, the CFO, the Management Board member
responsible for Private Banking and Investment Banking
clients, the Board member responsible for Investment
Management clients, and the General Counsel/Company
Secretary. The CRO chairs this committee, with other
members representing Non-Financial Risk Management,
Compliance and Financial Risk Management. The Head of
Internal Audit has a standing invitation to attend.
Sustainability Board
The Sustainability board is responsible for driving and
implementing the sustainability strategy for Van Lanschot
Kempen and is accountable for embedding sustainability-
related goals in our own organisation, our balance sheet and
our investments. In addition, the Sustainability Board is the
risk owner for all sustainability-related risks within
Van\u00a0Lanschot Kempen and responsible for all sustainability-
related policies, KPI setting, risk appetite setting and
sustainability monitoring.
The Sustainability Board is chaired by the CEO, with the
Management Board member responsible for Investment
Management clients and other members representing\u00a0
Private Clients, Financial Risk Management, Compliance,
Strategy, IT and Procurement.
Second-line departments (FRM, NFRM and Compliance) take
the lead in preparing the meetings of the committees
described above, with the exception of ALCO, where Asset &
Liability Management is in charge, and the Sustainability
Board, where the Corporate Sustainability Centre is in
charge. We also have a number of committees that form part
of the first line of defence and that cover specific risk-related
topics, such as the Credit Committee and Client Management
& Origination's Product Approval & Review Committee.
1.2.3 Implementation and review of risk, capital
management and compliance policies
Implementation and monitoring of our risk and capital
policies is carried out by Financial Risk Management, Non-
Financial Risk Management, ALM and Finance, Reporting &
Control. In addition, Compliance carries out the
implementation, monitoring and/or review of compliance
policies.
Financial Risk Management is responsible for:
\u2013 Second-line monitoring and management of all risks
relating to the statement of financial position at group
level, including modelling, measuring, managing and
reporting on our credit, market, interest rate, liquidity and
strategic risks;
\u2013 The risk appetite process;
\u2013 Preparing, developing and maintaining policy documents;
\u2013 Issuing daily market risk reports;
\u2013 Proactively and reactively providing advice on managing
risks;
\u2013 Raising risk awareness among staff in order to improve
their ability to strike a sound balance between risk and
return.
Non-Financial Risk Management is responsible for:
\u2013 Business continuity management;
\u2013 Information security (second-line monitoring);
\u2013 Preparing, developing and maintaining policy documents;
\u2013 Proactively and reactively providing advice on managing
risks;
\u2013 Raising risk awareness among staff in order to improve
their ability to strike a sound balance between risk and
return.
Financial Risk Management and ALM are responsible for:
\u2013 Preparing ICAAP and ILAAP documentation as well as the
recovery plan.
Finance, Reporting & Control is responsible for the financial
accounting and business control function. Through its various
reports, Finance, Reporting & Control fulfils an important role
in challenging the businesses. These reports include monthly
management reports and cost control reports, and are used
to monitor the progress of business plans.
Compliance has both an advisory and a monitoring role with
respect to compliance with applicable laws, rules, regulations,
internal policies and procedures, and industry standards
relevant for Van Lanschot Kempen. As compliance risks are
part of Van Lanschot Kempen's overall risk governance,
Compliance as an independent function is involved in and
supports the management of compliance risks by identifying,
assessing, monitoring and reporting on such risks.
Compliance risks include risks such as personal data integrity,
financial crime, business conduct and client protection risks.
Internal Audit periodically reviews parts of the design and
effectiveness of the risk organisation and the execution of
our risk, capital management and compliance policies in
accordance with their annual audit plan. The applicable
policies form the starting point for the independent review by
Internal Audit. Processes, infrastructure, organisation and
systems are audited based on these policies in order to
determine whether the organisation adequately executes its
risk, capital management and compliance policies.
1.2.4 Execution of risk, capital management and compliance
policies
Client Management & Origination (CMO) and Investment
Strategies & Solutions (ISS) prepare their own business plans.
On the basis of these plans, current and future risks are
assessed, including expected capital and liquidity
requirements. These assessments serve as input for the
various risk committees.
1.3 Capital requirements
The standards set by the Basel Committee on Banking
Supervision, and translated into law and regulations (CRR and
CRD, Wft), apply to all Dutch banks. The Basel framework
consists of three pillars:
\u2013 Pillar 1 stipulates capital requirements for credit, market
and operational risk.
\u2013 Pillar 2 requires banks to have internal processes for risk
management and to calculate the capital requirements
needed to address all risks that are not included in Pillar 1.
The Supervisory Review and Evaluation Process (SREP) is
also part of Pillar 2.
\u2013 Pillar 3 sets out requirements for disclosure of
information about the institution\u2019s risk profile to external
stakeholders.
Our website provides Pillar 3 disclosures (unaudited)
including a detailed breakdown of our portfolio of loans to
companies and institutions. Meanwhile, our remuneration
policy is explained both in a remuneration section of this
annual report and a Pillar 3 disclosure (unaudited), both also
on our website.
1.4 Individual risks
The following sections detail the individual risk types to
which we are exposed. They therefore cover a combination of
Pillar 1 and Pillar 2 capital requirements. The risk types
covered are:
\u2013 Strategic risk (Section 2);
\u2013 Credit risk (Section 3);
\u2013 Market risk (Section 4);
\u2013 Settlement risk (Section 5);
\u2013 CVA risk (Section 6);
\u2013 Interest rate risk (Section 7);
\u2013 Liquidity risk (Section 8);
\u2013 Securitisation risk (Section 9);
\u2013 Climate change and sustainability risks (Section 10);
\u2013 Operational risk (Section 11);
\u2013 Compliance risk (Section 12);
\u2013 Financial reporting risk (Section 13).
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3. Credit risk
Credit risk is defined as the risk that a counterparty or client
is no longer able to fulfil its obligations. Our credit risk
policies focus on the counterparty risks associated with
lending to private clients and SMEs. Strict selection criteria
for new clients and active credit management for existing
clients are applied to safeguard the quality of the loan
portfolio. Our lending activities are required to be in line with
stated objectives, and individual assessments are used to
ascertain this.
As well as from lending activities, credit risk also arises from:
\u2013 Investment activities;
\u2013 International payment transactions and cash
management;
\u2013 FX and hedging activities;
\u2013 Settlement risk.
Our investment activities relate to the management of our
liquidity buffer and equity investments. For the liquidity
buffer, a limit framework is in place to manage and monitor
associated credit risks.
Counterparty credit risk with respect to financial institutions
arises from international payment transactions, cash
management, FX and hedging activities. Some of these
activities also involve settlement risk. For derivatives
transactions, counterparty credit risk is mitigated by daily
margining.
We apply a strict policy when determining and monitoring
country and counterparty (financial institutions) limits. The
country limits serve as a cross limit for financial institutions,
meaning that the counterparty risks in respect of financial
institutions in one country are limited by the relevant country
limit, as the country limit is usually lower than the aggregate
of the individual counterparty limits.
Limits on financial institutions and countries are determined
using a number of hard criteria such as external ratings, BIS
ratios, capital ratios, country of origin and gross domestic
product (for countries). Limits can also be adjusted and
withdrawn on a daily basis.
3.1 Loans and advances
3.1.1 Credit acceptance
Our loan approval policy focuses on maintaining a high-
quality loan portfolio. The credit risk concentration mainly
lies within our Private Clients segment in the Netherlands.
Loan reviews and the authority to approve loans are
delegated to a limited number of teams, mainly our Credit
Approval team.
The authority to approve large loans rests with the Credit
Committee, which comprises representatives of the relevant
divisions as well as members of the Management Board.
The mid- and back-office for nearly all residential mortgage
loans is carried out by a third party. A service level agreement
(SLA) is in place to ensure adequate control of the operational
risks, including the outsourcing risk.
The acceptance process is not outsourced, with the exception
of our white label loans \u2013 residential mortgages offered by a
third party. The acceptance and management of credit risks
has been outsourced to this third party, within our strict
guidelines and in accordance with prevailing legal
requirements.
New loan requests are assessed to determine if they are in
line with our strategy and policies, and we adopt a
conservative approach to granting them.
3.1.2 Credit management \u2013 policy and processes
To achieve and attain a high-quality loan portfolio, strict
credit management is required. Credit management is carried
out at both individual loan and portfolio level. At the
individual loan level, explicit attention is devoted to the
management of unauthorised overdrafts and accounts past
due. Loans with an elevated risk profile are subjected to a risk
check. In addition, a portion of the portfolio is regularly
reviewed and the credit risk of individual clients is scrutinised
as part of this review. The frequency of reviews varies
according to the individual borrower\u2019s risk profile, but they
take place at least annually. In addition to financial analyses,
reviews take account of future developments in a client\u2019s
situation (partly in the light of relevant macroeconomic
trends).
A deterioration in a client\u2019s risk profile may lead to closer
supervision, an adjusted rating, corrective measures (such as
requiring additional collateral or increasing the frequency of
financial reporting), involvement of the Credit Approval and
Financial Restructuring & Recovery department or a
combination of these measures. It may also lead to a stage
transfer under IFRS 9 \u2013 see Section 3.8.
At portfolio level, credit risks are monitored on a monthly
basis. In addition, several early warning indicators are used to
draw up a watch list, which is discussed bi-monthly. A detailed
credit risk report and any relevant developments or expected
developments are discussed in the Credit Risk Committee on
a quarterly basis. Any negative trend identified in the risk
profile of a particular client segment, sector or loan type, can
lead to the adjustment of the relevant lending policy. Trends
in sectors where there is a concentration risk are monitored
particularly closely.
If the review, risk check, payment arrears or external signals
point to an increased risk of discontinuity, the Financial
Restructuring & Recovery team is involved in the credit
management process. An estimate is made of the probability
of continuity. Depending on the seriousness and magnitude of
the problem, either monitoring or intensive supervision is
applied. If there are objective indicators of impairment the
Financial Restructuring & Recovery team draws up an
impairment proposal. The Impairment Committee determines
the impairment for the whole credit portfolio on a quarterly
basis.
Active management of past due loans enables potential
problem loans to be identified at an early stage. If an
individual assessment identifies an increased risk, the
Financial Restructuring & Recovery team will supervise the
client. Increased credit risk occurs in situations including the
following:
\u2013 If clients fail to meet their payment obligations;
\u2013 If clients report difficulties in meeting future payments,
e.g. because of a divorce, unemployment etc.;
\u2013 In the event of a default (see Section 3.1.3);
\u2013 For business clients, in the event of a significant decrease
in turnover, breach of one or more covenants, a debt
service coverage ratio < 1, etc.
The primary goal of the Financial Restructuring & Recovery
team is to migrate clients back to accounts with regular status
(i.e. not under the supervision of Financial Restructuring &
Recovery) by reducing their credit risk. The aim is to do this in
accordance with the loan agreements made with these
clients, but forbearance measures are applied if necessary.
For more information on forborne exposures, see Section 3.2.
3.1.3 Credit risk measurement
We have developed internal models for measuring and
monitoring credit risk for the majority of the loan portfolio.
Some of these internal models are also used to determine the
required capital that has to be set aside for absorbing
unexpected credit losses. For this reason, the models, the use
of these models and the model governance have to adhere to
strict requirements set out in the CRR.
The CRR distinguishes three approaches for determining the
required capital for credit risk: the standardised approach
(SA), the foundation internal ratings-based (F-IRB) approach,
and the advanced internal ratings-based (A-IRB) approach.
We use SA and A-IRB for our loan portfolios.
The standardised approach prescribes a set of rules for
determining the required capital based on various
characteristics such as client type, loan type, collateral type,
and external rating. Under A-IRB, banks are allowed to use
own estimates for probability of default (PD), exposure at
default (EAD) and loss given default (LGD). PD is defined as
the likelihood that a client will default within one year, the
EAD is defined as the bank\u2019s expected exposure at the time a
client defaults, and the LGD is the expected loss percentage
in the event that a client defaults. As a result, A-IRB is more
risk-sensitive than SA.
We have approval from DNB to determine and report the
required regulatory capital for our residential mortgage
exposures portfolio using the A-IRB approach. Our models
are captured by our model governance framework.
As part of this, the performance of our A-IRB models is
periodically monitored, and these models are also periodically
validated against independent models.
The PD model is mostly based on behavioural aspects of the
client and the LGD models on the underlying collateral. For
the capital calculations a so-called downturn LGD is applied,
i.e. the expected loss at default during an economic downturn.
Estimation of the EAD is based on the limit and credit
utilisation.
The SA method has been used for capital calculations in all
our other retail and non-retail portfolios.
IRB equity portfolio
The IRB equity portfolio includes our positions in equities in
the investment portfolio, subordinated receivables, non-
controlling interests and shareholdings which appear on
Van\u00a0Lanschot Kempen's company statement of financial
position. We use the simple risk-weighted method to
calculate the risk-weighted assets for positions in shares.
In this method, a specific risk weighting (190%, 290% or
370%) is assigned to each position, based on a number of
characteristics. A risk weighting of 250% is applied for
significant investments in financial institutions that are not
deducted from equity because they fall below the regulatory
threshold. Positions taken in shares and subordinated loans
of wholly owned subsidiaries are excluded from IRB. These
are reported using the SA method.
Other loans and advances
The risk-weighted assets of other portfolios, such as the debt
securities in our investment portfolio managed by the
Treasury department (i.e. excluding retail, non-retail and
equity), are calculated on the basis of the SA method.
Definition of default and credit-impaired assets
Our definition of default is informed by EBA guidelines. Most
notably, the materiality threshold complies with the uniform
European standard. A financial asset is credit-impaired when
one or more events have occurred that have a detrimental
impact on the estimated future cash flows:
\u2013 A breach of contract such as a more than 90 days past due
event with a materiality of more than \u20ac100 and more than
1% of total credit obligation (retail exposures) or more
than \u20ac500 and more than 1% of total credit obligation for
non-retail exposures;
\u2013 Significant financial difficulty of the issuer or the
borrower and an inability to meet future payments;
\u2013 Concession(s) granted to the borrower that the lender
would not otherwise consider, relating to the borrower\u2019s
financial difficulties (forbearance);
\u2013 A growing likelihood that the borrower will enter
bankruptcy or other financial restructuring;
\u2013 The disappearance of an active market for that financial
asset because of financial market difficulties;
\u2013 The purchase or origination of a financial asset at a deep
discount that reflects the incurred credit loss.
It may not always be possible to identify a single discrete
event; instead the combined effect of several events may
have caused financial assets to become impaired. All impaired
assets are also classified as defaulted by Van\u00a0Lanschot
Kempen under CRR rules. Van Lanschot Kempen has
implemented one definition that serves for all its different
purposes.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.2 Forborne exposures
A loan is considered forborne if the borrower is unable to
meet their contractual obligations towards the bank and the
bank decides to make a concession to the client by modifying
the terms and conditions of the loan agreement. The
objective of this modification is to enable the borrower to
meet the renewed obligations, and it would not have been
offered if those circumstances had not arisen. Forbearance
actions may include one or more of the following measures:
\u2013 Amendment of the original terms and conditions of the
loan agreement that the client cannot meet due to
financial difficulties, with a view to restoring the client\u2019s
payment capacity;
\u2013 Full or partial refinancing of a forborne exposure.
The purpose of the measures taken in forbearance situations
is to maximise the chance of restoring the borrower\u2019s
payment capacity and to minimise the risk of losses due to
having to write off all or part of the loan. Measures must offer
the client an appropriate and sustainable solution, enabling
them to comply with the original obligations arising from the
credit agreement in due course.
Applying forbearance measures is exclusively reserved for
the Financial Restructuring & Recovery team, which pursues
a policy based on general principles and translates this to the
specific situation of the individual client. Given the nature of
these loans, the Financial Restructuring & Recovery team
carries out intensive credit management. Before any new
arrangements are agreed, a detailed analysis is made of the
client, their financial situation and the likelihood of income
recovery. The outcome of this analysis may have
consequences for the client\u2019s review frequency and the size
of any loan loss provision to be made. If the client qualifies for
appropriate forbearance measures, a proposal will be drawn
up and submitted to the competent assessor(s) for approval.
If a forbearance measure is granted, the client is classified as
a non-performing exposure.
In practice, forbearance measures do not always have the
desired effect \u2013 i.e. the recovery of the client\u2019s payment
capacity or an end to the process of declining payment
capacity. This may, for example, be the result of a further
deterioration in the client\u2019s financial circumstances or the
failure of those circumstances to improve as expected. Such
cases are reanalysed and a strategy is redefined. However,
the principle is explicitly maintained that the forbearance
measure must be appropriate, sustainable and effective. Any
new arrangements agreed with the borrower must also meet
these strict criteria.
A forbearance situation ends when the non-performing
status has no longer been applied to the loan for a probation
period of two years. The non-performing status must last a
minimum of one year starting from the last forbearance
measure. Moreover, the client must have made significant
and regular payments of interest and/or principal during at
least half of the probation period. During the two-year
probation period, no payments by the borrower may be in
arrears for more than 30 days. If this condition is not met, the
probation period will start again from the date the client is no
longer in arrears for more than 30 days.
The recording and monitoring of loans which are subject to
forbearance is carried out by the Financial Restructuring &
Recovery team. Each quarter, and where appropriate more
frequently for specific loans, an individual assessment is
carried out of forborne exposures which are in default, in
relation to any provision made. In addition to this quarterly
assessment (as part of the provisioning process), these loans
are subject to extensive credit risk management, the intensity
and frequency of which will as far as possible match the
specific circumstances of the loan.
Tables 3.2.A through 3.2.C show the total volume of forborne
exposures. We apply several types of forbearance measures
(see Table 3.2.A).
Following the decision to apply such a measure, a loan
remains under the supervision of the Financial Restructuring
& Recovery team until the forbearance situation has ended.
Table 3.2.A Types of forborne exposure
31/12/2023
31/12/2022
Total
26,210
27,667
Capitalisation of arrears/interest
\u2014
430
Refinancing or new loans
1,881
2,954
Interest payment only
\u2014
488
Reduction of repayments
7,619
9,320
Deferred payment of financing costs
741
417
Extension of loan term
2,548
11,593
Reduction in interest rate
3,747
2,466
Sale by agreement/assisted sale
1,041
\u2014
Other alteration of contract conditions/covenants
8,364
\u2014
Partial or total debt forgiveness
268
\u2014
Tables 3.2.B and 3.2.C provide an insight into the underlying
collateral of forborne loans. This breakdown is based on the
collateral used under Basel regulations, with the exception of
commercial real estate, for which collateral is based on
market values. The value in the Total primary collateral
column is the lower of the subscription value or the value of
the collateral.
Table 3.2.B Forborne exposures by collateral at 31/12/2023
Balance
outstanding
Mortgage
collateral
Commercial real
estate
Financial
collateral
Total primary
collateral
Secondary
collateral and
unsecured loans
Total
26,210
2,368
16,596
2,044
21,008
5,202
Mortgage loans
2,368
2,368
\u2014
\u2014
2,368
\u2014
Current accounts
5,550
\u2014
\u2014
2,044
2,044
3,505
Loans
18,293
\u2014
16,596
\u2014
16,596
1,697
Table 3.2.C Forborne exposures by collateral at 31/12/2022
Balance
outstanding
Mortgage
collateral
Commercial real
estate
Financial
collateral
Total primary
collateral
Secondary
collateral and
unsecured loans
Total
27,667
2,531
8,874
9,711
21,116
6,551
Mortgage loans
2,531
2,531
\u2014
\u2014
2,531
\u2014
Current accounts
14,598
\u2014
\u2014
9,711
9,711
4,887
Loans
10,538
\u2014
8,874
\u2014
8,874
1,664
Write-off policy
We write off loans as soon as there is sufficient certainty
about the loss after the sale of collateral and after exploring
other redress opportunities.
3.3 Breakdown of the loan portfolio
We adopt a cautious approach to granting unsecured loans.
Our loan book mainly consists of loans to Private Clients such
as loans secured by residential real estate, a number of
commercial real estate loans and Lombard loans. The
remainder of the loan portfolio comprises consumer loans
and customised financing for private banking clients.
Mortgage loans also include Kempen Dutch Inflation Fund, a
fund that invests in leasehold contracts primarily in
connection with Dutch residential real estate to create an
investment in long-term inflation-linked cash flows.
Table 3.3 Breakdown of loan portfolio by
entity excluding impairments
31/12/2023
31/12/2022
Limit
Utilisation
Limit
Utilisation
Total
9,672,400
9,199,580
9,788,935
9,403,957
Van Lanschot Kempen
9,136,786
8,810,598
9,261,440
8,973,764
Kempen Dutch Inflation Fund
132,786
132,786
163,062
163,062
Other
402,828
256,196
364,433
267,131
3.4 Collateral
In general, collateral can be used for all current and future
amounts owed by a debtor. In addition to residential
mortgage collateral and guarantees provided by governments
and credit institutions, commercial real estate, financial
collateral, receivables, stocks and inventories may serve as
collateral.
Tables 3.4.A and 3.4.B provide insight into the underlying
collateral of the loan portfolio.
Table 3.4.A Loans and advances to the public and private sectors by collateral at 31/12/2023
Balance
outstanding
Mortgage
collateral
Commercial
real estate
Financial
collateral
Other
Total
collateralised
loans
Unsecured
loans
Total
9,303,365
7,401,403
109,032
631,503
273,668
8,415,607
887,758
Mortgage loans
6,851,876
6,760,199
7,310
842
1,929
6,770,280
81,596
Loans
1,790,128
537,152
95,411
361,308
268,136
1,262,007
528,121
Current accounts
409,293
67,725
6,311
134,203
3,604
211,843
197,450
Securities-backed loans and settlement
receivables
248,976
36,327
\u2014
135,150
\u2014
171,477
77,499
Subordinated loans
3,092
\u2014
\u2014
\u2014
\u2014
\u2014
3,092
Table 3.4.B Loans and advances to the public and private sectors by collateral at 31/12/2022
Balance
outstanding
Mortgage
collateral
Commercial
real estate
Financial
collateral
Other
Total
collateralised
loans
Unsecured
loans
Total
9,594,137
7,516,452
149,649
725,364
300,562
8,692,026
902,111
Mortgage loans
6,938,851
6,869,041
8,262
1,003
468
6,878,774
60,077
Loans
1,819,385
511,050
133,392
328,645
297,263
1,270,350
549,035
Current accounts
572,801
99,767
7,995
217,252
2,831
327,844
244,956
Securities-backed loans and settlement
receivables
263,101
36,595
\u2014
178,463
\u2014
215,058
48,043
Tables 3.4.A and 3.4.B have been drawn up on the basis of the
definitions contained in the Basel regulations. The balance
outstanding is the carrying amount excluding value
adjustments for fair value hedge accounting. The collateral
value is the lower of the balance outstanding of the related
loan or the value of the collateral itself.
The category Other mainly comprises loans for which
collateral has been pledged in the form of operating assets,
inventories and receivables, as well as collateral which for
technical reasons is not directly linked to a specific loan. The
total amount of unsecured loans is small.
The loan-to-value (LTV) of our mortgage loans is based on
indexed foreclosure values, in line with generally accepted
standards for LTV determination. The weighted average LTV
at year-end 2023 was 64% (2022: 63%).
3.5 Concentration within the loan portfolio
About 92% (2022: 91%) of our loan portfolio consists of loans
to our private wealth clients. For the credit risk in this
portfolio, see Section\u00a03.8, Loss allowance for expected credit
losses. We aim for a diversified loan portfolio, reflecting our
risk appetite. We have set limits for concentrations in
individual sectors.
3.5.1 Individual loan concentrations
The ten largest loans to individual clients other than financial
institutions totalled \u20ac179 million at year-end 2023, compared
with a total loan portfolio of \u20ac7.8 billion (2022: \u20ac227 million;
total loan portfolio \u20ac8.1 billion). In this calculation, Lombard
loans secured by non-single stock are excluded.
3.5.2 Geographical concentrations
In line with our strategy, the majority of lending takes place in
the Netherlands. The geographical breakdown is based on
client locations.
Table 3.5.2 Loans and advances to the public and private sectors by geographical area
31/12/2023
31/12/2022
Total
9,161,433
9,363,958
Netherlands
8,486,270
8,654,618
Belgium
464,301
472,882
Other
210,862
236,459
3.6 Encumbered and unencumbered assets
Certain items in the statement of financial position are
classified as encumbered. Tables 3.6.A and 3.6.B provide
insight into the financial assets treated as encumbered. These
tables have been drawn up on the basis of carrying value.
Encumbered assets
Pledged as collateral:
\u2013 Cash pledged to a counterparty bank or central clearing
party as security for obligations stemming from
derivatives (CSA contracts);
\u2013 Investments in debt instruments pledged to DNB or
counterparty banks in the context of payments, repo
transactions or securities and derivatives clearing
purposes;
\u2013 Mortgage loans and receivables that act as a guarantee
for debt instruments which have been been placed with
institutional investors in the form of covered bonds or
have been pledged as collateral to DNB, e.g. for
transaction settlements.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 Other:
\u2013 Statutory reserve deposits with central banks;
\u2013 Reserve accounts of the covered bond entities to which
we have no access.
Unencumbered assets
Eligible as collateral:
\u2013 Investments in debt instruments which appear on the
ECB eligible list of marketable assets but are not classified
as encumbered at the reporting date;
\u2013 Mortgage loans and advances on underlying debt
instruments which are held by us and which appear on the
ECB eligible list of marketable assets but are not classified
as encumbered at the reporting date.
Table 3.6.A Encumbered and unencumbered
assets
Encumbered assets
Unencumbered assets
31/12/2023
Pledged as
collateral
Other
Eligible as
collateral
Not eligible as
collateral
Total
Total
2,081,098
129,779
3,237,799
10,359,817
15,808,493
Cash and cash equivalents and balances at central
banks
\u2014
123,637
\u2014
2,801,681
2,925,318
Due from banks
41,948
6,142
\u2014
29,411
77,501
Financial assets at fair value through profit or loss
\u2014
\u2014
130,245
104,348
234,593
Financial assets at fair value through other
comprehensive income
20,428
\u2014
1,785,096
402,990
2,208,514
Loans and advances to the public and private
sectors
1,830,000
\u2014
525,000
6,806,433
9,161,433
Other financial assets at amortised cost
188,722
\u2014
797,458
214,954
1,201,134
Table 3.6.B Encumbered and unencumbered
assets
Encumbered assets
Unencumbered assets
31/12/2022
Pledged as
collateral
Other
Eligible as
collateral
Not eligible as
collateral
Total
Total
1,932,706
137,549
2,718,923
10,997,565
15,786,744
Cash and cash equivalents and balances at central
banks
\u2014
128,940
\u2014
3,012,845
3,141,785
Due from banks
46,463
8,610
\u2014
53,113
108,186
Financial assets at fair value through profit or loss
54,799
\u2014
175,828
148,891
379,518
Financial assets at fair value through other
comprehensive income
62,298
\u2014
1,332,544
310,096
1,704,938
Loans and advances to the public and private
sectors
1,696,010
\u2014
382,600
7,285,348
9,363,958
Other financial assets at amortised cost
73,136
\u2014
827,951
187,272
1,088,358
3.7 Netting of financial assets and liabilities
Tables 3.7.A and 3.7.B show the netting of financial assets and
liabilities. The right to net derivatives is laid down in a master
netting agreement per counterparty. For information about
the netting criteria, see \u201cSummary of significant accounting
principles\u201d.
Table 3.7.A Netting of financial assets and liabilities\u00a0 31/12/2023
Gross
Gross in the
statement of
financial position
Net in the
statement of
financial position
Related amounts
not netted in the
statement of
financial position
Net
Derivatives (assets)
882,882
540,356
342,526
126,341
216,185
Derivatives (liabilities)
785,934
540,356
245,578
126,341
119,237
Table 3.7.B Netting of financial assets and liabilities\u00a0 31/12/2022
Gross
Gross in the
statement of
financial position
Net in the
statement of
financial position
Related amounts
not netted in the
statement of
financial position
Net
Derivatives (assets)
816,045
266,403
549,642
98,302
451,340
Derivatives (liabilities)
492,906
266,403
226,503
98,302
128,201
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.8 Loss allowance for expected credit losses
Under the IFRS 9 standard, we recognise a loss allowance for
ECL on financial assets measured at amortised cost or fair
value through other comprehensive income, as well as for
financial guarantees and loan commitments. When there is no
significant deterioration in credit risk since initial recognition,
ECL is recognised based on a 12-month expected credit
losses (Stage 1). When a significant increase in credit risk has
occurred, ECL is recognised based on a lifetime ECL (Stage 2).
For impaired loans (Stage 3), a lifetime ECL is recognised.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.8.1 Expected loss measurement
We measure expected credit losses by using a sophisticated
approach and an alternative approach. For the sophisticated
approach we use models to calculate the ECL, governed by a
model governance framework. Under this framework, the
performance of the models is periodically monitored, and
these models are also periodically validated. In 2023, the
following IFRS 9 models were validated: exposure at default
(EAD) model, loss given no cure (LGN) model and the macro
economic variables (MEV) generator. Every quarter, the
models are subject to performance monitoring. If models are
performing outside the agreed threshold, recalibration or
ultimately redevelopment will follow. In recent years, several
recalibrations have been carried out; no redevelopment has
yet been necessary.
In both approaches, ECL reflects an unbiased probability-
weighted amount that is determined by evaluating a range of
possible outcomes, the time value of money, and reasonable
and verifiable information that is available without undue
cost or effort at the reporting date about past events, current
conditions and forecasts of future economic conditions. Both
approaches calculate a 12-month and a lifetime ECL for the
exposures of all three stages.
After the risk stage determination in the stage calculation,
the relevant ECL is assigned:
\u2013 12-month ECL for Stage 1;
\u2013 Lifetime ECL for Stage 2 and Stage 3.
The key elements of the ECL calculation are the probability of
default (PD), exposure at default (EAD), cure rate (CR), and
loss given non-cure (LGN). LGN is an estimate of the loss
arising in the event of a default without cure occurring at a
given time. It is based on the difference between the
contractual cash flows due and those that the lender would
expect to receive, including from the realisation of any
collateral.
In addition to these four key elements, we incorporate
forward-looking information for the sophisticated approach.
We identify macroeconomic variables and consider three
macroeconomic scenarios in calculating ECL:
\u2013 A base-case scenario;
\u2013 An upside scenario;
\u2013 A downside scenario.
These scenarios are associated with different PDs, EADs and
LGNs. In the process of building the PD, cure rate and LGN
models for IFRS, we included several macroeconomic risk
drivers in the long list of risk drivers. Those determined as
best-performing during modelling were selected to be part of
the model. The macroeconomic scenarios are generated
based on inputs from CPB Netherlands' Bureau for Economic
Policy Analysis, DNB, ECB and Van Lanschot Kempen\u2019s
economic experts. The reported ECL (12-month or lifetime,
depending on the stage) is a weighted ECL average per
macroeconomic scenario. The table below shows the
macroeconomic variables used for the sophisticated
approach. However, we believe our models do not fully
incorporate the unique current economic environment. To
address the uncertain economic environment, we have
applied a management overlay (see Section 3.8.7).
Model
Macroeconomic variables
PD calibration
\u2013 Gross domestic product (GDP)
\u2013 Volume of exports (EXP)
Cure rate
\u2013 Residential real estate price (RREP)
\u2013 Volume of exports (EXP)
LGN
\u2013 Gross domestic product (GDP)
\u2013 Residential real estate price (RREP)
\u2013 Unemployment (UNEMP)
EAD
n/a
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.8.2 Significant deterioration in credit risk
To determine the deterioration in credit risk of a financial
instrument since initial recognition, we compare the risk of
default at the reporting date with the risk of default on initial
recognition.
To calculate the lifetime probability of default (LPD) at
origination and the LPD at reporting date, we use four PD
models: private individuals, small and medium-sized
enterprises, corporates, and commercial real estate. If the
increase in LPD exceeds the designated threshold, the
exposure is transferred to Stage 2 and the lifetime ECL is
calculated.
A backstop is applied and financial instruments that are
materially overdrawn and more than 30 days past due are
transferred from Stage 1 to Stage 2. If the financial
instrument is credit-impaired, it is transferred to Stage 3.
3.8.3 Financial instruments following the sophisticated
approach
For the majority of financial instruments included in the line
item Loans and advances to the public and private sectors,
including mortgage loans, loans, current accounts,
subordinated loans and financial guarantees and loan
commitments, we apply a sophisticated approach to calculate
expected credit losses (ECL). This approach uses an umbrella
model that combines the following sub-models:
\u2013 Various models that provide the expected flow of
exposures to the default state;
\u2013 A PD calibration model giving the flow from performing to
default;
\u2013 A full prepayment model and amortisation model giving
the outflow from the portfolio of an entire exposure due
to prepayment or contract expiration;
\u2013 A migration model providing flows from performing rating
classes to other performing rating classes;
\u2013 A cure rate model giving the flow from default to
performing classes and the non-cure state;
\u2013 Various product-level models that give the expected
exposure at the moment a client goes into default;
\u2013 An amortisation model showing the contractual payments
during the lifetime of a product and the part of the
exposure flowing out of the portfolio due to partial
prepayments;
\u2013 An EAD model giving the exposure as a function of the
limit or outstanding amount just before default;
\u2013 A product-level model evaluating the part of EAD that
may be lost \u2013 the loss given loss (LGL) model;
\u2013 A discount factor to discount the loss from the moment of
default to the moment of reporting.
3.8.4 Financial instruments following the alternative
approach
We apply an alternative approach for cash and cash
equivalents, due from banks, debt instruments at amortised
cost, debt instruments at fair value through other
comprehensive income, and loans and securities-backed
loans issued by the Belgian branch and Van Lanschot Kempen
(Schweiz) AG. The alternative approach comprises an
investments model and a foreign loan model.
3.8.5 Investments model
The investments model is applied to calculate the ECL for
cash and cash equivalents, due from banks, debt instruments
at amortised cost, and debt instruments at fair value through
other comprehensive income. These financial instruments all
have a low risk profile. All such exposures are assigned to
Stage 1 as long as their external rating is investment grade.
We use a simplified model to calculate 12-month ECL, using
publicly available data for PD and LGD based on external
ratings. If financial assets are downgraded below investment
grade, these assets will be sold.
3.8.6 Foreign loans model
For the loans and securities-backed loans issued by the
Belgian branch and Van Lanschot Kempen (Schweiz) AG, we
have developed a foreign loans model. These two portfolios
fall outside the scope of the A-IRB models and no
requirements on historical data have been set. The foreign
loans model calculates ECL as the sum of future exposure
discounted at the effective interest rate at recognition for
non-revolving products and the current effective interest
rate for revolving products. In 2023, we recalibrated the
Belgian foreign loan sub-model.
3.8.7 Management overlay
The continued economic uncertainty, further exacerbated by
geopolitical unrest, is, in our view, still not fully captured by
the IFRS 9 models, and so we have kept our general
management overlay in place. Our models are based on
observable data (days past due on loans, number of loans in
default, etc.), which do not show signs of stress. Neither do
external data such as provisions for other Dutch banks \u2013
which have clients with lower financial buffers on average \u2013
nor\u00a0 Dutch unemployment rates indicate economic
headwinds. As a result, we consider our models to be correct
given that these are bound by observable data \u2013 resulting in
the need for an overlay. This overlay applies to all loan
portfolios and exposures included in the scope of our
sophisticated approach IFRS 9 framework. It focuses on PD-
specific adjustments, since we believe a more general overlay
will materialise mostly in the probability of client default. The
overlay consists of two adjustments. First, one of the PD
model risk drivers, the amount of arrears, has changed from
12-month moving average to point-in-time to reflect recent
arrears behaviour. Second, it is reasonable to assume that
discretionary income could be impacted and result in
increased arrears. Also, borrowers subject to an interest rate
reset could face significantly higher financing costs. Based on
expert judgement, we shocked the PD for the entire portfolio.
In addition, we have made an adjustment to the methodology
for determining the weights of the economic scenarios. Until
2023, this was part of the management overlay. From the end
of 2023, we incorporated this into our regular IFRS 9 models,
thereby removing it from the management overlay. The
weights of the economic scenarios are determined every
quarter by our Investment Strategy Research department.
The management overlay resulted in a provision of
\u20ac3.4\u00a0million (2022: \u20ac5.2 million). A lower management
overlay is logical in light of the recent more positive
information for the economy, which has reduced the chances
of a severe recession. Even after incorporating this overlay,
the net impact on our credit portfolio was relatively limited.
This is reflected in the relatively small increase in ECL.
3.8.8 Loss allowances
The table below shows the ECL loss allowances and the
corresponding book values (including revocable and
irrevocable commitments), categorised by balance sheet line
item and ECL by stage.
Table 3.8.A\u00a0 Loss allowance for expected credit losses
31/12/2023
31/12/2022
Carrying value
(excluding
impairments)
Expected credit
losses
Carrying value
(excluding
impairments)
Expected credit
losses
Total
16,766,183
40,767
16,588,712
42,532
Cash and cash equivalents and balances at central banks
2,925,318
0
3,141,785
\u2014
Due from banks
77,501
\u2014
108,186
1
Financial assets at fair value through other comprehensive
income
2,208,514
280
1,704,938
49
Loans and advances to the public and private sectors
9,525,767
38,146
9,691,633
39,999
Other financial assets at amortised cost
1,201,267
133
1,088,408
49
Financial guarantees and loan commitments
827,816
2,207
853,762
2,435
The table below shows total loss allowances recognised by
IFRS 9 stage. The total change in Stage 3 amounted to an
increase of \u20ac0.8 million (2022: decrease of \u20ac15.5 million); of
this amount, \u20ac5.6 million (2022: \u20ac2.0 million) is related to
write-offs and \u20ac6.4 million (2022: releases of \u20ac13.5 million) to
additions of loss allowances at Stage 3.
Table 3.8.B Loss allowance recognised by IFRS 9 stage
31/12/2023
31/12/2022
Write-offs
Change in
provision
Total change
Stage 1
5,701
6,861
\u2014
-1,160
-1,160
Stage 2
7,338
8,735
\u2014
-1,397
-1,397
Stage 3
27,729
26,936
-5,618
6,411
793
Total
40,767
42,532
-5,618
3,854
-1,765
The table below shows the IFRS 9 stage and coverage ratios
for loss allowances recognised in the loan portfolio,
categorised by ECL stage.
Table 3.8.C IFRS 9 stage and
coverage ratio by ECL stage
(\u20ac million)
As at 31 December 2023
As at 31 December 2022
Loan
portfolio
Provision
Coverage
ratio
Stage ratio
Loan
portfolio
Provision
Coverage
ratio
Stage ratio
Stage 1
7,760
4.3
0.1%
84.4%
8,057
6.1
0.1%
85.7%
Stage 2
1,314
6.1
0.5%
14.3%
1,241
7.0
0.6%
13.2%
Stage 3
126
27.7
22.0%
1.4%
106
26.9
25.4%
1.1%
Total
9,200
38.1
0.4%
9,404
40.0
0.4%
Stage 1
Model-based Stage 1 provisions on loans decreased by
\u20ac1.8\u00a0million to \u20ac4.3 million, partly explained by slightly lower
Stage 1 exposures. However, the main driver was the
adjustment of the model for Belgian Lombard loans. The
coverage ratio remained stable.
Stage 2
Stage 2 provisions went down from \u20ac7.0 million to
\u20ac6.1\u00a0million in 2023, with the Stage 2 exposure adding
\u20ac73\u00a0million. The decrease in provisions was mainly caused by
the release of the management overlay in Stage 2. The
coverage ratio decreased slightly compared with 2022.
Stage 3
The baseline for Stage 3 provisions is determined by the
Financial Restructuring & Recovery team, with limited IFRS 9
model adjustments. In 2023, Stage 3 provisions rose slightly
to \u20ac27.7 million. This was due to a release of provisions on the
resolution of some specific impaired exposures and write-
offs, offset by increased provisioning on existing impaired
loans and new defaults. The total impaired exposure
advanced to \u20ac126\u00a0million, while the coverage ratio decreased
slightly compared with 2022.
Loss allowances for ECL change over time for several
reasons: the credit risk of financial instruments may
significantly increase or decrease, financial instruments may
become credit-impaired, or new financial assets may be
purchased. The following tables explain the changes in the
loss allowances during the year and the loss allowance
recognised in the statement of income.
Table 3.8.D Changes in loss allowance for Financial assets at
fair value through other comprehensive income
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
49
\u2014
\u2014
49
Additions or releases without transfer
-13
\u2014
\u2014
-13
Financial assets originated or purchased
245
\u2014
\u2014
245
Total balance excluding write-offs
280
\u2014
\u2014
280
At 31 December 2023
280
\u2014
\u2014
280
Table 3.8.E Changes in loss allowance for Financial assets at
fair value through other comprehensive income
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
328
\u2014
\u2014
328
Additions or releases without transfer
-335
\u2014
\u2014
-335
Financial assets originated or purchased
55
\u2014
\u2014
55
Total balance excluding write-offs
49
\u2014
\u2014
49
At 31 December 2022
49
\u2014
\u2014
49
Table 3.8.F Changes in loss allowance for expected credit
losses of Loans and advances to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
6,098
6,974
26,927
39,998
Additions or releases without transfer
-2,608
-2,305
-1,517
-6,430
Transfer to Stage 1
260
-4,166
-1,843
-5,749
Transfer to Stage 2
-485
5,870
\u2014
5,385
Transfer to Stage 3
-24
-266
9,745
9,455
Financial assets originated or purchased
1,105
\u2014
\u2014
1,105
Total balance excluding write-offs
4,346
6,107
33,312
43,765
Amounts written off
\u2014
\u2014
-5,618
-5,618
At 31 December 2023
4,346
6,107
27,694
38,146
Table 3.8.G Changes in loss allowance for expected credit
losses of Loans and advances to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
3,593
3,477
42,383
49,452
Additions or releases without transfer
1,202
3,411
-16,202
-11,589
Transfer to Stage 1
864
-8,378
-736
-8,250
Transfer to Stage 2
-620
8,550
-972
6,959
Transfer to Stage 3
-479
-86
4,503
3,938
Financial assets originated or purchased
1,538
\u2014
\u2014
1,538
Total balance excluding write-offs
6,098
6,974
28,976
42,048
Amounts written off
\u2014
\u2014
-2,049
-2,049
At 31 December 2022
6,098
6,974
26,927
39,998
Table 3.8.H Changes in impairments of Other financial assets at
amortised cost
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
49
\u2014
\u2014
49
Additions or releases without transfer
67
\u2014
\u2014
67
Financial assets originated or purchased
17
\u2014
\u2014
17
Total balance excluding write-offs
133
\u2014
\u2014
133
At 31 December 2023
133
\u2014
\u2014
133
Table 3.8.I Changes in impairments of Other financial assets at
amortised cost
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
8
\u2014
\u2014
8
Additions or releases without transfer
-3
\u2014
\u2014
-3
Financial assets originated or purchased
44
\u2014
\u2014
44
Total balance excluding write-offs
49
\u2014
\u2014
49
At 31 December 2022
49
\u2014
\u2014
49
Table 3.8.J Changes in impairments of Financial guarantees and
loan commitments
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
664
1,761
10
2,435
Additions or releases without transfer
268
-530
10
-253
Transfer to Stage 1
5
-84
\u2014
-78
Transfer to Stage 2
-8
85
\u2014
76
Transfer to Stage 3
\u2014
-1
15
14
Financial assets originated or purchased
13
\u2014
\u2014
13
Total balance excluding write-offs
942
1,230
35
2,207
At 31 December 2023
942
1,230
35
2,207
Table 3.8.K Changes in impairments of Financial guarantees
and loan commitments
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
722
1,041
21
1,784
Additions or releases without transfer
411
1,150
-10
1,551
Transfer to Stage 1
30
-437
-340
-747
Transfer to Stage 2
-33
158
-11
114
Transfer to Stage 3
-475
-151
350
-276
Financial assets originated or purchased
9
\u2014
\u2014
9
Total balance excluding write-offs
664
1,761
10
2,435
At 31 December 2022
664
1,761
10
2,435
All financial instruments included in the line items Cash and
cash equivalents, Due from banks, and Debt instruments at
amortised cost are classified in Stage 1, and no transfers have
taken place.
3.8.9 Credit quality
Van Lanschot Kempen allocates each exposure to a credit risk
grade based on a variety of data that are determined to be
predictive of the risk of default. Credit risk grades are defined
using qualitative (applying experienced credit judgement) and
quantitative factors that are indicative of risk of default.
These factors vary depending on the nature of the exposure
and the type of borrower.
We use internally developed rating pools for the line items
Loans and advances to the public and private sectors and
Financial guarantees and loan commitments.
Credit grade
Description
Investment grade
Non-credit-impaired financial assets that are not placed under the supervision of the Financial Restructuring &
Recovery team, internal rating pool 1
Standard monitoring
Non-credit-impaired financial assets that are not placed under the supervision of the Financial Restructuring &
Recovery team, internal rating pools 2 to 4
Special monitoring
Non-credit-impaired financial assets that are placed under the supervision of the Financial Restructuring &
Recovery team
Default
Credit-impaired financial assets
All financial instruments under the line items Cash and cash
equivalents, Due from banks, Debt instruments at amortised
cost and Debt instruments at fair value through other
comprehensive income are investment grade, which means
their external rating is at least BBB-. We use external ratings
for these line items.
The credit quality of the line items Loans and advances to the
public and private sectors and Financial guarantees and loan
commitments is shown in the tables below. Assessment of
credit quality is based on our internal credit rating system
and year-end stage classification. The amounts presented are
gross of impairment allowances.
Table 3.8.L Credit quality of Loans and advances to the public
and private sectors 31/12/2023
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
6,337,169
\u2014
\u2014
6,337,169
Standard monitoring (BB+ to B-)
1,634,816
1,478,121
\u2014
3,112,937
Special monitoring (CCC to C)
\u2014
90,814
20,312
111,126
Default (DDD to D)
\u2014
\u2014
106,468
106,468
Gross carrying amount
7,971,984
1,568,935
126,779
9,667,699
Loss allowance
4,345
6,108
27,694
38,146
Carrying amount
7,967,640
1,562,828
99,085
9,629,553
Table 3.8.M Credit quality of Loans and advances to the public
and private sectors 31/12/2022
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
6,390,315
\u2014
\u2014
6,390,315
Standard monitoring (BB+ to B-)
2,007,080
1,393,965
\u2014
3,401,045
Special monitoring (CCC to C)
3,482
57,747
\u2014
61,229
Default (DDD to D)
\u2014
\u2014
109,221
109,221
Gross carrying amount
8,400,877
1,451,712
109,221
9,961,810
Loss allowance
6,098
6,974
26,926
39,998
Carrying amount
8,394,779
1,444,738
82,295
9,921,812
Table 3.8.N Credit quality of Financial guarantees and loan
commitments\u00a0 31/12/2023
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
663,322
\u2014
\u2014
663,322
Standard monitoring (BB+ to B-)
27,897
133,083
\u2014
160,980
Special monitoring (CCC to C)
\u2014
79
153
232
Default (DDD to D)
\u2014
\u2014
3,282
3,282
Gross carrying amount
691,219
133,163
3,435
827,816
Loss allowance
942
1,230
35
2,207
Carrying amount
690,277
131,932
3,400
825,609
\u00a0
Table 3.8.O Credit quality of Financial guarantees and loan
commitments\u00a0 31/12/2022
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
634,825
\u2014
\u2014
634,825
Standard monitoring (BB+ to B-)
41,098
174,019
\u2014
215,117
Special monitoring (CCC to C)
21
540
\u2014
561
Default (DDD to D)
\u2014
\u2014
3,258
3,258
Gross carrying amount
675,944
174,559
3,258
853,761
Loss allowance
664
1,761
10
2,435
Carrying amount
675,280
172,798
3,248
851,326
3.8.10 Macroeconomic variables
We incorporate forward-looking information for the
sophisticated approach. We use macroeconomic variables
and consider three macroeconomic scenarios in calculating
ECL: a base-case scenario, an upside scenario, and a downside
scenario. The weightings of the scenarios were 10% for the
upside scenario, 40% for the downside scenario and 50% for
the base-case scenario as at 31\u00a0December 2022.
In 2023, we made an adjustment to the methodology for
determining the weights of the economic scenarios. The
dynamic weighting of macroeconomic scenarios was part of
the management overlay, but is now included in the regular
IFRS 9 models. At the end of 2023, the weightings were 10%
for the upside scenario, 20% for the downside scenario and
70% for the base-case scenario.
The table below shows the macroeconomic variables used for
the sophisticated approach.
Table 3.8.P Macroeconomic variables
As at 31 December 2023
As at 31 December 2022
2023
2024
2025
2022
2023
2024
Gross domestic product
Base-case scenario
0.13%
0.33%
1.03%
4.27%
0.87%
1.67%
Upside scenario
2.98%
3.18%
3.88%
6.92%
3.52%
4.32%
Downside scenario
-2.83%
-2.63%
-1.93%
1.34%
-2.06%
-1.26%
Volume of exports
Base-case scenario
-0.85%
0.05%
2.35%
4.64%
2.64%
2.74%
Upside scenario
4.35%
5.25%
7.55%
9.67%
7.67%
7.77%
Downside scenario
-6.25%
-5.35%
-3.05%
-0.94%
-2.94%
-2.84%
Total investments
Base-case scenario
2.67%
0.17%
0.17%
2.69%
1.39%
1.39%
Upside scenario
9.63%
7.13%
7.13%
9.72%
8.42%
8.42%
Downside scenario
-4.57%
-7.07%
-7.07%
-5.10%
-6.40%
-6.40%
Private consumption
Base-case scenario
0.23%
0.43%
0.93%
5.89%
-0.21%
1.89%
Upside scenario
3.68%
3.88%
4.38%
9.17%
3.07%
5.17%
Downside scenario
-3.35%
-3.15%
-2.65%
2.26%
-3.84%
-1.74%
Residential real estate price
Base-case scenario
-3.26%
0.44%
2.04%
14.01%
-2.99%
-3.19%
Upside scenario
0.87%
4.57%
6.17%
17.98%
0.98%
0.78%
Downside scenario
-7.55%
-3.85%
-2.25%
9.61%
-7.39%
-7.59%
Government consumption
Base-case scenario
2.51%
3.11%
2.41%
0.01%
3.41%
3.01%
Upside scenario
3.03%
3.63%
2.93%
0.36%
3.76%
3.36%
Downside scenario
1.96%
2.56%
1.86%
-0.38%
3.02%
2.62%
For the portfolios that fall under the scope of IFRS 9, we
perform a scenario analysis to calculate the sensitivity of the
ECL to macroeconomic variables. The main economic drivers
of the ECL are gross domestic product (GDP), volume of
exports (EXP), total investments (TI), private consumption
(PC), residential real estate price (RREP) and government
consumption (GC). In the table below, ECLs are shown per
stage and per scenario.
Table 3.8.Q Sensitivity analysis as at 31 December 2023
Stage 1
Stage 2
Stage 3
Total
Change
Probability-weighted
5,701
7,338
27,729
40,767
Base-case scenario
5,538
7,172
27,663
40,373
-394
Upside scenario
3,994
5,811
26,504
36,308
-4,459
Downside scenario
7,124
8,682
28,571
44,377
3,610
3.9 Collateral credit-impaired financial instruments
In general, collateral can be used for all current and future
amounts owed by a debtor. In addition to residential
mortgage collateral and guarantees provided by governments
and credit institutions, commercial real estate, financial
collateral, receivables, stocks and inventories may serve as
collateral. The majority of collateral is not directly linked to a
specific financing arrangement.
For credit-impaired financial instruments, the Financial
Restructuring & Recovery team determines the liquidation or
recovery value of the available collateral, based on the most
recent valuation reports and applying the applicable haircuts.
The table below shows the collateral for financial instruments
considered credit-impaired.
Table 3.8.R Collateral for credit-impaired instruments as at 31
December 2023
Gross exposure
Impairment
Carrying amount
Value of collateral
Loans and advances to public and private sectors
126,700
27,780
98,920
199,999
Financial guarantees and loan commitments
3,282
34
3,248
5,234
No impairment is recognised for credit-impaired financial
instruments if the collateral is sufficient to cover the
outstanding obligation. The total carrying amount of credit-
impaired financial instruments for which there is no
impairment recognised is \u20ac31.7 million (2022: \u20ac41.1 million).", "dimensions": { "concept": "ifrs-full:DisclosureOfCreditRiskExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-641": { "value": "
3.4 Collateral
In general, collateral can be used for all current and future
amounts owed by a debtor. In addition to residential
mortgage collateral and guarantees provided by governments
and credit institutions, commercial real estate, financial
collateral, receivables, stocks and inventories may serve as
collateral.
Tables 3.4.A and 3.4.B provide insight into the underlying
collateral of the loan portfolio.
Table 3.4.A Loans and advances to the public and private sectors by collateral at 31/12/2023
Balance
outstanding
Mortgage
collateral
Commercial
real estate
Financial
collateral
Other
Total
collateralised
loans
Unsecured
loans
Total
9,303,365
7,401,403
109,032
631,503
273,668
8,415,607
887,758
Mortgage loans
6,851,876
6,760,199
7,310
842
1,929
6,770,280
81,596
Loans
1,790,128
537,152
95,411
361,308
268,136
1,262,007
528,121
Current accounts
409,293
67,725
6,311
134,203
3,604
211,843
197,450
Securities-backed loans and settlement
receivables
248,976
36,327
\u2014
135,150
\u2014
171,477
77,499
Subordinated loans
3,092
\u2014
\u2014
\u2014
\u2014
\u2014
3,092
Table 3.4.B Loans and advances to the public and private sectors by collateral at 31/12/2022
Balance
outstanding
Mortgage
collateral
Commercial
real estate
Financial
collateral
Other
Total
collateralised
loans
Unsecured
loans
Total
9,594,137
7,516,452
149,649
725,364
300,562
8,692,026
902,111
Mortgage loans
6,938,851
6,869,041
8,262
1,003
468
6,878,774
60,077
Loans
1,819,385
511,050
133,392
328,645
297,263
1,270,350
549,035
Current accounts
572,801
99,767
7,995
217,252
2,831
327,844
244,956
Securities-backed loans and settlement
receivables
263,101
36,595
\u2014
178,463
\u2014
215,058
48,043
Tables 3.4.A and 3.4.B have been drawn up on the basis of the
definitions contained in the Basel regulations. The balance
outstanding is the carrying amount excluding value
adjustments for fair value hedge accounting. The collateral
value is the lower of the balance outstanding of the related
loan or the value of the collateral itself.
The category Other mainly comprises loans for which
collateral has been pledged in the form of operating assets,
inventories and receivables, as well as collateral which for
technical reasons is not directly linked to a specific loan. The
total amount of unsecured loans is small.
The loan-to-value (LTV) of our mortgage loans is based on
indexed foreclosure values, in line with generally accepted
standards for LTV determination. The weighted average LTV
at year-end 2023 was 64% (2022: 63%).", "dimensions": { "concept": "ifrs-full:DisclosureOfCollateralExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-642": { "value": "3.8 Loss allowance for expected credit losses
Under the IFRS 9 standard, we recognise a loss allowance for
ECL on financial assets measured at amortised cost or fair
value through other comprehensive income, as well as for
financial guarantees and loan commitments. When there is no
significant deterioration in credit risk since initial recognition,
ECL is recognised based on a 12-month expected credit
losses (Stage 1). When a significant increase in credit risk has
occurred, ECL is recognised based on a lifetime ECL (Stage 2).
For impaired loans (Stage 3), a lifetime ECL is recognised.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.8.1 Expected loss measurement
We measure expected credit losses by using a sophisticated
approach and an alternative approach. For the sophisticated
approach we use models to calculate the ECL, governed by a
model governance framework. Under this framework, the
performance of the models is periodically monitored, and
these models are also periodically validated. In 2023, the
following IFRS 9 models were validated: exposure at default
(EAD) model, loss given no cure (LGN) model and the macro
economic variables (MEV) generator. Every quarter, the
models are subject to performance monitoring. If models are
performing outside the agreed threshold, recalibration or
ultimately redevelopment will follow. In recent years, several
recalibrations have been carried out; no redevelopment has
yet been necessary.
In both approaches, ECL reflects an unbiased probability-
weighted amount that is determined by evaluating a range of
possible outcomes, the time value of money, and reasonable
and verifiable information that is available without undue
cost or effort at the reporting date about past events, current
conditions and forecasts of future economic conditions. Both
approaches calculate a 12-month and a lifetime ECL for the
exposures of all three stages.
After the risk stage determination in the stage calculation,
the relevant ECL is assigned:
\u2013 12-month ECL for Stage 1;
\u2013 Lifetime ECL for Stage 2 and Stage 3.
The key elements of the ECL calculation are the probability of
default (PD), exposure at default (EAD), cure rate (CR), and
loss given non-cure (LGN). LGN is an estimate of the loss
arising in the event of a default without cure occurring at a
given time. It is based on the difference between the
contractual cash flows due and those that the lender would
expect to receive, including from the realisation of any
collateral.
In addition to these four key elements, we incorporate
forward-looking information for the sophisticated approach.
We identify macroeconomic variables and consider three
macroeconomic scenarios in calculating ECL:
\u2013 A base-case scenario;
\u2013 An upside scenario;
\u2013 A downside scenario.
These scenarios are associated with different PDs, EADs and
LGNs. In the process of building the PD, cure rate and LGN
models for IFRS, we included several macroeconomic risk
drivers in the long list of risk drivers. Those determined as
best-performing during modelling were selected to be part of
the model. The macroeconomic scenarios are generated
based on inputs from CPB Netherlands' Bureau for Economic
Policy Analysis, DNB, ECB and Van Lanschot Kempen\u2019s
economic experts. The reported ECL (12-month or lifetime,
depending on the stage) is a weighted ECL average per
macroeconomic scenario. The table below shows the
macroeconomic variables used for the sophisticated
approach. However, we believe our models do not fully
incorporate the unique current economic environment. To
address the uncertain economic environment, we have
applied a management overlay (see Section 3.8.7).
Model
Macroeconomic variables
PD calibration
\u2013 Gross domestic product (GDP)
\u2013 Volume of exports (EXP)
Cure rate
\u2013 Residential real estate price (RREP)
\u2013 Volume of exports (EXP)
LGN
\u2013 Gross domestic product (GDP)
\u2013 Residential real estate price (RREP)
\u2013 Unemployment (UNEMP)
EAD
n/a
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 3.8.2 Significant deterioration in credit risk
To determine the deterioration in credit risk of a financial
instrument since initial recognition, we compare the risk of
default at the reporting date with the risk of default on initial
recognition.
To calculate the lifetime probability of default (LPD) at
origination and the LPD at reporting date, we use four PD
models: private individuals, small and medium-sized
enterprises, corporates, and commercial real estate. If the
increase in LPD exceeds the designated threshold, the
exposure is transferred to Stage 2 and the lifetime ECL is
calculated.
A backstop is applied and financial instruments that are
materially overdrawn and more than 30 days past due are
transferred from Stage 1 to Stage 2. If the financial
instrument is credit-impaired, it is transferred to Stage 3.
3.8.3 Financial instruments following the sophisticated
approach
For the majority of financial instruments included in the line
item Loans and advances to the public and private sectors,
including mortgage loans, loans, current accounts,
subordinated loans and financial guarantees and loan
commitments, we apply a sophisticated approach to calculate
expected credit losses (ECL). This approach uses an umbrella
model that combines the following sub-models:
\u2013 Various models that provide the expected flow of
exposures to the default state;
\u2013 A PD calibration model giving the flow from performing to
default;
\u2013 A full prepayment model and amortisation model giving
the outflow from the portfolio of an entire exposure due
to prepayment or contract expiration;
\u2013 A migration model providing flows from performing rating
classes to other performing rating classes;
\u2013 A cure rate model giving the flow from default to
performing classes and the non-cure state;
\u2013 Various product-level models that give the expected
exposure at the moment a client goes into default;
\u2013 An amortisation model showing the contractual payments
during the lifetime of a product and the part of the
exposure flowing out of the portfolio due to partial
prepayments;
\u2013 An EAD model giving the exposure as a function of the
limit or outstanding amount just before default;
\u2013 A product-level model evaluating the part of EAD that
may be lost \u2013 the loss given loss (LGL) model;
\u2013 A discount factor to discount the loss from the moment of
default to the moment of reporting.
3.8.4 Financial instruments following the alternative
approach
We apply an alternative approach for cash and cash
equivalents, due from banks, debt instruments at amortised
cost, debt instruments at fair value through other
comprehensive income, and loans and securities-backed
loans issued by the Belgian branch and Van Lanschot Kempen
(Schweiz) AG. The alternative approach comprises an
investments model and a foreign loan model.
3.8.5 Investments model
The investments model is applied to calculate the ECL for
cash and cash equivalents, due from banks, debt instruments
at amortised cost, and debt instruments at fair value through
other comprehensive income. These financial instruments all
have a low risk profile. All such exposures are assigned to
Stage 1 as long as their external rating is investment grade.
We use a simplified model to calculate 12-month ECL, using
publicly available data for PD and LGD based on external
ratings. If financial assets are downgraded below investment
grade, these assets will be sold.
3.8.6 Foreign loans model
For the loans and securities-backed loans issued by the
Belgian branch and Van Lanschot Kempen (Schweiz) AG, we
have developed a foreign loans model. These two portfolios
fall outside the scope of the A-IRB models and no
requirements on historical data have been set. The foreign
loans model calculates ECL as the sum of future exposure
discounted at the effective interest rate at recognition for
non-revolving products and the current effective interest
rate for revolving products. In 2023, we recalibrated the
Belgian foreign loan sub-model.
3.8.7 Management overlay
The continued economic uncertainty, further exacerbated by
geopolitical unrest, is, in our view, still not fully captured by
the IFRS 9 models, and so we have kept our general
management overlay in place. Our models are based on
observable data (days past due on loans, number of loans in
default, etc.), which do not show signs of stress. Neither do
external data such as provisions for other Dutch banks \u2013
which have clients with lower financial buffers on average \u2013
nor\u00a0 Dutch unemployment rates indicate economic
headwinds. As a result, we consider our models to be correct
given that these are bound by observable data \u2013 resulting in
the need for an overlay. This overlay applies to all loan
portfolios and exposures included in the scope of our
sophisticated approach IFRS 9 framework. It focuses on PD-
specific adjustments, since we believe a more general overlay
will materialise mostly in the probability of client default. The
overlay consists of two adjustments. First, one of the PD
model risk drivers, the amount of arrears, has changed from
12-month moving average to point-in-time to reflect recent
arrears behaviour. Second, it is reasonable to assume that
discretionary income could be impacted and result in
increased arrears. Also, borrowers subject to an interest rate
reset could face significantly higher financing costs. Based on
expert judgement, we shocked the PD for the entire portfolio.
In addition, we have made an adjustment to the methodology
for determining the weights of the economic scenarios. Until
2023, this was part of the management overlay. From the end
of 2023, we incorporated this into our regular IFRS 9 models,
thereby removing it from the management overlay. The
weights of the economic scenarios are determined every
quarter by our Investment Strategy Research department.
The management overlay resulted in a provision of
\u20ac3.4\u00a0million (2022: \u20ac5.2 million). A lower management
overlay is logical in light of the recent more positive
information for the economy, which has reduced the chances
of a severe recession. Even after incorporating this overlay,
the net impact on our credit portfolio was relatively limited.
This is reflected in the relatively small increase in ECL.
3.8.8 Loss allowances
The table below shows the ECL loss allowances and the
corresponding book values (including revocable and
irrevocable commitments), categorised by balance sheet line
item and ECL by stage.
Table 3.8.A\u00a0 Loss allowance for expected credit losses
31/12/2023
31/12/2022
Carrying value
(excluding
impairments)
Expected credit
losses
Carrying value
(excluding
impairments)
Expected credit
losses
Total
16,766,183
40,767
16,588,712
42,532
Cash and cash equivalents and balances at central banks
2,925,318
0
3,141,785
\u2014
Due from banks
77,501
\u2014
108,186
1
Financial assets at fair value through other comprehensive
income
2,208,514
280
1,704,938
49
Loans and advances to the public and private sectors
9,525,767
38,146
9,691,633
39,999
Other financial assets at amortised cost
1,201,267
133
1,088,408
49
Financial guarantees and loan commitments
827,816
2,207
853,762
2,435
The table below shows total loss allowances recognised by
IFRS 9 stage. The total change in Stage 3 amounted to an
increase of \u20ac0.8 million (2022: decrease of \u20ac15.5 million); of
this amount, \u20ac5.6 million (2022: \u20ac2.0 million) is related to
write-offs and \u20ac6.4 million (2022: releases of \u20ac13.5 million) to
additions of loss allowances at Stage 3.
Table 3.8.B Loss allowance recognised by IFRS 9 stage
31/12/2023
31/12/2022
Write-offs
Change in
provision
Total change
Stage 1
5,701
6,861
\u2014
-1,160
-1,160
Stage 2
7,338
8,735
\u2014
-1,397
-1,397
Stage 3
27,729
26,936
-5,618
6,411
793
Total
40,767
42,532
-5,618
3,854
-1,765
The table below shows the IFRS 9 stage and coverage ratios
for loss allowances recognised in the loan portfolio,
categorised by ECL stage.
Table 3.8.C IFRS 9 stage and
coverage ratio by ECL stage
(\u20ac million)
As at 31 December 2023
As at 31 December 2022
Loan
portfolio
Provision
Coverage
ratio
Stage ratio
Loan
portfolio
Provision
Coverage
ratio
Stage ratio
Stage 1
7,760
4.3
0.1%
84.4%
8,057
6.1
0.1%
85.7%
Stage 2
1,314
6.1
0.5%
14.3%
1,241
7.0
0.6%
13.2%
Stage 3
126
27.7
22.0%
1.4%
106
26.9
25.4%
1.1%
Total
9,200
38.1
0.4%
9,404
40.0
0.4%
Stage 1
Model-based Stage 1 provisions on loans decreased by
\u20ac1.8\u00a0million to \u20ac4.3 million, partly explained by slightly lower
Stage 1 exposures. However, the main driver was the
adjustment of the model for Belgian Lombard loans. The
coverage ratio remained stable.
Stage 2
Stage 2 provisions went down from \u20ac7.0 million to
\u20ac6.1\u00a0million in 2023, with the Stage 2 exposure adding
\u20ac73\u00a0million. The decrease in provisions was mainly caused by
the release of the management overlay in Stage 2. The
coverage ratio decreased slightly compared with 2022.
Stage 3
The baseline for Stage 3 provisions is determined by the
Financial Restructuring & Recovery team, with limited IFRS 9
model adjustments. In 2023, Stage 3 provisions rose slightly
to \u20ac27.7 million. This was due to a release of provisions on the
resolution of some specific impaired exposures and write-
offs, offset by increased provisioning on existing impaired
loans and new defaults. The total impaired exposure
advanced to \u20ac126\u00a0million, while the coverage ratio decreased
slightly compared with 2022.
Loss allowances for ECL change over time for several
reasons: the credit risk of financial instruments may
significantly increase or decrease, financial instruments may
become credit-impaired, or new financial assets may be
purchased. The following tables explain the changes in the
loss allowances during the year and the loss allowance
recognised in the statement of income.
Table 3.8.D Changes in loss allowance for Financial assets at
fair value through other comprehensive income
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
49
\u2014
\u2014
49
Additions or releases without transfer
-13
\u2014
\u2014
-13
Financial assets originated or purchased
245
\u2014
\u2014
245
Total balance excluding write-offs
280
\u2014
\u2014
280
At 31 December 2023
280
\u2014
\u2014
280
Table 3.8.E Changes in loss allowance for Financial assets at
fair value through other comprehensive income
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
328
\u2014
\u2014
328
Additions or releases without transfer
-335
\u2014
\u2014
-335
Financial assets originated or purchased
55
\u2014
\u2014
55
Total balance excluding write-offs
49
\u2014
\u2014
49
At 31 December 2022
49
\u2014
\u2014
49
Table 3.8.F Changes in loss allowance for expected credit
losses of Loans and advances to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
6,098
6,974
26,927
39,998
Additions or releases without transfer
-2,608
-2,305
-1,517
-6,430
Transfer to Stage 1
260
-4,166
-1,843
-5,749
Transfer to Stage 2
-485
5,870
\u2014
5,385
Transfer to Stage 3
-24
-266
9,745
9,455
Financial assets originated or purchased
1,105
\u2014
\u2014
1,105
Total balance excluding write-offs
4,346
6,107
33,312
43,765
Amounts written off
\u2014
\u2014
-5,618
-5,618
At 31 December 2023
4,346
6,107
27,694
38,146
Table 3.8.G Changes in loss allowance for expected credit
losses of Loans and advances to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
3,593
3,477
42,383
49,452
Additions or releases without transfer
1,202
3,411
-16,202
-11,589
Transfer to Stage 1
864
-8,378
-736
-8,250
Transfer to Stage 2
-620
8,550
-972
6,959
Transfer to Stage 3
-479
-86
4,503
3,938
Financial assets originated or purchased
1,538
\u2014
\u2014
1,538
Total balance excluding write-offs
6,098
6,974
28,976
42,048
Amounts written off
\u2014
\u2014
-2,049
-2,049
At 31 December 2022
6,098
6,974
26,927
39,998
Table 3.8.H Changes in impairments of Other financial assets at
amortised cost
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
49
\u2014
\u2014
49
Additions or releases without transfer
67
\u2014
\u2014
67
Financial assets originated or purchased
17
\u2014
\u2014
17
Total balance excluding write-offs
133
\u2014
\u2014
133
At 31 December 2023
133
\u2014
\u2014
133
Table 3.8.I Changes in impairments of Other financial assets at
amortised cost
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
8
\u2014
\u2014
8
Additions or releases without transfer
-3
\u2014
\u2014
-3
Financial assets originated or purchased
44
\u2014
\u2014
44
Total balance excluding write-offs
49
\u2014
\u2014
49
At 31 December 2022
49
\u2014
\u2014
49
Table 3.8.J Changes in impairments of Financial guarantees and
loan commitments
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
664
1,761
10
2,435
Additions or releases without transfer
268
-530
10
-253
Transfer to Stage 1
5
-84
\u2014
-78
Transfer to Stage 2
-8
85
\u2014
76
Transfer to Stage 3
\u2014
-1
15
14
Financial assets originated or purchased
13
\u2014
\u2014
13
Total balance excluding write-offs
942
1,230
35
2,207
At 31 December 2023
942
1,230
35
2,207
Table 3.8.K Changes in impairments of Financial guarantees
and loan commitments
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
722
1,041
21
1,784
Additions or releases without transfer
411
1,150
-10
1,551
Transfer to Stage 1
30
-437
-340
-747
Transfer to Stage 2
-33
158
-11
114
Transfer to Stage 3
-475
-151
350
-276
Financial assets originated or purchased
9
\u2014
\u2014
9
Total balance excluding write-offs
664
1,761
10
2,435
At 31 December 2022
664
1,761
10
2,435
All financial instruments included in the line items Cash and
cash equivalents, Due from banks, and Debt instruments at
amortised cost are classified in Stage 1, and no transfers have
taken place.
3.8.9 Credit quality
Van Lanschot Kempen allocates each exposure to a credit risk
grade based on a variety of data that are determined to be
predictive of the risk of default. Credit risk grades are defined
using qualitative (applying experienced credit judgement) and
quantitative factors that are indicative of risk of default.
These factors vary depending on the nature of the exposure
and the type of borrower.
We use internally developed rating pools for the line items
Loans and advances to the public and private sectors and
Financial guarantees and loan commitments.
Credit grade
Description
Investment grade
Non-credit-impaired financial assets that are not placed under the supervision of the Financial Restructuring &
Recovery team, internal rating pool 1
Standard monitoring
Non-credit-impaired financial assets that are not placed under the supervision of the Financial Restructuring &
Recovery team, internal rating pools 2 to 4
Special monitoring
Non-credit-impaired financial assets that are placed under the supervision of the Financial Restructuring &
Recovery team
Default
Credit-impaired financial assets
All financial instruments under the line items Cash and cash
equivalents, Due from banks, Debt instruments at amortised
cost and Debt instruments at fair value through other
comprehensive income are investment grade, which means
their external rating is at least BBB-. We use external ratings
for these line items.
The credit quality of the line items Loans and advances to the
public and private sectors and Financial guarantees and loan
commitments is shown in the tables below. Assessment of
credit quality is based on our internal credit rating system
and year-end stage classification. The amounts presented are
gross of impairment allowances.
Table 3.8.L Credit quality of Loans and advances to the public
and private sectors 31/12/2023
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
6,337,169
\u2014
\u2014
6,337,169
Standard monitoring (BB+ to B-)
1,634,816
1,478,121
\u2014
3,112,937
Special monitoring (CCC to C)
\u2014
90,814
20,312
111,126
Default (DDD to D)
\u2014
\u2014
106,468
106,468
Gross carrying amount
7,971,984
1,568,935
126,779
9,667,699
Loss allowance
4,345
6,108
27,694
38,146
Carrying amount
7,967,640
1,562,828
99,085
9,629,553
Table 3.8.M Credit quality of Loans and advances to the public
and private sectors 31/12/2022
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
6,390,315
\u2014
\u2014
6,390,315
Standard monitoring (BB+ to B-)
2,007,080
1,393,965
\u2014
3,401,045
Special monitoring (CCC to C)
3,482
57,747
\u2014
61,229
Default (DDD to D)
\u2014
\u2014
109,221
109,221
Gross carrying amount
8,400,877
1,451,712
109,221
9,961,810
Loss allowance
6,098
6,974
26,926
39,998
Carrying amount
8,394,779
1,444,738
82,295
9,921,812
Table 3.8.N Credit quality of Financial guarantees and loan
commitments\u00a0 31/12/2023
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
663,322
\u2014
\u2014
663,322
Standard monitoring (BB+ to B-)
27,897
133,083
\u2014
160,980
Special monitoring (CCC to C)
\u2014
79
153
232
Default (DDD to D)
\u2014
\u2014
3,282
3,282
Gross carrying amount
691,219
133,163
3,435
827,816
Loss allowance
942
1,230
35
2,207
Carrying amount
690,277
131,932
3,400
825,609
\u00a0
Table 3.8.O Credit quality of Financial guarantees and loan
commitments\u00a0 31/12/2022
Stage 1
Stage 2
Stage 3
Total
Credit grade
Investment grade (AAA to BBB-)
634,825
\u2014
\u2014
634,825
Standard monitoring (BB+ to B-)
41,098
174,019
\u2014
215,117
Special monitoring (CCC to C)
21
540
\u2014
561
Default (DDD to D)
\u2014
\u2014
3,258
3,258
Gross carrying amount
675,944
174,559
3,258
853,761
Loss allowance
664
1,761
10
2,435
Carrying amount
675,280
172,798
3,248
851,326
3.8.10 Macroeconomic variables
We incorporate forward-looking information for the
sophisticated approach. We use macroeconomic variables
and consider three macroeconomic scenarios in calculating
ECL: a base-case scenario, an upside scenario, and a downside
scenario. The weightings of the scenarios were 10% for the
upside scenario, 40% for the downside scenario and 50% for
the base-case scenario as at 31\u00a0December 2022.
In 2023, we made an adjustment to the methodology for
determining the weights of the economic scenarios. The
dynamic weighting of macroeconomic scenarios was part of
the management overlay, but is now included in the regular
IFRS 9 models. At the end of 2023, the weightings were 10%
for the upside scenario, 20% for the downside scenario and
70% for the base-case scenario.
The table below shows the macroeconomic variables used for
the sophisticated approach.
Table 3.8.P Macroeconomic variables
As at 31 December 2023
As at 31 December 2022
2023
2024
2025
2022
2023
2024
Gross domestic product
Base-case scenario
0.13%
0.33%
1.03%
4.27%
0.87%
1.67%
Upside scenario
2.98%
3.18%
3.88%
6.92%
3.52%
4.32%
Downside scenario
-2.83%
-2.63%
-1.93%
1.34%
-2.06%
-1.26%
Volume of exports
Base-case scenario
-0.85%
0.05%
2.35%
4.64%
2.64%
2.74%
Upside scenario
4.35%
5.25%
7.55%
9.67%
7.67%
7.77%
Downside scenario
-6.25%
-5.35%
-3.05%
-0.94%
-2.94%
-2.84%
Total investments
Base-case scenario
2.67%
0.17%
0.17%
2.69%
1.39%
1.39%
Upside scenario
9.63%
7.13%
7.13%
9.72%
8.42%
8.42%
Downside scenario
-4.57%
-7.07%
-7.07%
-5.10%
-6.40%
-6.40%
Private consumption
Base-case scenario
0.23%
0.43%
0.93%
5.89%
-0.21%
1.89%
Upside scenario
3.68%
3.88%
4.38%
9.17%
3.07%
5.17%
Downside scenario
-3.35%
-3.15%
-2.65%
2.26%
-3.84%
-1.74%
Residential real estate price
Base-case scenario
-3.26%
0.44%
2.04%
14.01%
-2.99%
-3.19%
Upside scenario
0.87%
4.57%
6.17%
17.98%
0.98%
0.78%
Downside scenario
-7.55%
-3.85%
-2.25%
9.61%
-7.39%
-7.59%
Government consumption
Base-case scenario
2.51%
3.11%
2.41%
0.01%
3.41%
3.01%
Upside scenario
3.03%
3.63%
2.93%
0.36%
3.76%
3.36%
Downside scenario
1.96%
2.56%
1.86%
-0.38%
3.02%
2.62%
For the portfolios that fall under the scope of IFRS 9, we
perform a scenario analysis to calculate the sensitivity of the
ECL to macroeconomic variables. The main economic drivers
of the ECL are gross domestic product (GDP), volume of
exports (EXP), total investments (TI), private consumption
(PC), residential real estate price (RREP) and government
consumption (GC). In the table below, ECLs are shown per
stage and per scenario.
Table 3.8.Q Sensitivity analysis as at 31 December 2023
Stage 1
Stage 2
Stage 3
Total
Change
Probability-weighted
5,701
7,338
27,729
40,767
Base-case scenario
5,538
7,172
27,663
40,373
-394
Upside scenario
3,994
5,811
26,504
36,308
-4,459
Downside scenario
7,124
8,682
28,571
44,377
3,610
3.9 Collateral credit-impaired financial instruments
In general, collateral can be used for all current and future
amounts owed by a debtor. In addition to residential
mortgage collateral and guarantees provided by governments
and credit institutions, commercial real estate, financial
collateral, receivables, stocks and inventories may serve as
collateral. The majority of collateral is not directly linked to a
specific financing arrangement.
For credit-impaired financial instruments, the Financial
Restructuring & Recovery team determines the liquidation or
recovery value of the available collateral, based on the most
recent valuation reports and applying the applicable haircuts.
The table below shows the collateral for financial instruments
considered credit-impaired.
Table 3.8.R Collateral for credit-impaired instruments as at 31
December 2023
Gross exposure
Impairment
Carrying amount
Value of collateral
Loans and advances to public and private sectors
126,700
27,780
98,920
199,999
Financial guarantees and loan commitments
3,282
34
3,248
5,234
No impairment is recognised for credit-impaired financial
instruments if the collateral is sufficient to cover the
outstanding obligation. The total carrying amount of credit-
impaired financial instruments for which there is no
impairment recognised is \u20ac31.7 million (2022: \u20ac41.1 million).
Loss allowance for expected credit losses
2023
2022
Total
-38,146
-39,999
Mortgage loans
-6,017
-4,646
Current accounts
-15,317
-15,598
Other loans and advances
-16,812
-19,754
Loss allowance for expected credit losses on Loans and
advances to the public and private sectors amounted to
\u20ac38.1 million at year-end 2023 (2022: \u20ac40.0 million).
For more information, see \"Risk management\", under 3.8,
Loss allowance for expected credit losses.
", "dimensions": { "concept": "ifrs-full:DisclosureOfAllowanceForCreditLossesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-643": { "value": "
4. Market risk
Market risk is the risk of loss as a result of changes in market
variables, including interest rates, exchange rates and share
prices. Other variables not directly observable in the market,
such as volatility, long-term dividend expectations and
correlations, can also influence the value of financial
instruments. The market risk to which we are exposed can be
divided into three components. Firstly, the market risk to
which Van\u00a0Lanschot Kempen Treasury is exposed in respect
of its structured products activities (part of the Other
activities operating segment) and services to clients.
Secondly, market risk stemming from trading activities in
institutional securities, which is concentrated in the
Investment Banking Clients operating segment. Lastly,
exposure to market risks is also generated by investments in
Van Lanschot Kempen\u2019s management book of \u20ac79.1 million
(2022: \u20ac118.8 million). These investments provide seed
capital for newly launched Van Lanschot Kempen funds and
allow us to co-invest with our clients.
4.1 Trading activities in securities
Our trading activities in securities mainly comprise equities,
equity derivatives and interest rate derivatives. Equities are
concentrated in the Investment Banking Clients operating
segment (equity brokerage) while equity derivatives and
interest rate derivatives are concentrated in Van\u00a0Lanschot
Kempen Treasury (structured products activities). In
response to the higher interest rate environment, we have
seen a shift among our clients from complex equity
structured notes to simpler structured notes.
A governance structure has been created to facilitate
effective risk management. This is based on the three lines of
defence model, where the first line has direct insights in the
live risk exposures and is responsible for staying within the
set limits, the second line monitors daily to ensure that limits
are respected, and Internal Audit performs periodic audits on
the policies and procedures set by Risk Management and
evaluates effectiveness and completeness. The risks are
managed using value at risk (VaR) limits as well as gross and
net limits. Daily stress tests provide information about
changes in portfolio values in extreme market conditions and
complement the VaR calculation.
The VaR for the trading portfolios is computed daily, based on
a one-day time horizon with a 97.5% confidence level on one
year of historical data.
Other risks relating to derivatives, such as stock market
changes and volatility, and interest rate changes (delta, vega
and rho respectively) are embedded in our structured notes.
These risks are separately monitored on a daily basis or more
frequently if necessary.
Separate limits are in place for all risk drivers. VaR and other
relevant risk parameters are reported to senior management
(including two Management Board members) on a daily basis.
The embedded derivatives sold to our clients are hedged by
Van Lanschot Kempen. The majority of the complex market
risks (exotic risks) are hedged on a back-to-back basis. The
non-exotic risks and limited exotic risks due to secondary
market trading are hedged via the macro-hedging strategy.
This means that the complex derivatives sold to clients are
broken down into individual risk drivers (i.e. delta exposure
on S&P500 or Euro Stoxx 50). The total macro exposure per
risk driver is calculated and this is hedged by using relatively
simple (mostly listed) options. All risk drivers have limits both
on an individual as well as on an aggregate level and we
monitor them daily and/or intra-day. This highly granular
view of limits results in limited basis risks.
Table 4.1 Trading activities VaR
2023
2022
Derivatives-related
Share-related
Derivatives-related
Share-related
At 31 December
32
70
82
118
Highest VaR
275
288
280
311
Lowest VaR
9
39
42
66
Average VaR
114
157
152
156
4.2 Market risk due to foreign exchange positions
To a limited degree, treasury activities (mainly foreign
exchange exposure, comprising client transactions and own
positions) result in positions exposed to market risks. The
Treasury department is part of the Other activities operating
segment. The majority of transactions and positions in the
statement of financial position are denominated in euros.
Exchange rate risk is managed within the required limits and
an authorisation structure applies.
Foreign exchange positions are shown in Table 4.2.B and
include all cash, forward and option positions of the entities in
scope of consolidation.
Table 4.2.A Exchange rate risk of treasury trading activities (total gross nominal foreign exchange
position translated to euros)
2023
2022
At 31 December
245
-294
Highest position
780
798
Lowest position
-4,646
-3,118
Average position
-126
367
Table 4.2.B Foreign exchange positions
2023
2022
Total
592
502
US dollar
216
-94
Danish krone
103
146
Singapore dollar
101
87
Canadian dollar
45
204
Hong Kong dollar
36
305
Pound sterling
31
-687
Swiss franc
8
155
New Zealand dollar
5
22
Australian dollar
-29
144
Other
77
220
The capital requirement for exchange rate risk was
\u20ac0.1\u00a0million at year-end 2023 (2022: \u20ac0.1 million). This
amounts to 7% of the net open positions in each currency
(2022: 5%). Under the Basel IV rule set, which will take effect
as of 2025, our capital requirements for exchange rate risk
amounted to \u20ac0.3\u00a0million at year-end 2023 (2022:
\u20ac0.3\u00a0million).
Credit spread risk in the banking book (CSRBB) is the risk of
volatility in earnings and/or equity, caused by spread
movements of the yield on banking book instruments that are
classified at fair value, versus the swap curve.
For\u00a0Van\u00a0Lanschot Kempen, CSRBB is mainly concentrated in
the investment and liquidity portfolios. CSRBB limits have
been imposed on these portfolios, which are monitored by
ALCO on a monthly basis.
4.3 Market risk capitalisation
We use the maturity method to calculate the capital
adequacy requirement in respect of the general risk on debt
instruments in the trading portfolio. Share-related
instruments are share instruments included under Financial
assets from trading activities (see Table 4.3).
Table 4.3 Market risk
31/12/2023
31/12/2022
Risk weighting
Capital adequacy
requirement
Risk weighting
Capital adequacy
requirement
Total
170,930
13,674
203,308
16,265
Interest-related instruments
120,287
9,623
155,210
12,417
Share-related instruments
49,943
3,995
46,756
3,741
Currency-related instruments
700
56
1,342
107
Weighting and requirements
We use the standardised approach for all types of market
risk. The market risk of interest rate derivatives is included
under Interest-related instruments; the market risk of share-
related derivatives is included under Share-related
instruments; and the market risk of currency derivatives is
included under Currency-related instruments.
", "dimensions": { "concept": "ifrs-full:DisclosureOfMarketRiskExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-644": { "value": "
4.2 Market risk due to foreign exchange positions
To a limited degree, treasury activities (mainly foreign
exchange exposure, comprising client transactions and own
positions) result in positions exposed to market risks. The
Treasury department is part of the Other activities operating
segment. The majority of transactions and positions in the
statement of financial position are denominated in euros.
Exchange rate risk is managed within the required limits and
an authorisation structure applies.
Foreign exchange positions are shown in Table 4.2.B and
include all cash, forward and option positions of the entities in
scope of consolidation.
Table 4.2.A Exchange rate risk of treasury trading activities (total gross nominal foreign exchange
position translated to euros)
2023
2022
At 31 December
245
-294
Highest position
780
798
Lowest position
-4,646
-3,118
Average position
-126
367
Table 4.2.B Foreign exchange positions
2023
2022
Total
592
502
US dollar
216
-94
Danish krone
103
146
Singapore dollar
101
87
Canadian dollar
45
204
Hong Kong dollar
36
305
Pound sterling
31
-687
Swiss franc
8
155
New Zealand dollar
5
22
Australian dollar
-29
144
Other
77
220
The capital requirement for exchange rate risk was
\u20ac0.1\u00a0million at year-end 2023 (2022: \u20ac0.1 million). This
amounts to 7% of the net open positions in each currency
(2022: 5%). Under the Basel IV rule set, which will take effect
as of 2025, our capital requirements for exchange rate risk
amounted to \u20ac0.3\u00a0million at year-end 2023 (2022:
\u20ac0.3\u00a0million).
Credit spread risk in the banking book (CSRBB) is the risk of
volatility in earnings and/or equity, caused by spread
movements of the yield on banking book instruments that are
classified at fair value, versus the swap curve.
For\u00a0Van\u00a0Lanschot Kempen, CSRBB is mainly concentrated in
the investment and liquidity portfolios. CSRBB limits have
been imposed on these portfolios, which are monitored by
ALCO on a monthly basis.
", "dimensions": { "concept": "ifrs-full:DisclosureOfEffectOfChangesInForeignExchangeRatesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-645": { "value": "
8. Liquidity risk
The main objective of our liquidity risk management is to
ensure that we are able to maintain or generate sufficient
cash resources to meet our payment obligations in full as they
come due, on acceptable terms. One of the key elements of
our approach towards liquidity risk management is to
maintain stakeholder confidence in the bank\u2019s solidity at all
times.
The main source of liquidity risk that we are exposed to
relates to the share of client deposits in our funding base.
Although client deposits have proven to be relatively price-
inelastic and sticky over time, the withdrawable nature of
such deposits poses potential outflow risks, especially for
those deposits not covered by the deposit guarantee scheme
(DGS).
The roll-over risk with respect to maturing capital market
funding is less substantial for us, since our client deposit base
comfortably funds our entire loan book. To still obtain a
certain degree of diversification in our funding mix, we have
covered bond programmes in place.
To manage liquidity risks, we use a forward-looking liquidity
risk management framework that enables the comprehensive
measurement, evaluation and calibration of indicators related
to liquidity risk. The framework consists of the risk appetite
statement, the liquidity buffer, monitoring and reporting,
forecasting, funding planning and contingency planning.
Limits for liquidity risk are revised on an annual basis as part
of the risk appetite limit structure. Limits set include, but are
not limited to, levels of the liquidity coverage ratio, the net
stable funding ratio and stress test survival periods, which are
reported to ALCO on a monthly basis. In addition to the
regular monthly liquidity reporting, the liquidity buffer and
client deposit flows are monitored in the weekly liquidity
report. This report includes metrics that have been identified
as early warning indicators for possible liquidity stress. The
liquidity buffer is the main defensive element against liquidity
risk, and the quality and size of the buffer are monitored
frequently, along with inflows and outflows in the client
deposit base.
Finally, each year we outline our capital and funding planning
for a three-year horizon, both under regular circumstances in
the capital and funding plan, and under potential future stress
or emergency situations in the liquidity contingency plan,
complemented by the recovery plan.
Part of our liquidity and funding planning is scenario analysis,
of which stress testing is a key element. By means of stress
testing, we assess our resilience to a variety of adverse
liquidity events \u2013 Van Lanschot Kempen-specific events,
system-wide events, and a combination of these two.
8.1 Contractual maturity
Tables 8.1.A and 8.1.B show the assets and liabilities based on
their remaining contractual terms to maturity at the
reporting date, without taking behavioural aspects into
account. These amounts correspond with the amounts
included in the consolidated statement of financial position.
Items with no maturity, such as equity instruments, assets
and liabilities classified as held for sale, and provisions are
presented separately.
Derivative liabilities are included on a net basis if cash flows
are settled net. For other derivative liabilities the contractual
gross cash flow payable is included.
As savings and current accounts do not have fixed terms, the
balances of non-maturing instruments are presented within
the withdrawable on demand category.
Due from banks and amounts due to banks include collateral
delivered and received related to derivatives transactions.
Allocation of this collateral over the maturity buckets is
conducted in accordance with the maturity classification of
the derivative contracts.
Table 8.1.A Contractual maturity of assets and liabilities at 31/12/2023
Withdrawable
on demand
< 3
months
3 to 12
months
1 to 5 years
More than 5
years
Subtotal
Maturity
not
applicable
Total
Assets
Cash and cash equivalents and
balances at central banks
2,925,317
\u2014
\u2014
\u2014
\u2014
2,925,317
\u2014
2,925,317
Due from banks
23,348
3,849
1,240
43,022
6,043
77,501
\u2014
77,501
Derivatives
\u2014
12,213
35,092
77,910
217,311
342,526
\u2014
342,526
Financial assets at fair value
through profit or loss
77,167
\u2014
\u2014
132,374
\u2014
209,541
25,052
234,593
Financial assets at fair value
through other comprehensive
income
\u2014
95,179
111,667
1,201,120
800,548
2,208,514
\u2014
2,208,514
Loans and advances to the public
and private sectors
632,067
61,524
84,642
637,404
7,745,796
9,161,433
\u2014
9,161,433
Other financial assets at
amortised cost
\u2014
\u2014
56,451
1,000,493
144,190
1,201,134
\u2014
1,201,134
Investments in associates using
the equity method
\u2014
\u2014
\u2014
\u2014
\u2014
\u2014
110,889
110,889
Other assets1
\u2014
125,436
59,718
41,718
5,002
231,874
342,103
573,977
Total assets
3,657,899
298,202
348,810
3,134,041
8,918,889
16,357,840
478,044
16,835,885
Total assets excluding
derivatives
3,657,899
285,988
313,718
3,056,131
8,701,578
16,015,315
478,044
16,493,359
Equity and liabilities
Due to banks
29,388
\u2014
102,230
118,046
840
250,504
\u2014
250,504
Public and private sector
liabilities
9,136,974
2,447,651
699,545
160,950
128,694
12,573,814
\u2014
12,573,814
Derivatives
\u2014
14,860
26,178
144,017
60,522
245,578
\u2014
245,578
Financial liabilities at fair value
through profit or loss
\u2014
22,414
88,208
331,811
24,239
466,672
\u2014
466,672
Issued debt securities
\u2014
\u2014
\u2014
1,473,639
\u2014
1,473,639
\u2014
1,473,639
Lease liabilities
\u2014
24
732
32,558
5,292
38,606
\u2014
38,606
Other liabilities2
\u2014
108,076
127,332
\u2014
\u2014
235,408
32,650
268,058
Subordinated loans
\u2014
16,034
\u2014
\u2014
154,205
170,238
\u2014
170,238
Equity
\u2014
\u2014
\u2014
\u2014
\u2014
\u2014
1,348,777
1,348,777
Total equity and liabilities
9,166,362
2,609,059
1,044,225
2,261,020
373,791
15,454,457
1,381,428
16,835,885
Total equity and liabilities
excluding derivatives
9,166,362
2,594,199
1,018,046
2,117,003
313,269
15,208,880
1,381,428
16,590,307
On-balance gap
-5,508,463
-2,310,858
-695,415
873,021
8,545,098
903,383
-903,383
\u2014
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 Includes Property and equipment, Goodwill and other intangible assets, Current tax assets, Deferred tax assets and Other assets as presented in the consolidated
\u00a0 statement of financial position.
2 Includes Provision, Current tax liabilities, Deferred tax liabilities and Other liabilities as presented in the consolidated statement of financial position.
Table 8.1.B Contractual maturity of assets and liabilities at 31/12/2022
Withdrawable
on demand
< 3
months
3 to 12
months
1 to 5 years
More than 5
years
Subtotal
Maturity
not
applicable
Total
Assets
Cash and cash equivalents and
balances at central banks
3,141,785
\u2014
\u2014
\u2014
\u2014
3,141,785
\u2014
3,141,785
Due from banks
22,057
30,159
363
48,655
6,953
108,186
\u2014
108,186
Derivatives
\u2014
13,656
49,078
106,491
380,417
549,642
\u2014
549,642
Financial assets at fair value
through profit or loss
109,889
71,843
160,759
308
\u2014
342,799
36,720
379,518
Financial assets at fair value
through other comprehensive
income
\u2014
83,394
153,090
1,316,014
152,441
1,704,938
\u2014
1,704,938
Loans and advances to the public
and private sectors
799,659
46,712
88,837
588,290
7,840,461
9,363,958
\u2014
9,363,958
Other financial assets at
amortised cost
\u2014
\u2014
99,351
766,456
222,551
1,088,358
\u2014
1,088,358
Investments in associates using
the equity method
\u2014
\u2014
\u2014
\u2014
\u2014
\u2014
103,265
103,265
Other assets1
\u2014
117,545
71,910
38,189
11,020
238,664
339,597
578,262
Total assets
4,073,390
363,309
623,388
2,864,402
8,613,842
16,538,331
479,582
17,017,913
Total assets excluding
derivatives
4,073,390
349,653
574,309
2,757,911
8,233,425
15,988,688
479,582
16,468,270
Equity and liabilities
Due to banks
24,058
\u2014
201,438
160,837
730
387,063
\u2014
387,063
Public and private sector
liabilities
11,465,723
561,975
424,167
106,234
168,095
12,726,194
\u2014
12,726,194
Derivatives
\u2014
15,805
67,400
116,027
27,272
226,503
\u2014
226,503
Financial liabilities at fair value
through profit or loss
\u2014
24,708
72,113
322,638
54,424
473,883
\u2014
473,883
Issued debt securities
\u2014
411,737
\u2014
451,181
479,213
1,342,131
\u2014
1,342,131
Lease liabilities
\u2014
37
487
26,706
11,843
39,073
\u2014
39,073
Other liabilities2
\u2014
75,175
162,342
\u2014
\u2014
237,517
32,293
269,811
Subordinated loans
\u2014
\u2014
\u2014
16,298
154,584
170,882
\u2014
170,882
Equity
\u2014
\u2014
\u2014
\u2014
\u2014
\u2014
1,382,372
1,382,372
Total equity and liabilities
11,489,781
1,089,437
927,948
1,199,920
896,161
15,603,247
1,414,666
17,017,913
Total equity and liabilities
excluding derivatives
11,489,781
1,073,632
860,548
1,083,893
868,889
15,376,744
1,414,666
16,791,410
On-balance gap
-7,416,392
-726,128
-304,560
1,664,482
7,717,681
935,083
-935,084
\u2014
The assets comprise many long-term mortgage loans while
the liabilities are made up of many short-term deposits. This
results in a gap between the Withdrawable on demand and
More than five years columns. Potential liquidity risks are
addressed by means of monthly stress tests \u2013 discussed
monthly in ALCO \u2013 that test the bank\u2019s resilience to a variety
of adverse liquidity events and take behavioural aspects into
account.
For each transaction we have guaranteed, the maximum
guaranteed amount is included in the relevant term bucket
under which the bank first has the right to terminate the
transaction. For each obligation arising from an irrevocable
commitment, the committed amount is classified in the
relevant term bucket under which we first have the right to
withdraw the commitment.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 Includes Property and equipment, Goodwill and other intangible assets, Current tax assets, Deferred tax assets and Other assets as presented in the consolidated
\u00a0 statement of financial position.
2 Includes Provision, Current tax liabilities, Deferred tax liabilities and Other liabilities as presented in the consolidated statement of financial position.
8.2 Contractual maturities of undiscounted cash flow of
financial liabilities
Tables 8.2.A and 8.2.B show liabilities by maturity based on
contractual, undiscounted cash flows and including related
future cash flows, such as interest payments. Repayments
which are subject to notice are treated as if notice were to be
given immediately. However, we expect that many clients will
not request repayment at the earliest possible date, and the
tables below do not reflect the expected cash flows as
indicated by our deposit retention history.
Table 8.2.A Contractual maturities of undiscounted cash flow of liabilities at 31/12/2023
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than 5
years
Total
Due to banks
23,269
6,120
106,680
118,046
840
254,954
Public and private sector liabilities
9,153,065
2,442,877
730,461
200,111
143,603
12,670,118
Derivatives
65,705
16,119
37,476
106,247
20,030
245,578
Financial liabilities at fair value through profit or
loss
\u2014
32,694
98,630
381,615
25,716
538,655
Issued debt securities
\u2014
16,875
17,500
1,598,125
\u2014
1,632,500
Subordinated loans
\u2014
17,235
6,410
103,641
114,888
242,174
Total undiscounted liabilities
9,242,039
2,531,919
997,158
2,507,784
305,079
15,583,979
Table 8.2.B Contractual maturities of undiscounted cash flow of liabilities at 31/12/2022
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than 5
years
Total
Due to banks
15,052
9,006
201,438
160,837
730
387,063
Public and private sector liabilities
11,473,179
556,061
441,313
164,912
169,387
12,804,852
Derivatives
106,085
17,627
34,404
66,597
1,792
226,503
Financial liabilities at fair value through profit or
loss
\u2014
25,526
81,415
360,762
63,633
531,335
Issued debt securities
\u2014
435,840
\u2014
567,500
512,500
1,515,840
Subordinated loans
\u2014
2,166
12,775
121,240
192,445
328,626
Total undiscounted liabilities
11,594,315
1,046,225
771,345
1,441,847
940,487
15,794,220
", "dimensions": { "concept": "ifrs-full:DisclosureOfLiquidityRiskExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-646": { "value": "
14. Fair value
14.1 Financial assets at fair value through profit or loss
A portion of the financial instruments are measured at fair
value in the statement of financial position. Tables 14.1.A and
14.1.B provide a breakdown of these instruments into three
levels. The fair value is based either on quoted prices in active
markets, inputs other than quoted prices that are observable
in the market, or inputs based on data not observable in the
market.
We have developed a policy on the criteria for allocating
financial instruments recognised in the statement of financial
position at fair value to each of the three levels. A review is
carried out at the end of each reporting period to determine
whether any changes have taken place in the hierarchy
between the levels.
Level 1: Quoted prices in active markets
The fair value of financial instruments traded in an active
market is based on the price at the reporting date (market
price). The bid price is applied for financial assets and the
offer price for financial liabilities. Since these instruments are
traded in an active market, their prices adequately reflect
current and frequent market transactions between unrelated
parties.
Level 2: Inputs observable in the markets
The fair value of financial instruments not traded in an active
market (e.g. over-the-counter financial derivatives) is
established using cash flow and option valuation models.
Using estimates, we make assumptions based on the market
conditions (observable data) at the reporting date.
The estimated present value of future cash flows is used to
determine the fair value of the other financial instruments.
The fair value of interest rate swaps is calculated as the
present value of estimated future cash flows. The discount
rate is the same as the market interest rate at the reporting
date for a similar instrument subject to the same conditions,
taking into account collateral furnished under credit support
annexes (CSAs).
The fair value of forward currency contracts is calculated by
reference to forward exchange rates at the reporting date.
This is subsequently discounted to determine the present
value.
Estimates and judgements made are based on past
experience as well as other factors, including expectations
with respect to future events that could reasonably occur
given current circumstances. Estimates and judgements are
assessed on an ongoing basis.
Level 3: Significance of unobservable market data
The financial instruments in this category are assessed on an
individual basis. Their valuation is based on the best estimate
of management by reference to the most recent prices, prices
of similar instruments and, to a not insignificant extent,
information not observable in the market. Unobservable
inputs may include volatility, correlation, seasonality and
credit spreads.
A valuation technique is used in which at least one input that
has a significant effect on the instrument\u2019s valuation is not
based on observable market data. Valuation techniques used
include:
\u2013 The net asset value method;
\u2013 Discounted cash flow projections based on reliable
estimates of future cash flows;
\u2013 The option model.
A significant effect on the instrument\u2019s valuation is
considered to be present when the unobservable input
accounts for at least 10% of the total instrument\u2019s fair value
and exceeds a threshold of \u20ac50,000. The effect of fair value
adjustments on the instrument\u2019s valuation is included in the
assessment.
Table 14.1.A Financial instruments at fair value at 31/12/2023
Level 1
Level 2
Level 3
Total
Assets
Derivatives (FVPL)
36,829
303,097
2,600
342,526
Financial assets at fair value through profit or loss
198,435
28,197
7,960
234,593
Financial assets at fair value through other comprehensive income
2,208,514
\u2014
\u2014
2,208,514
Total assets
2,443,778
331,294
10,561
2,785,633
Liabilities
Derivatives (FVPL)
36,764
206,013
2,800
245,578
Financial liabilities at fair value through profit or loss
455
466,217
\u2014
466,672
Total liabilities
37,219
672,230
2,800
712,249
Table 14.1.B Financial instruments at fair value at 31/12/2022
Level 1
Level 2
Level 3
Total
Assets
Derivatives (FVPL)
35,623
513,611
408
549,642
Financial assets at fair value through profit or loss
316,620
54,320
8,579
379,519
Financial assets at fair value through other comprehensive income
1,704,938
\u2014
\u2014
1,704,938
Total assets
2,057,181
567,931
8,987
2,634,099
Liabilities
Derivatives (FVPL)
35,614
182,648
8,241
226,503
Financial liabilities at fair value through profit or loss
2
421,323
52,559
473,884
Total liabilities
35,616
603,971
60,800
700,387
Transfers of financial assets or liabilities between levels
We have developed a policy document for the fair value
hierarchy. This divides the variables used into observable and
unobservable market inputs. If the unobservable input
variables are significant, the instrument is classified as Level
3. An unobservable input variable is significant if the change
in the fair value due to the application of the variable is
greater than the threshold values. Our policy is to recognise
transfers into and out of fair value hierarchy levels at the end
of the reporting period.
In 2023, our valuation technique remained unchanged, with
non-observable input variables being assessed on
significance. As a result of this assessment, some financial
instruments included in Derivatives (liabilities) and in
Financial liabilities at fair value through profit or loss have
been transferred from Level 2 to Level 3 and vice versa.
The Derivatives receivables and payables and Financial
liabilities at fair value through profit or loss were transferred
to Level 2 as a result of the input variables\u2019 correlation and
seasonality; the shorter remaining term to maturity of these
financial instruments meant that these input variables
qualified as non-significant, justifying a transfer to Level 2. In
the case of Derivatives (assets), there were no transfers from
Level 2 to Level 3 and vice versa. In the case of Financial
liabilities at fair value through profit or loss, it involved
transfers of \u20ac43.0 million from Level 3 to Level 2, there where
no transfers from Level 2 to 3. The transfer of Derivatives
(liabilities) includes a \u20ac3.8 million shift from Level 3 to Level 2.
Breakdown of movements in financial assets and liabilities
classified under Level 3
Tables 14.1.C and 14.1.D provide a breakdown of the
movements in all financial assets and liabilities classified as
Level 3 items and recognised at fair value in the statement of
financial position.
Table 14.1.C Breakdown of changes in financial assets less liabilities classified as Level 3 in 2023
At 1
January
To statement
of income
To equity2
Issues
Settlements
Transfers
At 31
December
Assets
Derivatives (FVPL)
408
\u2014
\u2014
2,600
-395
-13
2,600
Financial assets at fair value through profit
or loss
8,579
26
\u2014
230
-799
-76
7,960
Total assets
8,987
26
\u2014
2,830
-1,194
-89
10,561
Liabilities
Derivatives (FVPL)
8,241
-1,883
\u2014
2,541
-2,327
-3,772
2,800
Financial liabilities at fair value through
profit or loss
52,559
2,027
\u2014
\u2014
-11,578
-43,008
\u2014
Total liabilities
60,801
144
\u2014
2,541
-13,905
-46,780
2,800
Total assets less liabilities
-51,813
-117
\u2014
289
12,711
46,691
7,761
Table 14.1.D Breakdown of changes in financial assets less liabilities classified as Level 3 in 2022
At 1
January
To statement
of income
To equity2
Issues
Settlements
Transfers
At 31
December
Assets
Derivatives (FVPL)
225
\u2014
\u2014
408
-225
\u2014
408
Financial assets at fair value through profit
or loss
28,796
377
\u2014
\u2014
-20,595
\u2014
8,579
Total assets
29,021
377
\u2014
408
-20,820
\u2014
8,987
Liabilities
Derivatives (FVPL)
743
5,499
\u2014
-192
1,151
1,039
8,241
Financial liabilities at fair value through
profit or loss
56,019
-7,713
\u2014
8,094
-3,840
\u2014
52,559
Total liabilities
56,762
-2,214
\u2014
7,902
-2,689
1,039
60,801
Total assets less liabilities
-27,741
2,591
\u2014
-7,494
-18,131
-1,039
-51,813
Table 14.1.E Fair value changes recognised in
profit or loss of financial instruments classified as
Level 3
2023
2022
Realised
Unrealised
Total
Realised
Unrealised
Total
Income from securities and associates
-2
-92
-94
\u2014
250
250
Result on financial transactions
\u2014
-23
-23
\u2014
2,342
2,342
Total
-2
-115
-117
\u2014
2,591
2,591
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
2 The changes in value recognised in equity are included in the statement of comprehensive income as Revaluation of financial assets at fair value through other
\u00a0 \u00a0 comprehensive income.
Table 14.1.F Notes on valuation inputs and relationships to fair value using unobservable market inputs (Level 3)
Fair value
Significant
unobservable inputs
Range of inputs (probability-
weighted average)3
Relationships of
unobservable inputs
to fair value4
31/12/2023
31/12/2022
31/12/2023
31/12/2022
Assets
Derivatives
Structured product
derivatives
\u2013 Equity swaps
2,600
408
Volatility
15.5% - 21.9%
(17.7%)
16.0% - 24.7%
(20.2%)
Changed volatility (6.4
percentage points)
would decrease fair
value by \u20ac3.0m
Correlation
-14.4% - 19.4%
(1.0%)
-19.9% - 23.6%
(4.4%)
Changed correlation
(48.6 percentage
points) would decrease
fair value by \u20ac0.2m
Dividend
1.1% - 3.4%
(2.3%)
0.9% - 5.8%
(4.1%)
Changed dividend (2.4
percentage points)
would decrease fair
value by \u20ac0.3m
Financial assets at fair
value through profit or loss
Debt instruments: company
cumprefs (shareholdings)
(FVPL mandatory)
1,124
1,623
Interest rates
6% - 10% (8%)
6% - 10% (8%)
Changed interest rate
(1.0 percentage points)
would decrease the
fair value by \u20ac0.0m
Discount rates
6% - 10% (8%)
6% - 10% (8%)
Changed discount rate
(1.0 percentage points)
would decrease the
fair value by \u20ac0.0m
Shares, unlisted
6,836
6,956
Most recent published
net asset values of the
underlying assets
n/a
n/a
n/a
Cost or lower market
value
n/a
n/a
n/a
Multiple analyses of
comparable companies
less a discount for
illiquidity and company
size based on EVCA
guidelines
n/a
n/a
n/a
Most recently known
share price
n/a
n/a
n/a
EBITA
n/a
n/a
n/a
Issue or transfer price
n/a
n/a
n/a
Market price on final
trading day
n/a
n/a
n/a
Face value less
provisions
n/a
n/a
n/a
Total assets
10,561
8,987
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
3 When no range of the significant unobservable input used in the valuation of the asset/liability applies, this is indicated by \"n/a\".
4 When there is no relationship of the unobservable input with the fair value of the asset/liability, this is indicated by \"n/a\".
Table 14.1.F Notes on valuation inputs and relationships to fair value using unobservable market inputs (Level 3) (continued)
Fair value
Significant
unobservable inputs
Range of inputs (probability-
weighted average) 5
Relationships of
unobservable inputs
to fair value6
31/12/2023
31/12/2022
31/12/2023
31/12/2022
Liabilities
Derivatives
Structured product
derivatives
\u2013 Equity swaps
2,800
8,241
Volatility
13.8% - 19.6%
(17.3%)
16.0% - 26.3%
(21.4%)
Changed volatility (5.8
percentage points)
would increase fair
value by \u20ac3.0m
Correlation
-20.1% - 25.8%
(1.9%)
-19.9% - 25.6%
(5.3%)
Changed correlation
(45.9 percentage
points) would increase
fair value by \u20ac0.1m
Dividend
2.9% - 6.1%
(3.5%)
0.9% - 5.8.%
(3.4%)
Changed dividend (3.2
percentage points)
would increase fair
value by \u20ac0.8m
Financial liabilities at fair
value through profit or loss
Structured debt
instruments
\u2014
52,559
Volatility
n/a
n/a
n/a
Correlation
n/a
n/a
n/a
Other financial liabilities at
fair value through profit or
loss
\u2014
2,126
Volatility
n/a
n/a
n/a
Correlation
n/a
n/a
n/a
Total liabilities
2,800
62,927
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
5 When no range of the significant unobservable input used in the valuation of the asset/liability applies, this is indicated by \"n/a\".
6 When there is no relationship of the unobservable input with the fair value of the asset/liability, this is indicated by \"n/a\".
14.2 Financial instruments at amortised cost
Table 14.2 shows the carrying amount and fair value of
financial instruments at amortised cost, with the exception of
line items Cash and cash equivalents and balances at central
banks, Other assets and Other liabilities. For these financial
instruments the carrying amount is a reasonable
approximation of the fair value.
The value of financial instruments at amortised cost is taken
as the amount for which the instrument could be exchanged
in a commercial transaction between willing parties, other
than in a forced or liquidation sale. If there is an active
market, we use the market value to determine the fair value.
For financial instruments for which no market prices are
available, the fair values shown in Table 14.2 are estimated on
the basis of the present value or using other estimation or
valuation methods.
Table 14.2 Financial instruments at amortised cost
31/12/2023
31/12/2022
Fair value
Carrying
amount
Fair value
Carrying
amount\u00a0
Level
Valuation method
Significant observable
and unobservable
market inputs
Assets
Due from banks
77,296
77,501
107,613
108,186
2
Discounted cash flows using
applicable money market
rates
Interest rate and
discount rate
Loans and advances to the
public and private sectors
8,602,008
9,161,433
8,799,384
9,363,958
3
Discounted cash flows using
current market fees for
comparable loans and taking
into account the
creditworthiness of the
counterparty
Interest rate, discount
rate and counterparty
credit risk
Other financial assets at
amortised cost
1,198,442
1,201,134
1,056,539
1,088,358
1
Quoted prices in active
markets
-
Total assets
9,877,746
10,440,068
9,963,537
10,560,503
Liabilities
Due to banks
252,367
250,504
386,985
387,063
2
Discounted cash flows using
applicable money market
rates for liabilities
Interest rate and
discount rate
Public and private sector
liabilities
12,401,813
12,573,814
12,771,653
12,726,194
3
Discounted cash flows using
applicable money market
rates for liabilities with a
comparable term to
maturity7
Interest rate, discount
rate and own credit risk
Issued debt securities
1,472,220
1,473,639
1,346,005
1,342,131
1
Quoted prices in active
markets
Interest rate and
discount rate
Subordinated loans
181,194
170,238
172,073
170,882
3
Discounted cash flows using
applicable money market
rates for debt instruments
with a comparable term to
maturity, taking account of
own credit risk
Interest rate, discount
rate and own credit risk
Total liabilities
14,307,595
14,468,194
14,676,716
14,626,270
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
7 The fair values of client deposits without contractual maturities (non-maturing deposits or NMDs) are approximated by the \"economic values\" that we calculate for\u00a0
\u00a0 these products as part of our interest rate risk management. We gauge their interest rate sensitivity (duration) by means of replicating portfolios, in which NMDs are
\u00a0 \"invested\" in fixed income instruments (swaps) with various interest rate maturities. To arrive at economic values, we discount these replicating portfolio investments\u2019
\u00a0 cash flows at current market interest rates (swap rates).
", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-647": { "value": "
Transfers of financial assets or liabilities between levels
We have developed a policy document for the fair value
hierarchy. This divides the variables used into observable and
unobservable market inputs. If the unobservable input
variables are significant, the instrument is classified as Level
3. An unobservable input variable is significant if the change
in the fair value due to the application of the variable is
greater than the threshold values. Our policy is to recognise
transfers into and out of fair value hierarchy levels at the end
of the reporting period.
In 2023, our valuation technique remained unchanged, with
non-observable input variables being assessed on
significance. As a result of this assessment, some financial
instruments included in Derivatives (liabilities) and in
Financial liabilities at fair value through profit or loss have
been transferred from Level 2 to Level 3 and vice versa.
The Derivatives receivables and payables and Financial
liabilities at fair value through profit or loss were transferred
to Level 2 as a result of the input variables\u2019 correlation and
seasonality; the shorter remaining term to maturity of these
financial instruments meant that these input variables
qualified as non-significant, justifying a transfer to Level 2. In
the case of Derivatives (assets), there were no transfers from
Level 2 to Level 3 and vice versa. In the case of Financial
liabilities at fair value through profit or loss, it involved
transfers of \u20ac43.0 million from Level 3 to Level 2, there where
no transfers from Level 2 to 3. The transfer of Derivatives
(liabilities) includes a \u20ac3.8 million shift from Level 3 to Level 2.
Breakdown of movements in financial assets and liabilities
classified under Level 3
Tables 14.1.C and 14.1.D provide a breakdown of the
movements in all financial assets and liabilities classified as
Level 3 items and recognised at fair value in the statement of
financial position.
Table 14.1.C Breakdown of changes in financial assets less liabilities classified as Level 3 in 2023
At 1
January
To statement
of income
To equity2
Issues
Settlements
Transfers
At 31
December
Assets
Derivatives (FVPL)
408
\u2014
\u2014
2,600
-395
-13
2,600
Financial assets at fair value through profit
or loss
8,579
26
\u2014
230
-799
-76
7,960
Total assets
8,987
26
\u2014
2,830
-1,194
-89
10,561
Liabilities
Derivatives (FVPL)
8,241
-1,883
\u2014
2,541
-2,327
-3,772
2,800
Financial liabilities at fair value through
profit or loss
52,559
2,027
\u2014
\u2014
-11,578
-43,008
\u2014
Total liabilities
60,801
144
\u2014
2,541
-13,905
-46,780
2,800
Total assets less liabilities
-51,813
-117
\u2014
289
12,711
46,691
7,761
Table 14.1.D Breakdown of changes in financial assets less liabilities classified as Level 3 in 2022
At 1
January
To statement
of income
To equity2
Issues
Settlements
Transfers
At 31
December
Assets
Derivatives (FVPL)
225
\u2014
\u2014
408
-225
\u2014
408
Financial assets at fair value through profit
or loss
28,796
377
\u2014
\u2014
-20,595
\u2014
8,579
Total assets
29,021
377
\u2014
408
-20,820
\u2014
8,987
Liabilities
Derivatives (FVPL)
743
5,499
\u2014
-192
1,151
1,039
8,241
Financial liabilities at fair value through
profit or loss
56,019
-7,713
\u2014
8,094
-3,840
\u2014
52,559
Total liabilities
56,762
-2,214
\u2014
7,902
-2,689
1,039
60,801
Total assets less liabilities
-27,741
2,591
\u2014
-7,494
-18,131
-1,039
-51,813
", "dimensions": { "concept": "ifrs-full:DisclosureOfReclassificationOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-649": { "value": "
1. Cash and cash equivalents and balances at
central banks
Cash and cash equivalents and balances at central banks
2023
2022
Total
2,925,317
3,141,785
Cash
29
28
Balances at central banks
2,696,603
2,919,928
Statutory reserve deposits at central banks
123,637
128,940
Amounts due from banks
105,050
92,888
Impairments
0
0
Statutory reserve deposits comprise balances at central
banks within the scope of the minimum reserves
requirement. The balances at central banks also include
irrevocable payment commitments (IPC) cash collateral
regarding the Single Resolution Fund. The IPC cash collateral
amounted to \u20ac7.1 million at year-end 2023 (2022: \u20ac5.4
million). The amount of IPC made in the reporting year
amounted to \u20ac1.7 million (2022: \u20ac1.2 million). We cannot
use these balances in our day-to- day operations. See
\u201cSummary of material accounting policies\u201d for our other
accounting policies on cash and cash equivalents and
balances at central banks.
Reconciliation with consolidated statement of cash flows
2023
2022
Changes
Cash and cash equivalents
2,925,317
3,141,785
-216,467
Due from banks, available on demand
23,348
22,057
1,291
Due to banks, available on demand
-29,388
-24,058
-5,330
Due from/to banks, available on demand, net
-6,041
-2,001
-4,040
Total
2,919,277
3,139,784
-220,507
", "dimensions": { "concept": "ifrs-full:DisclosureOfCashAndBankBalancesAtCentralBanksExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-648": { "value": "
1. Cash and cash equivalents and balances at
central banks
Cash and cash equivalents and balances at central banks
2023
2022
Total
2,925,317
3,141,785
Cash
29
28
Balances at central banks
2,696,603
2,919,928
Statutory reserve deposits at central banks
123,637
128,940
Amounts due from banks
105,050
92,888
Impairments
0
0
Statutory reserve deposits comprise balances at central
banks within the scope of the minimum reserves
requirement. The balances at central banks also include
irrevocable payment commitments (IPC) cash collateral
regarding the Single Resolution Fund. The IPC cash collateral
amounted to \u20ac7.1 million at year-end 2023 (2022: \u20ac5.4
million). The amount of IPC made in the reporting year
amounted to \u20ac1.7 million (2022: \u20ac1.2 million). We cannot
use these balances in our day-to- day operations. See
\u201cSummary of material accounting policies\u201d for our other
accounting policies on cash and cash equivalents and
balances at central banks.
Reconciliation with consolidated statement of cash flows
2023
2022
Changes
Cash and cash equivalents
2,925,317
3,141,785
-216,467
Due from banks, available on demand
23,348
22,057
1,291
Due to banks, available on demand
-29,388
-24,058
-5,330
Due from/to banks, available on demand, net
-6,041
-2,001
-4,040
Total
2,919,277
3,139,784
-220,507
", "dimensions": { "concept": "ifrs-full:DisclosureOfCashAndCashEquivalentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-650": { "value": "
Statutory reserve deposits comprise balances at central
banks within the scope of the minimum reserves
requirement. The balances at central banks also include
irrevocable payment commitments (IPC) cash collateral
regarding the Single Resolution Fund. The IPC cash collateral
amounted to \u20ac7.1 million at year-end 2023 (2022: \u20ac5.4
million). The amount of IPC made in the reporting year
amounted to \u20ac1.7 million (2022: \u20ac1.2 million). We cannot
use these balances in our day-to- day operations. See
\u201cSummary of material accounting policies\u201d for our other
accounting policies on cash and cash equivalents and
balances at central banks.", "dimensions": { "concept": "ifrs-full:DisclosureOfRestrictedCashAndCashEquivalentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-653": { "value": "
3. Derivatives
Derivatives at 31 December 2023
Asset
Liability
Contract amount
Total
342,526
245,578
7,732,684
Derivatives used for trading purposes
Currency derivatives
77
71
8,156
Equity derivatives
37
\u2014
3,611
Client option positions
36,751
36,692
493,559
Total derivatives used for trading purposes
36,866
36,764
505,325
Derivatives used for hedge accounting purposes
Derivatives: fair value hedge accounting
77,752
90,534
3,323,035
Derivatives: portfolio fair value hedge accounting
189,487
72,718
2,819,250
Total derivatives used for hedge accounting purposes
267,239
163,252
6,142,285
Other derivatives
Economic hedges
3,864
9,120
50,000
Structured product derivatives
34,557
36,441
1,035,074
Total other derivatives
38,421
45,561
1,085,074
Derivatives at 31 December 2022
Asset
Liability
Contract amount
Total
549,642
226,503
6,228,097
Derivatives used for trading purposes
Currency derivatives
209
200
19,892
Client option positions
35,414
35,414
411,113
Total derivatives used for trading purposes
35,623
35,614
431,005
Derivatives used for hedge accounting purposes
Derivatives: fair value hedge accounting
112,674
75,979
2,748,028
Derivatives: portfolio fair value hedge accounting
341,739
5,950
1,934,500
Derivatives: cash flow hedge accounting
\u2014
\u2014
\u2014
Total derivatives used for hedge accounting purposes
454,413
81,929
4,682,528
Other derivatives
Economic hedges
12,761
16,663
50,000
Structured product derivatives
46,846
92,298
1,064,564
Total other derivatives
59,607
108,961
1,114,564
We use derivatives for both trading and hedging purposes.
Note 3, Derivatives, shows both the positive and negative
market values of the derivatives, as well as their notional
values.
The following types of interest rate derivatives are used:
\u2013 Interest rate swaps;
\u2013 Interest rate options.
The following types of currency derivatives are used:
\u2013 Currency options;
\u2013 FX forwards.
The following types of equity derivatives are used:
\u2013 Equity forwards;
\u2013 Futures;
\u2013 Long and short structured product options;
\u2013 Equity swaps.
We use interest rate swaps as hedging instruments in our
hedge accounting.
Ineffectiveness of derivatives for hedge accounting purposes
2023
2022
Fair value
Ineffective
Fair value
Ineffective
Total
103,987
-1,834
372,484
9,346
Fair value hedge accounting model
-12,782
-1,333
36,695
824
Portfolio fair value hedge accounting model
116,769
-501
335,789
8,522
The total ineffectiveness of fair value hedges at year-end
2023 was -\u20ac1.8 million (2022: \u20ac9.3 million), comprising
\u20ac160.5 million in negative value changes in hedging
instruments (2022: \u20ac358.3 million positive) and positive
changes in the value of the hedged items of \u20ac158.6\u00a0million
(2022: \u20ac348.9\u00a0million negative).
4. Financial assets at fair value through profit
or loss
Financial assets at fair value through profit or loss
2023
2022
Total
234,593
379,518
Debt instruments
Financial assets from trading activities (FVPL)
Structured debt instruments
2,129
2,283
Financial assets at fair value through profit or loss
Government and government-guaranteed bonds
20,542
97,385
Sovereign, supranationals and agencies (SSA) bonds
39,671
133,242
Covered bonds
70,032
\u2014
Puttable investment funds
77,167
109,889
Company cumprefs (shareholdings) (FVPL mandatory)
1,124
1,623
Total debt instruments
210,665
344,422
Equity instruments
Financial assets from trading activities (FVPL)
Shares, listed
12,769
16,768
Shares, unlisted
13
15
Financial assets at fair value through profit or loss
Shares, unlisted (FVPL mandatory)
11,146
18,313
Total equity instruments
23,928
35,096
With the exception of company cumulative preference
shares (shareholdings) and equity instruments, all financial
assets at fair value through profit or loss are designated at
fair value through profit or loss, as this significantly reduces
inconsistency in measurement or recognition. Company
cumprefs (shareholdings) and equity instruments are
mandatorily measured at fair value because they do not
meet the SPPI test. The maximum credit risk to which we
were exposed in the reporting period is equal to the carrying
amount. Our investments in covered bonds are
collateralised by mortgages.
Changes in financial assets at fair value through profit or loss1
2023
2022
At 1 January
360,452
299,126
Purchases
188,643
216,896
Sales
-51,531
-100,963
Redemptions
-285,141
-44,891
Value changes
7,023
-9,882
Other changes
235
166
At 31 December
219,681
360,452
5. Financial assets at fair value through
other comprehensive income
Financial assets at fair value through other comprehensive income
2023
2022
Fair value
Face value
Fair value
Face value
Total
2,208,514
2,260,442
1,704,938
1,817,086
Debt instruments
Government and government-guaranteed bonds
397,979
406,400
148,969
157,900
Sovereign, supranationals and agencies (SSA) bonds
726,492
754,723
408,229
456,223
Banks and financial institutions, listed
8,678
9,500
30,253
32,500
Covered bonds
802,136
817,755
803,547
857,128
Residential mortgage-backed securities
273,229
272,064
280,686
279,835
Companies, listed
\u2014
\u2014
33,253
33,500
Total debt instruments
2,208,514
2,260,442
1,704,938
1,817,086
Changes in face value of Financial assets at fair value through other comprehensive income
2023
2022
At 1 January
1,817,086
2,095,915
Additions or releases without transfer
-791,975
-564,129
Financial assets originated or purchased
1,235,332
285,300
At 31 December
2,260,442
1,817,086
Changes in Financial assets at fair value through other comprehensive income
2023
2022
At 1 January
1,704,938
2,130,327
Purchases
1,183,449
286,231
Sales
-597,510
-215,276
Redemptions
-205,098
-361,450
Value changes
119,117
-129,333
Other changes
3,619
-5,561
At 31 December
2,208,514
1,704,938
The changes in loss allowance for financial assets at fair
value through other comprehensive income is recognised in
Other comprehensive income and does not reduce the
carrying amount of the financial asset.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 This table excludes the changes in Financial assets from trading activities (FVPL).
6. Loans and advances to the public and
private sectors
Loans and advances to the public and private sectors
2023
2022
Total
9,161,433
9,363,958
Mortgage loans
6,857,894
6,943,497
Loans
1,806,940
1,839,139
Current accounts
424,604
588,399
Securities-backed loans and settlement claims
248,981
263,101
Subordinated loans
3,092
\u2014
Value adjustments fair value hedge accounting
-141,932
-230,179
Loss allowance for expected credit losses
-38,146
-39,999
Van Lanschot Kempen has invested in a fund managed by
AEGON AM. The fund was set up to facilitate unitholders to
hold the investment to the end of the term of the underlying
mortgages and provide them with the cash flows (solely
contractual repayment of principal amount and interest cash
flows) resulting from the underlying investments.
The investment is accounted for as a financial debt
instrument under IFRS 9 (at amortised cost) and recognised
under Loans.
The increase in Value adjustments fair value hedge
accounting is mainly due to falling interest rates and is offset
by the decreased value of interest rate swaps.
Loss allowance for expected credit losses
2023
2022
Total
-38,146
-39,999
Mortgage loans
-6,017
-4,646
Current accounts
-15,317
-15,598
Other loans and advances
-16,812
-19,754
Loss allowance for expected credit losses on Loans and
advances to the public and private sectors amounted to
\u20ac38.1 million at year-end 2023 (2022: \u20ac40.0 million).
For more information, see \"Risk management\", under 3.8,
Loss allowance for expected credit losses.
Changes in gross carrying amount of Loans and advances
to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
8,179,087
1,403,325
109,221
9,691,633
Additions or releases without transfer
-1,989,748
240,480
-8,680
-1,757,949
Transfer to Stage 1
2,240,625
-2,247,179
-7,030
-13,584
Transfer to Stage 2
-2,192,283
2,193,077
-5,741
-4,947
Transfer to Stage 3
-23,857
-20,767
44,629
4
Financial assets originated or purchased
1,758,160
\u2014
\u2014
1,758,160
Amounts written off
\u2014
\u2014
-5,618
-5,618
At 31 December 2023
7,971,984
1,568,936
126,779
9,667,699
Changes in gross carrying amount of Loans and advances
to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
8,311,593
793,029
162,207
9,266,829
Additions or releases without transfer
-984,056
-484,111
-55,432
-1,523,599
Transfer to Stage 1
1,079,761
-1,080,845
-18,909
-19,993
Transfer to Stage 2
-2,173,811
2,190,348
-19,766
-3,229
Transfer to Stage 3
-27,844
-15,096
43,170
230
Financial assets originated or purchased
1,973,444
\u2014
\u2014
1,973,444
Amounts written off
\u2014
\u2014
-2,049
-2,049
At 1 January 2022
8,179,087
1,403,325
109,221
9,691,633
See \u201cRisk management\u201d, under 3, Credit risk for more
information about Loans and advances to the public and
private sectors.
7. Other financial assets at amortised cost
Other financial assets at amortised cost
2023
2022
Carrying amount
Face value
Carrying amount
Face value
Total
1,201,134
1,217,831
1,088,358
1,110,081
Debt instruments
Government and government-guaranteed bonds
91,102
93,268
160,701
163,768
Sovereign, supranationals and agencies (SSA) bonds
308,385
315,663
275,318
284,413
Banks and financial institutions, listed
5,988
6,000
\u2014
\u2014
Covered bonds
779,291
786,400
652,388
661,900
Residential mortgage-backed securities
16,500
16,500
\u2014
\u2014
Impairments
-133
\u2014
-49
\u2014
Changes in face value of Other financial assets at amortised cost
2023
2022
At 1 January
1,110,081
254,500
Additions or releases without transfer
-100,000
-259,020
Financial assets originated or purchased
207,750
1,114,601
At 31 December
1,217,831
1,110,081
Changes in Other financial assets at amortised cost
2023
2022
At 1 January
1,088,358
257,399
Purchases
207,031
1,090,574
Redemptions
-100,000
-259,020
Impairments
-133
-49
Other changes
5,878
-546
At 31 December
1,201,134
1,088,358
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-652": { "value": "
3. Derivatives
Derivatives at 31 December 2023
Asset
Liability
Contract amount
Total
342,526
245,578
7,732,684
Derivatives used for trading purposes
Currency derivatives
77
71
8,156
Equity derivatives
37
\u2014
3,611
Client option positions
36,751
36,692
493,559
Total derivatives used for trading purposes
36,866
36,764
505,325
Derivatives used for hedge accounting purposes
Derivatives: fair value hedge accounting
77,752
90,534
3,323,035
Derivatives: portfolio fair value hedge accounting
189,487
72,718
2,819,250
Total derivatives used for hedge accounting purposes
267,239
163,252
6,142,285
Other derivatives
Economic hedges
3,864
9,120
50,000
Structured product derivatives
34,557
36,441
1,035,074
Total other derivatives
38,421
45,561
1,085,074
Derivatives at 31 December 2022
Asset
Liability
Contract amount
Total
549,642
226,503
6,228,097
Derivatives used for trading purposes
Currency derivatives
209
200
19,892
Client option positions
35,414
35,414
411,113
Total derivatives used for trading purposes
35,623
35,614
431,005
Derivatives used for hedge accounting purposes
Derivatives: fair value hedge accounting
112,674
75,979
2,748,028
Derivatives: portfolio fair value hedge accounting
341,739
5,950
1,934,500
Derivatives: cash flow hedge accounting
\u2014
\u2014
\u2014
Total derivatives used for hedge accounting purposes
454,413
81,929
4,682,528
Other derivatives
Economic hedges
12,761
16,663
50,000
Structured product derivatives
46,846
92,298
1,064,564
Total other derivatives
59,607
108,961
1,114,564
We use derivatives for both trading and hedging purposes.
Note 3, Derivatives, shows both the positive and negative
market values of the derivatives, as well as their notional
values.
The following types of interest rate derivatives are used:
\u2013 Interest rate swaps;
\u2013 Interest rate options.
The following types of currency derivatives are used:
\u2013 Currency options;
\u2013 FX forwards.
The following types of equity derivatives are used:
\u2013 Equity forwards;
\u2013 Futures;
\u2013 Long and short structured product options;
\u2013 Equity swaps.
We use interest rate swaps as hedging instruments in our
hedge accounting.
Ineffectiveness of derivatives for hedge accounting purposes
2023
2022
Fair value
Ineffective
Fair value
Ineffective
Total
103,987
-1,834
372,484
9,346
Fair value hedge accounting model
-12,782
-1,333
36,695
824
Portfolio fair value hedge accounting model
116,769
-501
335,789
8,522
The total ineffectiveness of fair value hedges at year-end
2023 was -\u20ac1.8 million (2022: \u20ac9.3 million), comprising
\u20ac160.5 million in negative value changes in hedging
instruments (2022: \u20ac358.3 million positive) and positive
changes in the value of the hedged items of \u20ac158.6\u00a0million
(2022: \u20ac348.9\u00a0million negative).
", "dimensions": { "concept": "ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-651": { "value": "
3. Derivatives
Derivatives at 31 December 2023
Asset
Liability
Contract amount
Total
342,526
245,578
7,732,684
Derivatives used for trading purposes
Currency derivatives
77
71
8,156
Equity derivatives
37
\u2014
3,611
Client option positions
36,751
36,692
493,559
Total derivatives used for trading purposes
36,866
36,764
505,325
Derivatives used for hedge accounting purposes
Derivatives: fair value hedge accounting
77,752
90,534
3,323,035
Derivatives: portfolio fair value hedge accounting
189,487
72,718
2,819,250
Total derivatives used for hedge accounting purposes
267,239
163,252
6,142,285
Other derivatives
Economic hedges
3,864
9,120
50,000
Structured product derivatives
34,557
36,441
1,035,074
Total other derivatives
38,421
45,561
1,085,074
Derivatives at 31 December 2022
Asset
Liability
Contract amount
Total
549,642
226,503
6,228,097
Derivatives used for trading purposes
Currency derivatives
209
200
19,892
Client option positions
35,414
35,414
411,113
Total derivatives used for trading purposes
35,623
35,614
431,005
Derivatives used for hedge accounting purposes
Derivatives: fair value hedge accounting
112,674
75,979
2,748,028
Derivatives: portfolio fair value hedge accounting
341,739
5,950
1,934,500
Derivatives: cash flow hedge accounting
\u2014
\u2014
\u2014
Total derivatives used for hedge accounting purposes
454,413
81,929
4,682,528
Other derivatives
Economic hedges
12,761
16,663
50,000
Structured product derivatives
46,846
92,298
1,064,564
Total other derivatives
59,607
108,961
1,114,564
We use derivatives for both trading and hedging purposes.
Note 3, Derivatives, shows both the positive and negative
market values of the derivatives, as well as their notional
values.
The following types of interest rate derivatives are used:
\u2013 Interest rate swaps;
\u2013 Interest rate options.
The following types of currency derivatives are used:
\u2013 Currency options;
\u2013 FX forwards.
The following types of equity derivatives are used:
\u2013 Equity forwards;
\u2013 Futures;
\u2013 Long and short structured product options;
\u2013 Equity swaps.
We use interest rate swaps as hedging instruments in our
hedge accounting.
Ineffectiveness of derivatives for hedge accounting purposes
2023
2022
Fair value
Ineffective
Fair value
Ineffective
Total
103,987
-1,834
372,484
9,346
Fair value hedge accounting model
-12,782
-1,333
36,695
824
Portfolio fair value hedge accounting model
116,769
-501
335,789
8,522
The total ineffectiveness of fair value hedges at year-end
2023 was -\u20ac1.8 million (2022: \u20ac9.3 million), comprising
\u20ac160.5 million in negative value changes in hedging
instruments (2022: \u20ac358.3 million positive) and positive
changes in the value of the hedged items of \u20ac158.6\u00a0million
(2022: \u20ac348.9\u00a0million negative).
4. Financial assets at fair value through profit
or loss
Financial assets at fair value through profit or loss
2023
2022
Total
234,593
379,518
Debt instruments
Financial assets from trading activities (FVPL)
Structured debt instruments
2,129
2,283
Financial assets at fair value through profit or loss
Government and government-guaranteed bonds
20,542
97,385
Sovereign, supranationals and agencies (SSA) bonds
39,671
133,242
Covered bonds
70,032
\u2014
Puttable investment funds
77,167
109,889
Company cumprefs (shareholdings) (FVPL mandatory)
1,124
1,623
Total debt instruments
210,665
344,422
Equity instruments
Financial assets from trading activities (FVPL)
Shares, listed
12,769
16,768
Shares, unlisted
13
15
Financial assets at fair value through profit or loss
Shares, unlisted (FVPL mandatory)
11,146
18,313
Total equity instruments
23,928
35,096
With the exception of company cumulative preference
shares (shareholdings) and equity instruments, all financial
assets at fair value through profit or loss are designated at
fair value through profit or loss, as this significantly reduces
inconsistency in measurement or recognition. Company
cumprefs (shareholdings) and equity instruments are
mandatorily measured at fair value because they do not
meet the SPPI test. The maximum credit risk to which we
were exposed in the reporting period is equal to the carrying
amount. Our investments in covered bonds are
collateralised by mortgages.
Changes in financial assets at fair value through profit or loss1
2023
2022
At 1 January
360,452
299,126
Purchases
188,643
216,896
Sales
-51,531
-100,963
Redemptions
-285,141
-44,891
Value changes
7,023
-9,882
Other changes
235
166
At 31 December
219,681
360,452
5. Financial assets at fair value through
other comprehensive income
Financial assets at fair value through other comprehensive income
2023
2022
Fair value
Face value
Fair value
Face value
Total
2,208,514
2,260,442
1,704,938
1,817,086
Debt instruments
Government and government-guaranteed bonds
397,979
406,400
148,969
157,900
Sovereign, supranationals and agencies (SSA) bonds
726,492
754,723
408,229
456,223
Banks and financial institutions, listed
8,678
9,500
30,253
32,500
Covered bonds
802,136
817,755
803,547
857,128
Residential mortgage-backed securities
273,229
272,064
280,686
279,835
Companies, listed
\u2014
\u2014
33,253
33,500
Total debt instruments
2,208,514
2,260,442
1,704,938
1,817,086
Changes in face value of Financial assets at fair value through other comprehensive income
2023
2022
At 1 January
1,817,086
2,095,915
Additions or releases without transfer
-791,975
-564,129
Financial assets originated or purchased
1,235,332
285,300
At 31 December
2,260,442
1,817,086
Changes in Financial assets at fair value through other comprehensive income
2023
2022
At 1 January
1,704,938
2,130,327
Purchases
1,183,449
286,231
Sales
-597,510
-215,276
Redemptions
-205,098
-361,450
Value changes
119,117
-129,333
Other changes
3,619
-5,561
At 31 December
2,208,514
1,704,938
The changes in loss allowance for financial assets at fair
value through other comprehensive income is recognised in
Other comprehensive income and does not reduce the
carrying amount of the financial asset.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 This table excludes the changes in Financial assets from trading activities (FVPL).
", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-654": { "value": "
We use derivatives for both trading and hedging purposes.
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsHeldForTradingExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-655": { "value": "
4. Financial assets at fair value through profit
or loss
Financial assets at fair value through profit or loss
2023
2022
Total
234,593
379,518
Debt instruments
Financial assets from trading activities (FVPL)
Structured debt instruments
2,129
2,283
Financial assets at fair value through profit or loss
Government and government-guaranteed bonds
20,542
97,385
Sovereign, supranationals and agencies (SSA) bonds
39,671
133,242
Covered bonds
70,032
\u2014
Puttable investment funds
77,167
109,889
Company cumprefs (shareholdings) (FVPL mandatory)
1,124
1,623
Total debt instruments
210,665
344,422
Equity instruments
Financial assets from trading activities (FVPL)
Shares, listed
12,769
16,768
Shares, unlisted
13
15
Financial assets at fair value through profit or loss
Shares, unlisted (FVPL mandatory)
11,146
18,313
Total equity instruments
23,928
35,096
With the exception of company cumulative preference
shares (shareholdings) and equity instruments, all financial
assets at fair value through profit or loss are designated at
fair value through profit or loss, as this significantly reduces
inconsistency in measurement or recognition. Company
cumprefs (shareholdings) and equity instruments are
mandatorily measured at fair value because they do not
meet the SPPI test. The maximum credit risk to which we
were exposed in the reporting period is equal to the carrying
amount. Our investments in covered bonds are
collateralised by mortgages.
Changes in financial assets at fair value through profit or loss1
2023
2022
At 1 January
360,452
299,126
Purchases
188,643
216,896
Sales
-51,531
-100,963
Redemptions
-285,141
-44,891
Value changes
7,023
-9,882
Other changes
235
166
At 31 December
219,681
360,452
15. Financial liabilities at fair value through profit or loss
Financial liabilities at fair value through profit or loss
2023
2022
Total
466,672
473,883
Debt instruments
Financial liabilities at fair value through profit or loss
Unstructured debt instruments
27,911
29,184
Structured debt instruments
438,306
442,570
Other financial liabilities at fair value through profit or loss
\u2014
2,126
Total debt instruments
466,217
473,881
Equity instruments
Financial liabilities from trading activities
Shares, listed
455
2
Total equity instruments
455
2
All financial liabilities at fair value through profit or loss,
except for Other financial liabilities at fair value through
profit or loss, are designated at fair value through profit or
loss on initial recognition because this significantly reduces
inconsistency in measurement or recognition.
We have issued debt instruments which are managed on the
basis of fair value. Management believes that valuation at
fair value through profit or loss applies, as this largely
eliminates or reduces inconsistencies in valuation and
disclosure, and performance is assessed on the basis of fair
value.
The cumulative change in the fair value of Financial liabilities
at fair value through profit or loss which can be allocated to
the changes in own credit risk amounted to a total negative
of \u20ac2.7 million (2022: negative \u20ac10.7 million). This is caused
by a decline in the credit spread across the entire curve
compared with 2022, coupled with a shorter average
duration of the portfolio due to rising equity markets
(resulting in shorter average expected maturities for trigger
notes).
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsDesignatedAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-656": { "value": "
6. Loans and advances to the public and
private sectors
Loans and advances to the public and private sectors
2023
2022
Total
9,161,433
9,363,958
Mortgage loans
6,857,894
6,943,497
Loans
1,806,940
1,839,139
Current accounts
424,604
588,399
Securities-backed loans and settlement claims
248,981
263,101
Subordinated loans
3,092
\u2014
Value adjustments fair value hedge accounting
-141,932
-230,179
Loss allowance for expected credit losses
-38,146
-39,999
Van Lanschot Kempen has invested in a fund managed by
AEGON AM. The fund was set up to facilitate unitholders to
hold the investment to the end of the term of the underlying
mortgages and provide them with the cash flows (solely
contractual repayment of principal amount and interest cash
flows) resulting from the underlying investments.
The investment is accounted for as a financial debt
instrument under IFRS 9 (at amortised cost) and recognised
under Loans.
The increase in Value adjustments fair value hedge
accounting is mainly due to falling interest rates and is offset
by the decreased value of interest rate swaps.
Loss allowance for expected credit losses
2023
2022
Total
-38,146
-39,999
Mortgage loans
-6,017
-4,646
Current accounts
-15,317
-15,598
Other loans and advances
-16,812
-19,754
Loss allowance for expected credit losses on Loans and
advances to the public and private sectors amounted to
\u20ac38.1 million at year-end 2023 (2022: \u20ac40.0 million).
For more information, see \"Risk management\", under 3.8,
Loss allowance for expected credit losses.
Changes in gross carrying amount of Loans and advances
to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2023
8,179,087
1,403,325
109,221
9,691,633
Additions or releases without transfer
-1,989,748
240,480
-8,680
-1,757,949
Transfer to Stage 1
2,240,625
-2,247,179
-7,030
-13,584
Transfer to Stage 2
-2,192,283
2,193,077
-5,741
-4,947
Transfer to Stage 3
-23,857
-20,767
44,629
4
Financial assets originated or purchased
1,758,160
\u2014
\u2014
1,758,160
Amounts written off
\u2014
\u2014
-5,618
-5,618
At 31 December 2023
7,971,984
1,568,936
126,779
9,667,699
Changes in gross carrying amount of Loans and advances
to the public and private sectors
Stage 1
Stage 2
Stage 3
Total
At 1 January 2022
8,311,593
793,029
162,207
9,266,829
Additions or releases without transfer
-984,056
-484,111
-55,432
-1,523,599
Transfer to Stage 1
1,079,761
-1,080,845
-18,909
-19,993
Transfer to Stage 2
-2,173,811
2,190,348
-19,766
-3,229
Transfer to Stage 3
-27,844
-15,096
43,170
230
Financial assets originated or purchased
1,973,444
\u2014
\u2014
1,973,444
Amounts written off
\u2014
\u2014
-2,049
-2,049
At 1 January 2022
8,179,087
1,403,325
109,221
9,691,633
See \u201cRisk management\u201d, under 3, Credit risk for more
information about Loans and advances to the public and
private sectors.
", "dimensions": { "concept": "ifrs-full:DisclosureOfLoansAndAdvancesToCustomersExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-658": { "value": "
8. Investments in associates using the equity method
Changes in associates using the equity method
2023
2022
At 1 January
103,265
82,441
Acquisitions and contributions
16,110
21,505
Sales and repayments
-36,153
-13,743
Income from associates
32,214
16,000
Dividend received
-4,469
-3,096
Other changes
-78
158
At 31 December
110,890
103,265
All associates valued using the equity method are unlisted
investments. In 2023, we sold the associate Movares
Group\u00a0BV at a gain. See also Note 24, Income from securities
and associates.
24. Income from securities and associates
Income from securities and associates
2023
2022
Total
38,113
7,830
Income from associates using the equity method
9,089
8,942
Realised result of associates using the equity method
23,149
7,424
Realised and unrealised gains/losses on investments at fair value through profit or loss
5,375
-8,300
Other gains/losses on sales
500
-236
Income from securities and associates increased by
\u20ac30.3\u00a0million, mainly due to the sale of our 33.3% interest in
Movares Group BV in November 2023 with a gain of
\u20ac23.1\u00a0million, and to higher Realised and unrealised gains on
investments at fair value through profit or loss, reflecting a
positive market performance.
Associates
Investments in associates using the equity method
As part of our investment policy, we invest in medium-sized
companies in the Netherlands, only holding minority
interests. These investments are classified as investments in
associates using the equity method.
The table below shows the largest investments in associates
based on the carrying amount.
In 2023, our interest in Movares Group BV (33.3%) was sold;
see Note 24, Income from securities and associates.
Name
Activities
Head office
Interest
Bolster Investments
Co\u00f6peratief UA
Bolster is a long-term investor specialising in taking minority
shareholdings of 20-50% in private companies and pursuing a flexible,
long-term investment horizon, allowing its companies' portfolios to
achieve their long-term growth potential.
Amsterdam
29.75%
Bolster Investments II
Co\u00f6peratief UA
Bolster II is a long-term investor specialising in taking minority
shareholdings of 20-50% in private companies and pursuing a flexible,
long-term investment horizon, allowing its companies' portfolios to
achieve their long-term growth potential.
Amsterdam
22.00%
Langosta BV
Langosta participates in financing companies.
Amsterdam
47.74%
OGD Beheer BV
OGD provides ICT services to medium-sized and large companies,
public and semi-public and non-profit organisations. Its services
include service management, outsourcing, software development and
ICT training.
Delft
31.30%
Ploeger Oxbo Holding BV
Ploeger Oxbo develops, manufactures and sells a wide range of
specialist harvesting equipment to customers across the world.
Roosendaal
11.83%
Tecnotion Investment BV
Tecnotion designs, produces and sells linear motors across the world,
to the semiconductor, electronics, LCD, automotive and robotics
industries among other sectors.
Almelo
38.65%
Aggregated financial information of associates for
which Van Lanschot Kempen applies the equity
method\u00a0 (\u20ac1,000)
2023
2022
Associates,
equity method
Attributable to
Van Lanschot
Kempen
Associates,
equity method
Attributable to
Van Lanschot
Kempen
Total
350,759
103,987
320,447
95,573
Current assets
250,307
40,274
237,848
45,211
Non-current assets
498,891
96,628
430,152
92,431
Current liabilities
-103,565
-18,540
-117,679
-24,818
Non-current liabilities
-294,874
-40,252
-229,874
-34,056
Goodwill
18,221
10,090
Impairments
\u2014
\u2014
Other
7,656
6,715
Other financial information
Dividend received
4,469
3,096
Income from operational activities
13,020
11,064
Share of net income
32,214
16,000
Unrecognised share of losses
117
117
Comprehensive income
\u2014
\u2014
The table below shows the income and expenses that we
report for associates using the equity method in the
statement of income and the positions included in the
statement of financial position, as well as guarantees issued
at year-end in respect of these entities.
Transactions with Investments in associates using the equity method (\u20ac1,000)
2023
2022
Income
\u2014
9
Amount payable
4,003
3,035
Guarantees
25,655
36,490
Loans granted to entities in which we exercise significant
influence but do not have decisive control are granted on
market terms and secured on collateral provided. No
impairments were applied to the receivables in either 2023
or 2022.
Van Lanschot Kempen Participaties
Investments using the equity method held by Van\u00a0Lanschot
Kempen Participaties are managed by Bolster Investment
Partners. Van\u00a0Lanschot Kempen Participaties invests in a
portfolio of equity funds. In addition, one of the portfolio
companies issued cumulative preference shares. Moreover,
a subordinated loan has been issued to one of the portfolio
companies.
The table below shows Van Lanschot Kempen Participaties\u2019
financial impact on the consolidated statement of financial
position and statement of income. The table does not include
information about controlling interests.
Van Lanschot Kempen Participaties at 31/12/2023 (\u20ac1,000)
Investment activity
Item
Carrying
value
Interest
Income from
securities
and associates
Impairments
Total
Direct investment
Investment in associates
using the equity method
34,590
\u2014
28,273
\u2014
28,273
Shareholdings
Financial assets at fair
value through profit or loss
1,124
120
\u2014
\u2014
120
Subordinated loans
Loans and advances to the
public and private sectors
3,092
\u2014
\u2014
\u2014
\u2014
Fund investment
Financial assets at fair
value through profit or loss
449
\u2014
59
\u2014
59
Total
39,255
120
28,332
\u2014
28,452
Joint ventures in which Van Lanschot Kempen is a partner
We have no joint ventures.
", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInAssociatesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-657": { "value": "
8. Investments in associates using the equity method
Changes in associates using the equity method
2023
2022
At 1 January
103,265
82,441
Acquisitions and contributions
16,110
21,505
Sales and repayments
-36,153
-13,743
Income from associates
32,214
16,000
Dividend received
-4,469
-3,096
Other changes
-78
158
At 31 December
110,890
103,265
All associates valued using the equity method are unlisted
investments. In 2023, we sold the associate Movares
Group\u00a0BV at a gain. See also Note 24, Income from securities
and associates.", "dimensions": { "concept": "ifrs-full:DisclosureOfInvestmentsAccountedForUsingEquityMethodExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-659": { "value": "
9. Property and equipment
Property and equipment
2023
2022
Total
65,159
69,347
Buildings
19,326
22,499
Right-of-use \u2013 buildings
30,139
29,405
Right-of-use \u2013 transport equipment
5,966
7,097
IT, operating system software and communications equipment
4,573
4,758
Other assets
4,117
4,037
Work in progress
1,038
1,551
Lease liabilities amounted to \u20ac38.6 million at year-end 2023
(2022: \u20ac39.1\u00a0million) and are included in Other liabilities.
Changes in property and equipment in
2023
Buildings
Right-of-use
\u2013 buildings
Right-of-use
\u2013 transport
equipment
IT, operating
system
software and
communica-
tions
equipment
Other assets
Work in
progress
Total
At 1 January
22,499
29,405
7,097
4,758
4,037
1,551
69,347
Additions
2,726
9,835
2,668
2,025
626
\u2014
17,879
Disposals
-3,935
\u2014
-464
\u2014
\u2014
\u2014
-4,400
Capitalisation of investments
\u2014
\u2014
\u2014
\u2014
\u2014
-513
-513
Depreciation
-1,963
-9,101
-3,334
-2,209
-546
\u2014
-17,154
At 31 December
19,326
30,139
5,966
4,573
4,117
1,038
65,159
Historical cost
36,485
41,820
9,300
17,918
9,014
1,038
115,574
Accumulated depreciation and
impairments
-17,159
-11,680
-3,334
-13,344
-4,897
\u2014
-50,415
Net carrying amount at 31 December
19,326
30,139
5,966
4,573
4,117
1,038
65,159
Changes in property and equipment in
2022
Buildings
Right-of-use
\u2013 buildings
Right-of-use
\u2013 transport
equipment
IT, operating
system
software and
communica-
tions
equipment
Other assets
Work in
progress
Total
At 1 January
24,968
36,759
7,409
3,464
4,380
484
77,463
Additions
2,402
945
2,909
3,692
246
1,067
11,260
Disposals
-1,633
\u2014
\u2014
-20
\u2014
\u2014
-1,653
Depreciation
-1,987
-8,362
-3,220
-2,378
-589
\u2014
-16,536
Impairments
-1,252
64
\u2014
\u2014
\u2014
\u2014
-1,188
At 31 December
22,499
29,405
7,097
4,758
4,037
1,551
69,347
Historical cost
45,672
40,164
12,396
17,116
10,164
1,551
127,063
Accumulated depreciation and
impairments
-23,173
-10,758
-5,299
-12,359
-6,128
\u2014
-57,716
Net carrying amount at 31 December
22,499
29,405
7,097
4,758
4,037
1,551
69,347
", "dimensions": { "concept": "ifrs-full:DisclosureOfPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-662": { "value": "
10. Goodwill and other intangible assets
Goodwill and other intangible assets
2023
2022
Total
313,049
306,753
Goodwill
179,363
176,761
Other intangible assets
133,685
129,992
The carrying amounts of goodwill arising from acquisitions
and other intangible assets are presented in the table above.
Changes in goodwill and other intangible assets in 2023
Goodwill
Client
relationships
Brand
names
Carbon
credits
Application
software
Total
At 1 January
176,761
122,957
6,901
\u2014
134
306,753
Additions
2,603
10,846
1,087
1,597
5,465
21,597
Amortisation
\u2014
-12,669
-1,935
-40
-658
-15,302
At 31 December
179,363
121,134
6,054
1,557
4,941
313,049
Historical cost
179,363
174,185
21,897
1,597
6,515
383,557
Accumulated amortisation and impairments
\u2014
-53,051
-15,843
-40
-1,574
-70,508
Net carrying amount at 31 December
179,363
121,134
6,054
1,557
4,941
313,049
Changes in goodwill and other intangible assets in 2022
Goodwill
Client
relationships
Brand
names
Carbon
credits
Application
software
Total
At 1 January
176,761
135,549
8,764
\u2014
787
321,861
Amortisation
\u2014
-12,593
-1,863
\u2014
-653
-15,109
At 31 December
176,761
122,957
6,901
\u2014
134
306,753
Historical cost
176,761
163,337
20,810
\u2014
1,576
362,484
Accumulated amortisation and impairments
\u2014
-40,380
-13,908
\u2014
-1,442
-55,730
Net carrying amount at 31 December
176,761
122,957
6,901
\u2014
134
306,753
The additions to Goodwill, Client relationships, Brand names
and Application software are due to the acquisition of
Robeco's online investment platform in 2023; see \u201cBusiness
combinations in 2023\u201d.
We have defined five CGUs, namely Private Clients,
Wholesale & Institutional Clients, Investment Banking
Clients, Non-strategic investments, and Other. These
correspond to our operating segments (see \"Segment
information\") except for CGU Non-strategic investments.
Segment Other is split between the CGUs Other and Non-
strategic investments.
The performance of the Private Clients segment was strong
in 2023, mainly due to higher net interest margins and
increased net commission income. The Wholesale &
Institutional Clients segment had a negative result in 2023,
despite net AuM inflows and positive market performance.
In 2023, we took a series of additional measures to further
accelerate profitable growth. As part of this, we simplified
the segment's organisational structure and structurally
reduced costs. The projected financial results do not indicate
a trigger for impairment. The difficult market conditions put
corporate finance results at Investment Banking Clients
under pressure. This segment struggled in 2023 due to
difficult market circumstances, in line with other market
participants. However, sentiment showed some sign of
improvement in the last quarter of 2023 and we anticipate a
further recovery from 2024 onwards.
Allocation of goodwill to CGUs (based on segments)
2023
2022
Total
179,363
176,761
Private Clients
122,040
119,437
Wholesale & Institutional Clients
16,031
16,031
Investment Banking Clients
41,293
41,293
Methodology
In line with IFRS, the recoverable amount is determined as
the higher of the fair value less costs of disposal (FVLCOD)
and value in use (ViU). We carried out our annual
impairment test on goodwill arising from acquisitions in
prior years. To determine whether an impairment is
necessary, the recoverable amount of each CGU or group of
CGUs is compared with its carrying amount. The value in use
calculation uses equity cash flow projections for each CGU
or group of CGUs for a five-year period. These projections
are based on the current year and on the financial estimates
for the years 2024 until 2027 used by management in its
strategic forecast at the end of 2023. For the period after
the explicit projections per CGU or group of CGUs, the
growth rate is set at the long-term market growth rate of
2.0%. This growth rate applies to all CGUs, as in the long
term all CGUs will be impacted by the same economic
market developments. The rate is based on our own
projections and on wealth management market projections
by market experts.
Change in accounting estimate
In previous years, only the value in use was used to calculate
the recoverable amount. For CGU Investment Banking
Clients, the fair value less costs of disposal analysis was also
applied this year.
The market price at valuation date of our peer group within
the Investment Banking segment and their average earnings
for a five-year reference period (2021\u201325) are used to
calculate the price-earnings (PE) multiple. The recoverable
amount is calculated using the median price-earnings ratio
and the average earnings of CGU Investment Banking
Clients over a five-year period, including projections for
2023, 2024 and 2025 based on management\u2019s strategic
forecast.
Management has compared the main assumptions with
market forecasts and expectations. Cash flow estimates are
based on our strategic plans and on potential future trends.
Events and factors that could have a significant impact on
the estimates include stock and bond market developments,
effects of mergers and acquisitions, competitive conditions,
client behaviour and changes in client relationships, cost
structure, trends in inflation, interest rates and risks, and
other circumstances specific to the industry and sector.
Equity cash flows are discounted using a cost of equity for
each CGU or group of CGUs that reflects the risk-free
interest rate, supplemented with a surcharge for the market
risk exposure of the CGU or group of CGUs, and a small-firm
premium.
CGU
Method used
for recoverable
amount
Discount rate after tax %
PE multiple
2023
2022
2023
2022
Private Clients
ViU
11.1
9.7
n/a
n/a
Wholesale & Institutional Clients
ViU
13.2
12.1
n/a
n/a
Investment Banking Clients
FVLCOD
n/a
11.5
14.9
n/a
The impairment test performed in 2023 did not result in
goodwill impairments. The discounted cash flow model uses
one base-case scenario. For the CGUs with allocated
goodwill, a sensitivity analysis was also carried out on the
base-case scenario with particular attention on changes in
long-term growth, the discount rate and the long-term EBIT
margin.
The recoverable amount of CGU Investment Banking Clients
is sensitive to projected earnings and the PE multiple. A
decrease of 10% in projected cash flows or a reduction of the
PE multiple of 1 percentage point are considered reasonable
possible changes in key assumptions. The analysis is
captured in the sensitivity tables below and supports our
conclusion that no impairment is needed.
In addition, an annual test is carried out for indications of
impairment of other intangible assets with a finite useful life.
The acquired brand names are still active and no objective
indication for impairment was apparent at year-end 2023.
For the line item Client relationships, changes in the AuM
volume are assessed. The useful life tests carried out in 2023
provided no indication of a need for further examination.
Consequently, no impairment is recognised for other
intangible assets.
Sensitivity analysis value in use method
Change required in each key assumption for headroom to
equal zero, in percentage points
Headroom with
terminal growth rate at
0%
Headroom
Net profit margin
Cost of equity
Private Clients
677,836
-18.3%
9.4%
571,084
Wholesale & Institutional Clients
123,125
-18.8%
19.5%
104,529
Sensitivity analysis fair value less costs of disposal
Headroom
Headroom with -10%
projected earnings for
2024 and 2025
Adjusted PE multiple
for headroom to equal
zero
Investment Banking Clients
36,726
33,905
9.1
Expected amortisation of intangible assets
2024
2025
2026
2027
2028
2029\u201343
Total
16,023
13,712
13,710
12,396
11,301
67,639
", "dimensions": { "concept": "ifrs-full:DisclosureOfGoodwillExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-661": { "value": "
10. Goodwill and other intangible assets
Goodwill and other intangible assets
2023
2022
Total
313,049
306,753
Goodwill
179,363
176,761
Other intangible assets
133,685
129,992
The carrying amounts of goodwill arising from acquisitions
and other intangible assets are presented in the table above.
Changes in goodwill and other intangible assets in 2023
Goodwill
Client
relationships
Brand
names
Carbon
credits
Application
software
Total
At 1 January
176,761
122,957
6,901
\u2014
134
306,753
Additions
2,603
10,846
1,087
1,597
5,465
21,597
Amortisation
\u2014
-12,669
-1,935
-40
-658
-15,302
At 31 December
179,363
121,134
6,054
1,557
4,941
313,049
Historical cost
179,363
174,185
21,897
1,597
6,515
383,557
Accumulated amortisation and impairments
\u2014
-53,051
-15,843
-40
-1,574
-70,508
Net carrying amount at 31 December
179,363
121,134
6,054
1,557
4,941
313,049
Changes in goodwill and other intangible assets in 2022
Goodwill
Client
relationships
Brand
names
Carbon
credits
Application
software
Total
At 1 January
176,761
135,549
8,764
\u2014
787
321,861
Amortisation
\u2014
-12,593
-1,863
\u2014
-653
-15,109
At 31 December
176,761
122,957
6,901
\u2014
134
306,753
Historical cost
176,761
163,337
20,810
\u2014
1,576
362,484
Accumulated amortisation and impairments
\u2014
-40,380
-13,908
\u2014
-1,442
-55,730
Net carrying amount at 31 December
176,761
122,957
6,901
\u2014
134
306,753
The additions to Goodwill, Client relationships, Brand names
and Application software are due to the acquisition of
Robeco's online investment platform in 2023; see \u201cBusiness
combinations in 2023\u201d.
We have defined five CGUs, namely Private Clients,
Wholesale & Institutional Clients, Investment Banking
Clients, Non-strategic investments, and Other. These
correspond to our operating segments (see \"Segment
information\") except for CGU Non-strategic investments.
Segment Other is split between the CGUs Other and Non-
strategic investments.
The performance of the Private Clients segment was strong
in 2023, mainly due to higher net interest margins and
increased net commission income. The Wholesale &
Institutional Clients segment had a negative result in 2023,
despite net AuM inflows and positive market performance.
In 2023, we took a series of additional measures to further
accelerate profitable growth. As part of this, we simplified
the segment's organisational structure and structurally
reduced costs. The projected financial results do not indicate
a trigger for impairment. The difficult market conditions put
corporate finance results at Investment Banking Clients
under pressure. This segment struggled in 2023 due to
difficult market circumstances, in line with other market
participants. However, sentiment showed some sign of
improvement in the last quarter of 2023 and we anticipate a
further recovery from 2024 onwards.
Allocation of goodwill to CGUs (based on segments)
2023
2022
Total
179,363
176,761
Private Clients
122,040
119,437
Wholesale & Institutional Clients
16,031
16,031
Investment Banking Clients
41,293
41,293
Methodology
In line with IFRS, the recoverable amount is determined as
the higher of the fair value less costs of disposal (FVLCOD)
and value in use (ViU). We carried out our annual
impairment test on goodwill arising from acquisitions in
prior years. To determine whether an impairment is
necessary, the recoverable amount of each CGU or group of
CGUs is compared with its carrying amount. The value in use
calculation uses equity cash flow projections for each CGU
or group of CGUs for a five-year period. These projections
are based on the current year and on the financial estimates
for the years 2024 until 2027 used by management in its
strategic forecast at the end of 2023. For the period after
the explicit projections per CGU or group of CGUs, the
growth rate is set at the long-term market growth rate of
2.0%. This growth rate applies to all CGUs, as in the long
term all CGUs will be impacted by the same economic
market developments. The rate is based on our own
projections and on wealth management market projections
by market experts.
Change in accounting estimate
In previous years, only the value in use was used to calculate
the recoverable amount. For CGU Investment Banking
Clients, the fair value less costs of disposal analysis was also
applied this year.
The market price at valuation date of our peer group within
the Investment Banking segment and their average earnings
for a five-year reference period (2021\u201325) are used to
calculate the price-earnings (PE) multiple. The recoverable
amount is calculated using the median price-earnings ratio
and the average earnings of CGU Investment Banking
Clients over a five-year period, including projections for
2023, 2024 and 2025 based on management\u2019s strategic
forecast.
Management has compared the main assumptions with
market forecasts and expectations. Cash flow estimates are
based on our strategic plans and on potential future trends.
Events and factors that could have a significant impact on
the estimates include stock and bond market developments,
effects of mergers and acquisitions, competitive conditions,
client behaviour and changes in client relationships, cost
structure, trends in inflation, interest rates and risks, and
other circumstances specific to the industry and sector.
Equity cash flows are discounted using a cost of equity for
each CGU or group of CGUs that reflects the risk-free
interest rate, supplemented with a surcharge for the market
risk exposure of the CGU or group of CGUs, and a small-firm
premium.
CGU
Method used
for recoverable
amount
Discount rate after tax %
PE multiple
2023
2022
2023
2022
Private Clients
ViU
11.1
9.7
n/a
n/a
Wholesale & Institutional Clients
ViU
13.2
12.1
n/a
n/a
Investment Banking Clients
FVLCOD
n/a
11.5
14.9
n/a
The impairment test performed in 2023 did not result in
goodwill impairments. The discounted cash flow model uses
one base-case scenario. For the CGUs with allocated
goodwill, a sensitivity analysis was also carried out on the
base-case scenario with particular attention on changes in
long-term growth, the discount rate and the long-term EBIT
margin.
The recoverable amount of CGU Investment Banking Clients
is sensitive to projected earnings and the PE multiple. A
decrease of 10% in projected cash flows or a reduction of the
PE multiple of 1 percentage point are considered reasonable
possible changes in key assumptions. The analysis is
captured in the sensitivity tables below and supports our
conclusion that no impairment is needed.
In addition, an annual test is carried out for indications of
impairment of other intangible assets with a finite useful life.
The acquired brand names are still active and no objective
indication for impairment was apparent at year-end 2023.
For the line item Client relationships, changes in the AuM
volume are assessed. The useful life tests carried out in 2023
provided no indication of a need for further examination.
Consequently, no impairment is recognised for other
intangible assets.
Sensitivity analysis value in use method
Change required in each key assumption for headroom to
equal zero, in percentage points
Headroom with
terminal growth rate at
0%
Headroom
Net profit margin
Cost of equity
Private Clients
677,836
-18.3%
9.4%
571,084
Wholesale & Institutional Clients
123,125
-18.8%
19.5%
104,529
Sensitivity analysis fair value less costs of disposal
Headroom
Headroom with -10%
projected earnings for
2024 and 2025
Adjusted PE multiple
for headroom to equal
zero
Investment Banking Clients
36,726
33,905
9.1
Expected amortisation of intangible assets
2024
2025
2026
2027
2028
2029\u201343
Total
16,023
13,712
13,710
12,396
11,301
67,639
", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-660": { "value": "
10. Goodwill and other intangible assets
Goodwill and other intangible assets
2023
2022
Total
313,049
306,753
Goodwill
179,363
176,761
Other intangible assets
133,685
129,992
The carrying amounts of goodwill arising from acquisitions
and other intangible assets are presented in the table above.
Changes in goodwill and other intangible assets in 2023
Goodwill
Client
relationships
Brand
names
Carbon
credits
Application
software
Total
At 1 January
176,761
122,957
6,901
\u2014
134
306,753
Additions
2,603
10,846
1,087
1,597
5,465
21,597
Amortisation
\u2014
-12,669
-1,935
-40
-658
-15,302
At 31 December
179,363
121,134
6,054
1,557
4,941
313,049
Historical cost
179,363
174,185
21,897
1,597
6,515
383,557
Accumulated amortisation and impairments
\u2014
-53,051
-15,843
-40
-1,574
-70,508
Net carrying amount at 31 December
179,363
121,134
6,054
1,557
4,941
313,049
Changes in goodwill and other intangible assets in 2022
Goodwill
Client
relationships
Brand
names
Carbon
credits
Application
software
Total
At 1 January
176,761
135,549
8,764
\u2014
787
321,861
Amortisation
\u2014
-12,593
-1,863
\u2014
-653
-15,109
At 31 December
176,761
122,957
6,901
\u2014
134
306,753
Historical cost
176,761
163,337
20,810
\u2014
1,576
362,484
Accumulated amortisation and impairments
\u2014
-40,380
-13,908
\u2014
-1,442
-55,730
Net carrying amount at 31 December
176,761
122,957
6,901
\u2014
134
306,753
The additions to Goodwill, Client relationships, Brand names
and Application software are due to the acquisition of
Robeco's online investment platform in 2023; see \u201cBusiness
combinations in 2023\u201d.
We have defined five CGUs, namely Private Clients,
Wholesale & Institutional Clients, Investment Banking
Clients, Non-strategic investments, and Other. These
correspond to our operating segments (see \"Segment
information\") except for CGU Non-strategic investments.
Segment Other is split between the CGUs Other and Non-
strategic investments.
The performance of the Private Clients segment was strong
in 2023, mainly due to higher net interest margins and
increased net commission income. The Wholesale &
Institutional Clients segment had a negative result in 2023,
despite net AuM inflows and positive market performance.
In 2023, we took a series of additional measures to further
accelerate profitable growth. As part of this, we simplified
the segment's organisational structure and structurally
reduced costs. The projected financial results do not indicate
a trigger for impairment. The difficult market conditions put
corporate finance results at Investment Banking Clients
under pressure. This segment struggled in 2023 due to
difficult market circumstances, in line with other market
participants. However, sentiment showed some sign of
improvement in the last quarter of 2023 and we anticipate a
further recovery from 2024 onwards.
Allocation of goodwill to CGUs (based on segments)
2023
2022
Total
179,363
176,761
Private Clients
122,040
119,437
Wholesale & Institutional Clients
16,031
16,031
Investment Banking Clients
41,293
41,293
Methodology
In line with IFRS, the recoverable amount is determined as
the higher of the fair value less costs of disposal (FVLCOD)
and value in use (ViU). We carried out our annual
impairment test on goodwill arising from acquisitions in
prior years. To determine whether an impairment is
necessary, the recoverable amount of each CGU or group of
CGUs is compared with its carrying amount. The value in use
calculation uses equity cash flow projections for each CGU
or group of CGUs for a five-year period. These projections
are based on the current year and on the financial estimates
for the years 2024 until 2027 used by management in its
strategic forecast at the end of 2023. For the period after
the explicit projections per CGU or group of CGUs, the
growth rate is set at the long-term market growth rate of
2.0%. This growth rate applies to all CGUs, as in the long
term all CGUs will be impacted by the same economic
market developments. The rate is based on our own
projections and on wealth management market projections
by market experts.
Change in accounting estimate
In previous years, only the value in use was used to calculate
the recoverable amount. For CGU Investment Banking
Clients, the fair value less costs of disposal analysis was also
applied this year.
The market price at valuation date of our peer group within
the Investment Banking segment and their average earnings
for a five-year reference period (2021\u201325) are used to
calculate the price-earnings (PE) multiple. The recoverable
amount is calculated using the median price-earnings ratio
and the average earnings of CGU Investment Banking
Clients over a five-year period, including projections for
2023, 2024 and 2025 based on management\u2019s strategic
forecast.
Management has compared the main assumptions with
market forecasts and expectations. Cash flow estimates are
based on our strategic plans and on potential future trends.
Events and factors that could have a significant impact on
the estimates include stock and bond market developments,
effects of mergers and acquisitions, competitive conditions,
client behaviour and changes in client relationships, cost
structure, trends in inflation, interest rates and risks, and
other circumstances specific to the industry and sector.
Equity cash flows are discounted using a cost of equity for
each CGU or group of CGUs that reflects the risk-free
interest rate, supplemented with a surcharge for the market
risk exposure of the CGU or group of CGUs, and a small-firm
premium.
CGU
Method used
for recoverable
amount
Discount rate after tax %
PE multiple
2023
2022
2023
2022
Private Clients
ViU
11.1
9.7
n/a
n/a
Wholesale & Institutional Clients
ViU
13.2
12.1
n/a
n/a
Investment Banking Clients
FVLCOD
n/a
11.5
14.9
n/a
The impairment test performed in 2023 did not result in
goodwill impairments. The discounted cash flow model uses
one base-case scenario. For the CGUs with allocated
goodwill, a sensitivity analysis was also carried out on the
base-case scenario with particular attention on changes in
long-term growth, the discount rate and the long-term EBIT
margin.
The recoverable amount of CGU Investment Banking Clients
is sensitive to projected earnings and the PE multiple. A
decrease of 10% in projected cash flows or a reduction of the
PE multiple of 1 percentage point are considered reasonable
possible changes in key assumptions. The analysis is
captured in the sensitivity tables below and supports our
conclusion that no impairment is needed.
In addition, an annual test is carried out for indications of
impairment of other intangible assets with a finite useful life.
The acquired brand names are still active and no objective
indication for impairment was apparent at year-end 2023.
For the line item Client relationships, changes in the AuM
volume are assessed. The useful life tests carried out in 2023
provided no indication of a need for further examination.
Consequently, no impairment is recognised for other
intangible assets.
Sensitivity analysis value in use method
Change required in each key assumption for headroom to
equal zero, in percentage points
Headroom with
terminal growth rate at
0%
Headroom
Net profit margin
Cost of equity
Private Clients
677,836
-18.3%
9.4%
571,084
Wholesale & Institutional Clients
123,125
-18.8%
19.5%
104,529
Sensitivity analysis fair value less costs of disposal
Headroom
Headroom with -10%
projected earnings for
2024 and 2025
Adjusted PE multiple
for headroom to equal
zero
Investment Banking Clients
36,726
33,905
9.1
Expected amortisation of intangible assets
2024
2025
2026
2027
2028
2029\u201343
Total
16,023
13,712
13,710
12,396
11,301
67,639
", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsAndGoodwillExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-664": { "value": "
Change in accounting estimate
In previous years, only the value in use was used to calculate
the recoverable amount. For CGU Investment Banking
Clients, the fair value less costs of disposal analysis was also
applied this year.
The market price at valuation date of our peer group within
the Investment Banking segment and their average earnings
for a five-year reference period (2021\u201325) are used to
calculate the price-earnings (PE) multiple. The recoverable
amount is calculated using the median price-earnings ratio
and the average earnings of CGU Investment Banking
Clients over a five-year period, including projections for
2023, 2024 and 2025 based on management\u2019s strategic
forecast.
", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesAccountingEstimatesAndErrorsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-663": { "value": "
Change in accounting estimate
In previous years, only the value in use was used to calculate
the recoverable amount. For CGU Investment Banking
Clients, the fair value less costs of disposal analysis was also
applied this year.
The market price at valuation date of our peer group within
the Investment Banking segment and their average earnings
for a five-year reference period (2021\u201325) are used to
calculate the price-earnings (PE) multiple. The recoverable
amount is calculated using the median price-earnings ratio
and the average earnings of CGU Investment Banking
Clients over a five-year period, including projections for
2023, 2024 and 2025 based on management\u2019s strategic
forecast.
", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingEstimatesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-666": { "value": "
11. Tax assets
Tax assets
2023
2022
Total
11,342
13,178
Current tax assets
634
213
Deferred tax assets
10,708
12,965
Changes in deferred taxes in 2023
At 1 January
Through
statement
of income
To equity
Tax rate
adjustments
At 31
December
Deferred tax assets
Employee benefits
5,453
1,002
-902
\u2014
5,553
Property and equipment
2,512
19
\u2014
\u2014
2,531
Lease liabilities
9,889
-584
\u2014
\u2014
9,304
Derivatives
2,666
\u2014
-227
\u2014
2,439
Loss available for set-off
1,140
-1,006
\u2014
\u2014
134
Commission
68
-43
\u2014
\u2014
26
Investment portfolio
6,785
\u2014
-3,279
\u2014
3,506
Other
-2,225
-424
2,073
\u2014
-576
Total deferred tax assets before offsetting
26,288
-1,037
-2,334
\u2014
22,917
Offsetting deferred tax assets
-12,211
Total deferred tax assets after offsetting
10,708
Deferred tax liabilities
Right-of-use assets \u2013 buildings
6,964
-303
\u2014
\u2014
6,661
Right-of-use assets \u2013 transport equipment
1,705
-175
\u2014
\u2014
1,530
Intangible assets
27,862
-2,570
\u2014
\u2014
25,291
Other
163
\u2014
\u2014
\u2014
163
Total deferred tax liabilities before offsetting
36,695
-3,048
\u2014
\u2014
33,646
Offsetting deferred tax liabilities
-12,211
Total deferred tax liabilities after offsetting
21,435
The \u20ac1.0\u00a0million Loss available for set-off \u2013 related to
\u20ac4.1\u00a0million losses incurred by Van\u00a0Lanschot Kempen
Investment Management (UK) Ltd recognised at
1\u00a0January\u00a02023 \u2013 has been released to take account of
unforeseeable future taxable profit. The recognised part of
the losses of our non-strategic subsidiary Allshare BV
amounts to \u20ac0.5 million.
The non-current portion of deferred tax assets that is
expected to be recovered or settled after more than
12\u00a0months amounted to \u20ac22.9 million (2022: \u20ac26.1 million).
See Note 32, Income tax, for more information.
Changes in deferred taxes in 2022
At 1 January
Through
statement
of income
To equity
Tax rate
adjustments
At 31
December
Deferred tax assets
Employee benefits
9,504
-721
-3,341
12
5,453
Property and equipment
2,729
-216
\u2014
\u2014
2,512
Lease liabilities
11,867
-1,978
\u2014
\u2014
9,889
Derivatives
2,892
\u2014
-227
\u2014
2,666
Loss available for set-off
3,047
-1,860
\u2014
-47
1,140
Commission
111
-43
\u2014
\u2014
68
Investment portfolio
\u2014
\u2014
6,785
\u2014
6,785
Other
2,021
214
-4,460
\u2014
-2,225
Total deferred tax assets before offsetting
32,172
-4,605
-1,243
-35
26,288
Offsetting deferred tax assets
-13,325
Total deferred tax assets after offsetting
12,964
Deferred tax liabilities
Right-of-use assets \u2013 buildings
9,303
-2,339
\u2014
\u2014
6,964
Right-of-use assets \u2013 transport equipment
1,905
-200
\u2014
\u2014
1,705
Intangible assets
31,242
-3,380
\u2014
\u2014
27,862
Investment portfolio
674
\u2014
-674
\u2014
\u2014
Other
333
-170
\u2014
\u2014
163
Total deferred tax liabilities before offsetting
43,458
-6,089
-674
\u2014
36,695
Offsetting deferred tax liabilities
-13,325
Total deferred tax liabilities after offsetting
23,369
Unrecognised losses
2023
2022
Total unrecognised losses
17,942
9,649
Unrecognised losses are losses for which it is not probable
that future taxable profit will be available against which the
unused tax losses can be offset.
Unrecognised tax losses relate to carry-forward losses of
Van Lanschot Kempen Investment Management (UK) Ltd,
amounting to \u20ac13 million, and to our non-strategic
subsidiary Allshare BV, amounting to \u20ac5 million. As neither
the United Kingdom nor the Netherlands observe any time
limit for offsetting losses, these tax losses can be carried
forward indefinitely.
18. Tax liabilities
Tax liabilities
2023
2022
Total
23,681
29,646
Current tax liabilities
2,246
6,277
Deferred tax liabilities
21,435
23,369
For changes in deferred tax liabilities, see Note 11, Tax
assets. See Note 32, Income tax, for more information
32. Income tax
Income tax
2023
2022
Operating profit before tax
164,173
118,979
Total gross result
164,173
118,979
Prevailing tax rate in the Netherlands (in %)
25.8
25.8
Tax
39,017
34,678
Total tax
39,017
34,678
Expected tax on the basis of the prevailing tax rate in the Netherlands
42,357
30,696
Increase/decrease in tax payable due to:
Non-deductible interest
2,110
527
Tax-free income from securities and associates
-8,399
3,022
Non-deductible costs
2,412
2,663
Non-deductible losses
1,167
669
Adjustments to taxes for prior financial years
-481
-892
Impact of foreign tax rate differences
-521
-203
Addition/(release) deferred tax assets
6
-98
Other changes
366
-1,706
Total increase/decrease
-3,339
3,982
Total tax
39,017
34,678
This tax amount consists of the tax expense for the financial
year on the operating result as disclosed in the statement of
income, also allowing for any tax relief facilities. Changes in
the effective tax rate were mainly due to the equity holding
exemption and non-deductible expenses.
In December 2022, EU member states adopted the
EU\u00a0Directive on minimum taxation (Pillar 2). Under this
directive, multinational companies are subject to a minimum
effective tax rate of 15% in every jurisdiction where they
have an entity. If the effective tax rate is lower than 15%, a
top-up tax is applied to reach a 15% effective tax burden.
Companies with a global turnover exceeding \u20ac750 million in
at least two of the four reporting years immediately
preceding the reporting year fall within the scope of Pillar 2.
As of 2024, the Minimum Tax Act, in which Pillar 2 is
formalised, will be effective in the Netherlands. Our
consolidated revenues in the 2020\u201322 period were below
\u20ac750 million; in 2023 they ended up above that figure.
Hence, neither the mandatory recognition and disclosure
exception in IAS 12.4A nor the disclosure requirements in
IAS 12.88A-88D apply to us at this point.
Key income tax components
2023
2022
Total
39,017
34,678
Income tax
42,099
44,312
Income/expense from foreign tax rate differences
521
203
Income/expense from changes in deferred tax assets
-1,037
-4,640
Income/expense from changes in deferred tax liabilities
-3,048
-6,089
Income/expense from prior-year adjustments
481
892
The breakdown of deferred tax assets and liabilities through
the statement of income is as follows:
Deferred tax assets
2023
2022
Total
-1,037
-4,640
Employee benefits
1,002
-709
Commissions
-43
-43
Property and equipment
19
-216
Lease liabilities
-584
-1,978
Tax-loss carry-forwards
-1,006
-1,907
Other
-424
214
Deferred tax liabilities
2023
2022
Total
-3,048
-6,089
Property and equipment
-477
-2,539
Intangible assets
-2,570
-3,380
Other
\u2014
-170
", "dimensions": { "concept": "ifrs-full:DisclosureOfDeferredTaxesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-665": { "value": "
11. Tax assets
Tax assets
2023
2022
Total
11,342
13,178
Current tax assets
634
213
Deferred tax assets
10,708
12,965
18. Tax liabilities
Tax liabilities
2023
2022
Total
23,681
29,646
Current tax liabilities
2,246
6,277
Deferred tax liabilities
21,435
23,369
For changes in deferred tax liabilities, see Note 11, Tax
assets. See Note 32, Income tax, for more information.
", "dimensions": { "concept": "ifrs-full:DisclosureOfTaxReceivablesAndPayablesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-667": { "value": "
12. Other assets
Other assets
2023
2022
Total
184,427
188,984
Interest receivable
36,153
17,541
Commission receivable
74,640
76,925
Transitory items
14,619
23,052
Other
59,015
71,466
The line item Other comprises amounts receivable such as
debtors, short-term receivables related to solicitor escrow
accounts and to the investment in the fund managed by
AEGON AM, and suspense accounts.
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherAssetsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-669": { "value": "
13. Due to banks
Due to banks
2023
2022
Total
250,504
387,063
Deposits
221,116
363,005
Payables arising from unsettled securities transactions
6,120
9,006
Loans and advances drawn
23,269
15,052
Deposits mainly refer to cash collateral related to derivatives
transactions.
20. Subordinated loans
Subordinated loans
2023
2022
Total
170,238
170,882
Certificates of indebtedness
154,205
154,584
Other subordinated loans
15,996
16,109
Value adjustments fair value hedge accounting
38
189
Amortised cost versus carrying amount
The value adjustment of subordinated loans used as hedged
items is recognised under Subordinated loans.
Amortised cost versus carrying amount subordinated loans at
31/12/2023
Amortised cost
Value
adjustments
fair value hedge
accounting
Premium/
discount
Carrying
amount
Total
165,996
38
4,205
170,238
Inflation-linked subordinated bond 08/33
25,000
\u2014
582
25,582
Inflation-linked subordinated bond 08/38
25,000
\u2014
1,030
26,030
Inflation-linked subordinated bond 08/43
50,000
\u2014
2,710
52,710
2.000% subordinated bond 03/32
50,000
\u2014
-117
49,883
Other subordinated loans
15,996
38
\u2014
16,034
Amortised cost versus carrying amount subordinated loans at
31/12/2022
Amortised cost
Value
adjustments
fair value hedge
accounting
Premium/
discount
Carrying
amount
Total
166,109
189
4,584
170,882
Inflation-linked subordinated bond 08/33
25,000
\u2014
706
25,706
Inflation-linked subordinated bond 08/38
25,000
\u2014
1,137
26,137
Inflation-linked subordinated bond 08/43
50,000
\u2014
2,895
52,895
2.000% subordinated bond 03/32
50,000
\u2014
-154
49,846
Other subordinated loans
16,109
189
\u2014
16,298
The average coupon on the other subordinated loans in
2023 was 6.03% (2022: 6.03%).
", "dimensions": { "concept": "ifrs-full:DisclosureOfBorrowingsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-668": { "value": "
13. Due to banks
Due to banks
2023
2022
Total
250,504
387,063
Deposits
221,116
363,005
Payables arising from unsettled securities transactions
6,120
9,006
Loans and advances drawn
23,269
15,052
Deposits mainly refer to cash collateral related to derivatives
transactions.", "dimensions": { "concept": "ifrs-full:DisclosureOfDepositsFromBanksExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-670": { "value": "
14. Public and private sector liabilities
Public and private sector liabilities
2023
2022
Total
12,573,814
12,726,194
Savings
5,056,634
4,411,735
Deposits
3,196,201
1,029,207
Current accounts
3,977,921
6,907,520
Other client assets
344,334
380,138
Value adjustments fair value hedge accounting
-1,277
-2,406
", "dimensions": { "concept": "ifrs-full:DisclosureOfDepositsFromCustomersExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-671": { "value": "
16. Issued debt securities
Issued debt securities
2023
2022
Total
1,473,639
1,342,131
Covered bonds
1,495,525
1,413,719
Value adjustments fair value hedge accounting
-21,887
-71,589
Issued debt securities comprise debt instruments with
interest rates that are either fixed or variable, in so far as not
subordinated. Of these debt securities, \u20ac299.8 million
became payable on demand in 2023 (2022: \u20ac481.3 million).
In 2023, a bond of \u20ac500 million was repaid and a new soft
bullet covered bond of \u20ac500 million was issued. Also, the
existing retained covered bond of \u20ac300 million was
increased to \u20ac500 million in 2023 with no impact on the
carrying amount of the issued debt securities. In 2022, a
bond of \u20ac500 million was redeemed and a new bond of
\u20ac500\u00a0million was issued.
Face value versus carrying amount
The value adjustment of debt securities as a result of hedge
accounting is recognised under the line item Issued debt
securities.
Face value versus carrying amount of issued
debt securities at 31/12/2023
Face value
Value adjustments
fair value hedge
accounting
Premium/discount
Carrying amount
Total
1,500,000
-21,887
-4,475
1,473,639
Covered bond
1,500,000
-21,887
-4,475
1,473,639
Face value versus carrying amount of issued
debt securities at 31/12/2022
Face value
Value adjustments
fair value hedge
accounting
Premium/discount
Carrying amount
Total
1,417,400
-71,589
-3,681
1,342,131
Covered bond
1,417,400
-71,589
-3,681
1,342,131
", "dimensions": { "concept": "ifrs-full:DisclosureOfDebtSecuritiesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-672": { "value": "
17. Provisions
Provisions
2023
2022
Total
32,650
32,293
Provision for pensions
23,051
23,105
Provision for long-service benefits
3,007
2,617
Provision for restructuring
2,156
390
Provision for financial guarantees and loan commitments
2,207
2,435
Other provisions
2,229
3,746
We operate a number of employee schemes under which
participants receive payments or benefits after they retire.
Specifically, there is a pension scheme and a discount
scheme for mortgage interest rates, as well as a long-service
benefits scheme.
The following defined benefit schemes were valued for the
purpose of the 2023 financial statements:
\u2013 Van Lanschot Kempen employees were eligible for
discounted mortgage interest rates. Entitlement to this
discount continues beyond retirement from active
service. This plan was closed to new entrants after 2015.
\u2013 The long-service benefits depend on the number of years
of service.
\u2013 Both a defined contribution scheme and a defined
benefit scheme are in place for employees working at the
Belgian branch. The pensionable salary for the defined
benefit scheme is taken as the average basic salary over
the last five years of service. The pension capital is
insured with UKZT (Uitgesteld Kapitaal Zonder
Tegenverzekering). The accompanying term life
assurance is funded from risk premiums. The defined
contribution pension plans have been set up according to
the Belgian method of defined contributions but do not
fulfil all the criteria of a defined contribution pension
plan according to IAS 19. For this reason, the defined
contribution pension plans are treated as a defined
benefit plan in the consolidated financial statements.
\u2013 Until year-end 2019, former Kempen & Co operated an
average salary scheme under which 1.875% of the
pensionable salary \u2013 salary less state pension offset, with
an annual ceiling of \u20ac41,232 \u2013 was accrued for each year
of service and which was based on a retirement age of
68. The surviving dependants\u2019 pension was insured on a
risk basis.
\u2013 The pension plan of Van Lanschot Kempen (Schweiz) AG
has been set up according to the Swiss method of defined
contributions but does not fulfil all the criteria of a
defined contribution pension plan according to IAS 19.
For this reason, the Swiss pension plan is treated as
defined benefit plan in the consolidated financial
statements.
Only within our Kempen pension scheme, plan assets fund
the obligations (i.e. the scheme is funded). The other
schemes are unfunded; payments in any year are made
directly by Van Lanschot Kempen.
The pension schemes have been placed with insurers and a
pension institution, which are responsible for the pension
administration, risk insurance and communication of legal
documents to employees who are scheme members.
Decisions on and changes to pension scheme content are
taken by an internal pensions committee. Where applicable,
in the Netherlands the Works Council is consulted for its
advice and/or approval.
Van Lanschot Kempen's pension schemes were adjusted and
replaced from 1 January 2020 by a single new plan. The new
scheme is an individual defined contribution scheme. The
former Van Lanschot scheme is classified as a collective
defined contribution scheme, and the change of scheme has
no impact from an accounting perspective. Because there is
still an obligation to pay guarantee costs and to provide
indexation on the accrued pension benefits, the remainder of
the provision (\u20ac27.9\u00a0million) stays on the balance sheet. As it
has no legally enforceable right to use the surplus in plan
assets for settling the obligations for indexation and
guarantee costs, Van Lanschot Kempen applies an asset
ceiling to the relevant assets in the pension scheme.
Defined benefit obligations are calculated using the
projected unit credit method.
Obligations/assets included in the statement of financial position by scheme
at 31/12/2023
Pensions
Employee
discounts
Long-service
benefits
Defined benefit obligations
168,056
53
3,007
Fair value of plan assets
145,005
\u2014
\u2014
Surplus/deficit
-23,051
-53
-3,007
Obligation at year-end
-23,051
-53
-3,007
Obligations/assets included in the statement of financial position by scheme
at 31/12/2022
Pensions
Employee
discounts
Long-service
benefits
Defined benefit obligations
162,144
53
2,617
Fair value of plan assets
139,039
\u2014
\u2014
Surplus/deficit
-23,105
-53
-2,617
Obligation at year-end
-23,105
-53
-2,617
Changes in defined benefit obligations for pension scheme
2023
2022
Defined benefit obligations at 1 January
162,144
248,435
Current service costs
2,893
2,610
Interest costs
5,869
2,744
Members' contributions
413
368
Gross benefits
-4,672
-3,171
Transfers
-564
-501
Remeasurements arising from changes in financial assumptions
2,312
-91,099
Remeasurements arising from changes in demographic assumptions
-501
-5
Experience adjustments
-435
2,275
Effect of foreign exchange rates
597
488
Defined benefit obligations at 31 December
168,056
162,144
At 31 December 2023, the weighted average duration of the
defined benefit obligation was 18 years (2022: 21\u00a0years).
Changes in defined benefit obligations for early retirement scheme
2023
2022
Defined benefit obligations at 1 January
\u2014
17
Current service costs
\u2014
-17
Defined benefit obligations at 31 December
\u2014
\u2014
Changes in defined benefit obligations for long-service benefits scheme
2023
2022
Defined benefit obligations at 1 January
2,617
3,515
Current service costs
158
237
Interest costs
94
26
Financial assumptions
147
-760
Gross benefits
-281
-197
Experience adjustments
272
-204
Defined benefit obligations at 31 December
3,007
2,617
Changes in fair value of pension plan assets
2023
2022
Fair value at 1 January
139,039
209,841
Expected return on plan assets
5,076
2,373
Financial assumptions
1,125
-73,578
Employer's contribution
4,170
3,383
Gross benefits
-4,389
-2,917
Transfers
-564
-501
Effect of foreign exchange rates
548
438
Fair value at 31 December
145,005
139,039
Actual return on plan assets
6,201
-71,205
Current service costs of pension scheme included in statement of income
2023
2022
Current service costs
2,893
2,610
Net interest income
5,869
2,744
Expected return on plan assets
-5,076
-2,373
Net costs
3,686
2,981
Current service costs of early retirement included in statement of income
2023
2022
Current service costs
\u2014
-17
Net costs
\u2014
-17
Current service costs of long-service benefits scheme included in statement of income
2023
2022
Current service costs
158
237
Net interest income
94
26
Financial assumptions
147
-760
Net costs
399
-497
The assets in Van Lanschot Kempen's pension plan are
funded through contracts with insurance companies.
Consequently, the asset value in the measurement of the
pension liability is based on these insurance contracts.
At each reporting date, an asset/liability matching study is
carried out by the pension fund\u2019s asset manager, in which the
consequences of the strategic investment policies are
analysed. The strategic investment policies pursued by the
pension fund are bound by the maximum investment risk.
The maximum investment risk is linked to a strategic asset
mix comprising 73% of fixed income and 27% of equity
income investments, with a duration match of 75%. A
bandwidth of 5% is in place. The other investment category
consists of funds managed by an external pension fund
manager.The most significant actuarial assumptions made at
the reporting date are as follows:
Assumptions
2023
2022
Actuarial interest rate pension
1.70% - 3.60%
1.90% - 3.80%
Actuarial interest rate employee discounts
0.0%
0.0%
Actuarial interest rate long-service benefits
3.00% - 3.00%
3.60% - 3.60%
Expected return on investments
1.70% - 3.60%
1.90% - 3.80%
Price inflation
2.25% - 2.10%
2.10% - 2.30%
General salary increase
1.00% - 2.10%
1.00% - 2.10%
Retirement age
65-68 years
65-68 years
The mortality rate is based on publicly available mortality
tables for the relevant countries. For the calculations at
31\u00a0December 2023, the following mortality tables were
used:
\u2013 Kempen's former pension plans: the mortality tables as
published by the Dutch Association of Actuaries
(Prognosetafel AG2020);
\u2013 Belgian branch: the mortality table as published by the
Institute of Actuaries in Belgium (MR/FR) with an age
correction of -3 years.
\u2013 Van Lanschot Kempen (Schweiz) AG: the mortality table
as published by BVG (BVG 2020 GT).
For Kempen's former pension plans, a rise of ten basis points
in the actuarial interest rate will lead to a decrease of 1.8% in
the pension obligations and will have no effect on the
current service costs in the statement of income, as no
future contributions will be made due to the change in
pension scheme.
For the Belgian branch, a reduction of 25 basis points in the
actuarial interest rate will lead to an increase of 1.6% in the
pension obligations and a rise of 25 basis points in the
actuarial interest rate will lead to a decrease of 1.6% in the
pension obligations.
For Van Lanschot Kempen (Schweiz) AG, a reduction of
50\u00a0basis points in the actuarial interest rate will lead to an
increase of 8.1% in the pension obligations and a rise of
50\u00a0basis points in the actuarial interest rate will lead to a
decrease of 7.1% in the pension obligations.
History of changes in pension scheme
gains and losses
2023
2022
2021
2020
2019
Defined benefit obligations
168,056
162,144
248,435
300,791
266,206
Fair value of plan assets
145,005
139,039
209,841
251,792
226,411
Surplus/deficit
-23,051
-23,105
-38,594
-48,999
-39,795
Actuarial gains/losses on obligations
1,376
-88,829
-50,011
33,456
43,929
Actuarial gains/losses on investments
1,125
-73,578
-40,351
21,894
36,625
Expected contributions for 2024
Pension
obligations
Employee
discounts
Long-service
benefits scheme
Total
3,156
2
195
Expected employer's contributions
2,726
2
195
Expected employees' contributions
430
\u2014
\u2014
Provision for restructuring
2023
2022
At 1 January
390
1,743
Withdrawals
-1,802
-1,874
Additions
3,568
521
At 31 December
2,156
390
Provision for interest rate derivatives recovery framework
2023
2022
At 1 January
\u2014
160
Withdrawals
\u2014
-6,220
Release
\u2014
-3,819
Additions
\u2014
9,879
At 31 December
\u2014
\u2014
Provision for financial guarantees and loan commitments
2023
2022
At 1 January
2,435
1,784
Withdrawals
-228
\u2014
Additions
\u2014
651
At 31 December
2,207
2,435
Other provisions
2023
2022
At 1 January
3,746
6,757
Withdrawals
-1,280
-1,430
Release
-463
-2,732
Additions
226
1,151
At 31 December
2,229
3,746
Other provisions include provisions made for various legal
claims and defined benefit obligations for employee discount
schemes.
An amount of \u20ac0.4 million (2022: \u20ac1.6 million) has an
expected maturity of one year or longer.
", "dimensions": { "concept": "ifrs-full:DisclosureOfProvisionsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-675": { "value": "
19. Other liabilities
Other liabilities
2023
2022
Total
250,333
246,945
Interest payable
73,526
30,943
Other accruals and deferred income
43,529
45,565
Lease liabilities
38,606
39,073
Other
94,672
131,363
Other liabilities comprise lease liabilities, income received to
be credited to future periods and amounts payable such as
accrued interest, payables, suspense accounts and unsettled
items.
The line item Other decreased mainly due to the settlement
of a transaction in cash of \u20ac40.8 million, related to the
acquisition of the remaining 30% stake in Mercier
Vanderlinden by Van Lanschot Kempen in the first half of
2023.\u00a0
Payments not included in lease liability measurement
2023
2022
Total
1,214
725
Leases of low-value assets
123
153
Variable lease payments
1,091
572
Interest expense on leases amounted to \u20ac0.8 million in 2023
(2022: \u20ac0.4 million) and is recognised in the statement of
income under line item Other interest expense in Note 23,
Net interest income.
", "dimensions": { "concept": "ifrs-full:DisclosureOfAccruedExpensesAndOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-674": { "value": "
19. Other liabilities
Other liabilities
2023
2022
Total
250,333
246,945
Interest payable
73,526
30,943
Other accruals and deferred income
43,529
45,565
Lease liabilities
38,606
39,073
Other
94,672
131,363
Other liabilities comprise lease liabilities, income received to
be credited to future periods and amounts payable such as
accrued interest, payables, suspense accounts and unsettled
items.
The line item Other decreased mainly due to the settlement
of a transaction in cash of \u20ac40.8 million, related to the
acquisition of the remaining 30% stake in Mercier
Vanderlinden by Van Lanschot Kempen in the first half of
2023.\u00a0
Payments not included in lease liability measurement
2023
2022
Total
1,214
725
Leases of low-value assets
123
153
Variable lease payments
1,091
572
Interest expense on leases amounted to \u20ac0.8 million in 2023
(2022: \u20ac0.4 million) and is recognised in the statement of
income under line item Other interest expense in Note 23,
Net interest income.
", "dimensions": { "concept": "ifrs-full:DisclosureOfTradeAndOtherPayablesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-673": { "value": "
19. Other liabilities
Other liabilities
2023
2022
Total
250,333
246,945
Interest payable
73,526
30,943
Other accruals and deferred income
43,529
45,565
Lease liabilities
38,606
39,073
Other
94,672
131,363
Other liabilities comprise lease liabilities, income received to
be credited to future periods and amounts payable such as
accrued interest, payables, suspense accounts and unsettled
items.
The line item Other decreased mainly due to the settlement
of a transaction in cash of \u20ac40.8 million, related to the
acquisition of the remaining 30% stake in Mercier
Vanderlinden by Van Lanschot Kempen in the first half of
2023.\u00a0
Payments not included in lease liability measurement
2023
2022
Total
1,214
725
Leases of low-value assets
123
153
Variable lease payments
1,091
572
Interest expense on leases amounted to \u20ac0.8 million in 2023
(2022: \u20ac0.4 million) and is recognised in the statement of
income under line item Other interest expense in Note 23,
Net interest income.
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-676": { "value": "
20. Subordinated loans
Subordinated loans
2023
2022
Total
170,238
170,882
Certificates of indebtedness
154,205
154,584
Other subordinated loans
15,996
16,109
Value adjustments fair value hedge accounting
38
189
Amortised cost versus carrying amount
The value adjustment of subordinated loans used as hedged
items is recognised under Subordinated loans.
Amortised cost versus carrying amount subordinated loans at
31/12/2023
Amortised cost
Value
adjustments
fair value hedge
accounting
Premium/
discount
Carrying
amount
Total
165,996
38
4,205
170,238
Inflation-linked subordinated bond 08/33
25,000
\u2014
582
25,582
Inflation-linked subordinated bond 08/38
25,000
\u2014
1,030
26,030
Inflation-linked subordinated bond 08/43
50,000
\u2014
2,710
52,710
2.000% subordinated bond 03/32
50,000
\u2014
-117
49,883
Other subordinated loans
15,996
38
\u2014
16,034
Amortised cost versus carrying amount subordinated loans at
31/12/2022
Amortised cost
Value
adjustments
fair value hedge
accounting
Premium/
discount
Carrying
amount
Total
166,109
189
4,584
170,882
Inflation-linked subordinated bond 08/33
25,000
\u2014
706
25,706
Inflation-linked subordinated bond 08/38
25,000
\u2014
1,137
26,137
Inflation-linked subordinated bond 08/43
50,000
\u2014
2,895
52,895
2.000% subordinated bond 03/32
50,000
\u2014
-154
49,846
Other subordinated loans
16,109
189
\u2014
16,298
The average coupon on the other subordinated loans in
2023 was 6.03% (2022: 6.03%).
", "dimensions": { "concept": "ifrs-full:DisclosureOfSubordinatedLiabilitiesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-678": { "value": "
21. Total equity
Total equity
31/12/2023
31/12/2022
Total
1,348,777
1,382,372
Equity attributable to shareholders
Issued share capital
43,040
41,362
Treasury shares
-14,243
-15,109
Share premium reserve
211,725
262,658
Revaluation reserve
-10,083
-19,513
Actuarial results on defined benefit schemes
-26,759
-29,523
Currency translation reserve
1,026
987
Cash flow hedge reserve
-7,015
-7,666
Own credit risk reserve
1,989
7,952
Retained earnings
928,870
961,987
Other reserves
888,029
914,223
Undistributed profit (attributable to shareholders)
118,446
77,405
Total equity attributable to shareholders
1,246,996
1,280,539
Equity attributable to AT1 capital securities
AT1 capital securities
100,000
100,000
Undistributed profit attributable to AT1 capital securities
1,688
1,688
Total equity attributable to AT1 capital securities
101,688
101,688
Equity attributable to other non-controlling interests
Other non-controlling interests
134
\u2014
Undistributed profit attributable to other non-controlling interests
-40
146
Total equity attributable to other non-controlling interests
93
146
Share capital
31/12/2023
31/12/2022
Number
Nominal value
Number
Nominal value
Class A ordinary shares
43,039,938
43,040
41,361,668
41,362
Unissued shares
106,960,062
106,960
108,638,332
108,638
Authorised capital
150,000,000
150,000
150,000,000
150,000
Changes in share capital
2023
2022
Number
Nominal value
Number
Nominal value
At 1 January
41,361,668
41,362
41,361,668
41,362
Shares issued
1,678,270
1,678
\u2014
\u2014
Capital increase
\u2014
\u2014
\u2014
\u2014
Capital return
\u2014
\u2014
\u2014
\u2014
At 31 December
43,039,938
43,040
41,361,668
41,362
In 2023, 1,678,270 new shares were issued to the
amount of \u20ac35.7 million, related to the acquisition of the
remaining 30% stake in Mercier Vanderlinden by
Van Lanschot Kempen.
At an extraordinary general meeting of shareholders in
\u2019s\u00a0Hertogenbosch on 5 October 2023, our shareholders
approved the return of capital in the amount of \u20ac2.00 per
share, as announced on 24 August 2023. The capital return
paid on 21 December 2023 amounted to \u20ac85.0 million and
was charged to the share premium reserve available for
distribution.
All shares were paid up in cash. During the financial year,
Van Lanschot Kempen conditionally granted 27,191
depositary receipts for Class A ordinary shares.
Van\u00a0Lanschot Kempen holds 562,852 depositary receipts for
Class A ordinary shares to meet open positions
(2022:\u00a0644,350). For more information on share-based
payments, see Note 28, Staff costs.
Awards of unconditional shares and depositary receipts to
staff are linked to performance and employment contracts.
For more information about share schemes for staff and the
Management Board, see page 102.
", "dimensions": { "concept": "ifrs-full:DisclosureOfIssuedCapitalExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-677": { "value": "
21. Total equity
Total equity
31/12/2023
31/12/2022
Total
1,348,777
1,382,372
Equity attributable to shareholders
Issued share capital
43,040
41,362
Treasury shares
-14,243
-15,109
Share premium reserve
211,725
262,658
Revaluation reserve
-10,083
-19,513
Actuarial results on defined benefit schemes
-26,759
-29,523
Currency translation reserve
1,026
987
Cash flow hedge reserve
-7,015
-7,666
Own credit risk reserve
1,989
7,952
Retained earnings
928,870
961,987
Other reserves
888,029
914,223
Undistributed profit (attributable to shareholders)
118,446
77,405
Total equity attributable to shareholders
1,246,996
1,280,539
Equity attributable to AT1 capital securities
AT1 capital securities
100,000
100,000
Undistributed profit attributable to AT1 capital securities
1,688
1,688
Total equity attributable to AT1 capital securities
101,688
101,688
Equity attributable to other non-controlling interests
Other non-controlling interests
134
\u2014
Undistributed profit attributable to other non-controlling interests
-40
146
Total equity attributable to other non-controlling interests
93
146
Share capital
31/12/2023
31/12/2022
Number
Nominal value
Number
Nominal value
Class A ordinary shares
43,039,938
43,040
41,361,668
41,362
Unissued shares
106,960,062
106,960
108,638,332
108,638
Authorised capital
150,000,000
150,000
150,000,000
150,000
Changes in share capital
2023
2022
Number
Nominal value
Number
Nominal value
At 1 January
41,361,668
41,362
41,361,668
41,362
Shares issued
1,678,270
1,678
\u2014
\u2014
Capital increase
\u2014
\u2014
\u2014
\u2014
Capital return
\u2014
\u2014
\u2014
\u2014
At 31 December
43,039,938
43,040
41,361,668
41,362
In 2023, 1,678,270 new shares were issued to the
amount of \u20ac35.7 million, related to the acquisition of the
remaining 30% stake in Mercier Vanderlinden by
Van Lanschot Kempen.
At an extraordinary general meeting of shareholders in
\u2019s\u00a0Hertogenbosch on 5 October 2023, our shareholders
approved the return of capital in the amount of \u20ac2.00 per
share, as announced on 24 August 2023. The capital return
paid on 21 December 2023 amounted to \u20ac85.0 million and
was charged to the share premium reserve available for
distribution.
All shares were paid up in cash. During the financial year,
Van Lanschot Kempen conditionally granted 27,191
depositary receipts for Class A ordinary shares.
Van\u00a0Lanschot Kempen holds 562,852 depositary receipts for
Class A ordinary shares to meet open positions
(2022:\u00a0644,350). For more information on share-based
payments, see Note 28, Staff costs.
Awards of unconditional shares and depositary receipts to
staff are linked to performance and employment contracts.
For more information about share schemes for staff and the
Management Board, see page 102.
Changes in reserves in 2023
Revaluation
reserve
financial
assets at
fair value
through
other
comprehensive
income
Actuarial
results on
defined
benefit
schemes
Currency
translation
reserve
Cash flow
hedge
reserve
Own credit
risk reserve
Retained
earnings
Total
At 1 January
-19,513
-29,523
987
-7,666
7,952
961,987
914,223
Net changes in fair value
9,430
\u2014
\u2014
651
\u2014
\u2014
10,082
Value change own credit risk
\u2014
\u2014
\u2014
\u2014
-5,963
\u2014
-5,963
Profit appropriation
\u2014
\u2014
\u2014
\u2014
\u2014
77,405
77,405
Dividend
\u2014
\u2014
\u2014
\u2014
\u2014
-74,324
-74,324
Share plans
\u2014
\u2014
\u2014
\u2014
\u2014
902
902
Actuarial results
\u2014
2,764
\u2014
\u2014
\u2014
\u2014
2,764
Other changes
\u2014
\u2014
39
\u2014
\u2014
-37,100
-37,061
At 31 December
-10,083
-26,759
1,026
-7,015
1,989
928,871
888,029
Tax effects
-3,279
-902
\u2014
-227
2,073
\u2014
-2,334
Changes in reserves in 2022
Revaluation
reserve
financial
assets at
fair value
through
other
comprehensive
income
Actuarial
results on
defined
benefit
schemes
Currency
translation
reserve
Cash flow
hedge
reserve
Own credit
risk reserve
Retained
earnings
Total
At 1 January
1,939
-39,199
1,389
-8,318
-4,876
866,397
817,333
Net changes in fair value
-21,452
\u2014
\u2014
651
\u2014
\u2014
-20,801
Value change own credit risk
\u2014
\u2014
\u2014
\u2014
12,828
\u2014
12,828
Profit appropriation
\u2014
\u2014
\u2014
\u2014
\u2014
136,983
136,983
Dividend
\u2014
\u2014
\u2014
\u2014
\u2014
-81,425
-81,425
Share plans
\u2014
\u2014
\u2014
\u2014
\u2014
12,271
12,271
Actuarial results
\u2014
9,676
\u2014
\u2014
\u2014
\u2014
9,676
Other changes
\u2014
\u2014
-402
\u2014
\u2014
27,761
27,359
At 31 December
-19,513
-29,523
987
-7,666
7,952
961,987
914,223
Tax effects
7,459
-3,341
\u2014
-227
-4,460
\u2014
-569
The proposed dividend for 2023 has been set at \u20ac2.00 per
ordinary share (2022: \u20ac1.75 per ordinary share). At the AGM
to be held on 23\u00a0May\u00a02024, shareholders will be invited to
approve the distribution of the dividend.
Nature and purpose of other reserves
Treasury shares: This includes the cost price of treasury
shares kept by Van Lanschot Kempen for shares awarded to
staff under current remuneration and equity schemes.
Share premium reserve: This includes amounts paid to
Van\u00a0Lanschot Kempen by shareholders above the nominal
value of purchased shares.
Revaluation reserve: This includes changes in the fair value of
FVOCI investments.
Actuarial results on defined benefit schemes: This includes
actuarial gains and losses on revaluation of investments and
defined benefit obligations. The actuarial gains and losses
related to a shortfall in minimum performance on defined
contribution plan assets, required under Belgian and Swiss
law, are also included.
Currency translation reserve: This reserve (which is not
available for free distribution) includes currency exchange
differences resulting from the valuation of investments in
group companies at the prevailing exchange rate in so far as
the currency rate risk is not hedged.
Cash flow hedge reserve: This includes the share in the gain or
loss on hedging instruments in cash flow hedges that have
been designated as an effective hedge.
Own credit risk reserve: This includes the changes in
Van\u00a0Lanschot Kempen\u2019s own credit risk of financial liabilities
at fair value through profit or loss.
Retained earnings: This includes past profits added to equity
and changes in connection with the share scheme, as well as
the settlement of shares related to the Mercier
Vanderlinden transaction in 2022 and 2023.
", "dimensions": { "concept": "ifrs-full:DisclosureOfShareCapitalReservesAndOtherEquityInterestExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-679": { "value": "
Changes in reserves in 2023
Revaluation
reserve
financial
assets at
fair value
through
other
comprehensive
income
Actuarial
results on
defined
benefit
schemes
Currency
translation
reserve
Cash flow
hedge
reserve
Own credit
risk reserve
Retained
earnings
Total
At 1 January
-19,513
-29,523
987
-7,666
7,952
961,987
914,223
Net changes in fair value
9,430
\u2014
\u2014
651
\u2014
\u2014
10,082
Value change own credit risk
\u2014
\u2014
\u2014
\u2014
-5,963
\u2014
-5,963
Profit appropriation
\u2014
\u2014
\u2014
\u2014
\u2014
77,405
77,405
Dividend
\u2014
\u2014
\u2014
\u2014
\u2014
-74,324
-74,324
Share plans
\u2014
\u2014
\u2014
\u2014
\u2014
902
902
Actuarial results
\u2014
2,764
\u2014
\u2014
\u2014
\u2014
2,764
Other changes
\u2014
\u2014
39
\u2014
\u2014
-37,100
-37,061
At 31 December
-10,083
-26,759
1,026
-7,015
1,989
928,871
888,029
Tax effects
-3,279
-902
\u2014
-227
2,073
\u2014
-2,334
Changes in reserves in 2022
Revaluation
reserve
financial
assets at
fair value
through
other
comprehensive
income
Actuarial
results on
defined
benefit
schemes
Currency
translation
reserve
Cash flow
hedge
reserve
Own credit
risk reserve
Retained
earnings
Total
At 1 January
1,939
-39,199
1,389
-8,318
-4,876
866,397
817,333
Net changes in fair value
-21,452
\u2014
\u2014
651
\u2014
\u2014
-20,801
Value change own credit risk
\u2014
\u2014
\u2014
\u2014
12,828
\u2014
12,828
Profit appropriation
\u2014
\u2014
\u2014
\u2014
\u2014
136,983
136,983
Dividend
\u2014
\u2014
\u2014
\u2014
\u2014
-81,425
-81,425
Share plans
\u2014
\u2014
\u2014
\u2014
\u2014
12,271
12,271
Actuarial results
\u2014
9,676
\u2014
\u2014
\u2014
\u2014
9,676
Other changes
\u2014
\u2014
-402
\u2014
\u2014
27,761
27,359
At 31 December
-19,513
-29,523
987
-7,666
7,952
961,987
914,223
Tax effects
7,459
-3,341
\u2014
-227
-4,460
\u2014
-569
The proposed dividend for 2023 has been set at \u20ac2.00 per
ordinary share (2022: \u20ac1.75 per ordinary share). At the AGM
to be held on 23\u00a0May\u00a02024, shareholders will be invited to
approve the distribution of the dividend.
Nature and purpose of other reserves
Treasury shares: This includes the cost price of treasury
shares kept by Van Lanschot Kempen for shares awarded to
staff under current remuneration and equity schemes.
Share premium reserve: This includes amounts paid to
Van\u00a0Lanschot Kempen by shareholders above the nominal
value of purchased shares.
Revaluation reserve: This includes changes in the fair value of
FVOCI investments.
Actuarial results on defined benefit schemes: This includes
actuarial gains and losses on revaluation of investments and
defined benefit obligations. The actuarial gains and losses
related to a shortfall in minimum performance on defined
contribution plan assets, required under Belgian and Swiss
law, are also included.
Currency translation reserve: This reserve (which is not
available for free distribution) includes currency exchange
differences resulting from the valuation of investments in
group companies at the prevailing exchange rate in so far as
the currency rate risk is not hedged.
Cash flow hedge reserve: This includes the share in the gain or
loss on hedging instruments in cash flow hedges that have
been designated as an effective hedge.
Own credit risk reserve: This includes the changes in
Van\u00a0Lanschot Kempen\u2019s own credit risk of financial liabilities
at fair value through profit or loss.
Retained earnings: This includes past profits added to equity
and changes in connection with the share scheme, as well as
the settlement of shares related to the Mercier
Vanderlinden transaction in 2022 and 2023.
", "dimensions": { "concept": "ifrs-full:DisclosureOfReservesAndOtherEquityInterestExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-680": { "value": "2", "decimals": 2, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00", "unit": "iso4217:EUR/xbrli:shares" } }, "f-681": { "value": "
Treasury shares: This includes the cost price of treasury
shares kept by Van Lanschot Kempen for shares awarded to
staff under current remuneration and equity schemes.
", "dimensions": { "concept": "ifrs-full:DisclosureOfTreasurySharesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-684": { "value": "
22. Contingent liabilities and irrevocable
commitments
Contingent liabilities and irrevocable commitments
2023
2022
Total
1,154,003
1,141,437
Guarantees, etc.
89,202
97,713
Unused credit facilities
1,029,612
998,019
Other irrevocable commitments
35,190
45,706
For several group companies, guarantees of \u20ac254.1 million
(2022: \u20ac304.1 million) have been issued. It is uncertain
whether, when and how much of these contingent liabilities
will be claimed.
The following tables show the contingent items (contingent
liabilities and irrevocable commitments) based on their
remaining contractual terms to maturity at the reporting
date.
For each transaction that we have guaranteed, the maximum
guaranteed amount is included in the relevant term bucket.
For each obligation arising from an irrevocable commitment,
the committed amount is classified in the relevant term
bucket.
Contractual maturity of contingent items at 31/12/2023
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than
5 years
Total
Total
74,169
37,336
21,642
9,454
1,011,402
1,154,003
Guarantees
2,807
1,691
20,481
6,239
57,984
89,202
Unused credit facilities
71,362
35,645
1,161
1,915
919,528
1,029,612
Other irrevocable commitments
\u2014
\u2014
\u2014
1,300
33,890
35,190
Contractual maturity of contingent items at 31/12/2022
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than
5 years
Total
Total
16,143
95,163
14,747
24,492
990,892
1,141,437
Guarantees
271
5,333
11,083
21,061
59,965
97,713
Unused credit facilities
15,872
89,830
3,664
2,131
886,521
998,019
Other irrevocable commitments
\u2014
\u2014
\u2014
1,300
44,406
45,706
Commitments
IT and other contracts
Van Lanschot Kempen has entered into several IT contracts,
e.g. for hiring services and capacity, and for licensing and
maintenance of our systems. Our future contractual
payment commitments for IT contracts amount to
\u20ac46.3\u00a0million (2022: \u20ac30.8\u00a0million) and exclusively consist of
intangible asset expenditures.
Early termination of these contracts could result in
additional costs. Potential exit fees are linked to the
remaining term of the contracts.
Future payments for IT and other contracts\u00a0 (\u20ac1,000)
2023
2022
Total
128,150
96,176
Within 1 year
48,187
36,139
1 to 5 years
69,783
60,037
More than 5 years
10,180
\u2014
The increase in Future payments for IT and other contracts
was mainly due to higher IT contracts.
Lease agreement
Van Lanschot Kempen Investment Management UK (Ltd)
entered into a long-term lease agreement on 25 September
2023 which will run from 28 November 2023 until
31\u00a0October 2031. Van Lanschot Kempen NV co-signed the
lease agreement, guaranteeing the obligations arising from
it. The total obligation until the end of the contract amounts
to \u00a33 million.
", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-683": { "value": "
22. Contingent liabilities and irrevocable
commitments
Contingent liabilities and irrevocable commitments
2023
2022
Total
1,154,003
1,141,437
Guarantees, etc.
89,202
97,713
Unused credit facilities
1,029,612
998,019
Other irrevocable commitments
35,190
45,706
For several group companies, guarantees of \u20ac254.1 million
(2022: \u20ac304.1 million) have been issued. It is uncertain
whether, when and how much of these contingent liabilities
will be claimed.
The following tables show the contingent items (contingent
liabilities and irrevocable commitments) based on their
remaining contractual terms to maturity at the reporting
date.
For each transaction that we have guaranteed, the maximum
guaranteed amount is included in the relevant term bucket.
For each obligation arising from an irrevocable commitment,
the committed amount is classified in the relevant term
bucket.
Contractual maturity of contingent items at 31/12/2023
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than
5 years
Total
Total
74,169
37,336
21,642
9,454
1,011,402
1,154,003
Guarantees
2,807
1,691
20,481
6,239
57,984
89,202
Unused credit facilities
71,362
35,645
1,161
1,915
919,528
1,029,612
Other irrevocable commitments
\u2014
\u2014
\u2014
1,300
33,890
35,190
Contractual maturity of contingent items at 31/12/2022
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than
5 years
Total
Total
16,143
95,163
14,747
24,492
990,892
1,141,437
Guarantees
271
5,333
11,083
21,061
59,965
97,713
Unused credit facilities
15,872
89,830
3,664
2,131
886,521
998,019
Other irrevocable commitments
\u2014
\u2014
\u2014
1,300
44,406
45,706
", "dimensions": { "concept": "ifrs-full:DisclosureOfContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-682": { "value": "
22. Contingent liabilities and irrevocable
commitments
Contingent liabilities and irrevocable commitments
2023
2022
Total
1,154,003
1,141,437
Guarantees, etc.
89,202
97,713
Unused credit facilities
1,029,612
998,019
Other irrevocable commitments
35,190
45,706
For several group companies, guarantees of \u20ac254.1 million
(2022: \u20ac304.1 million) have been issued. It is uncertain
whether, when and how much of these contingent liabilities
will be claimed.
The following tables show the contingent items (contingent
liabilities and irrevocable commitments) based on their
remaining contractual terms to maturity at the reporting
date.
For each transaction that we have guaranteed, the maximum
guaranteed amount is included in the relevant term bucket.
For each obligation arising from an irrevocable commitment,
the committed amount is classified in the relevant term
bucket.
Contractual maturity of contingent items at 31/12/2023
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than
5 years
Total
Total
74,169
37,336
21,642
9,454
1,011,402
1,154,003
Guarantees
2,807
1,691
20,481
6,239
57,984
89,202
Unused credit facilities
71,362
35,645
1,161
1,915
919,528
1,029,612
Other irrevocable commitments
\u2014
\u2014
\u2014
1,300
33,890
35,190
Contractual maturity of contingent items at 31/12/2022
Withdrawable
on demand
< 3 months
3 to 12
months
1 to 5 years
More than
5 years
Total
Total
16,143
95,163
14,747
24,492
990,892
1,141,437
Guarantees
271
5,333
11,083
21,061
59,965
97,713
Unused credit facilities
15,872
89,830
3,664
2,131
886,521
998,019
Other irrevocable commitments
\u2014
\u2014
\u2014
1,300
44,406
45,706
", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsAndContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-685": { "value": "
23. Net interest income
Net interest income
2023
2022
Total interest income
526,651
254,167
Interest income on cash equivalents
2,403
560
Interest income on balances at central banks
62,836
13,804
Interest income on banks, and public and private sectors
225,488
194,033
Interest income on financial assets at fair value through other comprehensive income
21,617
2,010
Interest income on other financial assets at amortised cost
34,892
10,554
Interest income calculated using the effective interest method
347,237
220,961
Interest income on financial assets at fair value through profit or loss
3,233
757
Interest income on derivatives
162,714
19,543
Other interest income
13,468
12,906
Other interest income
179,415
33,206
Total interest expense
329,847
102,545
Interest expense on balances at central banks
\u2014
7,217
Interest expense on banks, and public and private sectors
141,909
24,358
Interest expense on issued debt securities
31,191
16,667
Interest expense on subordinated loans
10,631
16,487
Interest expense calculated using the effective interest method
183,730
64,730
Interest expense on derivatives
119,435
24,936
Other interest expense
26,682
12,880
Other interest expense
146,117
37,816
Net interest income
196,805
151,621
In 2023, net intere st income was \u20ac45.2 million higher than in
2022. The changed interest rate environment during 2022
and 2023 had a positive effect on our net interest income.
The interest rate on what were predominantly deposits at
central banks, variable-rate loans and mortgages, including
interest rate swaps, rose more sharply than the rates on
client savings accounts and deposits.
The interest income on balances at central banks consists of
the interest received on overnight deposits at DNB as well as
the negative interest paid in 2022 on the TLTRO III loan
recognised under Due to banks. The loan was repaid in
December 2022.
The interest result on loans subject to impairment was
\u20ac2.0\u00a0million (2022: \u20ac1.0\u00a0million).
From 1 January 2023, the interest charges related to the
medium term notes (\u20ac19.1 million; 2022: \u20ac2.8\u00a0million) are
reported under Other interest expense. This provides
enhanced insight into the figures in accordance with IAS 1.
Previously, this was reported under Result on financial
transactions. Comparative figures have not been restated.
", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestIncomeExpenseExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-686": { "value": "
From 1 January 2023, the interest charges related to the
medium term notes (\u20ac19.1 million; 2022: \u20ac2.8\u00a0million) are
reported under Other interest expense. This provides
enhanced insight into the figures in accordance with IAS 1.
Previously, this was reported under Result on financial
transactions. Comparative figures have not been restated.
From 1 January 2023, the interest charges related to the
medium term notes are reclassified from Gains/losses on
financial assets and liabilities at fair value through profit or
loss to Other interest expenses. Comparative figures have
not been restated. See also Note 23, Net interest expense.", "dimensions": { "concept": "ifrs-full:DisclosureOfReclassificationsOrChangesInPresentationExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-687": { "value": "
24. Income from securities and associates
Income from securities and associates
2023
2022
Total
38,113
7,830
Income from associates using the equity method
9,089
8,942
Realised result of associates using the equity method
23,149
7,424
Realised and unrealised gains/losses on investments at fair value through profit or loss
5,375
-8,300
Other gains/losses on sales
500
-236
Income from securities and associates increased by
\u20ac30.3\u00a0million, mainly due to the sale of our 33.3% interest in
Movares Group BV in November 2023 with a gain of
\u20ac23.1\u00a0million, and to higher Realised and unrealised gains on
investments at fair value through profit or loss, reflecting a
positive market performance.
Disclosure of interests in other entities
Key judgements and assumptions
We rely on key judgements and assumptions when
determining control and significant influence. We have
included these under the headings \u201cBasis of consolidation\u201d
and \u201cSummary of material accounting policies\u201d.
Interests in subsidiaries
The consolidated statement of financial position and
statement of income comprise subsidiaries and entities in
which Van Lanschot Kempen has control, but exclude the
names of relatively minor subsidiaries and entities.
Subsidiaries (%)
2023
2022
Van Lanschot Kempen (Schweiz) AG (before 2 October 2023: F. van Lanschot Bankiers (Schweiz) AG)
100
100
Kempen Dutch Inflation Fund I NV
100
100
Van Lanschot Kempen Investment Management NV
100
100
Van Lanschot Kempen Bewaarder NV
100
100
Van Lanschot Kempen AM NL BV
100
100
Van Lanschot Kempen (USA) Inc.
100
100
Van Lanschot Kempen Participaties BV (before 29 September 2023: Van Lanschot Participaties BV)
100
100
Beheermaatschappij \"Orthenstraat\" BV
100
100
Sapphire Investments BV
100
100
Quion 17 BV
100
100
Efima Hypotheken BV
100
100
LansOG Beheer BV
100
100
Hof Hoorneman NV
100
100
St. Custodian Van Lanschot Kempen Partnership1
\u2014
\u2014
Mercier Vanderlinden Asset Management NV
100
100
Consolidated structured entities controlled
by Van Lanschot Kempen
In the consolidated statement of financial position, we
consolidate structured entities. These are designed in such a
way that the voting rights are not the dominant factor in
deciding who controls the entity, and the relevant activities
are governed by contractual arrangements. Van Lanschot
Kempen is exposed to substantially all of the risk of the
structured entity and thereby controls it. Therefore, these
structured entities do not qualify as a transfer of financial
assets and are not derecognised from our statement of
financial position.
We consolidate the following structured entities:
\u2013 Van Lanschot Conditional Pass-Through Covered Bond
Company BV;
\u2013 Van Lanschot Conditional Pass-Through Covered Bond
Company 2 BV;
\u2013 Van Lanschot Kempen SB Covered Bond Company BV.
Public Conditional Pass-Through (CPT) Covered Bond
programme
Van Lanschot Kempen established a CPT programme in
March 2015, out of which Van Lanschot Kempen has issued
publicly placed bonds since. Investors have a dual recourse
claim: initially against Van Lanschot Kempen, and, in the
event of the bank\u2019s failure, against a pool of cover assets.
One of the outstanding CPT Covered Bonds matured in the
first half of 2023, while we were able to transfer the last
outstanding CPT to the Soft Bullet Covered Bond (SBCB)
programme. This means the CPT programme no longer has
any bonds outstanding and will be discontinued (initiated in
December 2023). We expect to complete this operation in
March 2024.
Retained Conditional Pass-Through (CPT) Covered Bond
programme
Van Lanschot Kempen established a retained CPT
programme in July 2019. In September 2019, the bank
launched the first bond of \u20ac300 million (maturity of five
years, coupon of 0.4%). This bond was increased by \u20ac200
million to \u20ac500 million in June 2023. All bonds were
retained.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 Van Lanschot Kempen can exercise indirect control via its partners participating in the partnership plan.
Public Soft Bullet Covered Bond (SBCB) programme
Van Lanschot Kempen established a soft bullet covered
bond programme in March 2022. In June 2022, the bank
launched the first bond of \u20ac500 million (maturity of five and
a half years, coupon of 2.5%). A second bond was issued in
May 2023 (maturity of three years, coupon of 3.5%). Finally,
in October 2023 a bond was transferred from the CPT to the
SBCB programme. All bonds were placed with institutional
investors.
The table below shows the total amounts of the mortgage
loans involved in each covered bond programme.
Structured entities (\u20ac1,000)
31/12/2023
31/12/2022
Fair value
Carrying amount
Fair value
Carrying amount
Total
2,471,899
2,700,817
2,063,721
2,296,648
Public Conditional Pass-Through Covered Bond
programme
\u2014
\u2014
1,123,293
1,259,599
Retained Conditional Pass-Through Covered Bond
programme
546,070
604,964
317,479
352,870
Public Soft Bullet Covered Bond programme
1,925,829
2,095,853
622,949
684,179
Van Lanschot Kempen provides no financial or other support
to the covered bond entities, and has no intention of
providing such support.
Non-consolidated structured entities
Residential mortgage-backed securities are classified as
financial assets at fair value through other comprehensive
income or other financial assets at amortised cost . These
investments are structured entities. We do not consolidate
these because Van Lanschot Kempen is not substantially
exposed to all of the risk of the structured entity. The table
below shows Van Lanschot Kempen\u2019s investments in non-
consolidated structured entities and the total income from
these investments. The Investments column shows the
carrying value as recognised in the consolidated statement
of financial position.
Van Lanschot Kempen has no other interests in non-
consolidated structured entities such as commitments,
guarantees, provisions, derivatives or other obligations. The
maximum exposure to non-consolidated structured entities
is equal to the acquisition cost and amounted to
\u20ac276.3\u00a0million at 31\u00a0December 2023 (2022: \u20ac285.7\u00a0million).
Van Lanschot Kempen is not required to provide financial or
other support to non-consolidated structured entities, and
has no intention of providing such support.
Non-consolidated structured entities 2023 (\u20ac1,000)
Interest income
Impairment
Comprehensive
income
Total income
Investments
Total
2,473
-17
1,982
4,438
289,729
Residential mortgage-backed securities
2,473
-17
1,982
4,438
289,729
Non-consolidated structured entities 2022 (\u20ac1,000)
Interest income
Impairment
Comprehensive
income
Total income
Investments
Total
848
\u2014
-963
-116
280,686
Residential mortgage-backed securities
848
\u2014
-963
-116
280,686
Non-controlling interests
The consolidated statement of financial position and
statement of income include a number of non-controlling
interests; a list of non-controlling interests in Van Lanschot
Kempen subsidiaries is provided below.
Non-controlling interests (\u20ac1,000)
31/12/2023
31/12/2022
Total
93
146
Consolidated investment funds
93
146
Van Lanschot Kempen\u2019s minority interests are recognised
under non-controlling interests as part of equity.
Changes in non-controlling
interests (\u20ac1,000)
2023
2022
Non-controlling
interests
Undistributed
profit attributable
to non-controlling
interests
Total
Non-controlling
interests
Undistributed
profit attributable
to non-controlling
interests
Total
At 1 January
\u2014
146
146
-10
74
64
Profit appropriation
146
-146
\u2014
74
-74
\u2014
Dividend
\u2014
\u2014
\u2014
-76
\u2014
-76
Result for the reporting
period
\u2014
-40
-40
\u2014
146
146
Other changes
-12
\u2014
-12
12
\u2014
12
At 31 December
134
-40
93
\u2014
146
146
Consolidated investments
The table below provides aggregated information on
consolidated investments.
Financial information consolidated investments (\u20ac1,000)
2023
2022
Total assets
151
191
Total liabilities
33
18
Equity attributable to shareholders
25
35
Equity attributable to non-controlling interests
93
138
Total income from operating activities
-43
215
Total expenses
8
33
Taxes
\u2014
\u2014
Net income
-50
182
Of which attributable to shareholders
-10
36
Of which attributable to non-controlling interests
-40
146
Associates
Investments in associates using the equity method
As part of our investment policy, we invest in medium-sized
companies in the Netherlands, only holding minority
interests. These investments are classified as investments in
associates using the equity method.
The table below shows the largest investments in associates
based on the carrying amount.
In 2023, our interest in Movares Group BV (33.3%) was sold;
see Note 24, Income from securities and associates.
Name
Activities
Head office
Interest
Bolster Investments
Co\u00f6peratief UA
Bolster is a long-term investor specialising in taking minority
shareholdings of 20-50% in private companies and pursuing a flexible,
long-term investment horizon, allowing its companies' portfolios to
achieve their long-term growth potential.
Amsterdam
29.75%
Bolster Investments II
Co\u00f6peratief UA
Bolster II is a long-term investor specialising in taking minority
shareholdings of 20-50% in private companies and pursuing a flexible,
long-term investment horizon, allowing its companies' portfolios to
achieve their long-term growth potential.
Amsterdam
22.00%
Langosta BV
Langosta participates in financing companies.
Amsterdam
47.74%
OGD Beheer BV
OGD provides ICT services to medium-sized and large companies,
public and semi-public and non-profit organisations. Its services
include service management, outsourcing, software development and
ICT training.
Delft
31.30%
Ploeger Oxbo Holding BV
Ploeger Oxbo develops, manufactures and sells a wide range of
specialist harvesting equipment to customers across the world.
Roosendaal
11.83%
Tecnotion Investment BV
Tecnotion designs, produces and sells linear motors across the world,
to the semiconductor, electronics, LCD, automotive and robotics
industries among other sectors.
Almelo
38.65%
Aggregated financial information of associates for
which Van Lanschot Kempen applies the equity
method\u00a0 (\u20ac1,000)
2023
2022
Associates,
equity method
Attributable to
Van Lanschot
Kempen
Associates,
equity method
Attributable to
Van Lanschot
Kempen
Total
350,759
103,987
320,447
95,573
Current assets
250,307
40,274
237,848
45,211
Non-current assets
498,891
96,628
430,152
92,431
Current liabilities
-103,565
-18,540
-117,679
-24,818
Non-current liabilities
-294,874
-40,252
-229,874
-34,056
Goodwill
18,221
10,090
Impairments
\u2014
\u2014
Other
7,656
6,715
Other financial information
Dividend received
4,469
3,096
Income from operational activities
13,020
11,064
Share of net income
32,214
16,000
Unrecognised share of losses
117
117
Comprehensive income
\u2014
\u2014
The table below shows the income and expenses that we
report for associates using the equity method in the
statement of income and the positions included in the
statement of financial position, as well as guarantees issued
at year-end in respect of these entities.
Transactions with Investments in associates using the equity method (\u20ac1,000)
2023
2022
Income
\u2014
9
Amount payable
4,003
3,035
Guarantees
25,655
36,490
Loans granted to entities in which we exercise significant
influence but do not have decisive control are granted on
market terms and secured on collateral provided. No
impairments were applied to the receivables in either 2023
or 2022.
Van Lanschot Kempen Participaties
Investments using the equity method held by Van\u00a0Lanschot
Kempen Participaties are managed by Bolster Investment
Partners. Van\u00a0Lanschot Kempen Participaties invests in a
portfolio of equity funds. In addition, one of the portfolio
companies issued cumulative preference shares. Moreover,
a subordinated loan has been issued to one of the portfolio
companies.
The table below shows Van Lanschot Kempen Participaties\u2019
financial impact on the consolidated statement of financial
position and statement of income. The table does not include
information about controlling interests.
Van Lanschot Kempen Participaties at 31/12/2023 (\u20ac1,000)
Investment activity
Item
Carrying
value
Interest
Income from
securities
and associates
Impairments
Total
Direct investment
Investment in associates
using the equity method
34,590
\u2014
28,273
\u2014
28,273
Shareholdings
Financial assets at fair
value through profit or loss
1,124
120
\u2014
\u2014
120
Subordinated loans
Loans and advances to the
public and private sectors
3,092
\u2014
\u2014
\u2014
\u2014
Fund investment
Financial assets at fair
value through profit or loss
449
\u2014
59
\u2014
59
Total
39,255
120
28,332
\u2014
28,452
Joint ventures in which Van Lanschot Kempen is a partner
We have no joint ventures.
", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestsInOtherEntitiesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-688": { "value": "
25. Net commission income
Net commission income
2023
2022
Total
427,313
407,662
Securities commissions
28,445
23,371
Management commissions
361,256
326,956
Cash transactions and funds transfer commissions
5,929
5,896
Corporate Finance and Equity Capital Markets commissions
25,853
44,598
Other commissions
5,830
6,841
Securities and management commissions were up by
\u20ac39.4\u00a0million compared with 2022, mainly due to strong
AuM growth.
", "dimensions": { "concept": "ifrs-full:DisclosureOfFeeAndCommissionIncomeExpenseExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-689": { "value": "
26. Result on financial transactions
Result on financial transactions
2023
2022
Total
1,040
3,633
Gains/losses on securities trading
1,657
-127
Gains/losses on currency trading
7,600
11,002
Gains/losses on derivatives under hedge accounting
-1,834
9,346
Realised gains/losses on financial assets at fair value through other comprehensive income
-1,629
-2,850
Gains/losses on economic hedges/hedge accounting not applied
31,165
-35,140
Gains/losses on financial assets and liabilities at fair value through profit or loss
-35,919
21,402
Compared with 2022, Result on financial transactions was
down by \u20ac2.6 million. This was mainly driven by three items.
First, a negative result of \u20ac3.4 million on futures that are
used to hedge co-investments in own products in 2023,
compared with a positive result in 2022 of \u20ac11.5 million.
Second, ineffectiveness in our hedge accounting model
resulted in a loss of \u20ac1.8 million (2022: gain of \u20ac9.3 million).
This was partly offset as 2022 included an expense of
\u20ac18.7\u00a0million, related to the acquisition of the remaining
30% stake in Mercier Vanderlinden by Van Lanschot
Kempen.
From 1 January 2023, the interest charges related to the
medium term notes are reclassified from Gains/losses on
financial assets and liabilities at fair value through profit or
loss to Other interest expenses. Comparative figures have
not been restated. See also Note 23, Net interest expense.", "dimensions": { "concept": "ifrs-full:DisclosureOfTradingIncomeExpenseExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-691": { "value": "
27. Other income
Other income
2023
2022
Total
6,101
7,332
Net sales
8,475
9,220
Cost of sales
-2,374
-1,888
Other income comprises net sales and cost of sales from
non-strategic investments arising from debt conversion. In
certain cases, where a company has not been able to repay a
corporate loan granted by Van Lanschot Kempen, the loan
has been converted into a shareholding, thus giving the
company time to recover.
", "dimensions": { "concept": "ifrs-full:DisclosureOfCostOfSalesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-690": { "value": "
27. Other income
Other income
2023
2022
Total
6,101
7,332
Net sales
8,475
9,220
Cost of sales
-2,374
-1,888
Other income comprises net sales and cost of sales from
non-strategic investments arising from debt conversion. In
certain cases, where a company has not been able to repay a
corporate loan granted by Van Lanschot Kempen, the loan
has been converted into a shareholding, thus giving the
company time to recover.
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-693": { "value": "
28. Staff costs
Staff costs
2023
2022
Total
328,073
310,631
Salaries and wages
242,402
228,706
Pension costs for defined contribution schemes
30,031
26,740
Pension costs for defined benefit schemes
2,582
2,638
Other social security costs
26,905
23,625
Share-based payments for variable remuneration
6,660
6,158
Other staff costs
19,493
22,764
In 2023, share-based payments added \u20ac4.0 million to equity
(2022: \u20ac3.3 million). Of the total expenses arising from
share-based payments, \u20ac2.7 million is included in Salaries
and wages (2022: \u20ac2.6 million). IFRS 2 expenses totalled
\u20ac8.6 million at year-end 2023 (2022: \u20ac7.7 million). Pension
costs for defined contribution schemes include \u20ac1.7 million
for Management Board members (2022: \u20ac1.5 million).
The number of staff at year-end 2023 was 2,112
(2022:\u00a01,967). The average number of staff in full-time
equivalents was 1,901 (2022: 1,765), as shown below:
Average number of staff (FTEs) during the year
2023
2022
Total
1,901
1,765
Netherlands
1,653
1,519
Belgium
172
173
Other
75
73
Conditional depositary receipts for shares are granted to
staff both under the variable remuneration policy for
identified staff and the long-term share plan (LTP).
Conditional depositary receipts for shares granted to staff (excluding Management Board)
2023
2022
At 1 January
98,040
92,541
Granted
27,191
49,640
Vested
-34,509
-41,479
Forfeited rights
-2,589
-2,662
At 31 December
88,133
98,040
The fair value is determined based on the volume-weighted
day price for depositary receipts for Class A ordinary shares
on the second trading day after release of Van Lanschot
Kempen\u2019s annual figures. The fair value is equal to the share
price less the discounted value of expected dividends during
the vesting period. Depositary receipts granted in 2023 had
a weighted average fair value of \u20ac18.97 (2022: \u20ac16.89).
In 2023, 10,472 conditional depositary receipts for shares
were granted under the LTP to a number of senior managers
other than members of the Management Board
(2022:\u00a014,003).
Long-term share plan
The long-term share plan allows us to award variable
remuneration to certain key employees, including identified
staff. It offers a special type of variable remuneration in
which the total variable pay takes the form of depositary
receipts for Class A Van Lanschot Kempen shares.
For the LTP, 60% of the Van Lanschot Kempen shares are
awarded immediately and unconditionally, while 40% are
awarded conditionally over a period of three years for LTP
plans before 2023. For LTP plans from 2023 onwards, 40%
are awarded conditionally over a period of four years.
Conditional depositary receipts for shares will vest if:
(i) Van Lanschot Kempen\u2019s financial position allows this in
the year of vesting;
(ii) Risks have been reviewed and no material, unforeseen
risks have occurred;
(iii) The individual has not left the company in the three- or
four-year period.
Conditional variable remuneration can be revised down if so
prompted by risks and performances identified later (malus).
Employees do not receive any dividends during the vesting
period. If an employee ceases to be employed by
Van\u00a0Lanschot Kempen within this period, their rights will be
forfeited, except in limited circumstances judged on an
individual basis.
A proportion (around 50%) of the conditionally awarded
depositary receipts is used to pay income tax.
", "dimensions": { "concept": "ifrs-full:DisclosureOfEmployeeBenefitsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-692": { "value": "
28. Staff costs
Staff costs
2023
2022
Total
328,073
310,631
Salaries and wages
242,402
228,706
Pension costs for defined contribution schemes
30,031
26,740
Pension costs for defined benefit schemes
2,582
2,638
Other social security costs
26,905
23,625
Share-based payments for variable remuneration
6,660
6,158
Other staff costs
19,493
22,764
In 2023, share-based payments added \u20ac4.0 million to equity
(2022: \u20ac3.3 million). Of the total expenses arising from
share-based payments, \u20ac2.7 million is included in Salaries
and wages (2022: \u20ac2.6 million). IFRS 2 expenses totalled
\u20ac8.6 million at year-end 2023 (2022: \u20ac7.7 million). Pension
costs for defined contribution schemes include \u20ac1.7 million
for Management Board members (2022: \u20ac1.5 million).
The number of staff at year-end 2023 was 2,112
(2022:\u00a01,967). The average number of staff in full-time
equivalents was 1,901 (2022: 1,765), as shown below:
Average number of staff (FTEs) during the year
2023
2022
Total
1,901
1,765
Netherlands
1,653
1,519
Belgium
172
173
Other
75
73
Conditional depositary receipts for shares are granted to
staff both under the variable remuneration policy for
identified staff and the long-term share plan (LTP).
Conditional depositary receipts for shares granted to staff (excluding Management Board)
2023
2022
At 1 January
98,040
92,541
Granted
27,191
49,640
Vested
-34,509
-41,479
Forfeited rights
-2,589
-2,662
At 31 December
88,133
98,040
The fair value is determined based on the volume-weighted
day price for depositary receipts for Class A ordinary shares
on the second trading day after release of Van Lanschot
Kempen\u2019s annual figures. The fair value is equal to the share
price less the discounted value of expected dividends during
the vesting period. Depositary receipts granted in 2023 had
a weighted average fair value of \u20ac18.97 (2022: \u20ac16.89).
In 2023, 10,472 conditional depositary receipts for shares
were granted under the LTP to a number of senior managers
other than members of the Management Board
(2022:\u00a014,003).
Long-term share plan
The long-term share plan allows us to award variable
remuneration to certain key employees, including identified
staff. It offers a special type of variable remuneration in
which the total variable pay takes the form of depositary
receipts for Class A Van Lanschot Kempen shares.
For the LTP, 60% of the Van Lanschot Kempen shares are
awarded immediately and unconditionally, while 40% are
awarded conditionally over a period of three years for LTP
plans before 2023. For LTP plans from 2023 onwards, 40%
are awarded conditionally over a period of four years.
Conditional depositary receipts for shares will vest if:
(i) Van Lanschot Kempen\u2019s financial position allows this in
the year of vesting;
(ii) Risks have been reviewed and no material, unforeseen
risks have occurred;
(iii) The individual has not left the company in the three- or
four-year period.
Conditional variable remuneration can be revised down if so
prompted by risks and performances identified later (malus).
Employees do not receive any dividends during the vesting
period. If an employee ceases to be employed by
Van\u00a0Lanschot Kempen within this period, their rights will be
forfeited, except in limited circumstances judged on an
individual basis.
A proportion (around 50%) of the conditionally awarded
depositary receipts is used to pay income tax.
", "dimensions": { "concept": "ifrs-full:DisclosureOfSharebasedPaymentArrangementsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-694": { "value": "
The number of staff at year-end 2023 was 2,112
(2022:\u00a01,967). The average number of staff in full-time
equivalents was 1,901 (2022: 1,765), as shown below:
Average number of staff (FTEs) during the year
2023
2022
Total
1,901
1,765
Netherlands
1,653
1,519
Belgium
172
173
Other
75
73
", "dimensions": { "concept": "ifrs-full:DisclosureOfInformationAboutEmployeesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-695": { "value": "
29. Other administrative expenses
Other administrative expenses
2023
2022
Total
142,112
123,460
Accommodation expenses
12,230
9,544
Marketing and communication
12,200
8,758
Office expenses
3,844
4,224
IT expenses
43,062
37,371
External independent auditors' fees
4,749
4,632
Consultancy fees
18,344
13,852
Travel and hotel fees
4,008
3,187
Information providers' fees
17,869
17,672
External service provider charges
11,106
10,066
Other
14,701
14,153
Consultancy fees relate to advisory services (business
consultancy, tax) and the implementation and maintenance
of software and hardware.
Fees charged by our external independent auditor and their
network of offices are presented including VAT and can be
broken down as follows :
Fees charged by external independent auditors in 2023
PwC Accountants
NV
Other PwC
network firms
Total
Total
3,586
1,024
4,610
Audit of the financial statements
2,741
1,024
3,765
Other audit services
299
\u2014
299
Tax services
\u2014
\u2014
\u2014
Other non-audit services
546
\u2014
546
Fees charged by external independent auditors in 2022
PwC Accountants
NV
Other PwC
network firms
Total
Total
3,453
861
4,314
Audit of the financial statements
2,565
861
3,427
Other audit services
405
\u2014
405
Tax services
\u2014
\u2014
\u2014
Other non-audit services
483
\u2014
483
This is a summary of the services rendered by our external
independent auditor PricewaterhouseCoopers Accountants
NV and its network:
\u2013 Financial statements audit;
\u2013 Financial statements audit for funds managed by
Van\u00a0Lanschot Kempen Investment Management NV;
\u2013 Statutory audit of controlled and related entities;
\u2013 Audit of the regulatory returns to be submitted to
De\u00a0Nederlandsche Bank;
\u2013 ISAE 3402 type II engagement in respect of (semi-)
institutional clients administering asset management
services of Van Lanschot Kempen NV and Van Lanschot
Kempen Investment Management NV;
\u2013 Non-audit assurance engagements on safeguarding
client assets and non-financial information;
\u2013 Agreed-upon procedures regarding interest rate risk;
\u2013 Review procedures on the condensed consolidated
report in the context of Article 26.2 of Capital
Requirements Regulation No. 575/2013 as of
31\u00a0December 2023;
\u2013 Non-audit assurance engagement cost price models for
the Dutch Authority for the Financial Markets (AFM);
\u2013 Comfort and consent letters issued as part of funding
transactions and based on Dutch Accounting Standard
3850N;
\u2013 DGS ISAE 3402 Type II.
", "dimensions": { "concept": "ifrs-full:DisclosureOfGeneralAndAdministrativeExpenseExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-696": { "value": "
Fees charged by our external independent auditor and their
network of offices are presented including VAT and can be
broken down as follows :
Fees charged by external independent auditors in 2023
PwC Accountants
NV
Other PwC
network firms
Total
Total
3,586
1,024
4,610
Audit of the financial statements
2,741
1,024
3,765
Other audit services
299
\u2014
299
Tax services
\u2014
\u2014
\u2014
Other non-audit services
546
\u2014
546
Fees charged by external independent auditors in 2022
PwC Accountants
NV
Other PwC
network firms
Total
Total
3,453
861
4,314
Audit of the financial statements
2,565
861
3,427
Other audit services
405
\u2014
405
Tax services
\u2014
\u2014
\u2014
Other non-audit services
483
\u2014
483
This is a summary of the services rendered by our external
independent auditor PricewaterhouseCoopers Accountants
NV and its network:
\u2013 Financial statements audit;
\u2013 Financial statements audit for funds managed by
Van\u00a0Lanschot Kempen Investment Management NV;
\u2013 Statutory audit of controlled and related entities;
\u2013 Audit of the regulatory returns to be submitted to
De\u00a0Nederlandsche Bank;
\u2013 ISAE 3402 type II engagement in respect of (semi-)
institutional clients administering asset management
services of Van Lanschot Kempen NV and Van Lanschot
Kempen Investment Management NV;
\u2013 Non-audit assurance engagements on safeguarding
client assets and non-financial information;
\u2013 Agreed-upon procedures regarding interest rate risk;
\u2013 Review procedures on the condensed consolidated
report in the context of Article 26.2 of Capital
Requirements Regulation No. 575/2013 as of
31\u00a0December 2023;
\u2013 Non-audit assurance engagement cost price models for
the Dutch Authority for the Financial Markets (AFM);
\u2013 Comfort and consent letters issued as part of funding
transactions and based on Dutch Accounting Standard
3850N;
\u2013 DGS ISAE 3402 Type II.
", "dimensions": { "concept": "ifrs-full:DisclosureOfAuditorsRemunerationExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-697": { "value": "
30. Depreciation and amortisation
Depreciation and amortisation
2023
2022
Total
32,987
31,543
Buildings
1,963
1,987
Right-of-use assets \u2013 buildings
9,101
8,362
Right-of-use assets \u2013 transport equipment
3,334
3,220
IT, operating system software and communications equipment
2,209
2,378
Application software
658
653
Intangible assets arising from acquisitions
14,604
14,447
Other depreciation and amortisation
1,117
495
", "dimensions": { "concept": "ifrs-full:DisclosureOfDepreciationAndAmortisationExpenseExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-698": { "value": "
31. Impairments
Impairments
2023
2022
Total
2,027
-6,534
Cash and cash equivalents and balances at central banks
0
0
Due from banks
-1
1
Financial assets at fair value through other comprehensive income
232
-279
Loans and advances to the public and private sectors
1,756
-6,832
Other financial assets at amortised cost
84
42
Financial guarantees and loan commitments
-44
-654
Impairments of financial instruments
2,027
-7,722
Property and equipment
\u2014
1,188
Other impairments
\u2014
1,188
The impairment charges relating to the financial instruments
were up on 2022, mainly due to an increased need for
provisioning for new impaired loans, partly offset by a fall in
the management overlay. For more information on
impairments related to financial instruments, see \"Risk
management\", under 3.8, Loss allowance for expected credit
losses.
Property and equipment includes impairments on office
buildings whose estimated realisable values are below their
carrying amounts.
", "dimensions": { "concept": "ifrs-full:DisclosureOfImpairmentOfAssetsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-699": { "value": "
32. Income tax
Income tax
2023
2022
Operating profit before tax
164,173
118,979
Total gross result
164,173
118,979
Prevailing tax rate in the Netherlands (in %)
25.8
25.8
Tax
39,017
34,678
Total tax
39,017
34,678
Expected tax on the basis of the prevailing tax rate in the Netherlands
42,357
30,696
Increase/decrease in tax payable due to:
Non-deductible interest
2,110
527
Tax-free income from securities and associates
-8,399
3,022
Non-deductible costs
2,412
2,663
Non-deductible losses
1,167
669
Adjustments to taxes for prior financial years
-481
-892
Impact of foreign tax rate differences
-521
-203
Addition/(release) deferred tax assets
6
-98
Other changes
366
-1,706
Total increase/decrease
-3,339
3,982
Total tax
39,017
34,678
This tax amount consists of the tax expense for the financial
year on the operating result as disclosed in the statement of
income, also allowing for any tax relief facilities. Changes in
the effective tax rate were mainly due to the equity holding
exemption and non-deductible expenses.
In December 2022, EU member states adopted the
EU\u00a0Directive on minimum taxation (Pillar 2). Under this
directive, multinational companies are subject to a minimum
effective tax rate of 15% in every jurisdiction where they
have an entity. If the effective tax rate is lower than 15%, a
top-up tax is applied to reach a 15% effective tax burden.
Companies with a global turnover exceeding \u20ac750 million in
at least two of the four reporting years immediately
preceding the reporting year fall within the scope of Pillar 2.
As of 2024, the Minimum Tax Act, in which Pillar 2 is
formalised, will be effective in the Netherlands. Our
consolidated revenues in the 2020\u201322 period were below
\u20ac750 million; in 2023 they ended up above that figure.
Hence, neither the mandatory recognition and disclosure
exception in IAS 12.4A nor the disclosure requirements in
IAS 12.88A-88D apply to us at this point.
Key income tax components
2023
2022
Total
39,017
34,678
Income tax
42,099
44,312
Income/expense from foreign tax rate differences
521
203
Income/expense from changes in deferred tax assets
-1,037
-4,640
Income/expense from changes in deferred tax liabilities
-3,048
-6,089
Income/expense from prior-year adjustments
481
892
The breakdown of deferred tax assets and liabilities through
the statement of income is as follows:
Deferred tax assets
2023
2022
Total
-1,037
-4,640
Employee benefits
1,002
-709
Commissions
-43
-43
Property and equipment
19
-216
Lease liabilities
-584
-1,978
Tax-loss carry-forwards
-1,006
-1,907
Other
-424
214
Deferred tax liabilities
2023
2022
Total
-3,048
-6,089
Property and equipment
-477
-2,539
Intangible assets
-2,570
-3,380
Other
\u2014
-170
", "dimensions": { "concept": "ifrs-full:DisclosureOfIncomeTaxExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-700": { "value": "
33. Earnings per ordinary share
Earnings per ordinary share
2023
2022
Net result
125,156
84,301
Share of AT1 capital securities
-6,750
-6,750
Share of other non-controlling interests
40
-146
Net result for calculation of earnings per share
118,446
77,405
Weighted average number of ordinary shares in issue
41,969,250
40,706,137
Earnings per ordinary share (\u20ac)
2.82
1.90
Proposed dividend per ordinary share (\u20ac)
2.00
1.75
To calculate earnings per ordinary share, the number of
ordinary shares consists solely of the weighted average
number of shares in issue, ignoring any treasury shares held
by the company.
34. Diluted earnings per ordinary share
Diluted earnings per ordinary share
2023
2022
Net result for calculation of diluted earnings per share
118,446
77,405
Weighted average number of ordinary shares in issue
41,969,250
40,706,137
Potential shares1
590,989
1,821,443
Weighted average number of ordinary shares in issue, fully diluted
42,560,239
42,527,580
Diluted earnings per ordinary share (\u20ac)
2.78
1.82
Diluted earnings per ordinary share are calculated the same
way as earnings per share, but taking into account the
number of shares that could potentially cause dilution.
Diluted earnings per ordinary share reflect the weighted
average number of ordinary shares that would be in issue
upon conversion into ordinary shares of all potential shares.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 Potential shares include shares issued in the year in which these are entitled to full dividend", "dimensions": { "concept": "ifrs-full:DisclosureOfEarningsPerShareExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-701": { "value": "
Business combinations in 2023
On 2 February 2023, we announced a strategic partnership
with Robeco. This acquisition is in line with our strategy and
enables us to further grow our online investment
proposition by expanding our asset management activities
and distribution activities (execution only) for Dutch retail
customers. The assets acquired included Robeco's client
relationships, brand name and Robeco's online investment
platform, which have been joined with Evi van Lanschot. On
3 July 2023, Van Lanschot Kempen announced the
completion of this transaction. We included Robeco's online
investment platform in our statement of financial position as
at 1 July 2023, as part of our Private Clients segment.
At year-end 2023, both platforms had a combined
\u20ac6.4\u00a0billion in AuM held for around 150,000 clients. The
transaction had a negative impact on Van Lanschot
Kempen\u2019s CET 1 ratio of 0.4 percentage points. A two-year
integration path is anticipated, and is expected to involve
one-off costs of between \u20ac8 million and \u20ac11 million. The
combined platform is expected to break even by 2025 and to
start making a positive contribution to Van Lanschot
Kempen\u2019s net profit thereafter.
The table below sets out the allocation of the acquisition
price to the fair value of the acquired assets (including any
identifiable intangible assets) and liabilities at the acquisition
date. The identifiable intangible assets reflect the acquired
client relationships, brand name and IT platform. The
goodwill is attributable to the future profitability of the
acquired business in anticipation of synergies achieved from
the business combination.
Robeco's online investment platform (\u20ac million)
Fair value of
acquisition
Carrying amount of
acquisition
Intangible assets
17.4
\u2014
Total identifiable assets
17.4
\u2014
Total identifiable liabilities
\u2014
\u2014
Total net assets
17.4
\u2014
Goodwill
2.6
Cash consideration
20.0
", "dimensions": { "concept": "ifrs-full:DisclosureOfBusinessCombinationsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-702": { "value": "
Related parties
(\u20ac1,000)
In the normal course of business, we enter into various
related party transactions. Parties are considered related if
one party exercises control or has significant influence over
the other party regarding financial or operating decisions.
Parties related to us include our key management personnel ,
Supervisory Board members, our subsidiaries, affiliates and
parties with significant influence in Van Lanschot Kempen.
These transactions are conducted at arm's length.
The Management Board comprises our key management
personnel and is responsible for implementing our strategy
and managing our activities (see \"Management Board
members\").
Management and Supervisory Board remuneration
2023
2022
Fixed salary, amount in cash
3,396
2,888
Fixed salary, amount in shares
1,947
1,739
Extraordinary items1
34
858
Fixed payment for pension and disability insurance costs
1,747
1,508
Supervisory board fee in cash2
567
606
Total remuneration
7,691
7,599
Share-based payment expenses
253
291
Total staff cost
7,944
7,890
For transactions with key management personnel, see
\u201cRemuneration of the Management and Supervisory
Boards\u201d.
Affiliates
2023
2022
Income
Expenses
Income
Expenses
Stichting Pensioenfonds F. van Lanschot
968
\u2014
985
\u2014
Parties with significant influence in Van Lanschot Kempen
On the basis of regulatory guidelines, entities with a
shareholding of at least 5% in Van Lanschot Kempen are
parties with significant influence in Van Lanschot Kempen.
The table below shows the year-end income and expenditure
relating to these parties in the statement of income and the
statement of financial position.
Parties with significant influence in Van Lanschot Kempen in 2023
Income
Expenses
Amount receivable
Amount payable
Stichting Administratiekantoor van gewone aandelen A
Van\u00a0Lanschot Kempen
\u2014
\u2014
\u2014
61
Romij BV
\u2014
\u2014
\u2014
\u2014
LDDM Holding BV
3
2
\u2014
1,917
Janus Henderson Group plc
\u2014
\u2014
\u2014
\u2014
Van Lanschot Kempen did not grant any loans or guarantees
to parties with significant influence in Van Lanschot Kempen
in either 2023 or 2022.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 The extraordinary item in 2023 of \u20ac34,000 (2022: \u20ac71,000) relates to deferred compensation for lapsed rights to variable remuneration at Maarten Edixhoven's
\u00a0 previous employer. Constant Korthout stepped down as member of the Management Board on 1 September 2022 and was entitled to a (one-year gross salary)
\u00a0 severance payment of \u20ac787.000. He received remuneration under the same conditions for the remainder of 2022.
2 We have changed the presentation by including the Supervisory Board fee in cash. Comparative figures have been adjusted.
Parties with significant influence in Van Lanschot Kempen in 2022
Income
Expenses
Amount receivable
Amount payable
Stichting Administratiekantoor van gewone aandelen A
Van\u00a0Lanschot Kempen
\u2014
\u2014
\u2014
61
Romij BV
\u2014
\u2014
\u2014
\u2014
LDDM Holding BV
12
\u2014
\u2014
1,343
Janus Henderson Group plc
\u2014
\u2014
\u2014
\u2014
List of shareholders
Based on the requirements of Section 5.3 of the Dutch
Financial Supervision Act, the following notifications have
been recorded in the major interests register held by the
Dutch Authority for the Financial Markets (AFM). The
percentages reflect the number of shares on the register on
the dates listed. This list includes the notifications until
31\u00a0December 2023.
Shareholder
Notification date
Interest
Stichting Administratiekantoor van gewone aandelen A Van Lanschot Kempen
24 May 2013
97.30%
Depositary receipt holders
Notification date
Interest
Romij BV
31 March 2022
10.05%
LDDM Holding BV
3 June 2014
9.76%
Janus Henderson Group plc
17 October 2016
5.60%
FMR LCC
7 July 2016
4.99%
MVDP NV
5 April 2023
3.90%
J.B. Meulman
15 September 2021
3.02%
Disclosure is required once a shareholder\u2019s interest reaches
or exceeds certain threshold values, and it should be noted
that current stakes of listed shareholders and/or depositary
receipt holders may have changed since notification date.
Stichting Administratiekantoor van gewone aandelen A
Van\u00a0Lanschot Kempen currently holds more than 99.99% of
the Class A ordinary shares.
For transactions in associates, see \u201cDisclosures of interest in
other entities\u201d.
", "dimensions": { "concept": "ifrs-full:DisclosureOfRelatedPartyExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-703": { "value": "
Disclosure of interests in other entities
Key judgements and assumptions
We rely on key judgements and assumptions when
determining control and significant influence. We have
included these under the headings \u201cBasis of consolidation\u201d
and \u201cSummary of material accounting policies\u201d.
Interests in subsidiaries
The consolidated statement of financial position and
statement of income comprise subsidiaries and entities in
which Van Lanschot Kempen has control, but exclude the
names of relatively minor subsidiaries and entities.
Subsidiaries (%)
2023
2022
Van Lanschot Kempen (Schweiz) AG (before 2 October 2023: F. van Lanschot Bankiers (Schweiz) AG)
100
100
Kempen Dutch Inflation Fund I NV
100
100
Van Lanschot Kempen Investment Management NV
100
100
Van Lanschot Kempen Bewaarder NV
100
100
Van Lanschot Kempen AM NL BV
100
100
Van Lanschot Kempen (USA) Inc.
100
100
Van Lanschot Kempen Participaties BV (before 29 September 2023: Van Lanschot Participaties BV)
100
100
Beheermaatschappij \"Orthenstraat\" BV
100
100
Sapphire Investments BV
100
100
Quion 17 BV
100
100
Efima Hypotheken BV
100
100
LansOG Beheer BV
100
100
Hof Hoorneman NV
100
100
St. Custodian Van Lanschot Kempen Partnership1
\u2014
\u2014
Mercier Vanderlinden Asset Management NV
100
100
Consolidated structured entities controlled
by Van Lanschot Kempen
In the consolidated statement of financial position, we
consolidate structured entities. These are designed in such a
way that the voting rights are not the dominant factor in
deciding who controls the entity, and the relevant activities
are governed by contractual arrangements. Van Lanschot
Kempen is exposed to substantially all of the risk of the
structured entity and thereby controls it. Therefore, these
structured entities do not qualify as a transfer of financial
assets and are not derecognised from our statement of
financial position.
We consolidate the following structured entities:
\u2013 Van Lanschot Conditional Pass-Through Covered Bond
Company BV;
\u2013 Van Lanschot Conditional Pass-Through Covered Bond
Company 2 BV;
\u2013 Van Lanschot Kempen SB Covered Bond Company BV.
Public Conditional Pass-Through (CPT) Covered Bond
programme
Van Lanschot Kempen established a CPT programme in
March 2015, out of which Van Lanschot Kempen has issued
publicly placed bonds since. Investors have a dual recourse
claim: initially against Van Lanschot Kempen, and, in the
event of the bank\u2019s failure, against a pool of cover assets.
One of the outstanding CPT Covered Bonds matured in the
first half of 2023, while we were able to transfer the last
outstanding CPT to the Soft Bullet Covered Bond (SBCB)
programme. This means the CPT programme no longer has
any bonds outstanding and will be discontinued (initiated in
December 2023). We expect to complete this operation in
March 2024.
Retained Conditional Pass-Through (CPT) Covered Bond
programme
Van Lanschot Kempen established a retained CPT
programme in July 2019. In September 2019, the bank
launched the first bond of \u20ac300 million (maturity of five
years, coupon of 0.4%). This bond was increased by \u20ac200
million to \u20ac500 million in June 2023. All bonds were
retained.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 Van Lanschot Kempen can exercise indirect control via its partners participating in the partnership plan.
Public Soft Bullet Covered Bond (SBCB) programme
Van Lanschot Kempen established a soft bullet covered
bond programme in March 2022. In June 2022, the bank
launched the first bond of \u20ac500 million (maturity of five and
a half years, coupon of 2.5%). A second bond was issued in
May 2023 (maturity of three years, coupon of 3.5%). Finally,
in October 2023 a bond was transferred from the CPT to the
SBCB programme. All bonds were placed with institutional
investors.
The table below shows the total amounts of the mortgage
loans involved in each covered bond programme.
Structured entities (\u20ac1,000)
31/12/2023
31/12/2022
Fair value
Carrying amount
Fair value
Carrying amount
Total
2,471,899
2,700,817
2,063,721
2,296,648
Public Conditional Pass-Through Covered Bond
programme
\u2014
\u2014
1,123,293
1,259,599
Retained Conditional Pass-Through Covered Bond
programme
546,070
604,964
317,479
352,870
Public Soft Bullet Covered Bond programme
1,925,829
2,095,853
622,949
684,179
Van Lanschot Kempen provides no financial or other support
to the covered bond entities, and has no intention of
providing such support.
Non-consolidated structured entities
Residential mortgage-backed securities are classified as
financial assets at fair value through other comprehensive
income or other financial assets at amortised cost . These
investments are structured entities. We do not consolidate
these because Van Lanschot Kempen is not substantially
exposed to all of the risk of the structured entity. The table
below shows Van Lanschot Kempen\u2019s investments in non-
consolidated structured entities and the total income from
these investments. The Investments column shows the
carrying value as recognised in the consolidated statement
of financial position.
Van Lanschot Kempen has no other interests in non-
consolidated structured entities such as commitments,
guarantees, provisions, derivatives or other obligations. The
maximum exposure to non-consolidated structured entities
is equal to the acquisition cost and amounted to
\u20ac276.3\u00a0million at 31\u00a0December 2023 (2022: \u20ac285.7\u00a0million).
Van Lanschot Kempen is not required to provide financial or
other support to non-consolidated structured entities, and
has no intention of providing such support.
Non-consolidated structured entities 2023 (\u20ac1,000)
Interest income
Impairment
Comprehensive
income
Total income
Investments
Total
2,473
-17
1,982
4,438
289,729
Residential mortgage-backed securities
2,473
-17
1,982
4,438
289,729
Non-consolidated structured entities 2022 (\u20ac1,000)
Interest income
Impairment
Comprehensive
income
Total income
Investments
Total
848
\u2014
-963
-116
280,686
Residential mortgage-backed securities
848
\u2014
-963
-116
280,686
", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInSubsidiariesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-704": { "value": "
Non-controlling interests
The consolidated statement of financial position and
statement of income include a number of non-controlling
interests; a list of non-controlling interests in Van Lanschot
Kempen subsidiaries is provided below.
Non-controlling interests (\u20ac1,000)
31/12/2023
31/12/2022
Total
93
146
Consolidated investment funds
93
146
Van Lanschot Kempen\u2019s minority interests are recognised
under non-controlling interests as part of equity.
Changes in non-controlling
interests (\u20ac1,000)
2023
2022
Non-controlling
interests
Undistributed
profit attributable
to non-controlling
interests
Total
Non-controlling
interests
Undistributed
profit attributable
to non-controlling
interests
Total
At 1 January
\u2014
146
146
-10
74
64
Profit appropriation
146
-146
\u2014
74
-74
\u2014
Dividend
\u2014
\u2014
\u2014
-76
\u2014
-76
Result for the reporting
period
\u2014
-40
-40
\u2014
146
146
Other changes
-12
\u2014
-12
12
\u2014
12
At 31 December
134
-40
93
\u2014
146
146
", "dimensions": { "concept": "ifrs-full:DisclosureOfNoncontrollingInterestsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-705": { "value": "
Joint ventures in which Van Lanschot Kempen is a partner
We have no joint ventures", "dimensions": { "concept": "ifrs-full:DisclosureOfJointVenturesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-706": { "value": "
Lease agreement
Van Lanschot Kempen Investment Management UK (Ltd)
entered into a long-term lease agreement on 25 September
2023 which will run from 28 November 2023 until
31\u00a0October 2031. Van Lanschot Kempen NV co-signed the
lease agreement, guaranteeing the obligations arising from
it. The total obligation until the end of the contract amounts
to \u00a33 million.
", "dimensions": { "concept": "ifrs-full:DisclosureOfLeasesExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-707": { "value": "
Segment information
As a specialist wealth manager, we serve the entire spectrum
of client groups, ranging from private clients to institutional
investors and corporates. Key to our strategy is the ability to
adapt quickly to changing client needs and market
circumstances.
Private Clients
Private Clients offers private clients and entrepreneurs a
broad range of products in the private banking market, while
also focusing on business professionals and executives,
healthcare professionals, family businesses, foundations and
associations. The activities of Evi van Lanschot,
Van\u00a0Lanschot Kempen\u2019s online investment platform
(including the online investment platform it acquired from
Robeco), are integrated in this segment and specifically
target mass affluent individuals and millennials.
Wholesale & Institutional Clients
Wholesale & Institutional Clients focuses on a range of
investment strategies and offers fiduciary services to clients
such as banks, wealth managers, family offices, pension
funds and insurers.
Investment Banking Clients
Investment Banking Clients offers specialist services
including equities research and trading, mergers &
acquisitions services, capital market transactions and debt
advisory services to corporate and institutional investors.
Other
These comprise activities in the fields of interest rate,
market and liquidity risk management, structured products
activities, and staff departments, as well as the activities of
Van\u00a0Lanschot Kempen Participaties/Bolster and
consolidated investments.
Operating segments in 2023 (\u20ac million)
Private
Clients
Wholesale &
Institutional Clients
Investment
Banking Clients
Other
Total
Statement of income
Net interest income
185.0
0.4
-0.3
11.7
196.8
Income from securities and associates
\u2014
\u2014
0.5
37.6
38.1
Net commission income
306.4
79.2
36.7
5.0
427.3
Result on financial transactions
1.3
0.1
1.6
-2.0
1.0
Other income
\u2014
\u2014
\u2014
6.1
6.1
Total income from operating activities
492.7
79.7
38.6
58.4
669.4
Staff costs
111.5
10.4
23.0
183.2
328.1
Other administrative expenses
72.3
11.1
8.5
50.2
142.1
Allocated expenses
125.8
60.4
11.2
-197.5
\u2014
Depreciation and amortisation
15.5
0.5
0.3
16.7
33.0
Impairments
1.6
\u2014
\u2014
0.4
2.0
Total expenses
326.8
82.4
42.9
53.1
505.2
Operating result before tax
165.9
-2.7
-4.4
5.3
164.2
Operating segments in 2022 (\u20ac million)
Private
Clients
Wholesale &
Institutional Clients
Investment
Banking Clients
Other
Total
Statement of income
Net interest income
144.7
0.0
0.0
7.0
151.6
Income from securities and associates
\u2014
\u2014
0.0
7.9
7.8
Net commission income
270.4
78.4
55.9
2.9
407.7
Result on financial transactions
-15.5
-0.2
-0.9
20.3
3.6
Other income
\u2014
\u2014
\u2014
7.3
7.3
Total income from operating activities
399.6
78.2
54.9
45.4
578.1
Staff costs
99.3
10.5
26.0
174.8
310.6
Other administrative expenses
57.8
8.8
8.3
48.5
123.5
Allocated expenses
118.0
56.0
10.5
-184.5
\u2014
Depreciation and amortisation
14.8
0.7
0.3
15.6
31.5
Impairments
-7.5
\u2014
\u2014
0.9
-6.5
Total expenses
282.5
76.0
45.2
55.4
459.1
Operating result before tax
117.1
2.2
9.7
-10.0
119.0
The tables below give additional information on the
geographical spread of income from operations.
Geographical segments in 2023 (\u20ac million)
Netherlands
Belgium
Other
Total
Statement of income
Total income from operating activities
548.5
92.5
28.4
669.4
Of which income from other segments
-20.5
23.0
-2.6
\u2014
Statement of financial position
Due from banks
49.1
\u2014
\u2014
49.1
Investments in associates using the equity method
110.9
\u2014
\u2014
110.9
Total non-current assets1
160.0
\u2014
\u2014
160.0
Geographical segments in 2022 (\u20ac million)
Netherlands
Belgium
Other
Total
Statement of income
Total income from operating activities
476.9
76.1
25.1
578.1
Of which income from other segments
-1.7
1.0
0.7
\u2014
Statement of financial position
Due from banks
55.6
\u2014
\u2014
55.6
Investments in associates using the equity method
103.3
\u2014
\u2014
103.3
Total non-current assets1
158.9
\u2014
\u2014
158.9
Country-by-country reporting on a consolidated basis at 31 December 2023
Country
Name of
subsidiary
Nature of
activities
Average
number of
staff (FTEs)
Total income
from
operating
activities
(\u20ac million)
Operating
result before
tax
(\u20ac million)
Income tax
(\u20ac million)
Government
subsidies
(\u20ac million)
Total
1,901
669.4
164.2
-39.0
\u2014
Netherlands
VLK NV
Wealth
management
1,653
548.5
134.2
-28.3
\u2014
Belgium
VLK NV branch
Mercier
Vanderlinden Asset
Management NV
Wealth
management
172
92.5
29.0
-8.3
\u2014
Switzerland
Van Lanschot
Kempen (Schweiz)
AG (formerly: F. van
Lanschot Bankiers
(Schweiz) AG
Wealth
management
36
17.9
4.8
-1.0
\u2014
United Kingdom
VLK Investment
Management (UK)
Ltd
Asset
management
33
5.8
-4.7
-1.1
\u2014
United States
VLK (USA) Inc.
Securities
trading and
research
distribution
4
3.5
0.7
-0.2
\u2014
France
VLK Investment
Management NV
branch
Asset
management
2
0.7
0.0
0.0
\u2014
Sweden
VLK NV cross-
border activity
Investment
banking
1
0.5
0.0
0.0
\u2014
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 Other than financial instruments, deferred tax assets and post-employment assets.
Country-by-country reporting on a consolidated basis at 31 December 2022
Country
Name of
subsidiary
Nature of
activities
Average
number of
staff (FTEs)
Total income
from
operating
activities
(\u20ac million)
Operating
result before
tax
(\u20ac million)
Income tax
(\u20ac million)
Government
subsidies
(\u20ac million)
Total
1,765
578.1
119.0
-34.7
\u2014
Netherlands
VLK NV
Wealth
management
1,519
476.9
100.4
-28.1
\u2014
Belgium
VLK NV branch
Mercier
Vanderlinden Asset
Management NV
Wealth
management
173
76.1
20.5
-5.9
\u2014
Switzerland
F. van Lanschot
Bankiers (Schweiz)
AG
Wealth
management
35
14.7
2.3
-0.5
\u2014
United Kingdom
VLK Investment
Management (UK)
Ltd
Asset
management
31
6.1
-4.7
-0.1
\u2014
United States
VLK (USA) Inc.
Securities
trading and
research
distribution
4
2.9
0.4
-0.1
\u2014
France
VLK Investment
Management NV
branch
Asset
management
2
0.8
0.0
0.0
\u2014
Sweden
VLK NV cross-
border activity
Investment
banking
1
0.5
0.0
0.0
\u2014
", "dimensions": { "concept": "ifrs-full:DisclosureOfEntitysReportableSegmentsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-708": { "value": "
Profit appropriation
If the annual general meeting of shareholders approves the
dividend proposal as included in these financial statements
(see note Note 33, Earnings per ordinary share), the
appropriation of net result will be as follows:
Profit appropriation (\u20ac1,000)
2023
2022
Total
118,446
77,405
Addition to reserves
33,492
3,213
Dividend on Class A ordinary shares
84,954
74,192
", "dimensions": { "concept": "ifrs-full:DisclosureOfDividendsExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-709": { "value": "
Remuneration of the Management and Supervisory
Boards
For further details of remuneration received in 2023, see
\u201cRemuneration report\u201d on page 102.
Total remuneration of the individual members of the Management Board (\u20ac1,000)1
Management Board member
Year
Fixed
salary
amount
in cash
Fixed
salary
amount
in
shares2
Total
fixed
salaries
Extra-
ordinary
items
Pension
and
disability
insurance
Total
remuneration
Share-based
payment
expenses3
Total
staff cost
Maarten Edixhoven4
2023
875
388
1,263
34
412
1,709
78
1,787
2022
830
388
1,217
71
397
1,684
78
1,763
Jeroen Kroes5
2023
504
312
816
\u2014
267
1,083
35
1,118
2022
158
104
262
\u2014
85
348
24
372
Wendy Winkelhuijzen6
2023
504
312
816
\u2014
267
1,083
35
1,118
2022
158
104
262
\u2014
85
348
24
372
Arjan Huisman
2023
504
312
816
\u2014
267
1,083
35
1,118
2022
475
312
787
\u2014
256
1,043
47
1,090
Richard Bruens
2023
504
312
816
\u2014
267
1,083
35
1,118
2022
475
312
787
\u2014
256
1,043
47
1,090
Erik van Houwelingen
2023
504
312
816
\u2014
267
1,083
35
1,118
2022
475
312
787
\u2014
256
1,043
47
1,090
Constant Korthout7
2023
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
2022
317
208
525
787
171
1,483
23
1,506
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1 \u00a0 To be able to make a comparison between 2023 and 2022, the same definition of total remuneration has been used (total fixed salary plus pension and disability
\u00a0 \u00a0 insurance). Business expenses have not been included.
2 A proportion of fixed salary is paid in the form of Van Lanschot Kempen shares. Maarten Edixhoven received 17,206 shares (2022: 17,041 shares), Jeroen Kroes and
\u00a0 \u00a0 Wendy Winkelhuijzen received 13,865 shares (2022: 5,091 shares from 1 September 2022), while the other members of the Management Board each received 13,865
\u00a0 \u00a0 shares (2022: 13,732 shares). The number of shares granted is based on the average share price for the first four trading days in January. For 2023, the average share
\u00a0 \u00a0 price amounted to \u20ac22.52 in January (2022: \u20ac22.74 in January and \u20ac20.44 in September for Jeroen Kroes and Wendy Winkelhuijzen). IFRS takes the share price at
\u00a0 \u00a0 grant date as the basis for recognition. This price was \u20ac22.52 in 2023 (2022: \u20ac22.74).
3 Share-based payments have a lock-up period of five years, allowing Van Lanschot Kempen to provide a discount of 18.5% on the shares.
4 The extraordinary item in 2023 of \u20ac34,000 (2022: \u20ac71,000) relates to deferred compensation for lapsed rights to variable remuneration at Maarten Edixhoven's
\u00a0 \u00a0 previous employer.
5 Jeroen Kroes was appointed CFO on 1 September 2022.
6 Wendy Winkelhuijzen was appointed CRO on 1 September 2022.
7 Constant Korthout stepped down as member of the Management Board on 1 September 2022 and was entitled to a (one-year gross salary) severance payment of
\u00a0 \u20ac787.000. He received remuneration under the same conditions for the remainder of 2022.
Number of depositary receipts for shares held by Management Board members in 2023
At 1 January
Bought/awarded
Sold/post-
employment
At 31 December
Maarten Edixhoven
25,128
19,541
\u2014
44,669
Jeroen Kroes
19,025
8,591
\u2014
27,616
Wendy Winkelhuijzen
10,742
8,591
\u2014
19,333
Arjan Huisman
72,026
8,591
\u2014
80,617
Richard Bruens
88,375
8,591
\u2014
96,966
Erik van Houwelingen
36,527
8,591
\u2014
45,118
Total
251,823
62,496
\u2014
314,319
Loans to Management Board members at 31 December 2023 (\u20ac1,000)
At 31 December
Repaid in the year
Interest range
Type
Maarten Edixhoven
\u2014
\u2014
\u2014
\u2014
Jeroen Kroes
332
12
1.35%
Mortgage
Wendy Winkelhuijzen
1,461
15
1.85 - 4.61%
Mortgage
680
\u2014
5.60%
Bridge loan
Arjan Huisman
\u2014
\u2014
\u2014
\u2014
Richard Bruens
2,296
37
1.10 - 1.56%
Mortgage
Erik van Houwelingen
2,290
20
1.35 - 5.21%
Mortgage
Total
7,059
84
Loans to Management Board members at 31 December 2022 (\u20ac1,000)
At 31 December
Repaid in the year
Interest range
Type
Maarten Edixhoven
\u2014
\u2014
\u2014
\u2014
Jeroen Kroes
343
7
1.35%
Mortgage
Wendy Winkelhuijzen
381
14
1.85 - 2.05%
Mortgage
Arjan Huisman
\u2014
\u2014
\u2014
\u2014
Richard Bruens
2,333
36
1.10 - 1.56%
Mortgage
Erik van Houwelingen
1,995
20
1.45 - 2.10%
Mortgage
Total
5,052
77
No advances or guarantees have been granted to members
of the Management Board. No impairments or write-offs
have occurred on loans granted to Management Board
members.
Remuneration of the Supervisory Board (\u20ac1,000)
2023
2022
Frans Blom
117
117
Manfred Schepers
95
95
Bernadette Langius (until 25 May 2023)
33
80
Maarten Muller
82
76
Lex van Overmeire (deceased 4 April 2023)
28
85
Karin Bergstein
92
77
Brigitte Boone
76
76
Elizabeth Nolan (from 25 May 2023)
44
\u2014
Total
567
606
No loans or advances had been granted to members of the
Supervisory Board at 31\u00a0December 2023 and 31\u00a0December
2022.
The company and its subsidiaries only grant personal loans,
guarantees etc. to Supervisory Board members as part of
normal operations and in keeping with conditions laid down
in financial services regulations. Any such loans or
guarantees are subject to the approval of the Supervisory
Board. Loans are not forgiven.
", "dimensions": { "concept": "ifrs-full:DisclosureOfInformationAboutKeyManagementPersonnelExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } }, "f-710": { "value": "
Events after the reporting period
On 21 December 2023, we announced the intended
acquisition by Van Lanschot Kempen of the Belgian
investment adviser Accuro NV (\"Accuro\"). The transaction is
expected to be completed in 2024, subject to regulatory
approval. The intended acquisition is expected to result in a
negative 0.4 percentage point impact on our CET 1 ratio.
On 1 January 2024, the legal merger between Mercier
Vanderlinden Asset Management and Van Lanschot Kempen
(the acquiring entity) became effective. As a result of this
merger, Mercier Vanderlinden Asset Management ceased to
exist as a legal entity. Van Lanschot Belgium's trade name
changed to Mercier Van Lanschot as from 1 January 2024.
On 22 January 2024, we launched and priced \u20ac100 million of
Additional Tier 1 (AT1) notes with a fixed coupon of 8.875%.
The notes are listed on Euronext Amsterdam. Settlement of
these notes took place on 29 January 2024, and we intend to
call our 2019-issued AT1 notes at the first call date of
1\u00a0April\u00a02024.
", "dimensions": { "concept": "ifrs-full:DisclosureOfEventsAfterReportingPeriodExplanatory", "language": "en", "entity": "scheme:724500D8WOYCL1BUCB80", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00" } } } }