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The visual below summarises these risks. The risk taxonomy is reviewed and updated on an annual basis, or sooner if any new material risk type emerges and requires an update. The financial impact is assessed on the basis of capital and net profit. The key financial risk types related to our business model are credit risk, market risk in the banking book and liquidity risk. The non-financial impact is determined by the Net Promoter Score (NPS), sustainability (acceleration) asset volume and environmental and social footprint. In 2022, ABN AMRO recognised sustainability risk as a standalone risk type and defined it in the broader context of Environmental, Social and Governance-related risks factors. Risk appetite framework b Our risk appetite determines the level of risk that the bank is willing to take in order to pursue its strategy, and safeguards our moderate risk profile. The risk appetite statement is regularly evaluated and updated to ensure continuous alignment with our strategy. RiskStrategyStrategicRisk AppetiteStatementRisk Indicator Frameworkcontaining Bank RAS, Client Units RAS, LRAS,and ERAS, linked to the risk taxonomyThe Strategic Risk Appetite Statement cascades into the Risk Indicator Framework at every appropriate level: bank-wide (BRAS), client unit level RAS, local level (LRAS) and entity level (ERAS). The Risk Indicator Framework consists of quantitative and/or qualitative key risk indicators (KRIs). For every KRI, a limit and checkpoint is set, against which the actual risk profile is monitored. Examples of KRIs in our risk appetite include: Regulatory and internal capital ratios; \u00c5 Risk-adjusted return measures; \u00c5 Concentration limits for single counterparties, sectors and countries; \u00c5 Economic capital and risk-weighted asset limits for various risk types; \u00c5 Liquidity ratios (LtD, LCR, NSFR); \u00c5 Market risk parameters (NII-at-Risk); \u00c5 Operational (non-financial) risk parameters (effectiveness of internal control environment); \u00c5 Reputational risk parameters (NPS, employee engagement score); \u00c5 A social risk indicator on facilitating financial inclusiveness. The status of adherence to the risk appetite and the outlook are discussed monthly by the Executive Board and quarterly by the Supervisory Board, based on the Enterprise Risk Management report. Strategic Risk Appetite Statement b Client CentricBusinessmodelSustainablereturn &value creationLiquidity &CapitalfundingConrkduoctew,gmovefrarnancole&contrRisk governance b Effective risk management requires organisation-wide risk governance. Our risk and control structure is based on the \u2018three lines of defence\u2019 governance model. This governance framework is designed in such a way that risk is managed in line with the risk appetite approved by the Executive Board and Supervisory Board. Three lines of defence The three lines of defence model aims to clarify the relationship between risk takers and the internal control functions, and provides clarity for all employees within the bank with regard to their risk management responsibilities. The three lines of defence model is applied across all risk types and covers the whole organisation, including the client units, functions, the Risk Management organisation, outsourced activities and distribution channels. Three lines of defence b 1st Line 2nd Line 3rd Line 1 2 3of Defence of Defenceof DefenceRisk Ownership Risk Control & Oversight Risk AssuranceResponsible forResponsible forResponsible for Delivering value-added services Setting the bank-wide risk Protecting and enhancing to clients management framework organisational value by providing Taking primary ownership to identify Setting risk policies and ensures risk-based and objective assurance, and assess, measure, mitigate, regulations are translated into policies insight and added value to support monitor and report the risk that Maintaining risk control and oversight the achievement of our objectives it incurs through monitoring, reporting and Evaluating the design and Striking the right balance between escalating, where necessary effectiveness of Governance, Risk return and risk in its decisions Providing independent challenge Management & Control processes, Seeking outside-in views and advice, and expertise to the First Line agrees with management on where necessary Proactively opining on how to identify remediation and monitors follow-up Ensuring systems, processes and mitigate risks and reporting capabilities are Providing outside-in views and ensures commensurate to its activities consistency in risk management and risk appetite practices across First Line Consolidated risk reporting to the Executive Board on all areas of risk \u00c5 The first line of defence (3LoD) consists of management within each client unit or function (such as Finance, Innovation & Technology, HR, Asset & Liability Management / Treasury), who are responsible for managing the risks they incur in conducting their activities and for the design and execution of effective and efficient controls. \u00c5 The second line of defence consists of dedicated departments in the Risk Management organisation, who are responsible for setting the risk management framework within which the first line must operate. \u00c5 The third line of defence consists of Group Audit, which evaluates the effectiveness of the governance, risk management and control processes, in order to strengthen management\u2019s solution focus and accountability. Group Audit has a coordinating role towards the external auditor and the supervisor. Board level oversight The Executive Board and Supervisory Board of ABN AMRO define the governance arrangements designed to ensure effective and prudent management of the bank, and oversee the implementation of these arrangements. The Boards are accountable for setting, approving and overseeing the implementation of the bank\u2019s risk management framework, including: \u00c5 an adequate and effective internal governance and control framework. This includes a clear organisational structure and effective independent internal control functions (Risk Management, Compliance and Group Audit) that have sufficient authority, stature and resources to perform their functions; \u00c5 the three lines of defence model at all levels of the bank; \u00c5 a risk culture that addresses risk awareness and risk-taking behaviour in the bank; \u00c5 key policies of the bank within the applicable legal and regulatory framework; \u00c5 the bank\u2019s overall strategy, risk strategy and risk appetite; \u00c5 the amounts, types and distribution of internal capital and regulatory capital that are required to ensure that the bank\u2019s exposure to risks is adequately covered; \u00c5 targets for the bank\u2019s liquidity and funding management. The Risk Management organisation operates under the direct responsibility of the Chief Risk Officer, who is a member of the Executive Board. Executive risk committees The Executive Board is responsible for setting, monitoring and reviewing the bank\u2019s mission, vision, strategy, risk appetite and risk framework, and for the realisation thereof, with a view to creating long-term value for the bank and ensuring that effective internal risk management and control systems are in place. In the risk decision-making framework, the Executive Board has set up three executive risk management committees: the Group Risk Committee, the Group Central Credit Committee and the Group Regulatory Committee, each of which is chaired by the Chief Risk Officer. The mandates of the executive risk committees are summarised below. Group Risk Committee The Group Risk Committee (GRC) is mandated by the Executive Board to monitor, assess and manage the bank\u2019s risk profile within the approved risk appetite. The GRC monitors and approves all material risks as defined in the bank\u2019s risk taxonomy. The GRC has delegated specific approval powers to sub-committees, including Business Risk Committees for the bank\u2019s main client units, the Financial Crime Risk Committee, the Methodology Acceptance Group, the Scenario and Stress Testing Committee, and the Impairment and Provisioning Committee. Group Central Credit Committee The Group Central Credit Committee (CCC) is mandated by the Executive Board to make decisions on the acceptance of credit and counterparty risk in respect of individual persons, legal persons and public administrative bodies relating to credit proposals falling within the scope of the risk appetite and limits determined by the Executive Board. In addition, the CCC is also responsible for approving and monitoring large intercompany credit facilities. Group Regulatory Committee The Group Regulatory Committee is mandated by the Executive Board to ensure a good understanding and adequate overview of regulatory changes. This Committee makes choices and decisions on matters relating to timely compliance with new and changing national and international legislation and regulations affecting the bank. For further information on governance, please refer to the Leadership and governance chapter. Regulatory capital (CRD V/CRR2) b Under the Basel framework as implemented in European legislation (CRD V and CRR2), banks are required to hold capital to cover for financial and non-financial risks. As an intermediate step in determining the minimum level of capital, banks need to calculate risk exposure amounts for three major risk types (credit, operational and market risk). The outcome of the internal models serve as input for this calculation. The capital requirements are stated as a percentage of RWA. Under Pillar 1, banks are required to hold a regulatory fixed percentage of RWA in capital. Under Pillar 2, supervisors impose a bank-specific percentage of RWA in addition to the Pillar 1 requirement. Stress testing and scenario analysis b ABN AMRO uses stress testing and scenario analysis as an important risk management instrument, looking at profitability, capital and liquidity from a bank-wide perspective in various scenarios on a regular basis. The stress testing framework covers both internal and external stress test requirements. In addition, sub-portfolio and risk type-specific stress testing and scenario analyses are performed. Stress testing purposes ABN AMRO applies stress testing for several purposes, including: \u00c5 Business planning: various macroeconomic scenarios for budget purposes; \u00c5 Capital planning: stress testing is used to gain insight into the resilience of our capital under adverse changes in the economic environment and ABN AMRO-specific circumstances; \u00c5 Risk appetite setting and monitoring: the outcome of stress testing is used for setting and monitoring risk appetite limits and targets, including limits under stress; \u00c5 Contingency planning: stress testing is used to assess and strengthen the triggers and measures in the liquidity and capital contingency and recovery plans. Reverse stress testing is performed to gain deeper insight into plausible events that could put the continuity of ABN AMRO under pressure; \u00c5 Risk type-specific and client unit stress testing, such as market risk trading and banking book and mortgage stress testing; \u00c5 Supervisory stress testing, based on prescribed scenarios and assumptions. This includes stress test programme of the European Banking Authority (EBA), designed to assess banks\u2019 resilience to adverse economic or financial developments, and ECB economy-wide climate stress test aimed at evaluating the impact of alternative climate scenarios on the resilience of the bank over a time horizon of 30 years in the future. The figure below shows the stress testing and scenario analysis cycle. Stress test & scenario analysis cycleAuditedRiskidentificationScenario Management & scope actionselectionStress testing & scenario analysisSimulation Data sourcing, & impact models and analysis on methodologiesABN AMROConrkduoctew,gmovefrarnancole&contrScenario projections for stress testing purposes are based on quantitative models as well as expert opinion procedures. In general, the results are presented excluding and including potential mitigating actions, taking into account contingency plans. The stress testing framework also comprises the sensitivity scenarios that address the impact of various severe events on specific portfolios, countries and/or sectors, as well as the annual reverse stress test in line with regulatory requirements. Moreover, climate related and environmental risks are incorporated into our bank-wide stress testing framework through inclusion of specific events related to physical risks and drivers of transition risk, such as carbon prices (for definitions of physical and transition risks, see the sustainability risk chapter). In 2022, ABN AMRO took part in the EU-wide ECB Climate Stress Test. This exercise was aimed at identifying vulnerabilities and industry best practices, and assessed the challenges faced by banks due to increasing climate risks. Even though the exercise was of a regulatory nature, it did not have any capital or SREP implications. The results and lessons learned from the ECB Climate Stress Test will be integrated into a more robust framework to improve methodology, internal scenario development and data collection, and will also be used further in the Internal Capital Adequacy Assessment Process (ICAAP). Credit risk management approach b Credit risk constitutes a key risk in our business model. ABN AMRO employs two separate approaches to managing credit risk, which reflect the bank\u2019s way of doing business. Standardised products and processes are managed on a pooled basis (programme lending), to which uniform risk criteria are assigned. For customised lending to counterparties (non-programme lending), risks are assessed on an individual basis. Climate risks are integrated into our risk management practices via risk appetite limits at bank level and lending criteria at product level. Planning Within programme lending, the credit cycle starts with a product planning phase, during which the product is designed and/or reviewed. The goal is to optimise the key drivers of risk and return within the context of ABN AMRO\u2019s strategy, risk appetite, the client\u2019s best interests and sustainability. For non-programme lending, the lending product is customised and not subject to a product planning phase. Credit acceptance For a credit approval decision within programme lending, client-specific aspects and internal and external data are taken into consideration to calculate a credit score (scorecard). The credit decision is based on the outcome of the scorecard and policy rules. Credit risk management process b The following figure presents a simplified overview of the credit risk management process. Credit acceptanceCredit risk monitoring Restructuring Loan approval andBusiness and risk controland Recovery disbursement functions jointly responsibleHigh-risk monitoringRisk assessment by client unit1Non-programme Regular monitoringlendingRestructuringCustomised loans, mostly Analysis and credit Increased riskWealth Management, decision by credit risk Continual update of risk functiongovernance, management Corporate Banking and policiesand Business Banking Recovery Intensive monitoring(within P&BB) 2(\u2018Watch\u2019)Processes re\ufb02ect guidelines Loan disbursement for credit risk managementFor programme lending, Product-specific standards are establishedCredit decision based on credit score and Programme Sustainability risk policy rulesAccount maintenanceRestructuringassessment for larger lendingOOEs and/or periodically Standardised on portfolio levelloans, mostly Personal Banking Loan disbursement Default prevention Recovery (within P&BB)1 Daily monitoring or (semi-) annual credit review.For more insight on our credit portfolio, 2 \u2018Watch\u2019: status assigned to counterparties with an increased risk.please refer to the Credit risk review section.Within non-programme lending, the credit acceptance phase of a credit proposal starts with an assessment of the proposal by the relevant client unit. The qualitative and quantitative details of the credit risk associated with the loan are assessed prior to approval. Information must be provided on matters such as the purpose, details and structure of the proposed credit facility, the borrower and other counterparties, the industry and geography, management and owners, and financial and non-financial analyses. Compliance with internal policies is checked. After the assessment, an analysis is performed by Risk Management. The credit decision is based on independent assessments by both the commercial and the credit risk functions. Credit risk monitoring Consistent and regular monitoring of counterparties, exposures, risk mitigants and ongoing compliance with internal policies helps to safeguard the bank\u2019s position in relation to all risks associated with the counterparty, credit type or portfolio. Monitoring starts when the credit facility is granted and periodically continues throughout the lifecycle of the credit facility and the relationship with the counterparty until the exposure is repaid and/or the limit is cancelled. Credit facilities are subject to an annual review to assess whether the credit risk is still acceptable. The review takes into consideration changes in risk profile, financial position or creditworthiness compared to the criteria and the assessment at the point of loan origination. For programme lending portfolios, the entire risk management framework defined in a product programme must be reviewed at least annually. Individual credit reviews are performed based on pre-defined triggers for risk based credit reviews. For non-programme lending all counterparties are subject to at least an annual review. Credit concentration risk b Credit concentration risk is the risk of loss arising from large exposures, relative to the bank\u2019s total risk exposure, to a single counterparty or to counterparties that are positively and highly correlated. As limiting excessive concentrations is fundamental to our credit risk strategy, we aim to keep the credit risk portfolio sufficiently granular and diversified. To avoid excessive credit risk concentrations, Risk Management sets maximum levels for subgroups in the following categories: \u00c5 Single counterparty and groups of related counterparties (counterparty concentration); \u00c5 Countries (geographic concentration); \u00c5 Industries (industry concentration); \u00c5 Products (product concentration). \u00c5 Counterparty concentration Counterparty concentration credit risk is the risk of loss arising from relatively large exposures to counterparties belonging to the same risk group. The One Obligor Exposure (OOE) is the exposure to a risk group and includes all drawn and undrawn credit facilities granted, plus all indirect exposure to the risk group, including guarantees and any other recourse claims. A risk group is an interrelated group of counterparties with a high degree of dependency on each other due to a control relationship. This control relationship may be attributable to direct or indirect majority interests being held by the same shareholder or group of shareholders. Counterparty credit concentration risk is measured by the OOE and the Economic Capital (EC) per counterparty. The bank limits its counterparty credit risk by setting OOE and EC limits. Additionally, all credit applications with an OOE and/or EC above a certain threshold are reviewed by the Executive Board. If a situation arises in which an individual counterparty shows signs of credit risk deterioration and action is required in order to avoid the credit risk evolving into a default classification, a \u2018watch\u2019 status is assigned. A \u2018watch\u2019 status indicates that a counterparty is subject to increased monitoring and appropriate follow-up measures in order to prevent further deterioration or a default. Indicators for this status are changes in risk profile, liquidity problems, management issues, the market outlook, potential breach of a credit agreement, solvency issues and uncertain continuity. Restructuring & Recovery Credit facilities that are subject to a default event are mandatorily transferred to the Financial Restructuring & Recovery department (FR&R). Credit facilities identified as having a significantly high risk can be transferred to FR&R if specialised restructuring knowledge is required. If a \u2018going concern\u2019 approach is applicable and return to a performing status is considered likely, the credit facility is transferred to the Restructuring team, which then devises a plan aimed either at rehabilitation or at enhancing the likelihood of full repayment. In all other cases, the credit facility is transferred to the Recovery team. Programme lending contracts are transferred to the Restructuring team if a default status is assigned because payments have been past due for more than 90 days or because another default trigger applies. If restructuring is ultimately ineffective, the client is transferred to other internal departments or external parties (such as Flanderijn) for debt collection. Once a client is considered able to meet its future payment obligations and the involvement of FR&R is no longer required, the client is transferred back to the client unit. FR&R plays a significant role in the execution of the bank\u2019s non-performing exposure (NPE) strategy. Policies on the management of NPE include valuation of collateral, monitoring of the NPE ratio and ensuring this ratio remains well below the threshold of 5%. We have set NPE targets for each business segment and specific strategies for sectors with increased levels of non-performing loans. Geographic concentration We recognise geographic concentration in our books for climate risks in the Netherlands and for cross-border risks outside the Netherlands. ABN AMRO has branches and subsidiaries located outside the Netherlands, as well as clients who operate internationally. Consequently, the bank is exposed to country risk, which is the risk of credit losses arising from country-specific events or circumstances. Management of country risk focuses on cross-border risk, which includes the risk that funds, goods or services cannot be transferred out of a country as a result of actions by local authorities in that country or other events. These risks are managed by setting country credit limits, based on individual country analyses by economic, compliance and country risk experts. Country limits are reviewed at least once a year. Each country also has an annually reviewed internal credit rating, which is an important factor in managing country concentration risks. As the Netherlands is our home country, it is not included in any concentration risk appetite statement or setting of credit limits. Since the bank\u2019s strategic shift in 2020 and its redefined focus on Northwest Europe, ABN AMRO\u2019s country risk exposure has declined significantly. For managing climate risks in the residential mortgages book, the bank monitors and limits the percentage of properties with relatively high climate risks in the portfolio and relatively high-risk clients within a severe climate risk area. Industry concentration Industry concentration risk is the risk of loss arising from a relatively large credit exposure to counterparties active in a single industry. Industry concentration risk arises when deterioration in a specific industry has an effect on all credit exposures relating to that industry. ABN AMRO manages its industry concentrations by setting limits on economic capital (EC) for credit risk in each industry as a percentage of total EC for credit risk. Industries with a concentration limit are financial institutions, industrial transportation, industrial engineering and food & beverages. In addition to the EC limits, EC concentration checkpoints are set to facilitate timely and sufficient management interventions so as to avoid limits being breached. Product concentration Product concentration risk is the risk of loss arising from relatively large credit exposures in a specific asset or product class. This asset or product class concentration occurs e.g. in residential mortgages, commercial real estate and leveraged loans. In line with our risk appetite, ceilings are defined per product type and breaches of these concentration ceilings are managed through credit risk insurance. Credit risk quality and impairment b We continuously monitor the credit portfolio for signs indicating that the counterparty may become credit impaired in the future. Loans at risk are classified into different risk categories for individual counterparties and into days-in-arrears buckets for groups of aggregated counterparties in order to optimise the monitoring and review of these loans. Forbearance Forbearance is the process of making concessions to clients who are or will soon be experiencing financial difficulty (such as Covid-19-impacted clients), with the intention of bringing them back within their payment capacity. A forborne asset is any contract that has been entered into with a counterparty who is in or about to face financial difficulty, and that has been refinanced or modified on terms and conditions that we would not have accepted if the counterparty had been financially healthy. \u00c5 The counterparty does not have any contract, within the credit agreement, that is more than 30 days past due at the end of the probation period. If the forborne contract is or has become non-performing at the time of the forbearance measure, a mandatory cure period of at least one year applies to the contract before it is returned to performing status. The cure period starts when the contract becomes non-performing or, if the contract was already non-performing, when the last forbearance measure was taken. Past due credit exposures A financial asset is past due if a counterparty fails to make a payment on the contractual due date or if the counterparty has exceeded an agreed credit limit. ABN AMRO starts counting days past due from the first day that a counterparty is past due on any financial obligation. Forbearance measures can be applied to contracts on which the counterparty has already defaulted, as well as to contracts that are still performing. If the contract is considered to be performing at the time the forbearance measure is taken, an assessment is made to determine whether the counterparty will be able to meet the revised conditions of the contract and whether full repayment of the credit facility is expected. A forborne contract will cease to qualify as forborne only when all the following conditions are met: \u00c5 The contract is considered performing; \u00c5 A minimum probation period of at least two years has passed since the last forbearance measure and/or the date the forborne contract was considered performing (whichever is later); \u00c5 Regular and timely payments of more than an insignificant amount of principal or interest have been made during at least half of the probation period; Accounting policy for measuring allowances for expected credit losses (ECL) The IFRS 9 impairment requirements are applicable to financial assets measured at amortised cost or fair value through other comprehensive income (FVOCI), loan commitments, lease receivables and contract assets and financial guarantee contracts. At each reporting date, these financial instruments are classified into one of three risk stages, depending on current credit quality, or as purchased or originated credit-impaired (POCI). POCI assets, which are credit-impaired at initial recognition, are accounted for at fair value (i.e. net of the initial lifetime ECLs) and do not carry an impairment Classification in stage 2 We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2. Change in credit quality since initial recognitionStage 1 Stage 2 Stage 3PerformingCredit quality deterioratedDefault = Impaired(Initial recognition)(Assets with significant increase in (Credit impaired assets)credit risk since initial recognition)Recognition of ECL12 month ECL Lifetime ECL Lifetime ECLInterest incomeEffective interest on gross carrying amount Effective interest on gross carrying amount Effective interest on amortised cost(gross carrying amount less loss allowance)allowance. Instead, a credit-adjusted effective interest rate (EIR), which is calculated using expected cash flows including initial lifetime ECLs, is applied to the amortised cost. Subsequently, the cumulative changes in lifetime ECLs since initial recognition, which are discounted at the credit-adjusted effective interest rate, are recognised in the profit or loss statement as an impairment gain or loss, and presented under impairment charges on financial instruments. Once a financial asset is classified as POCI, it retains that classification until it is derecognised (in the event that a substantial modification loss larger than 10% is applicable). For this reason, POCI stage is not included in the following figure. Quantitative stage triggers The key quantitative metric that determines when a financial instrument is transferred from stage 1 to stage 2 is the deterioration in the lifetime probability of default (LPD) from the date of origination to the reporting date, based on internal data. The LPD represents the likelihood that a counterparty will default during the lifetime of the financial instrument and depends on credit risk drivers such as: \u00c5 product characteristics (e.g. repayment and interest terms, term of the product); \u00c5 the financial condition of the borrower; \u00c5 the number of days past due; \u00c5 expected developments in the economy. The lifetime PD deterioration (LPDD) measures the relative difference between the remaining lifetime PD at reporting (LPDR) and the remaining lifetime PD at origination (LPDO) as LPDD = LPDR/LPDO. If the LPD deterioration of an exposure is above a predefined Range of lifetime PD deterioration thresholds b Product class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xQualitative stage triggers The bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u00c5 Forborne status of a borrower; \u00c5 Watch status of a borrower. ABN AMRO assigns the watch status to counterparties with an increased credit risk. This process comprises intensive monitoring, early detection of deterioration in the credit portfolio and appropriate follow-up measures; \u00c5 A delinquency-based regulatory backstop is in place, such that the credit risk of financial assets that are more than 30 days past due will be assumed to have significantly increased. Reclassification to stage 1 As a general rule, favourable changes in credit risk are recognised consistently with unfavourable changes, and a financial instrument is transferred back to stage 1 if quantitative or qualitative triggers are no longer met. In some cases, a probation period applies: \u00c5 Forborne financial instruments are transferred back from stage 2 to stage 1 only after a probation period of at least two years has ended, in line with the ABN AMRO forbearance policy. Stage 3 forborne instruments transfer back to stage 2 after a cure period of at least one year; \u00c5 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1. threshold, the LPD is considered to be significantly deteriorated. The exposure is then transferred to stage 2 and impairment allowances equal to the lifetime expected credit loss are recognised. If the LPD deterioration subsequently reduces and falls below the threshold, the client is transferred back to stage 1. When determining the thresholds, ABN AMRO distinguishes between various portfolios within consumer lending, residential mortgages and corporate loans. A specific threshold is calculated for each portfolio, based on a statistical method. The following table shows LPD deterioration thresholds that triggered transfers to stage 2 as at 31 December 2022. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model. Classification in stage 3 A transfer to stage 3 will always be the result of the default of a financial instrument. Our definitions of default and impaired are aligned and comply with the European Banking Authority (EBA) guidelines on the application of the definition of default. All models use a consistent definition of default, which has been specified in line with regulations. A default is deemed to have occurred when: \u00c5 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u00c5 the bank considers the borrower to be unlikely to meet its contractual obligations (unlikely to pay, or UTP). The materiality of a financial obligation past due is assessed against an absolute and a relative threshold, in line with regulatory standards. To determine unlikeliness to pay, the bank has specified both mandatory default triggers (always resulting in the assignment of a default status, whereby no additional expert judgement is allowed) and judgemental triggers (requiring an assessment by credit risk managers to determine whether the UTP indications should result in a default classification). The mandatory triggers include the reporting of a forborne exposure under probation as non-performing for being 30 days past due or owing to an additional forbearance measure being applied. As a result, the definitions of non-performing and default are materially aligned. Reclassification to stage 2 The default classification for non-forborne exposures ends when the default triggers no longer apply and a (probation) cure period of at least three months has passed since the default trigger was last applied. For forborne exposures, a twelve-month cure period Asset in scope?YESPurchased or originated credit impaired (POCI)?NOYESDefault trigger hit?NOYESLifetime PD significantly deteriorated?NOYESWatch listNOYESForbearance (but not impaired)Days past due0-30>30Stage 1 Stage 2 Stage 3 Stage POCICalculation method ABN AMRO recognises loss allowances based on the Expected Credit Loss model (ECL) of IFRS 9, which is designed to be forward-looking. The amount of ECL is based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. ABN AMRO distinguishes between two types of calculation methods for credit loss allowances: \u00c5 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u00c5 Collective 12-month ECL (stage 1) and LECL (stage 2 and 3) for financial instruments that have similar credit risk characteristics (e.g. residential mortgages, consumer loans and SME loans) are clustered in portfolios and collectively assessed for impairment losses. A collective impairment calculation approach based on individual parameters is also applied to stage 3 exposures below EUR 3 million. ABN AMRO has models to quantify the Probability of Loss (PL), Loss Given Loss (LGL) and Exposure at Loss (EAL) for the purpose of calculating the collective 12-month ECL and LECL for these financial instruments. starts from the moment the last forbearance measure or default trigger was applied. After the cure period, an assessment is performed to establish whether the improvement in the credit quality is factual and permanent (including, for example, no remaining past due amounts). Lifetime expected credit loss ABN AMRO defines the lifetime of credit as the maximum contractual period during which the bank is exposed to credit risk; we do not apply a longer period, even if that longer period is consistent with business practice. For some contracts, such as overdraft facilities or credit cards, no end date is specified or amounts can be contractually withdrawn by the lender at short notice. In these cases, ABN AMRO uses behavioural maturity models that rely on historical client behaviour to determine future expected exposures. Forward-looking information For expected credit loss calculations, ABN AMRO uses three different scenarios of future economic developments: a baseline (or most likely) scenario, a negative scenario and a positive scenario. The three scenarios are incorporated into the expected credit loss calculation and risk stage determination in a probability-weighted manner. In order to incorporate the latest economic outlook, the scenarios and their weights are reviewed each quarter and adjusted if necessary. Details of the scenarios and their weights used in the reporting period can be found in the Credit risk review section. The baseline scenario entails our Group Economics analysts\u2019 current macroeconomic base scenario, which usually covers the current year and subsequent year. For the purpose of scenario analysis under IFRS 9, this baseline is extended by three additional calendar years, after which it is assumed that macroeconomic variables (MEVs) gradually move to their potential or equilibrium values. At least once every quarter, Group Economics compares its forecasts with those of institutions like CPB, DNB, ECB, IMF or OECD, in order to determine possible differences and to analyse whether it can underpin those. This external benchmarking exercise is a standard input to the Scenario Booklet that is presented to the bank\u2019s Scenario and Stress Testing Committee for approval. Group Economics also develops a negative and a positive scenario. These scenarios are designed to give an impression of the bandwidth within which the economy, interest and FX rates, and other relevant variables are likely to move in the next four to five years, with a probability of around 85% (roughly corresponding to a standard deviation of plus and minus one and a half). Hence, these scenarios produce upper and lower boundaries, with a resulting bandwidth between the outcomes of the negative (\u2018bad weather\u2019 in terms of financial results of the bank) and positive (\u2018good weather\u2019) scenarios. To determine these boundaries, Group Economics may look at historical developments, medium-term (non-baseline) scenarios made by the aforementioned institutions, and other relevant developments. Management overlays and other adjustments Where necessary to reflect the credit risk dynamics not captured by our models, management judgement is applied via a management overlay or other IFRS 9 adjustment. A management overlay is a temporary adjustment in a loss allowance until a long-term solution (e.g. model adjustment) is effective, and must be an amount commensurate to the model limitation. All overlays require a decision of the Impairment and Provision Committee (IPC). The main types of management overlays that ABN AMRO distinguishes are: post-model adjustments (adjustments to model outcomes), adjustments in the weightings of macroeconomic scenarios and stage overrides. Other adjustments such as adjustments to model parameters or input data are not considered management overlays, but follow the same internal approval process. Climate and environmental risks in ECL Incorporating climate risk explicitly into ECL models is challenging due to the lack of historical data and the horizon on which climate and environmental risks are expected to materialise. We are taking steps to gain deeper insight into how climate and environmental risks affect our clients, and to eventually embed them into our IFRS 9 ECL models. The target state is to have CER reflected in all four modelling frameworks (IRB models, IFRS, stress testing and EC). Although the impact of climate risk on ECL can only be estimated with a high degree of uncertainty regarding amounts of losses and the time horizon on which it will materialize, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate and environmental risks are playing an increasing role in government policies and macroeconomic developments. To capture climate and environmental risks in ECL and related scenario processes, each macroeconomic scenario is accompanied by an overview that illustrates which of these risks are included in the various projected macroeconomic indicators. For short term identifiable events that are not (yet) included in the macroeconomic forecasts, management overlays on ECL can be taken. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen reducing measures. With the combination of macroeconomic scenarios and this management overlay we deem to be adequately provisioned for climate and environmental risks. Cured financial assets When a credit impaired financial asset cures, the interest that was previously unrecognised is reported as an impairment release in the impairment charge rather than as a credit to the interest income calculated using the effective interest method. Write-off \u00c5 For non-programme lending, a write-off must be recorded if all possible means of recovery have been exhausted and it has become clear that there is a low probability of recovering the debt, either in part or full. \u00c5 Most of the programme lending facilities are automatically written-off after 1,080 days in default. Such loans are written off after all the necessary procedures have been completed and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off are credited to impairment charges on financial instruments in the income statement. Credit risk measurement b The models used for measuring and managing credit risk vary from purely statistical to expert-based models and employ both quantitative and qualitative risk drivers. All models are subject to the bank\u2019s model risk management framework. They undergo initial validation by the independent model validation function before their first use, and annually thereafter. Independent validation is also required when a model undergoes a material change. Internal rating scale mapped to external ratings UCR Low Mid High Standard & Moody\u2019s Fitch Grade Category(internal rating)PD%PD%PD%Poor\u2019s equivalentequivalentequivalentInvestment gradeUCR 1 0.000 0.03 0.035 AAA to A+ Aaa to Aa3 AAA to AA- UCR 2+ 0.035 0.04 0.045 A+ A1 AA- UCR 2 0.045 0.05 0.071 A A1 to A2 A+ UCR 2- 0.071 0.10 0.127 A- A3 A to A- UCR 3+ 0.127 0.16 0.200 BBB+ Baa1 BBB+ UCR 3 0.200 0.25 0.300 BBB Baa2 BBB UCR 3- 0.300 0.36 0.465 BBB- Baa3 BBB- Sub-investment grade UCR 4+ 0.465 0.60 0.775 BB+ Ba1 BB+ UCR 4 0.775 1.00 1.285 BB Ba2 BB UCR 4- 1.285 1.65 2.225 BB- Ba3 to B1 BB- to B+ UCR 5+ 2.225 3.00 4.243 B+ to B B2 B UCR 5 4.243 6.00 8.485 B- B3 to Caa1 B- UCR 5- 8.485 12.00 16.971 CCC/C Caa2 to Caa3 CCC/C UCR 6+ 16.971 24.00 99.999 CCC/C Ca CCC/C Default UCR 6-8 100 D C-D D Rating assignment For non-programme lending, the ratings are individually assigned to each counterparty (PD) and facility (LGD) by the business account manager (first line) and approved by credit risk (second line). For programme lending, exposures ratings are not assigned individually but assigned to pools with similar characteristics. For all exposures, the EAD estimation is assigned automatically based on the facility type and the undrawn part of the facility. Loss given default Loss Given Default (LGD) models estimate the amount the bank would lose if the counterparty were to default. LGD is expressed as a percentage of the outstanding amount at default. For credit facilities that are not in default, LGD estimates are influenced by the risk mitigating techniques used by the bank (such as collateral coverage and/or third party protection), the credit facility\u2019s seniority and structure, and the bank\u2019s view on the creditor-friendliness of the relevant country\u2019s legal framework. Probability of default The Probability of Default (PD) indicates the likelihood that a counterparty or exposure defaults within a one-year time orizon. For the non-programme lending portfolio, the model score is mapped to and expressed as an internal uniform counterparty rating (UCR). The UCR rating scale consists of 14 performing ratings, each representing a fixed PD range. The indicative mapping of the internal UCR rating scale to external rating agency ratings is shown in the following table. Exposure at default Exposure at Default (EAD) models estimate the expected exposure at the time a counterparty defaults. If all or a part of a facility is undrawn (i.e. the outstanding amount is less than the approved limit) at the time of the EAD calculation, a portion of the undrawn amount is added to the exposure to reflect the tendency of counterparties to utilise larger portions of their approved credit facilities when nearing default. Capital for credit risk Regulatory capital For the purpose of determining capital requirements for credit risk, ABN AMRO applies the Advanced Internal Rating Based (A-IRB) approach to most of its portfolios. Under this approach, the previously described internal estimates for PD, EAD and LGD are used to calculate Credit Risk RWA. For a number of smaller portfolios and the large Central Governments and Central Banks portfolio, RWA is determined according to the Standardised Approach (SA). This approach prescribes the risk weights to be applied to the exposure value in order to calculate RWA. Economic capital The EC model for credit risk uses a Monte Carlo simulation to determine a full portfolio loss distribution, taking into account specific portfolio characteristics and diversification effects. Loan facilities are valued on an economic value (mark-to-market) basis to ensure that loss estimates can be based not only on defaulting borrowers, but also on possible credit migrations and changes associated with the market values of loans. Accounting policy for offsetting financial assets and liabilities b Financial assets and liabilities are offset, and the net amount is reported on the EU IFRS balance sheet, if there is a legally enforceable right to set off the recognised amounts and there is an intention either to settle on a net basis or to realise the asset and settle the liability simultaneously. The bank applies netting to debtor and creditor balances, such as current accounts, where offsetting is justified by formal agreement with the client, provided they meet the applicable criteria. Accounting policy for enforceable master netting agreements or similar instruments b Enforceable master netting arrangements take into account all agreements containing conditions that allow offsetting in the event of default. In addition, agreements are enforceable if the bank has a legally enforceable right to offset and no ability and/or intention to realise the asset and settle the liability simultaneously. These arrangements include derivative clearing agreements, global master repurchase agreements and global master securities lending agreements. Credit risk overview b (in millions)31 December 2022 31 December 2021Cash and balances at central banks60,865 66,865 Financial assets held for trading907 1,155 Derivatives5,212 3,785 1Financial investments39,034 43,165 Securities financing20,032 16,138 Loans and advances banks2,982 2,801 Loans and advances customers243,927 258,251 Other assets4,473 4,263 1Less: Other425 345 Other assets4,047 3,919 On-balance sheet maximum exposure to credit risk 377,007 396,077 Off-balance sheet Committed credit facilities53,873 54,642 Guarantees and other commitments7,651 7,598 Revocable credit facilities34,347 31,737 Off-balance sheet credit facilities and guarantees 95,872 93,977 2Maximum exposure to credit risk472,879 490,055 2, 3Adjustments on assets4,705 167 4Valuation adjustments9,797 12,550 Offsetting and netting-26,557 -20,970 Off-balance sheet credit facilities and guarantees-95,872 -93,977 Off-balance sheet exposure fraction expected to be drawn prior to default (credit conversion factors)26,112 29,389 Total Exposure at Default 391,065 417,214 Credit risk RWA / Total Exposure at Default 28.3% 24.0% 1 This contains non-credit obligation assets and assets on accounts which are out of scope for credit risk.2 Adjustment on assets includes equity positions.3 Main adjustments on assets relate to selected financial assets held for trading and fair value adjustments from hedge accounting.4 Adjustments on valuation include loan impairment allowances.Overall credit risk EAD and RWA b 31 December 2022Less: Netting/3Original EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions)DerivativestransactionsCredit risk IRBCentral governments and central banks1Institutions8,900 917 7,983 695 1,618 1,847 23.1% Corporates134,776 33,693 101,083 1,709 1,471 53,501 52.9% Retail165,991 5,466 160,525 16,891 10.5% - of which secured by immovable property156,003 829 155,174 15,431 9.9% - of which qualifying revolving exposures5,292 3,965 1,328 136 10.3% - of which other retail4,696 673 4,023 1,323 32.9% Securitisation positions2,043 2,043 253 12.4% Subtotal 311,711 40,077 271,634 2,404 3,089 72,492 26.7% Equities not held for trading824 824 3,091 375.2% 2Other1,970 1,970 24,835 1260.9% Total IRB 314,504 40,077 274,428 2,404 3,089 100,418 36.6%Credit risk SACentral governments and central banks91,310 -2,177 93,487 85 96 515 0.6% 1Institutions26,166 13,511 12,656 4,105 3,314 939 7.4% Corporates21,583 14,790 6,793 1,233 827 5,854 86.2% Retail5,787 2,697 3,090 2,272 73.5% Secured by mortgages on immovable property438 4 434 152 35.1% Exposures in default467 344 123 158 128.4% Credit valuation adjustment274Subtotal 145,751 29,169 116,582 5,423 4,237 10,164 8.7%2Other55 55 39 70.5%Total SA 145,806 29,169 116,637 5,423 4,237 10,203 8.7%Total 460,310 69,245 391,065 7,827 7,327 110,621 28.3%1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Other includes default fund contribution under the IRB approach and non-credit obligation assets under the IRB and Standardised Approach.3 Consists mainly of netting, secured funding trades, guarantees, credit conversion factors and impairments under the Standardised Approach.31 December 2021Less: Netting/3)Original EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions) DerivativestransactionsCredit risk IRBCentral governments and central banks100,874 -2,278 103,152 272 70 840 0.8% 1Institutions8,606 1,572 7,034 547 1,828 1,589 22.6% Corporates136,174 32,920 103,254 2,857 1,530 52,211 50.6% Retail175,948 6,404 169,544 16,574 9.8% - of which secured by immovable property 164,659 1,324 163,334 14,847 9.1% - of which qualifying revolving exposures 5,359 4,038 1,321 140 10.6% - of which other retail 5,930 1,041 4,888 1,588 32.5% Securitisation positions1,016 1,016 11 6 11.4% Subtotal422,618 38,619 384,000 3,676 3,429 71,331 18.6% Equities not held for trading841 841 3,364 399.8% 2Other1,778 1,778 15,336 862.3% Total IRB 425,238 38,619 386,619 3,676 3,429 90,030 23.3% Credit risk SA Central governments and central banks6,437 -10 6,447 2 0.0% 1Institutions25,831 12,032 13,799 2,091 4,313 1,248 9.0% Corporates19,567 13,260 6,307 1,200 1,010 5,636 89.4% Retail7,562 4,142 3,421 2,495 72.9% Secured by mortgages on immovable property414 12 403 145 36.1% Exposures in default531 398 133 173 129.6% Credit valuation adjustment202 Subtotal 60,343 29,833 30,510 3,290 5,323 9,900 32.4% 2Other84 84 46 54.0% Total SA 60,428 29,833 30,595 3,290 5,323 9,946 32.5% Total 485,666 68,452 417,214 6,966 8,751 99,976 24.0% 1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Other includes default fund contribution under the IRB approach and non-credit obligation assets under the IRB and Standardised Approach.3 Consists mainly of netting, secured funding trades, guarantees, credit conversion factors and impairments under the Standardised Approach.Credit quality by exposure class b 31 December 2022Investment Sub-investment (in millions, Exposure at Default)gradegrade Impaired TotalCentral governments and central banks 1Institutions7,813 170 7,983Corporates 48,776 48,823 3,483 101,083Retail 132,134 26,933 1,457 160,525- of which secured by immovable property 129,785 24,115 1,274 155,174- of which qualifying revolving exposures 1,162 142 24 1,328- of which other retail 1,188 2,676 159 4,023Securitisation positions 2,043 2,0432Total IRB190,767 75,927 4,940 271,6343Total SA116,5822, 3Total IRB and SA388,21631 December 2021Investment Sub-investment gradegrade Impaired TotalCentral governments and central banks103,059 88 5 103,152 1)Institutions6,697 328 9 7,034 Corporates49,127 49,309 4,818 103,254 Retail138,073 29,772 1,699 169,544 - of which secured by immovable property 134,658 27,252 1,423 163,334 - of which qualifying revolving exposures 1,149 144 28 1,321 - of which other retail 2,265 2,376 247 4,888 Securitisation positions1,016 1,016 2Total IRB297,972 79,497 6,531 384,000 3Total SA 30,510 2, 3Total IRB and SA 414,510 1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Total Exposure at Default does not include EAD calculated for equities not held for trading and other non-credit obligations.3 Exposure at Default does not include EAD calculated for other non-credit obligations.EAD decreased to EUR 391.1 billion (31 December 2021: EUR 417.2 billion), largely because of the decrease in loans and advances and, to a lesser extent, because of lower cash and balances at central banks due to repayment of TLTRO III facilities. Credit quality by internal rating scale mapped to stages b The following table presents the gross carrying amount of loans and the contractual amount of undrawn loan commitments, classified by internal rating and risk stage. In order to classify a client as stage 2, several qualitative triggers are needed, which are not necessarily dependent on internal ratings. 31 December 2022 31 December 20213)3)(in millions)PD scale UCR range Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalResidential mortgages0.000 - < 0.035 1 43 43 107 108 0.035 - < 0.127 2 64,113 1,438 65,551 59,392 1,194 60,586 0.127 - < 0.465 3 50,689 2,286 52,975 55,040 1,861 56,900 0.465 - < 2.225 4 24,677 2,442 27,119 21,376 2,172 23,548 2.225 - < 16.971 5 889 2,518 3,407 1,119 2,294 3,413 16.971 - < 100 6+ 38 486 524 28 504 532 100 6-8 1,143 1,143 1,264 1,264 Total residential mortgages 140,450 9,169 1,143 150,762 137,063 8,025 1,264 146,351 Consumer loans 0.000 - < 0.035 1 661 4 665 630 3 634 0.035 - < 0.127 2 1,492 6 1,498 1,459 9 1,468 0.127 - < 0.465 3 2,748 130 2,878 2,717 165 2,882 0.465 - < 2.225 4 3,444 223 3,667 3,708 291 3,999 2.225 - < 16.971 5 280 290 570 326 415 741 16.971 - < 100 6+ 496 96 591 508 154 662 100 6-8 363 363 409 409 Total consumer loans 9,121 749 363 10,232 9,348 1,037 409 10,794 Corporate loans 0.000 - < 0.035 1 8,964 122 9,086 9,221 83 9,304 0.035 - < 0.127 2 9,677 253 9,931 9,839 343 10,182 0.127 - < 0.465 3 16,678 2,499 19,178 15,722 978 16,701 0.465 - < 2.225 4 27,925 7,042 34,967 28,393 5,433 33,826 2.225 - < 16.971 5 3,137 3,478 6,615 3,345 4,484 7,830 16.971 - < 100 6+ 2,721 568 3,289 2,843 753 3,597 100 6-8 3,666 3,666 5,019 5,019 Total corporate loans 69,103 13,963 3,666 86,731 69,364 12,075 5,019 86,458 1Other loans0.000 - < 0.035 1 14,776 37 14,813 21,289 21,289 0.035 - < 0.127 2 8,988 8,988 9,012 1 9,012 0.127 - < 0.465 3 4,607 4,607 2,539 2,539 0.465 - < 2.225 4 1,946 1,946 883 883 2.225 - < 16.971 5 71 71 66 26 92 16.971 - < 100 6+ 53 36 90 11 2 20 132 100 6-8 4 4 9 9 1Total other loans 30,442 73 4 30,519 33,900 47 9 33,956 Loan commitments and financial guarantee contracts0.000 - < 0.035 1 5,232 5,233 5,256 6 5,262 0.035 - < 0.127 2 13,299 254 13,553 12,188 175 12,363 0.127 - < 0.465 3 14,156 1,691 15,847 16,688 885 17,573 0.465 - < 2.225 4 15,582 3,333 18,915 11,025 3,750 14,775 2.225 - < 16.971 5 1,136 816 1,952 1,197 1,043 2,240 16.971 - < 100 6+ 781 114 895 3,843 161 4,004 100 6-8 700 700 1,271 1,271 Total loan commitments 2and financial guarantee contracts50,187 6,209 700 57,095 50,199 6,019 1,271 57,488 Total0.000 - < 0.035 1 29,677 163 29,840 36,504 92 36,596 0.035 - < 0.127 2 97,570 1,951 99,521 91,891 1,721 93,612 0.127 - < 0.465 3 88,879 6,606 95,486 92,706 3,889 96,595 0.465 - < 2.225 4 73,575 13,040 86,615 65,385 11,646 77,031 2.225 - < 16.971 5 5,513 7,102 12,615 6,054 8,263 14,317 16.971 - < 100 6+ 4,089 1,300 5,389 7,335 1,592 8,926 100 6-8 5,874 5,874 7,971 7,971 Total 299,303 30,162 5,874 335,339 299,874 27,202 7,971 335,048 1 Includes Banks, Securities Financing and Government and official institutions.2 Total loan commitments and financial guarantee contracts exclude performance letters of credit as these facilities are not in scope of IFRS 9.3 Including POCI.The largest part of ABN AMRO\u2019s portfolio continues to be classified in stage 1 and in the highest and medium internal rating classes. Compared to 31 December 2021, the share of the portfolio with an investment grade (UCR 1 to UCR 3 bucket) decreased marginally, mainly in mortgages and corporate loans. Approximately 2% of the bank\u2019s portfolio is reported in UCR 6+. Clients where revision of the UCR is overdue are classified as UCR 6+ until a new rating is available. During that time, the mid-PD of UCR 6+ is used for capital and provision calculation purposes. Geographic concentration by EAD b 31 December 2022Rest of Rest of (in millions, Exposure at Default) The NetherlandsEurope USA Asiathe world TotalCentral governments and central banks 1Institutions1,151 4,903 1,268 222 439 7,983Corporates 62,957 31,255 1,532 727 4,611 101,083Retail 159,910 475 45 64 31 160,525- of which secured by immovable property154,613 426 45 61 29 155,174- of which qualifying revolving exposures1,328 1,328- of which other retail 3,970 48 3 2 4,023Securitisation positions 2,043 2,0432Total IRB226,062 36,633 2,846 1,013 5,081 271,6343Total SA71,755 29,882 9,753 3,286 1,906 116,582Total 297,817 66,514 12,599 4,299 6,987 388,2162, 3Percentage of total IRB and SA76.7% 17.1% 3.2% 1.1% 1.8% 100.0%31 December 2021Rest of Rest of The NetherlandsEurope USA Asiathe world TotalCentral governments and central banks70,875 22,219 6,659 2,156 1,243 103,152 1Institutions1,077 4,514 675 198 570 7,034 Corporates69,464 26,236 2,457 792 4,304 103,254 Retail168,956 453 37 57 41 169,544 - of which secured by immovable property 162,809 396 37 53 39 163,334 - of which qualifying revolving exposures 1,321 1,321 - of which other retail 4,825 57 4 2 4,888 Securitisation positions1,016 1,016 2Total IRB311,388 53,423 9,828 3,203 6,158 384,000 3Total SA9,996 16,161 2,979 820 555 30,510 Total 321,384 69,583 12,807 4,023 6,713 414,510 2, 3Percentage of total IRB and SA77.5% 16.8% 3.1% 1.0% 1.6% 100.0% 1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Total Exposure at Default does not include EAD calculated for equities not held for trading and other non-credit obligations.3 Exposure at Default does not include EAD calculated for other non-credit obligations.Exposure at default (EAD) concentrated in the Netherlands increased to 76.7% of the bank\u2019s portfolio in 2022 (2021: 77.5%). EAD in the Netherlands decreased to EUR 297.8 billion at 31 December 2022 (31 December 2021: EUR 321.4 billion). The exposure to central governments Credit risk concentration b Geographic concentration The exposures in the following table have been classified on the basis of the geographical regions where clients are domiciled. The bank actively manages and monitors the development of its country risk exposures, based on the country at risk. The country at risk may be different from the country of domicile, for example if the bank finances a project in a country other than the borrower\u2019s country of incorporation. and central banks is now treated under the Standardised Approach, which causes significant changes in the categories Central governments and central banks and Total SA. Industry concentration ABN AMRO applies industry concentration limits in line with the Industry Classification Benchmark (ICB). In the exposure table, non-material industry clusters are aggregated under Other. Industry concentration limits are established within the bank\u2019s risk appetite, with the Industry concentration b 31 December 2022 31 December 2021Gross carrying Percentage Gross carrying Percentage 3, 43, 4(in millions)amountof totalamountof totalLoans and advances banks 2,990 1.2% 2,811 1.1%1Financial services21,734 8.4% 30,145 11.5%Industrial goods and services16,763 6.5% 16,918 6.5%Real estate16,953 6.6% 15,309 5.9%Oil and gas2,565 1.0% 3,162 1.2%Food and beverage9,953 3.9% 10,804 4.1%Retail4,478 1.7% 4,477 1.7%Healthcare3,736 1.4% 3,616 1.4%Construction and materials3,010 1.2% 3,041 1.2%Travel and leisure3,012 1.2% 3,452 1.3%Utilities2,214 0.9% 2,788 1.1%Automobiles and parts1,525 0.6% 1,545 0.6%Technology1,709 0.7% 1,112 0.4%2Other7,292 2.8% 7,213 2.8%Total industry classification benchmark 94,943 36.8% 103,581 39.6%Private individuals (non-industry classification benchmark)159,650 61.8% 154,593 59.1%Public administration (non-industry classification benchmark)629 0.2% 436 0.2%Total non-industry classification benchmark 160,279 62.1% 155,029 59.3%Total loans and advances customers 255,222 98.8% 258,611 98.9%3Total loans and advances258,212 100.0% 261,421 100.0%1 Financial services include asset managers, credit card companies and providers of personal financial services and securities and brokers.2 Other includes personal and household goods, basic resources, media, chemicals, telecommunication and insurance, in addition to unclassified.3 Excluding loans at fair value through P&L.4 Excluding fair value adjustments from hedge accounting.thresholds for concentrations being based on relative risk, the importance of the industry to the Dutch economy and expert opinion. The table shows the industry in which the original obligor, i.e. the counterparty with whom ABN AMRO has the contractual relationship, has its main activity. The total decrease in loans and advances by industry was largely explained by decreases in financial services. These were largely driven by business developments in Clearing. Our exposure to the oil and gas sector decreased further, while exposure to the real estate sector increased. The share of loans and advances to private individuals increased, largely as a result of an increase in residential mortgages. Management of forborne, past due and credit-impaired loans b Credit risk reporting scope Although all financial assets on our balance sheet are subject to some form of credit risk, by far the largest part is in loans and advances. To provide a meaningful view of the credit risk in our lending book, the figures presented in this section therefore relate to loans and advances. Any credit risk outside the reported scope will be mentioned below the table. All figures are furthermore reported gross of loan impairment allowances and exclude fair value adjustments. The following table provides a comparison of gross carrying amounts presented in this section with the consolidated balance sheet. 31 December 2022 31 December 2021Fair value Less: Less: Fair value Less: loan Less: Gross adjustment loan im-amortisation Gross adjustment impair-amortisation carrying from hedge pairment and depre-Carrying carrying from hedge ment and depre-Carrying 2222(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks2,990 8 2,982 2,811 10 2,801Residential mortgages150,762 -9,489 153 141,121 146,351 1,442 82 147,711Consumer loans10,232 277 9,955 10,794 276 10,5181Corporate loans86,731 154 1,590 85,295 86,458 509 2,053 84,915Other loans and advances 1customers7,497 5 7,491 15,007 4 15,003Total loans and 1advances customers255,222 -9,335 2,026 243,861 258,611 1,951 2,416 258,146Total loans and 1advances258,212 -9,335 2,034 246,844 261,421 1,951 2,426 260,947Other138,201 -3,119 123 2,222 132,738 139,580 1,636 146 2,903 138,166Total assets 396,414 -12,454 2,157 2,222 379,581 401,001 3,587 2,572 2,903 399,113Loans and advances 1customers255,222 -9,335 2,026 243,861 258,611 1,951 2,416 258,146Corporate loans at fair value through P&L66 66 99 99Other loans at fair value through P&L5 5Total loans and advances customers255,288 -9,335 2,026 243,927 258,715 1,951 2,416 258,2511 Excluding loans at fair value through P&L.2 Compared to 2021, the presentation changed. In the line Other the fair value adjustment from hedge accounting, impairment allowances not in scope of IFRS 9 and amortisation and depreciation are now taken into consideration for the calculation of the gross carrying amount. Comparative figures have been adjusted accordingly.3 Excluding fair value adjustments from hedge accounting.Forborne exposures b Clients in (or potentially in) financial difficulty and whose contracts have been amended in ways that are regarded as concessions on the part of the bank are accounted Overview of forborne assets b 31 December 2022Performing assetsNon-performing assetsTem-Perma-Total Tem-Perma-Total non- Gross porary nent Refi-performing porary nent Refi-performing Total Forbear-carrying modifi-modifi-nanc-forborne modifi-modifi-nanc-forborne forborne ance )(in millions)amountcationcationingassetscationcationingassetsassetsratioLoans and advances banks 2,990 0.0%Residential mortgages150,762 545 22 2 569 489 15 503 1,072 0.7%Consumer loans10,232 32 57 1 91 53 23 15 91 181 1.8%1Corporate loans86,731 585 2,258 374 3,217 383 1,774 282 2,439 5,655 6.5%1Other loans and advances customers7,497 0.0%Total loans and 1advances customers255,222 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1Total loans and advances258,212 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.for as forborne assets. The following table provides an overview of forborne assets, broken down into performing and non-performing assets, and classified by the type of forbearance measure. 31 December 2021Performing assetsNon-performing assetsTem-Perma-Total Tem-Perma-Total non- Gross porary nent Refi-performing porary nent Refi-performing Total Forbear-carrying modifi-modifi-nanc-forborne modifi-modifi-nanc-forborne forborne ance 3(in millions)amountcationcationingassetscationcationingassetsassetsratioLoans and advances banks 2,811 0.0%Residential mortgages146,351 2,445 18 1 2,464 590 24 2 616 3,080 2.1%Consumer loans10,794 60 47 4 111 86 26 12 124 235 2.2%1Corporate loans86,458 1,173 2,937 484 4,594 380 2,237 659 3,276 7,870 9.1%1Other loans and advances customers15,007 0.0%Total loans and advances 1, 2customers258,611 3,678 3,002 490 7,170 1,057 2,287 673 4,016 11,186 4.3%1, 2Total loans and advances261,421 3,678 3,002 490 7,170 1,057 2,287 673 4,016 11,186 4.3%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.Total forborne assets decreased from EUR 11.2 billion at 31 December 2021 to EUR 6.9 billion at 31 December 2022, mainly for residential mortgages and corporate loans. This decrease is specifically attributed to loans for which a payment deferral was granted after the outbreak of Covid-19 in 2020 and that came to the end of their two-year forbearance probation period. Under the forbearance rules, these loans ceased to be forborne if they were performing in accordance with the payment conditions. On 31 December 2022 the exposure subject to Covid-19 related forbearance measures was EUR 0.8 billion. Past due not classified as stage 3 b 31 December 2022Days past dueGross Assets not Total past due, carrying classified as > 30 days & but not stage 3 Past due 23(in millions)amountstage 3 or POCI \u2264 30 days\u2264 90 days > 90 daysor POCIratioLoans and advances banks 2,990 2,990 0.0%Residential mortgages150,762 149,619 879 52 7 939 0.6%Consumer loans10,232 9,869 104 50 23 178 1.7%1Corporate loans86,731 83,066 635 181 84 900 1.0%1Other loans and advances customers7,497 7,493 4 17 21 0.3%Total loans and 1advances customers255,222 250,047 1,623 284 131 2,038 0.8%1Total loans and advances258,212 253,038 1,623 284 131 2,038 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Materiality thresholds are applied for counterparties transferring to stage 3. Below these thresholds, amounts are reported on > 90 days past due.Past due exposures b When a counterparty is past due or exceeds its credit limit, all loans and advances (total gross carrying amount) in the related credit arrangement are considered to be past due. The absolute and relative materiality thresholds used for determining a defaulted status do not apply for the purposes of classification as past due. Below these thresholds, arrears of more than 90 days are reported as past due. 31 December 2021Days past dueGross Assets not Total past due carrying classified as > 30 days & but not stage 3 Past due 34(in millions)amountstage 3 or POCI \u2264 30 days\u2264 90 days > 90 daysor POCIratioLoans and advances banks 2,811 2,811 0.0%Residential mortgages146,351 145,087 759 49 12 820 0.6%Consumer loans10,794 10,385 133 29 26 188 1.7%1Corporate loans86,458 81,439 874 178 23 1,075 1.2%1Other loans and advances customers15,007 14,998 24 24 0.2%Total loans and 1, 2advances customers258,611 251,910 1,789 256 61 2,106 0.8%1, 2Total loans and advances261,421 254,720 1,789 256 61 2,106 0.8%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.4 Materiality thresholds are applied for counterparties which are transferred to impaired. Below these thresholds, amounts are reported on > 90 days past due.Compared to 31 December 2021, total arrears declined modestly from EUR 2.1 billion to EUR 2 billion, accounting for an unchanged past due ratio of 0.8%. Arrears in residential mortgages rose by EUR 0.1 billion to EUR 0.9 billion. As this was proportional to the growth of the portfolio, the past due ratio for residential mortgages remained stable at 0.6%. Similarly, consumer loans in arrears came down in line with portfolio movements and recorded an unchanged past due ratio of 1.7%. This steady credit performance of personal banking products can be attributed to the high job retention rates in the Netherlands, despite the inflationary economic environment. Arrears in corporate loans came down from EUR 1.1 billion to EUR 0.9 billion. A change in the past due accounting of the recourse portfolio at Asset Backed Finance contributed EUR 0.1 billion to this decline. Coverage and stage ratios b 31 December 2022 31 December 2021Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 3434(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,953 8 0.3% 98.8% 2,808 10 0.4% 99.9%Residential mortgages140,450 21 0.0% 93.2% 137,063 8 0.0% 93.7%Consumer loans9,121 30 0.3% 89.1% 9,348 23 0.2% 86.6%1Corporate loans69,103 256 0.4% 79.7% 69,364 130 0.2% 80.2%1Other loans and advances customers7,457 0.0% 99.5% 14,954 0.0% 99.6%1Total loans and advances customers226,130 308 0.1% 88.6% 230,729 162 0.1% 89.2%Stage 2Loans and advances banks37 0.0% 1.2% 3 0.5% 0.1%Residential mortgages9,169 57 0.6% 6.1% 8,025 22 0.3% 5.5%Consumer loans749 36 4.8% 7.3% 1,037 45 4.4% 9.6%1Corporate loans13,963 301 2.2% 16.1% 12,075 291 2.4% 14.0%1Other loans and advances customers36 2 5.6% 0.5% 44 1 3.2% 0.3%1Total loans and advances customers23,917 396 1.7% 9.4% 21,181 360 1.7% 8.2%Stage 3 and POCILoans and advances banksResidential mortgages1,143 75 6.6% 0.8% 1,264 52 4.1% 0.9%Consumer loans363 2 11 58.2% 3.5% 409 208 50.8% 3.8%1Corporate loans3,666 1,033 28.2% 4.2% 5,019 1,632 32.5% 5.8%1Other loans and advances customers4 3 83.9% 0.0% 9 3 32.0% 0.1%1Total loans and advances customers5,175 1,322 25.6% 2.0% 6,701 1,894 28.3% 2.6%Total of stages 1, 2, 3 and POCITotal loans and advances banks2,990 8 0.3% 2,811 10 0.4%Residential mortgages150,762 153 0.1% 146,351 82 0.1%Consumer loans10,232 277 2.7% 10,794 276 2.6%1Corporate loans86,731 1,590 1.8% 86,458 2,053 2.4%1Other loans and advances customers7,497 5 0.1% 15,007 4 0.0%1Total loans and advances customers255,222 2,026 0.8% 258,611 2,416 0.9%1, 2Total loans and advances258,212 2,034 0.8% 261,421 2,426 0.9%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.4 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2022: EUR 1 million; 31 December 2021: EUR 1 million).The stage 2 ratio increased to 9.4% (31 December 2021: 8.2%), mainly as a result of increases in stage 2 exposure, while total loans and advances decreased. Stage 2 exposure increased for corporate loans, partly because of clients who returned from stage 3. Inflow as a result of a weakening macroeconomic outlook led to an increase in stage 2 exposures for residential mortgages. The stage 2 coverage ratio remained stable at 1.7%. The stage 3 ratio decreased to 2.0% at 31 December 2022 (31 December 2021: 2.6%), attributable to an outflow of clients due to repayments and clients returning to stage 2. The stage 3 coverage ratio decreased from 28.3% to 25.6% due to the write-off or return to stage 2 of some highly provisioned loans. Purchased or Originated Credit Impaired (POCI) On 31 December 2022, loans classified as POCI amounted to EUR 9 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report. Exposure and impairment flows b This section provides more details on the exposure and impairment flows underlying the change in coverage and stage ratios shown in the previous section. Total loans and advances b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 233,537 21,183 6,701 261,421 220,705 25,602 8,474 254,781Transfer to stage 17,771 -7,662 -110 5,607 -5,517 -90Transfer to stage 2-14,007 15,050 -1,044 -7,863 8,412 -549Transfer to stage 3-864 -932 1,796 -890 -1,432 2,322Additional drawdowns and partial repayments-25,287 -73 -71 -25,430 -20,683 1,029 11 -19,643Originated or purchased48,595 48,595 71,356 71,356Matured or repaid-21,365 -3,728 -1,515 -26,608 -36,312 -7,148 -2,538 -45,998Write-offs-622 -623 - 11 -19 -1,087 -1,117Foreign exchange826 44 38 908 1,774 281 159 2,214Other movements-123 71 1 -51 -145 -24 -1 -171Balance at 31 December 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,4211 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI.Total loans and advances decreased compared to 31 December 2021, mainly due to a sharp decrease in Clearing exposures, which was also visible in other loans. This was primarily as a result of lower trading positions of Clearing clients at year-end 2022 and a decrease in margin contributions, mainly at European Commodity Clearing (ECC). The decrease was offset by an increase in residential mortgages (EUR 4.4 billion) and foreign exchange movements, with the latter being due to the depreciation in the value of the EUR compared to the USD. As our portfolio is now more Northwest Europe-oriented (due to the wind-down of the former CIB non-core business), the effect of this was less pronounced than in 2021. Transfers between stages were notably high for stage 2 exposures as a result of adjustments in the models\u2019 macroeconomic scenarios. Inflow in stage 3 was lower than the combined amount of write-offs, repayments and transfers to stage 2, leading to a strong reduction in stage 3 exposure. Exposure flows per product class are presented in the section Additional risk, funding & capital disclosures. Loan impairment charges and allowances b 31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 1 January 2022 10 82 276 2,053 4 2,426 153Transfer to stage 1-3 -9 -21 -33 -2Transfer to stage 24 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters57 12 61 130 2Originated or purchased7 4 44 55 12Matured or repaid-18 -12 -88 - 119 -7Impairment charges (releases) on loans and advances-2 73 59 41 1 171 -110Write-offs-3 -65 -556 -623Unwind discount / unearned interest accrued1 5 25 32Foreign exchange and other movements3 27 29 8Balance at 31 December 20228 153 277 1,590 5 2,034 512022Impairment charges (releases) on loans and advances-2 73 59 41 1 171 - 110Recoveries and other charges (releases)-17 -45 -42 -103 82Total impairment charges for the period -2 56 14 -1 1 67 -281 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.31 December 2021Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 1 January 2021 6 116 294 3,053 3 3,472 48Transfer to stage 1-6 -7 -21 -33 -1Transfer to stage 2-3 31 27 7Transfer to stage 321 51 107 1791Remeasurements10 5 39 425 1 480 101Changes in models-2 -1 1 -15 -17Changes in risk parameters-4 -31 -12 -54 -101Originated or purchased4 5 46 55 6Matured or repaid-19 -27 -563 -610 -18Impairment charges (releases) on loans and advances5 -28 47 -44 1 -20 94Write-offs-6 -69 -1,042 -1,117 -3Unwind discount / unearned interest accrued1 4 16 22Foreign exchange and other movements-1 69 69 14Balance at 31 December 2021 10 82 276 2,053 4 2,426 1532021Impairment charges (releases) on loans and advances5 -28 47 -44 1 -20 94Recoveries and other charges (releases)-18 -44 -79 -141 22Total impairment charges for the period 5 -46 3 -124 1 -161 1161 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.Loan impairment charges and allowances per stage b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 172 360 1,894 2,426 301 400 2,771 3,472Transfer to stage 157 -74 -16 -33 40 -62 - 11 -33Transfer to stage 2-31 153 -107 15 -35 112 -50 27Transfer to stage 3-17 -40 209 152 -12 -38 228 1791Remeasurements50 23 -103 -30 -108 41 547 480Changes in models-3 - 11 -3 -17Changes in risk parameters44 56 30 130 -34 -35 -32 -101Originated or purchased55 55 55 55Matured or repaid-14 -26 -79 - 119 -19 -18 -573 -610Impairment charges (releases) on loans and advances145 91 -66 171 -117 -10 107 -20Write-offs-622 -623 - 11 -19 -1,087 -1,117Unwind discount / unearned interest accrued32 32 22 22Foreign exchange and other movements-1 -55 84 29 -2 - 11 82 69Balance at 31 December 316 396 1,322 2,034 172 360 1,894 2,426Impairment charges (releases) on loans and advances145 91 -66 171 - 11 7 -10 107 -20Recoveries and other charges (releases)-103 -103 -141 -141Total impairment charges for the period 145 91 -169 67 -117 -10 -34 -1611 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.An addition of EUR 39 million (EUR 67 million on-balance and EUR -28 million off-balance) in impairments was recorded for 2022 (2021: release of EUR 46 million), resulting in a cost of risk of 3bps in 2022, compared to -7bps in 2021. Charges were attributable to a deteriorating economic outlook during the year, partly offset by releases from management overlays and releases for existing stage 3 clients. The releases in stage 3 can be largely attributed to the improved credit quality of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. For residential mortgages, charges of EUR 56 million were recorded in 2022, compared to a release of EUR 46 million in 2021. This was caused by the deteriorated macroeconomic outlook. The deteriorated economic outlook was also the main driver of the EUR 14 million impairment charges for consumer loans (2021: EUR 3 million). Impairments for consumer loans were also attributable to the deterioration of risk parameters in our consumer lending portfolios. A release of EUR 29 million (of which EUR 28 million was for off-balance exposures) was recorded for corporate loans in 2022 (2021: release of EUR 124 million). Impairment releases for corporate loans were recorded because of the improved credit quality of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. Individual and collective loan impairment allowances and management overlays b 31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 18 21 30 256 316 25Stage 257 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay26 9 294 328Total impairments 8 153 277 1,590 5 2,034 51Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,143 363 3,666 4 5,1751 Including POCI.31 December 2021Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 346 1,389 3 1,438 11 6Total individual impairments 46 1,389 3 1,438 116Collective impairmentsStage 110 8 23 130 172 17Stage 222 45 291 1 360 201Stage 352 162 243 456Total collective impairments 10 82 230 664 1 988 37- of which management overlay 24 46 354 424Total impairments 10 82 276 2,053 4 2,426 153Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,264 409 5,019 9 6,7011 Including POCI.Individual impairments decreased to EUR 896 million (31 December 2021: EUR 1,438 million) due to write-offs, repayments and transfers to stage 2. Total collective impairments amounted to EUR 1,138 million at year-end 2022 (31 December 2021: EUR 988 million) and included expected credit losses (ECL) as calculated by our IFRS 9 models and the management overlays we recorded. The ECL calculations take into account a probability weighted average of three economic scenarios. As the ECL model outcomes do not always reflect the current economic environment and circumstances, additional management overlays are applied to incorporate potential risks not fully captured by the model outcomes. During 2022, management overlays decreased to a total of EUR 328 million (31 December 2021: EUR 424 million). Of this decrease, EUR -43 million was due to reclassification of overlays to input data and in-model adjustments and did not have P&L impact. The remaining management overlays were mainly recorded for risks in the corporate loans portfolios and comprised the following: \u00c5 A new management overlay was applied for potential effects of the war in Ukraine that are not fully captured by the latest projections in our macroeconomic scenarios and existing IFRS 9 models. An initial overlay for second-order impact on potentially vulnerable clients was cancelled after individual clients were reviewed and, where appropriate, reclassified. As the uncertainty in the macroeconomic outlook as a whole continues to be high, the initial overlay was replaced by an overlay on impairments for third-order effects, amounting to EUR 123 million at year-end 2022. \u00c5 A new management overlay of EUR 34 million was formed for the potential impact that the government\u2019s measures to reduce nitrogen emissions may have on clients in livestock farming businesses in the Netherlands. \u00c5 The existing overlays, which cover anticipated additional risk costs relating to the wind-down of portfolios, decreased in line with the reducing exposure to these portfolios. Management overlays taken in previous years for the impact of Covid-19 decreased significantly: \u00c5 The management overlay applied for clients in sectors vulnerable to the impact of Covid-19-related restrictions was released after the Covid-19 restrictions were lifted in the Netherlands and analysis revealed there to be no material differences between the coverage ratios of vulnerable and non-vulnerable sectors. \u00c5 We also released a management overlay that captured expected credit risk deterioration due to Covid-19 in our Corporate Banking portfolio as we deem this effect to be largely incorporated into our credit risk parameters. \u00c5 A new management overlay was formed for potential underestimation of the delayed risk of Covid-19-related government support \u2013 especially tax deferrals \u2013 for corporate loans that are not individually managed. Compared to 31 December 2021, management overlays for our mortgage portfolio were stable as: \u00c5 The management overlay that covers the refinancing risk of interest-only mortgages was increased to take into account changes in the affordability tests as a result of rising interest rates. \u00c5 The management overlay that addresses the impact of excessive increases in property prices on the outcome of the IFRS 9 models was reclassified as an in-model adjustment. The management overlays within consumer lending portfolios decreased because the adjustment for modification losses was reclassified as an input data adjustment. All management overlays represent best estimates of the risks involved. The underlying reasoning and calculations are documented and discussed and approved by the Impairments and Provisioning Committee (IPC). Relevant experience related to the impact of Covid-19 on the model outcomes will be used to improve the models over time and reduce the need for management overlays. Macroeconomic scenarios in 2022 b Unweighted Weighted 44(in millions)Weight Macroeconomic variable 2023 2024 2025 2026ECLECL1 Real GDP Netherlands2.8% 2.6% 2.3% 1.6%2 Positive5% Unemployment3.9% 3.8% 3.7% 3.6% 1,0353 House price index1.0% 0.0% 1.0% 2.0% Real GDP Netherlands 0.5% 1.2% 1.6% 1.4%Baseline60% Unemployment 4.3% 4.2% 4.0% 4.0% 1,087 1,138 House price index -2.5% -2.5% -2.0% 1.0% Real GDP Netherlands -1.8% -0.4% 1.3% 1.8%Negative35% Unemployment 5.0% 4.9% 4.7% 4.7% 1,240 House price index -8.0% -12.0% -11.0% 0.0%1 Real GDP Netherlands, % change year-on-year.2 Unemployment Netherlands, % of labour force.3 House price index Netherlands - average % change year-on-year.4 Weighted and unweighted ECL are including all collective impairments. Previous reports showed ECL for stages 1 and 2 only. Comparative figures have been adjusted accordingly.Macroeconomic scenarios in 2021 b Unweighted Weighted 44(in millions) Weight Macroeconomic variable 2022 2023 2024 2025ECLECL1 Real GDP Netherlands4.5% 2.9% 2.5% 1.6%2 Positive10% Unemployment2.7% 2.3% 2.3% 2.2% 9243 House price index12.5% 5.0% 3.5% 3.0% Real GDP Netherlands 3.8% 2.4% 2.0% 1.4%Baseline60% Unemployment 3.1% 2.8% 2.8% 2.8% 953 988 House price index 10.0% 4.0% 3.0% 3.0% Real GDP Netherlands 2.7% 0.7% 2.3% 1.6%Negative30% Unemployment 4.0% 4.2% 3.4% 3.2% 1,078 House price index 0.0% -7.5% -10.0% -2.5%1 Real GDP Netherlands, % change year-on-year.2 Unemployment Netherlands, % of labour force.3 House price index Netherlands - average % change year-on-year.4 Weighted and unweighted ECL are including all collective impairments. Previous reports showed ECL for stages 1 and 2 only. Comparative figures have been adjusted accordingly.The scenario weights indicated in the above tables are in place for expected credit loss (ECL) calculation purposes only and are designed to capture prevailing uncertainties in the macroeconomic outlook in our ECL estimates. As the most recent macroeconomic indicators were more in line with the baseline than the negative scenarios, the adjustment to the weights used in the previous quarter was rolled back and weights were reset to their usual levels. Credit risk mitigation b Collateral reporting is based on the net collateral value (NCV). The NCV represents the amount expected to be recovered from the collateral pledged to the bank if the client defaults. Where necessary, certain discounts are applied. The NCV is approached by an average recovery rate observed for the specific type of collateral and, where applicable, by applying haircuts, for example in the event of currency mismatches. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis. A surplus is not included for guarantees as the debtor cannot be held liable for more than the maximum debt. Financial assets: offsetting, netting, collateral and guarantees b 31 December 2022Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading907 907 907 Derivatives 5,212 5,212 4,136 4,136 1,077 Financial investments 39,034 39,034 39,034 Securities financing 25,218 5,186 20,032 820 24,847 25,667 5,881 246 Interest-bearing deposits2,088 317 1,771 44 317 361 1,410 Loans and advances934 934 537 1,793 2,330 1,793 396 Other277 277 277 Total loans and advances banks3,300 317 2,982 582 1,793 317 2,692 1,793 2,083 Residential mortgages150,609 150,609 2,778 288,267 258 291,303 144,617 3,923 Consumer loans9,959 4 9,955 3,741 6,787 386 10,913 4,387 3,428 Corporate loans86,242 1,101 85,141 2,047 30,432 51,330 3,920 87,730 33,471 30,882 Other loans and advances customers7,491 7,491 377 50 19 446 18 7,064 Fair value adjustment from hedge accounting-9,335 -9,335 -9,335 Total loans and 1advances customers244,966 1,105 243,861 2,424 36,951 346,434 4,583 390,392 182,492 35,962 Loans at fair value through P&L66 66 66 Total loans and advances customers245,032 1,105 243,927 2,424 36,951 346,434 4,583 390,392 182,492 36,028 Other assets 3,532 1 3,531 52 520 842 1,414 427 2,544 Total on-balance sheet subject to netting and pledged agreements322,235 6,609 315,626 8,013 64,110 346,434 5,742 424,300 190,593 81,919 Assets not subject to netting and pledged agreements63,955 63,955 63,955 Total assets 386,190 6,609 379,581 8,013 64,110 346,434 5,742 424,300 190,593 145,875 Total off-balance sheet95,872 95,872 4,095 8,576 1,279 13,951 5,471 87,392 Total on- and off-balance sheet482,062 6,609 475,453 8,013 68,205 355,011 7,021 438,251 196,064 233,267 1 Excluding loans at fair value through P&L.2 Carrying amount includes loan impairment allowances where applicable.3 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.4 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.5 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.31 December 2021Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading1,155 1,155 1,155 Derivatives 3,785 3,785 2,312 85 2,397 1,388 Financial investments 43,165 43,165 43,165 Securities financing19,659 3,521 16,138 85 18,808 18,893 2,915 160 Interest-bearing deposits1,538 349 1,189 36 1 282 318 871 Loans and advances1,355 1,355 967 927 1,893 923 385 Other257 257 257 Total loans and advances banks3,150 349 2,801 1,002 927 282 2,211 923 1,513 Residential mortgages146,269 146,269 2,779 262,635 355 265,768 123,226 3,727 Consumer loans10,519 1 10,518 3,856 6,465 28 10,349 4,107 4,276 Corporate loans88,038 3,632 84,405 2,943 26,669 50,828 3,693 84,132 28,148 28,421 Other loans and advances - customers15,003 15,003 163 75 28 267 44 14,779 Fair value adjustment from hedge accounting1,951 1,951 1,951 Total loans and 1advances customers261,779 3,633 258,146 3,105 33,304 320,003 4,103 360,516 155,525 53,155 Loans at fair value through P&L104 104 104 Total loans and advances customers261,884 3,633 258,251 3,105 33,304 320,003 4,103 360,516 155,525 53,259 Other assets 3,330 1 3,330 2 370 69 441 330 3,218 Total on-balance sheet subject to netting and pledged agreements336,127 7,504 328,624 6,508 53,494 320,003 4,454 384,459 159,693 103,858 Assets not subject to netting and pledged agreements70,490 70,490 70,490 Total assets 406,617 7,504 399,113 6,508 53,494 320,003 4,454 384,459 159,693 174,347 Total off-balance sheet93,977 93,977 4,683 8,130 1,961 14,774 5,022 84,225 Total on- and off-balance sheet500,594 7,504 493,091 6,508 58,178 328,133 6,415 399,233 164,714 258,572 1 Excluding loans at fair value through P&L.2 Carrying amount includes loan impairment allowances where applicable.3 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.4 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.5 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Total risk mitigation increased, driven by an increase in property and equipment and in residential mortgages, mainly due to rising house prices. As a result, surplus collateral also increased. In the case of consumer loans, total risk mitigation was relatively stable and net exposure declined slightly. The increase in total risk mitigation for corporate loans was evidenced by an increase in collateral for financial instruments. This was mainly driven by an increase in marketable securities collateral in the context of securities financing, mostly between financial institutions. The total net exposure of loans and advances customers decreased to EUR 36.0 billion in 2022 (31 December 2021: EUR 53.2 billion). This was primarily driven by other loans and advances and related to Clearing activities (i.e. posting cash collateral and default fund contributions). The decrease in exposure driven by fair value accounting from hedge accounting was due to the increase in interest rates. Financial assets: offsetting, netting, collateral and guarantees for credit-impaired assets b Collateral and guarantees for credit-impaired assets (stage 3 and POCI) represent credit risk mitigation based on the net collateral value (NCV) for clients in default. The carrying amount includes expected credit loss allowances, based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. The Financial In line with the decrease in the stage 3 carrying amount (including POCI) to EUR 3.9 billion (31 December 2021: EUR 4.8 billion), total risk mitigation decreased to EUR 4.6 billion in 2022 (31 December 2021: EUR 5.4 billion). This decrease was mainly observed in property and equipment and, to a lesser extent, other collateral and guarantees. The decline in property and equipment for corporate loans was partly offset by an increase for residential mortgages due to indexation. As the decrease in the stage 3 portfolio (including POCI) exceeded the decline in total risk mitigation, net exposure decreased by EUR 74 million to EUR 661 million at 31 December 2022. 31 December 2022Offset in the statement Not offset in the statement Net 4of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 123(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralLoans and advances banksResidential mortgages 1,068 1,068 11 1,854 1 1,865 799 2 Consumer loans 151 151 23 71 11 105 32 79 Corporate loans 2,632 2,632 4 608 1,734 324 2,670 617 579 Other loans and advances customers1 1 1 Total loans and advances customers3,852 3,852 4 641 3,659 336 4,640 1,449 661 Total loans and advances 3,852 3,852 4 641 3,659 336 4,640 1,449 661 31 December 2021Loans and advances banksResidential mortgages1,212 1,212 12 1,821 1 1,834 632 11Consumer loans201 201 12 103 3 118 33 11 7Corporate loans3,387 3,387 5 648 2,504 333 3,491 708 603Other loans and advances customers6 6 2 2 4Total loans and advances customers4,806 4,806 5 672 4,428 340 5,445 1,373 735Total loans and advances 4,806 4,806 5 672 4,428 340 5,445 1,373 7351 Carrying amount includes loan impairment allowances where applicable.2 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.3 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.4 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Restructuring & Recovery department identifies the most likely scenarios for non-programme lending defaulted clients (going concern or gone concern) and estimates the amounts and timing of expected future cash flows. This explains why a net exposure remains after collateral pledged to the bank is taken into account. During 2022 ABN AMRO obtained property and equipment by taking possession of collateral held as security for loans and advances. The total amount of such assets held on 31 December 2022 amounted to EUR 4 million (2021: EUR 4 million). ABN AMRO does not intend to use these assets in its operations and will pursue timely and orderly realisation of the collateral. Financial liabilities: offsetting, netting, collateral and guarantees b 31 December 2022Offset in the statement Not offset in the statement Net 3of financial positionof financial positionexposureCarrying Less: amount before balance sheet Master Financial - of which balance-sheet netting with Carrying netting instruments Total risk surplus 12(in millions)nettinggross assetsamountagreementcollateralmitigationcollateralFinancial liabilities held for trading 641 641 641 Derivatives 4,148 4,148 2,480 2,480 1,668 Securities financing 14,839 5,186 9,652 820 13,798 14,618 6,478 1,512 Deposits17,531 32 17,499 688 688 16,811 Other10 10 10 Due to banks 17,541 32 17,509 688 688 16,821 Deposits253,913 1,390 252,523 1,659 1,659 250,864 Other borrowings2,491 2,491 2,367 2,367 124 Due to customers 256,405 1,390 255,015 4,026 4,026 250,989 Other liabilities 5,187 1 5,187 5,187 Total liabilities subject to netting arrangements298,761 6,609 292,152 8,013 13,798 21,812 6,478 276,818 Remaining liabilities not subject to netting64,616 64,616 64,616 Total liabilities 363,376 6,609 356,767 8,013 13,798 21,812 6,478 341,434 1 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.2 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.3 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.31 December 2021Offset in the statement Not offset in the statement Net 3of financial positionof financial positionexposureCarrying Less: balance amount before sheet netting Master Financial - of which balance-sheet with gross Carrying netting instruments Total risk surplus 12(in millions)nettingassetsamountagreementcollateralmitigationcollateralFinancial liabilities held for trading 687 687 687 Derivatives4,344 4,344 3,706 3,706 638 Securities financing 13,015 3,521 9,494 78 11,042 11,120 3,306 1,680 Deposits38,133 67 38,066 507 507 37,558 Other10 10 10 Due to banks 38,143 67 38,076 507 507 37,568 Deposits254,468 3,915 250,553 1,732 1,732 248,821 Other borrowings665 665 484 484 181 Due to customers 255,133 3,915 251,218 2,216 2,216 249,002 Other liabilities 4,758 1 4,757 4,757 Total liabilities subject to netting arrangements316,079 7,504 308,575 6,508 11,042 17,550 3,306 294,332 Remaining liabilities not subject to netting68,538 68,538 68,538 Total liabilities 384,617 7,504 377,114 6,508 11,042 17,550 3,306 362,870 1 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.2 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.3 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Market risk management for the trading book b Positions held with trading intent and hedges for positions held with trading intent must be included in the bank\u2019s trading book. The Central Trading Risk policy describes the positions included in the trading book and the criteria for transferring risk and positions between the trading and banking books. As part of its business strategy, ABN AMRO facilitates client orders, acts as a market maker in key markets and provides liquidity to clients, including institutional investors and private clients. Market risk in the trading book is the risk of losses in market value due to adverse market movements. The following market risks are inherent in the trading book: \u00c5 Interest rate risk, arising from adverse changes in interest rate risk curves and/or interest rate volatilities; \u00c5 Credit spread risk, arising from adverse changes in the term structure of credit spreads and/or from changes in the credit quality of debt securities or CDS reference entities, with an impact on default probabilities; \u00c5 Foreign exchange risk, arising from adverse changes in FX spot and forward rates and/or FX volatility. ABN AMRO has in place a detailed risk management framework to identify, measure and control market risk in the trading book. This risk management framework is in line with the 3LoD model and provides assurance that the bank\u2019s trading activities are consistent with its client-focused business strategy and moderate risk profile. In accordance with the strategy, the Business Risk Committee Trading annually approves trading mandates and limits, which define the nature and number of the permitted transactions and risks, as well as the associated constraints. The limit utilisation is monitored and discussed by the first and second LoD on a daily basis. The Business Risk Committee Trading is a subsidiary committee of the Group Risk Committee. Market risk measurement for the trading book b ABN AMRO measures and manages market risk in the trading book on a daily basis. The key metrics used are economic capital, regulatory capital, Value-at-Risk (VaR), Stressed VaR (SVaR) and Incremental Risk Charge (IRC), together with a wide array of stress and scenario tests, sensitivity measures, concentration limits and notional limits. These metrics are measured and monitored on a daily basis. Appropriate limits are set at bank level in the Risk Appetite Statement and at bank and business-line levels in the limit framework, in line with the general risk principles of the Central Trading Risk policy. Metrics and models are managed, reviewed, assessed and, if required, adjusted in a similar way as in the banking book. Other important tools to ensure the adequacy of the models, alongside the formal validation and review of models, are the daily explanation of risk reporting figures, periodic portfolio reviews and regular back-testing. Validation procedure For all models, including market risk models, we have a model risk policy in place. This policy requires that model assumptions and limitations are documented and independently validated by Model Validation. For material changes, the regulator performs an onsite investigation before such a model change is applied in production. Economic capital The calculation of economic capital for market risk in the trading book is based on the daily Value-at-Risk (VaR), Stressed VaR (SVaR) and Incremental Risk Charge (IRC) at a 99.95% confidence level. In comparison with previous years, Stressed VaR (SVaR) and Incremental Risk Charge (IRC) were added to the calculation of EC to align with the calculation of the regulatory capital. Stress testing and scenario analysis Stress testing and scenario analysis are designed to focus specifically on the impact of tail events occurring outside the VaR confidence interval. We perform daily stress tests for large movements in risk factors. Scenario analyses are also conducted frequently to evaluate the impacts of extreme market events that cover multiple risk factors, and the results of these tests are monitored. These scenarios can be based on historical or hypothetical events, or on a combination of the two. For each risk type, sensitivities are monitored against limits. This includes all risk types mentioned above and the basic risks in the trading portfolio. In addition, the holding period is monitored as a measure of the liquidity of the positions. Internal aggregated diversified and undiversified VaR for all trading positions b 31 December 2022Foreign Interest Total undiversified Diversified 12(in millions) CommoditiesEquityexchangerateVaRVaRVaR at last trading day of the period 0.2 4.1 4.3 4.2 Highest VaR 0.7 7.7 8.0 7.6 Lowest VaR 7.5 0.8 0.8 Average VaR 0.1 2.9 3.0 2.6 31 December 2021VaR at last trading day of the period 0.1 1.0 1.1 0.9 Highest VaR0.3 0.4 0.8 4.9 5.3 4.3 Lowest VaR 0.1 0.7 0.9 0.7 Average VaR 0.1 0.1 2.0 2.3 1.8 1 Commodity trading was discontinued in 2022. Positions throughout the year were very small. The last transaction ended on 31 December 2022. As a result commodity trading will no longer be reported in future annual and interim financial statements.2 Equity trading was discontinued in February 2021 and will no longer be reported in future annual and interim financial statements.ABN AMRO applies a diversified portfolio VaR approach that takes into account the fact that returns across risk factors may offset one another to a certain extent and consequently reduce risk. As long as these returns are not perfectly correlated to one another, VaR figures based on a diversified portfolio approach will be lower than if the figures are calculated using undiversified VaR. Undiversified VaR means that the VaR figures computed for the different risk factors are aggregated without taking into account any offset across risk factors, negating the potential for risk reduction. The following graph shows the total one-day VaR at a 99% confidence level (\u2018VaR diversified\u2019) and aggregation of the stand-alone risk factors (\u2018VaR undiversified\u2019). Market risk management for the banking book bABN AMRO has a detailed risk management framework in place to identify, measure and control market risk in the banking book. This framework provides assurance that the banking book activities remain consistent with the bank\u2019s strategy to pursue a moderate risk profile. The day-to-day management is delegated from the Asset & Liability Committee (ALCO) to the Asset and Liability Management and Treasury department (ALM/Treasury). Their activities include the execution of hedge transactions. ALM/Treasury forms the first line of defence. Market & ALM/T Risk Management acts as the second line of defence. The risk appetite is articulated in terms of net interest income, the economic value of equity and the economic capital for market risk in the banking book, and expresses the maximum loss the bank is willing to accept. The risk appetite is cascaded into a limit framework.Foreign exchange risk bForeign exchange (FX) risk is the risk arising from adverse movements in FX spot and forward rates and/or FX volatility. It is managed within the bank by ALM and Treasury. As a general rule, foreign exchange risk is hedged by using cross-currency swaps to swap the exposure in foreign currency to EUR. If, for operational reasons, it is inefficient to hedge exposures in foreign currencies, an open currency position (OCP) remains. This is measured by the aggregated net position per currency, except for EUR.Economic capitalEconomic capital for market risk in the banking book is calculated using a parametric Monte Carlo simulation model that determines the economic capital needed to absorb losses resulting from adverse movements in interest rates, client behaviour for mortgages and non-maturing deposits, volatility, credit spreads and foreign exchange rates.Market risk in the banking book metricsInterest rate risk(in millions) 31 December 2022 31 December 2021NII impact from an instantaneous increase in interest rates of 100bps280 98NII impact from an instantaneous decrease in interest rates of 100bps-302 -218NII impact from a gradual increase in interest rates of 200bps544 268NII impact from a gradual decrease in interest rates of 200bps-474 -251PV01-4.7 -5.931 December 2022 31 December 2021Total OCP (long, in EUR million)94 428OCP as % total capital0.3% 1.6%Sensitivity to 100 bps increase in largest non-EUR exposure (USD, in EUR million) 0.6 3.2NII-at-Risk is the difference in NII between a base scenario and an alternative scenario observed over a 1-year horizon. In addition to the regulatory prescribed scenarios, the internal metric is defined as the worst outcome of the following scenarios: a gradual increase or decrease in interest rates by 200bps, measured over a 1-year period, and an instantaneous increase or decrease of 100bps. NII-at-Risk includes all expected cash flows, including commercial margins and other spread components, from all interest rate-sensitive assets, liabilities and off-balance sheet items in the banking book. The NII-at-Risk calculation contains assumptions about the future balance sheet, including the reinvestment of maturing positions.On 31 December 2022, the NII-at-Risk was EUR 474 million in absolute terms (31 December 2021: EUR 251 million), reflecting a reduction of NII in the scenario of a gradual decrease of 200bps in interest rates. The most positive NII occurs in the scenario where interest rates rise gradually by 200bps, in which case the NII would be EUR 544 million higher than the base scenario. The increase in NII-at-Risk is mainly attributable to increases in the market rates. Due to interest rate floors applied to certain market and product rates, the effect of a downward rate scenario was previously dampened. With rising rates, the distance towards these floors has increased, resulting in a larger effective shock.The PV01 measures the value change resulting from a 1bp parallel shift in the yield curve. The PV01 exposure in absolute terms decreased by EUR 1.1 million to EUR 4.7 million in 2022. This decrease was the aggregate result of various developments in markets and the balance sheet. These include an increase in interest rates, lower predicted mortgage prepayments and associated hedging transactions.Open currency positionThe OCP is monitored regularly, and limits apply at a local and aggregate level. USD is the largest non-EUR exposure for assets as well as liabilities. The total OCP decreased in 2022 due to FX hedging activity.Risk management approach bThe natural maturity mismatch between our loan book and funding portfolio requires liquidity risk management. We consider maturity transformation to be an integral part of the business model, which is why we closely monitor our liquidity position and the resulting risks. We hold a portfolio of highly liquid assets that can be converted into cash in the event of unforeseen market disruptions, allowing us to meet payment and collateral obligations at all times. Funding and liquidity risk are managed centrally. We incorporate liquidity costs into the pricing of our day-to-day business activities. In managing these risks, a clear distinction is made between going-concern and contingency risk management.Going-concern managementThe most important metrics for going-concern risk management and the management of the day-to-day liquidity position within specified limits are: H Stress testing: in monthly and ad hoc stress tests we evaluate the impact of cash inflows and outflows under plausible stress scenarios. Market-wide as well as bank-specific stress scenarios are defined and analysed. The goal of stress testing is twofold. Firstly, it helps us to review our risk framework, i.e. the liquidity buffer size, risk appetite and risk limits. Secondly, it allows us to identify ways to reduce outflows in times of crisis; H Liquidity Coverage Ratio (LCR): The objective of the LCR is to assess the short-term resilience of the liquidity position by ensuring sufficient high-quality liquid assets to survive a significant stress scenario lasting 30 calendar days; H Survival period: this is the period the liquidity position is expected to remain positive in an internal stress scenario in which wholesale funding markets deteriorate and clients withdraw a material proportion of their deposits; H Net Stable Funding Ratio (NSFR): The objective of this ratio is to assess resilience over a longer time horizon. The NSFR requires banks to hold sufficient stable funding to cover the duration of their long-term assets on an ongoing basis; H Loan-to-Deposit ratio (LtD): The LtD ratio measures the relationship between the loan book (loans and advances customers) and deposits from clients (due to customers), and includes all client-related loans and deposits. The ratio gives an indication of our dependence on wholesale funding for financing client loans.Contingency ris k managementContingency risk management aims to ensure that, in the event of either a bank-specific or general market stress event, the bank is able to generate sufficient liquidity to withstand a short or long-term liquidity crisis. Contingency risk management entails: H Contingency Funding Plan: this plan sets out the guidelines and responsibilities for addressing possible liquidity shortfalls in emergency situations. This only comes into effect if the liquidity position is threatened or if there are strong indications that liquidity stress is imminent. The Contingency Funding Plan is aligned with the Recovery Plan, as required by the regulators. It enables us to manage our liquidity without unnecessarily jeopardising commercial activities, while limiting excessive funding costs in severe market circumstances; H Collateral posting in the event of a rating downgrade: if our credit rating is downgraded, collateral requirements may increase. We monitor these potential additional collateral postings in the liquidity risk management framework; H Liquidity buffer: Group Treasury manages our liquidity buffer, of which the liquidity portfolio comprises a substantial part. At all times, this portfolio should be highly liquid to accommodate liquidity outflows during stress. The buffer consists of unencumbered, high-quality liquid assets, including government bonds, retained securities (RMBS and covered bonds) and cash.Loan-to-Deposit ratio bLoans and advances customers decreased to EUR 243.9 billion at 31 December 2022 (31 December 2021: EUR 258.3 billion). Underlying, the loan book increased in most segments. However, this was more than offset by a decrease in other clients loans within Clearing and fair value adjustments related to hedge accounting. Due to customers increased to EUR 255.0 billion at 31 December 2022 (31 December 2021: EUR 251.2 billion). The Loan-to-Deposit (LtD) ratio decreased to 96% at 31 December 2022 (31 December 2021: 103%) reflecting the continued increased trend in client savings over the years, outpacing the growth in the client loan book. Liquidity buffer composition b31 December 2022 31 December 2021Liquidity buffer LCR eligible Liquidity buffer LCR eligible(in billions)Level 1 Level 2 Level 1 Level 21Cash & central bank deposits58.6 58.6 64.3 64.3Government bonds27.3 25.1 2.4 27.5 31.9 1.1- of which ESG bonds 0.8 0.8 1.0 1. 0Supra national & Agency bonds9.1 9.5 6.8 7. 4- of which ESG bonds 2.3 2.4 1.3 1. 3Covered bonds2.9 2.5 0.2 2.8 2.6- of which ESG bonds 0.2 0.1 0.2 0.1Retained RMBS and Covered bonds5.5Other0.1 0.1 0.1 0.1Total liquidity buffer 103.6 95.7 2.7 101.5 106.3 1.2- of which in EUR 89.5% 89.6%- of which in other currencies 10.5% 10.4%1 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.Liquidity buffer currency diversification b(in billions, liquidity value)31 December 2022 31 December 2021EUR92.7 91.0USD8.2 8.5JPY2.5 1.0GBP0.2 0.3Other0.8Total 103.6 101.5The liquidity buffer consists largely of cash and deposits at central banks, government bonds and securities. Most of the securities in the liquidity buffer, with the exception of retained covered bonds, qualify for the LCR. The liquidity buffer faces haircuts based on the market value. These haircuts are used to determine the liquidity value. Haircuts may vary between the liquidity buffer and the LCR eligible buffer as the internal assessment of the liquidity buffer may deviate from the LCR definition.ABN AMRO wants to increase the green, social and sustainable investments in its liquidity portfolio up to EUR 3.5 billion by the end of 2023. This represents an update to the previous statement made in 2020, in which we focused on green bonds only. Targeted investments The table above shows the breakdown per currency in the liquidity buffer. The currency composition reflects the composition of the balance sheet, which mainly consists of EUR and USD exposures. The monthly averages of the liquidity buffer are shown in the following table.are bonds whose proceeds are invested in a sustainability instrument in line with the Green Bond Principles, the Social Bond Principles or a combination of the two. Inclusion of such bonds in the liquidity portfolio is subject to availability of ESG Reporting, a thorough project selection process and sound management of proceeds. To preserve the portfolios high quality and liquidity, these bonds must also meet the high quality liquid assets (HQLA) criteria of the European Banking Authority (EBA). By actively investing in the euro-denominated ESG bond market, ABN AMRO aims to support the growth of this market. The amounts of ESG bonds held in the liquidity portfolio are reported semi-annually. ABN AMRO\u2019s current ESG bond holdings amount to EUR 3.2 billion.Liquidity buffer composition - monthly average b(in billions, liquidity value) 2022 20211Cash & central bank deposits67.6 64.6Government bonds20.2 29.1Supra national & Agency bonds6.5 6.7Covered bonds2.5 3.0Retained RMBS and Covered bonds0.5 0.7Other0.3 0.4Total 97.5 104.51 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.Liability and equity breakdownAudited(in billions)251.2255.025020015010067.263.55038.117.522.022.89.59.711.111.0Client deposits Issued debt & Due to banks Securities financing Equity OtherSubordinated liabilities31 December 202231 December 2021The graph below shows the breakdown of client deposits by segment.Breakdown of client depositsAudited(in billions)150122.9125117.31007563.364.764.460.650256.27.0Personal & Business Banking Wealth Management Corporate Banking Group Functions depositsdepositsdepositsdeposits31 December 202231 December 2021Available funding instruments bA key goal of the funding strategy is to diversify funding sources. Our funding programmes allow us to issue various instruments in different currencies and markets, enabling FundingLiability and equity breakdown bClient deposits are our main source of funding, complemented by a well-diversified book of wholesale us to diversify our investor base. The following table shows a breakdown of total funding instruments.funding. The graph below shows the liability and equity breakdown for the full balance sheet. The increase in client deposits reflects a continued increased trend in client savings.Overview of funding types b(in millions) 31 December 2022 31 December 2021Commercial Paper/Certificates of Deposit 14,723 9,177Covered bonds23,781 31,338Secured funding (long-term) 23,781 31,3381Senior preferred (medium-term notes)8,219 13,209- of which ESG bonds 1,385 1,995Senior non-preferred9,536 5,964- of which ESG bonds 4,181 1,853Unsecured funding (long-term) 17,755 19,172Total issued debt 56,259 59,688Subordinated liabilities7,290 7,549Wholesale funding 63,550 67,2362Other long-term funding14,274 35,2213Total funding instruments77,823 102,457- of which matures within one year 32,420 18,4191 Includes Senior preferred instruments only.2 Includes TLTRO funding (recorded in due to banks) and funding with the Dutch State as counterparty (recorded in due to customers).3 Includes FX effects, fair value adjustments and interest movements.Total funding instruments decreased to EUR 77.8 billion at 31 December 2022 (31 December 2021: EUR 102.5 billion), mainly driven by the partial repayment of TLTRO III. Total issued debt decreased to EUR 56.3 billion at 31 December 2022 (31 December 2021: EUR 59.7 billion). The decrease reflects a decline in covered bonds. This was driven by a decline in market value and senior preferred funding, driven primarily by redemptions. This was partly offset by an increase in senior non-preferred funding. Subordinated liabilities decreased to EUR 7.3 billion at 31 December 2022 due to fair value adjustments (31 December 2021: EUR 7.5 billion). Senior non-preferred funding was issued in order to meet increasing MREL requirements from RWA increases. Other long-term funding decreased to EUR 14.3 billion at 31 December 2022 due to a repayment of EUR 21.0 billion of TLTRO III (31 December 2021: EUR 35.2 billion). Total green bonds outstanding increased to EUR 5.6 billion at 31 December 2022, which is 10% of total issued debt (31 December 2021: EUR 3.8 billion). In order to keep investors updated, our Green Bonds Framework determines a set of criteria applicable to issues of green bonds, including how we allocate the issue proceeds from green bonds to eligible assets, the evaluation and selection of eligible assets, independent assurance on the allocation of proceeds to eligible green assets, and the external reporting requirements. Green bonds have been issued since 2015, with a focus on sustainable real estate and renewable energy. These bonds enable investors to invest in, for example, energy efficiency through residential mortgages, loans for solar panels on existing homes, sustainable commercial real estate and wind energy. The allocation of green proceeds at 31 December 2022 is published on the ABN AMRO website.Maturity calendar b31 December 2022(notional amounts, in billions) 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 \u2265 2033 TotalCovered bonds 2.0 1.8 0.5 1.6 0.6 0.7 0.4 1. 9 3.1 2.2 13.4 28.2Senior preferred 2.4 1.8 3.0 0.8 0.2 0.1 0.1 0.2 0.1 8.6Senior non-preferred 1.3 0.7 2.0 0.9 1.0 1. 3 0.8 3.1 10.9Subordinated liabilities 2.5 1. 4 0.9 1.5 1.2 7. 61Other long-term funding11. 0 3.0 0.3 0.2 14.5Total long-term funding 1 7. 9 6.6 6.1 4.4 4.5 1.6 1.4 3.2 4.5 3.0 16.6 69.831 December 20212022 2023 2024 2025 2026 2027 2028 2029 2030 2031 \u2265 2032 TotalTotal long-term funding 8.9 38.8 6.6 6.1 4.3 2.2 1.6 1.4 2.0 4.4 15.1 91.41 Other long-term funding includes Targeted Longer-Term Refinancing Operations (TLTRO) III and funding with the Dutch State as counterparty.Funding issuance in 2022 bTotal long-term funding raised in 2022 amounted to EUR 8.0 billion. This included EUR 1.6 billion of covered bonds, EUR 1.5 billion of subordinated liabilities and EUR 4.8 billion of senior non-preferred funding. The total TLTRO III participation at 31 December 2022 was EUR 14.0 billion. Capital instruments are excluded in the long-term funding overview and included in the capital section, which provides a complete overview of all outstanding capital instruments.Long-term funding raised in 2022 and 2021Audited(notional amounts at issuance, in billions)15129.098.00.13.11.560.91.61.534.83.5020212022Senior non-preferredCovered bonds1Subordinated liabilities Other long-term funding1 The issuance of the EUR 1.0 billion of additional Tier 1 capital instrument is excluded from the graph above. An overview of the Capital instruments is provided in the Capital section.Long-term wholesale funding in non-euro currencies declined to 15.7% of total outstanding long-term wholesale funding, compared with 18.3% at 31 December 2021. In 2022, the bank raised its long-term wholesale funding in euros and dollars. The diversification of the outstanding long-term funding in non-euro currencies is shown in the following graph.Non-euro currency diversificationof total outstanding long-term fundingAudited(in billions)151210.20.58.791.30.80.80.60.767.76.7320212022USD CHF GBP OtherMaturity calendar bWe target a maturity profile where redemptions of funding instruments are well spread over time. The average remaining maturity of newly issued wholesale funding decreased to 9.4 years at year-end 2022 (11.2 years at year-end 2021), not taking into account other long-term funding. The average remaining maturity of outstanding long-term funding increased to 5.7 years at year-end 2022 (up from 4.2 years at year-end 2021). The maturity calendar assumes redemption on the earliest possible call date or the legal maturity date, which does not mean that the instruments will be called at the earliest possible call date. Early redemption of subordinated instruments is subject to approval by the regulator.Capital structureRegulatory capital structure b(in millions) 31 December 2022 31 December 2021Total equity (EU IFRS) 22,814 21,999Cash flow hedge reserve946 1,540Dividend reserve-601 -573AT1 capital securities (EU IFRS)-1,985 -1,987Share buyback reserve-500 -500Regulatory and other adjustments-1,167 -1,273Common Equity Tier 1 19,507 19,206AT1 capital securities (EU IFRS)1,985 1,987Regulatory and other adjustments-3 -5Tier 1 capital21,489 21,188Subordinated liabilities (EU IFRS)7,290 7,549Regulatory and other adjustments-1,842 -2,413Tier 2 capital5,449 5,136Total regulatory capital 26,938 26,324Regulatory capital flow statement b(in millions)2022 2021Common Equity Tier 1 capitalBalance at 1 January19,206 19,548Addition of net profit attributable to owners of the parent company1,868 1,231Reserved dividend-601 -573Interim dividend paid-287Other, including regulatory adjustments-678 -999Balance at 31 December 19,507 19,206Additional Tier 1 capitalBalance at 1 January1,982 1,982Newly issued Tier 1 eligible capital instrumentsRedeemed Tier 1 eligible capital instrumentsBalance at 31 December1,982 1,982Tier 1 capital 21,489 21,188Tier 2 capitalBalance at 1 January5,136 4,664New issued Tier 2 eligible capital instruments1,524 879Redeemed Tier 2 ineligible capital instruments-996 -278Other, including regulatory adjustments-216 -129Balance at 31 December 5,449 5,136Total regulatory capital 26,938 26,324RWA b(in millions) 31 December 2022 31 December 2021Credit risk110,621 99,976- of which standardised 10,203 9,946- of which advanced 100,418 90,030Operational risk 15,967 16,049- of which standardised 533 604- of which advanced 15,434 15,444Market risk 2,005 1,668- of which standardised 2 6- of which advanced 2,003 1,662Total RWA 128,593 117,693Capital instruments b31 December 2022 31 December 2021First possible Nominal Carrying Nominal Carrying (in millions) ISIN/CUSIP Maturity datecall dateamountamountamountamount1Tier 1EUR 1,000 million 4.375% per annumXS2131567138 Perpetual September 2025 1,000 991 1,000 993EUR 1,000 million 4.75% per annumXS1693822634 Perpetual September 2027 1,000 994 1,000 994Total Tier 1 capital instruments 2,000 1,985 2,000 1,987Tier 2USD 113 million 7.75% per annumUS00080QAD79 / USN0028HAP03 May 2023 106 103 100 101USD 1,500 million 4.75% per annumUS00080QAF28 / XS1264600310 July 2025 1,405 1,360 1,324 1,402USD 1,000 million 4.8% per annumUS0008DAL47 / XS1392917784 April 2026 937 868 883 901EUR 1,000 million 2.875% per annumXS1346254573 January 2028 January 2023 1,000 1,027 1,000 1,035USD 1,500 million 4.4% per annumXS1586330604 March 2028 March 20231,405 1,392 1,324 1,358USD 300 million 5.6% per annumXS1385037558 April 2031 281 249 265 279SGD 750 million 5.5% per annumXS2498035455 October 2032 July 2027 524 520EUR 1,000 million 5.125% per annumXS2558022591 February 2033 November 2027 1,000 979USD 1,000 million 3.324% per annumXS2415308761 / US00084DAV29 March 2037 December 2031 937 778 883 876EUR various smaller instruments2023 -2025 14 14 14 15USD 595 million 6.250% per annumXS0619547838 April 2022 525 537EUR 1,000 million 7.125% per annumXS0802995166 July 2022 1,000 1,045Total Tier 2 capital instruments 7,609 7,290 7,317 7,549- of which eligible for regulatory capital:Basel III, Tier 1 (fully-loaded)2,000 2,000Basel III, Tier 2 (fully-loaded) 5,449 5,1361 AT1 capital securities. For both AT1 instruments, the CET1 Trigger levels are 7.0% for ABN AMRO Bank level, and 5.125% for ABN AMRO Bank solo level. The amount of available distributable items for ABN AMRO Bank N.V. per 31 December 2022 totals EUR 19.8 billion (31 December 2021: EUR 18.7 billion).Movements in subordinated liabilities b2022 2021(in millions) Carrying amount Carrying amountBalance as at 1 January 7,549 8,069Cash flowsIssuance1,540 910Redemption-1,602 -1,514Non-cash changesForeign exchange differences360 367Other-556 -283Balance as at 31 December 7,290 7,549Minimum capital requirementsThe Pillar 1 capital requirement is the absolute minimum amount of capital required to cover the three major types of risk a bank faces: credit risk, operational risk and market risk, as determined in the Capital Requirements Directive (CRD) IV Pillar 1 framework. The following table provides an overview of RWA and minimum capital requirements per risk type, category of exposure and regulatory approach.Minimum capital requirements31 December 2022 31 December 2021(in millions) Capital requirement RWA Capital requirement RWACredit risk IRBCentral governments and central banks67 8401Institutions148 1,847 127 1,589Corporates4,280 53,501 4,177 52,211Retail1,351 16,891 1,326 16,574- of which secured by immovable property 1,235 15,431 1,188 14,847- of which qualifying revolving exposures 11 136 11 140- of which other retail 106 1,323 127 1,588Equities not held for trading247 3,091 269 3,364Securitisation positions20 253 9 116Credit valuation adjustment2Other1,987 24,835 1,227 15,336Total credit risk IRB 8,033 100,418 7,202 90,030Credit risk SACentral governments and central banks41 515 21Institutions75 939 100 1,248Corporates468 5,854 451 5,636Retail182 2,272 200 2,495Secured by mortgages on immovable property12 152 12 145Exposures in default13 158 14 173Credit valuation adjustment22 274 16 2022Other3 39 4 46Total credit risk SA 816 10,203 796 9,946Other risksMarket risk160 2,005 133 1,668- of which Standardised Approach 2 1 6- of which Internal Model Approach 160 2,003 133 1,662Operational risk1,277 15,967 1,284 16,0493- of which Standardised Approach43 533 48 604- of which Advanced Measurement Approach 1,235 15,434 1,236 15,444Total other risks 1,438 17,973 1,417 17,717Total 10,287 128,593 9,415 117,6931 Institutions include exposures to banks and investment companies, regional and local governments and pension funds.2 Other includes non-credit obligations.3 Including Basic Indicator Approach.Additional information on exposure flows Gross carrying amount of residential mortgages b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 137,063 8,025 1,264 146,351 135,407 9,141 1,124 145,672 Transfer to stage 13,838 -3,823 -15 3,383 -3,362 -20 Transfer to stage 2-6,587 7,023 -436 -4,285 4,639 -355 Transfer to stage 3-257 -338 595 -293 -492 785 Additional drawdowns and partial repayments-14,064 -1,509 -232 -15,805 -6,011 1 1 -6,010 Originated or purchased22,879 22,879 22,178 22,178 Matured or repaid-2,421 -208 -31 -2,660 -13,317 -1,903 -265 -15,484 Write-offs-3 -3 -6 -6 Foreign exchange1 1 1 Balance at 31 December 140,450 9,169 1,143 150,762 137,063 8,025 1,264 146,351 1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI. Gross carrying amount of consumer loans b 2022 202111(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 9,348 1,037 409 10,794 9,707 1,068 456 11,232 Transfer to stage 1443 -433 -11 219 -205 -15 Transfer to stage 2-343 360 -17 -455 458 -3 Transfer to stage 3-50 -58 108 -53 -28 80 Additional drawdowns and partial repayments-340 -24 -11 -375 -1,203 -16 19 -1,201 Originated or purchased1,911 1,911 2,538 2,538 Matured or repaid-1,852 -134 -51 -2,037 -1,403 -250 -57 -1,710 Write-offs-65 -65 -69 -69 Foreign exchange3 4 4 1 5 Other movements -7 9 -2 Balance at 31 December 9,121 749 363 10,232 9,348 1,037 409 10,794 1 Including POCI.Gross carrying amount of corporate loans b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3Total3Balance at 1 January69,364 12,075 5,019 86,458 64,517 15,356 6,873 86,745 Transfer to stage 13,472 -3,388 -84 2,002 -1,947 -55 Transfer to stage 2-7,040 7,631 -591 -3,102 3,293 -191 Transfer to stage 3-557 -536 1,093 -540 -909 1,449 Additional drawdowns and partial repayments-3,391 1,449 175 -1,767 -19,948 1,047 11 -18,889 Originated or purchased23,683 23,683 46,463 46,463 Matured or repaid-16,920 -3,381 -1,431 -21,732 -21,258 -4,992 -2,216 -28,466 Write-offs-555 -556 -11 -19 -1,012 -1,042 Foreign exchange577 43 37 657 1,357 280 159 1,795 Other movements-84 71 1 -13 -116 -33 1 -149 Balance at 31 December 69,103 13,963 3,666 86,731 69,364 12,075 5,019 86,458 1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI. Gross carrying amount of off-balance b 2022 202111(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 50,199 6,019 1,271 57,488 51,194 6,183 1,275 58,653 Transfer to stage 11,960 -1,923 -37 995 -968 -27 Transfer to stage 2-2,801 2,958 -157 -1,352 1,430 -79 Transfer to stage 3-81 -82 164 -26 -261 287 Additional drawdowns and partial repayments-9,513 -668 -547 -10,728 -6,593 -248 - 111 -6,952 Originated or purchased10,701 10,701 8,251 8,251 Matured or repaid-549 -138 -687 -3,122 -182 -99 -3,403 Write-offsForeign exchange271 42 7 320 854 65 23 942 Other movements -3 -3 Balance at 31 December 50,187 6,209 700 57,095 50,199 6,019 1,271 57,488 1 Including POCI.Loan impairment charges and allowances \u2013 residential mortgages b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 8 22 52 82 14 44 58 116 Transfer to stage 16 -8 -1 -3 12 -15 -3 -6 Transfer to stage 2-2 20 -14 4 -1 15 -14 Transfer to stage 3-1 -2 21 17 -1 -5 27 21 1)Remeasurements-12 5 16 9 -10 15 5 Changes in models-1 -1 Changes in risk parameters17 28 12 57 -8 -11 -12 -31 Originated or purchased7 7 4 4 Matured or repaid-1 -7 -10 -18 -1 -6 -13 -19 Impairment charges (releases) on loans and advances13 35 25 73 -6 -21 -1 -28 Write-offs-3 -3 -6 -6 Unwind discount / unearned interest accrued1 1 1 1 Foreign exchange and other movements -1 Balance at 31 December 21 57 75 153 8 22 52 82 Impairment charges (releases) on loans and advances13 35 25 73 -6 -21 -1 -28 Recoveries and other charges (releases) -17 -17 -18 -18 Total impairment charges for the period 13 35 8 56 -6 -21 -19 -46 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loans b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 23 45 208 276 38 41 215 294 Transfer to stage 113 -17 -5 -9 9 -12 -3 -7 Transfer to stage 2-2 11 -9 -8 25 -19 -3 Transfer to stage 3-5 42 37 -2 -8 61 51 1Remeasurements-9 -1 37 27 -7 13 33 39 Changes in models-4 5 1 Changes in risk parameters3 3 6 12 -3 -2 -6 -12 Originated or purchased4 4 5 5 Matured or repaid-2 -1 -9 -12 -4 -2 -21 -27 Impairment charges (releases) on loans and advances7 -10 61 59 -11 8 50 47 Write-offs-65 -65 -69 -69 Unwind discount / unearned interest accrued5 5 4 4 Foreign exchange and other movements 2 3 -4 -3 8 Balance at 31 December 30 36 211 277 23 45 208 276 Impairment charges (releases) on loans and advances7 -10 61 59 -11 8 50 47 Recoveries and other charges (releases) -45 -45 -44 -44 Total impairment charges for the period 7 -10 16 14 -11 8 6 3 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 130 291 1,632 2,053 243 316 2,494 3,053 Transfer to stage 138 -49 -10 -21 19 -36 -5 -21 Transfer to stage 2-27 123 -84 11 -26 73 -16 31 Transfer to stage 3-15 -34 147 98 -9 -24 140 107 1)Remeasurements74 18 -156 -64 -101 27 500 425 Changes in models-1 -6 -8 -15 Changes in risk parameters24 25 12 61 -19 -22 -13 -54 Originated or purchased44 44 46 46 Matured or repaid-10 -18 -60 -88 -14 -10 -539 -563 Impairment charges (releases) on loans and advances127 65 -152 41 -104 2 59 -44 Write-offs-555 -556 -11 -19 -1,012 -1,042 Unwind discount / unearned interest accrued25 25 16 16 Foreign exchange and other movements-1 -55 82 27 2 -7 74 69 Balance at 31 December 256 301 1,033 1,590 130 291 1,632 2,053 Impairment charges (releases) on loans and advances127 65 -152 41 -104 2 59 -44 Recoveries and other charges (releases) -42 -42 -79 -79 Total impairment charges for the period 127 65 -194 -1 -104 2 -21 -124 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 17 20 116 153 16 10 21 48 Transfer to stage 16 -8 -2 1 -3 -1 Transfer to stage 2-2 5 4 -2 9 7 Transfer to stage 3-1 1 1Remeasurements-4 -115 -120 7 94 101 Changes in risk parameters1 1 2 Originated or purchased12 12 6 6 Matured or repaid-4 -3 -7 -5 -3 -11 -18 Impairment charges (releases) 9 -4 -114 -110 1 10 83 94 Write-offs-1 -2 -3 Foreign exchange and other movements 8 8 14 14 Balance at 31 December 25 16 10 51 17 20 116 153 Impairment charges (releases) on off-balance9 -4 -114 -110 1 10 83 94 2Other charges (releases) 82 82 22 22 Total impairment charges for the period 9 -4 -32 -28 1 10 105 116 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 These charges (releases) relate to the off-balance sheet items that do not fall within the scope of IFRS 9 and for which stage information is not applicable.3 Including POCI.Forbearance credit quality b 31 December 2022Forborne assets Forborne Total not past due and assets past due, Impaired forborne not stage 3 but not stage 3 forborne Specific Collective Total (in millions)assetsor POCIor POCIassetsallowanceallowanceallowanceLoans and advances banksResidential mortgages1,072 622 69 382 34 34 Consumer loans181 87 5 88 4 54 58 1Corporate loans5,655 3,129 88 2,439 515 154 669 1Other loans and advances customers1Total loans and advances customers6,909 3,838 162 2,909 519 242 760 1Total loans and advances6,909 3,838 162 2,909 519 242 760 1 Excluding loans at fair value through P&L.31 December 2021Forborne assets Forborne Total not past due assets past due, Impaired forborne and not stage 3 but not stage 3 forborne Specific Collective Total (in millions)assetsor POCIor POCIassetsallowanceallowanceallowanceLoans and advances banksResidential mortgages3,080 2,524 93 464 29 29 Consumer loans235 109 8 11 8 4 80 85 1Corporate loans7,870 4,582 13 3,276 724 186 910 1Other loans and advances customers1Total loans and advances customers11,186 7,215 114 3,857 729 295 1,024 1Total loans and advances11,186 7,215 114 3,857 729 295 1,024 1 Excluding loans at fair value through P&L.Forborne assets by geography b 31 December 2022The Rest of Rest of (in millions)NetherlandsEurope USA Asiathe world TotalLoans and advances banksResidential mortgages1,064 8 1,072 Consumer loans147 34 181 1Corporate loans4,513 930 78 2 132 5,655 1Other loans and advances customers1Total loans and advances customers5,725 972 78 3 132 6,909 1Total loans and advances5,725 972 78 3 132 6,909 1 Excluding loans at fair value through P&L.31 December 2021The Rest of Rest of (in millions)NetherlandsEurope USA Asiathe world TotalLoans and advances banksResidential mortgages3,073 7 1 3,080 Consumer loans213 21 1 235 1Corporate loans6,186 1,265 106 3 310 7,870 1Other loans and advances customers1Total loans and advances customers9,473 1,293 106 3 311 11,186 1Total loans and advances9,473 1,293 106 3 311 11,186 1 Excluding loans at fair value through P&L.Forborne assets by business segment b (in millions) 31 December 2022 31 December 2021Personal & Business Banking2,358 8,672 Wealth Management243 229 Corporate Banking4,307 2,285 Total forborne assets 6,909 11,186 Maturity overview of assets and liabilities b The following table shows financial assets and liabilities arranged by the earliest possible contractual maturity. Contractual maturity of assets and liabilities b 31 December 2022Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets Cash and balances at central banks60,865 60,865 Financial assets held for trading28 32 90 49 64 56 251 337 907 Derivatives1 4,831 6 36 14 32 292 5,212 Financial investments594 1,204 1,232 3,024 3,903 5,367 12,437 10,647 626 39,034 Securities financing548 15,293 3,146 1,045 20,032 Loans and advances banks1,296 864 78 31 714 2,982 Loans and advances customers17,949 7,258 5,659 3,694 8,851 14,580 32,588 153,348 243,927 Other assets2,688 2,107 1,242 94 30 386 73 6,622 Total assets 83,968 4,831 26,765 11,369 7,907 12,884 20,096 45,725 165,411 626 379,581 Liabilities Financial liabilities held for trading2 92 1 55 7 23 209 252 641 Derivatives1 3,671 24 1 2 19 22 63 346 4,148 Securities financing419 9,034 200 9,652 Due to banks1,568 912 235 11,327 130 3,070 11 5 152 17,509 Due to customers223,772 15,755 3,747 1,657 1,670 422 1,484 6,507 255,015 Issued debt 3,665 10,261 1,052 4,074 3,585 9,913 23,709 56,259 - of which senior secured 20 154 1,779 1,816 2,618 17,393 23,781 - of which senior unsecured 26 81 2,270 1,768 7,295 6,315 17,755 - of which other 3,639 10,160 898 25 14,723 Subordinated liabilities 1,027 1,401 103 3,731 1,028 7,290 Other liabilities2,810 2,620 430 27 18 330 18 6,253 Total liabilities 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 356,767 Total equity 22,814 22,814 Total liabilities and equity 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 22,814 379,581 Off-balance sheet liabilities Committed credit facilities53,873 53,873 Guarantees and other commitments7,651 7,651 Total off-balance sheet liabilities 61,524 61,524 31 December 2021Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets Cash and balances at central banks66,865 66,865 Financial assets held for trading7 12 81 69 315 50 238 381 1,155 Derivatives 2,975 9 12 22 64 703 3,785 Financial investments1,353 975 1,989 1,185 5,066 6,083 14,131 11,801 580 43,165 Securities financing716 13,142 2,192 88 16,138 Loans and advances banks912 334 375 258 124 72 726 2,801 Loans and advances customers26,837 6,483 5,732 2,630 8,360 14,282 32,176 161,750 258,251 Other assets4,772 1,699 353 11 3 16 1 6,955 Total assets 101,462 2,975 22,647 10,348 4,471 14,028 20,561 46,681 175,362 580 399,113 LiabilitiesFinancial liabilities held for trading 24 1 13 61 178 409 687 Derivatives6 3,545 9 36 8 29 73 168 470 4,344 Securities financing498 8,394 603 9,494 Due to banks1,049 1,403 107 312 14 31,889 2,910 392 38,076 Due to customers232,973 8,594 1,562 503 253 311 1,300 5,723 251,218 Issued debt51 6,081 5,410 2,187 2,550 4,420 11,684 27,306 59,688 - of which senior secured 54 1,045 105 1,633 1,963 4,126 22,413 31,338 - of which senior unsecured - 3 25 1,985 1,433 826 2,456 7,557 4,893 19,172 - of which other 5,011 3,320 753 92 9,177 Subordinated liabilities 537 1,045 11 2 2,308 3,547 7,549 Other liabilities2,730 2,462 386 92 20 334 21 14 6,059 Total liabilities237,306 3,545 26,943 8,128 3,638 3,925 37,199 18,568 37,862 377,114 Total equity 21,999 21,999 Total liabilities and equity 237,306 3,545 26,943 8,128 3,638 3,925 37,199 18,568 37,862 21,999 399,113 Off-balance sheet liabilities Committed credit facilities54,642 54,642 Guarantees and other commitments7,598 7,598 Total off-balance sheet liabilities 62,240 62,240 Maturity based on contractual undiscounted cash flows b The following tables show financial assets and liabilities arranged by the earliest possible contractual maturity. 31 December 2022Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets: Cash and balances at central banks60,865 60,865 Financial assets held for trading28 32 91 51 68 64 262 347 944 Derivatives1 4,831 28 84 210 404 670 1,434 1,663 9,325 Financial investments594 1,224 1,309 3,203 4,197 5,812 13,001 11,127 626 41,092 Securities financing548 15,305 3,155 1,049 20,056 Loans and advances banks1,296 868 9 22 41 150 191 877 3,453 Loans and advances customers17,949 7,492 6,558 5,879 12,829 21,534 46,385 166,989 285,614 Other assets2,688 2,108 1,242 95 31 2 388 74 6,627 Total undiscounted assets 83,968 4,831 27,057 12,448 10,508 17,571 28,231 61,660 181,077 626 427,978 Of which: Gross settled derivatives not held for trading:Contractual amounts receivable 17 42 31 87 142 411 282 1,012 Contractual amounts payable 10 17 34 66 127 354 230 837 Total undiscounted gross settled derivatives not held for trading 7 25 -3 21 15 57 52 175 Net settled derivatives not held for trading 52 160 80 392 940 2,529 4,247 8,401 Liabilities: Financial liabilities held for trading2 92 1 57 11 29 219 261 674 Derivatives1 3,671 60 135 337 633 1,120 2,292 2,596 10,844 Securities financing419 9,038 200 9,657 Due to banks1,568 911 230 11,320 125 3,068 11 3 151 17,488 Due to customers223,772 15,757 3,752 1,666 1,684 446 1,531 6,553 255,161 Issued debt 3,707 10,407 1,358 4,603 4,474 11,468 25,183 61,198 Subordinated liabilities 1,041 1,449 200 181 343 4,007 1,202 8,424 Other liabilities2,810 2,616 427 23 11 329 17 6,234 Total liabilities 228,572 3,671 33,223 16,602 14,961 7,249 9,809 19,647 35,946 369,681 - of which: Gross settled derivatives not held for trading:Contractual amounts receivable 677 247 53 82 29 7 1,096 Contractual amounts payable 165 133 69 110 64 16 558 Total undiscounted gross settled derivatives not held for trading -512 -114 16 28 36 9 -537 Net settled derivatives not held for trading 54 120 273 480 271 213 809 2,222 Net liquidity gap-144,604 1,161 -6,165 -4,154 -4,453 10,321 18,422 42,013 145,131 626 58,297 Off-balance sheet liabilities Committed credit facilities53,873 53,873 Guarantees and other commitments7,651 7,651 Total off-balance sheet liabilities 61,524 61,524 31 December 2021Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets Cash and balances at central banks66,865 66,865 Financial assets held for trading7 13 83 72 320 57 249 391 1,191 Derivatives2,975 64 258 649 1,207 2,221 4,825 5,376 17,575 Financial investments1,353 995 2,066 1,367 5,370 6,540 14,706 12,288 580 45,266 Securities financing716 13,145 2,193 88 16,142 Loans and advances banks912 330 -13 347 220 63 -57 595 2,397 Loans and advances customers26,837 6,726 6,670 4,915 12,542 21,631 46,892 176,333 302,544 Other assets4,772 1,700 353 113 16 1 6,955 Total undiscounted assets 101,462 2,975 22,972 11,610 7,552 19,675 30,513 66,614 194,984 580 458,936 Of which: Gross settled derivatives not held for trading:Contractual amounts receivable 11 3 36 7 2 2 6 6 172 Contractual amounts payable 45 5 6 9 8 9 13 95 Total undiscounted gross settled derivatives not held for trading 68 31 2 -8 -6 -3 -7 77 Net settled derivatives not held for trading 201 4 53 69 202 384 1,088 2,002 Liabilities Financial liabilities held for trading 1 25 3 18 69 192 422 731 Derivatives6 3,545 50 200 401 750 1,297 2,382 2,607 11,238 Securities financing498 8,394 603 9,494 Due to banks1,049 1,395 76 236 -130 31,850 2,894 385 37,754 Due to customers232,973 8,595 1,563 506 260 322 1,323 5,746 251,288 Issued debt51 6,116 5,535 2,469 3,051 5,267 13,157 28,704 64,350 Subordinated liabilities 16 64 692 1,295 561 3,011 4,188 9,827 Other liabilities2,730 2,459 384 89 15 333 20 13 6,042 Total liabilities 237,306 3,545 27,027 8,451 4,396 5,259 39,698 22,977 42,066 390,725 - of which: Gross settled derivatives not held for trading:Contractual amounts receivable 45 13 10 20 37 96 11 6 339 Contractual amounts payable 14 5 18 39 35 42 50 203 Total undiscounted gross settled derivatives not held for trading -32 -8 8 19 -2 -54 -66 -135 Net settled derivatives not held for trading 55 131 151 321 601 1,474 1,998 4,732 Net liquidity gap -135,844 -569 -4,055 3,159 3,156 14,416 -9,186 43,637 152,918 580 68,211 Off-balance sheet liabilities Committed credit facilities54,642 54,642 Guarantees and other commitments7,598 7,598 Total off-balance sheet liabilities 62,240 62,240 Expected maturity based on behavioural models b The following table provides an overview of the amounts expected to be settled within twelve months and after twelve months, based on the behavioural maturity profile. 31 December 2022 31 December 2021Up to More than Up to More than (in millions)one yearone year Totalone yearone year TotalAssets Cash and balances at central banks60,865 60,865 66,865 66,865 Financial assets held for trading907 907 1,155 1,155 Derivatives4,831 381 5,212 2,975 810 3,785 Financial investments9,848 29,186 39,034 10,596 32,568 43,165 Securities financing19,117 916 20,032 15,827 311 16,138 Loans and advances banks1,732 1,250 2,982 1,766 1,034 2,801 Residential mortgages14,377 126,744 141,121 14,385 133,326 147,711 Consumer loans2,305 7,650 9,955 3,279 7,240 10,518 Corporate loans at amortised cost36,896 48,398 85,295 36,117 48,797 84,915 Corporate loans at fair value through P&L28 37 66 42 57 99 Other loans and advances customers6,789 703 7,491 13,331 1,677 15,008 Equity-accounted investments 474 474 564 564 Property and equipment673 315 988 545 627 1,172 Goodwill and other intangible assets108 108 25 102 127 Assets held for sale13 13 89 89 Tax assets565 565 739 739 Other assets323 4,150 4,473 1,306 2,957 4,263 Total assets 159,377 220,204 379,581 169,044 230,069 399,113 Liabilities Financial liabilities held for trading641 641 687 687 Derivatives3,671 477 4,148 3,545 799 4,344 Securities financing8,822 830 9,652 8,397 1,097 9,494 Due to banks13,847 3,662 17,509 2,033 36,043 38,076 Current accounts15,126 106,905 122,030 47,577 85,406 132,983 Demand deposits 100,397 100,397 18,208 80,582 98,790 Time deposits21,611 8,485 30,096 11,174 7,606 18,780 Other due to customers198 2,293 2,491 89 576 665 Issued debt19,298 36,961 56,259 16,530 43,158 59,688 Subordinated liabilities2,520 4,770 7,290 1,563 5,985 7,549 Provisions1,030 13 1,044 1,201 1,201 Tax liabilities22 22 101 101 Other liabilities 5,187 5,187 1,644 3,113 4,757 Total liabilities 86,787 269,980 356,767 112,749 264,365 377,114 The behavioural maturity profile is based on internally developed liquidity risk models. These models cover residential mortgages, consumer and corporate loans, non-maturing assets (mainly current accounts), credit cards, non-maturing liabilities (demand deposits and current accounts) and term deposits. The liquidity risk models predict the behavioural cash flows, which can differ from the contractual cash flows as a result of, for example, prepayments or because some products do not have a defined contractual maturity date. The models are based on historically observed client behaviour and use a combination of internal and external risk drivers. The models are used for monitoring the bank\u2019s liquidity mismatch position. The liquidity risk models are included in the bank\u2019s model risk management framework. This means that the models have to follow a regular monitoring and validation schedule. Approval of the models is given by the Methodology Acceptance Group (MAG) ALM/T, based on independent advice from Model Validation. 1 Accounting policies The notes to the Consolidated Annual Financial Statements, including the audited information in the Risk, funding & capital chapter, are an integral part of these Annual Financial Statements. This section describes ABN AMRO Bank\u2019s significant accounting policies and critical accounting estimates or judgements relating to the Annual Financial Statements. If an accounting policy or a critical accounting estimate relates to a specific note, it is included in the relevant note. Corporate information ABN AMRO Bank N.V.(referred to as ABN AMRO Bank, ABN AMRO, the bank or the parent company) and its consolidated entities provide financial services inthe Netherlands and abroad(together referred to as the group). ABN AMRO Bank is a public limited liability company, incorporated under Dutch law on 9 April 2009 inthe Netherlands, and registered atGustav Mahlerlaan 10, 1082 PP Amsterdam, the Netherlands(Chamber of Commerce number 34334259). As at 31 December 2022, all shares in the capital of ABN AMRO Bank N.V. are held by two foundations: NLFI and STAK AAB.NLFI holds 56.3% in ABN AMRO Bank N.V., of which 49.9% is held directly via ordinary shares and 6.4% is held indirectly via depositary receipts for shares in ABN AMRO Bank N.V. STAK AAB holds 50.1% of the shares in the issued capital of ABN AMRO Bank N.V. Both foundations have issued depositary receipts for shares in ABN AMRO Bank N.V. Only STAK AAB\u2019s depositary receipts are issued with the cooperation of ABN AMRO Bank N.V. and traded on Euronext Amsterdam.ABN AMRO provides a broad range of financial services to retail, private and corporate banking clients.These activities are conducted primarily in the Netherlands and selectively abroad. The Consolidated Annual Financial Statements of ABN AMRO Bank for the year ended 31 December 2022 incorporate financial information of ABN AMRO Bank N.V., its controlled entities, interests in associates and joint ventures. The Annual Financial Statements were prepared by the Executive Board and authorised for issue by the Supervisory Board and Executive Board on 7 March 2023. Statement of compliance The Consolidated Annual Financial Statements have been prepared in accordance with International Financial Reporting Standards (IFRS), as endorsed by the European Union (EU). They also comply with the financial reporting requirements set out in Title 9 of Book 2 of the Dutch Civil Code, where applicable.Basis of preparationThe Consolidated Annual Financial Statements have been prepared on a historical cost basis, except for derivative financial instruments, financial assets and liabilities held for trading or designated as measured at fair value through profit or loss, financial instruments not held in a \u2018hold to collect\u2019 business model, debt instruments that do not meet the solely payments of principal and interest (SPPI) test, and equity investments in associates or joint ventures for which the venture capital exemption is applied, all of which are measured at fair value through profit or loss. The carrying values of recognised assets and liabilities that are hedged items in fair value hedges, and otherwise carried at amortised cost, are adjusted to record changes in fair value attributable to the risks that are being hedged. Associates and joint ventures are accounted for using the equity method.The Annual Financial Statements are presented in euros, which is the presentation currency of ABN AMRO, rounded to the nearest million (unless otherwise stated).The financial statements are prepared on a going concern basis.Changes in accounting policies and presentation Changes in accounting policies The International Accounting Standards Board issued several amendments to existing standards (and endorsed by the EU), which become effective for the reporting period beginning 1 January 2023. The standards amended are: IAS 1 Disclosure of accounting policies; IAS 8 Definition of accounting estimate; IAS 12 Deferred Tax related to Assets and Liabilities arising from a Single Transaction. The impact of these amendments on the consolidated financial statements are insignificant. IFRS 17 \u2013 Insurance Contracts In May 2017, the IASB issued IFRS 17 Insurance Contracts (IFRS 17), a comprehensive new accounting standard for insurance contracts covering recognition and measurement, presentation and disclosure. IFRS 17 will replace IFRS 4 Insurance Contracts (IFRS 4) that was issued in 2005. IFRS 17 applies to all types of insurance contracts (i.e., life, non-life, direct insurance and re-insurance), regardless of the type of entities that issue them, as well as to certain guarantees and financial instruments with discretionary participation features. A few scope exceptions will apply. IFRS 17 introduces new accounting requirements for banking products with insurance features that may affect the determination of which instruments or which components thereof will be in the scope of IFRS 9 or IFRS 17.IFRS 17 is effective for reporting periods beginning on or after 1 January 2023, with comparative figures required. ABN AMRO does not apply for an early application of IFRS 17.ABN AMRO has completed the assessment of the impacts of adopting IFRS 17. ABN AMRO offers limited banking products with significant insurance risk embedded, such as equity release mortgages and loans with a death waiver, and has assessed that the impact of IFRS 17 on these insurance contracts is not material, except for the equity release mortgage.Currently, ABN AMRO applies unbundling of the loan component from the insurance contract for equity release mortgage, which was permitted in accordance with IFRS 4. The loan component was measured at amortised cost in accordance with IFRS 9 and the insurance component, the No Negative Equity Guarantee (NNEG), as an insurance contract in accordance with IFRS 4, which meant the measurement was based on IAS 37.In accordance with the currently issued IFRS 17, unbundling of the loan component from the insurance contract is not permitted anymore. For loan contracts (such as equity release mortgages and loans with a death waiver) that meet the definition of insurance but limit the compensation for insured events to the amount otherwise required to settle the policyholder\u2019s obligation created by the contract, the issuers of such loans, have an option to apply IFRS 9 or IFRS 17. The election would be made at a portfolio level and would be irrevocable. ABN AMRO\u2019s policy is to apply IFRS 9 to such loans. Since ABN AMRO has chosen to apply IFRS 9 to the equity release mortgage, these loans in their entirety, i.e. including the NNEG feature, do not meet the SPPI criterion. Therefore they should be measured in their entirety at fair value through profit or loss as of 1 January 2023. ABN AMRO applies the change in classification and measurement retrospectively. Furthermore, ABN AMRO has a captive insurance entity (ABN AMRO Captive N.V.) and two equity accounted insurance entities (Neuflize Vie S.A. and Nationale Nederlanden \u2013 ABN AMRO Verzekeringen Holding B.V.). IFRS 17 has an impact on the shareholders\u2019 equity, net result, presentation and disclosures of these entities.The total IFRS 17 impact on the opening equity balance (retained earnings) of 2023 is approximately EUR 200 million, mainly because the fair value of the equity release mortgages as of 1 January 2023 is significantly below the carrying amount at amortised cost due to the increased mortgage rates. Onerous Contracts \u2013 Costs of Fulfilling a Contract \u2013 Amendments to IAS 37 In May 2020, the IASB issued amendments to IAS 37 to specify which costs an entity needs to include when assessing whether a contract is onerous or loss-making. The amendments apply a \u2018directly related cost approach\u2019. The costs that relate directly to a contract to provide goods or services include both incremental costs and an allocation of costs directly related to contract activities. The amendments are effective for annual reporting periods beginning on or after 1 January 2022. Based on the amendments, certain other directly related costs have been included by ABN AMRO in the measurement of provisions in scope of IAS 37. Changes in presentation Prior to 1 January 2022, the reconciliation between the carrying amounts at the beginning and the end of the period for each component of equity changes resulting from other comprehensive income were disclosed in a separate table as part of the statement of changes in equity. In 2022, the movement schedule explaining the equity components of other comprehensive income including the comparatives was moved to Note 33 Equity attributable to owners of the parent company. Furthermore, in 2022, ABN AMRO changed the presentation of \u2018Items that may be reclassified to the income statement\u2019 in the Statement of Other Comprehensive Income including comparatives to provide more relevant information about the effectof the reclassification adjustments. New standards, amendments and interpretations not yet endorsed The International Accounting Standards Board issued the following amendments to existing standards that are not yet endorsed by the EU. It is expected that these amendments will become effective for the reporting period beginning 1 January 2024. Since the amendments are not yet endorsed these changes are not open for early adoption. The standards amended are: IAS 1 Classification of liabilities as current or non-current; IFRS 16 Lease liability in a sale and lease back. The expected impact of these changes on the consolidated financial statements is insignificant. Critical accounting estimates and judgements In preparing the financial statements, management needs to exercise its judgement in the process of applying ABN AMRO\u2019s accounting policies and make estimates and assumptions concerning the future. Actual results may differ from those estimates and assumptions. Accounting policies for the most significant areas that require management to make judgements and estimates affecting reported amounts and disclosures are made in the following sections: Impairment losses on financial assets measured at AC - Risk, funding & capital management section Income tax expense, tax assets and tax liabilities - Note 11 Impairment of instruments measured at FVOCI - Note 17 Fair value of financial instruments - Note 19 Impairment of ROU assets and goodwill - Note 24 Provisions - Note 30 The year 2022 saw the outbreak of the war in Ukraine, while the impact of Covid-19 became less pronounced. Additionally, energy prices have risen significantly in ABN AMRO\u2019s major markets. These developments could impact the estimated expected credit losses of the financial instruments in scope of IFRS 9. The impact on the estimates and assumptions is disclosed in more detail in the Risk, funding & capital management section. Assessment of risks, rewards and control Whenever ABN AMRO is required to assess risks, rewards and control, as well as when considering the recognition and derecognition of assets or liabilities and the consolidation or deconsolidation of subsidiaries, it may sometimes be required touse judgement. Although management uses its best knowledge of current events and actions in making such assessments, the actual risks, rewards and control may ultimately differ. Significant accounting policies Basis of consolidation The Consolidated Annual Financial Statements of ABN AMRO Bank N.V. include the financial statements of the parent company and its controlled entities, thus incorporating the assets, liabilities, revenues and expenses of ABN AMRO Bank N.V. and its subsidiaries. Non-controlling interests (held by third parties) in the equity and results of group companies are presented separately in the Consolidated Annual Financial Statements. Subsidiaries are included using the same reporting period and consistent accounting policies. Intercompany balances and transactions, as well as any related unrealised gains and losses, are eliminated in preparing the Consolidated Financial Statements. Unrealised gains arising from transactions with associates and jointly controlled entities are eliminated to the extent of ABN AMRO\u2019s interest in the entities. Unrealised losses are also eliminated unless the transaction provides evidence of impairment in the asset transferred. Foreign currency ABN AMRO applies IAS 21 The Effects of Changes in Foreign Exchange Rates. Transactions in foreign currencies are translated into euros at the rate prevailing on the transaction date. Foreign currency balances of monetary items are translated into euros at period-end exchange rates. Exchange gains and losses on such balances are recognised in the income statement. The Consolidated Annual Financial Statements are stated in euros, which is the presentation and functional currency of ABN AMRO. The bank\u2019s foreign operations may have different functional currencies. The functional currency is the currency that best reflects the economic substance of the underlying event and circumstances relevant to that entity. Prior to consolidation (or equity accounting), the assets and liabilities of non-euro operations are translated into euros at the closing rate, and items in the income statement and other comprehensive income are translated at the rate prevailing on the transaction dates. Exchange differences arising on the translation of foreign operations are included in the currency translation reserve within equity. These are transferred to the income statement when the bank loses control, joint control or significant influence over the foreign operation. Financial assets and liabilities Classification and measurement of financial assets ABN AMRO classifies financial assets based on the business model in which they are held in accordance with IFRS 9. The business model is determined at portfolio level. Portfolios are based on how ABN AMRO manages financial assets in order to achieve a particular business objective. The business model assessment is based on the level of sales, risk management, performance evaluation and management compensation. Derecognition is used as a condition to determine whether a transaction results in a sale. Three business models are distinguished: \u00c5 \u2018Hold to collect\u2019 business model, in which cash flows are primarily generated by collecting contractual cash flows until maturity of the financial instrument. Sales can occur, as long as they are incidental, infrequent and insignificant. The assessment of the frequency and significance of sales is determined for each underlying portfolio. Sales that result from increases in the credit risk of the counterparty or take place close to maturity do not contradict the \u2018hold to collect\u2019 business model; \u00c5 \u2018Hold to collect and sell\u2019 business model, in which the selling of financial assets is integral to achieving the business objective. In this business model, sales take place more frequently and have a greater value than in a hold-to-collect business model; \u00c5 Other business models not meeting the criteria of the business models mentioned above, for example business models in which financial assets are managed with the objective of generating cash flows from sales (trading book), are measured at FVTPL. After the business model has been determined, the contractual cash flows of financial assets are assessed. Debt instruments can be classified at amortised cost or FVOCI only when the contractual cash flows are solely payments of principal and interest (SPPI). Contractual cash flows that are SPPI are consistent with a basic lending arrangement in which consideration for the time value of money and credit risk are typically the most significant interest elements. Debt instruments that do not meet the SPPI requirements are mandatorily measured at FVTPL. Financial assets are assessed in their entirety, including any embedded derivatives that are not separated from the host contract. Based on the business model determined and the SPPI assessment, the following measurement categories are identified under IFRS 9: \u00c5 Amortised cost \u2013 Financial instruments measured at amortised cost are debt instruments within a \u2018hold to collect\u2019 business model with fixed or determinable payments which meet the SPPI criteria. These instruments are initially measured at fair value (including transaction costs) and subsequently measured at amortised cost using the effective interest rate method. Financial instruments measured at amortised cost are presented net of credit loss allowances in the statement of financial position; Reclassifications of financial assets are expected to be very infrequent and occur only when ABN AMRO changes its business model for a certain portfolio of financial assets. Recognition and derecognition Traded instruments are recognised on the trade date, which is defined as the date on which ABN AMRO commits to purchase or sell the underlying instrument. If the settlement terms are non-standard, the commitment is accounted for as a derivative between the trade and settlement dates. Loans and advances are recognised when they are acquired or funded by ABN AMRO and derecognised when settled. Issued debt is recognised when issued, and deposits are recognised when the cash is deposited with ABN AMRO. Other financial assets and liabilities, including derivatives, are recognised when ABN AMRO becomes a party to the contractual provisions of the asset or liability. Financial assets are derecognised when ABN AMRO loses control and the ability to obtain benefits from the contractual rights that comprise that asset. This occurs when the rights are realised or expire, or when substantially all risks and rewards are transferred. Financial assets are also derecognised if the bank has neither transferred nor retained substantially all risks and rewards of ownership, but control has passed to the transferee. Financial assets continue to be recognised in the balance sheet, and a liability recognised for the proceeds of any related funding transaction, unless a fully proportional share of all or specifically identified cash flows are transferred to the lender without material delay and the lender\u2019s claim is limited to those cash flows, and substantially all the risks, rewards and control associated with the financial instruments, that have been transferred, in which case that proportion of the asset is derecognised. When the terms and conditions of a financial asset have been renegotiated or otherwise modified to the extent that, substantially, it becomes a new financial asset, ABN AMRO derecognises the financial asset, with the difference recognised in the income statement, to the extent that an impairment loss has not already been recorded. The newly recognised \u00c5 FVTPL \u2013 Financial instruments measured at FVTPL include instruments held for trading, derivatives, equity instruments for which the FVOCI option has not been elected and instruments whose cash flows do not meet the SPPI requirements. Changes in the fair value of these instruments are directly recognised in the income statement; \u00c5 FVOCI \u2013 Financial instruments measured at FVOCI are debt instruments which are held in a \u2018hold to collect and sell\u2019 business model and which meet the SPPI criteria. They are initially measured at fair value, with subsequent unrealised changes recognised in other comprehensive income. Equity instruments for which the fair value option is elected are also measured at FVOCI. Please refer to the Risk, funding & capital management section for our accounting policies on the measurement of expected credit losses on financial instruments measured at amortised cost and FVOCI. Classification of assets and liabilities held for trading A financial asset or financial liability is classified as held for trading if it is: \u00c5 Acquired or incurred principally for the purpose of selling or repurchasing it in the near term; \u00c5 Part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking; or \u00c5 A trading derivative (except for a derivative that is a designated and effective hedging instrument). Classification and measurement of financial liabilities Financial liability is initially recognised at its fair value minus, in the case of a financial liability not at fair value through profit or loss, transaction costs that are directly attributable to the acquisition or issue of the financial liability. Under IFRS 9, financial liabilities are classified as subsequently measured at amortised cost, except for the following instruments: \u00c5 Financial liabilities held for trading are measured at fair value through profit or loss; \u00c5 Financial liabilities that ABN AMRO has irrevocably designated at initial recognition as held at fair value through profit or loss when the instruments are held to reduce an accounting mismatch are managed on the basis of their fair value or include terms that have derivative characteristicsby nature. Under IFRS 9, the changes in fair value attributable to changes in the credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Financial liabilities are never reclassified after initial recognition. financial asset is classified as stage 1 for ECL measurement purposes. ABN AMRO assesses, in both qualitative and quantitative terms, whether such modifications are substantial. Generally, a 10% change in the net present value of the cash flows between the initial and new contract results in a derecognition. With regard to substantial modifications, e.g. due to forbearance measures, the derecognition gains or losses are recognised in net gains/(losses) on derecognition of financial assets measured at amortised cost and disclosed separately, if material. If the modification of the financial asset does not result in derecognition, the gross carrying amount of the financial asset is recalculated, based on the net present value of the new contractual cash flows, and discounted at the financial asset\u2019s original effective interest rate. The effect is recognised and disclosed as a modification loss in the income statement. Credit related modification gains or losses (i.e. due to forbearance measures) are recognised in the income statement and presented under impairment charges on financial instruments. Non-credit related modification gains or losses are recognised in the income statement and presented under interest income calculated using the effective interest method. Financial liabilities are derecognised when the liability has been settled, has expired or has been extinguished. An exchange of an existing financial liability for a new liability with the same lender on substantially different terms, qualitatively and quantitatively (a 10% difference in the present value of the cash flows), is accounted for as an extinguishment of the original financial liability and recognition of a new financial liability. The difference between the former amortised cost and the consideration paid is recognised in the income statement. Client clearing As a general clearing member, ABN AMRO provides clearing and settlement services to its clients for, among other things, exchange-traded derivatives. In its capacity as a clearing member, ABN AMRO guarantees the fulfilment of obligations towards central counterparty clearing houses (CCPs) of clients\u2019 transactions. ABN AMRO is not liable to clients for the non-performance of the CCP. In the event of a client defaulting, ABN AMRO has the legal obligation to settle all the client\u2019s positions with the relevant CCPs, possibly at a loss. Possible losses arising from this guarantee might relate not only to a client\u2019s current positions, but also to the client\u2019s future trades. ABN AMRO receives and collects (cash) margins from clients, and remits these margins to the relevant CCP in whole or in part. Given the stringent margin requirements set by the CCPs, possible future outflows of resources for new clearing transactions are considered close to zero. ABN AMRO does not reflect the exchange-traded derivatives cleared on behalf of clients in its financial statements. Under normal circumstances, the guarantee has no fair value and is not recognised in the financial statements. Any loss recognised in the event of non-performance of a client is in line with our contingent liabilities policy. Offsetting The bank offsets financial assets and liabilities and the net amount reported in the statement of financial position if it is legally entitled to set off the recognised amounts and intends to settle on a net basis, or to realise the asset and settle the liability simultaneously. Statement of cash flows For the purposes of the statement of cash flows, cash and cash equivalents comprise cash on hand, freely available balanceswith central banks and other banks, and net balances on current accounts with other banks with a maturity of less than threemonths from the date of acquisition. The statement of cash flows, based on the indirect method of calculating operating cash flows, gives details of the source of cash and cash equivalents which became available during the year and the applicationof these cash and cash equivalents over the course of the year. The cash flows are analysed into cash flows from operations, including banking activities, investment activities and financing activities. Movements in loans and advances and interbank deposits are included in the cash flow from operating activities. Investment activities are comprised of acquisitions, sales and redemptions in respect of financial investments, as well as investments in, and sales of, subsidiaries and associates, property and equipment. The issuing of shares and the borrowing and repayment of long-term funds are treated as financing activities. Cash flows arising from foreign currency transactions are translated into euros using the exchange rates at the date of the cash flows. Government grants Government grants are recognised in the income statement on a systematic basis over the periods that the related expenses, which the grants are intended to compensate, are recognised. In the case of an income-related grant, the grant is deducted from the related expense. Levies and other regulatory charges ABN AMRO recognises a liability arising from levies and similar charges when it becomes legally enforceable (i.e. when the obligating event arises). 2 Segment reporting Accounting policy for segment reporting The segment reporting is in accordance with IFRS 8 Operating Segments. The segments are reported in a manner consistent with internal reporting provided to the Executive Board, which is responsible for allocating resources and assessing performance and has been identified as the chief operating decision-maker. All transactions between segments are eliminated as intersegment revenues and expenses in Group Functions. Geographical data are presented according to the management view. Segment assets, liabilities, income and results are measured based on our accounting policies and include items directly attributable to a segment, as well as those that can be allocated on a reasonable basis. Transactions between segments are conducted on an arm\u2019s length basis. Interest income is reported as net interest income because management primarily relies on net interest income as a performance measure, not gross income and expense. Change in reportable segments Effective from the start of 2022, ABN AMRO has simplified and centralised its operating model. The organisational structure has also been strengthened and simplified by replacing the four business lines with three units structured around client segments (the \u2018client units\u2019). ABN AMRO has realigned the new organisational structure with internal reporting to the Executive Board (CODM): H Retail Banking and part of Commercial Banking have been combined to form Personal & Business Banking; \u00c5 Private Banking has been replaced by Wealth Management; \u00c5 Corporate & Institutional Banking and part of Commercial Banking have been combined to form Corporate Banking. The prior-period figures in the financial information for these segments, as included in the Performance (and Segment Reporting Note) section of this report, have been restated accordingly. Personal & Business Banking This client unit serves consumer and business clients with banking and partner offerings, providing the convenience of digital interactions and access to expertise when it matters most. Wealth Management The Wealth Management client unit delivers outstanding expertise with tailored value propositions for wealthy clients, focusing on investment advice, financial planning and real estate financing. Corporate Banking This expertise-driven client unit delivers tailored financing, capital structuring and transaction banking solutions for medium-sized and large corporate clients and financial institutions. Corporate Banking also offers Entrepreneur & Enterprise as a bank-wide service concept for business and wealthy clients, in close collaboration with Wealth Management. Group Functions Group Functions consists of the following support function departments: Finance, Risk Management, Innovation & Technology, Human Resources, Group Audit, Legal & Corporate Office, Brand Marketing & Communications, Strategy & Innovation and a Sustainability Centre of Excellence. Group Functions is not a client unit, but part of the reconciliation. The majority of Group Functions\u2019 costs are allocated to the client units. Segment income statement for the year 2022 2022 Personal & Business Wealth Corporate Group (in millions) Banking Management Banking Functions Total Income Net interest income 2,707 764 2,112 -161 5,422 Net fee and commission income 526 595 682 -25 1,778 Net income from other operating activities 78 99 11 7 -44 249 Net trading income 10 272 282 Share of result in equity-accounted investments 13 19 75 1 107 Net gains/(losses) on derecognition of financial assets measured at amortised cost -12 14 1 Operating income 3,334 1,477 3,246 -216 7,841 Expenses Personnel expenses 463 390 600 1,004 2,458 General and administrative expenses 660 208 461 1,466 2,796 Depreciation, amortisation and impairment losses of tangible and intangible assets 6 28 10 128 172 Intersegment revenues/expenses 1,529 381 679 -2,588 Operating expenses 2,658 1,007 1,750 11 5,425 Impairment charges on financial instruments 73 29 -68 5 39 Total expenses 2,731 1,036 1,682 15 5,464 Profit/(loss) before taxation 603 440 1,564 -231 2,376 Income tax expense 144 93 365 -93 509 Profit/(loss) 459 347 1,199 -138 1,867 Attributable to: Owners of the parent company 459 347 1,199 -138 1,868 Segment income statement for the year 2021 2021 Personal & Business Wealth Corporate Group (in millions) Banking Management Banking Functions Total Income Net interest income 2,502 634 1,875 198 5,210 Net fee and commission income 438 601 645 -21 1,664 Net income from other operating activities 23 33 101 507 663 Net trading income -2 197 -50 145 Share of result in equity-accounted investments 12 14 -3 23 Net gains/ (losses) on derecognition of financial assets measured at amortised cost -106 -2 -108 Operating income 2,974 1,283 2,709 632 7,597 Expenses Personnel expenses 462 387 602 873 2,324 General and administrative expenses 769 198 447 1,874 3,287 Depreciation, amortisation and impairment losses of tangible and intangible assets 5 28 18 143 194 Intersegment revenues/expenses 1,440 343 679 -2,462 Operating expenses 2,677 956 1,746 427 5,806 Impairment charges on financial instruments -23 -6 -15 -3 -46 Total expenses 2,654 950 1,731 425 5,759 Profit/(loss) before taxation 320 333 978 207 1,838 Income tax expense 92 95 247 169 604 Profit/(loss) 228 238 730 38 1,234 Attributable to: Owners of the parent company 228 238 730 35 1,231 Non-controlling interests 3 3 Total bank Net interest income increased by EUR 213 million to EUR 5,422 million in 2022, compared with EUR 5,210 million in 2021. Excluding large incidentals, net interest income decreased by EUR 70 million, mainly due to a significant decrease in mortgage prepayment penalties, lower Treasury results and asset margin pressure (in residential mortgages and consumer loans), partly offset by higher interest margins on deposits in the final quarter of 2022, recorded in all client units. Net fee and commission income increased by EUR 114 million to EUR 1,778 million in 2022. This increase related mainly to higher transaction volumes and pricing from personal clients, improved credit card usage in ICS and higher transaction volumes at Clearing due to increased market volatility throughout 2022. Net income from other operating activities amounted to EUR 249 million in 2022 (2021: EUR 663 million), mainly due to large incidentals in 2022 (loss due to the change in the TLTRO III terms and conditions) and 2021 (gain on the sale and leaseback of the Amsterdam head office). Net trading income increased by EUR 137 million to EUR 282 million, mainly due to positive trading results at Global Markets (impacted by the significant increase in interest rates and FX developments throughout 2022) and higher CVA/DVA/FVA results (EUR 60 million in 2022 versus EUR 46 million in 2021). Share of result in equity-accounted investments increased by EUR 84 million in 2022, mainly due to the transaction gain on the divestment of the MP Solar stake in Q3. Derecognition of financial assets was nil for the year. Last year there was a significant discount to book value on a loan disposal as part of the wind-down of the CIB non-core portfolio, booked in Q2 2021. Personnel expenses increased by EUR 134 million to EUR 2,458 million in 2022 (2021: EUR 2,324 million). Excluding large incidentals, these expenses increased by EUR 100 million, mainly due to the 4% salary increase agreed under the new CLA and higher FTE for AML-related activities, IT and strategy execution throughout 2022. General and administrative expenses decreased by EUR 491 million to EUR 2,796 million in 2022 (EUR 3,287 million in 2021). Excluding large incidentals, general and administrative expenses decreased by EUR 57 million, mainly due to lower regulatory levies and lower expenses from external staffing, partly related to our AML activities. Depreciation and amortisation decreased by EUR 22 million in 2022, mainly due to a decrease in building and equipment depreciation. Impairment charges recorded an addition of EUR 39 million for 2022 (2021: release of EUR 46 million), resulting in a cost of risk of 3bps in 2022, compared to -7bps in 2021. Charges were attributable to a more unfavourable economic scenario during the year, partly offset by releases from management overlays and releases in the existing stage 3 portfolio. The releases in stage 3 can be largely attributed to better performance of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. There was no revenue from transactions with a single external client or counterparty exceeding 10% of the bank\u2019s total revenue in 2022 or 2021. Personal & Business Banking Net interest income increased to EUR 2,707 million (2021: EUR 2,502 million). Excluding large incidentals, net interest income increased mainly due to improved deposit interest margins. Net fee and commission income rose to EUR 526 million (2021: EUR 438 million), reflecting recovery in credit card usage (ICS) and higher payment service income (due to higher pricing and transaction volume). Net income from other operating activities was EUR 78 million in 2022 (2021: EUR 23 million), mainly reflecting results from divestments. Personnel expenses amounted to EUR 463 million in 2022 (2021: EUR 462 million). The impact of the new CLA was fully mitigated by a decrease in employee FTEs. General and administrative expenses decreased by EUR 109 million, totalling EUR 660 million, in 2022. Excluding incidentals, the decrease was mainly due to lower regulatory levies and lower expenses for external staff. Impairment charges recorded a charge of EUR 73 million in 2022 (2021: release of EUR 23 million), mainly due to model-based additions because macroeconomic variables deteriorated throughout the year. Wealth Management Net interest income increased by EUR 130 million and amounted to EUR 764 million in 2022. This increase was mainly attributable to improved margins on deposits due to rising interest rates. Net fee and commission income remained nearly flat, amounting to EUR 595 million (2021: EUR 601 million) as stock markets opened to a strong start in 2022 but then declined throughout the year. Net income from other operating activities totalled EUR 99 million in 2022, an increase of EUR 66 million. This was mainly due to the results from the sale of ABN AMRO Pensioeninstelling. Personnel expenses remained nearly flat at EUR 390 million in 2022 (2021: EUR 387 million).The impact of the new CLA in the last quarter of 2022 was partly mitigated by staff-related provision releases. General and administrative expenses slightly increased by EUR 10 million to EUR 208 million in 2022, mainly due to higher IT expenses and provision amounts, which were offset by lower regulatory levies and lower expenses for external staff. Impairment charges recorded a charge of EUR 29 million in 2022 (2021: a release of EUR 6 million), reflecting both model-based increases and stage 3 additions. Corporate Banking Net interest income increased to EUR 2,112 million in 2022 (2021: EUR 1,875 million), mainly due to a EUR 289 million increase in CB core, reflecting business growth (increased lending volume) and improved deposit margins. This was partially offset by a EUR 52 million decrease in CB non-core due to the successful wind-down. Net fee and commission income recorded an increase of EUR 37 million, mainly at Clearing and due to increased market volatility throughout 2022. Net income from other operating activities was EUR 117 million (2021: EUR 101 million), mainly reflecting positive equity stake revaluations, partly offset by a decrease in the result from private equity investments. Share of result in equity-accounted investments increased by EUR 78 million in 2022, mainly due to the gain on the divestment of the MP Solar stake in Q3. Net trading income increased by EUR 75 million to EUR 272 million, mainly due to positive trading results at Global Markets (impacted by the significant increase in interest rates and FX developments throughout 2022) and higher CVA/DVA/FVA results (EUR 60 million in 2022 versus EUR 46 million in 2021). Derecognition of financial assets came out at EUR 12 million negative in 2022 (2021: EUR 106 million negative). The figure for 2021 includes a significant discount to book value, booked in Q2 2021, on a loan disposal as part of the wind-down of the CIB non-core portfolio. Personnel expenses remained flat at EUR 600 million in 2022, compared to EUR 602 million in 2021. The impact of the new CLA was fully mitigated by releases on staff-related provisions and a decrease in employee FTEs. General and administrative expenses increased by EUR 14 million to EUR 461 million in 2022, mainly due to an increase in staff-related costs and expenses for external staff. Impairment charges recorded a net release of EUR 68 million in 2022 (2021: EUR 15 million release), mainly due to Stage 3 releases throughout 2022. Group Functions Net interest income decreased by EUR 359 million to EUR 161 million negative in 2022 (2021: EUR 198 million), mainly due to lower treasury results and lower mortgage prepayment penalties. Net income from other operating activities decreased by EUR 551 to EUR 44 million negative in 2022 (2021: EUR 507 million) mainly due to large incidentals and volatile items in both years. Personnel expenses increased by EUR 131 million to EUR 1,004 million in 2022, mainly due to the upscaling of AML activities reflected in the increase in employee FTEs and the impact of the new CLA. General and administrative expenses decreased by EUR 408 million to EUR 1,466 million in 2022 (2021: EUR 1,874 million). This was due to the AML settlement in 2021 (EUR 480 million), partly offset by additional provisions for AML remediation activities in 2022. Selected assets and liabilities per segment 31 December 2022 Personal & Business Wealth Corporate Group (in millions) Banking Management Banking Functions Total Assets Financial assets held for trading 1 907 907 Derivatives 1 4,836 375 5,212 Securities financing 6,545 13,487 20,032 Residential mortgages 144,537 6,072 -9,489 141,121 Consumer loans 4,588 4,725 642 9,955 Corporate loans 8,617 6,172 69,751 820 85,360 Other loans and advances customers 40 11 7,316 124 7,491 Other 1,687 1,873 11,071 94,872 109,503 Total assets 159,469 18,856 101,068 100,189 379,581 Liabilities Financial liabilities held for trading 641 641 Derivatives 8 15 3,664 461 4,148 Securities financing 47 9,605 9,652 Current accounts 47,828 25,534 48,104 565 122,030 Demand deposits 69,065 28,549 2,782 100,397 Time deposits 5,902 10,473 7,310 6,411 30,096 Other due to customers 123 2,367 2 2,491 Other 36,543 -45,715 36,153 60,330 87,311 Total liabilities 159,469 18,856 101,068 77,375 356,767 31 December 2021 Personal & Business Wealth Corporate Group (in millions) Banking Management Banking Functions Total Assets Financial assets held for trading 1,155 1,155 Derivatives 15 3,002 768 3,785 Securities financing 5,624 10,514 16,138 Residential mortgages 141,098 5,171 1,442 147,711 Consumer loans 5,318 4,937 263 10,518 Corporate loans 9,376 5,739 68,706 1,193 85,014 Other loans and advances customers 31 6 14,858 11 3 15,008 Other 1,673 2,538 11,247 104,327 119,784 Total assets 157,495 18,405 104,856 118,357 399,113 Liabilities Financial liabilities held for trading 687 687 Derivatives 4 3,542 798 4,344 Securities financing 2 9,493 9,494 Current accounts 42,898 29,457 59,875 753 132,983 Demand deposits 68,155 30,428 207 98,790 Time deposits 6,057 3,449 3,867 5,408 18,780 Other due to customers 166 478 21 665 Other 40,219 -44,932 36,199 79,886 111,371 Total liabilities 157,495 18,405 104,856 96,358 377,114 Geographical segments 2022 The Rest of Rest of (in millions) Netherlands Europe USA Asia the world Total Income Net interest income 4,943 335 75 38 31 5,422 Net fee and commission income 1,223 349 108 92 7 1,778 Net income from other operating activities 177 38 10 6 19 249 Net trading income 312 -2 -28 282 Share of result in equity-accounted investments 88 19 107 Net gains/ (losses) on derecognition of financial assets measured at amortised cost -10 -4 14 1 1 Operating income 6,732 741 187 151 30 7,841 Expenses Personnel expenses 1,967 333 95 45 17 2,458 General and administrative expenses 2,554 182 33 17 10 2,796 Depreciation and amortisation of tangible and intangible assets 144 31 -2 -2 1 172 Intersegment revenues/expenses 35 -30 1 8 -14 Operating expenses 4,700 516 127 69 14 5,425 Impairment charges on financial instruments 76 12 -42 -7 -1 39 Total expenses 4,776 528 85 62 14 5,464 Profit/(loss) before taxation 1,957 213 102 89 16 2,376 Income tax expense 424 40 29 12 4 509 Profit/(loss) 1,533 173 73 77 12 1,867 Attributable to: Owners of the parent company 1,533 173 73 77 12 1,868 Non-controlling interests 2021The Rest of Rest of (in millions) Netherlands Europe USA Asia the world Total Income Net interest income 4,796 259 93 47 14 5,210 Net fee and commission income 1,137 346 92 80 9 1,664 Net income from other operating activities 629 35 5 4 -9 663 Net trading income 227 -90 -1 9 145 Share of result in equity-accounted investments 9 14 23 Net gains/ (losses) on derecognition of financial assets measured at amortised cost 7 -12 -119 7 8 -108 Operating income 6,806 552 70 138 31 7,597 Expenses Personnel expenses 1,827 320 99 59 20 2,324 General and administrative expenses 3,043 182 34 19 9 3,287 Depreciation and amortisation of tangible and intangible assets 160 31 3 194 Intersegment revenues/expenses 6 1 5 -12 Operating expenses 5,030 540 134 85 17 5,806 Impairment charges on financial instruments -107 17 45 -3 2 -46 Total expenses 4,923 557 179 82 18 5,759 Profit/(loss) before taxation 1,884 -6 -109 55 13 1,838 Income tax expense 566 11 16 12 -2 604 Profit/(loss) 1,317 -17 -125 43 15 1,234 Attributable to: Owners of the parent company 1,315 -17 -125 43 15 1,231 Non-controlling interests 3 3 3 Overview of financial assets and liabilities by measurement base 31 December 2022 Fair value Fair value Fair value Amortised through profit or through profit or through other (in millions) cost loss - trading loss - other comprehensive income Total Financial assets Cash and balances at central banks 60,865 60,865 Financial assets held for trading 907 907 Derivatives 4,831 381 5,212 Financial investments 626 38,408 39,034 Securities financing 20,032 20,032 Loans and advances banks 2,982 2,982 Loans and advances customers 243,861 66 243,927 Other financial assets 3,457 3,457 Total financial assets 331,198 5,739 1,072 38,408 376,417 Financial liabilities Financial liabilities held for trading 641 641 Derivatives 3,671 477 4,148 Securities financing 9,652 9,652 Due to banks 17,509 17,509 Due to customers 255,015 255,015 Issued debt 56,036 223 56,259 Subordinated liabilities 7,290 7,290 Other financial liabilities 3,127 3,127 Total financial liabilities 348,629 4,312 700 353,641 31 December 2021 Fair value Fair value Fair value Amortised through profit or through profit or through other (in millions) cost loss - trading loss - other comprehensive income Total Financial assets Cash and balances at central banks 66,865 66,865 Financial assets held for trading 1,155 1,155 Derivatives 2,975 810 3,785 Financial investments 580 42,585 43,165 Securities financing 16,138 16,138 Loans and advances banks 2,801 2,801 Loans and advances customers 258,146 104 258,251 Assets held for sale 86 86 Other financial assets 3,257 3,257 Total financial assets 347,207 4,130 1,581 42,585 395,502 Financial liabilities Financial liabilities held for trading 687 687 Derivatives 3,545 799 4,344 Securities financing 9,494 9,494 Due to banks 38,076 38,076 Due to customers 251,218 251,218 Issued debt 58,796 892 59,688 Subordinated liabilities 7,549 7,549 Other financial liabilities 2,844 2,844 Total financial liabilities 367,977 4,231 1,691 373,899 (in millions) 2022 2021 Interest income calculated using the effective interest method 7,698 6,760 Other interest and similar income 236 258 Interest income 7,934 7,017 Interest expense calculated using the effective interest method 2,455 1,397 Other interest and similar expense 57 411 Interest expense 2,512 1,808 Net interest income 5,422 5,210 4 Net interest income Accounting policy for net interest income Interest income and expense on financial instruments is recognised in the income statement on an accrual basis using the effective interest rate method, except for those financial instruments measured at fair value through profit or loss. The effective interest rate method allocates interest, amortisation of any discount or premium or other differences, including transaction costs and qualifying fees and commissions, over the expected lives of the assets and liabilities. The effective interest rate is the rate that exactly discounts estimated future cash flows to the net carrying amount of the asset. As a result, this method requires ABN AMRO to estimate future cash flows, in some cases based on its experience of client behaviour, considering all contractual terms of the financial instrument, as well as the expected lives of the assets and liabilities. Interest on loans and advances measured at fair value through profit or loss is also included in net interest income and recognised using the contractual interest rate. Interest income and expense on trading balances is included in net trading income. Interest paid on assets with a negative interest yield is classified as interest expense. Interest received from liabilities with a negative interest yield is classified as interest income. Interest income (in millions) 2022 2021 Interest income from: Financial investments at fair value through other comprehensive income 525 515 Securities financing 454 145 Loans and advances banks 388 58 Loans and advances customers 6,308 6,238 Non-trading derivatives - hedge accounting - Cash flow hedges 322 375 Non-trading derivatives - hedge accounting - Fair value hedges -897 -1,291 Other 598 720 Interest income calculated using the effective interest method 7,698 6,760 Financial assets at fair value through profit or loss 2 4 Non-trading derivatives - no hedge accounting 78 53 Other 156 201 Other interest and similar income 236 258 Total interest income 7,934 7,017 Interest expense(in millions) 2022 2021 Interest expenses from: Securities financing 262 69 Due to banks 119 67 Due to customers 833 320 Issued debt 932 864 Subordinated liabilities 337 352 Non-trading derivatives - hedge accounting - Cash flow hedges 472 411 Non-trading derivatives - hedge accounting - Fair value hedges -498 -909 Other -2 223 Interest expense calculated using the effective interest method 2,455 1,397 Financial liabilities at fair value through profit or loss 13 35 Non-trading derivatives - no hedge accounting 22 43 Other 22 333 Other interest and similar expense 57 411 Total interest expense 2,512 1,808 5 Net fee and commission income Accounting policy for net fee and commission income ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net fee and commission income. After identifying contracts and their performance obligations, revenue is recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for transferring promised services to clients. The transaction price is allocated to each performance obligation. Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates. The amount of revenue recognised is discounted to the present value of consideration due, if payment extends beyond normal credit terms. Revenue is recognised when a promised service is transferred to the client. Fees and commissions are recognised either: \u00c5 At a point in time: the fee is a reward for a service provided at a moment in time; or \u00c5 Over time (amortised): the fee relates to services on an ongoing basis. ABN AMRO engages in transactions where more than one party is involved in providing services to a client. In the case of these transactions, ABN AMRO assesses whether it is a principal or an agent in the transaction by evaluating the nature of its promise to the client. The bank is a principal if it controls the promised goods or services before they are transferred to a client. The bank is acting as an agent, of another party, if it provides a service of arranging for another party to transfer goods or services to a client and, as a result, does not control the specified goods or services. Control of goods and services refers to the ability to direct the use of, and obtain substantially all the remaining benefits from, the goods and services. If the bank is assessed to be a principal in the transaction, it recognises revenue in the gross amount of the consideration to which it expects to be entitled in exchange for the specified goods or services transferred. If, however, the bank acts as an agent, it recognises revenue in the amount of the fee or commission to which it expects to be entitled in exchange for arranging for the specified goods or services to be provided by the other party. The fee or commission may be the net amount of consideration that the bank retains after paying the other party the consideration received in exchange for the goods or services to be provided by that party. (in millions) 2022 2021 Fee and commission income 2,271 2,213 Fee and commission expense 493 550 Net fee and commission income 1,778 1,664 Fee and commission income 2022 Personal & Wealth Corporate Group (in millions) Business Banking Management Banking Functions Total Fee and commission income from: Securities and custodian services 15 58 541 2 617 Payment services 545 33 160 738 Portfolio management and trust fees 47 531 4 581 Guarantees and commitment fees 35 6 67 1 109 Insurance and investment fees 36 41 77 Other service fees 34 17 99 150 Total fee and commission income 711 686 871 3 2,271 Timing fee and commission income Recognised at a point in time 343 375 835 3 1,555 Recognised over time 369 311 36 1 716 Total fee and commission income 711 686 871 3 2,271 2021 Personal & Wealth Corporate Group (in millions) Business Banking Management Banking Functions Total Fee and commission income from: Securities and custodian services 19 62 570 2 653 Payment services 444 29 159 632 Portfolio management and trust fees 51 548 4 603 Guarantees and commitment fees 39 6 69 114 Insurance and investment fees 49 39 87 Other service fees 20 15 89 123 Total fee and commission income 621 699 891 3 2,213 Timing fee and commission income Recognised at a point in time 304 369 821 2 1,497 Recognised over time 318 330 69 717 Total fee and commission income 621 699 891 3 2,213 Fee and commission expense (in millions) 2022 2021 Fee and commission expenses from: Securities and custodian services 156 210 Payment services 200 191 Portfolio management and trust fees 67 73 Guarantees and commitment fees 28 28 Insurance and investment fees 24 31 Other service fees 18 16 Total fee and commission expense 493 550 6 Net income from other operating activities Accounting policy for other operating income Other operating income includes all other banking activities such as operating lease activities as lessor and results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair value changes relating to assets and liabilities measured at fair value through profit or loss, and changes in the value of derivatives related to such instruments. Dividend income from non-trading equity investments is recognised when entitlement is established. Income from operating lease activities is presented separately from the depreciation expense of the related assets. (in millions) 2022 2021 Income from lease activities 152 163 Disposal of operating activities and equity-accounted investments 147 3 Result from financial transactions 7 245 Other 69 395 Income from other operating activities 375 805 (in millions) 2022 2021 Expenses from lease activities 125 142 Expenses from other operating activities 125 142 In October 2022, the ECB announced a change in interest terms and conditions of its targeted longer-term refinancing operations programme (TLTRO III). Since 24 June 2022, the interest rate sensitivity of the TLTRO III funding was designated in a hedge relationship. As a result of the change in conditions, the hedge relationship was no longer effective and therefore had to be terminated. The negative mark-to-market of the hedging instrument at the date of termination was EUR 300 million and is recognised in Results from Financial Transactions. (in millions) 2022 2021 Interest instruments trading 155 28 Equity and commodity trading 7 Foreign exchange transaction results 127 110 Total net trading income 282 145 The net gains on derecognition of financial assets measured at amortised cost comprise EUR 33 million gains and EUR 32 million losses due to haircuts on loan disposals as part of the non-core wind-down. 7 Net trading income Accounting policy for net trading income In accordance with IFRS 9, trading positions are held at fair value, and net trading income includes gains and losses arising from changes in the fair value of such financial assets and liabilities. The latter comprises gains and losses from trading financial assets and liabilities, interest income and expenses related to trading financial assets and liabilities, and dividends received from trading instruments. Dividend income and dividends from trading instruments are recognised at the dividend announcement date. Net trading income also includes changes in fair value arising from changes in counterparty credit spreads (CVA) and changes in own credit spreads (DVA) where these impact on the value of our trading assets and liabilities. The funding valuation adjustment (FVA) incorporates the incremental cost of funding into the valuation of uncollateralised and partly collateralised derivatives.8 Net gains/(losses) on derecognition of financial assets measured at amortised cost Accounting policy derecognition of financial assets The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses recognised on the sale or derecognition of these financial assets, calculated as the difference between the carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received. 9 Personnel expenses Accounting policy for personnel expenses Salaries and wages, social security charges and other salary-related costs are recognised over the period in which the employees provide the services to which the payments relate. The accounting policies for pensions and other post-employment benefits are included in Note 31 Pension and other employee benefits. (in millions) 2022 2021 Salaries and wages 1,810 1,726 Social security charges 242 220 Expenses relating to Defined post employment benefit plans 14 3 Defined contribution plan expenses 321 291 Other 72 84 Total personnel expenses 2,458 2,324 10 General and administrative expenses Accounting policy for general and administrative expenses Costs are recognised in the period in which services have been provided and to which the payment relates. (in millions) 2022 2021 Agency staff, contractors and consultancy costs 810 875 Staff-related costs 52 38 Information technology costs 974 980 Housing 99 88 Post, telephone and transport 28 32 Marketing and public relations costs 92 84 Regulatory charges 426 463 Other 314 728 Total general and administrative expenses 2,796 3,287 (in millions) 2022 2021 Bank tax 97 150 Deposit Guarantee Scheme 93 127 Single Resolution Fund 207 159 Other regulatory levies 30 27 Total regulatory charges 426 463 Auditor\u2019s fees to EY are included under agency staff, contractors and consultancy costs. The fees stated for the audit of the financial statements are based on the total fees for the audit of the financial statements, regardless of whether the procedures were performed before the year-end. These are specified in the following table. (in millions) 2022 2021 Financial statements audit fees 15 15 Audit-related fees 2 2 Total auditor's fee 17 17 Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 13 million in 2022 (2021: EUR 13 million). Audit-related fees for activities in the Netherlands amounted to EUR 2 million in 2022 (2021: EUR 2 million). Audit-related fees comprise services for regulatory reporting purposes, comfort letters and consent letters, assurance engagements on segregation of assets, assurance on service organisation reports and procedures agreed for supervisory purposes. 11 Income tax expense, tax assets and tax liabilities Accounting policy for income tax expense, tax assets and tax liabilities Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and in the statement of other comprehensive income in the period in which profits arise. Withholding taxes are included in income tax when these taxes become payable by a subsidiary, associate or joint arrangement on distributions to ABN AMRO. Income tax recoverable on tax-allowable losses is recognised as a current tax asset only to the extent that it is regarded as recoverable by offsetting against taxable profits arising in the current or prior period. Current tax is measured using tax rates enacted at the balance sheet date. Deferred tax is recognised for qualifying temporary differences. Temporary differences represent the difference between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for taxation purposes. The amount of deferred tax provided is based on the expected manner of realisation or settlement of the carrying amount of assets and liabilities, using tax rates enacted at the balance sheet date. A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. Deferred tax assets and liabilities are offset only when there is both a legal right to offset and an intention to settle on a net basis. (in millions) 2022 2021 Recognised in income statement: Current tax expenses for the current period 530 675 Adjustments recognised in the period for current tax of prior periods -7 1 Total current tax expense 522 676 Deferred tax arising from the current period 2 -41 Impact of changes in tax rates on deferred taxes 1 -1 Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset -13 -24 Deferred tax prior period -2 -9 Previously unrecognised tax losses, tax credits and temporary differences reducing deferred tax expense -1 3 Total deferred tax expense -13 -72 Total income tax expense 509 604 Reconciliation of the total tax charge The effective tax rate based on the consolidated income statement differs from the theoretical tax rate that would arise using the statutory tax rate of the Netherlands. This difference is explained in the following table. (in millions) 2022 Effective tax rate 2021 Effective tax rate Profit/(loss) before taxation 2,376 1,838 Applicable tax rate 25.8% 25.0% Expected income tax expense 613 459 International tax rate difference -10 -0.4% -5 -0.3% Adjustment previous years -9 -0.4% -8 -0.4% Change in tax rates 1 0.0% -1 -0.1% Bank tax 24 1.0% 36 2.0% Non-taxable income -3 -0.1% -1 -0.1% Non-deductible expenses -6 -0.3% 152 8.3% Tax exempted result (participation exemption) -87 -3.7% -45 -2.4% Losses not benefited -1 -0.1% 40 2.2% Change recognition of deferred tax assets -13 -0.5% -24 -1.3% Other tax effects 1 0.0% 0.0% Actual income tax expense 509 21.4% 604 32.9% The effective tax rate in 2022 (21.4%) is lower than in 2021 (32.9%). This decrease was mainly driven by the AML settlement recorded in 2021, which was not tax deductible. The effective tax rate of 21.4%, compared to the standard Dutch rate of 25.8%, was mainly driven by proceeds and revaluations exempted under the Dutch participation exemption, offset by the non-deductible Dutch bank tax. Tax assets and liabilities The most significant temporary differences arise from the revaluation of certain financial assets and liabilities, including derivative contracts, allowances for loan impairment and investments. The following table summarises the tax position. 31 December 2022 31 December 2021 (in millions) Assets Liabilities Assets Liabilities Current tax 68 22 119 101 Deferred tax 497 620 Total tax assets and liabilities 565 22 739 101 The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in the following tables. As at Of which: Of which: As at 31 December Income 31 December deferred deferred (in millions) 2021 statement OCI Equity Other 2022 tax asset tax liability Assets and liabilities held for trading, derivatives and financial investments 448 -1 -131 315 341 25 Property and equipment (excluding leases) and intangible assets 18 6 23 25 3 Loans 7 6 12 13 Equity-accounted investments Leases 37 1 38 96 58 Pensions and other (post-)employment benefits 11 -1 -1 9 9 Provisions 24 -2 -2 20 21 Tax losses carried forward 51 -12 1 40 40 Other 24 17 -2 39 49 10 Deferred tax assets (+) and liabilities (-) 620 13 -137 497 593 97 Offsetting deferred tax assets and liabilities 97 97 Net deferred tax assets (+) and liabilities (-) 497 As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions) 2020 statement OCI Equity Other 2021 tax asset tax liability Assets and liabilities held for trading, derivatives and financial investments 560 1 -113 448 538 90 Property and equipment (excluding leases) and intangible assets 15 3 18 22 4 Loans 6 1 7 7 1 Equity-accounted investments 3 -3 Leases 5 32 37 110 72 Pensions and other (post-)employment benefits 20 -6 -3 11 11 Provisions 17 9 -2 24 24 Tax losses carried forward 25 25 51 51 Other 19 9 -5 24 47 23 Deferred tax assets (+) and liabilities (-) 671 72 -123 1 620 811 191 Offsetting deferred tax assets and liabilities 191 191 Net deferred tax assets (+) and liabilities (-) 620 Deferred tax assets Deferred tax assets are recognised to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. Recognition is based on estimates of taxable income by jurisdiction in which ABN AMRO operates and the period over which deferred tax assets are recoverable. In the event that actual results differ from these estimates in future periods, changes to the recognition of deferred tax assets could be required and these could impact our financial position and net profit. No deferred income taxes have been recognised on undistributed earnings of ABN AMRO\u2019s subsidiaries, branches and interests in joint ventures. Tax losses The total accumulated losses available for carry-forward at 31 December 2022 amounted to EUR 1,428 million (31 December 2021: EUR 2,550 million), of which EUR 194 million (31 December 2021: EUR 202 million) was recognised for future tax benefits. The recorded deferred tax asset for tax losses carried forward amounted to EUR 40 million (31 December 2021: EUR 51 million). Unrecognised tax assets Certain amounts of deferred tax assets are not recognised because future taxable profits are not considered probable. Deferred tax assets for an amount of EUR 58 million (31 December 2021: EUR 83 million) have not been recognised in respect of deductible temporary differences of EUR 242 million (31 December 2021: EUR 342 million). In addition, deferred tax assets for an amount of EUR 239 million (31 December 2021: EUR 429 million) have not been recognised in respect of tax losses of EUR 1,234 million (31 December 2021: EUR 2,348 million). In 2022, an amount of EUR 1,190 million of unrecognised tax losses was finally written off, due to liquidation of the company and branch holding these losses. No use for these losses could be identified. Tax credits and unrecognised tax credits ABN AMRO did not have any carry-forward tax credits at 31 December 2022. Loss carry-forward by year of expiration After No (in millions) 2022 2023 2024 2025 2026 2027 5 years expiration Total 2022 Loss carry-forward recognised 60 135 194 Loss carry-forward not recognised 1,234 1,234 Total tax losses carry-forward (gross) 60 1,369 1,428 2021 Loss carry-forward recognised 24 177 202 Loss carry-forward not recognised 11 2 3 39 3 2,290 2,348 Total tax losses carry-forward (gross) 11 2 3 39 3 24 2,468 2,550 Of the total amount of recognised net deferred tax assets, EUR 20 million (31 December 2021: EUR 57 million) was related to entities that suffered a loss in either the current or preceding year. The recognition of these deferred tax assets is based on a projection of future taxable income. Tax related to equity Tax related to components of other comprehensive income and tax related to equity and movements in equity can be found in the Consolidated statement of comprehensive income and the Consolidated statement of changes in equity. Income tax consequences of dividend Dividends are, in principle, subject to a 15% withholding tax in the Netherlands. In 2022, ABN AMRO Bank N.V. withheld EUR 128 million of dividend withholding tax on dividends paid to its shareholders. Country-by-country reporting 31 December 2022 Operating Total profit/(loss) operating Average before Income Income Total income number of taxation (in tax expense tax paid Principal subsidiary Main activity assets (in millions) FTEs millions) (in millions) (in millions) Netherlands ABN AMRO Bank N.V. Personal & Business 346,618 6,732 17,101 1,957 424 522 Banking France Banque Neuflize OBC S.A. Wealth Management 4,935 320 848 80 13 7 Germany ABN AMRO Bank N.V. Wealth Management 3,231 201 734 24 10 -4 Frankfurt Branch Belgium ABN AMRO Bank N.V. Wealth Management 1,105 91 373 10 Branch Belgium United Kingdom ABN AMRO Asset based Corporate Banking 1,829 62 326 53 8 5 Finance N.V., UK branche Norway ABN AMRO Bank N.V. Corporate Banking 2,043 60 16 43 9 1 Oslo Branch United States ABN AMRO Clearing Corporate Banking 16,732 187 337 102 29 -4 Chicago LLC Brazil Banco ABN AMRO S.A. Corporate Banking 210 14 33 12 4 Singapore ABN AMRO Clearing Corporate Banking 2,053 78 155 47 4 4 Singapore Pte. Ltd. Hong Kong ABN AMRO Clearing Corporate Banking 295 52 61 34 5 5 Hong Kong Ltd. Japan ABN AMRO Clearing Corporate Banking 262 20 23 8 2 4 Tokyo Co. Ltd. Australia ABN AMRO Clearing Corporate Banking 337 15 68 3 2 Sydney Pty Ltd. Other -69 8 5 4 Total 379,581 7,841 20,080 2,376 509 544 31 December 2021 Operating Total profit/(loss) operating Average before Income tax Income tax Total income (in number of taxation expense paid Principal subsidiary Main activity assets millions) FTEs (in millions) (in millions) (in millions) Netherlands ABN AMRO Bank N.V. Personal & Business 364,653 6,806 16,491 1,884 566 421 Banking France Banque Neuflize OBC S.A. Wealth Management 5,061 310 822 85 25 54 Germany Bethmann Bank AG Wealth Management 3,711 63 689 -118 2 8 Belgium ABN AMRO Bank N.V. Wealth Management 1,268 87 381 10 5 Branch Belgium United Kingdom ABN AMRO Asset based Corporate Banking 2,169 58 318 -18 -3 3 Finance N.V., UK branche Norway ABN AMRO Bank N.V. Corporate Banking 2,011 31 17 33 -18 Oslo Branch United States ABN AMRO Clearing Corporate Banking 16,131 70 395 -109 16 32 Chicago LLC Brazil Banco ABN AMRO S.A. Corporate Banking 224 11 55 7 -4 2 Singapore ABN AMRO Bank N.V. Corporate Banking 3,037 83 214 35 5 6 Branch Singapore Hong Kong ABN AMRO Bank N.V. Corporate Banking 553 35 88 15 4 6 Branch Hong Kong Japan ABN AMRO Clearing Corporate Banking 57 20 18 9 3 3 Tokyo Co. Ltd. United Arab ABN AMRO Bank N.V. Wealth Management 2 Emirates Branch UAE/DIFC Australia ABN AMRO Clearing Corporate Banking 380 20 68 5 3 Sydney Pty Ltd. Other -143 5 25 -1 Total 399,113 7,597 19,583 1,838 604 534 ABN AMRO received government grants for its participation in the TLTRO programmes in 2022 and 2021. For more information, please refer to the Note 27 Due to banks. (in millions) 31 December 2022 31 December 2021 Assets Cash on hand and other cash equivalents 342 12 Balances with central banks readily convertible in cash other than mandatory reserve deposits 60,523 66,853 Total cash and balances at central banks 60,865 66,865 12 Earnings per share The following table shows the composition of basic earnings per share at 31 December. 2022 2021 Profit/(loss) for Number Earnings per Profit/(loss) Number Earnings per 1 1 (in millions) the periodof shares share (in EUR) for the periodof shares share (in EUR) Basic earnings 1,776 908 1.96 1,140 940 1.21 1 Earnings consist of profit excluding results attributable to non-controlling interests and payments to holders of AT1 instruments. ABN AMRO Bank N.V. does not have any dilutive potential ordinary shares. Therefore only basic earnings per ordinary share is disclosed. Basic earnings per ordinary share is calculated by dividing the profit attributable to the owners of the parent company by the weighted average number of ordinary shares outstanding. During 2022, a final dividend was distributed for 2021 of EUR 0.61 per share for a total of EUR 553 million and an interim dividend was distributed for 2022 of EUR 0.32 per share for a total of EUR 287 million. For the year 2022, a final dividend has been proposed of EUR 0.67 per share. During the first half of 2022, ABN AMRO Bank N.V. conducted a EUR 500 million buyback programme. The buyback programme resulted in the purchase of 42 million ordinary shares throughout the first half year. As a result, the weighted average number of ordinary shares was 908 million. 13 Cash and balances at central banks Accounting policy for cash and balances at central banks Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits are disclosed in Note 20 Loans and advances banks. 14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. Financial assets held for trading (in millions) 31 December 2022 31 December 2021 Trading securities Government bonds 214 480 Corporate debt securities 681 670 Equity securities 10 3 Total trading securities 906 1,153 Other trading assets 1 2 Total financial assets held for trading 907 1,155 These portfolios consist of primary dealership positions of ABN AMRO Bank N.V. in the respective countries and positions for the purpose of client facilitation. 31 December 2022 Hedge Total Derivatives held for trading Economic hedges accounting derivatives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 51 51 Fair value liabilities 10 10 Notionals 15,853 5 15,858 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,331,761 886 101,439 1,434,086 Other bilateral Fair value assets 4,035 742 3 46 312 23 5,161 Fair value liabilities 2,841 817 3 95 48 334 4,138 Notionals 206,343 54,289 241 661 17,468 89,813 368,814 Total Fair value assets 4,086 742 3 46 312 23 5,212 Fair value liabilities 2,851 817 3 95 48 334 4,148 Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758 Financial liabilities held for trading (in millions) 31 December 2022 31 December 2021 Bonds 609 654 Equity securities 1 Total short security positions 610 654 Other liabilities held for trading 32 33 Total financial liabilities held for trading 641 687 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 31 December 2021 Hedge Total deriva-Derivatives held for trading Economic hedges accounting tives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 4 4 Fair value liabilities 3 3 Notionals 4,217 9 1 4,226 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,026,420 1,195 106,305 1,133,920 Other bilateral Fair value assets 2,385 509 78 68 177 13 552 3,781 Fair value liabilities 2,865 563 113 143 11 8 3 535 4,341 Notionals 148,764 48,213 1,498 1,048 10,621 74 59,651 269,869 Total Fair value assets 2,388 509 78 68 177 13 552 3,785 Fair value liabilities 2,866 567 113 143 11 8 3 535 4,344 Notionals 1,179,401 48,222 1,499 2,243 10,621 74 165,956 1,408,016 16 Hedge accounting Accounting policy for hedge accounting ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties to hedge risks on assets, liabilities and net investments. The accounting treatment of the hedged item and the hedging instrument depends on whether the hedge relationship qualifies for hedge accounting. Qualifying hedges may be designated as fair value hedges, cash flow hedges or hedges of net investments. A non-derivative financial asset or liability may be designated as a hedging instrument for hedge accounting purposes only if it hedges the risk of changes in foreign currency exchange rates. The hedged item can be an asset, liability, or net investment in a foreign operation that (a) exposes the entity to the risk of changes in fair value or future cash flows, and (b) is designated as being hedged. The hedged risks are typically changes in interest rates or foreign currency rates. ABN AMRO\u2019s market risk management strategy, which includes interest rate risk and foreign currency risk in the banking book, is described in more detail in the Risk, funding & capital management section. Both at the inception of the hedge and on an ongoing basis, ABN AMRO assesses whether the derivatives designated in each hedging relationship are expected to be and have been highly effective in offsetting changes in the fair value or cash flows of the hedged item. These prospective and retrospective effectiveness tests are performed by using a regression analysis. ABN AMRO applies the following criteria to assess whether the hedging relationship is effective: \u00c5 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and \u00c5 A slope of the regression line is within a range of 0.80-1.25. Hedge ineffectiveness and gains and losses on components of a derivative that are excluded from the assessment of hedge effectiveness are recorded directly in the result from financial transactions as part of other operating income. ABN AMRO discontinues hedge accounting when the hedge relationship has ceased to be effective or is no longer expected to be effective, or when the derivative or hedged item is sold or otherwise terminated. Application of IAS 39 as endorsed by the European Union As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39 as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9. The EU-endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared to the full hedge accounting text of IAS 39. One of these reliefs is that negative credit spreads can be excluded from hedge relationships. ABN AMRO applies this to several micro fair value hedge relationships. Another relief is that the impact of changes in the estimates of the repricing dates is considered ineffective only if it leads to over-hedging. This relief is applied in the macro fair value hedge. Fair value hedges ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges the exposure to changes in the fair value of the hedged item, the hedged item is adjusted in relation to the risk being hedged. Gains or losses on remeasurement of both the hedging instrument and the hedged item are recognised in the income statement as result from financial transactions, which is part of the line item Other operating income. Hedge effectiveness for fair value hedges is measured as the amount by which the changes in the fair value of the hedging instrument are different from the changes in the fair value of the hedged item. When a fair value hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged item is derecognised. Micro fair value hedge accounting Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes in the fair value of fixed-rate assets and fixed-rate liabilities due to changes in market interest rates. The main sources of hedge ineffectiveness in micro fair value hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; \u00c5 The difference in discounting between the hedged item and the hedging instrument; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. Macro fair value hedge accounting ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps. The exposure from this portfolio frequently changes due to new loans originated, contractual repayments and prepayments made by clients in each period. More than one group (or portfolio) of mortgages can be identified as the hedged item within the fixed-rate mortgage portfolio. To ensure an effective matching of hedged items and hedging instruments, ABN AMRO applies a dynamic strategy in which hedged items are de-designated and re-designated on a monthly basis. The hedge accounting relationship is reviewed and re-designated on a monthly basis. Hedged mortgages are fixed-rate mortgages with the following features: \u00c5 denominated in local currency (euros); \u00c5 fixed term to maturity or repricing; \u00c5 pre-payable amortising or fixed principal amounts; \u00c5 fixed interest payment dates; \u00c5 no interest rate options; \u00c5 accounted for on an amortised cost basis. At each designation, the mortgage cash flows are allocated to monthly time buckets, based on the expected maturity dates. ABN AMRO models the maturity dates of mortgages, taking into account the modelled prepayments applied to the contractual cash flows and the maturity dates of the mortgage portfolio. If the interest rate swap notional exceeds the expected mortgage notional in any given month, taking into account the uncertainty of the expected mortgage notional by applying a haircut, mortgages that mature in adjacent buckets are designated to the interest rate swaps. Changes in the fair value of the mortgages that are attributable to the hedged interest rate risk are recognised as fair value adjustments from hedge accounting in the income statement and adjust the carrying amount of the mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value of the interest rate swaps and therefore reduce the profit or loss volatility that would otherwise arise from changes in the fair value of the interest rate swaps alone. At the start of the hedge relationships and at each monthly de-designation, the difference between the fair value attributable to the hedged interest rate risk and the carrying amount of the hedged mortgages is amortised over the remaining life of the hedged item. In addition to the sources of ineffectiveness described for micro fair value hedges, the sources of ineffectiveness specifically for macro hedges are: \u00c5 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent the difference would lead to over-hedging; and \u00c5 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages). Cash flow hedges ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or re-designated, if necessary, to maintain an effective hedge accounting relationship. When a derivative financial instrument hedges the exposure to variability in the cash flows from a hedged item, the effective part of any gain or loss on remeasurement of the hedging instrument is recognised directly in other comprehensive income. Hedge effectiveness for the macro cash flow hedge is measured as the amount by which the changes in the fair value of the interest rate swaps are in excess of changes in the fair value of the expected cash flows in the hedge relationship. Any ineffective part of the cash flow hedge is recognised in other operating income immediately. When a cash flow hedging instrument or hedge relationship is terminated but the hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised in other comprehensive income and are transferred to the income statement when the hedged transaction affects profit or loss. The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that the hedged transaction is no longer expected to occur, the accumulated gains or losses recognised in other comprehensive income are recognised in the income statement immediately. The main sources of hedge ineffectiveness for cash flow hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. The hedged items in the macro cash flow hedge are future cash flows, which are derived from the projected balance sheet. This projected balance sheet takes the contractual terms and conditions of financial assets and liabilities and combines these with estimated prepayments, volume growth rates and interest scenarios. Within the projected balance sheet, assets and liabilities are grouped on the basis of the specific interest rate index on which they reprice (e.g. one month, three months, six months, twelve months). For each repricing index, all assets and liabilities are allocated on a gross basis to monthly buckets in which they reprice up until their maturity. The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped per interest rate index and allocated to monthly repricing buckets until their maturity. The hedge relationship is established by designating the interest rate swap cash flows per bucket to the corresponding bucket of projected cash flows of the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If there are no projected cash flows available in the corresponding bucket for the applicable benchmark rate, the interest rate swap cash flows are designated to projected cash flows in a bucket with a different benchmark. The availability of projected cash flows in the buckets is not constant over time and is therefore evaluated on a monthly basis. Changes in cash flow projections may lead to a revision of the designation. Back-testing is performed on the interest rate risk models. Historical data are used to review the assumptions applied. Hedges of net investments in foreign operations ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net investments in foreign operations. For such hedges, currency translation differences arising on translation of the currency of these instruments to euros are recognised directly in the currency translation reserve in other comprehensive income, insofar as they are effective. The accumulated gains or losses recognised in other comprehensive income are transferred to the income statement on the disposal of the foreign operation. In previous years, ABN AMRO hedged its currency exposure to certain investments in foreign operations by hedging its net investment in these foreign operations with forward contracts. ABN AMRO currently still holds some currency translation reserve for these respective positions, but no longer applies net investment hedge accounting. Hedges not qualifying for hedge accounting The fair value changes of derivative transactions used to hedge against economic risk exposures that do not qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised directly in profit or loss. Effect on financial position and performance - hedging instruments Changes in fair value Line item in the used for calculation Notional statement of hedge ineffectiveness amount Carrying amount financial position for the year (in millions) Assets Liabilities 31 December 2022 Cash flow hedges - macro Interest rate 50,106 Derivatives 777 Fair value hedges - macro Interest rate 47,759 Derivatives 11,020 Fair value hedges - micro Interest rate 93,387 23 334 Derivatives -4,007 Economic hedges Total economic hedges 19,014 358 143 Derivatives n/a 31 December 2021 Cash flow hedges - macro Interest rate 25,269 Derivatives 443 Fair value hedges - macro Interest rate 46,278 Derivatives 1,610 Fair value hedges - micro Interest rate 94,409 552 535 Derivatives -1,063 Economic hedges Total economic hedges 12,938 258 264 Derivatives n/a The deltas in the hedge accounting numbers are largely caused by interest rate developments in 2022. Starting Q2 2022 a hedge relationship was in place for the TLTRO programme. After the change in conditions by ECB in Q4 2022 the hedge relationship had to be terminated. All hedge adjustments have been reverted and the result on the hedges are reported under other income. Please refer to Note 6, Net income from other operating activities, for further details. Effect on financial position and performance - hedged item Change in value used Accumulated Line item in for calculating Cash flow hedge amount of fair value the statement hedge reserve/Foreign Carrying amount hedge adjustments of financial ineffectiveness currency translation of the hedged item on the hedged item position for the year reserve Continuing Discontin-Assets Liabilities Assets Liabilities hedges ued hedges active and active and active and active and (in millions) discontinued discontinued discontinued discontinued 31 December 2022 Cash flow hedges - macro Interest rate -763 11 3 -1,388 Fair value hedges - macro Residential Interest rate - Financial assets at AC 38,270 -9,489 mortgages -10,873 Fair value hedges - micro Interest rate - Financial assets at Financial FVOCI 34,276 -3,119 investments -4,778 Corporate & Interest rate - Financial assets at AC 762 154 Other loans -357 Issued debt & Interest rate - Financial liabilities Subordinated at AC 48,473 -6,700 liabilities 9,025 Net investment hedges Currency -42 31 December 2021 Cash flow hedges - macro Interest rate -449 -690 -1,386 Fair value hedges - macro Interest rate - Financial assets at AC Residential 46,278 1,442 mortgages -1,603 Fair value hedges - micro Interest rate - Financial assets at Financial FVOCI 37,547 1,636 investments -1,389 Interest rate - Financial assets at AC Corporate & 1,088 509 Other loans -142 Interest rate - Financial liabilities Issued debt & Subordinated at AC 59,336 2,230 liabilities 2,548 Net investment hedges Currency -42 The accumulated amount of fair value hedge adjustments remaining in the statement of financial position for hedged items that have ceased to be adjusted for hedging gains and losses amounted to EUR -0.9 billion at 31 December 2022 (31 December 2021: EUR 0.2 billion). Effect on financial position and performance - hedge ineffectiveness and hedging gains or losses Amount re-Amount Changes in classified from reclassified fair value used Change in Change in the cash flow from the for calculation value used for Line item in the value of hedge reserve foreign Line item hedge calculating hedge Hedge profit or loss the hedging to profit or loss currency affected in profit ineffectiveness ineffectiveness ineffectivenes (that includes instrument - hedges item translation or loss because for the year - for the year - recognised in hedge ineffec-recognised affected profit reserve to of the 1 2 (in millions) hedged item hedging instrument profit or loss tiveness) in OCIor lossprofit or loss reclassification 31 December 2022 Cash flow hedges - macro Other operating Net interest Interest rate -763 777 14 income 762 39 income Fair value hedges - macro Other operating Interest rate -10,873 11,020 147 income Fair value hedges - micro Other operating Interest rate 3,891 -4,007 -116 income Net investment hedges Other operating Currency income 31 December 2021 Cash flow hedges - macro Other Interest rate operating Net interest -449 443 -6 income 451 -54 income Fair value hedges - macro Other Interest rate operating -1,603 1,610 7 income Fair value hedges - micro Other Interest rate operating 1,018 -1,063 -45 income Net investment hedges Other operating Currency income 1 The amount reconciles to \u2018Net gains/(losses) arising during the period\u2019 in the specification of \u2018Accumulated other comprehensive income\u2019 in the consolidated statement of equity. 2 The amount reconciles to \u2018Less: Net realised gains/(losses) included in income statement\u2019 in the specification of \u2018Accumulated other comprehensive income\u2019 in the consolidated Amount, timing and uncertainty of future cash flows - hedging instruments More than More than More than Within 3 months but 1 year but 5 years but More than (in millions, nominal amounts) 3 months within 1 year within 5 years within 10 years 10 years Total 31 December 2022 Fair value hedges - micro Payers - Interest rate 1,613 4,368 18,106 8,437 5,388 37,913 Receivers - Interest rate 2,658 4,258 17,772 13,041 17,746 55,475 31 December 2021 Fair value hedges - micro Payers - Interest rate 1,195 4,508 19,213 7,372 4,399 36,687 Receivers - Interest rate 4,818 5,508 20,114 10,945 16,337 57,721 The weighted average fixed rate of the interest rate swaps included in micro hedge relationships varied between 1.4% and 2.0% as at 31 December 2022 (1.4% and 2.1% as at 31 December 2021), depending on the origination date, currency, product type and original maturity. 17 Financial investments Accounting policy for financial investments Financial investments include financial instruments measured at fair value through other comprehensive income (FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL). Accounting policy for financial instruments measured at fair value through other comprehensive income Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net of applicable taxes.Interest earned, premiums, discounts and qualifying transaction costs of interest-earning FVOCI assets are amortised to income on an effective interest rate basis. When FVOCI debt instruments are sold, the cumulative gain or loss recognised in other comprehensive income is transferred to other operating income in the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised in the impairment charges on financial instruments in the income statement. The related loss allowance is recognised in other comprehensive income and does not reduce the carrying amount of the FVOCI debt instruments. ABN AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set out in Credit risk management in the Risk, funding & capital management chapter. Fair value changes in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other comprehensive income and not subsequently reclassified to the income statement. Accounting policy for financial instruments measured at fair value through profit and loss Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are mandatorily measured at fair value because they do not meet the SPPI test. (in millions) 31 December 2022 31 December 2021 Financial investments Debt securities held at fair value through other comprehensive income 38,408 42,585 Held at fair value through profit or loss 626 580 Total financial investments 39,034 43,165 Interest rate benchmark reform ABN AMRO has analysed its significant hedging relationships directly affected by the benchmark reform. Most of ABN AMRO\u2019s financial instruments are linked to euro area benchmarks and, as a result, so are its hedging relationships. Of the non-euro area benchmarks relevant for ABN AMRO, all benchmarks other than USD LIBOR already reformed before 2022. As a consequence, ABN AMRO\u2019s hedging relationships affected by the IBOR reform comprise only a small percentage of its total hedging relationships. A total of EUR 191.3 billion of notional derivatives were part of hedging relationships at 31 December 2022, of which EUR 175.5 billion was linked to EURIBOR and EUR 15.7 billion to other benchmarks. Of the derivative contracts linked to a non-EURIBOR benchmark, a notional amount of EUR 9.9 billion will mature before cessation of the reference benchmark. These contracts are therefore not affected by the IBOR reform. A remaining total of EUR 5.8 billion notional is exposed to benchmarks under reform. The contracts exposed to benchmarks under reform have an average maturity of 2.6 years and are all referencing 3-months USD LIBOR. At the year-end, an exposure remained to IBOR rates subject to reform that still have to transition. Trades that refer to an IBOR rate, but mature before a transition is required are excluded from the overview. For non-derivative asset contracts, contracts referring to USD LIBOR amounted to EUR 3.7 billion. For non-derivative liability contracts, there were no contracts referring to a USD LIBOR at year-end 2022. For derivative contracts, contracts referring to USD LIBOR amounted to EUR 53.9 billion notional (gross value, hence no offsetting effects shown), of which EUR 19.9 billion has no exposure to USD LIBOR after cessation date. The exposure after cessation date is EUR 34.0 billion, of which EUR 8.4 billion relates to bilateral contracts.Critical accounting estimates and judgements Interest-bearing debt securities classified as FVOCI investments are assessed at each reporting date to establish whether there are any expected credit losses. ABN AMRO has developed models to determine such credit losses. Impairment charges on FVOCI instruments are recorded in (un)realised gains/(losses) fair value through OCI in the statement of comprehensive income. Financial investments measured at fair value through other comprehensive income The fair value of financial investments measured at FVOCI is specified in the following table. (in millions) 31 December 2022 31 December 2021 Interest-earning securities Dutch government 2,465 4,028 US Treasury and US government 7,238 6,628 Other OECD government 18,158 20,550 Non-OECD government 142 996 International bonds issued by the European Union 2,415 2,262 European Stability Mechanism 1,704 1,964 Mortgage- and other asset-backed securities 3,274 3,168 Financial institutions 2,998 2,989 Non-financial institutions 15 1 Total investments held at fair value through other comprehensive income 38,408 42,585 Most of these instruments are part of the liquidity buffer and are held for liquidity contingency purposes. Government bonds by country of origin 31 December 2022 31 December 2021 Accumulated Accumulated unrealised gains/unrealised gains/(losses) and fair value (losses) and fair value (in millions) hedges gains/(losses) Impairments Fair value hedges gains/(losses) Impairments Fair value Dutch national government -148 2,465 402 4,028 USA national government -317 7,238 109 6,628 German national government -310 5,145 444 6,589 French national government -190 1,855 63 3,097 Belgian national government -268 -1 2,567 11 2 -1 2,953 Austrian national government -75 1,481 176 1,873 Finnish national government -61 1,116 66 1,414 Luxembourg national government -101 1,238 40 1,256 Canadian national government -104 1,126 27 1,164 Japanese national government -1 2,464 959 Polish national government 25 320 145 439 Spanish national government 63 300 United Kingdom national government 10 180 110 290 Danish national government -19 260 1 211 Swedish national government 4 4 Hong Kong 170 Brazilian national government 72 61 Singapore national government 70 765 European Union bonds (excl. European Stability Mechanism) -695 2,415 42 2,262 Italian national government -91 340 Total government bonds -2,345 -1 30,418 1,737 -1 34,463 Financial investments measured at fair value through profit or loss (in millions) 31 December 2022 31 December 2021 Private equities and venture capital 418 369 Equity securities 207 211 Total investments held at fair value through profit or loss 626 580 18 Securities financing Accounting policy for securities financing Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are generally entered into on a collateralised basis, with securities usually advanced or received as collateral. The transfer of the securities themselves is not reflected in the statement of financial position unless the risks and rewards of ownership are also transferred. If cash is advanced or received, securities borrowing and lending activities are recorded at the amount of cash advanced (included in loans and advances) or received (due to banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and the collateral levels are adjusted in accordance with the underlying transactions. Fees and interest received or paid are recognised on an effective interest rate basis and recorded as interest income or interest expense. Sale and repurchase transactions involve purchases (or sales) of investments with agreements to resell (or repurchase) substantially identical investments at a certain date in the future at a fixed price. Investments purchased subject to commitments to resell them at future dates are not recognised. The amounts paid are recognised in loans and advances to either banks or customers and are shown as collateralised by the underlying security. Investments sold under repurchase agreements continue to be recognised in the statement of financial position. Proceeds from the sale of the investments are reported as liabilities to either banks or customers. The difference between the sale and repurchase price is recognised over the period of the transaction and recorded as interest income or interest expense, using the effective interest rate method. If borrowed securities are sold to third parties, the proceeds from the sale and a liability for the obligation to return the collateral are recorded at fair value. 31 December 2022 31 December 2021 (in millions) Banks Customers Total Banks Customers Total Assets Reverse repurchase agreements 2,649 11,591 14,239 3,181 6,733 9,914 Securities borrowing transactions 2,900 2,893 5,793 2,973 3,251 6,225 Total 5,548 14,484 20,032 6,154 9,984 16,138 Liabilities Repurchase agreements 219 8,359 8,578 11 5 8,372 8,488 Securities lending transactions 474 600 1,074 4 1,003 1,007 Total 692 8,960 9,652 119 9,375 9,494 Securities financing transactions include balances relating to reverse repurchase activities and cash collateral on securities borrowed. ABN AMRO controls the credit risk associated with these activities by monitoring counterparty credit exposure and collateral values on a daily basis and requiring additional collateral to be deposited with ABN AMRO when deemed necessary. The total reverse repurchase agreements increased during the year by EUR 4.3 billion due to agreements with several large clients. Items of securities financing transactions that ABN AMRO can repledge or resell are included in Note 34 Transferred, pledged, encumbered and restricted assets. 19 Fair value of financial instruments carried at fair value Accounting policy for fair value of financial instruments The fair value is defined as the price that would be received when selling an asset or paid when transferring a liability in an orderly transaction between market participants at the measurement date. For financial instruments that are actively traded and for which quoted market prices or market parameters are readily available, the fair value is determined in a highly objective manner. However, when observable market prices and parameters do not exist, management judgement is necessary to estimate fair value. For financial instruments where no active liquid market exists, or quoted prices are unobtainable, recent market transactions are used or the fair value is estimated using a variety of valuation techniques \u2013 including reference to similar instruments for which market prices do exist, or to valuation techniques such as discounted cash flow models or option pricing models (e.g. Black Scholes). When portfolios of financial assets and liabilities are measured on the basis of the net exposure to the credit risk of a particular counterparty, any existing arrangements that mitigate the credit risk exposure (e.g. master netting agreements with the counterparty) are taken into account. Unobservable inputs are estimated using a combination of management judgement, historical data, market practice and benchmarking to other relevant observable market data. The difference between the transaction price and the internal valuation at inception, calculated using a model, is reserved and amortised to profit or loss at appropriate points over the life of the instrument, typically taking account of the ability to obtain reliable external data, the passage of time and the use of offsetting transactions. Where inputs to the valuation of a new transaction cannot be reliably determined, the transaction is initially recognised at its transaction price. Subsequent changes in fair value as calculated by the valuation model are reported as profit or loss or in equity. \u00c5 In order to determine a reliable fair value, where appropriate, management applies valuation adjustments to the pricing information derived from the above sources. These adjustments reflect management\u2019s assessment of factors that market participants would consider in setting a price, to the extent that these factors have not already been included in the information from the above sources. The main valuation adjustments required to arrive at a fair value are as follows: \u00c5 Credit and debit valuation adjustments. In addition to credit valuation for loans measured at fair value through profit or loss, credit valuation adjustments and debit valuation adjustments are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and how counterparties consider ABN AMRO\u2019s creditworthiness respectively; \u00c5 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives; \u00c5 Own credit adjustment. An own credit risk adjustment is applied to financial liabilities where it is believed that counterparties will consider ABN AMRO\u2019s creditworthiness when pricing such instruments; \u00c5 Model valuation adjustments for any known limitations. Management assesses the appropriateness of any model used on an ongoing basis. To the extent that the price provided by internal models does not represent the fair value of the instrument, for instance in highly stressed market conditions, management makes adjustments to the model valuation to calibrate to other available pricing sources. We believe our estimates of the fair value are adequate. However, the use of different models or assumptions could result in changes to our reported results. Valuation control framework ABN AMRO has designated controls and processes in place for determining the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols for independent review and validation of fair values separate from those businesses entering into the transactions. This includes specific controls to ensure consistent pricing policies and procedures, incorporating disciplined price verification for both market and counterparty risk trades. The business entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. There are daily controls of the profit or loss recorded by trading and treasury front-office staff. A key element of the control environment, segregated from the recording of the transaction\u2019s valuation, is the independent price-verification process. Valuations are first calculated by the business. Such valuations may be current bid or offer prices in an active market, or may be derived using a model and variable model inputs. These valuations are reviewed and, if necessary, amended by the independent price-verification process. This process involves a team, independent of those trading the financial instruments, performing a review of valuations in the light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The minimum frequency of review is monthly, both for trading positions and non-trading positions. The independent price-verification control includes formalised reporting and escalation to management of any valuation differences in breach of defined thresholds. When models are used to value products, those models are subject to a model review process. This process requires different levels of model documentation, testing and review, depending on the complexity of the model and the size of our exposure to the model. Valuation techniques A number of methodologies are used to determine the fair value of financial instruments for which observable prices in active markets for identical instruments are not available. Values between and beyond available data points are obtained by interpolation and/or extrapolation. When valuation techniques are used, the fair value can be significantly impacted by the choice of valuation model and underlying assumptions made concerning factors such as the amount and timing of cash flows, discount rates and credit risk. Interest rate derivatives This category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting those cash flows, using appropriate interest rate curves. The exception is interest option contracts, which are valued using market standard option pricing models. The inputs for the discounting cash flow models are principally observable benchmark interest rates in active markets such as the interbank rates and quoted interest rates in the swap, bond and futures markets. The inputs for credit spreads \u2013 where available \u2013 are derived from prices of credit default swaps or other credit-based instruments, such as debt securities. In other cases, credit spreads are obtained from pricing services. The additional inputs for the option pricing models are price volatilities and correlations, which are obtained from broker quotations or pricing services or derived from option prices. Because of the observability of the inputs used in the valuation models, the majority of the interest rate derivative contracts are classified as level 2. If adjustments to interest rate curves, credit spreads, correlations or volatilities are based on significant unobservable inputs, the contracts are classified as level 3. Exchange traded options and futures are valued using quoted market prices and are hence classified as level 1. Foreign exchange contracts Foreign exchange contracts include foreign exchange forward contracts, foreign exchange options and foreign exchange swaps. The majority of the foreign exchange contracts at ABN AMRO are traded as over-the-counter derivatives. These instruments are valued using foreign currency exchange rates. There are observable markets both for spot and forward contracts and for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2. Government debt securities Government debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. These instruments are generally traded in active markets and prices can be derived directly from those markets. Therefore the instruments are classified as level 1. Highly liquid bonds are valued using exchange traded prices. Less liquid bonds are valued using observable market prices, which are sourced from broker quotes, interdealer prices or other reliable pricing services. For a minority of the government debt securities, active market prices are not available. In these cases ABN AMRO uses discounted cash flow valuation techniques that incorporate observable market data for similar government instruments. The main inputs are interest rate curves, liquidity spreads and credit spreads. The instruments for which this method applies are classified as level 2. If adjustments to any of the main inputs are made based on significant unobservable inputs, the instrument is classified as level 3. Corporate debt securities Corporate debt securities primarily consist of corporate bonds and other debt securities issued by corporate entities. Most of these instruments are standard fixed or floating rate securities. Corporate debt securities are generally valued using observable market prices, which are sourced from broker quotes, inter-dealer prices or other reliable pricing services. These instruments are classified as level 1. If observable market prices are not available, ABN AMRO uses discounted cash flow valuation techniques, based on inputs derived from comparable instruments and credit default swap data of the issuer, to estimate credit spreads. These instruments are classified as level 2. If adjustments to any of the main inputs are made based on significant unobservable inputs, the instrument is classified as level 3 Equity instruments Equity instruments that are actively traded on public stock exchanges are valued using the readily available quoted prices and are therefore classified as level 1. Investments in private equity funds are initially recognised at their transaction price and remeasured to the extent reliable information is available on a case-by-case basis and are classified as level 3. Loans and advances at fair value through profit or loss Loans and advances at fair value through profit or loss primarily consist of contracts with corporate clients where the contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective to generate cash flows from sales. The return on the contracts with embedded derivatives is based on the price of underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used to value these contracts. The main inputs are interest rate curves, quoted commodity prices, liquidity spreads and credit spreads. The instruments are classified as level 2. If adjustments to interest rate curves, liquidity spreads and credit spreads are based on significant unobservable inputs, the instruments are classified as level 3. Issued debt Issued debt securities are valued using discounted cash flow models, based on current interest rate curves that incorporate observable inputs. These instruments are classified as level 2. When there are no, or only limited, publicly quoted prices available for these instruments and unobservable inputs have a significant effect on the fair value calculation, these instruments are classified as level 3. ABN AMRO refines and modifies its valuation techniques as markets and products develop and as the pricing for individual products becomes more or less readily available. While ABN AMRO believes its valuation techniques are appropriate and consistent with other market participants, the use of different methodologies or assumptions could result in different estimates of the fair value at the reporting date. Fair value hierarchy ABN AMRO analyses financial instruments held at fair value in the three categories described below. Level 1 financial instruments are those that are valued using unadjusted quoted prices in active markets for identical financial instruments. Level 2 financial instruments are those valued using techniques based primarily on observable market data. Instruments in this category are valued using quoted prices for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all the inputs that have a significant effect on the valuation are directly or indirectly based on observable market data. Level 3 financial instruments are those valued using a valuation technique where at least one input with a significant effect on the instrument\u2019s valuation is not based on observable market data. The effect of fair value adjustments on the instrument\u2019s valuation is included in the assessment. ABN AMRO recognises transfers between levels of the fair value hierarchy at the end of the reporting period during which the change occurred. 31 December 2022 31 December 2021 Quoted Valuation Quoted Valuation market Valuation techniques market Valuation techniques prices techniques - significant Total prices techniques - significant Total in active - observable unobservable fair in active - observable unobservable fair (in millions) markets inputs inputs value markets inputs inputs value Assets Government debt securities 212 3 214 480 480 Corporate debt securities 495 186 681 472 198 670 Equity securities 10 10 3 3 Other financial assets held for trading 1 1 2 2 Financial assets held for trading 718 190 907 955 199 1,155 Interest rate derivatives 51 4,067 36 4,155 4 2,927 78 3,009 Foreign exchange contracts 1,045 9 1,054 676 10 686 Other derivatives 3 3 90 90 Derivatives 51 5,115 46 5,212 4 3,694 88 3,785 Equity instruments 79 65 481 626 90 57 433 580 Financial investments at fair value through profit or loss 79 65 481 626 90 57 433 580 Government debt securities 31,801 320 32,121 35,988 439 36,427 Corporate debt securities 2,973 1 38 3,013 2,947 1 42 2,990 Other debt securities 3,274 3,274 3,168 3,168 Financial assets held at fair value through other comprehensive income 38,049 1 358 38,408 42,102 1 481 42,585 Loans and advances at fair value through profit or loss 36 30 66 104 104 Total financial assets 38,897 5,407 915 45,219 43,151 4,056 1,002 48,209 Liabilities Short positions in government debt securities 341 341 255 255 Corporate debt securities 205 62 267 320 79 399 Equity securities 1 1 Other financial liabilities held for trading 32 32 33 33 Financial liabilities held for trading 548 93 641 575 112 687 Interest rate derivatives 10 3,270 3,280 3,543 3,544 Foreign exchange contracts 865 865 3 681 684 Other derivatives 3 3 11 6 11 6 Derivatives 10 4,138 4,148 3 4,341 4,344 Issued debt 223 223 892 892 Total financial liabilities 557 4,455 5,012 578 5,344 5,922 Transfers between levels 1 and 2 There were no material transfers between levels 1 and 2. Transfers from levels 1 and 2 to 3 There were no material transfers from levels 1 and 2 to 3. Other transfers There were no other material transfers between the fair value hierarchies. Movements in level 3 financial instruments measured at fair value The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value. Assets Liabilities Financial assets Financial held at fair value Loans and investments at through other advances at fair fair value through comprehensive value through Issued (in millions) Derivatives profit or loss income profit or loss debt Balance at 1 January 2021 140 569 517 Purchases 44 Redemptions -68 1 Gains/(losses) recorded in profit and loss 1 1 2 Unrealised gains/(losses)-67 151 -36 Transfer between levels 14 Other movements -75 Balance at 31 December 2021 88 433 481 Purchases 55 Sales -45 Redemptions -3 1 Gains/(losses) recorded in profit and loss 13 1 2 Unrealised gains/(losses)-49 31 -124 Transfer between levels 7 Other movements -2 30 Balance at 31 December 2022 46 481 358 30 1 Included in other operating income. 2 Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments measured at FVOCI in other comprehensive income. Level 3 sensitivity information Interest-earning securities - government bonds ABN AMRO has a position in a Polish bond, denominated in euros (in Note 17 Financial investments, and part of Other OECD governments), for which the market is relatively illiquid. This bond is valued using a discounted cash flow model. The main inputs are the interest rate curve, liquidity spread and credit spread. The valuation spread is determined using an internal model. The sensitivity analysis is performed using a range of reasonable valuation spreads. Interest-earning securities - other Preference shares are shares for which the dividend is fixed for a period of ten years, after which the dividend is redetermined and the shares can be redeemed. The position is valued using a discounted cash flow model for which the relevant inputs are the interest curve, liquidity spread and credit spread. The liquidity spread and credit spread are unobservable inputs and are derived from similar securities. The sensitivity of the preference shares is determined by using a range of reasonable spreads and by considering the call option that is held by the issuer. Equity shares - preferred shares Equities measured at fair value through profit and loss and classified as level 3 mainly comprise private equity investments. Private equity shares are measured at fair value, applying two calculation techniques: \u00c5 Using comparable pricing in accordance with the European Private Equity and Venture Capitalist Association (EVCA) guidelines. This valuation technique is based on earnings multiples of comparable listed and unlisted companies. The fair value calculation of an investment is strongly linked with movements on public equity markets; \u00c5 Net Asset Value (NAV) for fund investments and asset-backed investments. This is determined by using audited and unaudited company financial statements and any other information available, publicly or otherwise. As a consequence, the NAV calculation of an investment is strongly linked to movements in the quarterly performance of the company and can be used as an indicator of fair value. New investments are initially valued at fair value. Subsequently, the fair value technique \u2013 either the EVCA technique or NAV calculation \u2013 is applied for direct investments. The sensitivity for using comparable pricing is determined by stressing the earnings multiples in a positive and negative market scenario, whereas sensitivity testing for the NAV calculation based on the quarterly performance cannot be applied. (in millions) 31 December 2022 31 December 2021 Interest-bearing deposits 1,771 1,189 Loans and advances 934 1,355 Mandatory reserve deposits with central banks 200 199 Other loans and advances banks 85 68 Subtotal 2,990 2,811 Less: loan impairment allowances 8 10 Total loans and advances banks 2,982 2,801 Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. Most relevant for the bank are the minimum reserve requirements determined by the ECB. The ECB prescribes how the minimum reserve amount should be calculated during pre-defined reserve periods. During such a period, the balances are available for use by ABN AMRO. The bank manages and monitors deposits to ensure that the minimum reserve requirements for the period are met. Derivatives ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have an observable credit spread, ABN AMRO applies a proxied credit spread extracted from counterparties of comparable credit quality that do have an observable credit spread. ABN AMRO performs a probability of default assessment for each counterparty and allocates an appropriate internal credit risk measure known as a Uniform Counterparty Rating (UCR).This UCR, which is significant to the entire fair value measurement of the derivative contracts included in the following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input. Valuation Unobservable Carrying Possible alternative Unobservable Unobservable technique data value assumptions data range data base Applying Applying Applying Applying (in millions) minimum maximum minimum maximum 31 December 2022 Private equity EBITDA Equity shares valuation multiples 140 -14 14 Private equity Equity shares valuation Net asset value 342 -34 34 Interest-earning securities - Discounted Liquidity and government bonds cash flow credit spread 320 -9 18 14bps 102bps 73bps Discounted Liquidity and Interest-earning securities - other cash flow credit spread 38 -1 214bps 546bps 313bps Discounted Probability of Derivatives held for trading cash flow default 46 -2 4 0.0% 100.0% 15.0% 31 December 2021 Private equity EBITDA Equity shares valuation multiples 159 -16 16 Private equity Equity shares valuation Net asset value 274 -27 27 Interest-earning securities - Discounted Liquidity and government bonds cash flow credit spread 439 -8 13 19bps 74bps 53bps Discounted Liquidity and Interest-earning securities - other cash flow credit spread 42 -2 90bps 381bps 118bps Discounted Probability of Derivatives held for trading cash flow default 88 -5 8 0.4% 100.0% 33.7% 20 Loans and advances banks Accounting policy for loans and advances banks and customers Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model. Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the asset. Loans and advances that do not pass the SPPI test are measured at fair value through profit or loss. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to Credit risk management in the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). 22 Fair value of financial instruments not carried at fair value Accounting policy for fair value of financial instruments not carried at fair value The categorisation and valuation of financial instruments not carried at fair value is determined in accordance with the accounting policies set out in Note 19 Fair value of financial instruments carried at fair value. 21 Loans and advances customers Accounting policy for loans and advances customers The accounting policy for loans and advances customers is included in Note 20 Loans and advances banks. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to the Credit risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). (in millions) 31 December 2022 31 December 2021 Residential mortgages (excluding fair value adjustment) 150,762 146,351 Fair value adjustment from hedge accounting on residential mortgages -9,489 1,442 Residential mortgages, gross 141,274 147,793 Less: loan impairment allowances - residential mortgage loans 153 82 Residential mortgages 141,121 147,711 Consumer loans, gross 10,232 10,794 Less: loan impairment allowances - consumer loans 277 276 Consumer loans 9,955 10,518 Corporate loans (excluding fair value adjustment) 78,178 78,173 Fair value adjustment from hedge accounting on corporate loans 154 509 Financial lease receivables 4,396 4,972 Factoring 4,157 3,312 1 Corporate loans, gross86,885 86,968 Less: loan impairment allowances - corporate loans 1,590 2,053 Corporate loans at amortised cost 85,295 84,915 Corporate loans at fair value through P&L 66 99 Government and official institutions 629 401 Other loans1) 6,868 14,606 1 Other loans and advances customers, gross7,497 15,007 Less: loan impairment allowances - other 5 4 Other loans at amortised cost 7,491 15,003 Other loans at fair value through P&L 5 Other loans and advances customers 7,491 15,008 Total loans and advances customers 243,927 258,251 1 Excluding loans at fair value through P&L. For information on loan impairment allowances, please refer to the Credit risk review section in the Risk, funding & capital chapter. Valuation methodologies The methods and assumptions described below have been applied to estimate the fair value of financial instruments not carried at fair value. These fair values were calculated for disclosure purposes only. Note that the fair value can be significantly impacted by the choice of valuation model and underlying assumptions concerning factors such as the amount and timing of cash flows, discount rates, credit risk and liquidity risk. Short-term financial instruments The carrying amounts (net of impairment allowances) of financial instruments maturing within a period of less than three months or that have no contractual maturity are assumed to be a reasonable approximation of their fair value. For certain instruments, behavioural maturities are applied. Short-term financial instruments are classified as level 2 as unobservable inputs (such as inputs to determine credit risk, prepayment risk and liquidity risk) do not have a significant influence in determining the fair value. Cash and balances at central banks Cash and balances at central banks are classified as level 1 as these instruments have a short-term nature, prices from an active market are available and no fair value adjustments are made to the carrying amounts. Securities financing Securities financing includes repurchase and reverse repurchase agreements and securities borrowing and lending transactions. Due to the short-term characteristics of these instruments and the value and liquidity of available collateral, the carrying amounts (net of impairment allowances) are considered to approximate the fair value. Securities financing amounts are classified as level 2. Loans and advances banks and customers The fair value of loans and advances banks and customers is estimated by a discounted cash flow model based on contractual cash flows, using actual yields and discounting by risk-free interest rates. Adjustments to reflect changes in liquidity spreads are applied and prepayment options are included in the estimated fair value. The calculations are adjusted for credit risk by incorporating the expected credit losses over the estimated lifetime of the loan, based on parameters including probability of default, loss given default and exposure at default. The loans and advances are classified as level 3 on the basis that unobservable inputs significantly influence the approximated fair values. The loans and advances for which unobservable inputs do not significantly influence the approximated fair values are classified as level 2. Behavioural maturities instead of contractual maturities are used to determine the level classification of a small part of the portfolio. Cash collateral paid to counterparties in relation to Credit Support Annexes (CSA) is included in loans and advances banks and customers. Due to the short-term characteristics of these instruments, fair value is considered to approximate the carrying amounts. The related amounts are classified as level 2. Due to banks and customers The fair value of instruments such as deposits and borrowings included in due to banks and customers is estimated by a discounted cash flow model based on risk-free interest rates. Adjustments to reflect changes in liquidity spreads are applied. Amounts due to banks and customers are classified as level 3 on the basis that unobservable inputs significantly influence the approximated fair values. The financial instruments for which unobservable inputs do not significantly influence the approximated fair values are classified as level 2. For the majority of the portfolio, behavioural maturities are used to determine the level classification. Cash collateral liabilities in relation to Credit Support Annexes (CSA) are included in due to banks and customers. Due to the short-term characteristics of these instruments, fair value is considered to approximate the carrying amounts. The related amounts are classified as level 2. Issued debt and subordinated liabilities The fair value of issued debt securities and subordinated liabilities is based on quoted prices. If these are not available, the fair value is based on a market approach in which independent quotes from market participants are used for the debt issuance spreads above the average interbank offered rates (over a range of tenors) that the market would demand when purchasing new senior or subordinated debt from ABN AMRO. Where necessary, these quotes are interpolated, using a curve shape derived from CDS prices. 23 Group structure 31 December 2022 Carrying value Total fair value Difference Valuation Quoted Valuation techniques market prices techniques -significant in active -observable unobservable (in millions) markets inputs inputs Assets Cash and balances at central banks 60,865 60,865 60,865 Securities financing 20,032 20,032 20,032 Loans and advances banks 2,982 2,645 340 2,986 3 Loans and advances customers 243,861 30,373 195,900 226,273 -17,588 Total 327,741 60,865 53,051 196,240 310,156 -17,585 Liabilities Securities financing 9,652 9,652 9,652 Due to banks 17,509 3,788 13,608 17,396 -113 Due to customers 255,015 78,925 155,878 234,803 -20,212 Issued debt 56,036 29,556 20,682 50,238 -5,799 Subordinated liabilities 7,290 3,906 3,058 6,964 -326 Total 345,502 33,462 116,105 169,486 319,053 -26,449 31 December 2021 Carrying value Total fair value Difference Valuation Quoted Valuation techniques market prices techniques -significant in active -observable unobservable (in millions) markets inputs inputs Assets Cash and balances at central banks 66,865 66,865 66,865 Securities financing 16,138 16,138 16,138 Loans and advances banks 2,801 2,461 336 2,797 -3 Loans and advances customers 258,146 30,175 240,273 270,448 12,302 Total 343,950 66,865 48,775 240,609 356,249 12,299 Liabilities Securities financing 9,494 9,494 9,494 Due to banks 38,076 4,309 33,773 38,082 6 Due to customers 251,218 85,654 163,021 248,676 -2,542 Issued debt 58,796 43,608 18,914 62,522 3,726 Subordinated liabilities 7,549 5,959 1,979 7,938 389 Total 365,132 49,567 120,350 196,794 366,712 1,579 Accounting policy for business combinations ABN AMRO accounts for business combinations using the acquisition method when control is transferred to the bank. All items of consideration, including contingent consideration, transferred by ABN AMRO are measured and recognised at fair value at the acquisition date. Transaction costs incurred by ABN AMRO in connection with the business combination, other than those associated with the issuance of debt and equity securities, do not form part of the cost of the business combination transaction but are expensed as incurred. The excess of the purchase consideration over ABN AMRO\u2019s share of the fair value of the identifiable net assets acquired (including certain contingent liabilities) is recorded as goodwill. ABN AMRO measures the identifiable assets acquired and the liabilities assumed at the fair value at the acquisition date. In a step acquisition, where a business combination occurs in stages and control of the business is obtained in stages, the identifiable assets and liabilities of the acquiree are recognised at fair value when control is obtained. A gain or loss is recognised in profit or loss as the difference between the fair value of the previously held equity interest in the acquiree and its carrying amount. Changes in interests in subsidiaries that do not result in a change of control are treated as transactions between equity holders and are reported in equity. Accounting policy for associates and joint ventures Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board of directors, participation in the policy-making process and material transactions between the entity and the investee are considered to determine significant influence. A joint venture is an investment in which two or more parties have contractually agreed to share control over the investment. Joint control exists only when decisions about the relevant activities require the unanimous consent of the parties sharing control. The activities conducted through joint ventures include cash transfers, insurance, finance and leasing. Investments in associates and joint ventures, including strategic investments, are accounted for using the equity method. Under this method, the investment is initially recorded at cost and subsequently increased (or decreased) for post-acquisitionnet income (or loss), other movements impacting on the equity of the investee and any adjustments required for impairment.ABN AMRO\u2019s share of the profit or loss of the investee is recognised in Share of result in equity accounted investements. If ABN AMRO\u2019s share of losses exceeds the carrying amount of the investment, the carrying amount is reduced to zero, including any other unsecured receivables, and recognition of further losses is discontinued except if ABN AMRO has incurred obligations or made payments on behalf of the investee. Accounting policy for subsidiaries ABN AMRO\u2019s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is evidenced by ABN AMRO\u2019s ability to exercise its power in order to affect the variable returns that it is exposed to through its involvement in the entity. The existence and effect of potential voting rights that are currently exercisable are taken into account when assessing whether control exists. The assessment of control is based on consideration of all facts and circumstances. The bank reassesses whether it controls an investee if facts and circumstances indicate that there are changes to one or more of the three elements of control (power, exposure to variability in returns, and a link between the two). ABN AMRO sponsors entities, including certain special purpose entities, which may or may not be directly owned, for the purpose of asset securitisation transactions and other specific and well-defined objectives. Particularly in the case of securitisations, these entities may acquire assets from ABN AMRO companies. Some of these entities hold assets that are not available to meet the claims of creditors of ABN AMRO or its subsidiaries. These entities are consolidated in ABN AMRO\u2019s financial statements when the substance of the relationship between ABN AMRO and the entity indicates that control is held by ABN AMRO. ABN AMRO is mainly involved in securitisations of own originated assets, such as various consumer and commercial financial assets. This process generally necessitates a sale of these assets to a special purpose entity (SPE), which in turn issues securities to investors. ABN AMRO\u2019s interests in securitised assets may be retained in the form of senior or subordinated tranches, issued guarantees, interest-only strips or other residual interests, together referred to as retained interests. In many cases, these retained interests convey control, such that the SPE is consolidated and the securitised assets continue to be recognised in the consolidated statement of financial position. The financial statements of subsidiaries and special purpose entities are included in the Consolidated Annual Financial Statements from the date on which control commences until the date on which control ceases. Assets and liabilities of acquisitions and divestments The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries and equity accounted investments at the date of acquisition or disposal. 31 December 2022 31 December 2021 (in millions) Acquisitions Divestments Acquisitions Divestments Assets and liabilities of acquisitions and divestments Loans and advances banks -9 Equity-accounted investments 13 -51 14 -1 Other assets -75 -193 Net assets acquired/Net assets divested 13 -135 14 -194 Result on divestments, gross 147 Net disposal result 147 Cash used for acquisitions/received from divestments Total purchase consideration/Proceeds from sale -13 281 -14 194 Cash and cash equivalents acquired/divested -9 Cash used for acquisitions/received from divestments -13 272 -14 194 Acquisitions and Divestments No significant acquisitions were performed in 2022. The change in divestments in 2022 was impacted by the sale of ABN AMRO Levensverzekeringen, ABN AMRO Pensioeninstellingen and MP Solar. No significant acquisitions were performed in 2021. The change in divestments in 2021 was impacted by the sale of the Maas Capital Shipping portfolio. Equity accounted investments The following table provides an overview of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Principal place Carrying Equity Carrying Equity (in millions) of business Business line amount interest amount interest Joint ventures Neuflize Vie S.A. France Wealth Management 219 60% 240 60% Other joint ventures 25 25 Associates Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. The Netherlands Personal & Business Banking 54 49% 128 49% Other equity associates 176 170 Total equity associates and joint ventures 474 564 Neuflize Vie is a joint venture where the power to govern the financial and operating policies of the economic activity is subject to joint control. Other investments in equity associates and joint ventures at equity method comprise a large number of equity associates and joint ventures with individual carrying amounts of less than EUR 75 million. The following tables provide an overview of the summarised financial information of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Assets Financial assets held for trading 1,322 1,899 Financial investments 10,874 1,079 13,378 493 Loans and advances banks and customers 260 1,929 262 2,074 Property and equipment 380 350 5 Accrued income and prepaid expenses 36 26 36 33 Other assets 41 102 37 105 Total assets 11,590 4,457 14,062 4,609 Liabilities Due to banks and customers 35 47 Provisions 4,495 4,100 6,122 4,180 Other liabilities 6,696 100 7,492 164 Total liabilities 11,225 4,201 13,662 4,345 Equity Total equity 365 257 401 264 Total liabilities and equity 11,590 4,457 14,062 4,609 Bank's share of equity 219 54 240 128 Carrying amount 219 54 240 128 Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. (EUR 4.5 billion at 31 December 2022, compared with EUR 4.6 billion at 31 December 2021). Neuflize Vie holds the majority of assets under joint ventures (EUR 11.6 billion at 31 December 2022, compared with EUR 14.1 billion at 31 December 2021). 2022 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Other income 92 519 73 610 Operating income 92 519 73 610 Other operating expenses 51 464 47 544 Operating expenses 51 464 47 544 Profit/(loss) before taxation 41 55 26 66 Income tax expense 9 12 7 12 Profit/(loss) for the period 32 42 19 55 Other comprehensive income -2 43 Total comprehensive income 30 42 62 55 2022 2021 (in millions) Joint ventures Associates: Joint ventures Associates: Operating income 92 1,493 73 1,145 Operating expenses 51 892 47 939 Profit/(loss) before taxation 41 601 26 206 Income tax expense 9 52 7 19 Profit/(loss) for the period 32 549 19 187 The joint ventures and associates had no contingent liabilities or capital commitments other than the minimum capital requirements under the Solvency Regulation as at 31 December 2022 and 2021. Impairments on equity accounted investments The following table shows the changes in impairments on equity accounted investments. (in millions) 2022 2021 Balance as at 1 January 17 Increase in impairments 6 Release of impairments -8 Other -14 Balance as at 31 December Structured entities Structured entities are entities that have been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. A structured entity has some or all of the following features or attributes: \u00c5 Restricted activities; \u00c5 Narrow and well-defined objectives; \u00c5 Insufficient equity to permit the structured entity to finance its activities without subordinated financial support; \u00c5 Financing, in the form of multiple contractually linked instruments, to investors that creates concentrations of credit or other risks; \u00c5 Relevant activities are directed by contractual arrangements. Consolidated structured entities There were no notes sold to external parties at 31 December 2022 (31 December 2021: no notes sold). Retained notes are used for repo transactions and TLTRO, for example. The securitisation transactions were primarily used for funding and liquidity purposes. There was no RWA (REA) relief at 31 December 2022 (31 December 2021: no relief). During 2022, ABN AMRO terminated its last traditional securitisation programme. In such transactions, a foundation (stichting) incorporates a bankruptcy-remote, structured entity, to which the legal title of a portfolio of receivables is sold. As ABN AMRO continued, in this case, to recognise the assets after the legal title had been sold, no derecognition took place. The structured entity had issued notes to fund the purchase. ABN AMRO performed key ancillary roles in all its securitisation transactions, including as swap counterparty. After termination of the securitisation programme, a small position of securitised assets remained. Risks associated with the roles in the securitisation process Credit risk Credit risk relates to the risk of credit losses on securitised assets. ABN AMRO retains part of the credit risk by retaining notes and other securitisation positions such as liquidity facilities, swaps and first loss tranches. Regulatory capital is held for all retained securitisation positions in accordance with the applicable regulation. Liquidity risk Liquidity risk relates to the risk that ABN AMRO may incur additional cash outflows. Any potential future cash outflows relating to these positions, including collateral requirements, are taken into account within stress tests and are integrated into the liquidity ratios, where required. This includes the potential impact of the liquidity facilities or swap agreements that form part of certain securitisation transactions, most of which relate to transactions where ABN AMRO is the originator of the underlying assets. Approaches to calculating risk exposure amount ABN AMRO does not achieve significant risk transfers for any of the mortgage securitisations. Therefore, the look-through approach is used and RWA (REA) reduction is not applied. Monitoring process ABN AMRO periodically monitors changes in credit risk relating to securitisation exposures. The significance of the amount of credit risk transferred to third parties by securitisation of own originated assets is assessed on a monthly basis in accordance with the regulatory significant risk transfer test. For investments in third-party securitisations, the risk is monitored by reviewing the investor reports of these transactions. Additionally, third-party securitisation positions are included in the firm-wide comprehensive stress tests in which the downgrade and default risks under stressed market conditions are assessed. Overview of securitisation positions and securitised assets The total amount of assets securitised in securitisations decreased to EUR 2.0 billion at 31 December 2022 (31 December 2021: EUR 10.5 billion) due to the termination of Dolphin Master Issuer B.V. No securitisation transactions for the purpose of capital relief were originated in 2022. Details of total notes outstanding per structured entity The following table provides details of the outstanding notes issued by consolidated structured entities established by ABN AMRO for securitisation purposes and which were terminated during 2022. 31 December 2022 31 December 2021 (in millions) Total notes issued % of total assets Total notes issued % of total assets Category Dolphin Master Issuer B.V. 9,533 2.4% Total 9,533 Support to consolidated structured entities ABN AMRO did not provide support, financial or otherwise, to a consolidated structured entity, including when ABN AMRO was not contractually obliged to do so, and nor does ABN AMRO intend to do so in the future. Unconsolidated structured entities Unconsolidated structured entities are entities over which ABN AMRO has no control or significant influence. ABN AMRO is involved with structured entities through securitisation of financial assets and investments in structured entities. Structured entities generally finance the purchase of assets by issuing debt and equity securities that are collateralised by the assets held by the structured entities. The debt and equity securities issued by the structured entities may include tranches with varying levels of subordination. The interest in unconsolidated structured entities increased by EUR 1.1 billion to EUR 5.3 billion at year-end 2022 (2021: EUR 4.2 billion). The interests consist mainly of debt securities in corporate loans of EUR 681 million (2021: EUR 677 million) and mortgage and other asset-backed securities recognised under financial investments of EUR 3.3 billion (2021: EUR 3.2 billion). The maximum exposure to losses from these interests is equal to the total carrying amount. Sponsoring of unconsolidated structured entities An entity is considered a sponsor of an unconsolidated structured entity if it had a key role in establishing that entity so that the transaction that is the purpose of the entity could occur. No sponsoring occurred during 2022. 24 Property and equipment, leases, goodwill and other intangible assets Accounting policy for property and equipment Property and equipment is stated at cost less accumulated depreciation and any impairment amount. At each balance sheet date, an assessment is performed to determine whether there is any indication of impairment. Subsequent costs are capitalised if these result in an enhancement to the asset. Depreciation is charged to the income statement on a straight-line basis over the estimated useful lives of items of property and equipment, and of major components that are accounted for separately. ABN AMRO generally uses the following useful lives in calculating depreciation: Land: not depreciated; Buildings: 30 years; Leasehold improvements: 5 years; Equipment: 5 years; Installations (durable): 10 years; Computer installations: 2 to 5 years. At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Depreciation rates and residual values are reviewed at least periodically to take into account any change in circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account the term and renewal conditions of the related lease. Assets for which the bank acts as a lessor in an operational lease contract are included in property and equipment. The asset is depreciated on a straight-line basis, over its useful life, to its estimated residual value. Accounting policy for leases Lessor accounting Where ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where the bank transfers substantially all risks and rewards incidental to ownership of the asset to the lessee are classified as finance leases. Leases that do not transfer these risks and rewards are classified as operating leases. Finance leases are recognised as a receivable in loans and advances at an amount equal to the net investment in the lease, less credit loss allowances. Assets subject to operating leases are recognised at cost in property and equipment. Operating income from finance leases is recognised in a pattern reflecting a constant periodic rate of return on the net investment in the lease. Lessee accounting All leases, except for low-value leases and leases with a duration of less than one year, are recognised on the balance sheet as a right of use (ROU) asset and lease liability. As a lessee, ABN AMRO enters into various lease contracts, mainly for office buildings and cars that the bank leases for its own use. When accounting for the contracts as a lessee, ABN AMRO separates non-lease components from lease components. Payments such as variable lease payments that do not depend on an index or a rate and non-lease components are not included in the lease liability. The ROU asset is initially measured at cost, which reflects the initial lease liability, adjusted for upfront lease payments, received incentives and initial direct costs. The initial lease liability is equal to the sum of the fixed lease payments, discounted by the incremental borrowing rate. The ROU asset is depreciated over the period of the lease, using the straight-line method. Adjustments to the ROU asset and corresponding lease liability result from remeasurement and/or modification. Remeasurement occurs when there is a change in the lease term or discount rate, or when ABN AMRO changes its assessment regarding purchase, extension or termination options. A lease modification is a change in the scope of the lease, or the consideration of a part of a lease that was not in the original terms and conditions of the lease. A lease modification results in either a separate additional lease or a change in the accounting for the existing lease. In the case of a lease modification not resulting in an additional lease, the lease liability is remeasured by adjusting the carrying amount of the ROU asset and, to reflect the partial or full termination of the lease, recognising any gain or loss in the statement of profit and loss. Expenses related to short-term leases with a term of less than 12 months and leases of low-value are recognised in the income statement. ROU assets are included in the line item Property and equipment, while the lease liabilities are included in Other liabilities. Depreciation of the ROU assets is included in the line item for depreciation and amortisation of tangible and intangible assets in the income statement, and interest expense on lease liabilities is included in the line item Other interest and similar expense. Sale and leaseback transactions In a sale and leaseback transaction, the seller-lessee transfers an underlying asset to the buyer-lessor and leases that asset back from the buyer-lessor. Seller-lessee accounting If the bank is involved in a sale and leaseback transaction as a seller-lessee, the accounting policy described below is from the perspective of a seller-lessee. To determine how to account for a sale and leaseback transaction, the bank first considers whether the initial transfer of the underlying asset from the seller-lessee to the buyer-lessor is a sale in accordance with IFRS 15. If a sale and leaseback transaction results in a sale in accordance with IFRS 15, the underlying asset is derecognised and the lessee accounting model is applied to the leaseback. The ROU asset arising from the leaseback is measured based on the proportion of the previous carrying amount of the asset that relates to the rights of use retained by the seller-lessee. Accordingly, any gain or loss that relates to the rights transferred to the buyer-lessor is recognised. The proportion of the rights of use retained is the ratio between the present value of lease payments at market rates (excluding any future index changes) and the fair value of the consideration for the sale proceeds. The residual proportion is the proportion of the rights transferred. The fair value of the consideration for the sale proceeds is equal to the fair value of the underlying asset in the sale-and-leaseback transaction. If this does not equal the fair value of the underlying asset, or if the payments for the lease are not at market rates, the bank makes adjustments to recognise the sale proceeds at the fair value. Any below-market terms are recognised as a prepayment of lease payments and any above-market terms are recognised as additional financing provided by the buyer-lessor to the seller-lessee. Accounting policy for intangible assets Goodwill Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value of ABN AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and contingent liabilities are determined by reference to market values or by discounting expected future cash flows to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense and are irreversible. Software and other intangible assets The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets. Software is amortised over a period of three years, unless it is classified as core application software, which is depreciated over its estimated useful life, set at a maximum of seven years. Only the development phase is capitalised for own-developed software. Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as customer relationships, and certain purchased trademarks and similar items. In general, the estimated useful life does not exceed ten years. Amortisation rates and residual values are reviewed at least annually to take into account any change in circumstances. (in millions) 31 December 2022 31 December 2021 Goodwill 79 79 Purchased software 12 20 Internally developed software 6 9 Other 12 19 Total goodwill and other intangible assets 108 127 (in millions) 31 December 2022 31 December 2021 Land and buildings held for own use 191 211 Leasehold improvements 39 43 Plant & equipment under operating lease 427 533 Equipment 81 84 Right of use assets 241 299 Other 10 Total property and equipment 988 1,172 The right of use assets consist primarily of real estate. 2022 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under Equip-of use equip-and intangible intangible (in millions) own use ments oper. lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031 Acquisitions/divestments of subsidiaries -2 -2 Additions 33 8 96 38 93 11 278 3 3 Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450 Foreign exchange differences 2 -12 1 3 -7 1 1 Other -50 3 6 -68 -109 -1 -2 Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580 Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825 Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19 Depreciation of assets subject to operating lease -127 -127 Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446 Foreign exchange differences -1 6 -1 4 -1 -1 Other 36 -3 -4 -5 24 Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398 Impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78 Acquisitions/divestments of subsidiaries 2 2 Increase of impairments charged to the income statement -1 -4 -1 -6 Impairments on assets subject to operating lease 2 2 Reversal of impairments credited to the income statement 10 10 Reversal of impairments due to disposals 4 1 4 10 3 3 Foreign exchange differences -2 -3 Other -1 Impairments as at 31 December -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Total as at 31 December 191 39 427 81 241 10 988 79 30 108 The fair value of land and buildings held for own use is estimated at EUR 234 million at 31 December 2022 (31 December 2021:EUR 283 million). Of this fair value, 100% is based on external valuations performed in 2017 to 2022. Some properties have a lower fair value than the recorded carrying value. No impairment is recorded because these properties are considered corporate assets. The value in use for the cash-generating units within ABN AMRO Group is sufficient to cover the total valueof these assets. 2021 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under oper. Equip-of use equip-and intangible intangible (in millions) own use ments lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 842 242 978 863 436 3,360 146 880 1,027 Additions 23 10 11 8 31 255 437 21 21 Reversal of cost due to disposals -724 -11 -184 -97 -13 -1,029 -18 -18 Foreign exchange differences 2 19 3 7 31 1 1 Other 675 1 -4 -138 533 1 -1 Acquisition costs as at 31 December 815 244 931 795 547 3,333 147 884 1,031 Accumulated depreciation/amortisation as at 1 January -591 -189 -369 -743 -134 -2,026 -816 -816 Depreciation/amortisation -33 -15 -55 -72 -175 -20 -20 Depreciation of assets subject to operating lease -138 -138 Reversal of depreciation/amortisation due to disposals 455 11 125 88 9 687 12 12 Foreign exchange differences -2 -8 -3 -2 -13 -1 -1 Other -426 5 8 -413 1 1 Accumulated depreciation/amortisation as at 31 December -596 -195 -389 -707 -190 -2,078 -825 -825 Impairments as at 1 January -8 -5 -7 -3 -55 -79 -68 -15 -82 Increase of impairments charged to the income statement -1 -2 -3 -1 -1 Impairments on assets subject to operating lease -4 -4 Reversal of impairments credited to the income statement 5 5 Reversal of impairments due to disposals 1 4 5 6 6 Foreign exchange differences -1 -3 -4 Other -3 -3 Impairments as at 31 December -8 -6 -8 -4 -57 -83 -68 -10 -78 Total as at 31 December 211 43 533 84 299 1,172 79 48 127 Leases ABN AMRO enters into leases both as lessor and as lessee. In its capacity as lessee, ABN AMRO leases various assets, mainly office properties, cars and equipment that serve to support the bank\u2019s operations. The leases have various terms and termination and renewal options. The majority of termination and renewal options are exercisable only by the bank and not by the respective lessor. There are no variable lease payments in lease contracts where ABN AMRO acts as lessee. No covenants are present in the lease agreements and ABN AMRO is not allowed to use leased assets as security for financing purposes. The total cash outflow relating to leases in 2022 amounted to EUR 110 million (2021: EUR 91 million). Sale and leaseback of head office at Gustav Mahlerlaan In 2021, ABN AMRO completed the sale and leaseback of its head office at Gustav Mahlerlaan in Amsterdam. ABN AMRO is the seller-lessee in this transaction. The buyer-lessor of the office paid a total consideration of EUR 765 million. As part of the sale, ABN AMRO recognised a pre-tax gain of EUR 327 million (EUR 245 million net of tax) in other operating income (Note 6 Net income from other operating activities). As part of the lease, ABN AMRO recognised a ROU asset of EUR 78 million and a corresponding lease liability of EUR 203 million (Note 32 Other liabilities). ABN AMRO will lease back the Gustav Mahlerlaan office for a period of four years before moving to the redeveloped office building at Foppingadreef in Amsterdam Zuidoost. ABN AMRO has an option, which is only exercisable by ABN AMRO, to extend the lease by a further period of one year. As at 31 December 2022, ABN AMRO had not exercised the option to extend the lease. In Q3 2022, ABN AMRO has exercised the option to early terminate part of the lease of the Gustav Mahler building in June 2023. The closure is the result of progress being made both on the new owners\u2019 redevelopment plans for the site as well as continued progress on the circular repurposing of the materials at another location. As a result of exercising this early exit option, an additional gain of EUR 15.6 million has been recognised in in other operating income (Note 6 Net income from other operating activities).In the first four years of the lease contract, the lease is based on \u2018triple net\u2019 conditions, which means that the share of the owner\u2019s maintenance costs normally incurred by the lessor will be paid by the lessee. The contractual lease amounts are paid quarterly in advance. The office building at Foppingadreef is currently being redeveloped and work is expected to be completed by the end of 2025. After 2025, ABN AMRO will continue to lease a small part of the Gustav Mahlerlaan office, which will remain the bank\u2019s head office for an additional fifteen years, with the option to extend this period by five years. ABN AMRO is also financing part of the sale and leaseback transaction for the first four years of the lease contract. The following table shows the maturity of lease liabilities for leases in which the bank acts as lessee, as well as the future undiscounted minimum lease receipts under operating and financial leases where the bank acts as lessor. It also reconciles the total future minimum lease receipts under financial leases and the net investment in the leases. 31 December 2022 More than More than Unearned Net Within 3 months but 1 year but More than finance investment (in millions) 3 months within 1 year within 5 years 5 years Total income in the lease Lease liabilities 22 66 224 52 364 n/a n/a Future minimum lease receipts under financial leases 689 1,055 2,531 402 4,678 -281 4,396 Future minimum lease receipts under operating leases 36 126 272 36 469 n/a n/a 31 December 2021 Lease liabilities 15 44 174 88 320 n/a n/a Future minimum lease receipts under financial leases 771 1,124 2,882 446 5,222 -250 4,972 Future minimum lease receipts under operating leases 42 135 369 37 583 n/a n/a The net investment in the leases amounted to EUR 4,396 million (31 December 2021: EUR 4,972 million). The decrease was mainly due to interest rate developments as this leads to less demand for new leasing contracts and more opportunities for early termination and prepayment by clients. ABN AMRO retains risk with respect to its declining portfolio. However, it has been actively de-risking the lease portfolio, mainly in the UK. Furthermore, Asset Based Finance decreased its exposure to certain lease products and client segments by selling these exposures to other market participants, requesting clients to search for alternative funding or demanding prepayments on lease facilities. In its capacity as lessor, ABN AMRO leases out various assets. Operating leases in which the bank acts as lessor are included in Property and equipment \u2013 equipment. Financial leases in which the bank acts as lessor are included in corporate loans under loans and advances customers. Income from leases in which ABN AMRO acts as lessor is presented in the following table. (in millions) 2022 2021 Income from financial leases 133 147 Income from operating leases 152 163 Total income from leases 285 309 Income related to variable lease payments on financial leases amounted to EUR 3 million in 2022. There was no income relating to variable lease payments on operating leases. Valuation of goodwill (in millions) 2022 2022 Depreciation on tangible assets Land and buildings held for own use 24 33 Leasehold improvements 13 15 Equipment 42 55 Right of use assets 78 72 Amortisation on intangible assets Purchased software 10 11 Internally developed software 2 3 Other intangible assets 7 6 Impairment losses on tangible assets Land and buildings held for own use (incl. held for sale) 1 1 Right of use assets -5 -3 Other 1 Impairment losses on intangible assets Purchased software 1 Total depreciation, amortisation and impairment losses 172 194 (in millions) 31 December 2022 31 December 2021 Financial investments 86 Property and equipment 13 3 Assets of businesses held for sale 13 89 Liabilities of businesses held for sale 31 December 31 December 2022 2021 Method used for recoverable Discount Long-term Impairment (in millions) Segment amount rate growth rate charges Goodwill Goodwill Entity Bethmann Wealth Management Value in use 10.0% 0.0% 63 63 ABN AMRO Asset Based Finance N.V., (UK) Branch Corporate Banking Value in use 10.0% 0.0% 9 10 Banque Neuflize OBC S.A. Wealth Management Value in use 10.0% 0.0% 6 6 Total goodwill and impairment charges 79 79 The outcome of several impairment tests entails an impairment of nil. Total goodwill and impairment charges remained the same compared to the prior period. 25 Non-current assets and disposal groups held for sale Accounting policy for non-current assets and disposal groups held for sale Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value, less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated statement of financial position. ABN AMRO also acts as an intermediate lessor in subleases where it subleases ROU assets to a third party. During 2022, the total income from subleasing ROU assets amounted to EUR 5 million. The 2022 held for sale position of EUR 13 million relates mainly to the office building held for own use in Rotterdam, currently presented in Group Functions, and which will be sold in Q3 2023. The sale will be part of a sale and leaseback transaction with the buyer-lessor of the office building. The property is shown at the carrying amount, which is significantly lower than the current fair value less cost to sell. (in millions) 31 December 2022 31 December 2021 Current accounts 1,977 1,525 Demand deposits 1 3 Time deposits 14,895 36,070 Cash collateral on securities lent 625 467 Other 10 10 Total due to banks 17,509 38,076 On 23 November and 21 December 2022, ABN AMRO partly repaid the TLTRO III funding in the amounts of EUR 8.0 billion and EUR 13.0 billion, respectively. On 31 December 2022, an amount of EUR 14.0 billion remained outstanding, of which EUR 11.0 billion matures in June 2023 and EUR 3.0 billion matures in June 2024. The repayments followed the change made by the ECB in the TLTRO III interest rate terms and conditions. (in millions) 31 December 2022 31 December 2021 Current accounts 122,030 132,983 Demand deposits 100,397 98,790 Time deposits 30,096 18,780 Other 2,491 665 Total due to customers 255,015 251,218 26 Other assets (in millions) 31 December 2022 31 December 2021 Accrued other income 496 564 Prepaid expenses 20 25 Unsettled securities transactions 1,313 1,046 Trade and other receivables 2,218 2,284 Other 425 345 Total other assets 4,473 4,263 Unsettled securities transactions relate to reversed repurchase and securities borrowing transactions that have been delivered but not settled. At 31 December 2022, other assets included a net receivable of EUR 0.1 billion related to the bankruptcy of DSB Bank (31 December 2021: EUR 0.1 billion). 27 Due to banks Accounting policy for due to banks and due to customers Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the instrument. 28 Due to customers Accounting policy for due to customers The accounting policy for amounts due to customers is included in Note 27 Due to banks. 29 Issued debt and subordinated liabilities Accounting policy for issued debt and subordinated liabilities Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that qualify as an embedded derivative that cannot be separated. ABN AMRO applies IAS 32 Financial Instruments: Presentation to determine whether funding is a financial liability or equity. Issued financial instruments or their components are classified as financial liabilities where the substance of the contractual arrangement results in ABN AMRO having a present obligation to deliver either cash or another financial asset or to satisfy the obligation other than by the exchange of a fixed number of equity shares. Issued liabilities qualify as subordinated debt if claims by the holders are subordinated to all other current and future liabilities of ABN AMRO and its subsidiaries. The valuation of liabilities measured at fair value includes the effect of changes in the bank\u2019s own credit spreads. The change in fair value applies to those financial liabilities designated at fair value where own value credit risk would be considered by market participants. The cumulative amount of changes in fair value attributable to credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt measured at fair value through profit or loss is valued at market prices. Fair value changes are calculated based on a yield curve generated from observed external pricing for funding and quoted CDS spreads The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December 2022. Movements in these debt instruments involve a continual process of redemption and issuance of long-term and short-term funding. Issued debt (in millions) 31 December 2022 31 December 2021 Bonds and notes issued 41,313 49,619 Certificates of deposit and commercial paper 14,723 9,177 Total at amortised cost 56,036 58,796 Designated at fair value through profit or loss 223 892 Total issued debt 56,259 59,688 - of which matures within one year 19,053 16,734 2022 2021 (in millions) Carrying amount Carrying amount Balance as at 1 January 59,688 66,949 Cash flows Issuance 35,231 30,226 Redemption -30,668 -36,180 Non-cash changes Foreign exchange differences 11 8 1,130 Fair value changes own credit risk -8 -20 Unrealised gains/(losses) -8,451 -2,335 Other 350 -83 Balance as at 31 December 56,259 59,688 The amounts of debt issued and redeemed during the period are shown in the Consolidated statement of cash flows. Non-cash changes consist mainly of unrealised gains and losses and foreign exchange differences. Further details of the funding programmes are provided in Funding in the Risk, funding & capital chapter. 30 Provisions Accounting policy for provisions A provision is recognised in the balance sheet when ABN AMRO has a legal or constructive obligation as a result of a past event, and it is more likely than not that an outflow of economic benefits will be required to settle the obligation, and a reliable estimate of the amount of the obligation can be made. If the effect of time value is material, provisions are determined by discounting the expected future cash flows at a pre-tax rate that reflects current market rates and, where appropriate, the risks specific to the liability. A provision for restructuring is recognised when an obligation exists. An obligation exists when ABN AMRO has approved a detailed plan and has raised a valid expectation in those affected by the plan by starting to implement the plan or by announcing its main features. Future operating costs are not provided for. Provisions for insurance risks are determined by actuarial methods, which include the use of statistics, interest rate data and settlement cost expectations. Provisions are established for certain guarantee contracts for which ABN AMRO is liable to pay upon default of payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as provisions under IFRS 9. Financial liabilities designated at fair value through profit or loss (in millions) 31 December 2022 31 December 2021 Cumulative change in fair value of the structured notes attributable to changes in credit risk 4 12 Change during the year in fair value of the structured notes attributable to changes in credit risk -8 -20 Difference between amount contractually required to pay at maturity and the carrying amount 6 -63 The change in fair value of the structured notes attributable to changes in credit risk is determined using the credit spread implicit in the fair value of similar bonds traded in active markets and issued by ABN AMRO. Subordinated liabilities The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December. Movements in these debt instruments involve a continual process of redemption and issuance of long-term and short-term funding. (in millions) 31 December 2022 31 December 2021 Subordinated liabilities 7,290 7,549 2022 2021 (in millions) Carrying amount Carrying amount Balance as at 1 January 7,549 8,069 Cash flows Issuance 1,540 910 Redemption -1,602 -1,514 Non-cash changes Foreign exchange differences 360 367 Other -556 -283 Balance as at 31 December 7,290 7,549 No perpetual loans were recorded at the reporting date. The issued and outstanding loans qualifying as subordinated liabilities are subordinated to all other current and future liabilities. (in millions) 31 December 2022 31 December 2021 Legal provisions 447 398 Credit commitments provisions 154 222 Restructuring provision 105 178 Other staff provision 128 137 Provision for pension commitments 75 79 Insurance fund liabilities 8 5 Other provisions 128 181 Total provisions 1,044 1,201 Legal provisions Interest rate derivatives for SME clients In 2015, ABN AMRO started a review, at the request of the Netherlands Authority for the Financial Markets (AFM) and the Dutch Ministry of Finance, to determine whether the bank had acted in accordance with its duty of care obligations in respect of the sale of interest rate derivatives to SME clients. In the second quarter of 2015, ABN AMRO first recognised a provision for compensating clients who had been disadvantaged in this respect and suffered loss or damage. ABN AMRO has set up its own client reassessment process and the related checks and balances with respect to the Uniform Recovery Framework devised by a committee of independent experts (\u2018the Committee\u2019) appointed by the Dutch Minister of Finance. Except for a limited number of proceedings relating to the Uniform Recovery Framework before the Dutch courts, ABN AMRO has completed the execution of the Uniform Recovery Framework. The total provision for SME derivatives-related issues consisted of client compensation (EUR 0.6 billion) and project costs (EUR 0.3 billion). The remaining provision amounted to EUR 3 million at 31 December 2022. EURIBOR-based mortgages ABN AMRO has sold mortgage loans with floating, often Euribor-based, interest rates to consumers. These rates include a margin charge. Under the applicable terms and conditions, ABN AMRO has the right to unilaterally adjust the margin charge. ABN AMRO\u2019s decision to increase the margin charge in 2012 resulted in two class actions, on top of multiple individual cases, being instigated. The central question in these cases was whether ABN AMRO\u2019s right in the terms and conditions to unilaterally adjust the margin charge was an unfair contractual clause. On 22 November 2019, the Supreme Court quashed the ruling of the Amsterdam Court of Appeal in the Euribor collective cases. The case was referred to another Court of Appeal (The Hague) in order to be dealt with further. In the meantime ABN AMRO and the foundation Stichting Euribar reached agreement on a settlement for clients with Euribor-Woninghypotheek mortgages. All clients who were eligible for the settlement received a personal offer from ABN AMRO and 81% of this group accepted the proposed settlement. Meanwhile, the other foundation, Stichting Stop de Banken, broke off the negotiations aimed at reaching agreement and proceeded with the class action. The hearing at the Court of Appeal in The Hague took place on 9 November 2021. On 11 October 2022, the Court of Appeal in The Hague ruled that the amendment clauses were valid and that ABN AMRO was entitled to exercise its power of amendment. The Court of Appeal also deemed the manner in which ABN AMRO exercised its power of amendment to be within the law. This means that ABN AMRO was within its rights to amend the charge and that the increase in the charge was not excessive. The Court of Appeal also rejected all the other complaints made by Stichting Stop de Banken. The ruling applies to clients who did not accept the personal settlement offer made to them by the bank in 2020 or 2021. Stichting Stop de Banken subsequently announced that it would appeal against the ruling and, on 22 December 2022, filed the documents for the Supreme Court appeal. ABN AMRO is currently studying the arguments raised and will respond to this action by the end of Q2 2023. Variable interest rates for consumer loans On 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about recalculating the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that ABN AMRO should have followed the market rate when establishing the variable interest rate for certain revolving consumer credits. Provision for Insurance Legal Credit Restructuring Other staff pension fund (in millions) provisions commitments provision provision commitments liabilities Other Total At 1 January 2021 98 92 226 136 106 11 258 926 Increase of provisions 340 173 35 49 597 Reversal of unused provisions -23 -51 -22 -61 -157 Utilised during the year -16 -3 -67 -66 -152 Transfer between stages 6 6 Foreign exchange differences 6 6 1 12 Other -1 -1 2 -27 -6 1 -32 At 31 December 2021 398 222 178 137 79 5 181 1,201 Increase of provisions 156 151 26 107 440 Reversal of unused provisions -37 -189 -35 -13 -274 Utilised during the year -70 -49 -70 -149 -338 Transfer between stages 2 2 Foreign exchange differences 8 5 14 Other 9 -10 -4 3 2 -1 At 31 December 2022 447 154 105 128 75 8 128 1,044 In light of the Kifid ruling, ABN AMRO reached agreement with the Dutch Consumers\u2019 Association (Consumentenbond Claimservice) on 5 September 2021 regarding a compensation scheme for affected clients. In Q3 2022, following a ruling in August 2022 by the Kifid Appeals Committee, ABN AMRO amended the compensation scheme to include interest on interest. ABN AMRO has provisioned around EUR 481 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 70 million of this provision has been used, with a remaining provision as at 31 December 2022 of EUR 411 million. It is unclear what the exact scope and application of the Kifid ruling is and whether it will have any knock-on effect on other products with variable interest rates, beyond the range of products covered by the compensation scheme. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities not provided for. Other provisions AML remediation programme To address shortcomings, as well as increasingly strict regulations and continuously evolving forms of financial crime, ABN AMRO had already started an extensive, bank-wide AML remediation programme. In 2022, remediation of client files progressed at full speed. The AML remediation programme is expected to be finalised in 2023. The total provision for the AML programme amounted to EUR 50 million at 31 December 2022. 31 Pension and other employee benefits Accounting policy for pension and other employee benefits ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands. Defined contribution plans For defined contribution plans, ABN AMRO pays annual contributions determined by a fixed method and has no legal or constructive obligation to pay any further contributions. Contributions are recognised directly in the income statement in the year to which they relate. Actuarial and investment risk are for the account of the participants in the plan. Defined benefit plans For defined benefit plans, the net obligation of each plan is the difference between the present value of the defined benefit obligations and the fair value of the plan\u2019s assets. The actuarial assumptions used for calculating the present value of the defined benefit obligations include discount rates based on high-quality corporate bonds, the inflation rate, future salary increases, employee contributions, mortality assumptions and rates of employee turnover. The assumptions are based on available market data and management expectations at the end of the reporting period. Plan assets are measured at fair value at balance sheet date and are netted against the defined benefit obligations. Pension costs recognised in the income statement for defined benefit plans consist of: \u00c5 service costs; \u00c5 net interest costs determined by multiplying the net defined benefit liability (asset) by the discount rate, both as at the start of the annual reporting period, taking into account any changes in the net defined benefit liability (asset) during the period as a result of contributions and benefit payments; and \u00c5 curtailments or plan amendments. Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments. Remeasurement Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover). They are recognised in other comprehensive income and are not recycled to profit or loss in later periods. The actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets and any tax payable by the pension plan itself. Other employee benefits Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining in service up to retirement age and the completion of a minimum service period. The expected costs of these benefits are accrued over the period of employment, using the same accounting methodology as used for defined benefit pension plans. These obligations are calculated annually. Plans in all countries comply with applicable local regulations concerning investments and minimum funding levels. Pension and other employee benefits Amounts recognised in the income statement for pensions and other employee benefits 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Current service cost 5 3 8 7 11 18 Interest cost 2 2 1 2 Interest income -1 -1 -1 -1 Other 12 -4 8 -3 -3 Total defined benefit expenses in actuarial report 18 -1 17 7 8 15 Other expenses -4 -4 -4 -4 Total defined benefit expenses 14 -1 12 3 8 11 Defined contribution plans 321 321 291 291 Total pension expenses and other post retirement employee benefits 334 -1 333 294 8 302 Pension expenses for defined contribution plans consist mainly of the cash contributions to the Dutch collective defined contribution plan. Dutch defined contribution plan The Dutch defined contribution plan is a collective defined contribution plan, based on an average salary plan. The target retirement age is set at 68 years. The contribution payable by pension fund participants is 5.5% (2021: 5.5%). Participants\u2019 contributions to the defined contribution plan in 2022 amounted to EUR 50 million (2021: EUR 47 million) and are included in the pension expenses. Reconciliation to the statement of financial position and other comprehensive income 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Present value of defined benefit obligations - funded with plan assets 197 3 200 242 3 246 Fair value of plan assets 157 157 189 189 40 3 43 54 3 57 Present value of defined benefit obligations - unfunded 30 125 155 24 134 158 Net liabilities/(assets) balance sheet at 31 December 70 128 198 78 137 215 - of which assets 5 5 1 1 - of which liabilities 75 128 202 79 137 216 Experience adjustments -4 -1 -4 14 13 Remeasurements arising from changes in demographic assumptions DBO 1 1 1 1 Remeasurements arising from changes in financial assumptions DBO 36 4 40 6 1 7 Remeasurements arising from changes in financial assumptions plan assets -20 -20 3 3 Remeasurements in other comprehensive income 13 3 16 23 24 Change in defined benefit obligation (DBO) 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Defined benefit obligation as at 1 January 266 137 404 300 136 435 Current service cost 5 3 8 7 11 18 Interest cost 2 2 1 2 Benefits paid in from employer -9 -4 -13 -9 -3 -12 Remeasurements arising from changes in demographic assumptions -1 -1 -1 -1 Experience adjustments 4 1 4 -14 -13 Remeasurements arising from changes in financial assumptions -36 -4 -40 -6 -1 -7 Other -5 -5 -10 -12 -6 -18 Defined benefit obligation as at 31 December 227 128 355 266 137 404 The net defined benefit liabilities/(assets) balance as at 31 December 2022 consisted of pensioners with a profit share, the indexation of benefits insured with an insurance company and several small defined benefit plans outside the Netherlands. Change in fair value of plan assets 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Fair value of plan assets as at 1 January 189 189 194 194 Interest income 1 1 1 1 Return on plan assets excluding interest -20 -20 3 3 Employer's contributions 1 1 Other -12 -12 -10 -10 Fair value of plan assets as at 31 December 157 157 189 189 33 Equity Principal actuarial assumptions 2022 2021 Discount rate 3.4% 0.8% Indexation rate 2.0% 1.7% Future salary increases 2.2% 2.2% The above assumptions are weighted by defined benefit obligations. The discount rate consists of a risk-free rate and a credit spread on AA-rated corporate bonds. 32 Other liabilities The following table shows the components of accrued expenses and other liabilities. (in millions) 31 December 2022 31 December 2021 Accrued other expenses 939 876 Lease liabilities 413 485 Unsettled securities transactions 2,019 1,575 Sundry liabilities and other payables 1,816 1,821 Total other liabilities 5,187 4,757 Share capital and other components of equity Ordinary shares As at 31 December 2022, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. Compound financial instruments Components of compound financial instruments (liability and equity parts) are classified in their respective areas of the statement of financial position. Currency translation reserve The currency translation reserve represents the cumulative gains and losses on the translation of the net investment in foreign operations, net of the effect of hedging. Fair value reserve Under IFRS 9, the fair value reserve includes the gains and losses, net of tax, resulting from a change in the fair value of debt instruments measured at FVOCI. When the instruments are sold or otherwise disposed of, the related cumulative gain or loss recognised in equity is recycled to the income statement. Cash flow hedging reserve The cash flow hedging reserve comprises the effective portion of the cumulative net change in the fair value of cash flow hedging instruments, net of taxes, that are recycled to the income statement if the hedged transactions have an impact on profit or loss. Net investment hedging reserve The net investment hedging reserve comprises the currency translation differences arising when the currencies of these instruments are translated to euros, to the extent they are effective. Liability own credit risk reserve Under IFRS 9, the changes in fair value attributable to changes in the own credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Dividends Dividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which they are approved by shareholders. Capital securities Undated, deeply subordinated, resettable, callable capital securities are classified as additional tier 1 (AT1) capital, under total equity. ABN AMRO Bank has the European Central Bank\u2019s permission to carry out limited repurchases from investors and to sell back in the market Other reserves Other reserves mainly comprise retained earnings and profit for the period. The following table shows the equity of ABN AMRO Bank N.V. and the outstanding and issued share capital. (in millions) 31 December 2022 31 December 2021 Share capital 898 940 Share premium 12,529 12,970 Accumulated other comprehensive income -842 -1,227 Other reserves (incl. retained earnings/profit for the period) 8,243 7,324 AT1 capital securities 1,985 1,987 Equity attributable to owners of the parent company 22,812 21,994 Equity attributable to non-controlling interests 2 5 Total equity 22,814 21,999 At 31 December 2022, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares. The authorised share capital consists of 2,200,000,000 ordinary A-shares with a nominal value of EUR 1.00 and 200,000,000 ordinary B-shares with a nominal value of EUR 1.00. Every share is entitled to one vote during the General Meeting. During the financial year there were no changes in the authorised share capital. The total number of issued shares at 31 December 2022 was 897,521,916. In 2022, the final dividend for the year 2021 of EUR 0.61 per share was paid out for a total of EUR 553 million and the 2022 interim dividend of EUR 0.32 per share was paid out for a total of EUR 287 million. For the year 2022, a final dividend has been proposed of EUR 0.67 per share. During the first half year of 2022, ABN AMRO Bank N.V. purchased treasury shares under the buyback programme for EUR 500 million, at an average price of EUR 11.77 per share. These treasury shares were cancelled during Q3, resulting in a reduction in the issued share capital of 42,478,085 shares, with a nominal value of EUR 1.00 each. The amount of the purchase value between EUR 1.00 (the nominal value of the purchased shares) and EUR 11.55 (the value of the purchased shares for tax purposes) has been deducted from the share premium reserve. The amount of the purchase value in excess of EUR 11.55 has been deducted from other reserves. The following table shows the equity of ABN AMRO Bank N.V. and the outstanding and issued share capital. 31 December 2022 31 December 2021 Class A Class B Class A Class B ordinary shares ordinary shares ordinary shares ordinary shares Number of shares Authorised share capital 2,200,000,000 200,000,000 2,200,000,000 200,000,000 Unissued share capital 1,302,478,084 200,000,000 1,259,999,999 200,000,000 Issued share capital 897,521,916 940,000,001 Amount of shares (in EUR) Authorised share capital 2,200,000,000 200,000,000 2,200,000,000 200,000,000 Unissued share capital 1,302,478,084 200,000,000 1,259,999,999 200,000,000 Issued share capital 897,521,916 940,000,001 Par value 1.00 1.00 1.00 1.00 Accumulated other comprehensive income is specified in the following table. Accumulated Remeasurements Currency Cash flow share of OCI of Liability own on post-retirement translation Fair value hedge associates and credit risk (in millions) benefit plans reserve reserve reserve joint ventures reserve Total Balance at 1 January 2021 -24 -29 162 -1,854 36 -24 -1,733 Net gains/(losses) arising during the period 24 66 107 451 16 20 684 Less: Net realised gains/(losses) included in income statement 54 55 Net gains/(losses) in equity 24 66 108 396 16 20 629 Related income tax 6 30 82 5 123 Balance at 31 December 2021 -6 38 239 -1,540 51 -9 -1,227 Net gains/(losses) arising during the period 16 48 -287 762 -51 8 496 Less: Net realised gains/(losses) included in income statement 4 1 -39 7 -26 Net gains/(losses) in equity 16 44 -288 801 -58 8 522 Related income tax 3 -75 207 2 137 Balance at 31 December 2022 7 81 26 -946 -7 -3 -842 Accumulated other comprehensive income increased by EUR 385 million, driven mainly by the increase in the cash flow hedge reserve, which was the result of the current market interest rate environment. The decrease of the fair value reserve was attributable to the increased credit spread on financial investments. 34 Transferred, pledged, encumbered and restricted assets Accounting policy for transferred, pledged, encumbered and restricted assets Transferred financial assets are arrangements/transactions for which ABN AMRO has: \u00c5 Transferred the contractual rights to receive the cash flows of the financial asset to a third party, or; \u00c5 Retained the contractual rights to receive the cash flows of that financial asset, but has assumed a contractual obligation to pay the cash flows to a third party; or \u00c5 Transferred a financial asset when the counterparty has the right to repledge or to resell the asset. Depending on the circumstances, these transfers may result in financial assets that either are or are not derecognised in their entirety. Please refer to Note 1 Accounting policies. Pledged assets are assets pledged as collateral for liabilities or contingent liabilities and the terms and conditions relating to the pledge. Encumbered assets are those that are pledged or other assets that we believe to be restricted in order to secure, credit-enhance or collateralise a transaction. In principle, pledged assets are encumbered assets. The following differences apply to ABN AMRO: \u00c5 Encumbered assets include mandatory reserve requirements with central banks; \u00c5 Encumbered assets exclude assets pledged for unused credit facilities with central banks at the statement of financial position date, i.e. mainly retained mortgage-backed securities. Significant restrictions on assets may arise from statutory, contractual or regulatory requirements such as: \u00c5 Those that restrict the ability of the parent or its subsidiaries to transfer cash or other financial assets to or from other entities within the group; \u00c5 Guarantees or other requirements that may restrict dividends and other capital distributions being paid, or loans and advances being made or repaid to other entities within the group; \u00c5 Protective rights of other non-controlling interests that may restrict the ability of the bank to access and transfer assets freely to or from other entities within the group and to settle liabilities of the bank. Securities financing Securities financing transactions are entered into on a collateralised basis for mitigating the bank\u2019s credit risk exposure. In repurchase agreements and securities lending transactions, ABN AMRO gets the securities returned at maturity. The counterparty in the transactions holds the securities as collateral, but has no recourse to other assets of ABN AMRO. Continuing involvement in transferred financial assets derecognised in their entirety The bank does not have any material transferred assets that are derecognised in their entirety, but where ABN AMRO has continuing involvement. Transferred financial assets This disclosure provides insight into the relationship between these transferred financial assets and associated financial liabilities in order to show the risks the bank is exposed to when the assets are transferred. If transferred financial assets continue to be recognised in the balance sheet, ABN AMRO Group is still exposed to changes in the fair value of the assets. Transferred financial assets not derecognised in their entirety The following table shows transferred financial assets that are not derecognised in their entirety. 31 December 2022 31 December 2021 Financial assets Financial assets Financial held for trading (at Financial held for trading (at investments (at fair fair value through investments (at fair fair value through (in millions) value through OCI) profit and loss) Total value through OCI) profit and loss) Total Securities financing Carrying amount Transferred assets 6,298 126 6,423 7,911 122 8,033 Carrying amount Associated liabilities 9,605 126 9,731 8,069 125 8,194 Fair value of assets 6,298 126 6,423 7,911 122 8,033 Fair value of associated liabilities 9,605 126 9,731 8,069 125 8,194 Net position -3,308 -3,308 -158 -2 -161 Securitisations The bank uses securitisations as a source of funding, whereby the Special Purpose Entity (SPE) issues debt securities. In a securitisation transaction utilising true sale mechanics, the bank transfers the title of the assets to SPEs. When the cash flows are transferred to investors in the notes issued by consolidated securitisation vehicles, the assets (mainly residential mortgage loans) are considered to be transferred. The bank had no transferred and associated securitisations at 31 December 2022. Pledged and encumbered assets Pledged and encumbered assets are no longer readily available to the group to secure funding or satisfy collateral needs or to be sold to reduce the funding requirement. The following activities conducted by ABN AMRO give rise to pledged assets: \u00c5 cash and securities provided as collateral to secure trading and other liabilities, mainly derivatives; \u00c5 mortgages and SME loans pledged to secure funding transactions such as covered bonds and securitisations; \u00c5 securities lent as part of repurchase and securities lending transactions. The following table provides an overview of assets pledged as security and encumbered assets. (in millions) 31 December 2022 31 December 2021 Assets pledged Cash and balances at central banks 7 431 Financial assets held for trading 17 253 Financial investments FVOCI 7,423 2,926 Loans and advances banks: - Interest bearing deposits 1,003 1,341 Loans and advances customers: - Residential mortgages 76,475 93,805 - Commercial loans 7,713 16,088 Total assets pledged as security 92,638 114,845 Differences between pledged and encumbered assets 1 Loans and advances banks200 199 2 Loans and advances customers-32,148 -10,088 Total differences between pledged and encumbered assets -31,948 -9,888 Total encumbered assets 60,690 104,957 Total assets 379,581 399,113 Total encumbered assets as percentage of total assets 16.0% 26.3% 1 Includes mandatory reserve deposits. 2 Excludes mainly mortgage-backed securities. Off-balance sheet collateral held as security for assets Mainly as part of professional securities transactions, ABN AMRO obtains securities on terms that permit it to repledge or resell the securities to others. These transactions are conducted under terms that are usual and customary in standard professional securities transactions. ABN AMRO controls the credit risk associated with these activities by monitoring counterparty credit exposure and collateral value on a daily basis and, when necessary, requiring additional collateral to be deposited with or returned to the group. (in millions) 31 December 2022 31 December 2021 Fair value of securities received which can be sold or repledged 78,428 71,372 - of which: fair value of securities repledged/sold to others 55,614 52,417 ABN AMRO is obliged to return securities accepted as collateral to its counterparties. Significant restrictions on the ability to access or use the bank\u2019s assets Restricted financial assets consist of assets pledged as collateral against an existing or contingent liability and encumbered assets. Other restrictions impacting on the bank\u2019s ability to use assets include: \u00c5 Assets as a result of collateralising repurchase and borrowing agreements (31 December 2022: EUR 20.0 billion; 31 December 2021: EUR 16.1 billion); \u00c5 Assets held in certain jurisdictions to comply with local liquidity requirements and that are subject to restrictions in terms of their transferability within the group (31 December 2022: EUR 0.8 billion; 31 December 2021: EUR 0.8 billion); \u00c5 ABN AMRO Bank N.V. is in general not subject to any significant restrictions that would prevent the transfer of dividends and capital within the group, except for regulated subsidiaries that are required to maintain capital in order to comply with local regulations (31 December 2022: EUR 0.5 billion; 31 December 2021: EUR 0.6 billion). 35 Commitments and contingent liabilities Accounting policy for off-balance sheet items Commitments Loan commitments that allow for draw-down of a loan within the timeframe generally established by regulation or convention in the marketplace are not recognised as derivative financial instruments. Acceptances comprise undertakings by ABN AMRO to pay bills of exchange drawn on clients. ABN AMRO expects most acceptances to be settled simultaneously with the reimbursement from clients. Acceptances are not recognised in the balance sheet and are disclosed as commitments. Financial guarantee contracts A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when appropriate \u2013 the cumulative amount of income recognised in the income statement. Contingent liabilities Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events, and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured. Contingent liabilities are not recognised in the balance sheet, but disclosed if the likelihood of an outflow of economic resources is not more likely than not or if the likelihood of an outflow of economic resources is more likely than not, however cannot be reliably estimated. Committed credit facilities Commitments to provide credit take the form of approved but undrawn loans, revolving and underwriting facilities. New loan offers have a commitment period that does not extend beyond the normal underwriting and settlement period. Guarantees and other commitments ABN AMRO provides financial guarantees and letters of credit to guarantee the performance of customers to third parties. These transactions have fixed limits and generally extend for periods of up to 5 years. Expirations are not concentrated in any particular period. ABN AMRO also provides guarantees by acting as a settlement agent in securities borrowing and lending transactions. Many of the contingent liabilities and commitments are expected to expire without being paid out in whole or in part. This means that the amounts stated do not represent expected future cash flows. Additionally, guarantees and letters of credit are supported by varying levels of collateral. Furthermore, statements of liability within the meaning of Article 403, Book 2 of the Dutch Civil Code have been issued for a number of ABN AMRO\u2019s affiliated companies (see also the chapter on Other information). The committed credit facilities, guarantees and other commitments are summarised in the following table. The amounts stated in the table for commitments assume that amounts are fully paid out. The amounts shown in the table for guarantees and letters of credit represent the maximum amount ABN AMRO is exposed to if the contract parties completely fail to perform as contracted. Payments due by period Less than Between one and Between three After (in millions) one year three years and five years five years Total 31 December 2022 Committed credit facilities 29,349 9,585 8,268 6,671 53,873 Guarantees and other commitments Guarantees granted 177 83 96 985 1,342 Irrevocable letters of credit 3,062 699 489 179 4,429 Recourse risks arising from discounted bills 1,566 312 1 1,880 Total guarantees and other commitments 4,806 1,094 586 1,164 7,651 Total 34,155 10,679 8,854 7,836 61,524 31 December 2021 Committed credit facilities 35,134 10,395 5,965 3,147 54,642 Guarantees and other commitments Guarantees granted 142 83 96 1,222 1,544 Irrevocable letters of credit 3,084 1,111 336 221 4,752 Recourse risks arising from discounted bills 1,159 11 3 31 1 1,303 Total guarantees and other commitments 4,385 1,307 463 1,443 7,598 Total 39,520 11,702 6,428 4,590 62,240 Equity trading German authorities are conducting investigations into the involvement of individuals from various banks and other parties in equity trading extending over dividend record dates in Germany, including several forms of tainted dividend arbitrage (i.e. tainted dividend stripping, including cum/ex and cum/cum) for the purpose of obtaining German tax credits or refunds in relation to withholding tax levied on dividend payments, including, in particular, transaction structures that resulted in more than one market participant claiming such credit or refund with respect to the same dividend payment. ABN AMRO\u2019s legal predecessor, Fortis Bank (Nederland) N.V., ABN AMRO and several former subsidiaries were directly or indirectly involved in these transactions in the past in various capacities. Criminal investigation proceedings relating to the activities of these entities and individuals involved at the time were instigated. These proceedings also resulted in search warrants being issued against ABN AMRO. ABN AMRO is cooperating with these investigations, but has no knowledge of the results of any such investigations. ABN AMRO also frequently receives information requests from German authorities in relation to criminal and other investigations of individuals from other banks and other parties relating to equity trading extending over dividend record dates in Germany. ABN AMRO cooperates and provides the requested information to the extent possible. Although a number of subsidiaries associated with these transactions have been sold by means of a management buy-out, legal risks remain for ABN AMRO, in particular relating to administrative offences and criminal and civil law. All material tax issues with respect to ABN AMRO\u2019s tax reclaims relating to cum/ex transactions have been settled with the German tax authorities. With Discussion with regulator on regulatory levies ABN AMRO is in discussion with the Single Resolution Board (SRB) about the calculation method applied for annual Single Resolution Fund (SRF) contributions paid in the past. At this time, the outcome of these discussions are still uncertain. The annual SRF contribution is a levy introduced by the European Union in 2016. The SRB calculates the SRF contribution based on the information annually provided by the credit institutions within the European Banking Union in scope of SRF. The SRB is of the opinion that ABN AMRO has reported variables to calculate the annual SRF contribution incorrectly over the 2016-2022 period. ABN AMRO disagrees with the SRB\u2019s point of view and, as from 2016, has repeatedly and extensively communicated its position with regard to the adjusted amount to the SRB. The different points of view held by the SRB and ABN AMRO are due to a differing interpretation of the regulation with regard to the annual SRF contribution. If the SRB continues to disagree with ABN AMRO\u2019s position, this could result in an additional contribution of approximately EUR 110 million (before tax) being declared payable in the first half of 2023. In that event, ABN AMRO will challenge the SRB\u2019s decision. The outcome of any such challenge is uncertain because the SRF regulation is relatively new and there is little to no case law on the subject. ABN AMRO nevertheless considers it more likely than not that such challenge will be successful. Therefore no provision has been recognised. respect to cum/cum transactions, the German Federal Ministry of Finance released two circular rulings dated 9 July 2021 (published 15 July 2021); these contain a change in interpretation of tax legislation compared to previous circular rulings. While these circular rulings, in ABN AMRO\u2019s view, contradict case law of the German Federal Tax Court after the circulars were published, the German Federal Ministry of Finance has not withdrawn or amended the rulings, and the German local tax authorities are therefore expected to re-collect dividend withholding tax credited to taxpayers where such credits related to cum/cum strategies. ABN AMRO has received dividend withholding tax refunds that relate to transactions that could be considered to be cum/cum transactions under the new circular rulings. In anticipation of a decision by the German tax authorities, ABN AMRO has, as a precaution, repaid the relevant dividend withholding tax amounts, while retaining its rights to contest any such future decision. Some counterparties of ABN AMRO have initiated civil law claims against ABN AMRO with respect to cum/cum securities lending transactions (some of which are pending before German courts), arguing that ABN AMRO failed to deliver beneficial ownership of the loaned securities to these counterparties and that this resulted in a denial of tax credit entitlement by the relevant German tax authorities. Although ABN AMRO considers it not probable that any such claims will be successful, the possibility that they will succeed cannot be ruled out. It cannot be excluded that ABN AMRO or subsidiaries will face financial consequences as a result of their involvement in tainted dividend stripping transactions, in particular corporate administrative fines, forfeiture orders and civil law claims. It is currently unclear, however, as to how and when the German prosecution authorities\u2019 investigations will impact on ABN AMRO and its subsidiaries and if, and to what extent, corporate administrative fines or forfeiture orders will be imposed. It is also uncertain whether tax authorities or third parties will successfully claim amounts from ABN AMRO in secondary tax liability or civil law cases. Therefore, the financial impact cannot currently be reliably estimated and no provision has been recorded in this respect. Netherlands Public Prosecution Service investigation into Dutch tax matter The Netherlands Public Prosecution Service (NPPS) is conducting an investigation regarding transactions that ultimately led to a set-off by a third party of dividend withholding tax credits against its corporate tax liabilities in the Netherlands during the period 2009-2013. The NPPS investigation relates to ongoing tax proceedings in the Dutch courts between the third party and the Dutch tax authority regarding the third party\u2019s set-off of dividend withholding tax credits against its corporate tax liabilities. The District Court ruled in favour of this third party in 2018. In 2020, the Court of Appeal overturned the ruling of the District Court and ruled in favour of the Netherlands tax authority. An appeal with the Supreme Court has been filed against the ruling of the Court of Appeal and is currently pending. The NPPS has informed ABN AMRO that it is a suspect in the investigation, due to its involvement in some of these transactions. The NPPS is gathering information for its investigation and ABN AMRO is cooperating with the investigation. The timing of the completion of the investigation and the outcome are uncertain. The possibility cannot be excluded that ABN AMRO will face financial consequences as a result of the investigation. However, the potential financial impact of the investigation cannot currently be reliably estimated and no provision has been made. Duty of care matters A number of proceedings have been initiated against ABN AMRO for alleged breach of its duty of care in transparency-related standards. Where applicable, provisions for these matters have been made. There can be no assurance that additional proceedings will not be instigated or that amounts demanded in claims brought to date will not rise. Current proceedings are pending and their outcome, as well as the outcome of any threatened proceedings, is uncertain, as is the timing of reaching any finality on these legal claims and proceedings. Although the consequences could be substantial for ABN AMRO and potentially affect its reputation, results of operations, financial condition and prospects, it is not possible to reliably estimate or quantify ABN AMRO\u2019s exposure at this time. These uncertainties are likely to continue for some time. Cross-liability On 6 February 2010, the former ABN AMRO Bank N.V. demerged into two entities: NatWest Markets N.V. (formerly known as RBS N.V.) and ABN AMRO Bank N.V. On the division of an entity by demerger, Dutch law establishes a cross-liability between surviving entities for the benefit of the creditors at the time of the demerger. ABN AMRO\u2019s cross-liability 1amounts to EUR 298 million (31 December 2021: EUR 1.2 billion), for which NatWest Markets N.V. has posted collateral of EUR 150 million (31 December 2021: EUR 0.4 billion).1 The outcome of the cross liability analysis for 2022 is still to be discussed with DNB.Other contingent liabilities ABN AMRO is involved in a number of legal proceedings in the ordinary course of business in various jurisdictions. In presenting the Consolidated Annual Financial Statements, management estimates the outcome of legal, regulatory and arbitration matters, and takes provisions to the income statement when losses with respect to such matters are more likely than not. Provisions are not recognised for matters for which an expected cash outflow cannot be reasonably estimated or that are not more likely than not to lead to a cash outflow. Some of these matters may be regarded as a contingency. In particular, the following matters are regarded as contingent liabilities: \u00c5 ABN AMRO, some of its subsidiaries and some of their client funds had exposure to funds that suffered losses (in some cases, significant losses) as a result of the Madoff fraud. The provision of custodial services resulted in several legal claims, including by the Bernard L. Madoff Investment Securities trustee in bankruptcy (Irving Picard) and the liquidators of certain funds, who are pursuing legal action in an attempt to recover payments made as a result of the fraud and/or to compensate their alleged losses. ABN AMRO and certain ABN AMRO subsidiaries are defendants in these proceedings. Even though these proceedings have been ongoing for several years, they are still in a preliminary stage. Hence, it is not possible to estimate the total amount of ABN AMRO\u2019s potential liability, if any. \u00c5 The Imtech Group was declared bankrupt in August 2015. ABN AMRO was one of the banks that extended financing to this group and participated in the second rights offering of October 2014. By letter of 20 January 2018, Stichting Imtechclaim and Imtech Shareholders Action Group B.V. held ING, Rabobank, Commerzbank and ABN AMRO liable for alleged misstatements in the prospectuses and for alleged actio pauliana (fraudulent preference). By letter of 28 March 2018, the VEB held parties, including ABN AMRO, liable for damage allegedly suffered by the Imtech investors. On 10 August 2018, ABN AMRO received formal notification from Imtech\u2019s trustees that they were seeking to nullify a large number of transactions and claim various damages. The letter aimed to interrupt limitation periods in view of the possible claims against Imtech\u2019s lenders, bondholders and underwriting banks. It appears likely that litigation will be started by the trustees in view of this letter and subsequent communications, although the exact timing of this litigation, the amount of the claim and the parties to be summoned are unclear. \u00c5 On 18 October 2018, Eurostar Diamond Traders N.V. (EDT) filed a civil law complaint against ABN AMRO in the Antwerp Court, claiming a provisional amount of EUR 673 million. The amount claimed included an unsubstantiated claim for damages of EUR 600 million on the ground that ABN AMRO and Standard Chartered Bank (SCB) allegedly deliberately caused EDT\u2019s demise. Damages of USD 73 million were also claimed for the alleged sale of unsuitable derivatives. EDT and Eurostar Diamond Traders International N.V., EDT\u2019s parent company, were both declared bankrupt in a final decision in 2020. EDT\u2019s trustees have continued the proceedings against ABN AMRO but have dropped material parts of the original claims and have lowered the claim amount to a provisional amount of EUR 1. The former directors of Eurostar are attempting to become formally involved in these proceedings. \u00c5 First Data Holding (FDH) and some of its group companies have indicated that they believe that one of FDH\u2019s subsidiaries, European Merchant Services B.V (EMS), has a claim against International Card Services B.V. (ICS). In spring 2016, FDH claimed for the first time that EMS was entitled to 51% of the proceeds of the sale of Visa Europe in 2015. The alleged claim amounted to approximately EUR 37 million plus interest. In August 2016, ICS refuted this claim. In September 2020, FDH repeated its alleged claim. In October 2020, EMS and FDH (now Fiserv) interrupted the limitation periods relating to EMS\u2019s alleged claim. In December 2020, ICS responded by rejecting this alleged claim again. As yet, however, EMS itself has not filed any claim against ICS. As a result, it has to be awaited whether and, if so, when EMS will file such claim. \u00c5 In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by a Luxembourg fund, LFP I SICAV SIF (LFP), which alleges that the Luxembourg subsidiary, in its capacity as custodian of a sub-fund of LFP (Columna), should have prevented an investment of USD 10 million from being made. LFP is claiming restitution of this amount from BGL in proceedings before the District Court of Luxembourg. BGL notified ABN AMRO of this claim in January 2020 and, in June 2020, summoned it to appear in these proceedings in an intervention procedure. In July 2020, LFP and its Hong Kong subsidiary issued an additional claim against BGL. This claim amounts to USD 38 million and also seems to be in respect of investments relating to Columna. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and ABN AMRO. In August 2020, BGL reserved its (alleged) rights to file possible further claims against ABN AMRO, also in relation to LFP. As a result, it has to be awaited whether BGL will institute any further additional claims in this matter. H In addition, on 2 April 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by a fund (SIF A) and the liquidator of SIF A. In brief, it is alleged that a sub-fund of SIF A invested for a period of time in allegedly fictitious loan instruments. ABN AMRO Bank (Luxembourg) S.A. acted as the custodian bank for SIF A for a while within this time period. SIF A alleges that it did not perform its duties properly and therefore considers that BGL, as the legal successor of the Luxembourg subsidiary, should be held liable, together with three other defendants, for EUR 4 million in damages. BGL notified ABN AMRO of this claim in May 2021. In brief, BGL is claiming that any sentence that could be pronounced 36 Remuneration of Executive Board and Supervisory Board Remuneration of Executive Board 2022 Other Total Base Variable short-term short term Severance Total pension-related 4 5 6 salary remunerationbenefitsbenefits payments contributionsTotal Post-Short-term employment allowances 66(In thousands) pension (a)(b)R.A.J. Swaak 771 771 32 197 999 1 C.M. Bornfeld218 45 263 11 54 327 T.J.A.M. Cuppen 654 34 688 32 162 881 2 D. Dorner654 32 686 32 162 879 2 C. van der Hooft - Cheong654 27 682 32 162 875 2 L. Kramer654 133 787 32 162 981 1,2 G.R. Penning927 927 164 46 227 1,364 2 A.M. Vreugdenhil545 18 563 26 135 724 Total 5,077 289 5,366 164 241 1,260 7,031 2021 R.A.J. Swaak 765 765 31 196 992 1 C.M. Bornfeld650 162 812 31 161 1,004 1 C.J. Abrahams108 20 128 5 27 159 T.J.A.M. Cuppen 650 34 684 31 161 876 2 D. Dorner67 4 70 3 17 90 2 C. van der Hooft - Cheong67 3 69 3 17 89 2 L. Kramer381 65 446 18 95 558 1,2 G.R. Penning67 67 3 17 87 3 A. Roest161 11 172 8 40 220 Total 2,915 298 3,213 133 730 4,075 1 The following members left ABN AMRO: C.J. Abrahams (1 March 2021) and C.M. Bornfeld (1 May 2022). G.R. Penning stepped down as Executive Board member on 1 December 2022 and will leave ABN AMRO as per 1 June 2023. For G.R. Penning, all remuneration components (including severance, which is awarded in 2022 and paid in 2023) for the period until the end of his employment contract on 1 June 2023 are included above. 2 The following members were appointed as an Executive Board member: L. Kramer (1 June 2021), D. Dorner (24 November 2021), C. van der Hooft - Cheong (24 November 2021), G.R. Penning (24 November 2021) and A.M. Vreugdenhil (1 March 2022). 3 The remuneration components for A. Roest relate to her interim Executive Board appointment from 1 March 2021 until 1 June 2021. 4 Owing to the Bonus Prohibition Act, the Executive Board members are not entitled to receive variable compensation. This prohibition has applied since the 2011 performance. 5 Other short-term benefits consists of flight tickets, a housing allowance, compensation for lease car expenses, mortgage interest rate benefit and international schooling costs for Executive Board members\u2019 children when applicable. 6 The Executive Board members participate in ABN AMRO Bank\u2019s pension plans for employees in the Netherlands. Total pension-related contributions refer to (a) the employer contribution to the pension fund (for the CDC pension scheme for pensionable income up to EUR 114.866 (2021: EUR 112,189) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement (\u2018ABN AMRO CAO\u2019). against it in the proceedings against the fund and its liquidator should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. Finally, on 31 May 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by an alternative investment fund (AIF SIF). AIF SIF was originally a client of the subsidiary. AIF SIF accuses BGL, in its capacity as the former depositary bank of AIF SIF, of having caused AIF SIF\u2019s removal from the list of specialised investment funds by the Luxembourg financial regulator (CSSF). The fund claims damages from BGL in the amount of EUR 126 million. BGL notified ABN AMRO of this claim in October 2019 and July 2021. In brief, BGL is claiming that any sentence that could be pronounced against it in the proceedings against the fund should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. Loans from ABN AMRO to Executive Board members 2022 2021 Outstanding Outstanding (In thousands) 31 December Redemptions Interest rate 31 December Redemptions Interest rate 1 D. Dorner463 21 2.2% 484 1.4% 1 C. van der Hooft - Cheong1,559 32 1.5% 1,591 1.5% 1,2 G.R. Penning225 40 2.9% 265 0.7% 3 A. Roest 3,158 1.8% 1 The following members were appointed: D. Dorner (24 November 2021), C. van der Hooft-Cheong (24 November 2021) and G.R. Penning (24 November 2021). 2 G.R. Penning stepped down as Executive Board member on 1 December 2022 and will leave ABN AMRO as per 1 June 2023. 3 A. Roest was an interim ExBo member from 1 March 2021 until 1 June 2021. Remuneration of the Supervisory Board 4 4 (In thousands) 20222021T. de Swaan 103 98 A.C. Dorland 86 82 L.J. Griffith 83 80 M.P. Lap 83 80 1 S.A.C. Russell60 A.M. Stor\u00e5kers 86 80 M.L. Tannemaat 83 80 2 J.S.T. Tiemstra26 82 3 J.B.J. Stegmann 72 Total 610 654 1 S.A.C. Russell was appointed as a member of the Supervisory Board with effect from 20 april 2022 2 J.S.T. Tiemstra stepped down as a member of the Supervisory Board with effect from 20 april 2022. 3 J.B.J. Stegmann stepped down as a member of the Supervisory Board with effect from 14 November 2021. 4 Remuneration amounts excluding VAT. Loans from ABN AMRO to Supervisory Board members 2022 2021 Outstanding Outstanding (In thousands) 31 December Redemptions Interest rate 31 December Redemptions Interest rate T. de Swaan 1,586 5 1.0% 1,591 6 1.0% L.J. Griffith 339 1.8% 339 89 1.8% S.A.C. Russell 370 2.1% M.L. Tannemaat 715 57 1.7% 772 1.7% 37 Share-based payment Accounting policy for share-based payment Identified staff as defined by CRD V are entitled to receive variable compensation. The variable compensation consists of a cash element and a share-based element settled in cash. The cash element in the variable compensation plan is recognised in accordance with IAS 19 and the other element qualifies as a cash-settled share-based payment in accordance with IFRS 2. The compensation is granted for a certain performance year for 50% in cash and for 50% in share-based compensation settled in cash. The vesting conditions include bad leaver conditions and consist of a deferral period and a retention period until the share-based compensation is settled in cash. Up to and including the performance year 2019, the share-based compensation settled in cash (depositary receipt) vests for 30% two years after the performance year. The remaining 20% vests in three equal tranches in the third, fourth and fifth year following the performance year. At the end of the vesting period, participants receive the cash value of the five-day average of an ABN AMRO listed depositary receipt (DR). The share-based compensation settled in cash granted for 2019 and the years before gives the option to request DRs rather than cash. This choice can be made during the quarter in which settlement takes place and is subject to Supervisory Board approval. This equity component in the plan is valued at nil until the request is approved. Participants receive the same amount of fair value, regardless of whether they choose cash or DRs. If participants choose DRs, the value of the DRs is transferred in its entirety from the liability to an equity account. The actual delivery to the participant is expected to take place in the same quarter as the choice is made. ABN AMRO will not issue additional shares for the compensation granted for 2019 and before, but will buy shares in the market when needed. As the purchase of shares is expected to take place in the quarter during which the DRs are delivered, there is no impact on (diluted) earnings per share. As from performance year 2020, the DRs were replaced by performance certificates (PCs) as share-based compensation settled in cash. The share-based compensation settled in cash vests for 30% in the first year. The remaining 20% vests in four equal tranches in the second, third, fourth and fifth year following the performance year. At the end of the vesting period, participants receive the cash value of the five-day average of ABN AMRO\u2019s share price. Share-based compensation settled in cash granted from performance year 2020 onwards does not include the option to request DRs. A liability is recognised for the fair value of cash-settled transactions. The fair value is measured initially and at each reporting date up to and including the settlement date, with changes in fair value recognised in employee benefits expense. The fair value is determined using an internally developed model based on the share price and market expectations of future dividends. The carrying amount of the liability relating to share-based compensation settled in cash at 31 December 2022 was EUR 7 million (31 December 2021: EUR 9 million). The expense recognised for the DRs and PCs awards during 2022 was EUR 1 million, including retention bonus (2021: EUR 6 million). The following table shows the total number of DRs and PCs awarded, forfeited and paid out. (In thousands of DRs) 2022 2021 Outstanding at 1 January 854 859 Granted during the year 385 313 Forfeited during the year 11 12 Paid out during the year cash 444 279 Paid out during the year DRs 38 27 Less: total paid out/forfeited -493 -318 Outstanding at 31 December 746 854 The following table shows the total number of DRs and PCs granted, segmented by the respective vesting period after which the award will be paid out. Up to Between one Between two Between three Between four (In thousands of DRs) one year and two years and three years and four years and five years Total 31 December 2022 Number of granted DRs by vesting period 379 151 11 7 58 42 746 31 December 2021 Number of granted DRs by vesting period 382 231 11 6 79 47 854 38 Related parties Parties related to ABN AMRO Bank include NLFI with control, the Dutch State with significant influence, associates, pension funds, joint ventures, the Executive Board, the Supervisory Board, close family members of any person referred to above, entities controlled or significantly influenced by any person referred to above and any other related entities. ABN AMRO has applied the partial exemption for government-related entities as described in IAS 24 paragraphs 25-27. As part of its business operations, ABN AMRO frequently enters into transactions with related parties. Transactions conducted with the Dutch State are limited to normal banking transactions, taxation and other administrative relationships, with the exception of items specifically disclosed in this note. Normal banking transactions relate to loans and deposits and are entered into on the same commercial and market terms that apply to non-related parties. Loans and advances to the Executive Board members and close family members, where applicable, consist mainly of residential mortgages granted under standard personnel conditions. For further information, please refer to Note 36 Remuneration of Executive Board and Supervisory Board in the Consolidated Annual Financial Statements 2022. Balances with joint ventures, associates and other (in millions) Joint ventures Associates Other Total 31 December 2022 Assets 14 50 63 Liabilities 24 125 149 Guarantees given 20 20 Irrevocable facilities 2 2 2022 Income received 40 2 42 Expenses paid 8 97 332 438 31 December 2021 Assets 15 180 195 Liabilities 88 359 447 Guarantees given 15 15 Irrevocable facilities 21 21 2021 Income received 39 3 42 Expenses paid 8 80 317 405 The EUR 130 million decrease in assets held in associates was mainly attributable to a decline in term loans held by financial corporations as a result of the divestment of Cofiloisirs S.A. in France. The EUR 64 million decrease in liabilities with joint ventures was mainly attributable to lower client deposits held with other financial corporations. The EUR 234 million decrease in liabilities with associates was mainly attributable to lower customer balances held with other financial corporations as a result of the divestment of ABN AMRO Levensverzekering N.V., offset by higher balances with non-financial corporations and other financial corporations. The EUR 17 million increase in expenses paid with associates was mainly due to higher expenses in non-financial corporations. Expenses paid in the column Other reflects pension contributions paid to the ABN AMRO pension fund. Balances with the Dutch State (in millions) 31 December 2022 31 December 2021 Assets Financial assets held for trading 144 195 Derivatives 18 Financial investments 2,465 4,028 Loans and advances customers 189 168 Liabilities Financial liabilities held for trading 299 192 Derivatives 17 125 Due to customers 477 466 Other liabilities 1 2022 2021 Income statement Interest income 51 64 Interest expense 23 27 Net trading income 66 110 Net fee and commission income On 1 April 2010, ABN AMRO signed an indemnity agreement with the Dutch State (currently represented by NLFI) for a shortfall in capital above a certain amount and related to specific assets and liabilities of RFS Holdings B.V. In 2019, Royal Bank of Scotland (RBS) acquired all shares in RFS Holdings. However, NLFI has given certain warranties related to its previously owned shares in RFS Holdings and the indemnity agreement continues to exist. RFS Holdings is sufficiently capitalised. Consequently, ABN AMRO has assessed the risk of any shortfall as remote. Transactions conducted with the Dutch State are limited to normal banking transactions, taxation and other administrative relationships. Normal banking transactions relate to loans and deposits, financial assets held for trading and financial investments, and are entered into on the same commercial and market terms that apply to non-related parties. Transactions and balances related to taxation, levies and fines in the Netherlands are excluded from the table above. The EUR 1.6 billion decrease in financial investments was mainly due to lower Dutch government bonds held. This is part of the liquidity buffer and is held for liquidity contingency purposes. The EUR 0.1 billion increase in financial liabilities held for trading is mainly related to higher amounts of Dutch government bonds as a result of primary dealership in the Netherlands and client facilitation. Most of these contracts are hedged with short positions in government bonds. The EUR 0.1 billion decrease in derivatives related to liabilities was mainly due to lower lending positions with the Dutch State. Derivatives transactions with the Dutch State relate to the normal course of business. Key management personnel compensation Other Total Base Variable short-term short term Severance 4 5 6 salary remunerationbenefitsbenefits payments Total pension-related contributionsTotal Post-employment Short-term (In thousands) pension (a) allowances (b) 2022 Members ExBo 5,077 289 5,366 164 241 1,260 7,031 Total 5,077 289 5,366 164 241 1,260 7,031 2021 Members ExBo 2,915 298 3,213 133 730 4,075 1,2 D. Dorner77 7 84 4 19 107 3 F.M.R. van der Horst1,054 67 1,121 558 52 260 1,991 3 D.C. de Kluis401 32 433 21 98 552 3 P.H. van Mierlo1,002 63 1,065 598 53 244 1,960 3 R.F. van Nouhuijs693 36 729 34 171 934 2 G.R. Penning574 30 604 28 142 774 1 P. Pfaff139 8 147 7 34 188 Total 6,855 541 7,396 1,156 332 1,698 10,581 1 The following members were appointed as an ExCo member: P. Pfaff (interim from 1 September 2021 until 24 November 2021) and D. Dorner (interim ExCo member from 12 October 2021 until 24 November 2021). 2 The following members were appointed as an Excecutive Board member: D. Dorner (24 November 2021) and G.R. Penning (24 November 2021). 3 The following members left ABN AMRO: D.C. de Kluis (1 September 2021), R.F. van Nouhuijs (1 February 2022), P.H. van Mierlo (1 September 2022), F.M.R. van der Horst (1 December 2022), 4 Due to ABN AMRO restrictions, no variable remuneration will be paid. Therefore the fixed remuneration is 100% of total remuneration. 5 Other short-term benefits consists of flight tickets, a housing allowance, compensation for lease car expenses, mortgage interest rate benefit and international schooling costs for Executive Board members\u2019 children when applicable. 6 The Executive Committee members participate in ABN AMRO Bank\u2019s pension plans as applicable to the employees in the Netherlands. Total pension-related contributions as of 2021 refer to (a) the employer contribution to the pension fund (for the CDC pension scheme for pensionable income up to EUR 112,189 (2020: EUR 110,111) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement (\u2018ABN AMRO CAO\u2019). Key management loans and advances 2022 2021 Outstanding Average Outstanding Average (In thousands) 31 December Redemptions interest rate 31 December Redemptions interest rate Executive Board 2,247 93 1.8% 5,498 1.6% Other ExCo members 2,539 1,174 2.5% 39 Post balance sheet events ABN AMRO EUR 500 million share buyback programme In February 2023 ABN AMRO announced the start of a share buyback programme under which it plans to repurchase depositary receipts and ordinary shares of ABN AMRO Bank N.V. for a maximum total value of EUR 500 million and for a number of shares not exceeding the authority granted by the general meeting of shareholders on 20 April 2022 (10% of the issued shares). The share buyback programme will commence on 9 February 2023 and is expected to end no later than June 2023. Authorisation of the Consolidated Annual Financial Statements 7 March 2023 Supervisory Board T. (Tom) de Swaan, Chairman A.C. (Arjen) Dorland, Vice-Chairman L.J. (Laetitia) Griffith M.P. (Michiel) Lap S.A.C. (Sarah) Russell A.M. (Anna) Stor\u00e5kers M.L. (Mariken) Tannemaat J.S.T. (Tjalling) Tiemstra Executive Board Robert Swaak, Chief Executive Officer and Chairman Tanja Cuppen, Chief Risk Officer Lars Kramer, Chief Financial Officer Carsten Bittner Chief Innovation and Technology Officer Annerie Vreugdenhil, Chief Commercial Officer - Personal & Business Banking (from 1 March 2022) Choy van der Hooft-Cheong, Chief Commercial Officer - Wealth Management Dan Dorner, Chief Commercial Officer - Corporate Banking ", "dimensions": { "concept": "ifrs-full:DisclosureOfNotesAndOtherExplanatoryInformationExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-1-2": { "value": "Risk taxonomy bExternal causal factorsInternal causal factorsPolitics, (macro-)economy, society, technology, environmental,People, processes, systems, social and governance (ESG e.g. physical - and transition risk), balance sheet, products, clients, legislation, regulationreputation and behaviourEnterprise riskFinancial risk Operational (non-financial) riskData & Credit risk Liquidity riskHR risk Information risk Fraud riskProcessing riskMarket risk in Business riskChange risk Compliance riskModel riskthe Banking BookMarket risk in SustainabilityLegal risk Tax risk Behavioural riskthe Trading BookriskValue of the bank Reputational FinancialRisk taxonomy b The ABN AMRO risk appetite follows from the ABN AMRO risk taxonomy, which ensures that all identified material risks are defined and incorporated into the risk governance framework. The visual below summarises these risks. The risk taxonomy is reviewed and updated on an annual basis, or sooner if any new material risk type emerges and requires an update. The financial impact is assessed on the basis of capital and net profit. The key financial risk types related to our business model are credit risk, market risk in the banking book and liquidity risk. The non-financial impact is determined by the Net Promoter Score (NPS), sustainability (acceleration) asset volume and environmental and social footprint. In 2022, ABN AMRO recognised sustainability risk as a standalone risk type and defined it in the broader context of Environmental, Social and Governance-related risks factors. Risk appetite framework b Our risk appetite determines the level of risk that the bank is willing to take in order to pursue its strategy, and safeguards our moderate risk profile. The risk appetite statement is regularly evaluated and updated to ensure continuous alignment with our strategy. RiskStrategyStrategicRisk AppetiteStatementRisk Indicator Frameworkcontaining Bank RAS, Client Units RAS, LRAS,and ERAS, linked to the risk taxonomyThe Strategic Risk Appetite Statement cascades into the Risk Indicator Framework at every appropriate level: bank-wide (BRAS), client unit level RAS, local level (LRAS) and entity level (ERAS). The Risk Indicator Framework consists of quantitative and/or qualitative key risk indicators (KRIs). For every KRI, a limit and checkpoint is set, against which the actual risk profile is monitored. Examples of KRIs in our risk appetite include: Regulatory and internal capital ratios; \u00c5 Risk-adjusted return measures; \u00c5 Concentration limits for single counterparties, sectors and countries; \u00c5 Economic capital and risk-weighted asset limits for various risk types; \u00c5 Liquidity ratios (LtD, LCR, NSFR); \u00c5 Market risk parameters (NII-at-Risk); \u00c5 Operational (non-financial) risk parameters (effectiveness of internal control environment); \u00c5 Reputational risk parameters (NPS, employee engagement score); \u00c5 A social risk indicator on facilitating financial inclusiveness. The status of adherence to the risk appetite and the outlook are discussed monthly by the Executive Board and quarterly by the Supervisory Board, based on the Enterprise Risk Management report. Strategic Risk Appetite Statement b Client CentricBusinessmodelSustainablereturn &value creationLiquidity &CapitalfundingConrkduoctew,gmovefrarnancole&contrRisk governance b Effective risk management requires organisation-wide risk governance. Our risk and control structure is based on the \u2018three lines of defence\u2019 governance model. This governance framework is designed in such a way that risk is managed in line with the risk appetite approved by the Executive Board and Supervisory Board. Three lines of defence The three lines of defence model aims to clarify the relationship between risk takers and the internal control functions, and provides clarity for all employees within the bank with regard to their risk management responsibilities. The three lines of defence model is applied across all risk types and covers the whole organisation, including the client units, functions, the Risk Management organisation, outsourced activities and distribution channels. Three lines of defence b 1st Line 2nd Line 3rd Line 1 2 3of Defence of Defenceof DefenceRisk Ownership Risk Control & Oversight Risk AssuranceResponsible forResponsible forResponsible for Delivering value-added services Setting the bank-wide risk Protecting and enhancing to clients management framework organisational value by providing Taking primary ownership to identify Setting risk policies and ensures risk-based and objective assurance, and assess, measure, mitigate, regulations are translated into policies insight and added value to support monitor and report the risk that Maintaining risk control and oversight the achievement of our objectives it incurs through monitoring, reporting and Evaluating the design and Striking the right balance between escalating, where necessary effectiveness of Governance, Risk return and risk in its decisions Providing independent challenge Management & Control processes, Seeking outside-in views and advice, and expertise to the First Line agrees with management on where necessary Proactively opining on how to identify remediation and monitors follow-up Ensuring systems, processes and mitigate risks and reporting capabilities are Providing outside-in views and ensures commensurate to its activities consistency in risk management and risk appetite practices across First Line Consolidated risk reporting to the Executive Board on all areas of risk \u00c5 The first line of defence (3LoD) consists of management within each client unit or function (such as Finance, Innovation & Technology, HR, Asset & Liability Management / Treasury), who are responsible for managing the risks they incur in conducting their activities and for the design and execution of effective and efficient controls. \u00c5 The second line of defence consists of dedicated departments in the Risk Management organisation, who are responsible for setting the risk management framework within which the first line must operate. \u00c5 The third line of defence consists of Group Audit, which evaluates the effectiveness of the governance, risk management and control processes, in order to strengthen management\u2019s solution focus and accountability. Group Audit has a coordinating role towards the external auditor and the supervisor. Board level oversight The Executive Board and Supervisory Board of ABN AMRO define the governance arrangements designed to ensure effective and prudent management of the bank, and oversee the implementation of these arrangements. The Boards are accountable for setting, approving and overseeing the implementation of the bank\u2019s risk management framework, including: \u00c5 an adequate and effective internal governance and control framework. This includes a clear organisational structure and effective independent internal control functions (Risk Management, Compliance and Group Audit) that have sufficient authority, stature and resources to perform their functions; \u00c5 the three lines of defence model at all levels of the bank; \u00c5 a risk culture that addresses risk awareness and risk-taking behaviour in the bank; \u00c5 key policies of the bank within the applicable legal and regulatory framework; \u00c5 the bank\u2019s overall strategy, risk strategy and risk appetite; \u00c5 the amounts, types and distribution of internal capital and regulatory capital that are required to ensure that the bank\u2019s exposure to risks is adequately covered; \u00c5 targets for the bank\u2019s liquidity and funding management. The Risk Management organisation operates under the direct responsibility of the Chief Risk Officer, who is a member of the Executive Board. Executive risk committees The Executive Board is responsible for setting, monitoring and reviewing the bank\u2019s mission, vision, strategy, risk appetite and risk framework, and for the realisation thereof, with a view to creating long-term value for the bank and ensuring that effective internal risk management and control systems are in place. In the risk decision-making framework, the Executive Board has set up three executive risk management committees: the Group Risk Committee, the Group Central Credit Committee and the Group Regulatory Committee, each of which is chaired by the Chief Risk Officer. The mandates of the executive risk committees are summarised below. Group Risk Committee The Group Risk Committee (GRC) is mandated by the Executive Board to monitor, assess and manage the bank\u2019s risk profile within the approved risk appetite. The GRC monitors and approves all material risks as defined in the bank\u2019s risk taxonomy. The GRC has delegated specific approval powers to sub-committees, including Business Risk Committees for the bank\u2019s main client units, the Financial Crime Risk Committee, the Methodology Acceptance Group, the Scenario and Stress Testing Committee, and the Impairment and Provisioning Committee. Group Central Credit Committee The Group Central Credit Committee (CCC) is mandated by the Executive Board to make decisions on the acceptance of credit and counterparty risk in respect of individual persons, legal persons and public administrative bodies relating to credit proposals falling within the scope of the risk appetite and limits determined by the Executive Board. In addition, the CCC is also responsible for approving and monitoring large intercompany credit facilities. Group Regulatory Committee The Group Regulatory Committee is mandated by the Executive Board to ensure a good understanding and adequate overview of regulatory changes. This Committee makes choices and decisions on matters relating to timely compliance with new and changing national and international legislation and regulations affecting the bank. For further information on governance, please refer to the Leadership and governance chapter. Regulatory capital (CRD V/CRR2) b Under the Basel framework as implemented in European legislation (CRD V and CRR2), banks are required to hold capital to cover for financial and non-financial risks. As an intermediate step in determining the minimum level of capital, banks need to calculate risk exposure amounts for three major risk types (credit, operational and market risk). The outcome of the internal models serve as input for this calculation. The capital requirements are stated as a percentage of RWA. Under Pillar 1, banks are required to hold a regulatory fixed percentage of RWA in capital. Under Pillar 2, supervisors impose a bank-specific percentage of RWA in addition to the Pillar 1 requirement. Stress testing and scenario analysis b ABN AMRO uses stress testing and scenario analysis as an important risk management instrument, looking at profitability, capital and liquidity from a bank-wide perspective in various scenarios on a regular basis. The stress testing framework covers both internal and external stress test requirements. In addition, sub-portfolio and risk type-specific stress testing and scenario analyses are performed. Stress testing purposes ABN AMRO applies stress testing for several purposes, including: \u00c5 Business planning: various macroeconomic scenarios for budget purposes; \u00c5 Capital planning: stress testing is used to gain insight into the resilience of our capital under adverse changes in the economic environment and ABN AMRO-specific circumstances; \u00c5 Risk appetite setting and monitoring: the outcome of stress testing is used for setting and monitoring risk appetite limits and targets, including limits under stress; \u00c5 Contingency planning: stress testing is used to assess and strengthen the triggers and measures in the liquidity and capital contingency and recovery plans. Reverse stress testing is performed to gain deeper insight into plausible events that could put the continuity of ABN AMRO under pressure; \u00c5 Risk type-specific and client unit stress testing, such as market risk trading and banking book and mortgage stress testing; \u00c5 Supervisory stress testing, based on prescribed scenarios and assumptions. This includes stress test programme of the European Banking Authority (EBA), designed to assess banks\u2019 resilience to adverse economic or financial developments, and ECB economy-wide climate stress test aimed at evaluating the impact of alternative climate scenarios on the resilience of the bank over a time horizon of 30 years in the future. The figure below shows the stress testing and scenario analysis cycle. Stress test & scenario analysis cycleAuditedRiskidentificationScenario Management & scope actionselectionStress testing & scenario analysisSimulation Data sourcing, & impact models and analysis on methodologiesABN AMROConrkduoctew,gmovefrarnancole&contrScenario projections for stress testing purposes are based on quantitative models as well as expert opinion procedures. In general, the results are presented excluding and including potential mitigating actions, taking into account contingency plans. The stress testing framework also comprises the sensitivity scenarios that address the impact of various severe events on specific portfolios, countries and/or sectors, as well as the annual reverse stress test in line with regulatory requirements. Moreover, climate related and environmental risks are incorporated into our bank-wide stress testing framework through inclusion of specific events related to physical risks and drivers of transition risk, such as carbon prices (for definitions of physical and transition risks, see the sustainability risk chapter). In 2022, ABN AMRO took part in the EU-wide ECB Climate Stress Test. This exercise was aimed at identifying vulnerabilities and industry best practices, and assessed the challenges faced by banks due to increasing climate risks. Even though the exercise was of a regulatory nature, it did not have any capital or SREP implications. The results and lessons learned from the ECB Climate Stress Test will be integrated into a more robust framework to improve methodology, internal scenario development and data collection, and will also be used further in the Internal Capital Adequacy Assessment Process (ICAAP). Credit risk management approach b Credit risk constitutes a key risk in our business model. ABN AMRO employs two separate approaches to managing credit risk, which reflect the bank\u2019s way of doing business. Standardised products and processes are managed on a pooled basis (programme lending), to which uniform risk criteria are assigned. For customised lending to counterparties (non-programme lending), risks are assessed on an individual basis. Climate risks are integrated into our risk management practices via risk appetite limits at bank level and lending criteria at product level. Planning Within programme lending, the credit cycle starts with a product planning phase, during which the product is designed and/or reviewed. The goal is to optimise the key drivers of risk and return within the context of ABN AMRO\u2019s strategy, risk appetite, the client\u2019s best interests and sustainability. For non-programme lending, the lending product is customised and not subject to a product planning phase. Credit acceptance For a credit approval decision within programme lending, client-specific aspects and internal and external data are taken into consideration to calculate a credit score (scorecard). The credit decision is based on the outcome of the scorecard and policy rules. Credit risk management process b The following figure presents a simplified overview of the credit risk management process. Credit acceptanceCredit risk monitoring Restructuring Loan approval andBusiness and risk controland Recovery disbursement functions jointly responsibleHigh-risk monitoringRisk assessment by client unit1Non-programme Regular monitoringlendingRestructuringCustomised loans, mostly Analysis and credit Increased riskWealth Management, decision by credit risk Continual update of risk functiongovernance, management Corporate Banking and policiesand Business Banking Recovery Intensive monitoring(within P&BB) 2(\u2018Watch\u2019)Processes re\ufb02ect guidelines Loan disbursement for credit risk managementFor programme lending, Product-specific standards are establishedCredit decision based on credit score and Programme Sustainability risk policy rulesAccount maintenanceRestructuringassessment for larger lendingOOEs and/or periodically Standardised on portfolio levelloans, mostly Personal Banking Loan disbursement Default prevention Recovery (within P&BB)1 Daily monitoring or (semi-) annual credit review.For more insight on our credit portfolio, 2 \u2018Watch\u2019: status assigned to counterparties with an increased risk.please refer to the Credit risk review section.Within non-programme lending, the credit acceptance phase of a credit proposal starts with an assessment of the proposal by the relevant client unit. The qualitative and quantitative details of the credit risk associated with the loan are assessed prior to approval. Information must be provided on matters such as the purpose, details and structure of the proposed credit facility, the borrower and other counterparties, the industry and geography, management and owners, and financial and non-financial analyses. Compliance with internal policies is checked. After the assessment, an analysis is performed by Risk Management. The credit decision is based on independent assessments by both the commercial and the credit risk functions. Credit risk monitoring Consistent and regular monitoring of counterparties, exposures, risk mitigants and ongoing compliance with internal policies helps to safeguard the bank\u2019s position in relation to all risks associated with the counterparty, credit type or portfolio. Monitoring starts when the credit facility is granted and periodically continues throughout the lifecycle of the credit facility and the relationship with the counterparty until the exposure is repaid and/or the limit is cancelled. Credit facilities are subject to an annual review to assess whether the credit risk is still acceptable. The review takes into consideration changes in risk profile, financial position or creditworthiness compared to the criteria and the assessment at the point of loan origination. For programme lending portfolios, the entire risk management framework defined in a product programme must be reviewed at least annually. Individual credit reviews are performed based on pre-defined triggers for risk based credit reviews. For non-programme lending all counterparties are subject to at least an annual review. Credit concentration risk b Credit concentration risk is the risk of loss arising from large exposures, relative to the bank\u2019s total risk exposure, to a single counterparty or to counterparties that are positively and highly correlated. As limiting excessive concentrations is fundamental to our credit risk strategy, we aim to keep the credit risk portfolio sufficiently granular and diversified. To avoid excessive credit risk concentrations, Risk Management sets maximum levels for subgroups in the following categories: \u00c5 Single counterparty and groups of related counterparties (counterparty concentration); \u00c5 Countries (geographic concentration); \u00c5 Industries (industry concentration); \u00c5 Products (product concentration). \u00c5 Counterparty concentration Counterparty concentration credit risk is the risk of loss arising from relatively large exposures to counterparties belonging to the same risk group. The One Obligor Exposure (OOE) is the exposure to a risk group and includes all drawn and undrawn credit facilities granted, plus all indirect exposure to the risk group, including guarantees and any other recourse claims. A risk group is an interrelated group of counterparties with a high degree of dependency on each other due to a control relationship. This control relationship may be attributable to direct or indirect majority interests being held by the same shareholder or group of shareholders. Counterparty credit concentration risk is measured by the OOE and the Economic Capital (EC) per counterparty. The bank limits its counterparty credit risk by setting OOE and EC limits. Additionally, all credit applications with an OOE and/or EC above a certain threshold are reviewed by the Executive Board. If a situation arises in which an individual counterparty shows signs of credit risk deterioration and action is required in order to avoid the credit risk evolving into a default classification, a \u2018watch\u2019 status is assigned. A \u2018watch\u2019 status indicates that a counterparty is subject to increased monitoring and appropriate follow-up measures in order to prevent further deterioration or a default. Indicators for this status are changes in risk profile, liquidity problems, management issues, the market outlook, potential breach of a credit agreement, solvency issues and uncertain continuity. Restructuring & Recovery Credit facilities that are subject to a default event are mandatorily transferred to the Financial Restructuring & Recovery department (FR&R). Credit facilities identified as having a significantly high risk can be transferred to FR&R if specialised restructuring knowledge is required. If a \u2018going concern\u2019 approach is applicable and return to a performing status is considered likely, the credit facility is transferred to the Restructuring team, which then devises a plan aimed either at rehabilitation or at enhancing the likelihood of full repayment. In all other cases, the credit facility is transferred to the Recovery team. Programme lending contracts are transferred to the Restructuring team if a default status is assigned because payments have been past due for more than 90 days or because another default trigger applies. If restructuring is ultimately ineffective, the client is transferred to other internal departments or external parties (such as Flanderijn) for debt collection. Once a client is considered able to meet its future payment obligations and the involvement of FR&R is no longer required, the client is transferred back to the client unit. FR&R plays a significant role in the execution of the bank\u2019s non-performing exposure (NPE) strategy. Policies on the management of NPE include valuation of collateral, monitoring of the NPE ratio and ensuring this ratio remains well below the threshold of 5%. We have set NPE targets for each business segment and specific strategies for sectors with increased levels of non-performing loans. Geographic concentration We recognise geographic concentration in our books for climate risks in the Netherlands and for cross-border risks outside the Netherlands. ABN AMRO has branches and subsidiaries located outside the Netherlands, as well as clients who operate internationally. Consequently, the bank is exposed to country risk, which is the risk of credit losses arising from country-specific events or circumstances. Management of country risk focuses on cross-border risk, which includes the risk that funds, goods or services cannot be transferred out of a country as a result of actions by local authorities in that country or other events. These risks are managed by setting country credit limits, based on individual country analyses by economic, compliance and country risk experts. Country limits are reviewed at least once a year. Each country also has an annually reviewed internal credit rating, which is an important factor in managing country concentration risks. As the Netherlands is our home country, it is not included in any concentration risk appetite statement or setting of credit limits. Since the bank\u2019s strategic shift in 2020 and its redefined focus on Northwest Europe, ABN AMRO\u2019s country risk exposure has declined significantly. For managing climate risks in the residential mortgages book, the bank monitors and limits the percentage of properties with relatively high climate risks in the portfolio and relatively high-risk clients within a severe climate risk area. Industry concentration Industry concentration risk is the risk of loss arising from a relatively large credit exposure to counterparties active in a single industry. Industry concentration risk arises when deterioration in a specific industry has an effect on all credit exposures relating to that industry. ABN AMRO manages its industry concentrations by setting limits on economic capital (EC) for credit risk in each industry as a percentage of total EC for credit risk. Industries with a concentration limit are financial institutions, industrial transportation, industrial engineering and food & beverages. In addition to the EC limits, EC concentration checkpoints are set to facilitate timely and sufficient management interventions so as to avoid limits being breached. Product concentration Product concentration risk is the risk of loss arising from relatively large credit exposures in a specific asset or product class. This asset or product class concentration occurs e.g. in residential mortgages, commercial real estate and leveraged loans. In line with our risk appetite, ceilings are defined per product type and breaches of these concentration ceilings are managed through credit risk insurance. Credit risk quality and impairment b We continuously monitor the credit portfolio for signs indicating that the counterparty may become credit impaired in the future. Loans at risk are classified into different risk categories for individual counterparties and into days-in-arrears buckets for groups of aggregated counterparties in order to optimise the monitoring and review of these loans. Forbearance Forbearance is the process of making concessions to clients who are or will soon be experiencing financial difficulty (such as Covid-19-impacted clients), with the intention of bringing them back within their payment capacity. A forborne asset is any contract that has been entered into with a counterparty who is in or about to face financial difficulty, and that has been refinanced or modified on terms and conditions that we would not have accepted if the counterparty had been financially healthy. \u00c5 The counterparty does not have any contract, within the credit agreement, that is more than 30 days past due at the end of the probation period. If the forborne contract is or has become non-performing at the time of the forbearance measure, a mandatory cure period of at least one year applies to the contract before it is returned to performing status. The cure period starts when the contract becomes non-performing or, if the contract was already non-performing, when the last forbearance measure was taken. Past due credit exposures A financial asset is past due if a counterparty fails to make a payment on the contractual due date or if the counterparty has exceeded an agreed credit limit. ABN AMRO starts counting days past due from the first day that a counterparty is past due on any financial obligation. Forbearance measures can be applied to contracts on which the counterparty has already defaulted, as well as to contracts that are still performing. If the contract is considered to be performing at the time the forbearance measure is taken, an assessment is made to determine whether the counterparty will be able to meet the revised conditions of the contract and whether full repayment of the credit facility is expected. A forborne contract will cease to qualify as forborne only when all the following conditions are met: \u00c5 The contract is considered performing; \u00c5 A minimum probation period of at least two years has passed since the last forbearance measure and/or the date the forborne contract was considered performing (whichever is later); \u00c5 Regular and timely payments of more than an insignificant amount of principal or interest have been made during at least half of the probation period; Accounting policy for measuring allowances for expected credit losses (ECL) The IFRS 9 impairment requirements are applicable to financial assets measured at amortised cost or fair value through other comprehensive income (FVOCI), loan commitments, lease receivables and contract assets and financial guarantee contracts. At each reporting date, these financial instruments are classified into one of three risk stages, depending on current credit quality, or as purchased or originated credit-impaired (POCI). POCI assets, which are credit-impaired at initial recognition, are accounted for at fair value (i.e. net of the initial lifetime ECLs) and do not carry an impairment Classification in stage 2 We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2. Change in credit quality since initial recognitionStage 1 Stage 2 Stage 3PerformingCredit quality deterioratedDefault = Impaired(Initial recognition)(Assets with significant increase in (Credit impaired assets)credit risk since initial recognition)Recognition of ECL12 month ECL Lifetime ECL Lifetime ECLInterest incomeEffective interest on gross carrying amount Effective interest on gross carrying amount Effective interest on amortised cost(gross carrying amount less loss allowance)allowance. Instead, a credit-adjusted effective interest rate (EIR), which is calculated using expected cash flows including initial lifetime ECLs, is applied to the amortised cost. Subsequently, the cumulative changes in lifetime ECLs since initial recognition, which are discounted at the credit-adjusted effective interest rate, are recognised in the profit or loss statement as an impairment gain or loss, and presented under impairment charges on financial instruments. Once a financial asset is classified as POCI, it retains that classification until it is derecognised (in the event that a substantial modification loss larger than 10% is applicable). For this reason, POCI stage is not included in the following figure. Quantitative stage triggers The key quantitative metric that determines when a financial instrument is transferred from stage 1 to stage 2 is the deterioration in the lifetime probability of default (LPD) from the date of origination to the reporting date, based on internal data. The LPD represents the likelihood that a counterparty will default during the lifetime of the financial instrument and depends on credit risk drivers such as: \u00c5 product characteristics (e.g. repayment and interest terms, term of the product); \u00c5 the financial condition of the borrower; \u00c5 the number of days past due; \u00c5 expected developments in the economy. The lifetime PD deterioration (LPDD) measures the relative difference between the remaining lifetime PD at reporting (LPDR) and the remaining lifetime PD at origination (LPDO) as LPDD = LPDR/LPDO. If the LPD deterioration of an exposure is above a predefined Range of lifetime PD deterioration thresholds b Product class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xQualitative stage triggers The bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u00c5 Forborne status of a borrower; \u00c5 Watch status of a borrower. ABN AMRO assigns the watch status to counterparties with an increased credit risk. This process comprises intensive monitoring, early detection of deterioration in the credit portfolio and appropriate follow-up measures; \u00c5 A delinquency-based regulatory backstop is in place, such that the credit risk of financial assets that are more than 30 days past due will be assumed to have significantly increased. Reclassification to stage 1 As a general rule, favourable changes in credit risk are recognised consistently with unfavourable changes, and a financial instrument is transferred back to stage 1 if quantitative or qualitative triggers are no longer met. In some cases, a probation period applies: \u00c5 Forborne financial instruments are transferred back from stage 2 to stage 1 only after a probation period of at least two years has ended, in line with the ABN AMRO forbearance policy. Stage 3 forborne instruments transfer back to stage 2 after a cure period of at least one year; \u00c5 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1. threshold, the LPD is considered to be significantly deteriorated. The exposure is then transferred to stage 2 and impairment allowances equal to the lifetime expected credit loss are recognised. If the LPD deterioration subsequently reduces and falls below the threshold, the client is transferred back to stage 1. When determining the thresholds, ABN AMRO distinguishes between various portfolios within consumer lending, residential mortgages and corporate loans. A specific threshold is calculated for each portfolio, based on a statistical method. The following table shows LPD deterioration thresholds that triggered transfers to stage 2 as at 31 December 2022. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model. Classification in stage 3 A transfer to stage 3 will always be the result of the default of a financial instrument. Our definitions of default and impaired are aligned and comply with the European Banking Authority (EBA) guidelines on the application of the definition of default. All models use a consistent definition of default, which has been specified in line with regulations. A default is deemed to have occurred when: \u00c5 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u00c5 the bank considers the borrower to be unlikely to meet its contractual obligations (unlikely to pay, or UTP). The materiality of a financial obligation past due is assessed against an absolute and a relative threshold, in line with regulatory standards. To determine unlikeliness to pay, the bank has specified both mandatory default triggers (always resulting in the assignment of a default status, whereby no additional expert judgement is allowed) and judgemental triggers (requiring an assessment by credit risk managers to determine whether the UTP indications should result in a default classification). The mandatory triggers include the reporting of a forborne exposure under probation as non-performing for being 30 days past due or owing to an additional forbearance measure being applied. As a result, the definitions of non-performing and default are materially aligned. Reclassification to stage 2 The default classification for non-forborne exposures ends when the default triggers no longer apply and a (probation) cure period of at least three months has passed since the default trigger was last applied. For forborne exposures, a twelve-month cure period Asset in scope?YESPurchased or originated credit impaired (POCI)?NOYESDefault trigger hit?NOYESLifetime PD significantly deteriorated?NOYESWatch listNOYESForbearance (but not impaired)Days past due0-30>30Stage 1 Stage 2 Stage 3 Stage POCICalculation method ABN AMRO recognises loss allowances based on the Expected Credit Loss model (ECL) of IFRS 9, which is designed to be forward-looking. The amount of ECL is based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. ABN AMRO distinguishes between two types of calculation methods for credit loss allowances: \u00c5 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u00c5 Collective 12-month ECL (stage 1) and LECL (stage 2 and 3) for financial instruments that have similar credit risk characteristics (e.g. residential mortgages, consumer loans and SME loans) are clustered in portfolios and collectively assessed for impairment losses. A collective impairment calculation approach based on individual parameters is also applied to stage 3 exposures below EUR 3 million. ABN AMRO has models to quantify the Probability of Loss (PL), Loss Given Loss (LGL) and Exposure at Loss (EAL) for the purpose of calculating the collective 12-month ECL and LECL for these financial instruments. starts from the moment the last forbearance measure or default trigger was applied. After the cure period, an assessment is performed to establish whether the improvement in the credit quality is factual and permanent (including, for example, no remaining past due amounts). Lifetime expected credit loss ABN AMRO defines the lifetime of credit as the maximum contractual period during which the bank is exposed to credit risk; we do not apply a longer period, even if that longer period is consistent with business practice. For some contracts, such as overdraft facilities or credit cards, no end date is specified or amounts can be contractually withdrawn by the lender at short notice. In these cases, ABN AMRO uses behavioural maturity models that rely on historical client behaviour to determine future expected exposures. Forward-looking information For expected credit loss calculations, ABN AMRO uses three different scenarios of future economic developments: a baseline (or most likely) scenario, a negative scenario and a positive scenario. The three scenarios are incorporated into the expected credit loss calculation and risk stage determination in a probability-weighted manner. In order to incorporate the latest economic outlook, the scenarios and their weights are reviewed each quarter and adjusted if necessary. Details of the scenarios and their weights used in the reporting period can be found in the Credit risk review section. The baseline scenario entails our Group Economics analysts\u2019 current macroeconomic base scenario, which usually covers the current year and subsequent year. For the purpose of scenario analysis under IFRS 9, this baseline is extended by three additional calendar years, after which it is assumed that macroeconomic variables (MEVs) gradually move to their potential or equilibrium values. At least once every quarter, Group Economics compares its forecasts with those of institutions like CPB, DNB, ECB, IMF or OECD, in order to determine possible differences and to analyse whether it can underpin those. This external benchmarking exercise is a standard input to the Scenario Booklet that is presented to the bank\u2019s Scenario and Stress Testing Committee for approval. Group Economics also develops a negative and a positive scenario. These scenarios are designed to give an impression of the bandwidth within which the economy, interest and FX rates, and other relevant variables are likely to move in the next four to five years, with a probability of around 85% (roughly corresponding to a standard deviation of plus and minus one and a half). Hence, these scenarios produce upper and lower boundaries, with a resulting bandwidth between the outcomes of the negative (\u2018bad weather\u2019 in terms of financial results of the bank) and positive (\u2018good weather\u2019) scenarios. To determine these boundaries, Group Economics may look at historical developments, medium-term (non-baseline) scenarios made by the aforementioned institutions, and other relevant developments. Management overlays and other adjustments Where necessary to reflect the credit risk dynamics not captured by our models, management judgement is applied via a management overlay or other IFRS 9 adjustment. A management overlay is a temporary adjustment in a loss allowance until a long-term solution (e.g. model adjustment) is effective, and must be an amount commensurate to the model limitation. All overlays require a decision of the Impairment and Provision Committee (IPC). The main types of management overlays that ABN AMRO distinguishes are: post-model adjustments (adjustments to model outcomes), adjustments in the weightings of macroeconomic scenarios and stage overrides. Other adjustments such as adjustments to model parameters or input data are not considered management overlays, but follow the same internal approval process. Climate and environmental risks in ECL Incorporating climate risk explicitly into ECL models is challenging due to the lack of historical data and the horizon on which climate and environmental risks are expected to materialise. We are taking steps to gain deeper insight into how climate and environmental risks affect our clients, and to eventually embed them into our IFRS 9 ECL models. The target state is to have CER reflected in all four modelling frameworks (IRB models, IFRS, stress testing and EC). Although the impact of climate risk on ECL can only be estimated with a high degree of uncertainty regarding amounts of losses and the time horizon on which it will materialize, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate and environmental risks are playing an increasing role in government policies and macroeconomic developments. To capture climate and environmental risks in ECL and related scenario processes, each macroeconomic scenario is accompanied by an overview that illustrates which of these risks are included in the various projected macroeconomic indicators. For short term identifiable events that are not (yet) included in the macroeconomic forecasts, management overlays on ECL can be taken. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen reducing measures. With the combination of macroeconomic scenarios and this management overlay we deem to be adequately provisioned for climate and environmental risks. Cured financial assets When a credit impaired financial asset cures, the interest that was previously unrecognised is reported as an impairment release in the impairment charge rather than as a credit to the interest income calculated using the effective interest method. Write-off \u00c5 For non-programme lending, a write-off must be recorded if all possible means of recovery have been exhausted and it has become clear that there is a low probability of recovering the debt, either in part or full. \u00c5 Most of the programme lending facilities are automatically written-off after 1,080 days in default. Such loans are written off after all the necessary procedures have been completed and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off are credited to impairment charges on financial instruments in the income statement. Credit risk measurement b The models used for measuring and managing credit risk vary from purely statistical to expert-based models and employ both quantitative and qualitative risk drivers. All models are subject to the bank\u2019s model risk management framework. They undergo initial validation by the independent model validation function before their first use, and annually thereafter. Independent validation is also required when a model undergoes a material change. Internal rating scale mapped to external ratings UCR Low Mid High Standard & Moody\u2019s Fitch Grade Category(internal rating)PD%PD%PD%Poor\u2019s equivalentequivalentequivalentInvestment gradeUCR 1 0.000 0.03 0.035 AAA to A+ Aaa to Aa3 AAA to AA- UCR 2+ 0.035 0.04 0.045 A+ A1 AA- UCR 2 0.045 0.05 0.071 A A1 to A2 A+ UCR 2- 0.071 0.10 0.127 A- A3 A to A- UCR 3+ 0.127 0.16 0.200 BBB+ Baa1 BBB+ UCR 3 0.200 0.25 0.300 BBB Baa2 BBB UCR 3- 0.300 0.36 0.465 BBB- Baa3 BBB- Sub-investment grade UCR 4+ 0.465 0.60 0.775 BB+ Ba1 BB+ UCR 4 0.775 1.00 1.285 BB Ba2 BB UCR 4- 1.285 1.65 2.225 BB- Ba3 to B1 BB- to B+ UCR 5+ 2.225 3.00 4.243 B+ to B B2 B UCR 5 4.243 6.00 8.485 B- B3 to Caa1 B- UCR 5- 8.485 12.00 16.971 CCC/C Caa2 to Caa3 CCC/C UCR 6+ 16.971 24.00 99.999 CCC/C Ca CCC/C Default UCR 6-8 100 D C-D D Rating assignment For non-programme lending, the ratings are individually assigned to each counterparty (PD) and facility (LGD) by the business account manager (first line) and approved by credit risk (second line). For programme lending, exposures ratings are not assigned individually but assigned to pools with similar characteristics. For all exposures, the EAD estimation is assigned automatically based on the facility type and the undrawn part of the facility. Loss given default Loss Given Default (LGD) models estimate the amount the bank would lose if the counterparty were to default. LGD is expressed as a percentage of the outstanding amount at default. For credit facilities that are not in default, LGD estimates are influenced by the risk mitigating techniques used by the bank (such as collateral coverage and/or third party protection), the credit facility\u2019s seniority and structure, and the bank\u2019s view on the creditor-friendliness of the relevant country\u2019s legal framework. Probability of default The Probability of Default (PD) indicates the likelihood that a counterparty or exposure defaults within a one-year time orizon. For the non-programme lending portfolio, the model score is mapped to and expressed as an internal uniform counterparty rating (UCR). The UCR rating scale consists of 14 performing ratings, each representing a fixed PD range. The indicative mapping of the internal UCR rating scale to external rating agency ratings is shown in the following table. Exposure at default Exposure at Default (EAD) models estimate the expected exposure at the time a counterparty defaults. If all or a part of a facility is undrawn (i.e. the outstanding amount is less than the approved limit) at the time of the EAD calculation, a portion of the undrawn amount is added to the exposure to reflect the tendency of counterparties to utilise larger portions of their approved credit facilities when nearing default. Capital for credit risk Regulatory capital For the purpose of determining capital requirements for credit risk, ABN AMRO applies the Advanced Internal Rating Based (A-IRB) approach to most of its portfolios. Under this approach, the previously described internal estimates for PD, EAD and LGD are used to calculate Credit Risk RWA. For a number of smaller portfolios and the large Central Governments and Central Banks portfolio, RWA is determined according to the Standardised Approach (SA). This approach prescribes the risk weights to be applied to the exposure value in order to calculate RWA. Economic capital The EC model for credit risk uses a Monte Carlo simulation to determine a full portfolio loss distribution, taking into account specific portfolio characteristics and diversification effects. Loan facilities are valued on an economic value (mark-to-market) basis to ensure that loss estimates can be based not only on defaulting borrowers, but also on possible credit migrations and changes associated with the market values of loans. Accounting policy for offsetting financial assets and liabilities b Financial assets and liabilities are offset, and the net amount is reported on the EU IFRS balance sheet, if there is a legally enforceable right to set off the recognised amounts and there is an intention either to settle on a net basis or to realise the asset and settle the liability simultaneously. The bank applies netting to debtor and creditor balances, such as current accounts, where offsetting is justified by formal agreement with the client, provided they meet the applicable criteria. Accounting policy for enforceable master netting agreements or similar instruments b Enforceable master netting arrangements take into account all agreements containing conditions that allow offsetting in the event of default. In addition, agreements are enforceable if the bank has a legally enforceable right to offset and no ability and/or intention to realise the asset and settle the liability simultaneously. These arrangements include derivative clearing agreements, global master repurchase agreements and global master securities lending agreements. Credit risk overview b (in millions)31 December 2022 31 December 2021Cash and balances at central banks60,865 66,865 Financial assets held for trading907 1,155 Derivatives5,212 3,785 1Financial investments39,034 43,165 Securities financing20,032 16,138 Loans and advances banks2,982 2,801 Loans and advances customers243,927 258,251 Other assets4,473 4,263 1Less: Other425 345 Other assets4,047 3,919 On-balance sheet maximum exposure to credit risk 377,007 396,077 Off-balance sheet Committed credit facilities53,873 54,642 Guarantees and other commitments7,651 7,598 Revocable credit facilities34,347 31,737 Off-balance sheet credit facilities and guarantees 95,872 93,977 2Maximum exposure to credit risk472,879 490,055 2, 3Adjustments on assets4,705 167 4Valuation adjustments9,797 12,550 Offsetting and netting-26,557 -20,970 Off-balance sheet credit facilities and guarantees-95,872 -93,977 Off-balance sheet exposure fraction expected to be drawn prior to default (credit conversion factors)26,112 29,389 Total Exposure at Default 391,065 417,214 Credit risk RWA / Total Exposure at Default 28.3% 24.0% 1 This contains non-credit obligation assets and assets on accounts which are out of scope for credit risk.2 Adjustment on assets includes equity positions.3 Main adjustments on assets relate to selected financial assets held for trading and fair value adjustments from hedge accounting.4 Adjustments on valuation include loan impairment allowances.Overall credit risk EAD and RWA b 31 December 2022Less: Netting/3Original EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions)DerivativestransactionsCredit risk IRBCentral governments and central banks1Institutions8,900 917 7,983 695 1,618 1,847 23.1% Corporates134,776 33,693 101,083 1,709 1,471 53,501 52.9% Retail165,991 5,466 160,525 16,891 10.5% - of which secured by immovable property156,003 829 155,174 15,431 9.9% - of which qualifying revolving exposures5,292 3,965 1,328 136 10.3% - of which other retail4,696 673 4,023 1,323 32.9% Securitisation positions2,043 2,043 253 12.4% Subtotal 311,711 40,077 271,634 2,404 3,089 72,492 26.7% Equities not held for trading824 824 3,091 375.2% 2Other1,970 1,970 24,835 1260.9% Total IRB 314,504 40,077 274,428 2,404 3,089 100,418 36.6%Credit risk SACentral governments and central banks91,310 -2,177 93,487 85 96 515 0.6% 1Institutions26,166 13,511 12,656 4,105 3,314 939 7.4% Corporates21,583 14,790 6,793 1,233 827 5,854 86.2% Retail5,787 2,697 3,090 2,272 73.5% Secured by mortgages on immovable property438 4 434 152 35.1% Exposures in default467 344 123 158 128.4% Credit valuation adjustment274Subtotal 145,751 29,169 116,582 5,423 4,237 10,164 8.7%2Other55 55 39 70.5%Total SA 145,806 29,169 116,637 5,423 4,237 10,203 8.7%Total 460,310 69,245 391,065 7,827 7,327 110,621 28.3%1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Other includes default fund contribution under the IRB approach and non-credit obligation assets under the IRB and Standardised Approach.3 Consists mainly of netting, secured funding trades, guarantees, credit conversion factors and impairments under the Standardised Approach.31 December 2021Less: Netting/3)Original EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions) DerivativestransactionsCredit risk IRBCentral governments and central banks100,874 -2,278 103,152 272 70 840 0.8% 1Institutions8,606 1,572 7,034 547 1,828 1,589 22.6% Corporates136,174 32,920 103,254 2,857 1,530 52,211 50.6% Retail175,948 6,404 169,544 16,574 9.8% - of which secured by immovable property 164,659 1,324 163,334 14,847 9.1% - of which qualifying revolving exposures 5,359 4,038 1,321 140 10.6% - of which other retail 5,930 1,041 4,888 1,588 32.5% Securitisation positions1,016 1,016 11 6 11.4% Subtotal422,618 38,619 384,000 3,676 3,429 71,331 18.6% Equities not held for trading841 841 3,364 399.8% 2Other1,778 1,778 15,336 862.3% Total IRB 425,238 38,619 386,619 3,676 3,429 90,030 23.3% Credit risk SA Central governments and central banks6,437 -10 6,447 2 0.0% 1Institutions25,831 12,032 13,799 2,091 4,313 1,248 9.0% Corporates19,567 13,260 6,307 1,200 1,010 5,636 89.4% Retail7,562 4,142 3,421 2,495 72.9% Secured by mortgages on immovable property414 12 403 145 36.1% Exposures in default531 398 133 173 129.6% Credit valuation adjustment202 Subtotal 60,343 29,833 30,510 3,290 5,323 9,900 32.4% 2Other84 84 46 54.0% Total SA 60,428 29,833 30,595 3,290 5,323 9,946 32.5% Total 485,666 68,452 417,214 6,966 8,751 99,976 24.0% 1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Other includes default fund contribution under the IRB approach and non-credit obligation assets under the IRB and Standardised Approach.3 Consists mainly of netting, secured funding trades, guarantees, credit conversion factors and impairments under the Standardised Approach.Credit quality by exposure class b 31 December 2022Investment Sub-investment (in millions, Exposure at Default)gradegrade Impaired TotalCentral governments and central banks 1Institutions7,813 170 7,983Corporates 48,776 48,823 3,483 101,083Retail 132,134 26,933 1,457 160,525- of which secured by immovable property 129,785 24,115 1,274 155,174- of which qualifying revolving exposures 1,162 142 24 1,328- of which other retail 1,188 2,676 159 4,023Securitisation positions 2,043 2,0432Total IRB190,767 75,927 4,940 271,6343Total SA116,5822, 3Total IRB and SA388,21631 December 2021Investment Sub-investment gradegrade Impaired TotalCentral governments and central banks103,059 88 5 103,152 1)Institutions6,697 328 9 7,034 Corporates49,127 49,309 4,818 103,254 Retail138,073 29,772 1,699 169,544 - of which secured by immovable property 134,658 27,252 1,423 163,334 - of which qualifying revolving exposures 1,149 144 28 1,321 - of which other retail 2,265 2,376 247 4,888 Securitisation positions1,016 1,016 2Total IRB297,972 79,497 6,531 384,000 3Total SA 30,510 2, 3Total IRB and SA 414,510 1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Total Exposure at Default does not include EAD calculated for equities not held for trading and other non-credit obligations.3 Exposure at Default does not include EAD calculated for other non-credit obligations.EAD decreased to EUR 391.1 billion (31 December 2021: EUR 417.2 billion), largely because of the decrease in loans and advances and, to a lesser extent, because of lower cash and balances at central banks due to repayment of TLTRO III facilities. Credit quality by internal rating scale mapped to stages b The following table presents the gross carrying amount of loans and the contractual amount of undrawn loan commitments, classified by internal rating and risk stage. In order to classify a client as stage 2, several qualitative triggers are needed, which are not necessarily dependent on internal ratings. 31 December 2022 31 December 20213)3)(in millions)PD scale UCR range Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalResidential mortgages0.000 - < 0.035 1 43 43 107 108 0.035 - < 0.127 2 64,113 1,438 65,551 59,392 1,194 60,586 0.127 - < 0.465 3 50,689 2,286 52,975 55,040 1,861 56,900 0.465 - < 2.225 4 24,677 2,442 27,119 21,376 2,172 23,548 2.225 - < 16.971 5 889 2,518 3,407 1,119 2,294 3,413 16.971 - < 100 6+ 38 486 524 28 504 532 100 6-8 1,143 1,143 1,264 1,264 Total residential mortgages 140,450 9,169 1,143 150,762 137,063 8,025 1,264 146,351 Consumer loans 0.000 - < 0.035 1 661 4 665 630 3 634 0.035 - < 0.127 2 1,492 6 1,498 1,459 9 1,468 0.127 - < 0.465 3 2,748 130 2,878 2,717 165 2,882 0.465 - < 2.225 4 3,444 223 3,667 3,708 291 3,999 2.225 - < 16.971 5 280 290 570 326 415 741 16.971 - < 100 6+ 496 96 591 508 154 662 100 6-8 363 363 409 409 Total consumer loans 9,121 749 363 10,232 9,348 1,037 409 10,794 Corporate loans 0.000 - < 0.035 1 8,964 122 9,086 9,221 83 9,304 0.035 - < 0.127 2 9,677 253 9,931 9,839 343 10,182 0.127 - < 0.465 3 16,678 2,499 19,178 15,722 978 16,701 0.465 - < 2.225 4 27,925 7,042 34,967 28,393 5,433 33,826 2.225 - < 16.971 5 3,137 3,478 6,615 3,345 4,484 7,830 16.971 - < 100 6+ 2,721 568 3,289 2,843 753 3,597 100 6-8 3,666 3,666 5,019 5,019 Total corporate loans 69,103 13,963 3,666 86,731 69,364 12,075 5,019 86,458 1Other loans0.000 - < 0.035 1 14,776 37 14,813 21,289 21,289 0.035 - < 0.127 2 8,988 8,988 9,012 1 9,012 0.127 - < 0.465 3 4,607 4,607 2,539 2,539 0.465 - < 2.225 4 1,946 1,946 883 883 2.225 - < 16.971 5 71 71 66 26 92 16.971 - < 100 6+ 53 36 90 11 2 20 132 100 6-8 4 4 9 9 1Total other loans 30,442 73 4 30,519 33,900 47 9 33,956 Loan commitments and financial guarantee contracts0.000 - < 0.035 1 5,232 5,233 5,256 6 5,262 0.035 - < 0.127 2 13,299 254 13,553 12,188 175 12,363 0.127 - < 0.465 3 14,156 1,691 15,847 16,688 885 17,573 0.465 - < 2.225 4 15,582 3,333 18,915 11,025 3,750 14,775 2.225 - < 16.971 5 1,136 816 1,952 1,197 1,043 2,240 16.971 - < 100 6+ 781 114 895 3,843 161 4,004 100 6-8 700 700 1,271 1,271 Total loan commitments 2and financial guarantee contracts50,187 6,209 700 57,095 50,199 6,019 1,271 57,488 Total0.000 - < 0.035 1 29,677 163 29,840 36,504 92 36,596 0.035 - < 0.127 2 97,570 1,951 99,521 91,891 1,721 93,612 0.127 - < 0.465 3 88,879 6,606 95,486 92,706 3,889 96,595 0.465 - < 2.225 4 73,575 13,040 86,615 65,385 11,646 77,031 2.225 - < 16.971 5 5,513 7,102 12,615 6,054 8,263 14,317 16.971 - < 100 6+ 4,089 1,300 5,389 7,335 1,592 8,926 100 6-8 5,874 5,874 7,971 7,971 Total 299,303 30,162 5,874 335,339 299,874 27,202 7,971 335,048 1 Includes Banks, Securities Financing and Government and official institutions.2 Total loan commitments and financial guarantee contracts exclude performance letters of credit as these facilities are not in scope of IFRS 9.3 Including POCI.The largest part of ABN AMRO\u2019s portfolio continues to be classified in stage 1 and in the highest and medium internal rating classes. Compared to 31 December 2021, the share of the portfolio with an investment grade (UCR 1 to UCR 3 bucket) decreased marginally, mainly in mortgages and corporate loans. Approximately 2% of the bank\u2019s portfolio is reported in UCR 6+. Clients where revision of the UCR is overdue are classified as UCR 6+ until a new rating is available. During that time, the mid-PD of UCR 6+ is used for capital and provision calculation purposes. Geographic concentration by EAD b 31 December 2022Rest of Rest of (in millions, Exposure at Default) The NetherlandsEurope USA Asiathe world TotalCentral governments and central banks 1Institutions1,151 4,903 1,268 222 439 7,983Corporates 62,957 31,255 1,532 727 4,611 101,083Retail 159,910 475 45 64 31 160,525- of which secured by immovable property154,613 426 45 61 29 155,174- of which qualifying revolving exposures1,328 1,328- of which other retail 3,970 48 3 2 4,023Securitisation positions 2,043 2,0432Total IRB226,062 36,633 2,846 1,013 5,081 271,6343Total SA71,755 29,882 9,753 3,286 1,906 116,582Total 297,817 66,514 12,599 4,299 6,987 388,2162, 3Percentage of total IRB and SA76.7% 17.1% 3.2% 1.1% 1.8% 100.0%31 December 2021Rest of Rest of The NetherlandsEurope USA Asiathe world TotalCentral governments and central banks70,875 22,219 6,659 2,156 1,243 103,152 1Institutions1,077 4,514 675 198 570 7,034 Corporates69,464 26,236 2,457 792 4,304 103,254 Retail168,956 453 37 57 41 169,544 - of which secured by immovable property 162,809 396 37 53 39 163,334 - of which qualifying revolving exposures 1,321 1,321 - of which other retail 4,825 57 4 2 4,888 Securitisation positions1,016 1,016 2Total IRB311,388 53,423 9,828 3,203 6,158 384,000 3Total SA9,996 16,161 2,979 820 555 30,510 Total 321,384 69,583 12,807 4,023 6,713 414,510 2, 3Percentage of total IRB and SA77.5% 16.8% 3.1% 1.0% 1.6% 100.0% 1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Total Exposure at Default does not include EAD calculated for equities not held for trading and other non-credit obligations.3 Exposure at Default does not include EAD calculated for other non-credit obligations.Exposure at default (EAD) concentrated in the Netherlands increased to 76.7% of the bank\u2019s portfolio in 2022 (2021: 77.5%). EAD in the Netherlands decreased to EUR 297.8 billion at 31 December 2022 (31 December 2021: EUR 321.4 billion). The exposure to central governments Credit risk concentration b Geographic concentration The exposures in the following table have been classified on the basis of the geographical regions where clients are domiciled. The bank actively manages and monitors the development of its country risk exposures, based on the country at risk. The country at risk may be different from the country of domicile, for example if the bank finances a project in a country other than the borrower\u2019s country of incorporation. and central banks is now treated under the Standardised Approach, which causes significant changes in the categories Central governments and central banks and Total SA. Industry concentration ABN AMRO applies industry concentration limits in line with the Industry Classification Benchmark (ICB). In the exposure table, non-material industry clusters are aggregated under Other. Industry concentration limits are established within the bank\u2019s risk appetite, with the Industry concentration b 31 December 2022 31 December 2021Gross carrying Percentage Gross carrying Percentage 3, 43, 4(in millions)amountof totalamountof totalLoans and advances banks 2,990 1.2% 2,811 1.1%1Financial services21,734 8.4% 30,145 11.5%Industrial goods and services16,763 6.5% 16,918 6.5%Real estate16,953 6.6% 15,309 5.9%Oil and gas2,565 1.0% 3,162 1.2%Food and beverage9,953 3.9% 10,804 4.1%Retail4,478 1.7% 4,477 1.7%Healthcare3,736 1.4% 3,616 1.4%Construction and materials3,010 1.2% 3,041 1.2%Travel and leisure3,012 1.2% 3,452 1.3%Utilities2,214 0.9% 2,788 1.1%Automobiles and parts1,525 0.6% 1,545 0.6%Technology1,709 0.7% 1,112 0.4%2Other7,292 2.8% 7,213 2.8%Total industry classification benchmark 94,943 36.8% 103,581 39.6%Private individuals (non-industry classification benchmark)159,650 61.8% 154,593 59.1%Public administration (non-industry classification benchmark)629 0.2% 436 0.2%Total non-industry classification benchmark 160,279 62.1% 155,029 59.3%Total loans and advances customers 255,222 98.8% 258,611 98.9%3Total loans and advances258,212 100.0% 261,421 100.0%1 Financial services include asset managers, credit card companies and providers of personal financial services and securities and brokers.2 Other includes personal and household goods, basic resources, media, chemicals, telecommunication and insurance, in addition to unclassified.3 Excluding loans at fair value through P&L.4 Excluding fair value adjustments from hedge accounting.thresholds for concentrations being based on relative risk, the importance of the industry to the Dutch economy and expert opinion. The table shows the industry in which the original obligor, i.e. the counterparty with whom ABN AMRO has the contractual relationship, has its main activity. The total decrease in loans and advances by industry was largely explained by decreases in financial services. These were largely driven by business developments in Clearing. Our exposure to the oil and gas sector decreased further, while exposure to the real estate sector increased. The share of loans and advances to private individuals increased, largely as a result of an increase in residential mortgages. Management of forborne, past due and credit-impaired loans b Credit risk reporting scope Although all financial assets on our balance sheet are subject to some form of credit risk, by far the largest part is in loans and advances. To provide a meaningful view of the credit risk in our lending book, the figures presented in this section therefore relate to loans and advances. Any credit risk outside the reported scope will be mentioned below the table. All figures are furthermore reported gross of loan impairment allowances and exclude fair value adjustments. The following table provides a comparison of gross carrying amounts presented in this section with the consolidated balance sheet. 31 December 2022 31 December 2021Fair value Less: Less: Fair value Less: loan Less: Gross adjustment loan im-amortisation Gross adjustment impair-amortisation carrying from hedge pairment and depre-Carrying carrying from hedge ment and depre-Carrying 2222(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks2,990 8 2,982 2,811 10 2,801Residential mortgages150,762 -9,489 153 141,121 146,351 1,442 82 147,711Consumer loans10,232 277 9,955 10,794 276 10,5181Corporate loans86,731 154 1,590 85,295 86,458 509 2,053 84,915Other loans and advances 1customers7,497 5 7,491 15,007 4 15,003Total loans and 1advances customers255,222 -9,335 2,026 243,861 258,611 1,951 2,416 258,146Total loans and 1advances258,212 -9,335 2,034 246,844 261,421 1,951 2,426 260,947Other138,201 -3,119 123 2,222 132,738 139,580 1,636 146 2,903 138,166Total assets 396,414 -12,454 2,157 2,222 379,581 401,001 3,587 2,572 2,903 399,113Loans and advances 1customers255,222 -9,335 2,026 243,861 258,611 1,951 2,416 258,146Corporate loans at fair value through P&L66 66 99 99Other loans at fair value through P&L5 5Total loans and advances customers255,288 -9,335 2,026 243,927 258,715 1,951 2,416 258,2511 Excluding loans at fair value through P&L.2 Compared to 2021, the presentation changed. In the line Other the fair value adjustment from hedge accounting, impairment allowances not in scope of IFRS 9 and amortisation and depreciation are now taken into consideration for the calculation of the gross carrying amount. Comparative figures have been adjusted accordingly.3 Excluding fair value adjustments from hedge accounting.Forborne exposures b Clients in (or potentially in) financial difficulty and whose contracts have been amended in ways that are regarded as concessions on the part of the bank are accounted Overview of forborne assets b 31 December 2022Performing assetsNon-performing assetsTem-Perma-Total Tem-Perma-Total non- Gross porary nent Refi-performing porary nent Refi-performing Total Forbear-carrying modifi-modifi-nanc-forborne modifi-modifi-nanc-forborne forborne ance )(in millions)amountcationcationingassetscationcationingassetsassetsratioLoans and advances banks 2,990 0.0%Residential mortgages150,762 545 22 2 569 489 15 503 1,072 0.7%Consumer loans10,232 32 57 1 91 53 23 15 91 181 1.8%1Corporate loans86,731 585 2,258 374 3,217 383 1,774 282 2,439 5,655 6.5%1Other loans and advances customers7,497 0.0%Total loans and 1advances customers255,222 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1Total loans and advances258,212 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.for as forborne assets. The following table provides an overview of forborne assets, broken down into performing and non-performing assets, and classified by the type of forbearance measure. 31 December 2021Performing assetsNon-performing assetsTem-Perma-Total Tem-Perma-Total non- Gross porary nent Refi-performing porary nent Refi-performing Total Forbear-carrying modifi-modifi-nanc-forborne modifi-modifi-nanc-forborne forborne ance 3(in millions)amountcationcationingassetscationcationingassetsassetsratioLoans and advances banks 2,811 0.0%Residential mortgages146,351 2,445 18 1 2,464 590 24 2 616 3,080 2.1%Consumer loans10,794 60 47 4 111 86 26 12 124 235 2.2%1Corporate loans86,458 1,173 2,937 484 4,594 380 2,237 659 3,276 7,870 9.1%1Other loans and advances customers15,007 0.0%Total loans and advances 1, 2customers258,611 3,678 3,002 490 7,170 1,057 2,287 673 4,016 11,186 4.3%1, 2Total loans and advances261,421 3,678 3,002 490 7,170 1,057 2,287 673 4,016 11,186 4.3%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.Total forborne assets decreased from EUR 11.2 billion at 31 December 2021 to EUR 6.9 billion at 31 December 2022, mainly for residential mortgages and corporate loans. This decrease is specifically attributed to loans for which a payment deferral was granted after the outbreak of Covid-19 in 2020 and that came to the end of their two-year forbearance probation period. Under the forbearance rules, these loans ceased to be forborne if they were performing in accordance with the payment conditions. On 31 December 2022 the exposure subject to Covid-19 related forbearance measures was EUR 0.8 billion. Past due not classified as stage 3 b 31 December 2022Days past dueGross Assets not Total past due, carrying classified as > 30 days & but not stage 3 Past due 23(in millions)amountstage 3 or POCI \u2264 30 days\u2264 90 days > 90 daysor POCIratioLoans and advances banks 2,990 2,990 0.0%Residential mortgages150,762 149,619 879 52 7 939 0.6%Consumer loans10,232 9,869 104 50 23 178 1.7%1Corporate loans86,731 83,066 635 181 84 900 1.0%1Other loans and advances customers7,497 7,493 4 17 21 0.3%Total loans and 1advances customers255,222 250,047 1,623 284 131 2,038 0.8%1Total loans and advances258,212 253,038 1,623 284 131 2,038 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Materiality thresholds are applied for counterparties transferring to stage 3. Below these thresholds, amounts are reported on > 90 days past due.Past due exposures b When a counterparty is past due or exceeds its credit limit, all loans and advances (total gross carrying amount) in the related credit arrangement are considered to be past due. The absolute and relative materiality thresholds used for determining a defaulted status do not apply for the purposes of classification as past due. Below these thresholds, arrears of more than 90 days are reported as past due. 31 December 2021Days past dueGross Assets not Total past due carrying classified as > 30 days & but not stage 3 Past due 34(in millions)amountstage 3 or POCI \u2264 30 days\u2264 90 days > 90 daysor POCIratioLoans and advances banks 2,811 2,811 0.0%Residential mortgages146,351 145,087 759 49 12 820 0.6%Consumer loans10,794 10,385 133 29 26 188 1.7%1Corporate loans86,458 81,439 874 178 23 1,075 1.2%1Other loans and advances customers15,007 14,998 24 24 0.2%Total loans and 1, 2advances customers258,611 251,910 1,789 256 61 2,106 0.8%1, 2Total loans and advances261,421 254,720 1,789 256 61 2,106 0.8%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.4 Materiality thresholds are applied for counterparties which are transferred to impaired. Below these thresholds, amounts are reported on > 90 days past due.Compared to 31 December 2021, total arrears declined modestly from EUR 2.1 billion to EUR 2 billion, accounting for an unchanged past due ratio of 0.8%. Arrears in residential mortgages rose by EUR 0.1 billion to EUR 0.9 billion. As this was proportional to the growth of the portfolio, the past due ratio for residential mortgages remained stable at 0.6%. Similarly, consumer loans in arrears came down in line with portfolio movements and recorded an unchanged past due ratio of 1.7%. This steady credit performance of personal banking products can be attributed to the high job retention rates in the Netherlands, despite the inflationary economic environment. Arrears in corporate loans came down from EUR 1.1 billion to EUR 0.9 billion. A change in the past due accounting of the recourse portfolio at Asset Backed Finance contributed EUR 0.1 billion to this decline. Coverage and stage ratios b 31 December 2022 31 December 2021Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 3434(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,953 8 0.3% 98.8% 2,808 10 0.4% 99.9%Residential mortgages140,450 21 0.0% 93.2% 137,063 8 0.0% 93.7%Consumer loans9,121 30 0.3% 89.1% 9,348 23 0.2% 86.6%1Corporate loans69,103 256 0.4% 79.7% 69,364 130 0.2% 80.2%1Other loans and advances customers7,457 0.0% 99.5% 14,954 0.0% 99.6%1Total loans and advances customers226,130 308 0.1% 88.6% 230,729 162 0.1% 89.2%Stage 2Loans and advances banks37 0.0% 1.2% 3 0.5% 0.1%Residential mortgages9,169 57 0.6% 6.1% 8,025 22 0.3% 5.5%Consumer loans749 36 4.8% 7.3% 1,037 45 4.4% 9.6%1Corporate loans13,963 301 2.2% 16.1% 12,075 291 2.4% 14.0%1Other loans and advances customers36 2 5.6% 0.5% 44 1 3.2% 0.3%1Total loans and advances customers23,917 396 1.7% 9.4% 21,181 360 1.7% 8.2%Stage 3 and POCILoans and advances banksResidential mortgages1,143 75 6.6% 0.8% 1,264 52 4.1% 0.9%Consumer loans363 2 11 58.2% 3.5% 409 208 50.8% 3.8%1Corporate loans3,666 1,033 28.2% 4.2% 5,019 1,632 32.5% 5.8%1Other loans and advances customers4 3 83.9% 0.0% 9 3 32.0% 0.1%1Total loans and advances customers5,175 1,322 25.6% 2.0% 6,701 1,894 28.3% 2.6%Total of stages 1, 2, 3 and POCITotal loans and advances banks2,990 8 0.3% 2,811 10 0.4%Residential mortgages150,762 153 0.1% 146,351 82 0.1%Consumer loans10,232 277 2.7% 10,794 276 2.6%1Corporate loans86,731 1,590 1.8% 86,458 2,053 2.4%1Other loans and advances customers7,497 5 0.1% 15,007 4 0.0%1Total loans and advances customers255,222 2,026 0.8% 258,611 2,416 0.9%1, 2Total loans and advances258,212 2,034 0.8% 261,421 2,426 0.9%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.4 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2022: EUR 1 million; 31 December 2021: EUR 1 million).The stage 2 ratio increased to 9.4% (31 December 2021: 8.2%), mainly as a result of increases in stage 2 exposure, while total loans and advances decreased. Stage 2 exposure increased for corporate loans, partly because of clients who returned from stage 3. Inflow as a result of a weakening macroeconomic outlook led to an increase in stage 2 exposures for residential mortgages. The stage 2 coverage ratio remained stable at 1.7%. The stage 3 ratio decreased to 2.0% at 31 December 2022 (31 December 2021: 2.6%), attributable to an outflow of clients due to repayments and clients returning to stage 2. The stage 3 coverage ratio decreased from 28.3% to 25.6% due to the write-off or return to stage 2 of some highly provisioned loans. Purchased or Originated Credit Impaired (POCI) On 31 December 2022, loans classified as POCI amounted to EUR 9 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report. Exposure and impairment flows b This section provides more details on the exposure and impairment flows underlying the change in coverage and stage ratios shown in the previous section. Total loans and advances b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 233,537 21,183 6,701 261,421 220,705 25,602 8,474 254,781Transfer to stage 17,771 -7,662 -110 5,607 -5,517 -90Transfer to stage 2-14,007 15,050 -1,044 -7,863 8,412 -549Transfer to stage 3-864 -932 1,796 -890 -1,432 2,322Additional drawdowns and partial repayments-25,287 -73 -71 -25,430 -20,683 1,029 11 -19,643Originated or purchased48,595 48,595 71,356 71,356Matured or repaid-21,365 -3,728 -1,515 -26,608 -36,312 -7,148 -2,538 -45,998Write-offs-622 -623 - 11 -19 -1,087 -1,117Foreign exchange826 44 38 908 1,774 281 159 2,214Other movements-123 71 1 -51 -145 -24 -1 -171Balance at 31 December 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,4211 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI.Total loans and advances decreased compared to 31 December 2021, mainly due to a sharp decrease in Clearing exposures, which was also visible in other loans. This was primarily as a result of lower trading positions of Clearing clients at year-end 2022 and a decrease in margin contributions, mainly at European Commodity Clearing (ECC). The decrease was offset by an increase in residential mortgages (EUR 4.4 billion) and foreign exchange movements, with the latter being due to the depreciation in the value of the EUR compared to the USD. As our portfolio is now more Northwest Europe-oriented (due to the wind-down of the former CIB non-core business), the effect of this was less pronounced than in 2021. Transfers between stages were notably high for stage 2 exposures as a result of adjustments in the models\u2019 macroeconomic scenarios. Inflow in stage 3 was lower than the combined amount of write-offs, repayments and transfers to stage 2, leading to a strong reduction in stage 3 exposure. Exposure flows per product class are presented in the section Additional risk, funding & capital disclosures. Loan impairment charges and allowances b 31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 1 January 2022 10 82 276 2,053 4 2,426 153Transfer to stage 1-3 -9 -21 -33 -2Transfer to stage 24 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters57 12 61 130 2Originated or purchased7 4 44 55 12Matured or repaid-18 -12 -88 - 119 -7Impairment charges (releases) on loans and advances-2 73 59 41 1 171 -110Write-offs-3 -65 -556 -623Unwind discount / unearned interest accrued1 5 25 32Foreign exchange and other movements3 27 29 8Balance at 31 December 20228 153 277 1,590 5 2,034 512022Impairment charges (releases) on loans and advances-2 73 59 41 1 171 - 110Recoveries and other charges (releases)-17 -45 -42 -103 82Total impairment charges for the period -2 56 14 -1 1 67 -281 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.31 December 2021Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 1 January 2021 6 116 294 3,053 3 3,472 48Transfer to stage 1-6 -7 -21 -33 -1Transfer to stage 2-3 31 27 7Transfer to stage 321 51 107 1791Remeasurements10 5 39 425 1 480 101Changes in models-2 -1 1 -15 -17Changes in risk parameters-4 -31 -12 -54 -101Originated or purchased4 5 46 55 6Matured or repaid-19 -27 -563 -610 -18Impairment charges (releases) on loans and advances5 -28 47 -44 1 -20 94Write-offs-6 -69 -1,042 -1,117 -3Unwind discount / unearned interest accrued1 4 16 22Foreign exchange and other movements-1 69 69 14Balance at 31 December 2021 10 82 276 2,053 4 2,426 1532021Impairment charges (releases) on loans and advances5 -28 47 -44 1 -20 94Recoveries and other charges (releases)-18 -44 -79 -141 22Total impairment charges for the period 5 -46 3 -124 1 -161 1161 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.Loan impairment charges and allowances per stage b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 172 360 1,894 2,426 301 400 2,771 3,472Transfer to stage 157 -74 -16 -33 40 -62 - 11 -33Transfer to stage 2-31 153 -107 15 -35 112 -50 27Transfer to stage 3-17 -40 209 152 -12 -38 228 1791Remeasurements50 23 -103 -30 -108 41 547 480Changes in models-3 - 11 -3 -17Changes in risk parameters44 56 30 130 -34 -35 -32 -101Originated or purchased55 55 55 55Matured or repaid-14 -26 -79 - 119 -19 -18 -573 -610Impairment charges (releases) on loans and advances145 91 -66 171 -117 -10 107 -20Write-offs-622 -623 - 11 -19 -1,087 -1,117Unwind discount / unearned interest accrued32 32 22 22Foreign exchange and other movements-1 -55 84 29 -2 - 11 82 69Balance at 31 December 316 396 1,322 2,034 172 360 1,894 2,426Impairment charges (releases) on loans and advances145 91 -66 171 - 11 7 -10 107 -20Recoveries and other charges (releases)-103 -103 -141 -141Total impairment charges for the period 145 91 -169 67 -117 -10 -34 -1611 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.An addition of EUR 39 million (EUR 67 million on-balance and EUR -28 million off-balance) in impairments was recorded for 2022 (2021: release of EUR 46 million), resulting in a cost of risk of 3bps in 2022, compared to -7bps in 2021. Charges were attributable to a deteriorating economic outlook during the year, partly offset by releases from management overlays and releases for existing stage 3 clients. The releases in stage 3 can be largely attributed to the improved credit quality of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. For residential mortgages, charges of EUR 56 million were recorded in 2022, compared to a release of EUR 46 million in 2021. This was caused by the deteriorated macroeconomic outlook. The deteriorated economic outlook was also the main driver of the EUR 14 million impairment charges for consumer loans (2021: EUR 3 million). Impairments for consumer loans were also attributable to the deterioration of risk parameters in our consumer lending portfolios. A release of EUR 29 million (of which EUR 28 million was for off-balance exposures) was recorded for corporate loans in 2022 (2021: release of EUR 124 million). Impairment releases for corporate loans were recorded because of the improved credit quality of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. Individual and collective loan impairment allowances and management overlays b 31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 18 21 30 256 316 25Stage 257 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay26 9 294 328Total impairments 8 153 277 1,590 5 2,034 51Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,143 363 3,666 4 5,1751 Including POCI.31 December 2021Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 346 1,389 3 1,438 11 6Total individual impairments 46 1,389 3 1,438 116Collective impairmentsStage 110 8 23 130 172 17Stage 222 45 291 1 360 201Stage 352 162 243 456Total collective impairments 10 82 230 664 1 988 37- of which management overlay 24 46 354 424Total impairments 10 82 276 2,053 4 2,426 153Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,264 409 5,019 9 6,7011 Including POCI.Individual impairments decreased to EUR 896 million (31 December 2021: EUR 1,438 million) due to write-offs, repayments and transfers to stage 2. Total collective impairments amounted to EUR 1,138 million at year-end 2022 (31 December 2021: EUR 988 million) and included expected credit losses (ECL) as calculated by our IFRS 9 models and the management overlays we recorded. The ECL calculations take into account a probability weighted average of three economic scenarios. As the ECL model outcomes do not always reflect the current economic environment and circumstances, additional management overlays are applied to incorporate potential risks not fully captured by the model outcomes. During 2022, management overlays decreased to a total of EUR 328 million (31 December 2021: EUR 424 million). Of this decrease, EUR -43 million was due to reclassification of overlays to input data and in-model adjustments and did not have P&L impact. The remaining management overlays were mainly recorded for risks in the corporate loans portfolios and comprised the following: \u00c5 A new management overlay was applied for potential effects of the war in Ukraine that are not fully captured by the latest projections in our macroeconomic scenarios and existing IFRS 9 models. An initial overlay for second-order impact on potentially vulnerable clients was cancelled after individual clients were reviewed and, where appropriate, reclassified. As the uncertainty in the macroeconomic outlook as a whole continues to be high, the initial overlay was replaced by an overlay on impairments for third-order effects, amounting to EUR 123 million at year-end 2022. \u00c5 A new management overlay of EUR 34 million was formed for the potential impact that the government\u2019s measures to reduce nitrogen emissions may have on clients in livestock farming businesses in the Netherlands. \u00c5 The existing overlays, which cover anticipated additional risk costs relating to the wind-down of portfolios, decreased in line with the reducing exposure to these portfolios. Management overlays taken in previous years for the impact of Covid-19 decreased significantly: \u00c5 The management overlay applied for clients in sectors vulnerable to the impact of Covid-19-related restrictions was released after the Covid-19 restrictions were lifted in the Netherlands and analysis revealed there to be no material differences between the coverage ratios of vulnerable and non-vulnerable sectors. \u00c5 We also released a management overlay that captured expected credit risk deterioration due to Covid-19 in our Corporate Banking portfolio as we deem this effect to be largely incorporated into our credit risk parameters. \u00c5 A new management overlay was formed for potential underestimation of the delayed risk of Covid-19-related government support \u2013 especially tax deferrals \u2013 for corporate loans that are not individually managed. Compared to 31 December 2021, management overlays for our mortgage portfolio were stable as: \u00c5 The management overlay that covers the refinancing risk of interest-only mortgages was increased to take into account changes in the affordability tests as a result of rising interest rates. \u00c5 The management overlay that addresses the impact of excessive increases in property prices on the outcome of the IFRS 9 models was reclassified as an in-model adjustment. The management overlays within consumer lending portfolios decreased because the adjustment for modification losses was reclassified as an input data adjustment. All management overlays represent best estimates of the risks involved. The underlying reasoning and calculations are documented and discussed and approved by the Impairments and Provisioning Committee (IPC). Relevant experience related to the impact of Covid-19 on the model outcomes will be used to improve the models over time and reduce the need for management overlays. Macroeconomic scenarios in 2022 b Unweighted Weighted 44(in millions)Weight Macroeconomic variable 2023 2024 2025 2026ECLECL1 Real GDP Netherlands2.8% 2.6% 2.3% 1.6%2 Positive5% Unemployment3.9% 3.8% 3.7% 3.6% 1,0353 House price index1.0% 0.0% 1.0% 2.0% Real GDP Netherlands 0.5% 1.2% 1.6% 1.4%Baseline60% Unemployment 4.3% 4.2% 4.0% 4.0% 1,087 1,138 House price index -2.5% -2.5% -2.0% 1.0% Real GDP Netherlands -1.8% -0.4% 1.3% 1.8%Negative35% Unemployment 5.0% 4.9% 4.7% 4.7% 1,240 House price index -8.0% -12.0% -11.0% 0.0%1 Real GDP Netherlands, % change year-on-year.2 Unemployment Netherlands, % of labour force.3 House price index Netherlands - average % change year-on-year.4 Weighted and unweighted ECL are including all collective impairments. Previous reports showed ECL for stages 1 and 2 only. Comparative figures have been adjusted accordingly.Macroeconomic scenarios in 2021 b Unweighted Weighted 44(in millions) Weight Macroeconomic variable 2022 2023 2024 2025ECLECL1 Real GDP Netherlands4.5% 2.9% 2.5% 1.6%2 Positive10% Unemployment2.7% 2.3% 2.3% 2.2% 9243 House price index12.5% 5.0% 3.5% 3.0% Real GDP Netherlands 3.8% 2.4% 2.0% 1.4%Baseline60% Unemployment 3.1% 2.8% 2.8% 2.8% 953 988 House price index 10.0% 4.0% 3.0% 3.0% Real GDP Netherlands 2.7% 0.7% 2.3% 1.6%Negative30% Unemployment 4.0% 4.2% 3.4% 3.2% 1,078 House price index 0.0% -7.5% -10.0% -2.5%1 Real GDP Netherlands, % change year-on-year.2 Unemployment Netherlands, % of labour force.3 House price index Netherlands - average % change year-on-year.4 Weighted and unweighted ECL are including all collective impairments. Previous reports showed ECL for stages 1 and 2 only. Comparative figures have been adjusted accordingly.The scenario weights indicated in the above tables are in place for expected credit loss (ECL) calculation purposes only and are designed to capture prevailing uncertainties in the macroeconomic outlook in our ECL estimates. As the most recent macroeconomic indicators were more in line with the baseline than the negative scenarios, the adjustment to the weights used in the previous quarter was rolled back and weights were reset to their usual levels. Credit risk mitigation b Collateral reporting is based on the net collateral value (NCV). The NCV represents the amount expected to be recovered from the collateral pledged to the bank if the client defaults. Where necessary, certain discounts are applied. The NCV is approached by an average recovery rate observed for the specific type of collateral and, where applicable, by applying haircuts, for example in the event of currency mismatches. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis. A surplus is not included for guarantees as the debtor cannot be held liable for more than the maximum debt. Financial assets: offsetting, netting, collateral and guarantees b 31 December 2022Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading907 907 907 Derivatives 5,212 5,212 4,136 4,136 1,077 Financial investments 39,034 39,034 39,034 Securities financing 25,218 5,186 20,032 820 24,847 25,667 5,881 246 Interest-bearing deposits2,088 317 1,771 44 317 361 1,410 Loans and advances934 934 537 1,793 2,330 1,793 396 Other277 277 277 Total loans and advances banks3,300 317 2,982 582 1,793 317 2,692 1,793 2,083 Residential mortgages150,609 150,609 2,778 288,267 258 291,303 144,617 3,923 Consumer loans9,959 4 9,955 3,741 6,787 386 10,913 4,387 3,428 Corporate loans86,242 1,101 85,141 2,047 30,432 51,330 3,920 87,730 33,471 30,882 Other loans and advances customers7,491 7,491 377 50 19 446 18 7,064 Fair value adjustment from hedge accounting-9,335 -9,335 -9,335 Total loans and 1advances customers244,966 1,105 243,861 2,424 36,951 346,434 4,583 390,392 182,492 35,962 Loans at fair value through P&L66 66 66 Total loans and advances customers245,032 1,105 243,927 2,424 36,951 346,434 4,583 390,392 182,492 36,028 Other assets 3,532 1 3,531 52 520 842 1,414 427 2,544 Total on-balance sheet subject to netting and pledged agreements322,235 6,609 315,626 8,013 64,110 346,434 5,742 424,300 190,593 81,919 Assets not subject to netting and pledged agreements63,955 63,955 63,955 Total assets 386,190 6,609 379,581 8,013 64,110 346,434 5,742 424,300 190,593 145,875 Total off-balance sheet95,872 95,872 4,095 8,576 1,279 13,951 5,471 87,392 Total on- and off-balance sheet482,062 6,609 475,453 8,013 68,205 355,011 7,021 438,251 196,064 233,267 1 Excluding loans at fair value through P&L.2 Carrying amount includes loan impairment allowances where applicable.3 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.4 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.5 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.31 December 2021Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading1,155 1,155 1,155 Derivatives 3,785 3,785 2,312 85 2,397 1,388 Financial investments 43,165 43,165 43,165 Securities financing19,659 3,521 16,138 85 18,808 18,893 2,915 160 Interest-bearing deposits1,538 349 1,189 36 1 282 318 871 Loans and advances1,355 1,355 967 927 1,893 923 385 Other257 257 257 Total loans and advances banks3,150 349 2,801 1,002 927 282 2,211 923 1,513 Residential mortgages146,269 146,269 2,779 262,635 355 265,768 123,226 3,727 Consumer loans10,519 1 10,518 3,856 6,465 28 10,349 4,107 4,276 Corporate loans88,038 3,632 84,405 2,943 26,669 50,828 3,693 84,132 28,148 28,421 Other loans and advances - customers15,003 15,003 163 75 28 267 44 14,779 Fair value adjustment from hedge accounting1,951 1,951 1,951 Total loans and 1advances customers261,779 3,633 258,146 3,105 33,304 320,003 4,103 360,516 155,525 53,155 Loans at fair value through P&L104 104 104 Total loans and advances customers261,884 3,633 258,251 3,105 33,304 320,003 4,103 360,516 155,525 53,259 Other assets 3,330 1 3,330 2 370 69 441 330 3,218 Total on-balance sheet subject to netting and pledged agreements336,127 7,504 328,624 6,508 53,494 320,003 4,454 384,459 159,693 103,858 Assets not subject to netting and pledged agreements70,490 70,490 70,490 Total assets 406,617 7,504 399,113 6,508 53,494 320,003 4,454 384,459 159,693 174,347 Total off-balance sheet93,977 93,977 4,683 8,130 1,961 14,774 5,022 84,225 Total on- and off-balance sheet500,594 7,504 493,091 6,508 58,178 328,133 6,415 399,233 164,714 258,572 1 Excluding loans at fair value through P&L.2 Carrying amount includes loan impairment allowances where applicable.3 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.4 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.5 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Total risk mitigation increased, driven by an increase in property and equipment and in residential mortgages, mainly due to rising house prices. As a result, surplus collateral also increased. In the case of consumer loans, total risk mitigation was relatively stable and net exposure declined slightly. The increase in total risk mitigation for corporate loans was evidenced by an increase in collateral for financial instruments. This was mainly driven by an increase in marketable securities collateral in the context of securities financing, mostly between financial institutions. The total net exposure of loans and advances customers decreased to EUR 36.0 billion in 2022 (31 December 2021: EUR 53.2 billion). This was primarily driven by other loans and advances and related to Clearing activities (i.e. posting cash collateral and default fund contributions). The decrease in exposure driven by fair value accounting from hedge accounting was due to the increase in interest rates. Financial assets: offsetting, netting, collateral and guarantees for credit-impaired assets b Collateral and guarantees for credit-impaired assets (stage 3 and POCI) represent credit risk mitigation based on the net collateral value (NCV) for clients in default. The carrying amount includes expected credit loss allowances, based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. The Financial In line with the decrease in the stage 3 carrying amount (including POCI) to EUR 3.9 billion (31 December 2021: EUR 4.8 billion), total risk mitigation decreased to EUR 4.6 billion in 2022 (31 December 2021: EUR 5.4 billion). This decrease was mainly observed in property and equipment and, to a lesser extent, other collateral and guarantees. The decline in property and equipment for corporate loans was partly offset by an increase for residential mortgages due to indexation. As the decrease in the stage 3 portfolio (including POCI) exceeded the decline in total risk mitigation, net exposure decreased by EUR 74 million to EUR 661 million at 31 December 2022. 31 December 2022Offset in the statement Not offset in the statement Net 4of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 123(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralLoans and advances banksResidential mortgages 1,068 1,068 11 1,854 1 1,865 799 2 Consumer loans 151 151 23 71 11 105 32 79 Corporate loans 2,632 2,632 4 608 1,734 324 2,670 617 579 Other loans and advances customers1 1 1 Total loans and advances customers3,852 3,852 4 641 3,659 336 4,640 1,449 661 Total loans and advances 3,852 3,852 4 641 3,659 336 4,640 1,449 661 31 December 2021Loans and advances banksResidential mortgages1,212 1,212 12 1,821 1 1,834 632 11Consumer loans201 201 12 103 3 118 33 11 7Corporate loans3,387 3,387 5 648 2,504 333 3,491 708 603Other loans and advances customers6 6 2 2 4Total loans and advances customers4,806 4,806 5 672 4,428 340 5,445 1,373 735Total loans and advances 4,806 4,806 5 672 4,428 340 5,445 1,373 7351 Carrying amount includes loan impairment allowances where applicable.2 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.3 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.4 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Restructuring & Recovery department identifies the most likely scenarios for non-programme lending defaulted clients (going concern or gone concern) and estimates the amounts and timing of expected future cash flows. This explains why a net exposure remains after collateral pledged to the bank is taken into account. During 2022 ABN AMRO obtained property and equipment by taking possession of collateral held as security for loans and advances. The total amount of such assets held on 31 December 2022 amounted to EUR 4 million (2021: EUR 4 million). ABN AMRO does not intend to use these assets in its operations and will pursue timely and orderly realisation of the collateral. Financial liabilities: offsetting, netting, collateral and guarantees b 31 December 2022Offset in the statement Not offset in the statement Net 3of financial positionof financial positionexposureCarrying Less: amount before balance sheet Master Financial - of which balance-sheet netting with Carrying netting instruments Total risk surplus 12(in millions)nettinggross assetsamountagreementcollateralmitigationcollateralFinancial liabilities held for trading 641 641 641 Derivatives 4,148 4,148 2,480 2,480 1,668 Securities financing 14,839 5,186 9,652 820 13,798 14,618 6,478 1,512 Deposits17,531 32 17,499 688 688 16,811 Other10 10 10 Due to banks 17,541 32 17,509 688 688 16,821 Deposits253,913 1,390 252,523 1,659 1,659 250,864 Other borrowings2,491 2,491 2,367 2,367 124 Due to customers 256,405 1,390 255,015 4,026 4,026 250,989 Other liabilities 5,187 1 5,187 5,187 Total liabilities subject to netting arrangements298,761 6,609 292,152 8,013 13,798 21,812 6,478 276,818 Remaining liabilities not subject to netting64,616 64,616 64,616 Total liabilities 363,376 6,609 356,767 8,013 13,798 21,812 6,478 341,434 1 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.2 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.3 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.31 December 2021Offset in the statement Not offset in the statement Net 3of financial positionof financial positionexposureCarrying Less: balance amount before sheet netting Master Financial - of which balance-sheet with gross Carrying netting instruments Total risk surplus 12(in millions)nettingassetsamountagreementcollateralmitigationcollateralFinancial liabilities held for trading 687 687 687 Derivatives4,344 4,344 3,706 3,706 638 Securities financing 13,015 3,521 9,494 78 11,042 11,120 3,306 1,680 Deposits38,133 67 38,066 507 507 37,558 Other10 10 10 Due to banks 38,143 67 38,076 507 507 37,568 Deposits254,468 3,915 250,553 1,732 1,732 248,821 Other borrowings665 665 484 484 181 Due to customers 255,133 3,915 251,218 2,216 2,216 249,002 Other liabilities 4,758 1 4,757 4,757 Total liabilities subject to netting arrangements316,079 7,504 308,575 6,508 11,042 17,550 3,306 294,332 Remaining liabilities not subject to netting68,538 68,538 68,538 Total liabilities 384,617 7,504 377,114 6,508 11,042 17,550 3,306 362,870 1 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.2 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.3 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Market risk management for the trading book b Positions held with trading intent and hedges for positions held with trading intent must be included in the bank\u2019s trading book. The Central Trading Risk policy describes the positions included in the trading book and the criteria for transferring risk and positions between the trading and banking books. As part of its business strategy, ABN AMRO facilitates client orders, acts as a market maker in key markets and provides liquidity to clients, including institutional investors and private clients. Market risk in the trading book is the risk of losses in market value due to adverse market movements. The following market risks are inherent in the trading book: \u00c5 Interest rate risk, arising from adverse changes in interest rate risk curves and/or interest rate volatilities; \u00c5 Credit spread risk, arising from adverse changes in the term structure of credit spreads and/or from changes in the credit quality of debt securities or CDS reference entities, with an impact on default probabilities; \u00c5 Foreign exchange risk, arising from adverse changes in FX spot and forward rates and/or FX volatility. ABN AMRO has in place a detailed risk management framework to identify, measure and control market risk in the trading book. This risk management framework is in line with the 3LoD model and provides assurance that the bank\u2019s trading activities are consistent with its client-focused business strategy and moderate risk profile. In accordance with the strategy, the Business Risk Committee Trading annually approves trading mandates and limits, which define the nature and number of the permitted transactions and risks, as well as the associated constraints. The limit utilisation is monitored and discussed by the first and second LoD on a daily basis. The Business Risk Committee Trading is a subsidiary committee of the Group Risk Committee. Market risk measurement for the trading book b ABN AMRO measures and manages market risk in the trading book on a daily basis. The key metrics used are economic capital, regulatory capital, Value-at-Risk (VaR), Stressed VaR (SVaR) and Incremental Risk Charge (IRC), together with a wide array of stress and scenario tests, sensitivity measures, concentration limits and notional limits. These metrics are measured and monitored on a daily basis. Appropriate limits are set at bank level in the Risk Appetite Statement and at bank and business-line levels in the limit framework, in line with the general risk principles of the Central Trading Risk policy. Metrics and models are managed, reviewed, assessed and, if required, adjusted in a similar way as in the banking book. Other important tools to ensure the adequacy of the models, alongside the formal validation and review of models, are the daily explanation of risk reporting figures, periodic portfolio reviews and regular back-testing. Validation procedure For all models, including market risk models, we have a model risk policy in place. This policy requires that model assumptions and limitations are documented and independently validated by Model Validation. For material changes, the regulator performs an onsite investigation before such a model change is applied in production. Economic capital The calculation of economic capital for market risk in the trading book is based on the daily Value-at-Risk (VaR), Stressed VaR (SVaR) and Incremental Risk Charge (IRC) at a 99.95% confidence level. In comparison with previous years, Stressed VaR (SVaR) and Incremental Risk Charge (IRC) were added to the calculation of EC to align with the calculation of the regulatory capital. Stress testing and scenario analysis Stress testing and scenario analysis are designed to focus specifically on the impact of tail events occurring outside the VaR confidence interval. We perform daily stress tests for large movements in risk factors. Scenario analyses are also conducted frequently to evaluate the impacts of extreme market events that cover multiple risk factors, and the results of these tests are monitored. These scenarios can be based on historical or hypothetical events, or on a combination of the two. For each risk type, sensitivities are monitored against limits. This includes all risk types mentioned above and the basic risks in the trading portfolio. In addition, the holding period is monitored as a measure of the liquidity of the positions. Internal aggregated diversified and undiversified VaR for all trading positions b 31 December 2022Foreign Interest Total undiversified Diversified 12(in millions) CommoditiesEquityexchangerateVaRVaRVaR at last trading day of the period 0.2 4.1 4.3 4.2 Highest VaR 0.7 7.7 8.0 7.6 Lowest VaR 7.5 0.8 0.8 Average VaR 0.1 2.9 3.0 2.6 31 December 2021VaR at last trading day of the period 0.1 1.0 1.1 0.9 Highest VaR0.3 0.4 0.8 4.9 5.3 4.3 Lowest VaR 0.1 0.7 0.9 0.7 Average VaR 0.1 0.1 2.0 2.3 1.8 1 Commodity trading was discontinued in 2022. Positions throughout the year were very small. The last transaction ended on 31 December 2022. As a result commodity trading will no longer be reported in future annual and interim financial statements.2 Equity trading was discontinued in February 2021 and will no longer be reported in future annual and interim financial statements.ABN AMRO applies a diversified portfolio VaR approach that takes into account the fact that returns across risk factors may offset one another to a certain extent and consequently reduce risk. As long as these returns are not perfectly correlated to one another, VaR figures based on a diversified portfolio approach will be lower than if the figures are calculated using undiversified VaR. Undiversified VaR means that the VaR figures computed for the different risk factors are aggregated without taking into account any offset across risk factors, negating the potential for risk reduction. The following graph shows the total one-day VaR at a 99% confidence level (\u2018VaR diversified\u2019) and aggregation of the stand-alone risk factors (\u2018VaR undiversified\u2019). Market risk management for the banking book bABN AMRO has a detailed risk management framework in place to identify, measure and control market risk in the banking book. This framework provides assurance that the banking book activities remain consistent with the bank\u2019s strategy to pursue a moderate risk profile. The day-to-day management is delegated from the Asset & Liability Committee (ALCO) to the Asset and Liability Management and Treasury department (ALM/Treasury). Their activities include the execution of hedge transactions. ALM/Treasury forms the first line of defence. Market & ALM/T Risk Management acts as the second line of defence. The risk appetite is articulated in terms of net interest income, the economic value of equity and the economic capital for market risk in the banking book, and expresses the maximum loss the bank is willing to accept. The risk appetite is cascaded into a limit framework.Foreign exchange risk bForeign exchange (FX) risk is the risk arising from adverse movements in FX spot and forward rates and/or FX volatility. It is managed within the bank by ALM and Treasury. As a general rule, foreign exchange risk is hedged by using cross-currency swaps to swap the exposure in foreign currency to EUR. If, for operational reasons, it is inefficient to hedge exposures in foreign currencies, an open currency position (OCP) remains. This is measured by the aggregated net position per currency, except for EUR.Economic capitalEconomic capital for market risk in the banking book is calculated using a parametric Monte Carlo simulation model that determines the economic capital needed to absorb losses resulting from adverse movements in interest rates, client behaviour for mortgages and non-maturing deposits, volatility, credit spreads and foreign exchange rates.Market risk in the banking book metricsInterest rate risk(in millions) 31 December 2022 31 December 2021NII impact from an instantaneous increase in interest rates of 100bps280 98NII impact from an instantaneous decrease in interest rates of 100bps-302 -218NII impact from a gradual increase in interest rates of 200bps544 268NII impact from a gradual decrease in interest rates of 200bps-474 -251PV01-4.7 -5.931 December 2022 31 December 2021Total OCP (long, in EUR million)94 428OCP as % total capital0.3% 1.6%Sensitivity to 100 bps increase in largest non-EUR exposure (USD, in EUR million) 0.6 3.2NII-at-Risk is the difference in NII between a base scenario and an alternative scenario observed over a 1-year horizon. In addition to the regulatory prescribed scenarios, the internal metric is defined as the worst outcome of the following scenarios: a gradual increase or decrease in interest rates by 200bps, measured over a 1-year period, and an instantaneous increase or decrease of 100bps. NII-at-Risk includes all expected cash flows, including commercial margins and other spread components, from all interest rate-sensitive assets, liabilities and off-balance sheet items in the banking book. The NII-at-Risk calculation contains assumptions about the future balance sheet, including the reinvestment of maturing positions.On 31 December 2022, the NII-at-Risk was EUR 474 million in absolute terms (31 December 2021: EUR 251 million), reflecting a reduction of NII in the scenario of a gradual decrease of 200bps in interest rates. The most positive NII occurs in the scenario where interest rates rise gradually by 200bps, in which case the NII would be EUR 544 million higher than the base scenario. The increase in NII-at-Risk is mainly attributable to increases in the market rates. Due to interest rate floors applied to certain market and product rates, the effect of a downward rate scenario was previously dampened. With rising rates, the distance towards these floors has increased, resulting in a larger effective shock.The PV01 measures the value change resulting from a 1bp parallel shift in the yield curve. The PV01 exposure in absolute terms decreased by EUR 1.1 million to EUR 4.7 million in 2022. This decrease was the aggregate result of various developments in markets and the balance sheet. These include an increase in interest rates, lower predicted mortgage prepayments and associated hedging transactions.Open currency positionThe OCP is monitored regularly, and limits apply at a local and aggregate level. USD is the largest non-EUR exposure for assets as well as liabilities. The total OCP decreased in 2022 due to FX hedging activity.Risk management approach bThe natural maturity mismatch between our loan book and funding portfolio requires liquidity risk management. We consider maturity transformation to be an integral part of the business model, which is why we closely monitor our liquidity position and the resulting risks. We hold a portfolio of highly liquid assets that can be converted into cash in the event of unforeseen market disruptions, allowing us to meet payment and collateral obligations at all times. Funding and liquidity risk are managed centrally. We incorporate liquidity costs into the pricing of our day-to-day business activities. In managing these risks, a clear distinction is made between going-concern and contingency risk management.Going-concern managementThe most important metrics for going-concern risk management and the management of the day-to-day liquidity position within specified limits are: H Stress testing: in monthly and ad hoc stress tests we evaluate the impact of cash inflows and outflows under plausible stress scenarios. Market-wide as well as bank-specific stress scenarios are defined and analysed. The goal of stress testing is twofold. Firstly, it helps us to review our risk framework, i.e. the liquidity buffer size, risk appetite and risk limits. Secondly, it allows us to identify ways to reduce outflows in times of crisis; H Liquidity Coverage Ratio (LCR): The objective of the LCR is to assess the short-term resilience of the liquidity position by ensuring sufficient high-quality liquid assets to survive a significant stress scenario lasting 30 calendar days; H Survival period: this is the period the liquidity position is expected to remain positive in an internal stress scenario in which wholesale funding markets deteriorate and clients withdraw a material proportion of their deposits; H Net Stable Funding Ratio (NSFR): The objective of this ratio is to assess resilience over a longer time horizon. The NSFR requires banks to hold sufficient stable funding to cover the duration of their long-term assets on an ongoing basis; H Loan-to-Deposit ratio (LtD): The LtD ratio measures the relationship between the loan book (loans and advances customers) and deposits from clients (due to customers), and includes all client-related loans and deposits. The ratio gives an indication of our dependence on wholesale funding for financing client loans.Contingency ris k managementContingency risk management aims to ensure that, in the event of either a bank-specific or general market stress event, the bank is able to generate sufficient liquidity to withstand a short or long-term liquidity crisis. Contingency risk management entails: H Contingency Funding Plan: this plan sets out the guidelines and responsibilities for addressing possible liquidity shortfalls in emergency situations. This only comes into effect if the liquidity position is threatened or if there are strong indications that liquidity stress is imminent. The Contingency Funding Plan is aligned with the Recovery Plan, as required by the regulators. It enables us to manage our liquidity without unnecessarily jeopardising commercial activities, while limiting excessive funding costs in severe market circumstances; H Collateral posting in the event of a rating downgrade: if our credit rating is downgraded, collateral requirements may increase. We monitor these potential additional collateral postings in the liquidity risk management framework; H Liquidity buffer: Group Treasury manages our liquidity buffer, of which the liquidity portfolio comprises a substantial part. At all times, this portfolio should be highly liquid to accommodate liquidity outflows during stress. The buffer consists of unencumbered, high-quality liquid assets, including government bonds, retained securities (RMBS and covered bonds) and cash.Loan-to-Deposit ratio bLoans and advances customers decreased to EUR 243.9 billion at 31 December 2022 (31 December 2021: EUR 258.3 billion). Underlying, the loan book increased in most segments. However, this was more than offset by a decrease in other clients loans within Clearing and fair value adjustments related to hedge accounting. Due to customers increased to EUR 255.0 billion at 31 December 2022 (31 December 2021: EUR 251.2 billion). The Loan-to-Deposit (LtD) ratio decreased to 96% at 31 December 2022 (31 December 2021: 103%) reflecting the continued increased trend in client savings over the years, outpacing the growth in the client loan book. Liquidity buffer composition b31 December 2022 31 December 2021Liquidity buffer LCR eligible Liquidity buffer LCR eligible(in billions)Level 1 Level 2 Level 1 Level 21Cash & central bank deposits58.6 58.6 64.3 64.3Government bonds27.3 25.1 2.4 27.5 31.9 1.1- of which ESG bonds 0.8 0.8 1.0 1. 0Supra national & Agency bonds9.1 9.5 6.8 7. 4- of which ESG bonds 2.3 2.4 1.3 1. 3Covered bonds2.9 2.5 0.2 2.8 2.6- of which ESG bonds 0.2 0.1 0.2 0.1Retained RMBS and Covered bonds5.5Other0.1 0.1 0.1 0.1Total liquidity buffer 103.6 95.7 2.7 101.5 106.3 1.2- of which in EUR 89.5% 89.6%- of which in other currencies 10.5% 10.4%1 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.Liquidity buffer currency diversification b(in billions, liquidity value)31 December 2022 31 December 2021EUR92.7 91.0USD8.2 8.5JPY2.5 1.0GBP0.2 0.3Other0.8Total 103.6 101.5The liquidity buffer consists largely of cash and deposits at central banks, government bonds and securities. Most of the securities in the liquidity buffer, with the exception of retained covered bonds, qualify for the LCR. The liquidity buffer faces haircuts based on the market value. These haircuts are used to determine the liquidity value. Haircuts may vary between the liquidity buffer and the LCR eligible buffer as the internal assessment of the liquidity buffer may deviate from the LCR definition.ABN AMRO wants to increase the green, social and sustainable investments in its liquidity portfolio up to EUR 3.5 billion by the end of 2023. This represents an update to the previous statement made in 2020, in which we focused on green bonds only. Targeted investments The table above shows the breakdown per currency in the liquidity buffer. The currency composition reflects the composition of the balance sheet, which mainly consists of EUR and USD exposures. The monthly averages of the liquidity buffer are shown in the following table.are bonds whose proceeds are invested in a sustainability instrument in line with the Green Bond Principles, the Social Bond Principles or a combination of the two. Inclusion of such bonds in the liquidity portfolio is subject to availability of ESG Reporting, a thorough project selection process and sound management of proceeds. To preserve the portfolios high quality and liquidity, these bonds must also meet the high quality liquid assets (HQLA) criteria of the European Banking Authority (EBA). By actively investing in the euro-denominated ESG bond market, ABN AMRO aims to support the growth of this market. The amounts of ESG bonds held in the liquidity portfolio are reported semi-annually. ABN AMRO\u2019s current ESG bond holdings amount to EUR 3.2 billion.Liquidity buffer composition - monthly average b(in billions, liquidity value) 2022 20211Cash & central bank deposits67.6 64.6Government bonds20.2 29.1Supra national & Agency bonds6.5 6.7Covered bonds2.5 3.0Retained RMBS and Covered bonds0.5 0.7Other0.3 0.4Total 97.5 104.51 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.Liability and equity breakdownAudited(in billions)251.2255.025020015010067.263.55038.117.522.022.89.59.711.111.0Client deposits Issued debt & Due to banks Securities financing Equity OtherSubordinated liabilities31 December 202231 December 2021The graph below shows the breakdown of client deposits by segment.Breakdown of client depositsAudited(in billions)150122.9125117.31007563.364.764.460.650256.27.0Personal & Business Banking Wealth Management Corporate Banking Group Functions depositsdepositsdepositsdeposits31 December 202231 December 2021Available funding instruments bA key goal of the funding strategy is to diversify funding sources. Our funding programmes allow us to issue various instruments in different currencies and markets, enabling FundingLiability and equity breakdown bClient deposits are our main source of funding, complemented by a well-diversified book of wholesale us to diversify our investor base. The following table shows a breakdown of total funding instruments.funding. The graph below shows the liability and equity breakdown for the full balance sheet. The increase in client deposits reflects a continued increased trend in client savings.Overview of funding types b(in millions) 31 December 2022 31 December 2021Commercial Paper/Certificates of Deposit 14,723 9,177Covered bonds23,781 31,338Secured funding (long-term) 23,781 31,3381Senior preferred (medium-term notes)8,219 13,209- of which ESG bonds 1,385 1,995Senior non-preferred9,536 5,964- of which ESG bonds 4,181 1,853Unsecured funding (long-term) 17,755 19,172Total issued debt 56,259 59,688Subordinated liabilities7,290 7,549Wholesale funding 63,550 67,2362Other long-term funding14,274 35,2213Total funding instruments77,823 102,457- of which matures within one year 32,420 18,4191 Includes Senior preferred instruments only.2 Includes TLTRO funding (recorded in due to banks) and funding with the Dutch State as counterparty (recorded in due to customers).3 Includes FX effects, fair value adjustments and interest movements.Total funding instruments decreased to EUR 77.8 billion at 31 December 2022 (31 December 2021: EUR 102.5 billion), mainly driven by the partial repayment of TLTRO III. Total issued debt decreased to EUR 56.3 billion at 31 December 2022 (31 December 2021: EUR 59.7 billion). The decrease reflects a decline in covered bonds. This was driven by a decline in market value and senior preferred funding, driven primarily by redemptions. This was partly offset by an increase in senior non-preferred funding. Subordinated liabilities decreased to EUR 7.3 billion at 31 December 2022 due to fair value adjustments (31 December 2021: EUR 7.5 billion). Senior non-preferred funding was issued in order to meet increasing MREL requirements from RWA increases. Other long-term funding decreased to EUR 14.3 billion at 31 December 2022 due to a repayment of EUR 21.0 billion of TLTRO III (31 December 2021: EUR 35.2 billion). Total green bonds outstanding increased to EUR 5.6 billion at 31 December 2022, which is 10% of total issued debt (31 December 2021: EUR 3.8 billion). In order to keep investors updated, our Green Bonds Framework determines a set of criteria applicable to issues of green bonds, including how we allocate the issue proceeds from green bonds to eligible assets, the evaluation and selection of eligible assets, independent assurance on the allocation of proceeds to eligible green assets, and the external reporting requirements. Green bonds have been issued since 2015, with a focus on sustainable real estate and renewable energy. These bonds enable investors to invest in, for example, energy efficiency through residential mortgages, loans for solar panels on existing homes, sustainable commercial real estate and wind energy. The allocation of green proceeds at 31 December 2022 is published on the ABN AMRO website.Maturity calendar b31 December 2022(notional amounts, in billions) 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 \u2265 2033 TotalCovered bonds 2.0 1.8 0.5 1.6 0.6 0.7 0.4 1. 9 3.1 2.2 13.4 28.2Senior preferred 2.4 1.8 3.0 0.8 0.2 0.1 0.1 0.2 0.1 8.6Senior non-preferred 1.3 0.7 2.0 0.9 1.0 1. 3 0.8 3.1 10.9Subordinated liabilities 2.5 1. 4 0.9 1.5 1.2 7. 61Other long-term funding11. 0 3.0 0.3 0.2 14.5Total long-term funding 1 7. 9 6.6 6.1 4.4 4.5 1.6 1.4 3.2 4.5 3.0 16.6 69.831 December 20212022 2023 2024 2025 2026 2027 2028 2029 2030 2031 \u2265 2032 TotalTotal long-term funding 8.9 38.8 6.6 6.1 4.3 2.2 1.6 1.4 2.0 4.4 15.1 91.41 Other long-term funding includes Targeted Longer-Term Refinancing Operations (TLTRO) III and funding with the Dutch State as counterparty.Funding issuance in 2022 bTotal long-term funding raised in 2022 amounted to EUR 8.0 billion. This included EUR 1.6 billion of covered bonds, EUR 1.5 billion of subordinated liabilities and EUR 4.8 billion of senior non-preferred funding. The total TLTRO III participation at 31 December 2022 was EUR 14.0 billion. Capital instruments are excluded in the long-term funding overview and included in the capital section, which provides a complete overview of all outstanding capital instruments.Long-term funding raised in 2022 and 2021Audited(notional amounts at issuance, in billions)15129.098.00.13.11.560.91.61.534.83.5020212022Senior non-preferredCovered bonds1Subordinated liabilities Other long-term funding1 The issuance of the EUR 1.0 billion of additional Tier 1 capital instrument is excluded from the graph above. An overview of the Capital instruments is provided in the Capital section.Long-term wholesale funding in non-euro currencies declined to 15.7% of total outstanding long-term wholesale funding, compared with 18.3% at 31 December 2021. In 2022, the bank raised its long-term wholesale funding in euros and dollars. The diversification of the outstanding long-term funding in non-euro currencies is shown in the following graph.Non-euro currency diversificationof total outstanding long-term fundingAudited(in billions)151210.20.58.791.30.80.80.60.767.76.7320212022USD CHF GBP OtherMaturity calendar bWe target a maturity profile where redemptions of funding instruments are well spread over time. The average remaining maturity of newly issued wholesale funding decreased to 9.4 years at year-end 2022 (11.2 years at year-end 2021), not taking into account other long-term funding. The average remaining maturity of outstanding long-term funding increased to 5.7 years at year-end 2022 (up from 4.2 years at year-end 2021). The maturity calendar assumes redemption on the earliest possible call date or the legal maturity date, which does not mean that the instruments will be called at the earliest possible call date. Early redemption of subordinated instruments is subject to approval by the regulator.Capital structureRegulatory capital structure b(in millions) 31 December 2022 31 December 2021Total equity (EU IFRS) 22,814 21,999Cash flow hedge reserve946 1,540Dividend reserve-601 -573AT1 capital securities (EU IFRS)-1,985 -1,987Share buyback reserve-500 -500Regulatory and other adjustments-1,167 -1,273Common Equity Tier 1 19,507 19,206AT1 capital securities (EU IFRS)1,985 1,987Regulatory and other adjustments-3 -5Tier 1 capital21,489 21,188Subordinated liabilities (EU IFRS)7,290 7,549Regulatory and other adjustments-1,842 -2,413Tier 2 capital5,449 5,136Total regulatory capital 26,938 26,324Regulatory capital flow statement b(in millions)2022 2021Common Equity Tier 1 capitalBalance at 1 January19,206 19,548Addition of net profit attributable to owners of the parent company1,868 1,231Reserved dividend-601 -573Interim dividend paid-287Other, including regulatory adjustments-678 -999Balance at 31 December 19,507 19,206Additional Tier 1 capitalBalance at 1 January1,982 1,982Newly issued Tier 1 eligible capital instrumentsRedeemed Tier 1 eligible capital instrumentsBalance at 31 December1,982 1,982Tier 1 capital 21,489 21,188Tier 2 capitalBalance at 1 January5,136 4,664New issued Tier 2 eligible capital instruments1,524 879Redeemed Tier 2 ineligible capital instruments-996 -278Other, including regulatory adjustments-216 -129Balance at 31 December 5,449 5,136Total regulatory capital 26,938 26,324RWA b(in millions) 31 December 2022 31 December 2021Credit risk110,621 99,976- of which standardised 10,203 9,946- of which advanced 100,418 90,030Operational risk 15,967 16,049- of which standardised 533 604- of which advanced 15,434 15,444Market risk 2,005 1,668- of which standardised 2 6- of which advanced 2,003 1,662Total RWA 128,593 117,693Capital instruments b31 December 2022 31 December 2021First possible Nominal Carrying Nominal Carrying (in millions) ISIN/CUSIP Maturity datecall dateamountamountamountamount1Tier 1EUR 1,000 million 4.375% per annumXS2131567138 Perpetual September 2025 1,000 991 1,000 993EUR 1,000 million 4.75% per annumXS1693822634 Perpetual September 2027 1,000 994 1,000 994Total Tier 1 capital instruments 2,000 1,985 2,000 1,987Tier 2USD 113 million 7.75% per annumUS00080QAD79 / USN0028HAP03 May 2023 106 103 100 101USD 1,500 million 4.75% per annumUS00080QAF28 / XS1264600310 July 2025 1,405 1,360 1,324 1,402USD 1,000 million 4.8% per annumUS0008DAL47 / XS1392917784 April 2026 937 868 883 901EUR 1,000 million 2.875% per annumXS1346254573 January 2028 January 2023 1,000 1,027 1,000 1,035USD 1,500 million 4.4% per annumXS1586330604 March 2028 March 20231,405 1,392 1,324 1,358USD 300 million 5.6% per annumXS1385037558 April 2031 281 249 265 279SGD 750 million 5.5% per annumXS2498035455 October 2032 July 2027 524 520EUR 1,000 million 5.125% per annumXS2558022591 February 2033 November 2027 1,000 979USD 1,000 million 3.324% per annumXS2415308761 / US00084DAV29 March 2037 December 2031 937 778 883 876EUR various smaller instruments2023 -2025 14 14 14 15USD 595 million 6.250% per annumXS0619547838 April 2022 525 537EUR 1,000 million 7.125% per annumXS0802995166 July 2022 1,000 1,045Total Tier 2 capital instruments 7,609 7,290 7,317 7,549- of which eligible for regulatory capital:Basel III, Tier 1 (fully-loaded)2,000 2,000Basel III, Tier 2 (fully-loaded) 5,449 5,1361 AT1 capital securities. For both AT1 instruments, the CET1 Trigger levels are 7.0% for ABN AMRO Bank level, and 5.125% for ABN AMRO Bank solo level. The amount of available distributable items for ABN AMRO Bank N.V. per 31 December 2022 totals EUR 19.8 billion (31 December 2021: EUR 18.7 billion).Movements in subordinated liabilities b2022 2021(in millions) Carrying amount Carrying amountBalance as at 1 January 7,549 8,069Cash flowsIssuance1,540 910Redemption-1,602 -1,514Non-cash changesForeign exchange differences360 367Other-556 -283Balance as at 31 December 7,290 7,549Minimum capital requirementsThe Pillar 1 capital requirement is the absolute minimum amount of capital required to cover the three major types of risk a bank faces: credit risk, operational risk and market risk, as determined in the Capital Requirements Directive (CRD) IV Pillar 1 framework. The following table provides an overview of RWA and minimum capital requirements per risk type, category of exposure and regulatory approach.Minimum capital requirements31 December 2022 31 December 2021(in millions) Capital requirement RWA Capital requirement RWACredit risk IRBCentral governments and central banks67 8401Institutions148 1,847 127 1,589Corporates4,280 53,501 4,177 52,211Retail1,351 16,891 1,326 16,574- of which secured by immovable property 1,235 15,431 1,188 14,847- of which qualifying revolving exposures 11 136 11 140- of which other retail 106 1,323 127 1,588Equities not held for trading247 3,091 269 3,364Securitisation positions20 253 9 116Credit valuation adjustment2Other1,987 24,835 1,227 15,336Total credit risk IRB 8,033 100,418 7,202 90,030Credit risk SACentral governments and central banks41 515 21Institutions75 939 100 1,248Corporates468 5,854 451 5,636Retail182 2,272 200 2,495Secured by mortgages on immovable property12 152 12 145Exposures in default13 158 14 173Credit valuation adjustment22 274 16 2022Other3 39 4 46Total credit risk SA 816 10,203 796 9,946Other risksMarket risk160 2,005 133 1,668- of which Standardised Approach 2 1 6- of which Internal Model Approach 160 2,003 133 1,662Operational risk1,277 15,967 1,284 16,0493- of which Standardised Approach43 533 48 604- of which Advanced Measurement Approach 1,235 15,434 1,236 15,444Total other risks 1,438 17,973 1,417 17,717Total 10,287 128,593 9,415 117,6931 Institutions include exposures to banks and investment companies, regional and local governments and pension funds.2 Other includes non-credit obligations.3 Including Basic Indicator Approach.Additional information on exposure flows Gross carrying amount of residential mortgages b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 137,063 8,025 1,264 146,351 135,407 9,141 1,124 145,672 Transfer to stage 13,838 -3,823 -15 3,383 -3,362 -20 Transfer to stage 2-6,587 7,023 -436 -4,285 4,639 -355 Transfer to stage 3-257 -338 595 -293 -492 785 Additional drawdowns and partial repayments-14,064 -1,509 -232 -15,805 -6,011 1 1 -6,010 Originated or purchased22,879 22,879 22,178 22,178 Matured or repaid-2,421 -208 -31 -2,660 -13,317 -1,903 -265 -15,484 Write-offs-3 -3 -6 -6 Foreign exchange1 1 1 Balance at 31 December 140,450 9,169 1,143 150,762 137,063 8,025 1,264 146,351 1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI. Gross carrying amount of consumer loans b 2022 202111(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 9,348 1,037 409 10,794 9,707 1,068 456 11,232 Transfer to stage 1443 -433 -11 219 -205 -15 Transfer to stage 2-343 360 -17 -455 458 -3 Transfer to stage 3-50 -58 108 -53 -28 80 Additional drawdowns and partial repayments-340 -24 -11 -375 -1,203 -16 19 -1,201 Originated or purchased1,911 1,911 2,538 2,538 Matured or repaid-1,852 -134 -51 -2,037 -1,403 -250 -57 -1,710 Write-offs-65 -65 -69 -69 Foreign exchange3 4 4 1 5 Other movements -7 9 -2 Balance at 31 December 9,121 749 363 10,232 9,348 1,037 409 10,794 1 Including POCI.Gross carrying amount of corporate loans b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3Total3Balance at 1 January69,364 12,075 5,019 86,458 64,517 15,356 6,873 86,745 Transfer to stage 13,472 -3,388 -84 2,002 -1,947 -55 Transfer to stage 2-7,040 7,631 -591 -3,102 3,293 -191 Transfer to stage 3-557 -536 1,093 -540 -909 1,449 Additional drawdowns and partial repayments-3,391 1,449 175 -1,767 -19,948 1,047 11 -18,889 Originated or purchased23,683 23,683 46,463 46,463 Matured or repaid-16,920 -3,381 -1,431 -21,732 -21,258 -4,992 -2,216 -28,466 Write-offs-555 -556 -11 -19 -1,012 -1,042 Foreign exchange577 43 37 657 1,357 280 159 1,795 Other movements-84 71 1 -13 -116 -33 1 -149 Balance at 31 December 69,103 13,963 3,666 86,731 69,364 12,075 5,019 86,458 1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI. Gross carrying amount of off-balance b 2022 202111(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 50,199 6,019 1,271 57,488 51,194 6,183 1,275 58,653 Transfer to stage 11,960 -1,923 -37 995 -968 -27 Transfer to stage 2-2,801 2,958 -157 -1,352 1,430 -79 Transfer to stage 3-81 -82 164 -26 -261 287 Additional drawdowns and partial repayments-9,513 -668 -547 -10,728 -6,593 -248 - 111 -6,952 Originated or purchased10,701 10,701 8,251 8,251 Matured or repaid-549 -138 -687 -3,122 -182 -99 -3,403 Write-offsForeign exchange271 42 7 320 854 65 23 942 Other movements -3 -3 Balance at 31 December 50,187 6,209 700 57,095 50,199 6,019 1,271 57,488 1 Including POCI.Loan impairment charges and allowances \u2013 residential mortgages b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 8 22 52 82 14 44 58 116 Transfer to stage 16 -8 -1 -3 12 -15 -3 -6 Transfer to stage 2-2 20 -14 4 -1 15 -14 Transfer to stage 3-1 -2 21 17 -1 -5 27 21 1)Remeasurements-12 5 16 9 -10 15 5 Changes in models-1 -1 Changes in risk parameters17 28 12 57 -8 -11 -12 -31 Originated or purchased7 7 4 4 Matured or repaid-1 -7 -10 -18 -1 -6 -13 -19 Impairment charges (releases) on loans and advances13 35 25 73 -6 -21 -1 -28 Write-offs-3 -3 -6 -6 Unwind discount / unearned interest accrued1 1 1 1 Foreign exchange and other movements -1 Balance at 31 December 21 57 75 153 8 22 52 82 Impairment charges (releases) on loans and advances13 35 25 73 -6 -21 -1 -28 Recoveries and other charges (releases) -17 -17 -18 -18 Total impairment charges for the period 13 35 8 56 -6 -21 -19 -46 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loans b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 23 45 208 276 38 41 215 294 Transfer to stage 113 -17 -5 -9 9 -12 -3 -7 Transfer to stage 2-2 11 -9 -8 25 -19 -3 Transfer to stage 3-5 42 37 -2 -8 61 51 1Remeasurements-9 -1 37 27 -7 13 33 39 Changes in models-4 5 1 Changes in risk parameters3 3 6 12 -3 -2 -6 -12 Originated or purchased4 4 5 5 Matured or repaid-2 -1 -9 -12 -4 -2 -21 -27 Impairment charges (releases) on loans and advances7 -10 61 59 -11 8 50 47 Write-offs-65 -65 -69 -69 Unwind discount / unearned interest accrued5 5 4 4 Foreign exchange and other movements 2 3 -4 -3 8 Balance at 31 December 30 36 211 277 23 45 208 276 Impairment charges (releases) on loans and advances7 -10 61 59 -11 8 50 47 Recoveries and other charges (releases) -45 -45 -44 -44 Total impairment charges for the period 7 -10 16 14 -11 8 6 3 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 130 291 1,632 2,053 243 316 2,494 3,053 Transfer to stage 138 -49 -10 -21 19 -36 -5 -21 Transfer to stage 2-27 123 -84 11 -26 73 -16 31 Transfer to stage 3-15 -34 147 98 -9 -24 140 107 1)Remeasurements74 18 -156 -64 -101 27 500 425 Changes in models-1 -6 -8 -15 Changes in risk parameters24 25 12 61 -19 -22 -13 -54 Originated or purchased44 44 46 46 Matured or repaid-10 -18 -60 -88 -14 -10 -539 -563 Impairment charges (releases) on loans and advances127 65 -152 41 -104 2 59 -44 Write-offs-555 -556 -11 -19 -1,012 -1,042 Unwind discount / unearned interest accrued25 25 16 16 Foreign exchange and other movements-1 -55 82 27 2 -7 74 69 Balance at 31 December 256 301 1,033 1,590 130 291 1,632 2,053 Impairment charges (releases) on loans and advances127 65 -152 41 -104 2 59 -44 Recoveries and other charges (releases) -42 -42 -79 -79 Total impairment charges for the period 127 65 -194 -1 -104 2 -21 -124 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 17 20 116 153 16 10 21 48 Transfer to stage 16 -8 -2 1 -3 -1 Transfer to stage 2-2 5 4 -2 9 7 Transfer to stage 3-1 1 1Remeasurements-4 -115 -120 7 94 101 Changes in risk parameters1 1 2 Originated or purchased12 12 6 6 Matured or repaid-4 -3 -7 -5 -3 -11 -18 Impairment charges (releases) 9 -4 -114 -110 1 10 83 94 Write-offs-1 -2 -3 Foreign exchange and other movements 8 8 14 14 Balance at 31 December 25 16 10 51 17 20 116 153 Impairment charges (releases) on off-balance9 -4 -114 -110 1 10 83 94 2Other charges (releases) 82 82 22 22 Total impairment charges for the period 9 -4 -32 -28 1 10 105 116 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 These charges (releases) relate to the off-balance sheet items that do not fall within the scope of IFRS 9 and for which stage information is not applicable.3 Including POCI.Forbearance credit quality b 31 December 2022Forborne assets Forborne Total not past due and assets past due, Impaired forborne not stage 3 but not stage 3 forborne Specific Collective Total (in millions)assetsor POCIor POCIassetsallowanceallowanceallowanceLoans and advances banksResidential mortgages1,072 622 69 382 34 34 Consumer loans181 87 5 88 4 54 58 1Corporate loans5,655 3,129 88 2,439 515 154 669 1Other loans and advances customers1Total loans and advances customers6,909 3,838 162 2,909 519 242 760 1Total loans and advances6,909 3,838 162 2,909 519 242 760 1 Excluding loans at fair value through P&L.31 December 2021Forborne assets Forborne Total not past due assets past due, Impaired forborne and not stage 3 but not stage 3 forborne Specific Collective Total (in millions)assetsor POCIor POCIassetsallowanceallowanceallowanceLoans and advances banksResidential mortgages3,080 2,524 93 464 29 29 Consumer loans235 109 8 11 8 4 80 85 1Corporate loans7,870 4,582 13 3,276 724 186 910 1Other loans and advances customers1Total loans and advances customers11,186 7,215 114 3,857 729 295 1,024 1Total loans and advances11,186 7,215 114 3,857 729 295 1,024 1 Excluding loans at fair value through P&L.Forborne assets by geography b 31 December 2022The Rest of Rest of (in millions)NetherlandsEurope USA Asiathe world TotalLoans and advances banksResidential mortgages1,064 8 1,072 Consumer loans147 34 181 1Corporate loans4,513 930 78 2 132 5,655 1Other loans and advances customers1Total loans and advances customers5,725 972 78 3 132 6,909 1Total loans and advances5,725 972 78 3 132 6,909 1 Excluding loans at fair value through P&L.31 December 2021The Rest of Rest of (in millions)NetherlandsEurope USA Asiathe world TotalLoans and advances banksResidential mortgages3,073 7 1 3,080 Consumer loans213 21 1 235 1Corporate loans6,186 1,265 106 3 310 7,870 1Other loans and advances customers1Total loans and advances customers9,473 1,293 106 3 311 11,186 1Total loans and advances9,473 1,293 106 3 311 11,186 1 Excluding loans at fair value through P&L.Forborne assets by business segment b (in millions) 31 December 2022 31 December 2021Personal & Business Banking2,358 8,672 Wealth Management243 229 Corporate Banking4,307 2,285 Total forborne assets 6,909 11,186 Maturity overview of assets and liabilities b The following table shows financial assets and liabilities arranged by the earliest possible contractual maturity. Contractual maturity of assets and liabilities b 31 December 2022Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets Cash and balances at central banks60,865 60,865 Financial assets held for trading28 32 90 49 64 56 251 337 907 Derivatives1 4,831 6 36 14 32 292 5,212 Financial investments594 1,204 1,232 3,024 3,903 5,367 12,437 10,647 626 39,034 Securities financing548 15,293 3,146 1,045 20,032 Loans and advances banks1,296 864 78 31 714 2,982 Loans and advances customers17,949 7,258 5,659 3,694 8,851 14,580 32,588 153,348 243,927 Other assets2,688 2,107 1,242 94 30 386 73 6,622 Total assets 83,968 4,831 26,765 11,369 7,907 12,884 20,096 45,725 165,411 626 379,581 Liabilities Financial liabilities held for trading2 92 1 55 7 23 209 252 641 Derivatives1 3,671 24 1 2 19 22 63 346 4,148 Securities financing419 9,034 200 9,652 Due to banks1,568 912 235 11,327 130 3,070 11 5 152 17,509 Due to customers223,772 15,755 3,747 1,657 1,670 422 1,484 6,507 255,015 Issued debt 3,665 10,261 1,052 4,074 3,585 9,913 23,709 56,259 - of which senior secured 20 154 1,779 1,816 2,618 17,393 23,781 - of which senior unsecured 26 81 2,270 1,768 7,295 6,315 17,755 - of which other 3,639 10,160 898 25 14,723 Subordinated liabilities 1,027 1,401 103 3,731 1,028 7,290 Other liabilities2,810 2,620 430 27 18 330 18 6,253 Total liabilities 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 356,767 Total equity 22,814 22,814 Total liabilities and equity 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 22,814 379,581 Off-balance sheet liabilities Committed credit facilities53,873 53,873 Guarantees and other commitments7,651 7,651 Total off-balance sheet liabilities 61,524 61,524 31 December 2021Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets Cash and balances at central banks66,865 66,865 Financial assets held for trading7 12 81 69 315 50 238 381 1,155 Derivatives 2,975 9 12 22 64 703 3,785 Financial investments1,353 975 1,989 1,185 5,066 6,083 14,131 11,801 580 43,165 Securities financing716 13,142 2,192 88 16,138 Loans and advances banks912 334 375 258 124 72 726 2,801 Loans and advances customers26,837 6,483 5,732 2,630 8,360 14,282 32,176 161,750 258,251 Other assets4,772 1,699 353 11 3 16 1 6,955 Total assets 101,462 2,975 22,647 10,348 4,471 14,028 20,561 46,681 175,362 580 399,113 LiabilitiesFinancial liabilities held for trading 24 1 13 61 178 409 687 Derivatives6 3,545 9 36 8 29 73 168 470 4,344 Securities financing498 8,394 603 9,494 Due to banks1,049 1,403 107 312 14 31,889 2,910 392 38,076 Due to customers232,973 8,594 1,562 503 253 311 1,300 5,723 251,218 Issued debt51 6,081 5,410 2,187 2,550 4,420 11,684 27,306 59,688 - of which senior secured 54 1,045 105 1,633 1,963 4,126 22,413 31,338 - of which senior unsecured - 3 25 1,985 1,433 826 2,456 7,557 4,893 19,172 - of which other 5,011 3,320 753 92 9,177 Subordinated liabilities 537 1,045 11 2 2,308 3,547 7,549 Other liabilities2,730 2,462 386 92 20 334 21 14 6,059 Total liabilities237,306 3,545 26,943 8,128 3,638 3,925 37,199 18,568 37,862 377,114 Total equity 21,999 21,999 Total liabilities and equity 237,306 3,545 26,943 8,128 3,638 3,925 37,199 18,568 37,862 21,999 399,113 Off-balance sheet liabilities Committed credit facilities54,642 54,642 Guarantees and other commitments7,598 7,598 Total off-balance sheet liabilities 62,240 62,240 Maturity based on contractual undiscounted cash flows b The following tables show financial assets and liabilities arranged by the earliest possible contractual maturity. 31 December 2022Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets: Cash and balances at central banks60,865 60,865 Financial assets held for trading28 32 91 51 68 64 262 347 944 Derivatives1 4,831 28 84 210 404 670 1,434 1,663 9,325 Financial investments594 1,224 1,309 3,203 4,197 5,812 13,001 11,127 626 41,092 Securities financing548 15,305 3,155 1,049 20,056 Loans and advances banks1,296 868 9 22 41 150 191 877 3,453 Loans and advances customers17,949 7,492 6,558 5,879 12,829 21,534 46,385 166,989 285,614 Other assets2,688 2,108 1,242 95 31 2 388 74 6,627 Total undiscounted assets 83,968 4,831 27,057 12,448 10,508 17,571 28,231 61,660 181,077 626 427,978 Of which: Gross settled derivatives not held for trading:Contractual amounts receivable 17 42 31 87 142 411 282 1,012 Contractual amounts payable 10 17 34 66 127 354 230 837 Total undiscounted gross settled derivatives not held for trading 7 25 -3 21 15 57 52 175 Net settled derivatives not held for trading 52 160 80 392 940 2,529 4,247 8,401 Liabilities: Financial liabilities held for trading2 92 1 57 11 29 219 261 674 Derivatives1 3,671 60 135 337 633 1,120 2,292 2,596 10,844 Securities financing419 9,038 200 9,657 Due to banks1,568 911 230 11,320 125 3,068 11 3 151 17,488 Due to customers223,772 15,757 3,752 1,666 1,684 446 1,531 6,553 255,161 Issued debt 3,707 10,407 1,358 4,603 4,474 11,468 25,183 61,198 Subordinated liabilities 1,041 1,449 200 181 343 4,007 1,202 8,424 Other liabilities2,810 2,616 427 23 11 329 17 6,234 Total liabilities 228,572 3,671 33,223 16,602 14,961 7,249 9,809 19,647 35,946 369,681 - of which: Gross settled derivatives not held for trading:Contractual amounts receivable 677 247 53 82 29 7 1,096 Contractual amounts payable 165 133 69 110 64 16 558 Total undiscounted gross settled derivatives not held for trading -512 -114 16 28 36 9 -537 Net settled derivatives not held for trading 54 120 273 480 271 213 809 2,222 Net liquidity gap-144,604 1,161 -6,165 -4,154 -4,453 10,321 18,422 42,013 145,131 626 58,297 Off-balance sheet liabilities Committed credit facilities53,873 53,873 Guarantees and other commitments7,651 7,651 Total off-balance sheet liabilities 61,524 61,524 31 December 2021Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets Cash and balances at central banks66,865 66,865 Financial assets held for trading7 13 83 72 320 57 249 391 1,191 Derivatives2,975 64 258 649 1,207 2,221 4,825 5,376 17,575 Financial investments1,353 995 2,066 1,367 5,370 6,540 14,706 12,288 580 45,266 Securities financing716 13,145 2,193 88 16,142 Loans and advances banks912 330 -13 347 220 63 -57 595 2,397 Loans and advances customers26,837 6,726 6,670 4,915 12,542 21,631 46,892 176,333 302,544 Other assets4,772 1,700 353 113 16 1 6,955 Total undiscounted assets 101,462 2,975 22,972 11,610 7,552 19,675 30,513 66,614 194,984 580 458,936 Of which: Gross settled derivatives not held for trading:Contractual amounts receivable 11 3 36 7 2 2 6 6 172 Contractual amounts payable 45 5 6 9 8 9 13 95 Total undiscounted gross settled derivatives not held for trading 68 31 2 -8 -6 -3 -7 77 Net settled derivatives not held for trading 201 4 53 69 202 384 1,088 2,002 Liabilities Financial liabilities held for trading 1 25 3 18 69 192 422 731 Derivatives6 3,545 50 200 401 750 1,297 2,382 2,607 11,238 Securities financing498 8,394 603 9,494 Due to banks1,049 1,395 76 236 -130 31,850 2,894 385 37,754 Due to customers232,973 8,595 1,563 506 260 322 1,323 5,746 251,288 Issued debt51 6,116 5,535 2,469 3,051 5,267 13,157 28,704 64,350 Subordinated liabilities 16 64 692 1,295 561 3,011 4,188 9,827 Other liabilities2,730 2,459 384 89 15 333 20 13 6,042 Total liabilities 237,306 3,545 27,027 8,451 4,396 5,259 39,698 22,977 42,066 390,725 - of which: Gross settled derivatives not held for trading:Contractual amounts receivable 45 13 10 20 37 96 11 6 339 Contractual amounts payable 14 5 18 39 35 42 50 203 Total undiscounted gross settled derivatives not held for trading -32 -8 8 19 -2 -54 -66 -135 Net settled derivatives not held for trading 55 131 151 321 601 1,474 1,998 4,732 Net liquidity gap -135,844 -569 -4,055 3,159 3,156 14,416 -9,186 43,637 152,918 580 68,211 Off-balance sheet liabilities Committed credit facilities54,642 54,642 Guarantees and other commitments7,598 7,598 Total off-balance sheet liabilities 62,240 62,240 Expected maturity based on behavioural models b The following table provides an overview of the amounts expected to be settled within twelve months and after twelve months, based on the behavioural maturity profile. 31 December 2022 31 December 2021Up to More than Up to More than (in millions)one yearone year Totalone yearone year TotalAssets Cash and balances at central banks60,865 60,865 66,865 66,865 Financial assets held for trading907 907 1,155 1,155 Derivatives4,831 381 5,212 2,975 810 3,785 Financial investments9,848 29,186 39,034 10,596 32,568 43,165 Securities financing19,117 916 20,032 15,827 311 16,138 Loans and advances banks1,732 1,250 2,982 1,766 1,034 2,801 Residential mortgages14,377 126,744 141,121 14,385 133,326 147,711 Consumer loans2,305 7,650 9,955 3,279 7,240 10,518 Corporate loans at amortised cost36,896 48,398 85,295 36,117 48,797 84,915 Corporate loans at fair value through P&L28 37 66 42 57 99 Other loans and advances customers6,789 703 7,491 13,331 1,677 15,008 Equity-accounted investments 474 474 564 564 Property and equipment673 315 988 545 627 1,172 Goodwill and other intangible assets108 108 25 102 127 Assets held for sale13 13 89 89 Tax assets565 565 739 739 Other assets323 4,150 4,473 1,306 2,957 4,263 Total assets 159,377 220,204 379,581 169,044 230,069 399,113 Liabilities Financial liabilities held for trading641 641 687 687 Derivatives3,671 477 4,148 3,545 799 4,344 Securities financing8,822 830 9,652 8,397 1,097 9,494 Due to banks13,847 3,662 17,509 2,033 36,043 38,076 Current accounts15,126 106,905 122,030 47,577 85,406 132,983 Demand deposits 100,397 100,397 18,208 80,582 98,790 Time deposits21,611 8,485 30,096 11,174 7,606 18,780 Other due to customers198 2,293 2,491 89 576 665 Issued debt19,298 36,961 56,259 16,530 43,158 59,688 Subordinated liabilities2,520 4,770 7,290 1,563 5,985 7,549 Provisions1,030 13 1,044 1,201 1,201 Tax liabilities22 22 101 101 Other liabilities 5,187 5,187 1,644 3,113 4,757 Total liabilities 86,787 269,980 356,767 112,749 264,365 377,114 The behavioural maturity profile is based on internally developed liquidity risk models. These models cover residential mortgages, consumer and corporate loans, non-maturing assets (mainly current accounts), credit cards, non-maturing liabilities (demand deposits and current accounts) and term deposits. The liquidity risk models predict the behavioural cash flows, which can differ from the contractual cash flows as a result of, for example, prepayments or because some products do not have a defined contractual maturity date. The models are based on historically observed client behaviour and use a combination of internal and external risk drivers. The models are used for monitoring the bank\u2019s liquidity mismatch position. The liquidity risk models are included in the bank\u2019s model risk management framework. This means that the models have to follow a regular monitoring and validation schedule. Approval of the models is given by the Methodology Acceptance Group (MAG) ALM/T, based on independent advice from Model Validation. 31 December 2022 Hedge Total Derivatives held for trading Economic hedges accounting derivatives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 51 51 Fair value liabilities 10 10 Notionals 15,853 5 15,858 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,331,761 886 101,439 1,434,086 Other bilateral Fair value assets 4,035 742 3 46 312 23 5,161 Fair value liabilities 2,841 817 3 95 48 334 4,138 Notionals 206,343 54,289 241 661 17,468 89,813 368,814 Total Fair value assets 4,086 742 3 46 312 23 5,212 Fair value liabilities 2,851 817 3 95 48 334 4,148 Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 31 December 2021 Hedge Total deriva-Derivatives held for trading Economic hedges accounting tives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 4 4 Fair value liabilities 3 3 Notionals 4,217 9 1 4,226 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,026,420 1,195 106,305 1,133,920 Other bilateral Fair value assets 2,385 509 78 68 177 13 552 3,781 Fair value liabilities 2,865 563 113 143 11 8 3 535 4,341 Notionals 148,764 48,213 1,498 1,048 10,621 74 59,651 269,869 Total Fair value assets 2,388 509 78 68 177 13 552 3,785 Fair value liabilities 2,866 567 113 143 11 8 3 535 4,344 Notionals 1,179,401 48,222 1,499 2,243 10,621 74 165,956 1,408,016 16 Hedge accounting Accounting policy for hedge accounting ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties to hedge risks on assets, liabilities and net investments. The accounting treatment of the hedged item and the hedging instrument depends on whether the hedge relationship qualifies for hedge accounting. Qualifying hedges may be designated as fair value hedges, cash flow hedges or hedges of net investments. A non-derivative financial asset or liability may be designated as a hedging instrument for hedge accounting purposes only if it hedges the risk of changes in foreign currency exchange rates. The hedged item can be an asset, liability, or net investment in a foreign operation that (a) exposes the entity to the risk of changes in fair value or future cash flows, and (b) is designated as being hedged. The hedged risks are typically changes in interest rates or foreign currency rates. ABN AMRO\u2019s market risk management strategy, which includes interest rate risk and foreign currency risk in the banking book, is described in more detail in the Risk, funding & capital management section. Both at the inception of the hedge and on an ongoing basis, ABN AMRO assesses whether the derivatives designated in each hedging relationship are expected to be and have been highly effective in offsetting changes in the fair value or cash flows of the hedged item. These prospective and retrospective effectiveness tests are performed by using a regression analysis. ABN AMRO applies the following criteria to assess whether the hedging relationship is effective: \u00c5 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and \u00c5 A slope of the regression line is within a range of 0.80-1.25. Hedge ineffectiveness and gains and losses on components of a derivative that are excluded from the assessment of hedge effectiveness are recorded directly in the result from financial transactions as part of other operating income. ABN AMRO discontinues hedge accounting when the hedge relationship has ceased to be effective or is no longer expected to be effective, or when the derivative or hedged item is sold or otherwise terminated. Application of IAS 39 as endorsed by the European Union As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39 as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9. The EU-endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared to the full hedge accounting text of IAS 39. One of these reliefs is that negative credit spreads can be excluded from hedge relationships. ABN AMRO applies this to several micro fair value hedge relationships. Another relief is that the impact of changes in the estimates of the repricing dates is considered ineffective only if it leads to over-hedging. This relief is applied in the macro fair value hedge. Fair value hedges ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges the exposure to changes in the fair value of the hedged item, the hedged item is adjusted in relation to the risk being hedged. Gains or losses on remeasurement of both the hedging instrument and the hedged item are recognised in the income statement as result from financial transactions, which is part of the line item Other operating income. Hedge effectiveness for fair value hedges is measured as the amount by which the changes in the fair value of the hedging instrument are different from the changes in the fair value of the hedged item. When a fair value hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged item is derecognised. Micro fair value hedge accounting Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes in the fair value of fixed-rate assets and fixed-rate liabilities due to changes in market interest rates. The main sources of hedge ineffectiveness in micro fair value hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; \u00c5 The difference in discounting between the hedged item and the hedging instrument; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. Macro fair value hedge accounting ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps. The exposure from this portfolio frequently changes due to new loans originated, contractual repayments and prepayments made by clients in each period. More than one group (or portfolio) of mortgages can be identified as the hedged item within the fixed-rate mortgage portfolio. To ensure an effective matching of hedged items and hedging instruments, ABN AMRO applies a dynamic strategy in which hedged items are de-designated and re-designated on a monthly basis. The hedge accounting relationship is reviewed and re-designated on a monthly basis. Hedged mortgages are fixed-rate mortgages with the following features: \u00c5 denominated in local currency (euros); \u00c5 fixed term to maturity or repricing; \u00c5 pre-payable amortising or fixed principal amounts; \u00c5 fixed interest payment dates; \u00c5 no interest rate options; \u00c5 accounted for on an amortised cost basis. At each designation, the mortgage cash flows are allocated to monthly time buckets, based on the expected maturity dates. ABN AMRO models the maturity dates of mortgages, taking into account the modelled prepayments applied to the contractual cash flows and the maturity dates of the mortgage portfolio. If the interest rate swap notional exceeds the expected mortgage notional in any given month, taking into account the uncertainty of the expected mortgage notional by applying a haircut, mortgages that mature in adjacent buckets are designated to the interest rate swaps. Changes in the fair value of the mortgages that are attributable to the hedged interest rate risk are recognised as fair value adjustments from hedge accounting in the income statement and adjust the carrying amount of the mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value of the interest rate swaps and therefore reduce the profit or loss volatility that would otherwise arise from changes in the fair value of the interest rate swaps alone. At the start of the hedge relationships and at each monthly de-designation, the difference between the fair value attributable to the hedged interest rate risk and the carrying amount of the hedged mortgages is amortised over the remaining life of the hedged item. In addition to the sources of ineffectiveness described for micro fair value hedges, the sources of ineffectiveness specifically for macro hedges are: \u00c5 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent the difference would lead to over-hedging; and \u00c5 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages). Cash flow hedges ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or re-designated, if necessary, to maintain an effective hedge accounting relationship. When a derivative financial instrument hedges the exposure to variability in the cash flows from a hedged item, the effective part of any gain or loss on remeasurement of the hedging instrument is recognised directly in other comprehensive income. Hedge effectiveness for the macro cash flow hedge is measured as the amount by which the changes in the fair value of the interest rate swaps are in excess of changes in the fair value of the expected cash flows in the hedge relationship. Any ineffective part of the cash flow hedge is recognised in other operating income immediately. When a cash flow hedging instrument or hedge relationship is terminated but the hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised in other comprehensive income and are transferred to the income statement when the hedged transaction affects profit or loss. The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that the hedged transaction is no longer expected to occur, the accumulated gains or losses recognised in other comprehensive income are recognised in the income statement immediately. The main sources of hedge ineffectiveness for cash flow hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. The hedged items in the macro cash flow hedge are future cash flows, which are derived from the projected balance sheet. This projected balance sheet takes the contractual terms and conditions of financial assets and liabilities and combines these with estimated prepayments, volume growth rates and interest scenarios. Within the projected balance sheet, assets and liabilities are grouped on the basis of the specific interest rate index on which they reprice (e.g. one month, three months, six months, twelve months). For each repricing index, all assets and liabilities are allocated on a gross basis to monthly buckets in which they reprice up until their maturity. The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped per interest rate index and allocated to monthly repricing buckets until their maturity. The hedge relationship is established by designating the interest rate swap cash flows per bucket to the corresponding bucket of projected cash flows of the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If there are no projected cash flows available in the corresponding bucket for the applicable benchmark rate, the interest rate swap cash flows are designated to projected cash flows in a bucket with a different benchmark. The availability of projected cash flows in the buckets is not constant over time and is therefore evaluated on a monthly basis. Changes in cash flow projections may lead to a revision of the designation. Back-testing is performed on the interest rate risk models. Historical data are used to review the assumptions applied. Hedges of net investments in foreign operations ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net investments in foreign operations. For such hedges, currency translation differences arising on translation of the currency of these instruments to euros are recognised directly in the currency translation reserve in other comprehensive income, insofar as they are effective. The accumulated gains or losses recognised in other comprehensive income are transferred to the income statement on the disposal of the foreign operation. In previous years, ABN AMRO hedged its currency exposure to certain investments in foreign operations by hedging its net investment in these foreign operations with forward contracts. ABN AMRO currently still holds some currency translation reserve for these respective positions, but no longer applies net investment hedge accounting. Hedges not qualifying for hedge accounting The fair value changes of derivative transactions used to hedge against economic risk exposures that do not qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised directly in profit or loss. Effect on financial position and performance - hedging instruments Changes in fair value Line item in the used for calculation Notional statement of hedge ineffectiveness amount Carrying amount financial position for the year (in millions) Assets Liabilities 31 December 2022 Cash flow hedges - macro Interest rate 50,106 Derivatives 777 Fair value hedges - macro Interest rate 47,759 Derivatives 11,020 Fair value hedges - micro Interest rate 93,387 23 334 Derivatives -4,007 Economic hedges Total economic hedges 19,014 358 143 Derivatives n/a 31 December 2021 Cash flow hedges - macro Interest rate 25,269 Derivatives 443 Fair value hedges - macro Interest rate 46,278 Derivatives 1,610 Fair value hedges - micro Interest rate 94,409 552 535 Derivatives -1,063 Economic hedges Total economic hedges 12,938 258 264 Derivatives n/a The deltas in the hedge accounting numbers are largely caused by interest rate developments in 2022. Starting Q2 2022 a hedge relationship was in place for the TLTRO programme. After the change in conditions by ECB in Q4 2022 the hedge relationship had to be terminated. All hedge adjustments have been reverted and the result on the hedges are reported under other income. Please refer to Note 6, Net income from other operating activities, for further details. Effect on financial position and performance - hedged item Change in value used Accumulated Line item in for calculating Cash flow hedge amount of fair value the statement hedge reserve/Foreign Carrying amount hedge adjustments of financial ineffectiveness currency translation of the hedged item on the hedged item position for the year reserve Continuing Discontin-Assets Liabilities Assets Liabilities hedges ued hedges active and active and active and active and (in millions) discontinued discontinued discontinued discontinued 31 December 2022 Cash flow hedges - macro Interest rate -763 11 3 -1,388 Fair value hedges - macro Residential Interest rate - Financial assets at AC 38,270 -9,489 mortgages -10,873 Fair value hedges - micro Interest rate - Financial assets at Financial FVOCI 34,276 -3,119 investments -4,778 Corporate & Interest rate - Financial assets at AC 762 154 Other loans -357 Issued debt & Interest rate - Financial liabilities Subordinated at AC 48,473 -6,700 liabilities 9,025 Net investment hedges Currency -42 31 December 2021 Cash flow hedges - macro Interest rate -449 -690 -1,386 Fair value hedges - macro Interest rate - Financial assets at AC Residential 46,278 1,442 mortgages -1,603 Fair value hedges - micro Interest rate - Financial assets at Financial FVOCI 37,547 1,636 investments -1,389 Interest rate - Financial assets at AC Corporate & 1,088 509 Other loans -142 Interest rate - Financial liabilities Issued debt & Subordinated at AC 59,336 2,230 liabilities 2,548 Net investment hedges Currency -42 The accumulated amount of fair value hedge adjustments remaining in the statement of financial position for hedged items that have ceased to be adjusted for hedging gains and losses amounted to EUR -0.9 billion at 31 December 2022 (31 December 2021: EUR 0.2 billion). Effect on financial position and performance - hedge ineffectiveness and hedging gains or losses Amount re-Amount Changes in classified from reclassified fair value used Change in Change in the cash flow from the for calculation value used for Line item in the value of hedge reserve foreign Line item hedge calculating hedge Hedge profit or loss the hedging to profit or loss currency affected in profit ineffectiveness ineffectiveness ineffectivenes (that includes instrument - hedges item translation or loss because for the year - for the year - recognised in hedge ineffec-recognised affected profit reserve to of the 1 2 (in millions) hedged item hedging instrument profit or loss tiveness) in OCIor lossprofit or loss reclassification 31 December 2022 Cash flow hedges - macro Other operating Net interest Interest rate -763 777 14 income 762 39 income Fair value hedges - macro Other operating Interest rate -10,873 11,020 147 income Fair value hedges - micro Other operating Interest rate 3,891 -4,007 -116 income Net investment hedges Other operating Currency income 31 December 2021 Cash flow hedges - macro Other Interest rate operating Net interest -449 443 -6 income 451 -54 income Fair value hedges - macro Other Interest rate operating -1,603 1,610 7 income Fair value hedges - micro Other Interest rate operating 1,018 -1,063 -45 income Net investment hedges Other operating Currency income 1 The amount reconciles to \u2018Net gains/(losses) arising during the period\u2019 in the specification of \u2018Accumulated other comprehensive income\u2019 in the consolidated statement of equity. 2 The amount reconciles to \u2018Less: Net realised gains/(losses) included in income statement\u2019 in the specification of \u2018Accumulated other comprehensive income\u2019 in the consolidated Amount, timing and uncertainty of future cash flows - hedging instruments More than More than More than Within 3 months but 1 year but 5 years but More than (in millions, nominal amounts) 3 months within 1 year within 5 years within 10 years 10 years Total 31 December 2022 Fair value hedges - micro Payers - Interest rate 1,613 4,368 18,106 8,437 5,388 37,913 Receivers - Interest rate 2,658 4,258 17,772 13,041 17,746 55,475 31 December 2021 Fair value hedges - micro Payers - Interest rate 1,195 4,508 19,213 7,372 4,399 36,687 Receivers - Interest rate 4,818 5,508 20,114 10,945 16,337 57,721 The weighted average fixed rate of the interest rate swaps included in micro hedge relationships varied between 1.4% and 2.0% as at 31 December 2022 (1.4% and 2.1% as at 31 December 2021), depending on the origination date, currency, product type and original maturity. Interest rate benchmark reform ABN AMRO has analysed its significant hedging relationships directly affected by the benchmark reform. Most of ABN AMRO\u2019s financial instruments are linked to euro area benchmarks and, as a result, so are its hedging relationships. Of the non-euro area benchmarks relevant for ABN AMRO, all benchmarks other than USD LIBOR already reformed before 2022. As a consequence, ABN AMRO\u2019s hedging relationships affected by the IBOR reform comprise only a small percentage of its total hedging relationships. A total of EUR 191.3 billion of notional derivatives were part of hedging relationships at 31 December 2022, of which EUR 175.5 billion was linked to EURIBOR and EUR 15.7 billion to other benchmarks. Of the derivative contracts linked to a non-EURIBOR benchmark, a notional amount of EUR 9.9 billion will mature before cessation of the reference benchmark. These contracts are therefore not affected by the IBOR reform. A remaining total of EUR 5.8 billion notional is exposed to benchmarks under reform. The contracts exposed to benchmarks under reform have an average maturity of 2.6 years and are all referencing 3-months USD LIBOR. At the year-end, an exposure remained to IBOR rates subject to reform that still have to transition. Trades that refer to an IBOR rate, but mature before a transition is required are excluded from the overview. For non-derivative asset contracts, contracts referring to USD LIBOR amounted to EUR 3.7 billion. For non-derivative liability contracts, there were no contracts referring to a USD LIBOR at year-end 2022. For derivative contracts, contracts referring to USD LIBOR amounted to EUR 53.9 billion notional (gross value, hence no offsetting effects shown), of which EUR 19.9 billion has no exposure to USD LIBOR after cessation date. The exposure after cessation date is EUR 34.0 billion, of which EUR 8.4 billion relates to bilateral contracts.", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialRiskManagementExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-12-3": { "value": "Regulatory capital (CRD V/CRR2) b Under the Basel framework as implemented in European legislation (CRD V and CRR2), banks are required to hold capital to cover for financial and non-financial risks. As an intermediate step in determining the minimum level of capital, banks need to calculate risk exposure amounts for three major risk types (credit, operational and market risk). The outcome of the internal models serve as input for this calculation. The capital requirements are stated as a percentage of RWA. Under Pillar 1, banks are required to hold a regulatory fixed percentage of RWA in capital. Under Pillar 2, supervisors impose a bank-specific percentage of RWA in addition to the Pillar 1 requirement. Capital structureRegulatory capital structure b(in millions) 31 December 2022 31 December 2021Total equity (EU IFRS) 22,814 21,999Cash flow hedge reserve946 1,540Dividend reserve-601 -573AT1 capital securities (EU IFRS)-1,985 -1,987Share buyback reserve-500 -500Regulatory and other adjustments-1,167 -1,273Common Equity Tier 1 19,507 19,206AT1 capital securities (EU IFRS)1,985 1,987Regulatory and other adjustments-3 -5Tier 1 capital21,489 21,188Subordinated liabilities (EU IFRS)7,290 7,549Regulatory and other adjustments-1,842 -2,413Tier 2 capital5,449 5,136Total regulatory capital 26,938 26,324Regulatory capital flow statement b(in millions)2022 2021Common Equity Tier 1 capitalBalance at 1 January19,206 19,548Addition of net profit attributable to owners of the parent company1,868 1,231Reserved dividend-601 -573Interim dividend paid-287Other, including regulatory adjustments-678 -999Balance at 31 December 19,507 19,206Additional Tier 1 capitalBalance at 1 January1,982 1,982Newly issued Tier 1 eligible capital instrumentsRedeemed Tier 1 eligible capital instrumentsBalance at 31 December1,982 1,982Tier 1 capital 21,489 21,188Tier 2 capitalBalance at 1 January5,136 4,664New issued Tier 2 eligible capital instruments1,524 879Redeemed Tier 2 ineligible capital instruments-996 -278Other, including regulatory adjustments-216 -129Balance at 31 December 5,449 5,136Total regulatory capital 26,938 26,324RWA b(in millions) 31 December 2022 31 December 2021Credit risk110,621 99,976- of which standardised 10,203 9,946- of which advanced 100,418 90,030Operational risk 15,967 16,049- of which standardised 533 604- of which advanced 15,434 15,444Market risk 2,005 1,668- of which standardised 2 6- of which advanced 2,003 1,662Total RWA 128,593 117,693Capital instruments b31 December 2022 31 December 2021First possible Nominal Carrying Nominal Carrying (in millions) ISIN/CUSIP Maturity datecall dateamountamountamountamount1Tier 1EUR 1,000 million 4.375% per annumXS2131567138 Perpetual September 2025 1,000 991 1,000 993EUR 1,000 million 4.75% per annumXS1693822634 Perpetual September 2027 1,000 994 1,000 994Total Tier 1 capital instruments 2,000 1,985 2,000 1,987Tier 2USD 113 million 7.75% per annumUS00080QAD79 / USN0028HAP03 May 2023 106 103 100 101USD 1,500 million 4.75% per annumUS00080QAF28 / XS1264600310 July 2025 1,405 1,360 1,324 1,402USD 1,000 million 4.8% per annumUS0008DAL47 / XS1392917784 April 2026 937 868 883 901EUR 1,000 million 2.875% per annumXS1346254573 January 2028 January 2023 1,000 1,027 1,000 1,035USD 1,500 million 4.4% per annumXS1586330604 March 2028 March 20231,405 1,392 1,324 1,358USD 300 million 5.6% per annumXS1385037558 April 2031 281 249 265 279SGD 750 million 5.5% per annumXS2498035455 October 2032 July 2027 524 520EUR 1,000 million 5.125% per annumXS2558022591 February 2033 November 2027 1,000 979USD 1,000 million 3.324% per annumXS2415308761 / US00084DAV29 March 2037 December 2031 937 778 883 876EUR various smaller instruments2023 -2025 14 14 14 15USD 595 million 6.250% per annumXS0619547838 April 2022 525 537EUR 1,000 million 7.125% per annumXS0802995166 July 2022 1,000 1,045Total Tier 2 capital instruments 7,609 7,290 7,317 7,549- of which eligible for regulatory capital:Basel III, Tier 1 (fully-loaded)2,000 2,000Basel III, Tier 2 (fully-loaded) 5,449 5,1361 AT1 capital securities. For both AT1 instruments, the CET1 Trigger levels are 7.0% for ABN AMRO Bank level, and 5.125% for ABN AMRO Bank solo level. The amount of available distributable items for ABN AMRO Bank N.V. per 31 December 2022 totals EUR 19.8 billion (31 December 2021: EUR 18.7 billion).Movements in subordinated liabilities b2022 2021(in millions) Carrying amount Carrying amountBalance as at 1 January 7,549 8,069Cash flowsIssuance1,540 910Redemption-1,602 -1,514Non-cash changesForeign exchange differences360 367Other-556 -283Balance as at 31 December 7,290 7,549Minimum capital requirementsThe Pillar 1 capital requirement is the absolute minimum amount of capital required to cover the three major types of risk a bank faces: credit risk, operational risk and market risk, as determined in the Capital Requirements Directive (CRD) IV Pillar 1 framework. The following table provides an overview of RWA and minimum capital requirements per risk type, category of exposure and regulatory approach.Minimum capital requirements31 December 2022 31 December 2021(in millions) Capital requirement RWA Capital requirement RWACredit risk IRBCentral governments and central banks67 8401Institutions148 1,847 127 1,589Corporates4,280 53,501 4,177 52,211Retail1,351 16,891 1,326 16,574- of which secured by immovable property 1,235 15,431 1,188 14,847- of which qualifying revolving exposures 11 136 11 140- of which other retail 106 1,323 127 1,588Equities not held for trading247 3,091 269 3,364Securitisation positions20 253 9 116Credit valuation adjustment2Other1,987 24,835 1,227 15,336Total credit risk IRB 8,033 100,418 7,202 90,030Credit risk SACentral governments and central banks41 515 21Institutions75 939 100 1,248Corporates468 5,854 451 5,636Retail182 2,272 200 2,495Secured by mortgages on immovable property12 152 12 145Exposures in default13 158 14 173Credit valuation adjustment22 274 16 2022Other3 39 4 46Total credit risk SA 816 10,203 796 9,946Other risksMarket risk160 2,005 133 1,668- of which Standardised Approach 2 1 6- of which Internal Model Approach 160 2,003 133 1,662Operational risk1,277 15,967 1,284 16,0493- of which Standardised Approach43 533 48 604- of which Advanced Measurement Approach 1,235 15,434 1,236 15,444Total other risks 1,438 17,973 1,417 17,717Total 10,287 128,593 9,415 117,6931 Institutions include exposures to banks and investment companies, regional and local governments and pension funds.2 Other includes non-credit obligations.3 Including Basic Indicator Approach.", "dimensions": { "concept": "ifrs-full:DisclosureOfObjectivesPoliciesAndProcessesForManagingCapitalExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-17-3": { "value": "Credit risk management approach b Credit risk constitutes a key risk in our business model. ABN AMRO employs two separate approaches to managing credit risk, which reflect the bank\u2019s way of doing business. Standardised products and processes are managed on a pooled basis (programme lending), to which uniform risk criteria are assigned. For customised lending to counterparties (non-programme lending), risks are assessed on an individual basis. Climate risks are integrated into our risk management practices via risk appetite limits at bank level and lending criteria at product level. Planning Within programme lending, the credit cycle starts with a product planning phase, during which the product is designed and/or reviewed. The goal is to optimise the key drivers of risk and return within the context of ABN AMRO\u2019s strategy, risk appetite, the client\u2019s best interests and sustainability. For non-programme lending, the lending product is customised and not subject to a product planning phase. Credit acceptance For a credit approval decision within programme lending, client-specific aspects and internal and external data are taken into consideration to calculate a credit score (scorecard). The credit decision is based on the outcome of the scorecard and policy rules. Credit risk management process b The following figure presents a simplified overview of the credit risk management process. Credit acceptanceCredit risk monitoring Restructuring Loan approval andBusiness and risk controland Recovery disbursement functions jointly responsibleHigh-risk monitoringRisk assessment by client unit1Non-programme Regular monitoringlendingRestructuringCustomised loans, mostly Analysis and credit Increased riskWealth Management, decision by credit risk Continual update of risk functiongovernance, management Corporate Banking and policiesand Business Banking Recovery Intensive monitoring(within P&BB) 2(\u2018Watch\u2019)Processes re\ufb02ect guidelines Loan disbursement for credit risk managementFor programme lending, Product-specific standards are establishedCredit decision based on credit score and Programme Sustainability risk policy rulesAccount maintenanceRestructuringassessment for larger lendingOOEs and/or periodically Standardised on portfolio levelloans, mostly Personal Banking Loan disbursement Default prevention Recovery (within P&BB)1 Daily monitoring or (semi-) annual credit review.For more insight on our credit portfolio, 2 \u2018Watch\u2019: status assigned to counterparties with an increased risk.please refer to the Credit risk review section.Within non-programme lending, the credit acceptance phase of a credit proposal starts with an assessment of the proposal by the relevant client unit. The qualitative and quantitative details of the credit risk associated with the loan are assessed prior to approval. Information must be provided on matters such as the purpose, details and structure of the proposed credit facility, the borrower and other counterparties, the industry and geography, management and owners, and financial and non-financial analyses. Compliance with internal policies is checked. After the assessment, an analysis is performed by Risk Management. The credit decision is based on independent assessments by both the commercial and the credit risk functions. Credit risk monitoring Consistent and regular monitoring of counterparties, exposures, risk mitigants and ongoing compliance with internal policies helps to safeguard the bank\u2019s position in relation to all risks associated with the counterparty, credit type or portfolio. Monitoring starts when the credit facility is granted and periodically continues throughout the lifecycle of the credit facility and the relationship with the counterparty until the exposure is repaid and/or the limit is cancelled. Credit facilities are subject to an annual review to assess whether the credit risk is still acceptable. The review takes into consideration changes in risk profile, financial position or creditworthiness compared to the criteria and the assessment at the point of loan origination. For programme lending portfolios, the entire risk management framework defined in a product programme must be reviewed at least annually. Individual credit reviews are performed based on pre-defined triggers for risk based credit reviews. For non-programme lending all counterparties are subject to at least an annual review. Credit concentration risk b Credit concentration risk is the risk of loss arising from large exposures, relative to the bank\u2019s total risk exposure, to a single counterparty or to counterparties that are positively and highly correlated. As limiting excessive concentrations is fundamental to our credit risk strategy, we aim to keep the credit risk portfolio sufficiently granular and diversified. To avoid excessive credit risk concentrations, Risk Management sets maximum levels for subgroups in the following categories: \u00c5 Single counterparty and groups of related counterparties (counterparty concentration); \u00c5 Countries (geographic concentration); \u00c5 Industries (industry concentration); \u00c5 Products (product concentration). \u00c5 Counterparty concentration Counterparty concentration credit risk is the risk of loss arising from relatively large exposures to counterparties belonging to the same risk group. The One Obligor Exposure (OOE) is the exposure to a risk group and includes all drawn and undrawn credit facilities granted, plus all indirect exposure to the risk group, including guarantees and any other recourse claims. A risk group is an interrelated group of counterparties with a high degree of dependency on each other due to a control relationship. This control relationship may be attributable to direct or indirect majority interests being held by the same shareholder or group of shareholders. Counterparty credit concentration risk is measured by the OOE and the Economic Capital (EC) per counterparty. The bank limits its counterparty credit risk by setting OOE and EC limits. Additionally, all credit applications with an OOE and/or EC above a certain threshold are reviewed by the Executive Board. If a situation arises in which an individual counterparty shows signs of credit risk deterioration and action is required in order to avoid the credit risk evolving into a default classification, a \u2018watch\u2019 status is assigned. A \u2018watch\u2019 status indicates that a counterparty is subject to increased monitoring and appropriate follow-up measures in order to prevent further deterioration or a default. Indicators for this status are changes in risk profile, liquidity problems, management issues, the market outlook, potential breach of a credit agreement, solvency issues and uncertain continuity. Restructuring & Recovery Credit facilities that are subject to a default event are mandatorily transferred to the Financial Restructuring & Recovery department (FR&R). Credit facilities identified as having a significantly high risk can be transferred to FR&R if specialised restructuring knowledge is required. If a \u2018going concern\u2019 approach is applicable and return to a performing status is considered likely, the credit facility is transferred to the Restructuring team, which then devises a plan aimed either at rehabilitation or at enhancing the likelihood of full repayment. In all other cases, the credit facility is transferred to the Recovery team. Programme lending contracts are transferred to the Restructuring team if a default status is assigned because payments have been past due for more than 90 days or because another default trigger applies. If restructuring is ultimately ineffective, the client is transferred to other internal departments or external parties (such as Flanderijn) for debt collection. Once a client is considered able to meet its future payment obligations and the involvement of FR&R is no longer required, the client is transferred back to the client unit. FR&R plays a significant role in the execution of the bank\u2019s non-performing exposure (NPE) strategy. Policies on the management of NPE include valuation of collateral, monitoring of the NPE ratio and ensuring this ratio remains well below the threshold of 5%. We have set NPE targets for each business segment and specific strategies for sectors with increased levels of non-performing loans. Geographic concentration We recognise geographic concentration in our books for climate risks in the Netherlands and for cross-border risks outside the Netherlands. ABN AMRO has branches and subsidiaries located outside the Netherlands, as well as clients who operate internationally. Consequently, the bank is exposed to country risk, which is the risk of credit losses arising from country-specific events or circumstances. Management of country risk focuses on cross-border risk, which includes the risk that funds, goods or services cannot be transferred out of a country as a result of actions by local authorities in that country or other events. These risks are managed by setting country credit limits, based on individual country analyses by economic, compliance and country risk experts. Country limits are reviewed at least once a year. Each country also has an annually reviewed internal credit rating, which is an important factor in managing country concentration risks. As the Netherlands is our home country, it is not included in any concentration risk appetite statement or setting of credit limits. Since the bank\u2019s strategic shift in 2020 and its redefined focus on Northwest Europe, ABN AMRO\u2019s country risk exposure has declined significantly. For managing climate risks in the residential mortgages book, the bank monitors and limits the percentage of properties with relatively high climate risks in the portfolio and relatively high-risk clients within a severe climate risk area. Industry concentration Industry concentration risk is the risk of loss arising from a relatively large credit exposure to counterparties active in a single industry. Industry concentration risk arises when deterioration in a specific industry has an effect on all credit exposures relating to that industry. ABN AMRO manages its industry concentrations by setting limits on economic capital (EC) for credit risk in each industry as a percentage of total EC for credit risk. Industries with a concentration limit are financial institutions, industrial transportation, industrial engineering and food & beverages. In addition to the EC limits, EC concentration checkpoints are set to facilitate timely and sufficient management interventions so as to avoid limits being breached. Product concentration Product concentration risk is the risk of loss arising from relatively large credit exposures in a specific asset or product class. This asset or product class concentration occurs e.g. in residential mortgages, commercial real estate and leveraged loans. In line with our risk appetite, ceilings are defined per product type and breaches of these concentration ceilings are managed through credit risk insurance. Credit risk quality and impairment b We continuously monitor the credit portfolio for signs indicating that the counterparty may become credit impaired in the future. Loans at risk are classified into different risk categories for individual counterparties and into days-in-arrears buckets for groups of aggregated counterparties in order to optimise the monitoring and review of these loans. Forbearance Forbearance is the process of making concessions to clients who are or will soon be experiencing financial difficulty (such as Covid-19-impacted clients), with the intention of bringing them back within their payment capacity. A forborne asset is any contract that has been entered into with a counterparty who is in or about to face financial difficulty, and that has been refinanced or modified on terms and conditions that we would not have accepted if the counterparty had been financially healthy. \u00c5 The counterparty does not have any contract, within the credit agreement, that is more than 30 days past due at the end of the probation period. If the forborne contract is or has become non-performing at the time of the forbearance measure, a mandatory cure period of at least one year applies to the contract before it is returned to performing status. The cure period starts when the contract becomes non-performing or, if the contract was already non-performing, when the last forbearance measure was taken. Past due credit exposures A financial asset is past due if a counterparty fails to make a payment on the contractual due date or if the counterparty has exceeded an agreed credit limit. ABN AMRO starts counting days past due from the first day that a counterparty is past due on any financial obligation. Forbearance measures can be applied to contracts on which the counterparty has already defaulted, as well as to contracts that are still performing. If the contract is considered to be performing at the time the forbearance measure is taken, an assessment is made to determine whether the counterparty will be able to meet the revised conditions of the contract and whether full repayment of the credit facility is expected. A forborne contract will cease to qualify as forborne only when all the following conditions are met: \u00c5 The contract is considered performing; \u00c5 A minimum probation period of at least two years has passed since the last forbearance measure and/or the date the forborne contract was considered performing (whichever is later); \u00c5 Regular and timely payments of more than an insignificant amount of principal or interest have been made during at least half of the probation period; Accounting policy for measuring allowances for expected credit losses (ECL) The IFRS 9 impairment requirements are applicable to financial assets measured at amortised cost or fair value through other comprehensive income (FVOCI), loan commitments, lease receivables and contract assets and financial guarantee contracts. At each reporting date, these financial instruments are classified into one of three risk stages, depending on current credit quality, or as purchased or originated credit-impaired (POCI). POCI assets, which are credit-impaired at initial recognition, are accounted for at fair value (i.e. net of the initial lifetime ECLs) and do not carry an impairment Classification in stage 2 We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2. Change in credit quality since initial recognitionStage 1 Stage 2 Stage 3PerformingCredit quality deterioratedDefault = Impaired(Initial recognition)(Assets with significant increase in (Credit impaired assets)credit risk since initial recognition)Recognition of ECL12 month ECL Lifetime ECL Lifetime ECLInterest incomeEffective interest on gross carrying amount Effective interest on gross carrying amount Effective interest on amortised cost(gross carrying amount less loss allowance)allowance. Instead, a credit-adjusted effective interest rate (EIR), which is calculated using expected cash flows including initial lifetime ECLs, is applied to the amortised cost. Subsequently, the cumulative changes in lifetime ECLs since initial recognition, which are discounted at the credit-adjusted effective interest rate, are recognised in the profit or loss statement as an impairment gain or loss, and presented under impairment charges on financial instruments. Once a financial asset is classified as POCI, it retains that classification until it is derecognised (in the event that a substantial modification loss larger than 10% is applicable). For this reason, POCI stage is not included in the following figure. Quantitative stage triggers The key quantitative metric that determines when a financial instrument is transferred from stage 1 to stage 2 is the deterioration in the lifetime probability of default (LPD) from the date of origination to the reporting date, based on internal data. The LPD represents the likelihood that a counterparty will default during the lifetime of the financial instrument and depends on credit risk drivers such as: \u00c5 product characteristics (e.g. repayment and interest terms, term of the product); \u00c5 the financial condition of the borrower; \u00c5 the number of days past due; \u00c5 expected developments in the economy. The lifetime PD deterioration (LPDD) measures the relative difference between the remaining lifetime PD at reporting (LPDR) and the remaining lifetime PD at origination (LPDO) as LPDD = LPDR/LPDO. If the LPD deterioration of an exposure is above a predefined Range of lifetime PD deterioration thresholds b Product class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xQualitative stage triggers The bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u00c5 Forborne status of a borrower; \u00c5 Watch status of a borrower. ABN AMRO assigns the watch status to counterparties with an increased credit risk. This process comprises intensive monitoring, early detection of deterioration in the credit portfolio and appropriate follow-up measures; \u00c5 A delinquency-based regulatory backstop is in place, such that the credit risk of financial assets that are more than 30 days past due will be assumed to have significantly increased. Reclassification to stage 1 As a general rule, favourable changes in credit risk are recognised consistently with unfavourable changes, and a financial instrument is transferred back to stage 1 if quantitative or qualitative triggers are no longer met. In some cases, a probation period applies: \u00c5 Forborne financial instruments are transferred back from stage 2 to stage 1 only after a probation period of at least two years has ended, in line with the ABN AMRO forbearance policy. Stage 3 forborne instruments transfer back to stage 2 after a cure period of at least one year; \u00c5 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1. threshold, the LPD is considered to be significantly deteriorated. The exposure is then transferred to stage 2 and impairment allowances equal to the lifetime expected credit loss are recognised. If the LPD deterioration subsequently reduces and falls below the threshold, the client is transferred back to stage 1. When determining the thresholds, ABN AMRO distinguishes between various portfolios within consumer lending, residential mortgages and corporate loans. A specific threshold is calculated for each portfolio, based on a statistical method. The following table shows LPD deterioration thresholds that triggered transfers to stage 2 as at 31 December 2022. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model. Classification in stage 3 A transfer to stage 3 will always be the result of the default of a financial instrument. Our definitions of default and impaired are aligned and comply with the European Banking Authority (EBA) guidelines on the application of the definition of default. All models use a consistent definition of default, which has been specified in line with regulations. A default is deemed to have occurred when: \u00c5 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u00c5 the bank considers the borrower to be unlikely to meet its contractual obligations (unlikely to pay, or UTP). The materiality of a financial obligation past due is assessed against an absolute and a relative threshold, in line with regulatory standards. To determine unlikeliness to pay, the bank has specified both mandatory default triggers (always resulting in the assignment of a default status, whereby no additional expert judgement is allowed) and judgemental triggers (requiring an assessment by credit risk managers to determine whether the UTP indications should result in a default classification). The mandatory triggers include the reporting of a forborne exposure under probation as non-performing for being 30 days past due or owing to an additional forbearance measure being applied. As a result, the definitions of non-performing and default are materially aligned. Reclassification to stage 2 The default classification for non-forborne exposures ends when the default triggers no longer apply and a (probation) cure period of at least three months has passed since the default trigger was last applied. For forborne exposures, a twelve-month cure period Asset in scope?YESPurchased or originated credit impaired (POCI)?NOYESDefault trigger hit?NOYESLifetime PD significantly deteriorated?NOYESWatch listNOYESForbearance (but not impaired)Days past due0-30>30Stage 1 Stage 2 Stage 3 Stage POCICalculation method ABN AMRO recognises loss allowances based on the Expected Credit Loss model (ECL) of IFRS 9, which is designed to be forward-looking. The amount of ECL is based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. ABN AMRO distinguishes between two types of calculation methods for credit loss allowances: \u00c5 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u00c5 Collective 12-month ECL (stage 1) and LECL (stage 2 and 3) for financial instruments that have similar credit risk characteristics (e.g. residential mortgages, consumer loans and SME loans) are clustered in portfolios and collectively assessed for impairment losses. A collective impairment calculation approach based on individual parameters is also applied to stage 3 exposures below EUR 3 million. ABN AMRO has models to quantify the Probability of Loss (PL), Loss Given Loss (LGL) and Exposure at Loss (EAL) for the purpose of calculating the collective 12-month ECL and LECL for these financial instruments. starts from the moment the last forbearance measure or default trigger was applied. After the cure period, an assessment is performed to establish whether the improvement in the credit quality is factual and permanent (including, for example, no remaining past due amounts). Lifetime expected credit loss ABN AMRO defines the lifetime of credit as the maximum contractual period during which the bank is exposed to credit risk; we do not apply a longer period, even if that longer period is consistent with business practice. For some contracts, such as overdraft facilities or credit cards, no end date is specified or amounts can be contractually withdrawn by the lender at short notice. In these cases, ABN AMRO uses behavioural maturity models that rely on historical client behaviour to determine future expected exposures. Forward-looking information For expected credit loss calculations, ABN AMRO uses three different scenarios of future economic developments: a baseline (or most likely) scenario, a negative scenario and a positive scenario. The three scenarios are incorporated into the expected credit loss calculation and risk stage determination in a probability-weighted manner. In order to incorporate the latest economic outlook, the scenarios and their weights are reviewed each quarter and adjusted if necessary. Details of the scenarios and their weights used in the reporting period can be found in the Credit risk review section. The baseline scenario entails our Group Economics analysts\u2019 current macroeconomic base scenario, which usually covers the current year and subsequent year. For the purpose of scenario analysis under IFRS 9, this baseline is extended by three additional calendar years, after which it is assumed that macroeconomic variables (MEVs) gradually move to their potential or equilibrium values. At least once every quarter, Group Economics compares its forecasts with those of institutions like CPB, DNB, ECB, IMF or OECD, in order to determine possible differences and to analyse whether it can underpin those. This external benchmarking exercise is a standard input to the Scenario Booklet that is presented to the bank\u2019s Scenario and Stress Testing Committee for approval. Group Economics also develops a negative and a positive scenario. These scenarios are designed to give an impression of the bandwidth within which the economy, interest and FX rates, and other relevant variables are likely to move in the next four to five years, with a probability of around 85% (roughly corresponding to a standard deviation of plus and minus one and a half). Hence, these scenarios produce upper and lower boundaries, with a resulting bandwidth between the outcomes of the negative (\u2018bad weather\u2019 in terms of financial results of the bank) and positive (\u2018good weather\u2019) scenarios. To determine these boundaries, Group Economics may look at historical developments, medium-term (non-baseline) scenarios made by the aforementioned institutions, and other relevant developments. Management overlays and other adjustments Where necessary to reflect the credit risk dynamics not captured by our models, management judgement is applied via a management overlay or other IFRS 9 adjustment. A management overlay is a temporary adjustment in a loss allowance until a long-term solution (e.g. model adjustment) is effective, and must be an amount commensurate to the model limitation. All overlays require a decision of the Impairment and Provision Committee (IPC). The main types of management overlays that ABN AMRO distinguishes are: post-model adjustments (adjustments to model outcomes), adjustments in the weightings of macroeconomic scenarios and stage overrides. Other adjustments such as adjustments to model parameters or input data are not considered management overlays, but follow the same internal approval process. Climate and environmental risks in ECL Incorporating climate risk explicitly into ECL models is challenging due to the lack of historical data and the horizon on which climate and environmental risks are expected to materialise. We are taking steps to gain deeper insight into how climate and environmental risks affect our clients, and to eventually embed them into our IFRS 9 ECL models. The target state is to have CER reflected in all four modelling frameworks (IRB models, IFRS, stress testing and EC). Although the impact of climate risk on ECL can only be estimated with a high degree of uncertainty regarding amounts of losses and the time horizon on which it will materialize, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate and environmental risks are playing an increasing role in government policies and macroeconomic developments. To capture climate and environmental risks in ECL and related scenario processes, each macroeconomic scenario is accompanied by an overview that illustrates which of these risks are included in the various projected macroeconomic indicators. For short term identifiable events that are not (yet) included in the macroeconomic forecasts, management overlays on ECL can be taken. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen reducing measures. With the combination of macroeconomic scenarios and this management overlay we deem to be adequately provisioned for climate and environmental risks. Cured financial assets When a credit impaired financial asset cures, the interest that was previously unrecognised is reported as an impairment release in the impairment charge rather than as a credit to the interest income calculated using the effective interest method. Write-off \u00c5 For non-programme lending, a write-off must be recorded if all possible means of recovery have been exhausted and it has become clear that there is a low probability of recovering the debt, either in part or full. \u00c5 Most of the programme lending facilities are automatically written-off after 1,080 days in default. Such loans are written off after all the necessary procedures have been completed and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off are credited to impairment charges on financial instruments in the income statement. Credit risk measurement b The models used for measuring and managing credit risk vary from purely statistical to expert-based models and employ both quantitative and qualitative risk drivers. All models are subject to the bank\u2019s model risk management framework. They undergo initial validation by the independent model validation function before their first use, and annually thereafter. Independent validation is also required when a model undergoes a material change. Internal rating scale mapped to external ratings UCR Low Mid High Standard & Moody\u2019s Fitch Grade Category(internal rating)PD%PD%PD%Poor\u2019s equivalentequivalentequivalentInvestment gradeUCR 1 0.000 0.03 0.035 AAA to A+ Aaa to Aa3 AAA to AA- UCR 2+ 0.035 0.04 0.045 A+ A1 AA- UCR 2 0.045 0.05 0.071 A A1 to A2 A+ UCR 2- 0.071 0.10 0.127 A- A3 A to A- UCR 3+ 0.127 0.16 0.200 BBB+ Baa1 BBB+ UCR 3 0.200 0.25 0.300 BBB Baa2 BBB UCR 3- 0.300 0.36 0.465 BBB- Baa3 BBB- Sub-investment grade UCR 4+ 0.465 0.60 0.775 BB+ Ba1 BB+ UCR 4 0.775 1.00 1.285 BB Ba2 BB UCR 4- 1.285 1.65 2.225 BB- Ba3 to B1 BB- to B+ UCR 5+ 2.225 3.00 4.243 B+ to B B2 B UCR 5 4.243 6.00 8.485 B- B3 to Caa1 B- UCR 5- 8.485 12.00 16.971 CCC/C Caa2 to Caa3 CCC/C UCR 6+ 16.971 24.00 99.999 CCC/C Ca CCC/C Default UCR 6-8 100 D C-D D Rating assignment For non-programme lending, the ratings are individually assigned to each counterparty (PD) and facility (LGD) by the business account manager (first line) and approved by credit risk (second line). For programme lending, exposures ratings are not assigned individually but assigned to pools with similar characteristics. For all exposures, the EAD estimation is assigned automatically based on the facility type and the undrawn part of the facility. Loss given default Loss Given Default (LGD) models estimate the amount the bank would lose if the counterparty were to default. LGD is expressed as a percentage of the outstanding amount at default. For credit facilities that are not in default, LGD estimates are influenced by the risk mitigating techniques used by the bank (such as collateral coverage and/or third party protection), the credit facility\u2019s seniority and structure, and the bank\u2019s view on the creditor-friendliness of the relevant country\u2019s legal framework. Probability of default The Probability of Default (PD) indicates the likelihood that a counterparty or exposure defaults within a one-year time orizon. For the non-programme lending portfolio, the model score is mapped to and expressed as an internal uniform counterparty rating (UCR). The UCR rating scale consists of 14 performing ratings, each representing a fixed PD range. The indicative mapping of the internal UCR rating scale to external rating agency ratings is shown in the following table. Exposure at default Exposure at Default (EAD) models estimate the expected exposure at the time a counterparty defaults. If all or a part of a facility is undrawn (i.e. the outstanding amount is less than the approved limit) at the time of the EAD calculation, a portion of the undrawn amount is added to the exposure to reflect the tendency of counterparties to utilise larger portions of their approved credit facilities when nearing default. Capital for credit risk Regulatory capital For the purpose of determining capital requirements for credit risk, ABN AMRO applies the Advanced Internal Rating Based (A-IRB) approach to most of its portfolios. Under this approach, the previously described internal estimates for PD, EAD and LGD are used to calculate Credit Risk RWA. For a number of smaller portfolios and the large Central Governments and Central Banks portfolio, RWA is determined according to the Standardised Approach (SA). This approach prescribes the risk weights to be applied to the exposure value in order to calculate RWA. Economic capital The EC model for credit risk uses a Monte Carlo simulation to determine a full portfolio loss distribution, taking into account specific portfolio characteristics and diversification effects. Loan facilities are valued on an economic value (mark-to-market) basis to ensure that loss estimates can be based not only on defaulting borrowers, but also on possible credit migrations and changes associated with the market values of loans. Accounting policy for offsetting financial assets and liabilities b Financial assets and liabilities are offset, and the net amount is reported on the EU IFRS balance sheet, if there is a legally enforceable right to set off the recognised amounts and there is an intention either to settle on a net basis or to realise the asset and settle the liability simultaneously. The bank applies netting to debtor and creditor balances, such as current accounts, where offsetting is justified by formal agreement with the client, provided they meet the applicable criteria. Accounting policy for enforceable master netting agreements or similar instruments b Enforceable master netting arrangements take into account all agreements containing conditions that allow offsetting in the event of default. In addition, agreements are enforceable if the bank has a legally enforceable right to offset and no ability and/or intention to realise the asset and settle the liability simultaneously. These arrangements include derivative clearing agreements, global master repurchase agreements and global master securities lending agreements. Credit risk overview b (in millions)31 December 2022 31 December 2021Cash and balances at central banks60,865 66,865 Financial assets held for trading907 1,155 Derivatives5,212 3,785 1Financial investments39,034 43,165 Securities financing20,032 16,138 Loans and advances banks2,982 2,801 Loans and advances customers243,927 258,251 Other assets4,473 4,263 1Less: Other425 345 Other assets4,047 3,919 On-balance sheet maximum exposure to credit risk 377,007 396,077 Off-balance sheet Committed credit facilities53,873 54,642 Guarantees and other commitments7,651 7,598 Revocable credit facilities34,347 31,737 Off-balance sheet credit facilities and guarantees 95,872 93,977 2Maximum exposure to credit risk472,879 490,055 2, 3Adjustments on assets4,705 167 4Valuation adjustments9,797 12,550 Offsetting and netting-26,557 -20,970 Off-balance sheet credit facilities and guarantees-95,872 -93,977 Off-balance sheet exposure fraction expected to be drawn prior to default (credit conversion factors)26,112 29,389 Total Exposure at Default 391,065 417,214 Credit risk RWA / Total Exposure at Default 28.3% 24.0% 1 This contains non-credit obligation assets and assets on accounts which are out of scope for credit risk.2 Adjustment on assets includes equity positions.3 Main adjustments on assets relate to selected financial assets held for trading and fair value adjustments from hedge accounting.4 Adjustments on valuation include loan impairment allowances.Overall credit risk EAD and RWA b 31 December 2022Less: Netting/3Original EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions)DerivativestransactionsCredit risk IRBCentral governments and central banks1Institutions8,900 917 7,983 695 1,618 1,847 23.1% Corporates134,776 33,693 101,083 1,709 1,471 53,501 52.9% Retail165,991 5,466 160,525 16,891 10.5% - of which secured by immovable property156,003 829 155,174 15,431 9.9% - of which qualifying revolving exposures5,292 3,965 1,328 136 10.3% - of which other retail4,696 673 4,023 1,323 32.9% Securitisation positions2,043 2,043 253 12.4% Subtotal 311,711 40,077 271,634 2,404 3,089 72,492 26.7% Equities not held for trading824 824 3,091 375.2% 2Other1,970 1,970 24,835 1260.9% Total IRB 314,504 40,077 274,428 2,404 3,089 100,418 36.6%Credit risk SACentral governments and central banks91,310 -2,177 93,487 85 96 515 0.6% 1Institutions26,166 13,511 12,656 4,105 3,314 939 7.4% Corporates21,583 14,790 6,793 1,233 827 5,854 86.2% Retail5,787 2,697 3,090 2,272 73.5% Secured by mortgages on immovable property438 4 434 152 35.1% Exposures in default467 344 123 158 128.4% Credit valuation adjustment274Subtotal 145,751 29,169 116,582 5,423 4,237 10,164 8.7%2Other55 55 39 70.5%Total SA 145,806 29,169 116,637 5,423 4,237 10,203 8.7%Total 460,310 69,245 391,065 7,827 7,327 110,621 28.3%1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Other includes default fund contribution under the IRB approach and non-credit obligation assets under the IRB and Standardised Approach.3 Consists mainly of netting, secured funding trades, guarantees, credit conversion factors and impairments under the Standardised Approach.31 December 2021Less: Netting/3)Original EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions) DerivativestransactionsCredit risk IRBCentral governments and central banks100,874 -2,278 103,152 272 70 840 0.8% 1Institutions8,606 1,572 7,034 547 1,828 1,589 22.6% Corporates136,174 32,920 103,254 2,857 1,530 52,211 50.6% Retail175,948 6,404 169,544 16,574 9.8% - of which secured by immovable property 164,659 1,324 163,334 14,847 9.1% - of which qualifying revolving exposures 5,359 4,038 1,321 140 10.6% - of which other retail 5,930 1,041 4,888 1,588 32.5% Securitisation positions1,016 1,016 11 6 11.4% Subtotal422,618 38,619 384,000 3,676 3,429 71,331 18.6% Equities not held for trading841 841 3,364 399.8% 2Other1,778 1,778 15,336 862.3% Total IRB 425,238 38,619 386,619 3,676 3,429 90,030 23.3% Credit risk SA Central governments and central banks6,437 -10 6,447 2 0.0% 1Institutions25,831 12,032 13,799 2,091 4,313 1,248 9.0% Corporates19,567 13,260 6,307 1,200 1,010 5,636 89.4% Retail7,562 4,142 3,421 2,495 72.9% Secured by mortgages on immovable property414 12 403 145 36.1% Exposures in default531 398 133 173 129.6% Credit valuation adjustment202 Subtotal 60,343 29,833 30,510 3,290 5,323 9,900 32.4% 2Other84 84 46 54.0% Total SA 60,428 29,833 30,595 3,290 5,323 9,946 32.5% Total 485,666 68,452 417,214 6,966 8,751 99,976 24.0% 1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Other includes default fund contribution under the IRB approach and non-credit obligation assets under the IRB and Standardised Approach.3 Consists mainly of netting, secured funding trades, guarantees, credit conversion factors and impairments under the Standardised Approach.Credit quality by exposure class b 31 December 2022Investment Sub-investment (in millions, Exposure at Default)gradegrade Impaired TotalCentral governments and central banks 1Institutions7,813 170 7,983Corporates 48,776 48,823 3,483 101,083Retail 132,134 26,933 1,457 160,525- of which secured by immovable property 129,785 24,115 1,274 155,174- of which qualifying revolving exposures 1,162 142 24 1,328- of which other retail 1,188 2,676 159 4,023Securitisation positions 2,043 2,0432Total IRB190,767 75,927 4,940 271,6343Total SA116,5822, 3Total IRB and SA388,21631 December 2021Investment Sub-investment gradegrade Impaired TotalCentral governments and central banks103,059 88 5 103,152 1)Institutions6,697 328 9 7,034 Corporates49,127 49,309 4,818 103,254 Retail138,073 29,772 1,699 169,544 - of which secured by immovable property 134,658 27,252 1,423 163,334 - of which qualifying revolving exposures 1,149 144 28 1,321 - of which other retail 2,265 2,376 247 4,888 Securitisation positions1,016 1,016 2Total IRB297,972 79,497 6,531 384,000 3Total SA 30,510 2, 3Total IRB and SA 414,510 1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Total Exposure at Default does not include EAD calculated for equities not held for trading and other non-credit obligations.3 Exposure at Default does not include EAD calculated for other non-credit obligations.EAD decreased to EUR 391.1 billion (31 December 2021: EUR 417.2 billion), largely because of the decrease in loans and advances and, to a lesser extent, because of lower cash and balances at central banks due to repayment of TLTRO III facilities. Credit quality by internal rating scale mapped to stages b The following table presents the gross carrying amount of loans and the contractual amount of undrawn loan commitments, classified by internal rating and risk stage. In order to classify a client as stage 2, several qualitative triggers are needed, which are not necessarily dependent on internal ratings. 31 December 2022 31 December 20213)3)(in millions)PD scale UCR range Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalResidential mortgages0.000 - < 0.035 1 43 43 107 108 0.035 - < 0.127 2 64,113 1,438 65,551 59,392 1,194 60,586 0.127 - < 0.465 3 50,689 2,286 52,975 55,040 1,861 56,900 0.465 - < 2.225 4 24,677 2,442 27,119 21,376 2,172 23,548 2.225 - < 16.971 5 889 2,518 3,407 1,119 2,294 3,413 16.971 - < 100 6+ 38 486 524 28 504 532 100 6-8 1,143 1,143 1,264 1,264 Total residential mortgages 140,450 9,169 1,143 150,762 137,063 8,025 1,264 146,351 Consumer loans 0.000 - < 0.035 1 661 4 665 630 3 634 0.035 - < 0.127 2 1,492 6 1,498 1,459 9 1,468 0.127 - < 0.465 3 2,748 130 2,878 2,717 165 2,882 0.465 - < 2.225 4 3,444 223 3,667 3,708 291 3,999 2.225 - < 16.971 5 280 290 570 326 415 741 16.971 - < 100 6+ 496 96 591 508 154 662 100 6-8 363 363 409 409 Total consumer loans 9,121 749 363 10,232 9,348 1,037 409 10,794 Corporate loans 0.000 - < 0.035 1 8,964 122 9,086 9,221 83 9,304 0.035 - < 0.127 2 9,677 253 9,931 9,839 343 10,182 0.127 - < 0.465 3 16,678 2,499 19,178 15,722 978 16,701 0.465 - < 2.225 4 27,925 7,042 34,967 28,393 5,433 33,826 2.225 - < 16.971 5 3,137 3,478 6,615 3,345 4,484 7,830 16.971 - < 100 6+ 2,721 568 3,289 2,843 753 3,597 100 6-8 3,666 3,666 5,019 5,019 Total corporate loans 69,103 13,963 3,666 86,731 69,364 12,075 5,019 86,458 1Other loans0.000 - < 0.035 1 14,776 37 14,813 21,289 21,289 0.035 - < 0.127 2 8,988 8,988 9,012 1 9,012 0.127 - < 0.465 3 4,607 4,607 2,539 2,539 0.465 - < 2.225 4 1,946 1,946 883 883 2.225 - < 16.971 5 71 71 66 26 92 16.971 - < 100 6+ 53 36 90 11 2 20 132 100 6-8 4 4 9 9 1Total other loans 30,442 73 4 30,519 33,900 47 9 33,956 Loan commitments and financial guarantee contracts0.000 - < 0.035 1 5,232 5,233 5,256 6 5,262 0.035 - < 0.127 2 13,299 254 13,553 12,188 175 12,363 0.127 - < 0.465 3 14,156 1,691 15,847 16,688 885 17,573 0.465 - < 2.225 4 15,582 3,333 18,915 11,025 3,750 14,775 2.225 - < 16.971 5 1,136 816 1,952 1,197 1,043 2,240 16.971 - < 100 6+ 781 114 895 3,843 161 4,004 100 6-8 700 700 1,271 1,271 Total loan commitments 2and financial guarantee contracts50,187 6,209 700 57,095 50,199 6,019 1,271 57,488 Total0.000 - < 0.035 1 29,677 163 29,840 36,504 92 36,596 0.035 - < 0.127 2 97,570 1,951 99,521 91,891 1,721 93,612 0.127 - < 0.465 3 88,879 6,606 95,486 92,706 3,889 96,595 0.465 - < 2.225 4 73,575 13,040 86,615 65,385 11,646 77,031 2.225 - < 16.971 5 5,513 7,102 12,615 6,054 8,263 14,317 16.971 - < 100 6+ 4,089 1,300 5,389 7,335 1,592 8,926 100 6-8 5,874 5,874 7,971 7,971 Total 299,303 30,162 5,874 335,339 299,874 27,202 7,971 335,048 1 Includes Banks, Securities Financing and Government and official institutions.2 Total loan commitments and financial guarantee contracts exclude performance letters of credit as these facilities are not in scope of IFRS 9.3 Including POCI.The largest part of ABN AMRO\u2019s portfolio continues to be classified in stage 1 and in the highest and medium internal rating classes. Compared to 31 December 2021, the share of the portfolio with an investment grade (UCR 1 to UCR 3 bucket) decreased marginally, mainly in mortgages and corporate loans. Approximately 2% of the bank\u2019s portfolio is reported in UCR 6+. Clients where revision of the UCR is overdue are classified as UCR 6+ until a new rating is available. During that time, the mid-PD of UCR 6+ is used for capital and provision calculation purposes. Geographic concentration by EAD b 31 December 2022Rest of Rest of (in millions, Exposure at Default) The NetherlandsEurope USA Asiathe world TotalCentral governments and central banks 1Institutions1,151 4,903 1,268 222 439 7,983Corporates 62,957 31,255 1,532 727 4,611 101,083Retail 159,910 475 45 64 31 160,525- of which secured by immovable property154,613 426 45 61 29 155,174- of which qualifying revolving exposures1,328 1,328- of which other retail 3,970 48 3 2 4,023Securitisation positions 2,043 2,0432Total IRB226,062 36,633 2,846 1,013 5,081 271,6343Total SA71,755 29,882 9,753 3,286 1,906 116,582Total 297,817 66,514 12,599 4,299 6,987 388,2162, 3Percentage of total IRB and SA76.7% 17.1% 3.2% 1.1% 1.8% 100.0%31 December 2021Rest of Rest of The NetherlandsEurope USA Asiathe world TotalCentral governments and central banks70,875 22,219 6,659 2,156 1,243 103,152 1Institutions1,077 4,514 675 198 570 7,034 Corporates69,464 26,236 2,457 792 4,304 103,254 Retail168,956 453 37 57 41 169,544 - of which secured by immovable property 162,809 396 37 53 39 163,334 - of which qualifying revolving exposures 1,321 1,321 - of which other retail 4,825 57 4 2 4,888 Securitisation positions1,016 1,016 2Total IRB311,388 53,423 9,828 3,203 6,158 384,000 3Total SA9,996 16,161 2,979 820 555 30,510 Total 321,384 69,583 12,807 4,023 6,713 414,510 2, 3Percentage of total IRB and SA77.5% 16.8% 3.1% 1.0% 1.6% 100.0% 1 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 Total Exposure at Default does not include EAD calculated for equities not held for trading and other non-credit obligations.3 Exposure at Default does not include EAD calculated for other non-credit obligations.Exposure at default (EAD) concentrated in the Netherlands increased to 76.7% of the bank\u2019s portfolio in 2022 (2021: 77.5%). EAD in the Netherlands decreased to EUR 297.8 billion at 31 December 2022 (31 December 2021: EUR 321.4 billion). The exposure to central governments Credit risk concentration b Geographic concentration The exposures in the following table have been classified on the basis of the geographical regions where clients are domiciled. The bank actively manages and monitors the development of its country risk exposures, based on the country at risk. The country at risk may be different from the country of domicile, for example if the bank finances a project in a country other than the borrower\u2019s country of incorporation. and central banks is now treated under the Standardised Approach, which causes significant changes in the categories Central governments and central banks and Total SA. Industry concentration ABN AMRO applies industry concentration limits in line with the Industry Classification Benchmark (ICB). In the exposure table, non-material industry clusters are aggregated under Other. Industry concentration limits are established within the bank\u2019s risk appetite, with the Industry concentration b 31 December 2022 31 December 2021Gross carrying Percentage Gross carrying Percentage 3, 43, 4(in millions)amountof totalamountof totalLoans and advances banks 2,990 1.2% 2,811 1.1%1Financial services21,734 8.4% 30,145 11.5%Industrial goods and services16,763 6.5% 16,918 6.5%Real estate16,953 6.6% 15,309 5.9%Oil and gas2,565 1.0% 3,162 1.2%Food and beverage9,953 3.9% 10,804 4.1%Retail4,478 1.7% 4,477 1.7%Healthcare3,736 1.4% 3,616 1.4%Construction and materials3,010 1.2% 3,041 1.2%Travel and leisure3,012 1.2% 3,452 1.3%Utilities2,214 0.9% 2,788 1.1%Automobiles and parts1,525 0.6% 1,545 0.6%Technology1,709 0.7% 1,112 0.4%2Other7,292 2.8% 7,213 2.8%Total industry classification benchmark 94,943 36.8% 103,581 39.6%Private individuals (non-industry classification benchmark)159,650 61.8% 154,593 59.1%Public administration (non-industry classification benchmark)629 0.2% 436 0.2%Total non-industry classification benchmark 160,279 62.1% 155,029 59.3%Total loans and advances customers 255,222 98.8% 258,611 98.9%3Total loans and advances258,212 100.0% 261,421 100.0%1 Financial services include asset managers, credit card companies and providers of personal financial services and securities and brokers.2 Other includes personal and household goods, basic resources, media, chemicals, telecommunication and insurance, in addition to unclassified.3 Excluding loans at fair value through P&L.4 Excluding fair value adjustments from hedge accounting.thresholds for concentrations being based on relative risk, the importance of the industry to the Dutch economy and expert opinion. The table shows the industry in which the original obligor, i.e. the counterparty with whom ABN AMRO has the contractual relationship, has its main activity. The total decrease in loans and advances by industry was largely explained by decreases in financial services. These were largely driven by business developments in Clearing. Our exposure to the oil and gas sector decreased further, while exposure to the real estate sector increased. The share of loans and advances to private individuals increased, largely as a result of an increase in residential mortgages. Management of forborne, past due and credit-impaired loans b Credit risk reporting scope Although all financial assets on our balance sheet are subject to some form of credit risk, by far the largest part is in loans and advances. To provide a meaningful view of the credit risk in our lending book, the figures presented in this section therefore relate to loans and advances. Any credit risk outside the reported scope will be mentioned below the table. All figures are furthermore reported gross of loan impairment allowances and exclude fair value adjustments. The following table provides a comparison of gross carrying amounts presented in this section with the consolidated balance sheet. 31 December 2022 31 December 2021Fair value Less: Less: Fair value Less: loan Less: Gross adjustment loan im-amortisation Gross adjustment impair-amortisation carrying from hedge pairment and depre-Carrying carrying from hedge ment and depre-Carrying 2222(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks2,990 8 2,982 2,811 10 2,801Residential mortgages150,762 -9,489 153 141,121 146,351 1,442 82 147,711Consumer loans10,232 277 9,955 10,794 276 10,5181Corporate loans86,731 154 1,590 85,295 86,458 509 2,053 84,915Other loans and advances 1customers7,497 5 7,491 15,007 4 15,003Total loans and 1advances customers255,222 -9,335 2,026 243,861 258,611 1,951 2,416 258,146Total loans and 1advances258,212 -9,335 2,034 246,844 261,421 1,951 2,426 260,947Other138,201 -3,119 123 2,222 132,738 139,580 1,636 146 2,903 138,166Total assets 396,414 -12,454 2,157 2,222 379,581 401,001 3,587 2,572 2,903 399,113Loans and advances 1customers255,222 -9,335 2,026 243,861 258,611 1,951 2,416 258,146Corporate loans at fair value through P&L66 66 99 99Other loans at fair value through P&L5 5Total loans and advances customers255,288 -9,335 2,026 243,927 258,715 1,951 2,416 258,2511 Excluding loans at fair value through P&L.2 Compared to 2021, the presentation changed. In the line Other the fair value adjustment from hedge accounting, impairment allowances not in scope of IFRS 9 and amortisation and depreciation are now taken into consideration for the calculation of the gross carrying amount. Comparative figures have been adjusted accordingly.3 Excluding fair value adjustments from hedge accounting.Forborne exposures b Clients in (or potentially in) financial difficulty and whose contracts have been amended in ways that are regarded as concessions on the part of the bank are accounted Overview of forborne assets b 31 December 2022Performing assetsNon-performing assetsTem-Perma-Total Tem-Perma-Total non- Gross porary nent Refi-performing porary nent Refi-performing Total Forbear-carrying modifi-modifi-nanc-forborne modifi-modifi-nanc-forborne forborne ance )(in millions)amountcationcationingassetscationcationingassetsassetsratioLoans and advances banks 2,990 0.0%Residential mortgages150,762 545 22 2 569 489 15 503 1,072 0.7%Consumer loans10,232 32 57 1 91 53 23 15 91 181 1.8%1Corporate loans86,731 585 2,258 374 3,217 383 1,774 282 2,439 5,655 6.5%1Other loans and advances customers7,497 0.0%Total loans and 1advances customers255,222 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1Total loans and advances258,212 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.for as forborne assets. The following table provides an overview of forborne assets, broken down into performing and non-performing assets, and classified by the type of forbearance measure. 31 December 2021Performing assetsNon-performing assetsTem-Perma-Total Tem-Perma-Total non- Gross porary nent Refi-performing porary nent Refi-performing Total Forbear-carrying modifi-modifi-nanc-forborne modifi-modifi-nanc-forborne forborne ance 3(in millions)amountcationcationingassetscationcationingassetsassetsratioLoans and advances banks 2,811 0.0%Residential mortgages146,351 2,445 18 1 2,464 590 24 2 616 3,080 2.1%Consumer loans10,794 60 47 4 111 86 26 12 124 235 2.2%1Corporate loans86,458 1,173 2,937 484 4,594 380 2,237 659 3,276 7,870 9.1%1Other loans and advances customers15,007 0.0%Total loans and advances 1, 2customers258,611 3,678 3,002 490 7,170 1,057 2,287 673 4,016 11,186 4.3%1, 2Total loans and advances261,421 3,678 3,002 490 7,170 1,057 2,287 673 4,016 11,186 4.3%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.Total forborne assets decreased from EUR 11.2 billion at 31 December 2021 to EUR 6.9 billion at 31 December 2022, mainly for residential mortgages and corporate loans. This decrease is specifically attributed to loans for which a payment deferral was granted after the outbreak of Covid-19 in 2020 and that came to the end of their two-year forbearance probation period. Under the forbearance rules, these loans ceased to be forborne if they were performing in accordance with the payment conditions. On 31 December 2022 the exposure subject to Covid-19 related forbearance measures was EUR 0.8 billion. Past due not classified as stage 3 b 31 December 2022Days past dueGross Assets not Total past due, carrying classified as > 30 days & but not stage 3 Past due 23(in millions)amountstage 3 or POCI \u2264 30 days\u2264 90 days > 90 daysor POCIratioLoans and advances banks 2,990 2,990 0.0%Residential mortgages150,762 149,619 879 52 7 939 0.6%Consumer loans10,232 9,869 104 50 23 178 1.7%1Corporate loans86,731 83,066 635 181 84 900 1.0%1Other loans and advances customers7,497 7,493 4 17 21 0.3%Total loans and 1advances customers255,222 250,047 1,623 284 131 2,038 0.8%1Total loans and advances258,212 253,038 1,623 284 131 2,038 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Materiality thresholds are applied for counterparties transferring to stage 3. Below these thresholds, amounts are reported on > 90 days past due.Past due exposures b When a counterparty is past due or exceeds its credit limit, all loans and advances (total gross carrying amount) in the related credit arrangement are considered to be past due. The absolute and relative materiality thresholds used for determining a defaulted status do not apply for the purposes of classification as past due. Below these thresholds, arrears of more than 90 days are reported as past due. 31 December 2021Days past dueGross Assets not Total past due carrying classified as > 30 days & but not stage 3 Past due 34(in millions)amountstage 3 or POCI \u2264 30 days\u2264 90 days > 90 daysor POCIratioLoans and advances banks 2,811 2,811 0.0%Residential mortgages146,351 145,087 759 49 12 820 0.6%Consumer loans10,794 10,385 133 29 26 188 1.7%1Corporate loans86,458 81,439 874 178 23 1,075 1.2%1Other loans and advances customers15,007 14,998 24 24 0.2%Total loans and 1, 2advances customers258,611 251,910 1,789 256 61 2,106 0.8%1, 2Total loans and advances261,421 254,720 1,789 256 61 2,106 0.8%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.4 Materiality thresholds are applied for counterparties which are transferred to impaired. Below these thresholds, amounts are reported on > 90 days past due.Compared to 31 December 2021, total arrears declined modestly from EUR 2.1 billion to EUR 2 billion, accounting for an unchanged past due ratio of 0.8%. Arrears in residential mortgages rose by EUR 0.1 billion to EUR 0.9 billion. As this was proportional to the growth of the portfolio, the past due ratio for residential mortgages remained stable at 0.6%. Similarly, consumer loans in arrears came down in line with portfolio movements and recorded an unchanged past due ratio of 1.7%. This steady credit performance of personal banking products can be attributed to the high job retention rates in the Netherlands, despite the inflationary economic environment. Arrears in corporate loans came down from EUR 1.1 billion to EUR 0.9 billion. A change in the past due accounting of the recourse portfolio at Asset Backed Finance contributed EUR 0.1 billion to this decline. Coverage and stage ratios b 31 December 2022 31 December 2021Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 3434(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,953 8 0.3% 98.8% 2,808 10 0.4% 99.9%Residential mortgages140,450 21 0.0% 93.2% 137,063 8 0.0% 93.7%Consumer loans9,121 30 0.3% 89.1% 9,348 23 0.2% 86.6%1Corporate loans69,103 256 0.4% 79.7% 69,364 130 0.2% 80.2%1Other loans and advances customers7,457 0.0% 99.5% 14,954 0.0% 99.6%1Total loans and advances customers226,130 308 0.1% 88.6% 230,729 162 0.1% 89.2%Stage 2Loans and advances banks37 0.0% 1.2% 3 0.5% 0.1%Residential mortgages9,169 57 0.6% 6.1% 8,025 22 0.3% 5.5%Consumer loans749 36 4.8% 7.3% 1,037 45 4.4% 9.6%1Corporate loans13,963 301 2.2% 16.1% 12,075 291 2.4% 14.0%1Other loans and advances customers36 2 5.6% 0.5% 44 1 3.2% 0.3%1Total loans and advances customers23,917 396 1.7% 9.4% 21,181 360 1.7% 8.2%Stage 3 and POCILoans and advances banksResidential mortgages1,143 75 6.6% 0.8% 1,264 52 4.1% 0.9%Consumer loans363 2 11 58.2% 3.5% 409 208 50.8% 3.8%1Corporate loans3,666 1,033 28.2% 4.2% 5,019 1,632 32.5% 5.8%1Other loans and advances customers4 3 83.9% 0.0% 9 3 32.0% 0.1%1Total loans and advances customers5,175 1,322 25.6% 2.0% 6,701 1,894 28.3% 2.6%Total of stages 1, 2, 3 and POCITotal loans and advances banks2,990 8 0.3% 2,811 10 0.4%Residential mortgages150,762 153 0.1% 146,351 82 0.1%Consumer loans10,232 277 2.7% 10,794 276 2.6%1Corporate loans86,731 1,590 1.8% 86,458 2,053 2.4%1Other loans and advances customers7,497 5 0.1% 15,007 4 0.0%1Total loans and advances customers255,222 2,026 0.8% 258,611 2,416 0.9%1, 2Total loans and advances258,212 2,034 0.8% 261,421 2,426 0.9%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.4 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2022: EUR 1 million; 31 December 2021: EUR 1 million).The stage 2 ratio increased to 9.4% (31 December 2021: 8.2%), mainly as a result of increases in stage 2 exposure, while total loans and advances decreased. Stage 2 exposure increased for corporate loans, partly because of clients who returned from stage 3. Inflow as a result of a weakening macroeconomic outlook led to an increase in stage 2 exposures for residential mortgages. The stage 2 coverage ratio remained stable at 1.7%. The stage 3 ratio decreased to 2.0% at 31 December 2022 (31 December 2021: 2.6%), attributable to an outflow of clients due to repayments and clients returning to stage 2. The stage 3 coverage ratio decreased from 28.3% to 25.6% due to the write-off or return to stage 2 of some highly provisioned loans. Purchased or Originated Credit Impaired (POCI) On 31 December 2022, loans classified as POCI amounted to EUR 9 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report. Exposure and impairment flows b This section provides more details on the exposure and impairment flows underlying the change in coverage and stage ratios shown in the previous section. Total loans and advances b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 233,537 21,183 6,701 261,421 220,705 25,602 8,474 254,781Transfer to stage 17,771 -7,662 -110 5,607 -5,517 -90Transfer to stage 2-14,007 15,050 -1,044 -7,863 8,412 -549Transfer to stage 3-864 -932 1,796 -890 -1,432 2,322Additional drawdowns and partial repayments-25,287 -73 -71 -25,430 -20,683 1,029 11 -19,643Originated or purchased48,595 48,595 71,356 71,356Matured or repaid-21,365 -3,728 -1,515 -26,608 -36,312 -7,148 -2,538 -45,998Write-offs-622 -623 - 11 -19 -1,087 -1,117Foreign exchange826 44 38 908 1,774 281 159 2,214Other movements-123 71 1 -51 -145 -24 -1 -171Balance at 31 December 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,4211 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI.Total loans and advances decreased compared to 31 December 2021, mainly due to a sharp decrease in Clearing exposures, which was also visible in other loans. This was primarily as a result of lower trading positions of Clearing clients at year-end 2022 and a decrease in margin contributions, mainly at European Commodity Clearing (ECC). The decrease was offset by an increase in residential mortgages (EUR 4.4 billion) and foreign exchange movements, with the latter being due to the depreciation in the value of the EUR compared to the USD. As our portfolio is now more Northwest Europe-oriented (due to the wind-down of the former CIB non-core business), the effect of this was less pronounced than in 2021. Transfers between stages were notably high for stage 2 exposures as a result of adjustments in the models\u2019 macroeconomic scenarios. Inflow in stage 3 was lower than the combined amount of write-offs, repayments and transfers to stage 2, leading to a strong reduction in stage 3 exposure. Exposure flows per product class are presented in the section Additional risk, funding & capital disclosures. Loan impairment charges and allowances b 31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 1 January 2022 10 82 276 2,053 4 2,426 153Transfer to stage 1-3 -9 -21 -33 -2Transfer to stage 24 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters57 12 61 130 2Originated or purchased7 4 44 55 12Matured or repaid-18 -12 -88 - 119 -7Impairment charges (releases) on loans and advances-2 73 59 41 1 171 -110Write-offs-3 -65 -556 -623Unwind discount / unearned interest accrued1 5 25 32Foreign exchange and other movements3 27 29 8Balance at 31 December 20228 153 277 1,590 5 2,034 512022Impairment charges (releases) on loans and advances-2 73 59 41 1 171 - 110Recoveries and other charges (releases)-17 -45 -42 -103 82Total impairment charges for the period -2 56 14 -1 1 67 -281 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.31 December 2021Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 1 January 2021 6 116 294 3,053 3 3,472 48Transfer to stage 1-6 -7 -21 -33 -1Transfer to stage 2-3 31 27 7Transfer to stage 321 51 107 1791Remeasurements10 5 39 425 1 480 101Changes in models-2 -1 1 -15 -17Changes in risk parameters-4 -31 -12 -54 -101Originated or purchased4 5 46 55 6Matured or repaid-19 -27 -563 -610 -18Impairment charges (releases) on loans and advances5 -28 47 -44 1 -20 94Write-offs-6 -69 -1,042 -1,117 -3Unwind discount / unearned interest accrued1 4 16 22Foreign exchange and other movements-1 69 69 14Balance at 31 December 2021 10 82 276 2,053 4 2,426 1532021Impairment charges (releases) on loans and advances5 -28 47 -44 1 -20 94Recoveries and other charges (releases)-18 -44 -79 -141 22Total impairment charges for the period 5 -46 3 -124 1 -161 1161 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.Loan impairment charges and allowances per stage b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 172 360 1,894 2,426 301 400 2,771 3,472Transfer to stage 157 -74 -16 -33 40 -62 - 11 -33Transfer to stage 2-31 153 -107 15 -35 112 -50 27Transfer to stage 3-17 -40 209 152 -12 -38 228 1791Remeasurements50 23 -103 -30 -108 41 547 480Changes in models-3 - 11 -3 -17Changes in risk parameters44 56 30 130 -34 -35 -32 -101Originated or purchased55 55 55 55Matured or repaid-14 -26 -79 - 119 -19 -18 -573 -610Impairment charges (releases) on loans and advances145 91 -66 171 -117 -10 107 -20Write-offs-622 -623 - 11 -19 -1,087 -1,117Unwind discount / unearned interest accrued32 32 22 22Foreign exchange and other movements-1 -55 84 29 -2 - 11 82 69Balance at 31 December 316 396 1,322 2,034 172 360 1,894 2,426Impairment charges (releases) on loans and advances145 91 -66 171 - 11 7 -10 107 -20Recoveries and other charges (releases)-103 -103 -141 -141Total impairment charges for the period 145 91 -169 67 -117 -10 -34 -1611 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.An addition of EUR 39 million (EUR 67 million on-balance and EUR -28 million off-balance) in impairments was recorded for 2022 (2021: release of EUR 46 million), resulting in a cost of risk of 3bps in 2022, compared to -7bps in 2021. Charges were attributable to a deteriorating economic outlook during the year, partly offset by releases from management overlays and releases for existing stage 3 clients. The releases in stage 3 can be largely attributed to the improved credit quality of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. For residential mortgages, charges of EUR 56 million were recorded in 2022, compared to a release of EUR 46 million in 2021. This was caused by the deteriorated macroeconomic outlook. The deteriorated economic outlook was also the main driver of the EUR 14 million impairment charges for consumer loans (2021: EUR 3 million). Impairments for consumer loans were also attributable to the deterioration of risk parameters in our consumer lending portfolios. A release of EUR 29 million (of which EUR 28 million was for off-balance exposures) was recorded for corporate loans in 2022 (2021: release of EUR 124 million). Impairment releases for corporate loans were recorded because of the improved credit quality of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. Individual and collective loan impairment allowances and management overlays b 31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 18 21 30 256 316 25Stage 257 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay26 9 294 328Total impairments 8 153 277 1,590 5 2,034 51Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,143 363 3,666 4 5,1751 Including POCI.31 December 2021Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 346 1,389 3 1,438 11 6Total individual impairments 46 1,389 3 1,438 116Collective impairmentsStage 110 8 23 130 172 17Stage 222 45 291 1 360 201Stage 352 162 243 456Total collective impairments 10 82 230 664 1 988 37- of which management overlay 24 46 354 424Total impairments 10 82 276 2,053 4 2,426 153Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,264 409 5,019 9 6,7011 Including POCI.Individual impairments decreased to EUR 896 million (31 December 2021: EUR 1,438 million) due to write-offs, repayments and transfers to stage 2. Total collective impairments amounted to EUR 1,138 million at year-end 2022 (31 December 2021: EUR 988 million) and included expected credit losses (ECL) as calculated by our IFRS 9 models and the management overlays we recorded. The ECL calculations take into account a probability weighted average of three economic scenarios. As the ECL model outcomes do not always reflect the current economic environment and circumstances, additional management overlays are applied to incorporate potential risks not fully captured by the model outcomes. During 2022, management overlays decreased to a total of EUR 328 million (31 December 2021: EUR 424 million). Of this decrease, EUR -43 million was due to reclassification of overlays to input data and in-model adjustments and did not have P&L impact. The remaining management overlays were mainly recorded for risks in the corporate loans portfolios and comprised the following: \u00c5 A new management overlay was applied for potential effects of the war in Ukraine that are not fully captured by the latest projections in our macroeconomic scenarios and existing IFRS 9 models. An initial overlay for second-order impact on potentially vulnerable clients was cancelled after individual clients were reviewed and, where appropriate, reclassified. As the uncertainty in the macroeconomic outlook as a whole continues to be high, the initial overlay was replaced by an overlay on impairments for third-order effects, amounting to EUR 123 million at year-end 2022. \u00c5 A new management overlay of EUR 34 million was formed for the potential impact that the government\u2019s measures to reduce nitrogen emissions may have on clients in livestock farming businesses in the Netherlands. \u00c5 The existing overlays, which cover anticipated additional risk costs relating to the wind-down of portfolios, decreased in line with the reducing exposure to these portfolios. Management overlays taken in previous years for the impact of Covid-19 decreased significantly: \u00c5 The management overlay applied for clients in sectors vulnerable to the impact of Covid-19-related restrictions was released after the Covid-19 restrictions were lifted in the Netherlands and analysis revealed there to be no material differences between the coverage ratios of vulnerable and non-vulnerable sectors. \u00c5 We also released a management overlay that captured expected credit risk deterioration due to Covid-19 in our Corporate Banking portfolio as we deem this effect to be largely incorporated into our credit risk parameters. \u00c5 A new management overlay was formed for potential underestimation of the delayed risk of Covid-19-related government support \u2013 especially tax deferrals \u2013 for corporate loans that are not individually managed. Compared to 31 December 2021, management overlays for our mortgage portfolio were stable as: \u00c5 The management overlay that covers the refinancing risk of interest-only mortgages was increased to take into account changes in the affordability tests as a result of rising interest rates. \u00c5 The management overlay that addresses the impact of excessive increases in property prices on the outcome of the IFRS 9 models was reclassified as an in-model adjustment. The management overlays within consumer lending portfolios decreased because the adjustment for modification losses was reclassified as an input data adjustment. All management overlays represent best estimates of the risks involved. The underlying reasoning and calculations are documented and discussed and approved by the Impairments and Provisioning Committee (IPC). Relevant experience related to the impact of Covid-19 on the model outcomes will be used to improve the models over time and reduce the need for management overlays. Macroeconomic scenarios in 2022 b Unweighted Weighted 44(in millions)Weight Macroeconomic variable 2023 2024 2025 2026ECLECL1 Real GDP Netherlands2.8% 2.6% 2.3% 1.6%2 Positive5% Unemployment3.9% 3.8% 3.7% 3.6% 1,0353 House price index1.0% 0.0% 1.0% 2.0% Real GDP Netherlands 0.5% 1.2% 1.6% 1.4%Baseline60% Unemployment 4.3% 4.2% 4.0% 4.0% 1,087 1,138 House price index -2.5% -2.5% -2.0% 1.0% Real GDP Netherlands -1.8% -0.4% 1.3% 1.8%Negative35% Unemployment 5.0% 4.9% 4.7% 4.7% 1,240 House price index -8.0% -12.0% -11.0% 0.0%1 Real GDP Netherlands, % change year-on-year.2 Unemployment Netherlands, % of labour force.3 House price index Netherlands - average % change year-on-year.4 Weighted and unweighted ECL are including all collective impairments. Previous reports showed ECL for stages 1 and 2 only. Comparative figures have been adjusted accordingly.Macroeconomic scenarios in 2021 b Unweighted Weighted 44(in millions) Weight Macroeconomic variable 2022 2023 2024 2025ECLECL1 Real GDP Netherlands4.5% 2.9% 2.5% 1.6%2 Positive10% Unemployment2.7% 2.3% 2.3% 2.2% 9243 House price index12.5% 5.0% 3.5% 3.0% Real GDP Netherlands 3.8% 2.4% 2.0% 1.4%Baseline60% Unemployment 3.1% 2.8% 2.8% 2.8% 953 988 House price index 10.0% 4.0% 3.0% 3.0% Real GDP Netherlands 2.7% 0.7% 2.3% 1.6%Negative30% Unemployment 4.0% 4.2% 3.4% 3.2% 1,078 House price index 0.0% -7.5% -10.0% -2.5%1 Real GDP Netherlands, % change year-on-year.2 Unemployment Netherlands, % of labour force.3 House price index Netherlands - average % change year-on-year.4 Weighted and unweighted ECL are including all collective impairments. Previous reports showed ECL for stages 1 and 2 only. Comparative figures have been adjusted accordingly.The scenario weights indicated in the above tables are in place for expected credit loss (ECL) calculation purposes only and are designed to capture prevailing uncertainties in the macroeconomic outlook in our ECL estimates. As the most recent macroeconomic indicators were more in line with the baseline than the negative scenarios, the adjustment to the weights used in the previous quarter was rolled back and weights were reset to their usual levels. Credit risk mitigation b Collateral reporting is based on the net collateral value (NCV). The NCV represents the amount expected to be recovered from the collateral pledged to the bank if the client defaults. Where necessary, certain discounts are applied. The NCV is approached by an average recovery rate observed for the specific type of collateral and, where applicable, by applying haircuts, for example in the event of currency mismatches. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis. A surplus is not included for guarantees as the debtor cannot be held liable for more than the maximum debt. Financial assets: offsetting, netting, collateral and guarantees b 31 December 2022Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading907 907 907 Derivatives 5,212 5,212 4,136 4,136 1,077 Financial investments 39,034 39,034 39,034 Securities financing 25,218 5,186 20,032 820 24,847 25,667 5,881 246 Interest-bearing deposits2,088 317 1,771 44 317 361 1,410 Loans and advances934 934 537 1,793 2,330 1,793 396 Other277 277 277 Total loans and advances banks3,300 317 2,982 582 1,793 317 2,692 1,793 2,083 Residential mortgages150,609 150,609 2,778 288,267 258 291,303 144,617 3,923 Consumer loans9,959 4 9,955 3,741 6,787 386 10,913 4,387 3,428 Corporate loans86,242 1,101 85,141 2,047 30,432 51,330 3,920 87,730 33,471 30,882 Other loans and advances customers7,491 7,491 377 50 19 446 18 7,064 Fair value adjustment from hedge accounting-9,335 -9,335 -9,335 Total loans and 1advances customers244,966 1,105 243,861 2,424 36,951 346,434 4,583 390,392 182,492 35,962 Loans at fair value through P&L66 66 66 Total loans and advances customers245,032 1,105 243,927 2,424 36,951 346,434 4,583 390,392 182,492 36,028 Other assets 3,532 1 3,531 52 520 842 1,414 427 2,544 Total on-balance sheet subject to netting and pledged agreements322,235 6,609 315,626 8,013 64,110 346,434 5,742 424,300 190,593 81,919 Assets not subject to netting and pledged agreements63,955 63,955 63,955 Total assets 386,190 6,609 379,581 8,013 64,110 346,434 5,742 424,300 190,593 145,875 Total off-balance sheet95,872 95,872 4,095 8,576 1,279 13,951 5,471 87,392 Total on- and off-balance sheet482,062 6,609 475,453 8,013 68,205 355,011 7,021 438,251 196,064 233,267 1 Excluding loans at fair value through P&L.2 Carrying amount includes loan impairment allowances where applicable.3 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.4 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.5 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.31 December 2021Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading1,155 1,155 1,155 Derivatives 3,785 3,785 2,312 85 2,397 1,388 Financial investments 43,165 43,165 43,165 Securities financing19,659 3,521 16,138 85 18,808 18,893 2,915 160 Interest-bearing deposits1,538 349 1,189 36 1 282 318 871 Loans and advances1,355 1,355 967 927 1,893 923 385 Other257 257 257 Total loans and advances banks3,150 349 2,801 1,002 927 282 2,211 923 1,513 Residential mortgages146,269 146,269 2,779 262,635 355 265,768 123,226 3,727 Consumer loans10,519 1 10,518 3,856 6,465 28 10,349 4,107 4,276 Corporate loans88,038 3,632 84,405 2,943 26,669 50,828 3,693 84,132 28,148 28,421 Other loans and advances - customers15,003 15,003 163 75 28 267 44 14,779 Fair value adjustment from hedge accounting1,951 1,951 1,951 Total loans and 1advances customers261,779 3,633 258,146 3,105 33,304 320,003 4,103 360,516 155,525 53,155 Loans at fair value through P&L104 104 104 Total loans and advances customers261,884 3,633 258,251 3,105 33,304 320,003 4,103 360,516 155,525 53,259 Other assets 3,330 1 3,330 2 370 69 441 330 3,218 Total on-balance sheet subject to netting and pledged agreements336,127 7,504 328,624 6,508 53,494 320,003 4,454 384,459 159,693 103,858 Assets not subject to netting and pledged agreements70,490 70,490 70,490 Total assets 406,617 7,504 399,113 6,508 53,494 320,003 4,454 384,459 159,693 174,347 Total off-balance sheet93,977 93,977 4,683 8,130 1,961 14,774 5,022 84,225 Total on- and off-balance sheet500,594 7,504 493,091 6,508 58,178 328,133 6,415 399,233 164,714 258,572 1 Excluding loans at fair value through P&L.2 Carrying amount includes loan impairment allowances where applicable.3 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.4 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.5 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Total risk mitigation increased, driven by an increase in property and equipment and in residential mortgages, mainly due to rising house prices. As a result, surplus collateral also increased. In the case of consumer loans, total risk mitigation was relatively stable and net exposure declined slightly. The increase in total risk mitigation for corporate loans was evidenced by an increase in collateral for financial instruments. This was mainly driven by an increase in marketable securities collateral in the context of securities financing, mostly between financial institutions. The total net exposure of loans and advances customers decreased to EUR 36.0 billion in 2022 (31 December 2021: EUR 53.2 billion). This was primarily driven by other loans and advances and related to Clearing activities (i.e. posting cash collateral and default fund contributions). The decrease in exposure driven by fair value accounting from hedge accounting was due to the increase in interest rates. Financial assets: offsetting, netting, collateral and guarantees for credit-impaired assets b Collateral and guarantees for credit-impaired assets (stage 3 and POCI) represent credit risk mitigation based on the net collateral value (NCV) for clients in default. The carrying amount includes expected credit loss allowances, based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. The Financial In line with the decrease in the stage 3 carrying amount (including POCI) to EUR 3.9 billion (31 December 2021: EUR 4.8 billion), total risk mitigation decreased to EUR 4.6 billion in 2022 (31 December 2021: EUR 5.4 billion). This decrease was mainly observed in property and equipment and, to a lesser extent, other collateral and guarantees. The decline in property and equipment for corporate loans was partly offset by an increase for residential mortgages due to indexation. As the decrease in the stage 3 portfolio (including POCI) exceeded the decline in total risk mitigation, net exposure decreased by EUR 74 million to EUR 661 million at 31 December 2022. 31 December 2022Offset in the statement Not offset in the statement Net 4of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 123(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralLoans and advances banksResidential mortgages 1,068 1,068 11 1,854 1 1,865 799 2 Consumer loans 151 151 23 71 11 105 32 79 Corporate loans 2,632 2,632 4 608 1,734 324 2,670 617 579 Other loans and advances customers1 1 1 Total loans and advances customers3,852 3,852 4 641 3,659 336 4,640 1,449 661 Total loans and advances 3,852 3,852 4 641 3,659 336 4,640 1,449 661 31 December 2021Loans and advances banksResidential mortgages1,212 1,212 12 1,821 1 1,834 632 11Consumer loans201 201 12 103 3 118 33 11 7Corporate loans3,387 3,387 5 648 2,504 333 3,491 708 603Other loans and advances customers6 6 2 2 4Total loans and advances customers4,806 4,806 5 672 4,428 340 5,445 1,373 735Total loans and advances 4,806 4,806 5 672 4,428 340 5,445 1,373 7351 Carrying amount includes loan impairment allowances where applicable.2 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.3 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.4 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Restructuring & Recovery department identifies the most likely scenarios for non-programme lending defaulted clients (going concern or gone concern) and estimates the amounts and timing of expected future cash flows. This explains why a net exposure remains after collateral pledged to the bank is taken into account. During 2022 ABN AMRO obtained property and equipment by taking possession of collateral held as security for loans and advances. The total amount of such assets held on 31 December 2022 amounted to EUR 4 million (2021: EUR 4 million). ABN AMRO does not intend to use these assets in its operations and will pursue timely and orderly realisation of the collateral. Financial liabilities: offsetting, netting, collateral and guarantees b 31 December 2022Offset in the statement Not offset in the statement Net 3of financial positionof financial positionexposureCarrying Less: amount before balance sheet Master Financial - of which balance-sheet netting with Carrying netting instruments Total risk surplus 12(in millions)nettinggross assetsamountagreementcollateralmitigationcollateralFinancial liabilities held for trading 641 641 641 Derivatives 4,148 4,148 2,480 2,480 1,668 Securities financing 14,839 5,186 9,652 820 13,798 14,618 6,478 1,512 Deposits17,531 32 17,499 688 688 16,811 Other10 10 10 Due to banks 17,541 32 17,509 688 688 16,821 Deposits253,913 1,390 252,523 1,659 1,659 250,864 Other borrowings2,491 2,491 2,367 2,367 124 Due to customers 256,405 1,390 255,015 4,026 4,026 250,989 Other liabilities 5,187 1 5,187 5,187 Total liabilities subject to netting arrangements298,761 6,609 292,152 8,013 13,798 21,812 6,478 276,818 Remaining liabilities not subject to netting64,616 64,616 64,616 Total liabilities 363,376 6,609 356,767 8,013 13,798 21,812 6,478 341,434 1 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.2 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.3 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.31 December 2021Offset in the statement Not offset in the statement Net 3of financial positionof financial positionexposureCarrying Less: balance amount before sheet netting Master Financial - of which balance-sheet with gross Carrying netting instruments Total risk surplus 12(in millions)nettingassetsamountagreementcollateralmitigationcollateralFinancial liabilities held for trading 687 687 687 Derivatives4,344 4,344 3,706 3,706 638 Securities financing 13,015 3,521 9,494 78 11,042 11,120 3,306 1,680 Deposits38,133 67 38,066 507 507 37,558 Other10 10 10 Due to banks 38,143 67 38,076 507 507 37,568 Deposits254,468 3,915 250,553 1,732 1,732 248,821 Other borrowings665 665 484 484 181 Due to customers 255,133 3,915 251,218 2,216 2,216 249,002 Other liabilities 4,758 1 4,757 4,757 Total liabilities subject to netting arrangements316,079 7,504 308,575 6,508 11,042 17,550 3,306 294,332 Remaining liabilities not subject to netting68,538 68,538 68,538 Total liabilities 384,617 7,504 377,114 6,508 11,042 17,550 3,306 362,870 1 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.2 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.3 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Additional information on exposure flows Gross carrying amount of residential mortgages b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 137,063 8,025 1,264 146,351 135,407 9,141 1,124 145,672 Transfer to stage 13,838 -3,823 -15 3,383 -3,362 -20 Transfer to stage 2-6,587 7,023 -436 -4,285 4,639 -355 Transfer to stage 3-257 -338 595 -293 -492 785 Additional drawdowns and partial repayments-14,064 -1,509 -232 -15,805 -6,011 1 1 -6,010 Originated or purchased22,879 22,879 22,178 22,178 Matured or repaid-2,421 -208 -31 -2,660 -13,317 -1,903 -265 -15,484 Write-offs-3 -3 -6 -6 Foreign exchange1 1 1 Balance at 31 December 140,450 9,169 1,143 150,762 137,063 8,025 1,264 146,351 1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI. Gross carrying amount of consumer loans b 2022 202111(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 9,348 1,037 409 10,794 9,707 1,068 456 11,232 Transfer to stage 1443 -433 -11 219 -205 -15 Transfer to stage 2-343 360 -17 -455 458 -3 Transfer to stage 3-50 -58 108 -53 -28 80 Additional drawdowns and partial repayments-340 -24 -11 -375 -1,203 -16 19 -1,201 Originated or purchased1,911 1,911 2,538 2,538 Matured or repaid-1,852 -134 -51 -2,037 -1,403 -250 -57 -1,710 Write-offs-65 -65 -69 -69 Foreign exchange3 4 4 1 5 Other movements -7 9 -2 Balance at 31 December 9,121 749 363 10,232 9,348 1,037 409 10,794 1 Including POCI.Gross carrying amount of corporate loans b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3Total3Balance at 1 January69,364 12,075 5,019 86,458 64,517 15,356 6,873 86,745 Transfer to stage 13,472 -3,388 -84 2,002 -1,947 -55 Transfer to stage 2-7,040 7,631 -591 -3,102 3,293 -191 Transfer to stage 3-557 -536 1,093 -540 -909 1,449 Additional drawdowns and partial repayments-3,391 1,449 175 -1,767 -19,948 1,047 11 -18,889 Originated or purchased23,683 23,683 46,463 46,463 Matured or repaid-16,920 -3,381 -1,431 -21,732 -21,258 -4,992 -2,216 -28,466 Write-offs-555 -556 -11 -19 -1,012 -1,042 Foreign exchange577 43 37 657 1,357 280 159 1,795 Other movements-84 71 1 -13 -116 -33 1 -149 Balance at 31 December 69,103 13,963 3,666 86,731 69,364 12,075 5,019 86,458 1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI. Gross carrying amount of off-balance b 2022 202111(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 50,199 6,019 1,271 57,488 51,194 6,183 1,275 58,653 Transfer to stage 11,960 -1,923 -37 995 -968 -27 Transfer to stage 2-2,801 2,958 -157 -1,352 1,430 -79 Transfer to stage 3-81 -82 164 -26 -261 287 Additional drawdowns and partial repayments-9,513 -668 -547 -10,728 -6,593 -248 - 111 -6,952 Originated or purchased10,701 10,701 8,251 8,251 Matured or repaid-549 -138 -687 -3,122 -182 -99 -3,403 Write-offsForeign exchange271 42 7 320 854 65 23 942 Other movements -3 -3 Balance at 31 December 50,187 6,209 700 57,095 50,199 6,019 1,271 57,488 1 Including POCI.Loan impairment charges and allowances \u2013 residential mortgages b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 8 22 52 82 14 44 58 116 Transfer to stage 16 -8 -1 -3 12 -15 -3 -6 Transfer to stage 2-2 20 -14 4 -1 15 -14 Transfer to stage 3-1 -2 21 17 -1 -5 27 21 1)Remeasurements-12 5 16 9 -10 15 5 Changes in models-1 -1 Changes in risk parameters17 28 12 57 -8 -11 -12 -31 Originated or purchased7 7 4 4 Matured or repaid-1 -7 -10 -18 -1 -6 -13 -19 Impairment charges (releases) on loans and advances13 35 25 73 -6 -21 -1 -28 Write-offs-3 -3 -6 -6 Unwind discount / unearned interest accrued1 1 1 1 Foreign exchange and other movements -1 Balance at 31 December 21 57 75 153 8 22 52 82 Impairment charges (releases) on loans and advances13 35 25 73 -6 -21 -1 -28 Recoveries and other charges (releases) -17 -17 -18 -18 Total impairment charges for the period 13 35 8 56 -6 -21 -19 -46 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loans b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 23 45 208 276 38 41 215 294 Transfer to stage 113 -17 -5 -9 9 -12 -3 -7 Transfer to stage 2-2 11 -9 -8 25 -19 -3 Transfer to stage 3-5 42 37 -2 -8 61 51 1Remeasurements-9 -1 37 27 -7 13 33 39 Changes in models-4 5 1 Changes in risk parameters3 3 6 12 -3 -2 -6 -12 Originated or purchased4 4 5 5 Matured or repaid-2 -1 -9 -12 -4 -2 -21 -27 Impairment charges (releases) on loans and advances7 -10 61 59 -11 8 50 47 Write-offs-65 -65 -69 -69 Unwind discount / unearned interest accrued5 5 4 4 Foreign exchange and other movements 2 3 -4 -3 8 Balance at 31 December 30 36 211 277 23 45 208 276 Impairment charges (releases) on loans and advances7 -10 61 59 -11 8 50 47 Recoveries and other charges (releases) -45 -45 -44 -44 Total impairment charges for the period 7 -10 16 14 -11 8 6 3 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 130 291 1,632 2,053 243 316 2,494 3,053 Transfer to stage 138 -49 -10 -21 19 -36 -5 -21 Transfer to stage 2-27 123 -84 11 -26 73 -16 31 Transfer to stage 3-15 -34 147 98 -9 -24 140 107 1)Remeasurements74 18 -156 -64 -101 27 500 425 Changes in models-1 -6 -8 -15 Changes in risk parameters24 25 12 61 -19 -22 -13 -54 Originated or purchased44 44 46 46 Matured or repaid-10 -18 -60 -88 -14 -10 -539 -563 Impairment charges (releases) on loans and advances127 65 -152 41 -104 2 59 -44 Write-offs-555 -556 -11 -19 -1,012 -1,042 Unwind discount / unearned interest accrued25 25 16 16 Foreign exchange and other movements-1 -55 82 27 2 -7 74 69 Balance at 31 December 256 301 1,033 1,590 130 291 1,632 2,053 Impairment charges (releases) on loans and advances127 65 -152 41 -104 2 59 -44 Recoveries and other charges (releases) -42 -42 -79 -79 Total impairment charges for the period 127 65 -194 -1 -104 2 -21 -124 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 17 20 116 153 16 10 21 48 Transfer to stage 16 -8 -2 1 -3 -1 Transfer to stage 2-2 5 4 -2 9 7 Transfer to stage 3-1 1 1Remeasurements-4 -115 -120 7 94 101 Changes in risk parameters1 1 2 Originated or purchased12 12 6 6 Matured or repaid-4 -3 -7 -5 -3 -11 -18 Impairment charges (releases) 9 -4 -114 -110 1 10 83 94 Write-offs-1 -2 -3 Foreign exchange and other movements 8 8 14 14 Balance at 31 December 25 16 10 51 17 20 116 153 Impairment charges (releases) on off-balance9 -4 -114 -110 1 10 83 94 2Other charges (releases) 82 82 22 22 Total impairment charges for the period 9 -4 -32 -28 1 10 105 116 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 These charges (releases) relate to the off-balance sheet items that do not fall within the scope of IFRS 9 and for which stage information is not applicable.3 Including POCI.Forbearance credit quality b 31 December 2022Forborne assets Forborne Total not past due and assets past due, Impaired forborne not stage 3 but not stage 3 forborne Specific Collective Total (in millions)assetsor POCIor POCIassetsallowanceallowanceallowanceLoans and advances banksResidential mortgages1,072 622 69 382 34 34 Consumer loans181 87 5 88 4 54 58 1Corporate loans5,655 3,129 88 2,439 515 154 669 1Other loans and advances customers1Total loans and advances customers6,909 3,838 162 2,909 519 242 760 1Total loans and advances6,909 3,838 162 2,909 519 242 760 1 Excluding loans at fair value through P&L.31 December 2021Forborne assets Forborne Total not past due assets past due, Impaired forborne and not stage 3 but not stage 3 forborne Specific Collective Total (in millions)assetsor POCIor POCIassetsallowanceallowanceallowanceLoans and advances banksResidential mortgages3,080 2,524 93 464 29 29 Consumer loans235 109 8 11 8 4 80 85 1Corporate loans7,870 4,582 13 3,276 724 186 910 1Other loans and advances customers1Total loans and advances customers11,186 7,215 114 3,857 729 295 1,024 1Total loans and advances11,186 7,215 114 3,857 729 295 1,024 1 Excluding loans at fair value through P&L.Forborne assets by geography b 31 December 2022The Rest of Rest of (in millions)NetherlandsEurope USA Asiathe world TotalLoans and advances banksResidential mortgages1,064 8 1,072 Consumer loans147 34 181 1Corporate loans4,513 930 78 2 132 5,655 1Other loans and advances customers1Total loans and advances customers5,725 972 78 3 132 6,909 1Total loans and advances5,725 972 78 3 132 6,909 1 Excluding loans at fair value through P&L.31 December 2021The Rest of Rest of (in millions)NetherlandsEurope USA Asiathe world TotalLoans and advances banksResidential mortgages3,073 7 1 3,080 Consumer loans213 21 1 235 1Corporate loans6,186 1,265 106 3 310 7,870 1Other loans and advances customers1Total loans and advances customers9,473 1,293 106 3 311 11,186 1Total loans and advances9,473 1,293 106 3 311 11,186 1 Excluding loans at fair value through P&L.Forborne assets by business segment b (in millions) 31 December 2022 31 December 2021Personal & Business Banking2,358 8,672 Wealth Management243 229 Corporate Banking4,307 2,285 Total forborne assets 6,909 11,186 ", "dimensions": { "concept": "ifrs-full:DisclosureOfCreditRiskExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-31-4": { "value": "Accounting policy for measuring allowances for expected credit losses (ECL) The IFRS 9 impairment requirements are applicable to financial assets measured at amortised cost or fair value through other comprehensive income (FVOCI), loan commitments, lease receivables and contract assets and financial guarantee contracts. At each reporting date, these financial instruments are classified into one of three risk stages, depending on current credit quality, or as purchased or originated credit-impaired (POCI). POCI assets, which are credit-impaired at initial recognition, are accounted for at fair value (i.e. net of the initial lifetime ECLs) and do not carry an impairment Classification in stage 2 We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2. Change in credit quality since initial recognitionStage 1 Stage 2 Stage 3PerformingCredit quality deterioratedDefault = Impaired(Initial recognition)(Assets with significant increase in (Credit impaired assets)credit risk since initial recognition)Recognition of ECL12 month ECL Lifetime ECL Lifetime ECLInterest incomeEffective interest on gross carrying amount Effective interest on gross carrying amount Effective interest on amortised cost(gross carrying amount less loss allowance)allowance. Instead, a credit-adjusted effective interest rate (EIR), which is calculated using expected cash flows including initial lifetime ECLs, is applied to the amortised cost. Subsequently, the cumulative changes in lifetime ECLs since initial recognition, which are discounted at the credit-adjusted effective interest rate, are recognised in the profit or loss statement as an impairment gain or loss, and presented under impairment charges on financial instruments. Once a financial asset is classified as POCI, it retains that classification until it is derecognised (in the event that a substantial modification loss larger than 10% is applicable). For this reason, POCI stage is not included in the following figure. Quantitative stage triggers The key quantitative metric that determines when a financial instrument is transferred from stage 1 to stage 2 is the deterioration in the lifetime probability of default (LPD) from the date of origination to the reporting date, based on internal data. The LPD represents the likelihood that a counterparty will default during the lifetime of the financial instrument and depends on credit risk drivers such as: \u00c5 product characteristics (e.g. repayment and interest terms, term of the product); \u00c5 the financial condition of the borrower; \u00c5 the number of days past due; \u00c5 expected developments in the economy. The lifetime PD deterioration (LPDD) measures the relative difference between the remaining lifetime PD at reporting (LPDR) and the remaining lifetime PD at origination (LPDO) as LPDD = LPDR/LPDO. If the LPD deterioration of an exposure is above a predefined Range of lifetime PD deterioration thresholds b Product class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xQualitative stage triggers The bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u00c5 Forborne status of a borrower; \u00c5 Watch status of a borrower. ABN AMRO assigns the watch status to counterparties with an increased credit risk. This process comprises intensive monitoring, early detection of deterioration in the credit portfolio and appropriate follow-up measures; \u00c5 A delinquency-based regulatory backstop is in place, such that the credit risk of financial assets that are more than 30 days past due will be assumed to have significantly increased. Reclassification to stage 1 As a general rule, favourable changes in credit risk are recognised consistently with unfavourable changes, and a financial instrument is transferred back to stage 1 if quantitative or qualitative triggers are no longer met. In some cases, a probation period applies: \u00c5 Forborne financial instruments are transferred back from stage 2 to stage 1 only after a probation period of at least two years has ended, in line with the ABN AMRO forbearance policy. Stage 3 forborne instruments transfer back to stage 2 after a cure period of at least one year; \u00c5 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1. threshold, the LPD is considered to be significantly deteriorated. The exposure is then transferred to stage 2 and impairment allowances equal to the lifetime expected credit loss are recognised. If the LPD deterioration subsequently reduces and falls below the threshold, the client is transferred back to stage 1. When determining the thresholds, ABN AMRO distinguishes between various portfolios within consumer lending, residential mortgages and corporate loans. A specific threshold is calculated for each portfolio, based on a statistical method. The following table shows LPD deterioration thresholds that triggered transfers to stage 2 as at 31 December 2022. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model. Classification in stage 3 A transfer to stage 3 will always be the result of the default of a financial instrument. Our definitions of default and impaired are aligned and comply with the European Banking Authority (EBA) guidelines on the application of the definition of default. All models use a consistent definition of default, which has been specified in line with regulations. A default is deemed to have occurred when: \u00c5 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u00c5 the bank considers the borrower to be unlikely to meet its contractual obligations (unlikely to pay, or UTP). The materiality of a financial obligation past due is assessed against an absolute and a relative threshold, in line with regulatory standards. To determine unlikeliness to pay, the bank has specified both mandatory default triggers (always resulting in the assignment of a default status, whereby no additional expert judgement is allowed) and judgemental triggers (requiring an assessment by credit risk managers to determine whether the UTP indications should result in a default classification). The mandatory triggers include the reporting of a forborne exposure under probation as non-performing for being 30 days past due or owing to an additional forbearance measure being applied. As a result, the definitions of non-performing and default are materially aligned. Reclassification to stage 2 The default classification for non-forborne exposures ends when the default triggers no longer apply and a (probation) cure period of at least three months has passed since the default trigger was last applied. For forborne exposures, a twelve-month cure period Asset in scope?YESPurchased or originated credit impaired (POCI)?NOYESDefault trigger hit?NOYESLifetime PD significantly deteriorated?NOYESWatch listNOYESForbearance (but not impaired)Days past due0-30>30Stage 1 Stage 2 Stage 3 Stage POCICalculation method ABN AMRO recognises loss allowances based on the Expected Credit Loss model (ECL) of IFRS 9, which is designed to be forward-looking. The amount of ECL is based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. ABN AMRO distinguishes between two types of calculation methods for credit loss allowances: \u00c5 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u00c5 Collective 12-month ECL (stage 1) and LECL (stage 2 and 3) for financial instruments that have similar credit risk characteristics (e.g. residential mortgages, consumer loans and SME loans) are clustered in portfolios and collectively assessed for impairment losses. A collective impairment calculation approach based on individual parameters is also applied to stage 3 exposures below EUR 3 million. ABN AMRO has models to quantify the Probability of Loss (PL), Loss Given Loss (LGL) and Exposure at Loss (EAL) for the purpose of calculating the collective 12-month ECL and LECL for these financial instruments. starts from the moment the last forbearance measure or default trigger was applied. After the cure period, an assessment is performed to establish whether the improvement in the credit quality is factual and permanent (including, for example, no remaining past due amounts). Lifetime expected credit loss ABN AMRO defines the lifetime of credit as the maximum contractual period during which the bank is exposed to credit risk; we do not apply a longer period, even if that longer period is consistent with business practice. For some contracts, such as overdraft facilities or credit cards, no end date is specified or amounts can be contractually withdrawn by the lender at short notice. In these cases, ABN AMRO uses behavioural maturity models that rely on historical client behaviour to determine future expected exposures. Forward-looking information For expected credit loss calculations, ABN AMRO uses three different scenarios of future economic developments: a baseline (or most likely) scenario, a negative scenario and a positive scenario. The three scenarios are incorporated into the expected credit loss calculation and risk stage determination in a probability-weighted manner. In order to incorporate the latest economic outlook, the scenarios and their weights are reviewed each quarter and adjusted if necessary. Details of the scenarios and their weights used in the reporting period can be found in the Credit risk review section. The baseline scenario entails our Group Economics analysts\u2019 current macroeconomic base scenario, which usually covers the current year and subsequent year. For the purpose of scenario analysis under IFRS 9, this baseline is extended by three additional calendar years, after which it is assumed that macroeconomic variables (MEVs) gradually move to their potential or equilibrium values. At least once every quarter, Group Economics compares its forecasts with those of institutions like CPB, DNB, ECB, IMF or OECD, in order to determine possible differences and to analyse whether it can underpin those. This external benchmarking exercise is a standard input to the Scenario Booklet that is presented to the bank\u2019s Scenario and Stress Testing Committee for approval. Group Economics also develops a negative and a positive scenario. These scenarios are designed to give an impression of the bandwidth within which the economy, interest and FX rates, and other relevant variables are likely to move in the next four to five years, with a probability of around 85% (roughly corresponding to a standard deviation of plus and minus one and a half). Hence, these scenarios produce upper and lower boundaries, with a resulting bandwidth between the outcomes of the negative (\u2018bad weather\u2019 in terms of financial results of the bank) and positive (\u2018good weather\u2019) scenarios. To determine these boundaries, Group Economics may look at historical developments, medium-term (non-baseline) scenarios made by the aforementioned institutions, and other relevant developments. Management overlays and other adjustments Where necessary to reflect the credit risk dynamics not captured by our models, management judgement is applied via a management overlay or other IFRS 9 adjustment. A management overlay is a temporary adjustment in a loss allowance until a long-term solution (e.g. model adjustment) is effective, and must be an amount commensurate to the model limitation. All overlays require a decision of the Impairment and Provision Committee (IPC). The main types of management overlays that ABN AMRO distinguishes are: post-model adjustments (adjustments to model outcomes), adjustments in the weightings of macroeconomic scenarios and stage overrides. Other adjustments such as adjustments to model parameters or input data are not considered management overlays, but follow the same internal approval process. Climate and environmental risks in ECL Incorporating climate risk explicitly into ECL models is challenging due to the lack of historical data and the horizon on which climate and environmental risks are expected to materialise. We are taking steps to gain deeper insight into how climate and environmental risks affect our clients, and to eventually embed them into our IFRS 9 ECL models. The target state is to have CER reflected in all four modelling frameworks (IRB models, IFRS, stress testing and EC). Although the impact of climate risk on ECL can only be estimated with a high degree of uncertainty regarding amounts of losses and the time horizon on which it will materialize, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate and environmental risks are playing an increasing role in government policies and macroeconomic developments. To capture climate and environmental risks in ECL and related scenario processes, each macroeconomic scenario is accompanied by an overview that illustrates which of these risks are included in the various projected macroeconomic indicators. For short term identifiable events that are not (yet) included in the macroeconomic forecasts, management overlays on ECL can be taken. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen reducing measures. With the combination of macroeconomic scenarios and this management overlay we deem to be adequately provisioned for climate and environmental risks. Cured financial assets When a credit impaired financial asset cures, the interest that was previously unrecognised is reported as an impairment release in the impairment charge rather than as a credit to the interest income calculated using the effective interest method. Write-off \u00c5 For non-programme lending, a write-off must be recorded if all possible means of recovery have been exhausted and it has become clear that there is a low probability of recovering the debt, either in part or full. \u00c5 Most of the programme lending facilities are automatically written-off after 1,080 days in default. Such loans are written off after all the necessary procedures have been completed and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off are credited to impairment charges on financial instruments in the income statement. Accounting policy for offsetting financial assets and liabilities b Financial assets and liabilities are offset, and the net amount is reported on the EU IFRS balance sheet, if there is a legally enforceable right to set off the recognised amounts and there is an intention either to settle on a net basis or to realise the asset and settle the liability simultaneously. The bank applies netting to debtor and creditor balances, such as current accounts, where offsetting is justified by formal agreement with the client, provided they meet the applicable criteria. Accounting policy for enforceable master netting agreements or similar instruments b Enforceable master netting arrangements take into account all agreements containing conditions that allow offsetting in the event of default. In addition, agreements are enforceable if the bank has a legally enforceable right to offset and no ability and/or intention to realise the asset and settle the liability simultaneously. These arrangements include derivative clearing agreements, global master repurchase agreements and global master securities lending agreements. 1 Accounting policies The notes to the Consolidated Annual Financial Statements, including the audited information in the Risk, funding & capital chapter, are an integral part of these Annual Financial Statements. This section describes ABN AMRO Bank\u2019s significant accounting policies and critical accounting estimates or judgements relating to the Annual Financial Statements. If an accounting policy or a critical accounting estimate relates to a specific note, it is included in the relevant note. Corporate information ABN AMRO Bank N.V.(referred to as ABN AMRO Bank, ABN AMRO, the bank or the parent company) and its consolidated entities provide financial services inthe Netherlands and abroad(together referred to as the group). ABN AMRO Bank is a public limited liability company, incorporated under Dutch law on 9 April 2009 inthe Netherlands, and registered atGustav Mahlerlaan 10, 1082 PP Amsterdam, the Netherlands(Chamber of Commerce number 34334259). As at 31 December 2022, all shares in the capital of ABN AMRO Bank N.V. are held by two foundations: NLFI and STAK AAB.NLFI holds 56.3% in ABN AMRO Bank N.V., of which 49.9% is held directly via ordinary shares and 6.4% is held indirectly via depositary receipts for shares in ABN AMRO Bank N.V. STAK AAB holds 50.1% of the shares in the issued capital of ABN AMRO Bank N.V. Both foundations have issued depositary receipts for shares in ABN AMRO Bank N.V. Only STAK AAB\u2019s depositary receipts are issued with the cooperation of ABN AMRO Bank N.V. and traded on Euronext Amsterdam.ABN AMRO provides a broad range of financial services to retail, private and corporate banking clients.These activities are conducted primarily in the Netherlands and selectively abroad. The Consolidated Annual Financial Statements of ABN AMRO Bank for the year ended 31 December 2022 incorporate financial information of ABN AMRO Bank N.V., its controlled entities, interests in associates and joint ventures. The Annual Financial Statements were prepared by the Executive Board and authorised for issue by the Supervisory Board and Executive Board on 7 March 2023. Statement of compliance The Consolidated Annual Financial Statements have been prepared in accordance with International Financial Reporting Standards (IFRS), as endorsed by the European Union (EU). They also comply with the financial reporting requirements set out in Title 9 of Book 2 of the Dutch Civil Code, where applicable.Basis of preparationThe Consolidated Annual Financial Statements have been prepared on a historical cost basis, except for derivative financial instruments, financial assets and liabilities held for trading or designated as measured at fair value through profit or loss, financial instruments not held in a \u2018hold to collect\u2019 business model, debt instruments that do not meet the solely payments of principal and interest (SPPI) test, and equity investments in associates or joint ventures for which the venture capital exemption is applied, all of which are measured at fair value through profit or loss. The carrying values of recognised assets and liabilities that are hedged items in fair value hedges, and otherwise carried at amortised cost, are adjusted to record changes in fair value attributable to the risks that are being hedged. Associates and joint ventures are accounted for using the equity method.The Annual Financial Statements are presented in euros, which is the presentation currency of ABN AMRO, rounded to the nearest million (unless otherwise stated).The financial statements are prepared on a going concern basis.Changes in accounting policies and presentation Changes in accounting policies The International Accounting Standards Board issued several amendments to existing standards (and endorsed by the EU), which become effective for the reporting period beginning 1 January 2023. The standards amended are: IAS 1 Disclosure of accounting policies; IAS 8 Definition of accounting estimate; IAS 12 Deferred Tax related to Assets and Liabilities arising from a Single Transaction. The impact of these amendments on the consolidated financial statements are insignificant. IFRS 17 \u2013 Insurance Contracts In May 2017, the IASB issued IFRS 17 Insurance Contracts (IFRS 17), a comprehensive new accounting standard for insurance contracts covering recognition and measurement, presentation and disclosure. IFRS 17 will replace IFRS 4 Insurance Contracts (IFRS 4) that was issued in 2005. IFRS 17 applies to all types of insurance contracts (i.e., life, non-life, direct insurance and re-insurance), regardless of the type of entities that issue them, as well as to certain guarantees and financial instruments with discretionary participation features. A few scope exceptions will apply. IFRS 17 introduces new accounting requirements for banking products with insurance features that may affect the determination of which instruments or which components thereof will be in the scope of IFRS 9 or IFRS 17.IFRS 17 is effective for reporting periods beginning on or after 1 January 2023, with comparative figures required. ABN AMRO does not apply for an early application of IFRS 17.ABN AMRO has completed the assessment of the impacts of adopting IFRS 17. ABN AMRO offers limited banking products with significant insurance risk embedded, such as equity release mortgages and loans with a death waiver, and has assessed that the impact of IFRS 17 on these insurance contracts is not material, except for the equity release mortgage.Currently, ABN AMRO applies unbundling of the loan component from the insurance contract for equity release mortgage, which was permitted in accordance with IFRS 4. The loan component was measured at amortised cost in accordance with IFRS 9 and the insurance component, the No Negative Equity Guarantee (NNEG), as an insurance contract in accordance with IFRS 4, which meant the measurement was based on IAS 37.In accordance with the currently issued IFRS 17, unbundling of the loan component from the insurance contract is not permitted anymore. For loan contracts (such as equity release mortgages and loans with a death waiver) that meet the definition of insurance but limit the compensation for insured events to the amount otherwise required to settle the policyholder\u2019s obligation created by the contract, the issuers of such loans, have an option to apply IFRS 9 or IFRS 17. The election would be made at a portfolio level and would be irrevocable. ABN AMRO\u2019s policy is to apply IFRS 9 to such loans. Since ABN AMRO has chosen to apply IFRS 9 to the equity release mortgage, these loans in their entirety, i.e. including the NNEG feature, do not meet the SPPI criterion. Therefore they should be measured in their entirety at fair value through profit or loss as of 1 January 2023. ABN AMRO applies the change in classification and measurement retrospectively. Furthermore, ABN AMRO has a captive insurance entity (ABN AMRO Captive N.V.) and two equity accounted insurance entities (Neuflize Vie S.A. and Nationale Nederlanden \u2013 ABN AMRO Verzekeringen Holding B.V.). IFRS 17 has an impact on the shareholders\u2019 equity, net result, presentation and disclosures of these entities.The total IFRS 17 impact on the opening equity balance (retained earnings) of 2023 is approximately EUR 200 million, mainly because the fair value of the equity release mortgages as of 1 January 2023 is significantly below the carrying amount at amortised cost due to the increased mortgage rates. Onerous Contracts \u2013 Costs of Fulfilling a Contract \u2013 Amendments to IAS 37 In May 2020, the IASB issued amendments to IAS 37 to specify which costs an entity needs to include when assessing whether a contract is onerous or loss-making. The amendments apply a \u2018directly related cost approach\u2019. The costs that relate directly to a contract to provide goods or services include both incremental costs and an allocation of costs directly related to contract activities. The amendments are effective for annual reporting periods beginning on or after 1 January 2022. Based on the amendments, certain other directly related costs have been included by ABN AMRO in the measurement of provisions in scope of IAS 37. Changes in presentation Prior to 1 January 2022, the reconciliation between the carrying amounts at the beginning and the end of the period for each component of equity changes resulting from other comprehensive income were disclosed in a separate table as part of the statement of changes in equity. In 2022, the movement schedule explaining the equity components of other comprehensive income including the comparatives was moved to Note 33 Equity attributable to owners of the parent company. Furthermore, in 2022, ABN AMRO changed the presentation of \u2018Items that may be reclassified to the income statement\u2019 in the Statement of Other Comprehensive Income including comparatives to provide more relevant information about the effectof the reclassification adjustments. New standards, amendments and interpretations not yet endorsed The International Accounting Standards Board issued the following amendments to existing standards that are not yet endorsed by the EU. It is expected that these amendments will become effective for the reporting period beginning 1 January 2024. Since the amendments are not yet endorsed these changes are not open for early adoption. The standards amended are: IAS 1 Classification of liabilities as current or non-current; IFRS 16 Lease liability in a sale and lease back. The expected impact of these changes on the consolidated financial statements is insignificant. Critical accounting estimates and judgements In preparing the financial statements, management needs to exercise its judgement in the process of applying ABN AMRO\u2019s accounting policies and make estimates and assumptions concerning the future. Actual results may differ from those estimates and assumptions. Accounting policies for the most significant areas that require management to make judgements and estimates affecting reported amounts and disclosures are made in the following sections: Impairment losses on financial assets measured at AC - Risk, funding & capital management section Income tax expense, tax assets and tax liabilities - Note 11 Impairment of instruments measured at FVOCI - Note 17 Fair value of financial instruments - Note 19 Impairment of ROU assets and goodwill - Note 24 Provisions - Note 30 The year 2022 saw the outbreak of the war in Ukraine, while the impact of Covid-19 became less pronounced. Additionally, energy prices have risen significantly in ABN AMRO\u2019s major markets. These developments could impact the estimated expected credit losses of the financial instruments in scope of IFRS 9. The impact on the estimates and assumptions is disclosed in more detail in the Risk, funding & capital management section. Assessment of risks, rewards and control Whenever ABN AMRO is required to assess risks, rewards and control, as well as when considering the recognition and derecognition of assets or liabilities and the consolidation or deconsolidation of subsidiaries, it may sometimes be required touse judgement. Although management uses its best knowledge of current events and actions in making such assessments, the actual risks, rewards and control may ultimately differ. Significant accounting policies Basis of consolidation The Consolidated Annual Financial Statements of ABN AMRO Bank N.V. include the financial statements of the parent company and its controlled entities, thus incorporating the assets, liabilities, revenues and expenses of ABN AMRO Bank N.V. and its subsidiaries. Non-controlling interests (held by third parties) in the equity and results of group companies are presented separately in the Consolidated Annual Financial Statements. Subsidiaries are included using the same reporting period and consistent accounting policies. Intercompany balances and transactions, as well as any related unrealised gains and losses, are eliminated in preparing the Consolidated Financial Statements. Unrealised gains arising from transactions with associates and jointly controlled entities are eliminated to the extent of ABN AMRO\u2019s interest in the entities. Unrealised losses are also eliminated unless the transaction provides evidence of impairment in the asset transferred. Foreign currency ABN AMRO applies IAS 21 The Effects of Changes in Foreign Exchange Rates. Transactions in foreign currencies are translated into euros at the rate prevailing on the transaction date. Foreign currency balances of monetary items are translated into euros at period-end exchange rates. Exchange gains and losses on such balances are recognised in the income statement. The Consolidated Annual Financial Statements are stated in euros, which is the presentation and functional currency of ABN AMRO. The bank\u2019s foreign operations may have different functional currencies. The functional currency is the currency that best reflects the economic substance of the underlying event and circumstances relevant to that entity. Prior to consolidation (or equity accounting), the assets and liabilities of non-euro operations are translated into euros at the closing rate, and items in the income statement and other comprehensive income are translated at the rate prevailing on the transaction dates. Exchange differences arising on the translation of foreign operations are included in the currency translation reserve within equity. These are transferred to the income statement when the bank loses control, joint control or significant influence over the foreign operation. Financial assets and liabilities Classification and measurement of financial assets ABN AMRO classifies financial assets based on the business model in which they are held in accordance with IFRS 9. The business model is determined at portfolio level. Portfolios are based on how ABN AMRO manages financial assets in order to achieve a particular business objective. The business model assessment is based on the level of sales, risk management, performance evaluation and management compensation. Derecognition is used as a condition to determine whether a transaction results in a sale. Three business models are distinguished: \u00c5 \u2018Hold to collect\u2019 business model, in which cash flows are primarily generated by collecting contractual cash flows until maturity of the financial instrument. Sales can occur, as long as they are incidental, infrequent and insignificant. The assessment of the frequency and significance of sales is determined for each underlying portfolio. Sales that result from increases in the credit risk of the counterparty or take place close to maturity do not contradict the \u2018hold to collect\u2019 business model; \u00c5 \u2018Hold to collect and sell\u2019 business model, in which the selling of financial assets is integral to achieving the business objective. In this business model, sales take place more frequently and have a greater value than in a hold-to-collect business model; \u00c5 Other business models not meeting the criteria of the business models mentioned above, for example business models in which financial assets are managed with the objective of generating cash flows from sales (trading book), are measured at FVTPL. After the business model has been determined, the contractual cash flows of financial assets are assessed. Debt instruments can be classified at amortised cost or FVOCI only when the contractual cash flows are solely payments of principal and interest (SPPI). Contractual cash flows that are SPPI are consistent with a basic lending arrangement in which consideration for the time value of money and credit risk are typically the most significant interest elements. Debt instruments that do not meet the SPPI requirements are mandatorily measured at FVTPL. Financial assets are assessed in their entirety, including any embedded derivatives that are not separated from the host contract. Based on the business model determined and the SPPI assessment, the following measurement categories are identified under IFRS 9: \u00c5 Amortised cost \u2013 Financial instruments measured at amortised cost are debt instruments within a \u2018hold to collect\u2019 business model with fixed or determinable payments which meet the SPPI criteria. These instruments are initially measured at fair value (including transaction costs) and subsequently measured at amortised cost using the effective interest rate method. Financial instruments measured at amortised cost are presented net of credit loss allowances in the statement of financial position; Reclassifications of financial assets are expected to be very infrequent and occur only when ABN AMRO changes its business model for a certain portfolio of financial assets. Recognition and derecognition Traded instruments are recognised on the trade date, which is defined as the date on which ABN AMRO commits to purchase or sell the underlying instrument. If the settlement terms are non-standard, the commitment is accounted for as a derivative between the trade and settlement dates. Loans and advances are recognised when they are acquired or funded by ABN AMRO and derecognised when settled. Issued debt is recognised when issued, and deposits are recognised when the cash is deposited with ABN AMRO. Other financial assets and liabilities, including derivatives, are recognised when ABN AMRO becomes a party to the contractual provisions of the asset or liability. Financial assets are derecognised when ABN AMRO loses control and the ability to obtain benefits from the contractual rights that comprise that asset. This occurs when the rights are realised or expire, or when substantially all risks and rewards are transferred. Financial assets are also derecognised if the bank has neither transferred nor retained substantially all risks and rewards of ownership, but control has passed to the transferee. Financial assets continue to be recognised in the balance sheet, and a liability recognised for the proceeds of any related funding transaction, unless a fully proportional share of all or specifically identified cash flows are transferred to the lender without material delay and the lender\u2019s claim is limited to those cash flows, and substantially all the risks, rewards and control associated with the financial instruments, that have been transferred, in which case that proportion of the asset is derecognised. When the terms and conditions of a financial asset have been renegotiated or otherwise modified to the extent that, substantially, it becomes a new financial asset, ABN AMRO derecognises the financial asset, with the difference recognised in the income statement, to the extent that an impairment loss has not already been recorded. The newly recognised \u00c5 FVTPL \u2013 Financial instruments measured at FVTPL include instruments held for trading, derivatives, equity instruments for which the FVOCI option has not been elected and instruments whose cash flows do not meet the SPPI requirements. Changes in the fair value of these instruments are directly recognised in the income statement; \u00c5 FVOCI \u2013 Financial instruments measured at FVOCI are debt instruments which are held in a \u2018hold to collect and sell\u2019 business model and which meet the SPPI criteria. They are initially measured at fair value, with subsequent unrealised changes recognised in other comprehensive income. Equity instruments for which the fair value option is elected are also measured at FVOCI. Please refer to the Risk, funding & capital management section for our accounting policies on the measurement of expected credit losses on financial instruments measured at amortised cost and FVOCI. Classification of assets and liabilities held for trading A financial asset or financial liability is classified as held for trading if it is: \u00c5 Acquired or incurred principally for the purpose of selling or repurchasing it in the near term; \u00c5 Part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking; or \u00c5 A trading derivative (except for a derivative that is a designated and effective hedging instrument). Classification and measurement of financial liabilities Financial liability is initially recognised at its fair value minus, in the case of a financial liability not at fair value through profit or loss, transaction costs that are directly attributable to the acquisition or issue of the financial liability. Under IFRS 9, financial liabilities are classified as subsequently measured at amortised cost, except for the following instruments: \u00c5 Financial liabilities held for trading are measured at fair value through profit or loss; \u00c5 Financial liabilities that ABN AMRO has irrevocably designated at initial recognition as held at fair value through profit or loss when the instruments are held to reduce an accounting mismatch are managed on the basis of their fair value or include terms that have derivative characteristicsby nature. Under IFRS 9, the changes in fair value attributable to changes in the credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Financial liabilities are never reclassified after initial recognition. financial asset is classified as stage 1 for ECL measurement purposes. ABN AMRO assesses, in both qualitative and quantitative terms, whether such modifications are substantial. Generally, a 10% change in the net present value of the cash flows between the initial and new contract results in a derecognition. With regard to substantial modifications, e.g. due to forbearance measures, the derecognition gains or losses are recognised in net gains/(losses) on derecognition of financial assets measured at amortised cost and disclosed separately, if material. If the modification of the financial asset does not result in derecognition, the gross carrying amount of the financial asset is recalculated, based on the net present value of the new contractual cash flows, and discounted at the financial asset\u2019s original effective interest rate. The effect is recognised and disclosed as a modification loss in the income statement. Credit related modification gains or losses (i.e. due to forbearance measures) are recognised in the income statement and presented under impairment charges on financial instruments. Non-credit related modification gains or losses are recognised in the income statement and presented under interest income calculated using the effective interest method. Financial liabilities are derecognised when the liability has been settled, has expired or has been extinguished. An exchange of an existing financial liability for a new liability with the same lender on substantially different terms, qualitatively and quantitatively (a 10% difference in the present value of the cash flows), is accounted for as an extinguishment of the original financial liability and recognition of a new financial liability. The difference between the former amortised cost and the consideration paid is recognised in the income statement. Client clearing As a general clearing member, ABN AMRO provides clearing and settlement services to its clients for, among other things, exchange-traded derivatives. In its capacity as a clearing member, ABN AMRO guarantees the fulfilment of obligations towards central counterparty clearing houses (CCPs) of clients\u2019 transactions. ABN AMRO is not liable to clients for the non-performance of the CCP. In the event of a client defaulting, ABN AMRO has the legal obligation to settle all the client\u2019s positions with the relevant CCPs, possibly at a loss. Possible losses arising from this guarantee might relate not only to a client\u2019s current positions, but also to the client\u2019s future trades. ABN AMRO receives and collects (cash) margins from clients, and remits these margins to the relevant CCP in whole or in part. Given the stringent margin requirements set by the CCPs, possible future outflows of resources for new clearing transactions are considered close to zero. ABN AMRO does not reflect the exchange-traded derivatives cleared on behalf of clients in its financial statements. Under normal circumstances, the guarantee has no fair value and is not recognised in the financial statements. Any loss recognised in the event of non-performance of a client is in line with our contingent liabilities policy. Offsetting The bank offsets financial assets and liabilities and the net amount reported in the statement of financial position if it is legally entitled to set off the recognised amounts and intends to settle on a net basis, or to realise the asset and settle the liability simultaneously. Statement of cash flows For the purposes of the statement of cash flows, cash and cash equivalents comprise cash on hand, freely available balanceswith central banks and other banks, and net balances on current accounts with other banks with a maturity of less than threemonths from the date of acquisition. The statement of cash flows, based on the indirect method of calculating operating cash flows, gives details of the source of cash and cash equivalents which became available during the year and the applicationof these cash and cash equivalents over the course of the year. The cash flows are analysed into cash flows from operations, including banking activities, investment activities and financing activities. Movements in loans and advances and interbank deposits are included in the cash flow from operating activities. Investment activities are comprised of acquisitions, sales and redemptions in respect of financial investments, as well as investments in, and sales of, subsidiaries and associates, property and equipment. The issuing of shares and the borrowing and repayment of long-term funds are treated as financing activities. Cash flows arising from foreign currency transactions are translated into euros using the exchange rates at the date of the cash flows. Government grants Government grants are recognised in the income statement on a systematic basis over the periods that the related expenses, which the grants are intended to compensate, are recognised. In the case of an income-related grant, the grant is deducted from the related expense. Levies and other regulatory charges ABN AMRO recognises a liability arising from levies and similar charges when it becomes legally enforceable (i.e. when the obligating event arises). 2 Segment reporting Accounting policy for segment reporting The segment reporting is in accordance with IFRS 8 Operating Segments. The segments are reported in a manner consistent with internal reporting provided to the Executive Board, which is responsible for allocating resources and assessing performance and has been identified as the chief operating decision-maker. All transactions between segments are eliminated as intersegment revenues and expenses in Group Functions. Geographical data are presented according to the management view. Segment assets, liabilities, income and results are measured based on our accounting policies and include items directly attributable to a segment, as well as those that can be allocated on a reasonable basis. Transactions between segments are conducted on an arm\u2019s length basis. Interest income is reported as net interest income because management primarily relies on net interest income as a performance measure, not gross income and expense. 4 Net interest income Accounting policy for net interest income Interest income and expense on financial instruments is recognised in the income statement on an accrual basis using the effective interest rate method, except for those financial instruments measured at fair value through profit or loss. The effective interest rate method allocates interest, amortisation of any discount or premium or other differences, including transaction costs and qualifying fees and commissions, over the expected lives of the assets and liabilities. The effective interest rate is the rate that exactly discounts estimated future cash flows to the net carrying amount of the asset. As a result, this method requires ABN AMRO to estimate future cash flows, in some cases based on its experience of client behaviour, considering all contractual terms of the financial instrument, as well as the expected lives of the assets and liabilities. Interest on loans and advances measured at fair value through profit or loss is also included in net interest income and recognised using the contractual interest rate. Interest income and expense on trading balances is included in net trading income. Interest paid on assets with a negative interest yield is classified as interest expense. Interest received from liabilities with a negative interest yield is classified as interest income. 5 Net fee and commission income Accounting policy for net fee and commission income ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net fee and commission income. After identifying contracts and their performance obligations, revenue is recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for transferring promised services to clients. The transaction price is allocated to each performance obligation. Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates. The amount of revenue recognised is discounted to the present value of consideration due, if payment extends beyond normal credit terms. Revenue is recognised when a promised service is transferred to the client. Fees and commissions are recognised either: \u00c5 At a point in time: the fee is a reward for a service provided at a moment in time; or \u00c5 Over time (amortised): the fee relates to services on an ongoing basis. 6 Net income from other operating activities Accounting policy for other operating income Other operating income includes all other banking activities such as operating lease activities as lessor and results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair value changes relating to assets and liabilities measured at fair value through profit or loss, and changes in the value of derivatives related to such instruments. Dividend income from non-trading equity investments is recognised when entitlement is established. Income from operating lease activities is presented separately from the depreciation expense of the related assets. 7 Net trading income Accounting policy for net trading income In accordance with IFRS 9, trading positions are held at fair value, and net trading income includes gains and losses arising from changes in the fair value of such financial assets and liabilities. The latter comprises gains and losses from trading financial assets and liabilities, interest income and expenses related to trading financial assets and liabilities, and dividends received from trading instruments. Dividend income and dividends from trading instruments are recognised at the dividend announcement date. Net trading income also includes changes in fair value arising from changes in counterparty credit spreads (CVA) and changes in own credit spreads (DVA) where these impact on the value of our trading assets and liabilities. The funding valuation adjustment (FVA) incorporates the incremental cost of funding into the valuation of uncollateralised and partly collateralised derivatives.8 Net gains/(losses) on derecognition of financial assets measured at amortised cost Accounting policy derecognition of financial assets The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses recognised on the sale or derecognition of these financial assets, calculated as the difference between the carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received. 9 Personnel expenses Accounting policy for personnel expenses Salaries and wages, social security charges and other salary-related costs are recognised over the period in which the employees provide the services to which the payments relate. The accounting policies for pensions and other post-employment benefits are included in Note 31 Pension and other employee benefits. 10 General and administrative expenses Accounting policy for general and administrative expenses Costs are recognised in the period in which services have been provided and to which the payment relates. 11 Income tax expense, tax assets and tax liabilities Accounting policy for income tax expense, tax assets and tax liabilities Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and in the statement of other comprehensive income in the period in which profits arise. Withholding taxes are included in income tax when these taxes become payable by a subsidiary, associate or joint arrangement on distributions to ABN AMRO. Income tax recoverable on tax-allowable losses is recognised as a current tax asset only to the extent that it is regarded as recoverable by offsetting against taxable profits arising in the current or prior period. Current tax is measured using tax rates enacted at the balance sheet date. Deferred tax is recognised for qualifying temporary differences. Temporary differences represent the difference between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for taxation purposes. The amount of deferred tax provided is based on the expected manner of realisation or settlement of the carrying amount of assets and liabilities, using tax rates enacted at the balance sheet date. A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. 13 Cash and balances at central banks Accounting policy for cash and balances at central banks Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits are disclosed in Note 20 Loans and advances banks. 14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 16 Hedge accounting Accounting policy for hedge accounting ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties to hedge risks on assets, liabilities and net investments. The accounting treatment of the hedged item and the hedging instrument depends on whether the hedge relationship qualifies for hedge accounting. Qualifying hedges may be designated as fair value hedges, cash flow hedges or hedges of net investments. A non-derivative financial asset or liability may be designated as a hedging instrument for hedge accounting purposes only if it hedges the risk of changes in foreign currency exchange rates. The hedged item can be an asset, liability, or net investment in a foreign operation that (a) exposes the entity to the risk of changes in fair value or future cash flows, and (b) is designated as being hedged. The hedged risks are typically changes in interest rates or foreign currency rates. ABN AMRO\u2019s market risk management strategy, which includes interest rate risk and foreign currency risk in the banking book, is described in more detail in the Risk, funding & capital management section. Both at the inception of the hedge and on an ongoing basis, ABN AMRO assesses whether the derivatives designated in each hedging relationship are expected to be and have been highly effective in offsetting changes in the fair value or cash flows of the hedged item. These prospective and retrospective effectiveness tests are performed by using a regression analysis. ABN AMRO applies the following criteria to assess whether the hedging relationship is effective: \u00c5 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and \u00c5 A slope of the regression line is within a range of 0.80-1.25. Hedge ineffectiveness and gains and losses on components of a derivative that are excluded from the assessment of hedge effectiveness are recorded directly in the result from financial transactions as part of other operating income. ABN AMRO discontinues hedge accounting when the hedge relationship has ceased to be effective or is no longer expected to be effective, or when the derivative or hedged item is sold or otherwise terminated. Application of IAS 39 as endorsed by the European Union As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39 as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9. The EU-endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared to the full hedge accounting text of IAS 39. One of these reliefs is that negative credit spreads can be excluded from hedge relationships. ABN AMRO applies this to several micro fair value hedge relationships. Another relief is that the impact of changes in the estimates of the repricing dates is considered ineffective only if it leads to over-hedging. This relief is applied in the macro fair value hedge. Fair value hedges ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges the exposure to changes in the fair value of the hedged item, the hedged item is adjusted in relation to the risk being hedged. Gains or losses on remeasurement of both the hedging instrument and the hedged item are recognised in the income statement as result from financial transactions, which is part of the line item Other operating income. Hedge effectiveness for fair value hedges is measured as the amount by which the changes in the fair value of the hedging instrument are different from the changes in the fair value of the hedged item. When a fair value hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged item is derecognised. Micro fair value hedge accounting Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes in the fair value of fixed-rate assets and fixed-rate liabilities due to changes in market interest rates. The main sources of hedge ineffectiveness in micro fair value hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; \u00c5 The difference in discounting between the hedged item and the hedging instrument; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. Macro fair value hedge accounting ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps. The exposure from this portfolio frequently changes due to new loans originated, contractual repayments and prepayments made by clients in each period. More than one group (or portfolio) of mortgages can be identified as the hedged item within the fixed-rate mortgage portfolio. To ensure an effective matching of hedged items and hedging instruments, ABN AMRO applies a dynamic strategy in which hedged items are de-designated and re-designated on a monthly basis. The hedge accounting relationship is reviewed and re-designated on a monthly basis. Hedged mortgages are fixed-rate mortgages with the following features: \u00c5 denominated in local currency (euros); \u00c5 fixed term to maturity or repricing; \u00c5 pre-payable amortising or fixed principal amounts; \u00c5 fixed interest payment dates; \u00c5 no interest rate options; \u00c5 accounted for on an amortised cost basis. At each designation, the mortgage cash flows are allocated to monthly time buckets, based on the expected maturity dates. ABN AMRO models the maturity dates of mortgages, taking into account the modelled prepayments applied to the contractual cash flows and the maturity dates of the mortgage portfolio. If the interest rate swap notional exceeds the expected mortgage notional in any given month, taking into account the uncertainty of the expected mortgage notional by applying a haircut, mortgages that mature in adjacent buckets are designated to the interest rate swaps. Changes in the fair value of the mortgages that are attributable to the hedged interest rate risk are recognised as fair value adjustments from hedge accounting in the income statement and adjust the carrying amount of the mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value of the interest rate swaps and therefore reduce the profit or loss volatility that would otherwise arise from changes in the fair value of the interest rate swaps alone. At the start of the hedge relationships and at each monthly de-designation, the difference between the fair value attributable to the hedged interest rate risk and the carrying amount of the hedged mortgages is amortised over the remaining life of the hedged item. In addition to the sources of ineffectiveness described for micro fair value hedges, the sources of ineffectiveness specifically for macro hedges are: \u00c5 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent the difference would lead to over-hedging; and \u00c5 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages). Cash flow hedges ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or re-designated, if necessary, to maintain an effective hedge accounting relationship. When a derivative financial instrument hedges the exposure to variability in the cash flows from a hedged item, the effective part of any gain or loss on remeasurement of the hedging instrument is recognised directly in other comprehensive income. Hedge effectiveness for the macro cash flow hedge is measured as the amount by which the changes in the fair value of the interest rate swaps are in excess of changes in the fair value of the expected cash flows in the hedge relationship. Any ineffective part of the cash flow hedge is recognised in other operating income immediately. When a cash flow hedging instrument or hedge relationship is terminated but the hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised in other comprehensive income and are transferred to the income statement when the hedged transaction affects profit or loss. The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that the hedged transaction is no longer expected to occur, the accumulated gains or losses recognised in other comprehensive income are recognised in the income statement immediately. The main sources of hedge ineffectiveness for cash flow hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. The hedged items in the macro cash flow hedge are future cash flows, which are derived from the projected balance sheet. This projected balance sheet takes the contractual terms and conditions of financial assets and liabilities and combines these with estimated prepayments, volume growth rates and interest scenarios. Within the projected balance sheet, assets and liabilities are grouped on the basis of the specific interest rate index on which they reprice (e.g. one month, three months, six months, twelve months). For each repricing index, all assets and liabilities are allocated on a gross basis to monthly buckets in which they reprice up until their maturity. The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped per interest rate index and allocated to monthly repricing buckets until their maturity. The hedge relationship is established by designating the interest rate swap cash flows per bucket to the corresponding bucket of projected cash flows of the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If there are no projected cash flows available in the corresponding bucket for the applicable benchmark rate, the interest rate swap cash flows are designated to projected cash flows in a bucket with a different benchmark. The availability of projected cash flows in the buckets is not constant over time and is therefore evaluated on a monthly basis. Changes in cash flow projections may lead to a revision of the designation. Back-testing is performed on the interest rate risk models. Historical data are used to review the assumptions applied. Hedges of net investments in foreign operations ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net investments in foreign operations. For such hedges, currency translation differences arising on translation of the currency of these instruments to euros are recognised directly in the currency translation reserve in other comprehensive income, insofar as they are effective. The accumulated gains or losses recognised in other comprehensive income are transferred to the income statement on the disposal of the foreign operation. In previous years, ABN AMRO hedged its currency exposure to certain investments in foreign operations by hedging its net investment in these foreign operations with forward contracts. ABN AMRO currently still holds some currency translation reserve for these respective positions, but no longer applies net investment hedge accounting. Hedges not qualifying for hedge accounting The fair value changes of derivative transactions used to hedge against economic risk exposures that do not qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised directly in profit or loss. 17 Financial investments Accounting policy for financial investments Financial investments include financial instruments measured at fair value through other comprehensive income (FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL). Accounting policy for financial instruments measured at fair value through other comprehensive income Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net of applicable taxes.Interest earned, premiums, discounts and qualifying transaction costs of interest-earning FVOCI assets are amortised to income on an effective interest rate basis. When FVOCI debt instruments are sold, the cumulative gain or loss recognised in other comprehensive income is transferred to other operating income in the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised in the impairment charges on financial instruments in the income statement. The related loss allowance is recognised in other comprehensive income and does not reduce the carrying amount of the FVOCI debt instruments. ABN AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set out in Credit risk management in the Risk, funding & capital management chapter. Fair value changes in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other comprehensive income and not subsequently reclassified to the income statement. Accounting policy for financial instruments measured at fair value through profit and loss Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are mandatorily measured at fair value because they do not meet the SPPI test. 18 Securities financing Accounting policy for securities financing Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are generally entered into on a collateralised basis, with securities usually advanced or received as collateral. The transfer of the securities themselves is not reflected in the statement of financial position unless the risks and rewards of ownership are also transferred. If cash is advanced or received, securities borrowing and lending activities are recorded at the amount of cash advanced (included in loans and advances) or received (due to banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and the collateral levels are adjusted in accordance with the underlying transactions. Fees and interest received or paid are recognised on an effective interest rate basis and recorded as interest income or interest expense. Sale and repurchase transactions involve purchases (or sales) of investments with agreements to resell (or repurchase) substantially identical investments at a certain date in the future at a fixed price. Investments purchased subject to commitments to resell them at future dates are not recognised. The amounts paid are recognised in loans and advances to either banks or customers and are shown as collateralised by the underlying security. Investments sold under repurchase agreements continue to be recognised in the statement of financial position. Proceeds from the sale of the investments are reported as liabilities to either banks or customers. The difference between the sale and repurchase price is recognised over the period of the transaction and recorded as interest income or interest expense, using the effective interest rate method. If borrowed securities are sold to third parties, the proceeds from the sale and a liability for the obligation to return the collateral are recorded at fair value. 19 Fair value of financial instruments carried at fair value Accounting policy for fair value of financial instruments The fair value is defined as the price that would be received when selling an asset or paid when transferring a liability in an orderly transaction between market participants at the measurement date. For financial instruments that are actively traded and for which quoted market prices or market parameters are readily available, the fair value is determined in a highly objective manner. However, when observable market prices and parameters do not exist, management judgement is necessary to estimate fair value. For financial instruments where no active liquid market exists, or quoted prices are unobtainable, recent market transactions are used or the fair value is estimated using a variety of valuation techniques \u2013 including reference to similar instruments for which market prices do exist, or to valuation techniques such as discounted cash flow models or option pricing models (e.g. Black Scholes). When portfolios of financial assets and liabilities are measured on the basis of the net exposure to the credit risk of a particular counterparty, any existing arrangements that mitigate the credit risk exposure (e.g. master netting agreements with the counterparty) are taken into account. Unobservable inputs are estimated using a combination of management judgement, historical data, market practice and benchmarking to other relevant observable market data. The difference between the transaction price and the internal valuation at inception, calculated using a model, is reserved and amortised to profit or loss at appropriate points over the life of the instrument, typically taking account of the ability to obtain reliable external data, the passage of time and the use of offsetting transactions. Where inputs to the valuation of a new transaction cannot be reliably determined, the transaction is initially recognised at its transaction price. Subsequent changes in fair value as calculated by the valuation model are reported as profit or loss or in equity. \u00c5 In order to determine a reliable fair value, where appropriate, management applies valuation adjustments to the pricing information derived from the above sources. These adjustments reflect management\u2019s assessment of factors that market participants would consider in setting a price, to the extent that these factors have not already been included in the information from the above sources. The main valuation adjustments required to arrive at a fair value are as follows: \u00c5 Credit and debit valuation adjustments. In addition to credit valuation for loans measured at fair value through profit or loss, credit valuation adjustments and debit valuation adjustments are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and how counterparties consider ABN AMRO\u2019s creditworthiness respectively; \u00c5 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives; \u00c5 Own credit adjustment. An own credit risk adjustment is applied to financial liabilities where it is believed that counterparties will consider ABN AMRO\u2019s creditworthiness when pricing such instruments; \u00c5 Model valuation adjustments for any known limitations. Management assesses the appropriateness of any model used on an ongoing basis. To the extent that the price provided by internal models does not represent the fair value of the instrument, for instance in highly stressed market conditions, management makes adjustments to the model valuation to calibrate to other available pricing sources. We believe our estimates of the fair value are adequate. However, the use of different models or assumptions could result in changes to our reported results. 20 Loans and advances banks Accounting policy for loans and advances banks and customers Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model. Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the asset. Loans and advances that do not pass the SPPI test are measured at fair value through profit or loss. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to Credit risk management in the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). 22 Fair value of financial instruments not carried at fair value Accounting policy for fair value of financial instruments not carried at fair value The categorisation and valuation of financial instruments not carried at fair value is determined in accordance with the accounting policies set out in Note 19 Fair value of financial instruments carried at fair value. 21 Loans and advances customers Accounting policy for loans and advances customers The accounting policy for loans and advances customers is included in Note 20 Loans and advances banks. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to the Credit risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). 23 Group structure Accounting policy for business combinations ABN AMRO accounts for business combinations using the acquisition method when control is transferred to the bank. All items of consideration, including contingent consideration, transferred by ABN AMRO are measured and recognised at fair value at the acquisition date. Transaction costs incurred by ABN AMRO in connection with the business combination, other than those associated with the issuance of debt and equity securities, do not form part of the cost of the business combination transaction but are expensed as incurred. The excess of the purchase consideration over ABN AMRO\u2019s share of the fair value of the identifiable net assets acquired (including certain contingent liabilities) is recorded as goodwill. ABN AMRO measures the identifiable assets acquired and the liabilities assumed at the fair value at the acquisition date. In a step acquisition, where a business combination occurs in stages and control of the business is obtained in stages, the identifiable assets and liabilities of the acquiree are recognised at fair value when control is obtained. A gain or loss is recognised in profit or loss as the difference between the fair value of the previously held equity interest in the acquiree and its carrying amount. Changes in interests in subsidiaries that do not result in a change of control are treated as transactions between equity holders and are reported in equity. Accounting policy for associates and joint ventures Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board of directors, participation in the policy-making process and material transactions between the entity and the investee are considered to determine significant influence. A joint venture is an investment in which two or more parties have contractually agreed to share control over the investment. Joint control exists only when decisions about the relevant activities require the unanimous consent of the parties sharing control. The activities conducted through joint ventures include cash transfers, insurance, finance and leasing. Investments in associates and joint ventures, including strategic investments, are accounted for using the equity method. Under this method, the investment is initially recorded at cost and subsequently increased (or decreased) for post-acquisitionnet income (or loss), other movements impacting on the equity of the investee and any adjustments required for impairment.ABN AMRO\u2019s share of the profit or loss of the investee is recognised in Share of result in equity accounted investements. If ABN AMRO\u2019s share of losses exceeds the carrying amount of the investment, the carrying amount is reduced to zero, including any other unsecured receivables, and recognition of further losses is discontinued except if ABN AMRO has incurred obligations or made payments on behalf of the investee. Accounting policy for subsidiaries ABN AMRO\u2019s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is evidenced by ABN AMRO\u2019s ability to exercise its power in order to affect the variable returns that it is exposed to through its involvement in the entity. The existence and effect of potential voting rights that are currently exercisable are taken into account when assessing whether control exists. The assessment of control is based on consideration of all facts and circumstances. The bank reassesses whether it controls an investee if facts and circumstances indicate that there are changes to one or more of the three elements of control (power, exposure to variability in returns, and a link between the two). ABN AMRO sponsors entities, including certain special purpose entities, which may or may not be directly owned, for the purpose of asset securitisation transactions and other specific and well-defined objectives. Particularly in the case of securitisations, these entities may acquire assets from ABN AMRO companies. Some of these entities hold assets that are not available to meet the claims of creditors of ABN AMRO or its subsidiaries. These entities are consolidated in ABN AMRO\u2019s financial statements when the substance of the relationship between ABN AMRO and the entity indicates that control is held by ABN AMRO. ABN AMRO is mainly involved in securitisations of own originated assets, such as various consumer and commercial financial assets. This process generally necessitates a sale of these assets to a special purpose entity (SPE), which in turn issues securities to investors. ABN AMRO\u2019s interests in securitised assets may be retained in the form of senior or subordinated tranches, issued guarantees, interest-only strips or other residual interests, together referred to as retained interests. In many cases, these retained interests convey control, such that the SPE is consolidated and the securitised assets continue to be recognised in the consolidated statement of financial position. The financial statements of subsidiaries and special purpose entities are included in the Consolidated Annual Financial Statements from the date on which control commences until the date on which control ceases. 24 Property and equipment, leases, goodwill and other intangible assets Accounting policy for property and equipment Property and equipment is stated at cost less accumulated depreciation and any impairment amount. At each balance sheet date, an assessment is performed to determine whether there is any indication of impairment. Subsequent costs are capitalised if these result in an enhancement to the asset. Depreciation is charged to the income statement on a straight-line basis over the estimated useful lives of items of property and equipment, and of major components that are accounted for separately. ABN AMRO generally uses the following useful lives in calculating depreciation: Land: not depreciated; Buildings: 30 years; Leasehold improvements: 5 years; Equipment: 5 years; Installations (durable): 10 years; Computer installations: 2 to 5 years. At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Depreciation rates and residual values are reviewed at least periodically to take into account any change in circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account the term and renewal conditions of the related lease. Assets for which the bank acts as a lessor in an operational lease contract are included in property and equipment. The asset is depreciated on a straight-line basis, over its useful life, to its estimated residual value. Accounting policy for leases Lessor accounting Where ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where the bank transfers substantially all risks and rewards incidental to ownership of the asset to the lessee are classified as finance leases. Leases that do not transfer these risks and rewards are classified as operating leases. Finance leases are recognised as a receivable in loans and advances at an amount equal to the net investment in the lease, less credit loss allowances. Assets subject to operating leases are recognised at cost in property and equipment. Operating income from finance leases is recognised in a pattern reflecting a constant periodic rate of return on the net investment in the lease. Lessee accounting All leases, except for low-value leases and leases with a duration of less than one year, are recognised on the balance sheet as a right of use (ROU) asset and lease liability. As a lessee, ABN AMRO enters into various lease contracts, mainly for office buildings and cars that the bank leases for its own use. When accounting for the contracts as a lessee, ABN AMRO separates non-lease components from lease components. Payments such as variable lease payments that do not depend on an index or a rate and non-lease components are not included in the lease liability. The ROU asset is initially measured at cost, which reflects the initial lease liability, adjusted for upfront lease payments, received incentives and initial direct costs. The initial lease liability is equal to the sum of the fixed lease payments, discounted by the incremental borrowing rate. The ROU asset is depreciated over the period of the lease, using the straight-line method. Adjustments to the ROU asset and corresponding lease liability result from remeasurement and/or modification. Remeasurement occurs when there is a change in the lease term or discount rate, or when ABN AMRO changes its assessment regarding purchase, extension or termination options. A lease modification is a change in the scope of the lease, or the consideration of a part of a lease that was not in the original terms and conditions of the lease. A lease modification results in either a separate additional lease or a change in the accounting for the existing lease. In the case of a lease modification not resulting in an additional lease, the lease liability is remeasured by adjusting the carrying amount of the ROU asset and, to reflect the partial or full termination of the lease, recognising any gain or loss in the statement of profit and loss. Expenses related to short-term leases with a term of less than 12 months and leases of low-value are recognised in the income statement. ROU assets are included in the line item Property and equipment, while the lease liabilities are included in Other liabilities. Depreciation of the ROU assets is included in the line item for depreciation and amortisation of tangible and intangible assets in the income statement, and interest expense on lease liabilities is included in the line item Other interest and similar expense. Sale and leaseback transactions In a sale and leaseback transaction, the seller-lessee transfers an underlying asset to the buyer-lessor and leases that asset back from the buyer-lessor. Seller-lessee accounting If the bank is involved in a sale and leaseback transaction as a seller-lessee, the accounting policy described below is from the perspective of a seller-lessee. To determine how to account for a sale and leaseback transaction, the bank first considers whether the initial transfer of the underlying asset from the seller-lessee to the buyer-lessor is a sale in accordance with IFRS 15. If a sale and leaseback transaction results in a sale in accordance with IFRS 15, the underlying asset is derecognised and the lessee accounting model is applied to the leaseback. The ROU asset arising from the leaseback is measured based on the proportion of the previous carrying amount of the asset that relates to the rights of use retained by the seller-lessee. Accordingly, any gain or loss that relates to the rights transferred to the buyer-lessor is recognised. The proportion of the rights of use retained is the ratio between the present value of lease payments at market rates (excluding any future index changes) and the fair value of the consideration for the sale proceeds. The residual proportion is the proportion of the rights transferred. The fair value of the consideration for the sale proceeds is equal to the fair value of the underlying asset in the sale-and-leaseback transaction. If this does not equal the fair value of the underlying asset, or if the payments for the lease are not at market rates, the bank makes adjustments to recognise the sale proceeds at the fair value. Any below-market terms are recognised as a prepayment of lease payments and any above-market terms are recognised as additional financing provided by the buyer-lessor to the seller-lessee. Accounting policy for intangible assets Goodwill Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value of ABN AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and contingent liabilities are determined by reference to market values or by discounting expected future cash flows to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense and are irreversible. Software and other intangible assets The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets. Software is amortised over a period of three years, unless it is classified as core application software, which is depreciated over its estimated useful life, set at a maximum of seven years. Only the development phase is capitalised for own-developed software. Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as customer relationships, and certain purchased trademarks and similar items. In general, the estimated useful life does not exceed ten years. Amortisation rates and residual values are reviewed at least annually to take into account any change in circumstances. 25 Non-current assets and disposal groups held for sale Accounting policy for non-current assets and disposal groups held for sale Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value, less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated statement of financial position. 27 Due to banks Accounting policy for due to banks and due to customers Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the instrument. 28 Due to customers Accounting policy for due to customers The accounting policy for amounts due to customers is included in Note 27 Due to banks. 29 Issued debt and subordinated liabilities Accounting policy for issued debt and subordinated liabilities Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that qualify as an embedded derivative that cannot be separated. ABN AMRO applies IAS 32 Financial Instruments: Presentation to determine whether funding is a financial liability or equity. Issued financial instruments or their components are classified as financial liabilities where the substance of the contractual arrangement results in ABN AMRO having a present obligation to deliver either cash or another financial asset or to satisfy the obligation other than by the exchange of a fixed number of equity shares. Issued liabilities qualify as subordinated debt if claims by the holders are subordinated to all other current and future liabilities of ABN AMRO and its subsidiaries. The valuation of liabilities measured at fair value includes the effect of changes in the bank\u2019s own credit spreads. The change in fair value applies to those financial liabilities designated at fair value where own value credit risk would be considered by market participants. The cumulative amount of changes in fair value attributable to credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt measured at fair value through profit or loss is valued at market prices. Fair value changes are calculated based on a yield curve generated from observed external pricing for funding and quoted CDS spreads 30 Provisions Accounting policy for provisions A provision is recognised in the balance sheet when ABN AMRO has a legal or constructive obligation as a result of a past event, and it is more likely than not that an outflow of economic benefits will be required to settle the obligation, and a reliable estimate of the amount of the obligation can be made. If the effect of time value is material, provisions are determined by discounting the expected future cash flows at a pre-tax rate that reflects current market rates and, where appropriate, the risks specific to the liability. A provision for restructuring is recognised when an obligation exists. An obligation exists when ABN AMRO has approved a detailed plan and has raised a valid expectation in those affected by the plan by starting to implement the plan or by announcing its main features. Future operating costs are not provided for. Provisions for insurance risks are determined by actuarial methods, which include the use of statistics, interest rate data and settlement cost expectations. Provisions are established for certain guarantee contracts for which ABN AMRO is liable to pay upon default of payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as provisions under IFRS 9. 31 Pension and other employee benefits Accounting policy for pension and other employee benefits ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands. Defined contribution plans For defined contribution plans, ABN AMRO pays annual contributions determined by a fixed method and has no legal or constructive obligation to pay any further contributions. Contributions are recognised directly in the income statement in the year to which they relate. Actuarial and investment risk are for the account of the participants in the plan. Defined benefit plans For defined benefit plans, the net obligation of each plan is the difference between the present value of the defined benefit obligations and the fair value of the plan\u2019s assets. The actuarial assumptions used for calculating the present value of the defined benefit obligations include discount rates based on high-quality corporate bonds, the inflation rate, future salary increases, employee contributions, mortality assumptions and rates of employee turnover. The assumptions are based on available market data and management expectations at the end of the reporting period. Plan assets are measured at fair value at balance sheet date and are netted against the defined benefit obligations. Pension costs recognised in the income statement for defined benefit plans consist of: \u00c5 service costs; \u00c5 net interest costs determined by multiplying the net defined benefit liability (asset) by the discount rate, both as at the start of the annual reporting period, taking into account any changes in the net defined benefit liability (asset) during the period as a result of contributions and benefit payments; and \u00c5 curtailments or plan amendments. Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments. Remeasurement Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover). They are recognised in other comprehensive income and are not recycled to profit or loss in later periods. The actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets and any tax payable by the pension plan itself. Other employee benefits Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining in service up to retirement age and the completion of a minimum service period. The expected costs of these benefits are accrued over the period of employment, using the same accounting methodology as used for defined benefit pension plans. These obligations are calculated annually. Plans in all countries comply with applicable local regulations concerning investments and minimum funding levels. 33 Equity Share capital and other components of equity Ordinary shares As at 31 December 2022, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. Compound financial instruments Components of compound financial instruments (liability and equity parts) are classified in their respective areas of the statement of financial position. Currency translation reserve The currency translation reserve represents the cumulative gains and losses on the translation of the net investment in foreign operations, net of the effect of hedging. Fair value reserve Under IFRS 9, the fair value reserve includes the gains and losses, net of tax, resulting from a change in the fair value of debt instruments measured at FVOCI. When the instruments are sold or otherwise disposed of, the related cumulative gain or loss recognised in equity is recycled to the income statement. Cash flow hedging reserve The cash flow hedging reserve comprises the effective portion of the cumulative net change in the fair value of cash flow hedging instruments, net of taxes, that are recycled to the income statement if the hedged transactions have an impact on profit or loss. Net investment hedging reserve The net investment hedging reserve comprises the currency translation differences arising when the currencies of these instruments are translated to euros, to the extent they are effective. Liability own credit risk reserve Under IFRS 9, the changes in fair value attributable to changes in the own credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Dividends Dividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which they are approved by shareholders. Capital securities Undated, deeply subordinated, resettable, callable capital securities are classified as additional tier 1 (AT1) capital, under total equity. ABN AMRO Bank has the European Central Bank\u2019s permission to carry out limited repurchases from investors and to sell back in the market Other reserves Other reserves mainly comprise retained earnings and profit for the period. 34 Transferred, pledged, encumbered and restricted assets Accounting policy for transferred, pledged, encumbered and restricted assets Transferred financial assets are arrangements/transactions for which ABN AMRO has: \u00c5 Transferred the contractual rights to receive the cash flows of the financial asset to a third party, or; \u00c5 Retained the contractual rights to receive the cash flows of that financial asset, but has assumed a contractual obligation to pay the cash flows to a third party; or \u00c5 Transferred a financial asset when the counterparty has the right to repledge or to resell the asset. Depending on the circumstances, these transfers may result in financial assets that either are or are not derecognised in their entirety. Please refer to Note 1 Accounting policies. Pledged assets are assets pledged as collateral for liabilities or contingent liabilities and the terms and conditions relating to the pledge. Encumbered assets are those that are pledged or other assets that we believe to be restricted in order to secure, credit-enhance or collateralise a transaction. In principle, pledged assets are encumbered assets. The following differences apply to ABN AMRO: \u00c5 Encumbered assets include mandatory reserve requirements with central banks; \u00c5 Encumbered assets exclude assets pledged for unused credit facilities with central banks at the statement of financial position date, i.e. mainly retained mortgage-backed securities. Significant restrictions on assets may arise from statutory, contractual or regulatory requirements such as: \u00c5 Those that restrict the ability of the parent or its subsidiaries to transfer cash or other financial assets to or from other entities within the group; \u00c5 Guarantees or other requirements that may restrict dividends and other capital distributions being paid, or loans and advances being made or repaid to other entities within the group; \u00c5 Protective rights of other non-controlling interests that may restrict the ability of the bank to access and transfer assets freely to or from other entities within the group and to settle liabilities of the bank. 35 Commitments and contingent liabilities Accounting policy for off-balance sheet items Commitments Loan commitments that allow for draw-down of a loan within the timeframe generally established by regulation or convention in the marketplace are not recognised as derivative financial instruments. Acceptances comprise undertakings by ABN AMRO to pay bills of exchange drawn on clients. ABN AMRO expects most acceptances to be settled simultaneously with the reimbursement from clients. Acceptances are not recognised in the balance sheet and are disclosed as commitments. Financial guarantee contracts A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when appropriate \u2013 the cumulative amount of income recognised in the income statement. Contingent liabilities Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events, and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured. Contingent liabilities are not recognised in the balance sheet, but disclosed if the likelihood of an outflow of economic resources is not more likely than not or if the likelihood of an outflow of economic resources is more likely than not, however cannot be reliably estimated. 37 Share-based payment Accounting policy for share-based payment Identified staff as defined by CRD V are entitled to receive variable compensation. The variable compensation consists of a cash element and a share-based element settled in cash. The cash element in the variable compensation plan is recognised in accordance with IAS 19 and the other element qualifies as a cash-settled share-based payment in accordance with IFRS 2. The compensation is granted for a certain performance year for 50% in cash and for 50% in share-based compensation settled in cash. The vesting conditions include bad leaver conditions and consist of a deferral period and a retention period until the share-based compensation is settled in cash. Up to and including the performance year 2019, the share-based compensation settled in cash (depositary receipt) vests for 30% two years after the performance year. The remaining 20% vests in three equal tranches in the third, fourth and fifth year following the performance year. At the end of the vesting period, participants receive the cash value of the five-day average of an ABN AMRO listed depositary receipt (DR). The share-based compensation settled in cash granted for 2019 and the years before gives the option to request DRs rather than cash. This choice can be made during the quarter in which settlement takes place and is subject to Supervisory Board approval. This equity component in the plan is valued at nil until the request is approved. Participants receive the same amount of fair value, regardless of whether they choose cash or DRs. If participants choose DRs, the value of the DRs is transferred in its entirety from the liability to an equity account. The actual delivery to the participant is expected to take place in the same quarter as the choice is made. ABN AMRO will not issue additional shares for the compensation granted for 2019 and before, but will buy shares in the market when needed. As the purchase of shares is expected to take place in the quarter during which the DRs are delivered, there is no impact on (diluted) earnings per share. As from performance year 2020, the DRs were replaced by performance certificates (PCs) as share-based compensation settled in cash. The share-based compensation settled in cash vests for 30% in the first year. The remaining 20% vests in four equal tranches in the second, third, fourth and fifth year following the performance year. At the end of the vesting period, participants receive the cash value of the five-day average of ABN AMRO\u2019s share price. Share-based compensation settled in cash granted from performance year 2020 onwards does not include the option to request DRs. A liability is recognised for the fair value of cash-settled transactions. The fair value is measured initially and at each reporting date up to and including the settlement date, with changes in fair value recognised in employee benefits expense. The fair value is determined using an internally developed model based on the share price and market expectations of future dividends. 38 Related parties Parties related to ABN AMRO Bank include NLFI with control, the Dutch State with significant influence, associates, pension funds, joint ventures, the Executive Board, the Supervisory Board, close family members of any person referred to above, entities controlled or significantly influenced by any person referred to above and any other related entities. ABN AMRO has applied the partial exemption for government-related entities as described in IAS 24 paragraphs 25-27. As part of its business operations, ABN AMRO frequently enters into transactions with related parties. Transactions conducted with the Dutch State are limited to normal banking transactions, taxation and other administrative relationships, with the exception of items specifically disclosed in this note. Normal banking transactions relate to loans and deposits and are entered into on the same commercial and market terms that apply to non-related parties. Loans and advances to the Executive Board members and close family members, where applicable, consist mainly of residential mortgages granted under standard personnel conditions. For further information, please refer to Note 36 Remuneration of Executive Board and Supervisory Board in the Consolidated Annual Financial Statements 2022. ", "dimensions": { "concept": "ifrs-full:DisclosureOfSummaryOfSignificantAccountingPoliciesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-31-5": { "value": "Accounting policy for measuring allowances for expected credit losses (ECL) The IFRS 9 impairment requirements are applicable to financial assets measured at amortised cost or fair value through other comprehensive income (FVOCI), loan commitments, lease receivables and contract assets and financial guarantee contracts. At each reporting date, these financial instruments are classified into one of three risk stages, depending on current credit quality, or as purchased or originated credit-impaired (POCI). POCI assets, which are credit-impaired at initial recognition, are accounted for at fair value (i.e. net of the initial lifetime ECLs) and do not carry an impairment Classification in stage 2 We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2. Change in credit quality since initial recognitionStage 1 Stage 2 Stage 3PerformingCredit quality deterioratedDefault = Impaired(Initial recognition)(Assets with significant increase in (Credit impaired assets)credit risk since initial recognition)Recognition of ECL12 month ECL Lifetime ECL Lifetime ECLInterest incomeEffective interest on gross carrying amount Effective interest on gross carrying amount Effective interest on amortised cost(gross carrying amount less loss allowance)allowance. Instead, a credit-adjusted effective interest rate (EIR), which is calculated using expected cash flows including initial lifetime ECLs, is applied to the amortised cost. Subsequently, the cumulative changes in lifetime ECLs since initial recognition, which are discounted at the credit-adjusted effective interest rate, are recognised in the profit or loss statement as an impairment gain or loss, and presented under impairment charges on financial instruments. Once a financial asset is classified as POCI, it retains that classification until it is derecognised (in the event that a substantial modification loss larger than 10% is applicable). For this reason, POCI stage is not included in the following figure. Quantitative stage triggers The key quantitative metric that determines when a financial instrument is transferred from stage 1 to stage 2 is the deterioration in the lifetime probability of default (LPD) from the date of origination to the reporting date, based on internal data. The LPD represents the likelihood that a counterparty will default during the lifetime of the financial instrument and depends on credit risk drivers such as: \u00c5 product characteristics (e.g. repayment and interest terms, term of the product); \u00c5 the financial condition of the borrower; \u00c5 the number of days past due; \u00c5 expected developments in the economy. The lifetime PD deterioration (LPDD) measures the relative difference between the remaining lifetime PD at reporting (LPDR) and the remaining lifetime PD at origination (LPDO) as LPDD = LPDR/LPDO. If the LPD deterioration of an exposure is above a predefined Range of lifetime PD deterioration thresholds b Product class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xQualitative stage triggers The bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u00c5 Forborne status of a borrower; \u00c5 Watch status of a borrower. ABN AMRO assigns the watch status to counterparties with an increased credit risk. This process comprises intensive monitoring, early detection of deterioration in the credit portfolio and appropriate follow-up measures; \u00c5 A delinquency-based regulatory backstop is in place, such that the credit risk of financial assets that are more than 30 days past due will be assumed to have significantly increased. Reclassification to stage 1 As a general rule, favourable changes in credit risk are recognised consistently with unfavourable changes, and a financial instrument is transferred back to stage 1 if quantitative or qualitative triggers are no longer met. In some cases, a probation period applies: \u00c5 Forborne financial instruments are transferred back from stage 2 to stage 1 only after a probation period of at least two years has ended, in line with the ABN AMRO forbearance policy. Stage 3 forborne instruments transfer back to stage 2 after a cure period of at least one year; \u00c5 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1. threshold, the LPD is considered to be significantly deteriorated. The exposure is then transferred to stage 2 and impairment allowances equal to the lifetime expected credit loss are recognised. If the LPD deterioration subsequently reduces and falls below the threshold, the client is transferred back to stage 1. When determining the thresholds, ABN AMRO distinguishes between various portfolios within consumer lending, residential mortgages and corporate loans. A specific threshold is calculated for each portfolio, based on a statistical method. The following table shows LPD deterioration thresholds that triggered transfers to stage 2 as at 31 December 2022. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model. Classification in stage 3 A transfer to stage 3 will always be the result of the default of a financial instrument. Our definitions of default and impaired are aligned and comply with the European Banking Authority (EBA) guidelines on the application of the definition of default. All models use a consistent definition of default, which has been specified in line with regulations. A default is deemed to have occurred when: \u00c5 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u00c5 the bank considers the borrower to be unlikely to meet its contractual obligations (unlikely to pay, or UTP). The materiality of a financial obligation past due is assessed against an absolute and a relative threshold, in line with regulatory standards. To determine unlikeliness to pay, the bank has specified both mandatory default triggers (always resulting in the assignment of a default status, whereby no additional expert judgement is allowed) and judgemental triggers (requiring an assessment by credit risk managers to determine whether the UTP indications should result in a default classification). The mandatory triggers include the reporting of a forborne exposure under probation as non-performing for being 30 days past due or owing to an additional forbearance measure being applied. As a result, the definitions of non-performing and default are materially aligned. Reclassification to stage 2 The default classification for non-forborne exposures ends when the default triggers no longer apply and a (probation) cure period of at least three months has passed since the default trigger was last applied. For forborne exposures, a twelve-month cure period Asset in scope?YESPurchased or originated credit impaired (POCI)?NOYESDefault trigger hit?NOYESLifetime PD significantly deteriorated?NOYESWatch listNOYESForbearance (but not impaired)Days past due0-30>30Stage 1 Stage 2 Stage 3 Stage POCICalculation method ABN AMRO recognises loss allowances based on the Expected Credit Loss model (ECL) of IFRS 9, which is designed to be forward-looking. The amount of ECL is based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. ABN AMRO distinguishes between two types of calculation methods for credit loss allowances: \u00c5 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u00c5 Collective 12-month ECL (stage 1) and LECL (stage 2 and 3) for financial instruments that have similar credit risk characteristics (e.g. residential mortgages, consumer loans and SME loans) are clustered in portfolios and collectively assessed for impairment losses. A collective impairment calculation approach based on individual parameters is also applied to stage 3 exposures below EUR 3 million. ABN AMRO has models to quantify the Probability of Loss (PL), Loss Given Loss (LGL) and Exposure at Loss (EAL) for the purpose of calculating the collective 12-month ECL and LECL for these financial instruments. starts from the moment the last forbearance measure or default trigger was applied. After the cure period, an assessment is performed to establish whether the improvement in the credit quality is factual and permanent (including, for example, no remaining past due amounts). Lifetime expected credit loss ABN AMRO defines the lifetime of credit as the maximum contractual period during which the bank is exposed to credit risk; we do not apply a longer period, even if that longer period is consistent with business practice. For some contracts, such as overdraft facilities or credit cards, no end date is specified or amounts can be contractually withdrawn by the lender at short notice. In these cases, ABN AMRO uses behavioural maturity models that rely on historical client behaviour to determine future expected exposures. Forward-looking information For expected credit loss calculations, ABN AMRO uses three different scenarios of future economic developments: a baseline (or most likely) scenario, a negative scenario and a positive scenario. The three scenarios are incorporated into the expected credit loss calculation and risk stage determination in a probability-weighted manner. In order to incorporate the latest economic outlook, the scenarios and their weights are reviewed each quarter and adjusted if necessary. Details of the scenarios and their weights used in the reporting period can be found in the Credit risk review section. The baseline scenario entails our Group Economics analysts\u2019 current macroeconomic base scenario, which usually covers the current year and subsequent year. For the purpose of scenario analysis under IFRS 9, this baseline is extended by three additional calendar years, after which it is assumed that macroeconomic variables (MEVs) gradually move to their potential or equilibrium values. At least once every quarter, Group Economics compares its forecasts with those of institutions like CPB, DNB, ECB, IMF or OECD, in order to determine possible differences and to analyse whether it can underpin those. This external benchmarking exercise is a standard input to the Scenario Booklet that is presented to the bank\u2019s Scenario and Stress Testing Committee for approval. Group Economics also develops a negative and a positive scenario. These scenarios are designed to give an impression of the bandwidth within which the economy, interest and FX rates, and other relevant variables are likely to move in the next four to five years, with a probability of around 85% (roughly corresponding to a standard deviation of plus and minus one and a half). Hence, these scenarios produce upper and lower boundaries, with a resulting bandwidth between the outcomes of the negative (\u2018bad weather\u2019 in terms of financial results of the bank) and positive (\u2018good weather\u2019) scenarios. To determine these boundaries, Group Economics may look at historical developments, medium-term (non-baseline) scenarios made by the aforementioned institutions, and other relevant developments. Management overlays and other adjustments Where necessary to reflect the credit risk dynamics not captured by our models, management judgement is applied via a management overlay or other IFRS 9 adjustment. A management overlay is a temporary adjustment in a loss allowance until a long-term solution (e.g. model adjustment) is effective, and must be an amount commensurate to the model limitation. All overlays require a decision of the Impairment and Provision Committee (IPC). The main types of management overlays that ABN AMRO distinguishes are: post-model adjustments (adjustments to model outcomes), adjustments in the weightings of macroeconomic scenarios and stage overrides. Other adjustments such as adjustments to model parameters or input data are not considered management overlays, but follow the same internal approval process. Climate and environmental risks in ECL Incorporating climate risk explicitly into ECL models is challenging due to the lack of historical data and the horizon on which climate and environmental risks are expected to materialise. We are taking steps to gain deeper insight into how climate and environmental risks affect our clients, and to eventually embed them into our IFRS 9 ECL models. The target state is to have CER reflected in all four modelling frameworks (IRB models, IFRS, stress testing and EC). Although the impact of climate risk on ECL can only be estimated with a high degree of uncertainty regarding amounts of losses and the time horizon on which it will materialize, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate and environmental risks are playing an increasing role in government policies and macroeconomic developments. To capture climate and environmental risks in ECL and related scenario processes, each macroeconomic scenario is accompanied by an overview that illustrates which of these risks are included in the various projected macroeconomic indicators. For short term identifiable events that are not (yet) included in the macroeconomic forecasts, management overlays on ECL can be taken. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen reducing measures. With the combination of macroeconomic scenarios and this management overlay we deem to be adequately provisioned for climate and environmental risks. Cured financial assets When a credit impaired financial asset cures, the interest that was previously unrecognised is reported as an impairment release in the impairment charge rather than as a credit to the interest income calculated using the effective interest method. Write-off \u00c5 For non-programme lending, a write-off must be recorded if all possible means of recovery have been exhausted and it has become clear that there is a low probability of recovering the debt, either in part or full. \u00c5 Most of the programme lending facilities are automatically written-off after 1,080 days in default. Such loans are written off after all the necessary procedures have been completed and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off are credited to impairment charges on financial instruments in the income statement. 24 Property and equipment, leases, goodwill and other intangible assets Accounting policy for property and equipment At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-31-6": { "value": "Accounting policy for measuring allowances for expected credit losses (ECL) The IFRS 9 impairment requirements are applicable to financial assets measured at amortised cost or fair value through other comprehensive income (FVOCI), loan commitments, lease receivables and contract assets and financial guarantee contracts. At each reporting date, these financial instruments are classified into one of three risk stages, depending on current credit quality, or as purchased or originated credit-impaired (POCI). POCI assets, which are credit-impaired at initial recognition, are accounted for at fair value (i.e. net of the initial lifetime ECLs) and do not carry an impairment Classification in stage 2 We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2. Change in credit quality since initial recognitionStage 1 Stage 2 Stage 3PerformingCredit quality deterioratedDefault = Impaired(Initial recognition)(Assets with significant increase in (Credit impaired assets)credit risk since initial recognition)Recognition of ECL12 month ECL Lifetime ECL Lifetime ECLInterest incomeEffective interest on gross carrying amount Effective interest on gross carrying amount Effective interest on amortised cost(gross carrying amount less loss allowance)allowance. Instead, a credit-adjusted effective interest rate (EIR), which is calculated using expected cash flows including initial lifetime ECLs, is applied to the amortised cost. Subsequently, the cumulative changes in lifetime ECLs since initial recognition, which are discounted at the credit-adjusted effective interest rate, are recognised in the profit or loss statement as an impairment gain or loss, and presented under impairment charges on financial instruments. Once a financial asset is classified as POCI, it retains that classification until it is derecognised (in the event that a substantial modification loss larger than 10% is applicable). For this reason, POCI stage is not included in the following figure. Quantitative stage triggers The key quantitative metric that determines when a financial instrument is transferred from stage 1 to stage 2 is the deterioration in the lifetime probability of default (LPD) from the date of origination to the reporting date, based on internal data. The LPD represents the likelihood that a counterparty will default during the lifetime of the financial instrument and depends on credit risk drivers such as: \u00c5 product characteristics (e.g. repayment and interest terms, term of the product); \u00c5 the financial condition of the borrower; \u00c5 the number of days past due; \u00c5 expected developments in the economy. The lifetime PD deterioration (LPDD) measures the relative difference between the remaining lifetime PD at reporting (LPDR) and the remaining lifetime PD at origination (LPDO) as LPDD = LPDR/LPDO. If the LPD deterioration of an exposure is above a predefined Range of lifetime PD deterioration thresholds b Product class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xQualitative stage triggers The bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u00c5 Forborne status of a borrower; \u00c5 Watch status of a borrower. ABN AMRO assigns the watch status to counterparties with an increased credit risk. This process comprises intensive monitoring, early detection of deterioration in the credit portfolio and appropriate follow-up measures; \u00c5 A delinquency-based regulatory backstop is in place, such that the credit risk of financial assets that are more than 30 days past due will be assumed to have significantly increased. Reclassification to stage 1 As a general rule, favourable changes in credit risk are recognised consistently with unfavourable changes, and a financial instrument is transferred back to stage 1 if quantitative or qualitative triggers are no longer met. In some cases, a probation period applies: \u00c5 Forborne financial instruments are transferred back from stage 2 to stage 1 only after a probation period of at least two years has ended, in line with the ABN AMRO forbearance policy. Stage 3 forborne instruments transfer back to stage 2 after a cure period of at least one year; \u00c5 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1. threshold, the LPD is considered to be significantly deteriorated. The exposure is then transferred to stage 2 and impairment allowances equal to the lifetime expected credit loss are recognised. If the LPD deterioration subsequently reduces and falls below the threshold, the client is transferred back to stage 1. When determining the thresholds, ABN AMRO distinguishes between various portfolios within consumer lending, residential mortgages and corporate loans. A specific threshold is calculated for each portfolio, based on a statistical method. The following table shows LPD deterioration thresholds that triggered transfers to stage 2 as at 31 December 2022. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model. Classification in stage 3 A transfer to stage 3 will always be the result of the default of a financial instrument. Our definitions of default and impaired are aligned and comply with the European Banking Authority (EBA) guidelines on the application of the definition of default. All models use a consistent definition of default, which has been specified in line with regulations. A default is deemed to have occurred when: \u00c5 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u00c5 the bank considers the borrower to be unlikely to meet its contractual obligations (unlikely to pay, or UTP). The materiality of a financial obligation past due is assessed against an absolute and a relative threshold, in line with regulatory standards. To determine unlikeliness to pay, the bank has specified both mandatory default triggers (always resulting in the assignment of a default status, whereby no additional expert judgement is allowed) and judgemental triggers (requiring an assessment by credit risk managers to determine whether the UTP indications should result in a default classification). The mandatory triggers include the reporting of a forborne exposure under probation as non-performing for being 30 days past due or owing to an additional forbearance measure being applied. As a result, the definitions of non-performing and default are materially aligned. Reclassification to stage 2 The default classification for non-forborne exposures ends when the default triggers no longer apply and a (probation) cure period of at least three months has passed since the default trigger was last applied. For forborne exposures, a twelve-month cure period Asset in scope?YESPurchased or originated credit impaired (POCI)?NOYESDefault trigger hit?NOYESLifetime PD significantly deteriorated?NOYESWatch listNOYESForbearance (but not impaired)Days past due0-30>30Stage 1 Stage 2 Stage 3 Stage POCICalculation method ABN AMRO recognises loss allowances based on the Expected Credit Loss model (ECL) of IFRS 9, which is designed to be forward-looking. The amount of ECL is based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. ABN AMRO distinguishes between two types of calculation methods for credit loss allowances: \u00c5 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u00c5 Collective 12-month ECL (stage 1) and LECL (stage 2 and 3) for financial instruments that have similar credit risk characteristics (e.g. residential mortgages, consumer loans and SME loans) are clustered in portfolios and collectively assessed for impairment losses. A collective impairment calculation approach based on individual parameters is also applied to stage 3 exposures below EUR 3 million. ABN AMRO has models to quantify the Probability of Loss (PL), Loss Given Loss (LGL) and Exposure at Loss (EAL) for the purpose of calculating the collective 12-month ECL and LECL for these financial instruments. starts from the moment the last forbearance measure or default trigger was applied. After the cure period, an assessment is performed to establish whether the improvement in the credit quality is factual and permanent (including, for example, no remaining past due amounts). Lifetime expected credit loss ABN AMRO defines the lifetime of credit as the maximum contractual period during which the bank is exposed to credit risk; we do not apply a longer period, even if that longer period is consistent with business practice. For some contracts, such as overdraft facilities or credit cards, no end date is specified or amounts can be contractually withdrawn by the lender at short notice. In these cases, ABN AMRO uses behavioural maturity models that rely on historical client behaviour to determine future expected exposures. Forward-looking information For expected credit loss calculations, ABN AMRO uses three different scenarios of future economic developments: a baseline (or most likely) scenario, a negative scenario and a positive scenario. The three scenarios are incorporated into the expected credit loss calculation and risk stage determination in a probability-weighted manner. In order to incorporate the latest economic outlook, the scenarios and their weights are reviewed each quarter and adjusted if necessary. Details of the scenarios and their weights used in the reporting period can be found in the Credit risk review section. The baseline scenario entails our Group Economics analysts\u2019 current macroeconomic base scenario, which usually covers the current year and subsequent year. For the purpose of scenario analysis under IFRS 9, this baseline is extended by three additional calendar years, after which it is assumed that macroeconomic variables (MEVs) gradually move to their potential or equilibrium values. At least once every quarter, Group Economics compares its forecasts with those of institutions like CPB, DNB, ECB, IMF or OECD, in order to determine possible differences and to analyse whether it can underpin those. This external benchmarking exercise is a standard input to the Scenario Booklet that is presented to the bank\u2019s Scenario and Stress Testing Committee for approval. Group Economics also develops a negative and a positive scenario. These scenarios are designed to give an impression of the bandwidth within which the economy, interest and FX rates, and other relevant variables are likely to move in the next four to five years, with a probability of around 85% (roughly corresponding to a standard deviation of plus and minus one and a half). Hence, these scenarios produce upper and lower boundaries, with a resulting bandwidth between the outcomes of the negative (\u2018bad weather\u2019 in terms of financial results of the bank) and positive (\u2018good weather\u2019) scenarios. To determine these boundaries, Group Economics may look at historical developments, medium-term (non-baseline) scenarios made by the aforementioned institutions, and other relevant developments. Management overlays and other adjustments Where necessary to reflect the credit risk dynamics not captured by our models, management judgement is applied via a management overlay or other IFRS 9 adjustment. A management overlay is a temporary adjustment in a loss allowance until a long-term solution (e.g. model adjustment) is effective, and must be an amount commensurate to the model limitation. All overlays require a decision of the Impairment and Provision Committee (IPC). The main types of management overlays that ABN AMRO distinguishes are: post-model adjustments (adjustments to model outcomes), adjustments in the weightings of macroeconomic scenarios and stage overrides. Other adjustments such as adjustments to model parameters or input data are not considered management overlays, but follow the same internal approval process. Climate and environmental risks in ECL Incorporating climate risk explicitly into ECL models is challenging due to the lack of historical data and the horizon on which climate and environmental risks are expected to materialise. We are taking steps to gain deeper insight into how climate and environmental risks affect our clients, and to eventually embed them into our IFRS 9 ECL models. The target state is to have CER reflected in all four modelling frameworks (IRB models, IFRS, stress testing and EC). Although the impact of climate risk on ECL can only be estimated with a high degree of uncertainty regarding amounts of losses and the time horizon on which it will materialize, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate and environmental risks are playing an increasing role in government policies and macroeconomic developments. To capture climate and environmental risks in ECL and related scenario processes, each macroeconomic scenario is accompanied by an overview that illustrates which of these risks are included in the various projected macroeconomic indicators. For short term identifiable events that are not (yet) included in the macroeconomic forecasts, management overlays on ECL can be taken. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen reducing measures. With the combination of macroeconomic scenarios and this management overlay we deem to be adequately provisioned for climate and environmental risks. Cured financial assets When a credit impaired financial asset cures, the interest that was previously unrecognised is reported as an impairment release in the impairment charge rather than as a credit to the interest income calculated using the effective interest method. Write-off \u00c5 For non-programme lending, a write-off must be recorded if all possible means of recovery have been exhausted and it has become clear that there is a low probability of recovering the debt, either in part or full. \u00c5 Most of the programme lending facilities are automatically written-off after 1,080 days in default. Such loans are written off after all the necessary procedures have been completed and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off are credited to impairment charges on financial instruments in the income statement. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-31-7": { "value": "Accounting policy for measuring allowances for expected credit losses (ECL) The IFRS 9 impairment requirements are applicable to financial assets measured at amortised cost or fair value through other comprehensive income (FVOCI), loan commitments, lease receivables and contract assets and financial guarantee contracts. At each reporting date, these financial instruments are classified into one of three risk stages, depending on current credit quality, or as purchased or originated credit-impaired (POCI). POCI assets, which are credit-impaired at initial recognition, are accounted for at fair value (i.e. net of the initial lifetime ECLs) and do not carry an impairment Classification in stage 2 We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2. Change in credit quality since initial recognitionStage 1 Stage 2 Stage 3PerformingCredit quality deterioratedDefault = Impaired(Initial recognition)(Assets with significant increase in (Credit impaired assets)credit risk since initial recognition)Recognition of ECL12 month ECL Lifetime ECL Lifetime ECLInterest incomeEffective interest on gross carrying amount Effective interest on gross carrying amount Effective interest on amortised cost(gross carrying amount less loss allowance)allowance. Instead, a credit-adjusted effective interest rate (EIR), which is calculated using expected cash flows including initial lifetime ECLs, is applied to the amortised cost. Subsequently, the cumulative changes in lifetime ECLs since initial recognition, which are discounted at the credit-adjusted effective interest rate, are recognised in the profit or loss statement as an impairment gain or loss, and presented under impairment charges on financial instruments. Once a financial asset is classified as POCI, it retains that classification until it is derecognised (in the event that a substantial modification loss larger than 10% is applicable). For this reason, POCI stage is not included in the following figure. Quantitative stage triggers The key quantitative metric that determines when a financial instrument is transferred from stage 1 to stage 2 is the deterioration in the lifetime probability of default (LPD) from the date of origination to the reporting date, based on internal data. The LPD represents the likelihood that a counterparty will default during the lifetime of the financial instrument and depends on credit risk drivers such as: \u00c5 product characteristics (e.g. repayment and interest terms, term of the product); \u00c5 the financial condition of the borrower; \u00c5 the number of days past due; \u00c5 expected developments in the economy. The lifetime PD deterioration (LPDD) measures the relative difference between the remaining lifetime PD at reporting (LPDR) and the remaining lifetime PD at origination (LPDO) as LPDD = LPDR/LPDO. If the LPD deterioration of an exposure is above a predefined Range of lifetime PD deterioration thresholds b Product class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xQualitative stage triggers The bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u00c5 Forborne status of a borrower; \u00c5 Watch status of a borrower. ABN AMRO assigns the watch status to counterparties with an increased credit risk. This process comprises intensive monitoring, early detection of deterioration in the credit portfolio and appropriate follow-up measures; \u00c5 A delinquency-based regulatory backstop is in place, such that the credit risk of financial assets that are more than 30 days past due will be assumed to have significantly increased. Reclassification to stage 1 As a general rule, favourable changes in credit risk are recognised consistently with unfavourable changes, and a financial instrument is transferred back to stage 1 if quantitative or qualitative triggers are no longer met. In some cases, a probation period applies: \u00c5 Forborne financial instruments are transferred back from stage 2 to stage 1 only after a probation period of at least two years has ended, in line with the ABN AMRO forbearance policy. Stage 3 forborne instruments transfer back to stage 2 after a cure period of at least one year; \u00c5 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1. threshold, the LPD is considered to be significantly deteriorated. The exposure is then transferred to stage 2 and impairment allowances equal to the lifetime expected credit loss are recognised. If the LPD deterioration subsequently reduces and falls below the threshold, the client is transferred back to stage 1. When determining the thresholds, ABN AMRO distinguishes between various portfolios within consumer lending, residential mortgages and corporate loans. A specific threshold is calculated for each portfolio, based on a statistical method. The following table shows LPD deterioration thresholds that triggered transfers to stage 2 as at 31 December 2022. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model. Classification in stage 3 A transfer to stage 3 will always be the result of the default of a financial instrument. Our definitions of default and impaired are aligned and comply with the European Banking Authority (EBA) guidelines on the application of the definition of default. All models use a consistent definition of default, which has been specified in line with regulations. A default is deemed to have occurred when: \u00c5 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u00c5 the bank considers the borrower to be unlikely to meet its contractual obligations (unlikely to pay, or UTP). The materiality of a financial obligation past due is assessed against an absolute and a relative threshold, in line with regulatory standards. To determine unlikeliness to pay, the bank has specified both mandatory default triggers (always resulting in the assignment of a default status, whereby no additional expert judgement is allowed) and judgemental triggers (requiring an assessment by credit risk managers to determine whether the UTP indications should result in a default classification). The mandatory triggers include the reporting of a forborne exposure under probation as non-performing for being 30 days past due or owing to an additional forbearance measure being applied. As a result, the definitions of non-performing and default are materially aligned. Reclassification to stage 2 The default classification for non-forborne exposures ends when the default triggers no longer apply and a (probation) cure period of at least three months has passed since the default trigger was last applied. For forborne exposures, a twelve-month cure period Asset in scope?YESPurchased or originated credit impaired (POCI)?NOYESDefault trigger hit?NOYESLifetime PD significantly deteriorated?NOYESWatch listNOYESForbearance (but not impaired)Days past due0-30>30Stage 1 Stage 2 Stage 3 Stage POCICalculation method ABN AMRO recognises loss allowances based on the Expected Credit Loss model (ECL) of IFRS 9, which is designed to be forward-looking. The amount of ECL is based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. ABN AMRO distinguishes between two types of calculation methods for credit loss allowances: \u00c5 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u00c5 Collective 12-month ECL (stage 1) and LECL (stage 2 and 3) for financial instruments that have similar credit risk characteristics (e.g. residential mortgages, consumer loans and SME loans) are clustered in portfolios and collectively assessed for impairment losses. A collective impairment calculation approach based on individual parameters is also applied to stage 3 exposures below EUR 3 million. ABN AMRO has models to quantify the Probability of Loss (PL), Loss Given Loss (LGL) and Exposure at Loss (EAL) for the purpose of calculating the collective 12-month ECL and LECL for these financial instruments. starts from the moment the last forbearance measure or default trigger was applied. After the cure period, an assessment is performed to establish whether the improvement in the credit quality is factual and permanent (including, for example, no remaining past due amounts). Lifetime expected credit loss ABN AMRO defines the lifetime of credit as the maximum contractual period during which the bank is exposed to credit risk; we do not apply a longer period, even if that longer period is consistent with business practice. For some contracts, such as overdraft facilities or credit cards, no end date is specified or amounts can be contractually withdrawn by the lender at short notice. In these cases, ABN AMRO uses behavioural maturity models that rely on historical client behaviour to determine future expected exposures. Forward-looking information For expected credit loss calculations, ABN AMRO uses three different scenarios of future economic developments: a baseline (or most likely) scenario, a negative scenario and a positive scenario. The three scenarios are incorporated into the expected credit loss calculation and risk stage determination in a probability-weighted manner. In order to incorporate the latest economic outlook, the scenarios and their weights are reviewed each quarter and adjusted if necessary. Details of the scenarios and their weights used in the reporting period can be found in the Credit risk review section. The baseline scenario entails our Group Economics analysts\u2019 current macroeconomic base scenario, which usually covers the current year and subsequent year. For the purpose of scenario analysis under IFRS 9, this baseline is extended by three additional calendar years, after which it is assumed that macroeconomic variables (MEVs) gradually move to their potential or equilibrium values. At least once every quarter, Group Economics compares its forecasts with those of institutions like CPB, DNB, ECB, IMF or OECD, in order to determine possible differences and to analyse whether it can underpin those. This external benchmarking exercise is a standard input to the Scenario Booklet that is presented to the bank\u2019s Scenario and Stress Testing Committee for approval. Group Economics also develops a negative and a positive scenario. These scenarios are designed to give an impression of the bandwidth within which the economy, interest and FX rates, and other relevant variables are likely to move in the next four to five years, with a probability of around 85% (roughly corresponding to a standard deviation of plus and minus one and a half). Hence, these scenarios produce upper and lower boundaries, with a resulting bandwidth between the outcomes of the negative (\u2018bad weather\u2019 in terms of financial results of the bank) and positive (\u2018good weather\u2019) scenarios. To determine these boundaries, Group Economics may look at historical developments, medium-term (non-baseline) scenarios made by the aforementioned institutions, and other relevant developments. Management overlays and other adjustments Where necessary to reflect the credit risk dynamics not captured by our models, management judgement is applied via a management overlay or other IFRS 9 adjustment. A management overlay is a temporary adjustment in a loss allowance until a long-term solution (e.g. model adjustment) is effective, and must be an amount commensurate to the model limitation. All overlays require a decision of the Impairment and Provision Committee (IPC). The main types of management overlays that ABN AMRO distinguishes are: post-model adjustments (adjustments to model outcomes), adjustments in the weightings of macroeconomic scenarios and stage overrides. Other adjustments such as adjustments to model parameters or input data are not considered management overlays, but follow the same internal approval process. Climate and environmental risks in ECL Incorporating climate risk explicitly into ECL models is challenging due to the lack of historical data and the horizon on which climate and environmental risks are expected to materialise. We are taking steps to gain deeper insight into how climate and environmental risks affect our clients, and to eventually embed them into our IFRS 9 ECL models. The target state is to have CER reflected in all four modelling frameworks (IRB models, IFRS, stress testing and EC). Although the impact of climate risk on ECL can only be estimated with a high degree of uncertainty regarding amounts of losses and the time horizon on which it will materialize, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate and environmental risks are playing an increasing role in government policies and macroeconomic developments. To capture climate and environmental risks in ECL and related scenario processes, each macroeconomic scenario is accompanied by an overview that illustrates which of these risks are included in the various projected macroeconomic indicators. For short term identifiable events that are not (yet) included in the macroeconomic forecasts, management overlays on ECL can be taken. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen reducing measures. With the combination of macroeconomic scenarios and this management overlay we deem to be adequately provisioned for climate and environmental risks. Cured financial assets When a credit impaired financial asset cures, the interest that was previously unrecognised is reported as an impairment release in the impairment charge rather than as a credit to the interest income calculated using the effective interest method. Write-off \u00c5 For non-programme lending, a write-off must be recorded if all possible means of recovery have been exhausted and it has become clear that there is a low probability of recovering the debt, either in part or full. \u00c5 Most of the programme lending facilities are automatically written-off after 1,080 days in default. Such loans are written off after all the necessary procedures have been completed and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off are credited to impairment charges on financial instruments in the income statement. Accounting policy for offsetting financial assets and liabilities b Financial assets and liabilities are offset, and the net amount is reported on the EU IFRS balance sheet, if there is a legally enforceable right to set off the recognised amounts and there is an intention either to settle on a net basis or to realise the asset and settle the liability simultaneously. The bank applies netting to debtor and creditor balances, such as current accounts, where offsetting is justified by formal agreement with the client, provided they meet the applicable criteria. Accounting policy for enforceable master netting agreements or similar instruments b Enforceable master netting arrangements take into account all agreements containing conditions that allow offsetting in the event of default. In addition, agreements are enforceable if the bank has a legally enforceable right to offset and no ability and/or intention to realise the asset and settle the liability simultaneously. These arrangements include derivative clearing agreements, global master repurchase agreements and global master securities lending agreements. Financial assets and liabilities Classification and measurement of financial assets ABN AMRO classifies financial assets based on the business model in which they are held in accordance with IFRS 9. The business model is determined at portfolio level. Portfolios are based on how ABN AMRO manages financial assets in order to achieve a particular business objective. The business model assessment is based on the level of sales, risk management, performance evaluation and management compensation. Derecognition is used as a condition to determine whether a transaction results in a sale. Three business models are distinguished: \u00c5 \u2018Hold to collect\u2019 business model, in which cash flows are primarily generated by collecting contractual cash flows until maturity of the financial instrument. Sales can occur, as long as they are incidental, infrequent and insignificant. The assessment of the frequency and significance of sales is determined for each underlying portfolio. Sales that result from increases in the credit risk of the counterparty or take place close to maturity do not contradict the \u2018hold to collect\u2019 business model; \u00c5 \u2018Hold to collect and sell\u2019 business model, in which the selling of financial assets is integral to achieving the business objective. In this business model, sales take place more frequently and have a greater value than in a hold-to-collect business model; \u00c5 Other business models not meeting the criteria of the business models mentioned above, for example business models in which financial assets are managed with the objective of generating cash flows from sales (trading book), are measured at FVTPL. After the business model has been determined, the contractual cash flows of financial assets are assessed. Debt instruments can be classified at amortised cost or FVOCI only when the contractual cash flows are solely payments of principal and interest (SPPI). Contractual cash flows that are SPPI are consistent with a basic lending arrangement in which consideration for the time value of money and credit risk are typically the most significant interest elements. Debt instruments that do not meet the SPPI requirements are mandatorily measured at FVTPL. Financial assets are assessed in their entirety, including any embedded derivatives that are not separated from the host contract. Based on the business model determined and the SPPI assessment, the following measurement categories are identified under IFRS 9: \u00c5 Amortised cost \u2013 Financial instruments measured at amortised cost are debt instruments within a \u2018hold to collect\u2019 business model with fixed or determinable payments which meet the SPPI criteria. These instruments are initially measured at fair value (including transaction costs) and subsequently measured at amortised cost using the effective interest rate method. Financial instruments measured at amortised cost are presented net of credit loss allowances in the statement of financial position; Reclassifications of financial assets are expected to be very infrequent and occur only when ABN AMRO changes its business model for a certain portfolio of financial assets. Recognition and derecognition Traded instruments are recognised on the trade date, which is defined as the date on which ABN AMRO commits to purchase or sell the underlying instrument. If the settlement terms are non-standard, the commitment is accounted for as a derivative between the trade and settlement dates. Loans and advances are recognised when they are acquired or funded by ABN AMRO and derecognised when settled. Issued debt is recognised when issued, and deposits are recognised when the cash is deposited with ABN AMRO. Other financial assets and liabilities, including derivatives, are recognised when ABN AMRO becomes a party to the contractual provisions of the asset or liability. Financial assets are derecognised when ABN AMRO loses control and the ability to obtain benefits from the contractual rights that comprise that asset. This occurs when the rights are realised or expire, or when substantially all risks and rewards are transferred. Financial assets are also derecognised if the bank has neither transferred nor retained substantially all risks and rewards of ownership, but control has passed to the transferee. Financial assets continue to be recognised in the balance sheet, and a liability recognised for the proceeds of any related funding transaction, unless a fully proportional share of all or specifically identified cash flows are transferred to the lender without material delay and the lender\u2019s claim is limited to those cash flows, and substantially all the risks, rewards and control associated with the financial instruments, that have been transferred, in which case that proportion of the asset is derecognised. When the terms and conditions of a financial asset have been renegotiated or otherwise modified to the extent that, substantially, it becomes a new financial asset, ABN AMRO derecognises the financial asset, with the difference recognised in the income statement, to the extent that an impairment loss has not already been recorded. The newly recognised \u00c5 FVTPL \u2013 Financial instruments measured at FVTPL include instruments held for trading, derivatives, equity instruments for which the FVOCI option has not been elected and instruments whose cash flows do not meet the SPPI requirements. Changes in the fair value of these instruments are directly recognised in the income statement; \u00c5 FVOCI \u2013 Financial instruments measured at FVOCI are debt instruments which are held in a \u2018hold to collect and sell\u2019 business model and which meet the SPPI criteria. They are initially measured at fair value, with subsequent unrealised changes recognised in other comprehensive income. Equity instruments for which the fair value option is elected are also measured at FVOCI. Please refer to the Risk, funding & capital management section for our accounting policies on the measurement of expected credit losses on financial instruments measured at amortised cost and FVOCI. Classification of assets and liabilities held for trading A financial asset or financial liability is classified as held for trading if it is: \u00c5 Acquired or incurred principally for the purpose of selling or repurchasing it in the near term; \u00c5 Part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking; or \u00c5 A trading derivative (except for a derivative that is a designated and effective hedging instrument). Classification and measurement of financial liabilities Financial liability is initially recognised at its fair value minus, in the case of a financial liability not at fair value through profit or loss, transaction costs that are directly attributable to the acquisition or issue of the financial liability. Under IFRS 9, financial liabilities are classified as subsequently measured at amortised cost, except for the following instruments: \u00c5 Financial liabilities held for trading are measured at fair value through profit or loss; \u00c5 Financial liabilities that ABN AMRO has irrevocably designated at initial recognition as held at fair value through profit or loss when the instruments are held to reduce an accounting mismatch are managed on the basis of their fair value or include terms that have derivative characteristicsby nature. Under IFRS 9, the changes in fair value attributable to changes in the credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Financial liabilities are never reclassified after initial recognition. financial asset is classified as stage 1 for ECL measurement purposes. ABN AMRO assesses, in both qualitative and quantitative terms, whether such modifications are substantial. Generally, a 10% change in the net present value of the cash flows between the initial and new contract results in a derecognition. With regard to substantial modifications, e.g. due to forbearance measures, the derecognition gains or losses are recognised in net gains/(losses) on derecognition of financial assets measured at amortised cost and disclosed separately, if material. If the modification of the financial asset does not result in derecognition, the gross carrying amount of the financial asset is recalculated, based on the net present value of the new contractual cash flows, and discounted at the financial asset\u2019s original effective interest rate. The effect is recognised and disclosed as a modification loss in the income statement. Credit related modification gains or losses (i.e. due to forbearance measures) are recognised in the income statement and presented under impairment charges on financial instruments. Non-credit related modification gains or losses are recognised in the income statement and presented under interest income calculated using the effective interest method. Financial liabilities are derecognised when the liability has been settled, has expired or has been extinguished. An exchange of an existing financial liability for a new liability with the same lender on substantially different terms, qualitatively and quantitatively (a 10% difference in the present value of the cash flows), is accounted for as an extinguishment of the original financial liability and recognition of a new financial liability. The difference between the former amortised cost and the consideration paid is recognised in the income statement. 8 Net gains/(losses) on derecognition of financial assets measured at amortised cost Accounting policy derecognition of financial assets The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses recognised on the sale or derecognition of these financial assets, calculated as the difference between the carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received. 13 Cash and balances at central banks Accounting policy for cash and balances at central banks Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits are disclosed in Note 20 Loans and advances banks. 14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 16 Hedge accounting Accounting policy for hedge accounting ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties to hedge risks on assets, liabilities and net investments. The accounting treatment of the hedged item and the hedging instrument depends on whether the hedge relationship qualifies for hedge accounting. Qualifying hedges may be designated as fair value hedges, cash flow hedges or hedges of net investments. A non-derivative financial asset or liability may be designated as a hedging instrument for hedge accounting purposes only if it hedges the risk of changes in foreign currency exchange rates. The hedged item can be an asset, liability, or net investment in a foreign operation that (a) exposes the entity to the risk of changes in fair value or future cash flows, and (b) is designated as being hedged. The hedged risks are typically changes in interest rates or foreign currency rates. ABN AMRO\u2019s market risk management strategy, which includes interest rate risk and foreign currency risk in the banking book, is described in more detail in the Risk, funding & capital management section. Both at the inception of the hedge and on an ongoing basis, ABN AMRO assesses whether the derivatives designated in each hedging relationship are expected to be and have been highly effective in offsetting changes in the fair value or cash flows of the hedged item. These prospective and retrospective effectiveness tests are performed by using a regression analysis. ABN AMRO applies the following criteria to assess whether the hedging relationship is effective: \u00c5 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and \u00c5 A slope of the regression line is within a range of 0.80-1.25. Hedge ineffectiveness and gains and losses on components of a derivative that are excluded from the assessment of hedge effectiveness are recorded directly in the result from financial transactions as part of other operating income. ABN AMRO discontinues hedge accounting when the hedge relationship has ceased to be effective or is no longer expected to be effective, or when the derivative or hedged item is sold or otherwise terminated. 17 Financial investments Accounting policy for financial investments Financial investments include financial instruments measured at fair value through other comprehensive income (FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL). Accounting policy for financial instruments measured at fair value through other comprehensive income Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net of applicable taxes.Interest earned, premiums, discounts and qualifying transaction costs of interest-earning FVOCI assets are amortised to income on an effective interest rate basis. When FVOCI debt instruments are sold, the cumulative gain or loss recognised in other comprehensive income is transferred to other operating income in the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised in the impairment charges on financial instruments in the income statement. The related loss allowance is recognised in other comprehensive income and does not reduce the carrying amount of the FVOCI debt instruments. ABN AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set out in Credit risk management in the Risk, funding & capital management chapter. Fair value changes in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other comprehensive income and not subsequently reclassified to the income statement. Accounting policy for financial instruments measured at fair value through profit and loss Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are mandatorily measured at fair value because they do not meet the SPPI test. 18 Securities financing Accounting policy for securities financing Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are generally entered into on a collateralised basis, with securities usually advanced or received as collateral. The transfer of the securities themselves is not reflected in the statement of financial position unless the risks and rewards of ownership are also transferred. If cash is advanced or received, securities borrowing and lending activities are recorded at the amount of cash advanced (included in loans and advances) or received (due to banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and the collateral levels are adjusted in accordance with the underlying transactions. Fees and interest received or paid are recognised on an effective interest rate basis and recorded as interest income or interest expense. Sale and repurchase transactions involve purchases (or sales) of investments with agreements to resell (or repurchase) substantially identical investments at a certain date in the future at a fixed price. Investments purchased subject to commitments to resell them at future dates are not recognised. The amounts paid are recognised in loans and advances to either banks or customers and are shown as collateralised by the underlying security. Investments sold under repurchase agreements continue to be recognised in the statement of financial position. Proceeds from the sale of the investments are reported as liabilities to either banks or customers. The difference between the sale and repurchase price is recognised over the period of the transaction and recorded as interest income or interest expense, using the effective interest rate method. If borrowed securities are sold to third parties, the proceeds from the sale and a liability for the obligation to return the collateral are recorded at fair value. 19 Fair value of financial instruments carried at fair value Accounting policy for fair value of financial instruments The fair value is defined as the price that would be received when selling an asset or paid when transferring a liability in an orderly transaction between market participants at the measurement date. For financial instruments that are actively traded and for which quoted market prices or market parameters are readily available, the fair value is determined in a highly objective manner. However, when observable market prices and parameters do not exist, management judgement is necessary to estimate fair value. For financial instruments where no active liquid market exists, or quoted prices are unobtainable, recent market transactions are used or the fair value is estimated using a variety of valuation techniques \u2013 including reference to similar instruments for which market prices do exist, or to valuation techniques such as discounted cash flow models or option pricing models (e.g. Black Scholes). When portfolios of financial assets and liabilities are measured on the basis of the net exposure to the credit risk of a particular counterparty, any existing arrangements that mitigate the credit risk exposure (e.g. master netting agreements with the counterparty) are taken into account. Unobservable inputs are estimated using a combination of management judgement, historical data, market practice and benchmarking to other relevant observable market data. The difference between the transaction price and the internal valuation at inception, calculated using a model, is reserved and amortised to profit or loss at appropriate points over the life of the instrument, typically taking account of the ability to obtain reliable external data, the passage of time and the use of offsetting transactions. Where inputs to the valuation of a new transaction cannot be reliably determined, the transaction is initially recognised at its transaction price. Subsequent changes in fair value as calculated by the valuation model are reported as profit or loss or in equity. \u00c5 In order to determine a reliable fair value, where appropriate, management applies valuation adjustments to the pricing information derived from the above sources. These adjustments reflect management\u2019s assessment of factors that market participants would consider in setting a price, to the extent that these factors have not already been included in the information from the above sources. The main valuation adjustments required to arrive at a fair value are as follows: \u00c5 Credit and debit valuation adjustments. In addition to credit valuation for loans measured at fair value through profit or loss, credit valuation adjustments and debit valuation adjustments are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and how counterparties consider ABN AMRO\u2019s creditworthiness respectively; \u00c5 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives; \u00c5 Own credit adjustment. An own credit risk adjustment is applied to financial liabilities where it is believed that counterparties will consider ABN AMRO\u2019s creditworthiness when pricing such instruments; \u00c5 Model valuation adjustments for any known limitations. Management assesses the appropriateness of any model used on an ongoing basis. To the extent that the price provided by internal models does not represent the fair value of the instrument, for instance in highly stressed market conditions, management makes adjustments to the model valuation to calibrate to other available pricing sources. We believe our estimates of the fair value are adequate. However, the use of different models or assumptions could result in changes to our reported results. 20 Loans and advances banks Accounting policy for loans and advances banks and customers Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model. Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the asset. Loans and advances that do not pass the SPPI test are measured at fair value through profit or loss. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to Credit risk management in the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). 22 Fair value of financial instruments not carried at fair value 21 Loans and advances customers Accounting policy for loans and advances customers The accounting policy for loans and advances customers is included in Note 20 Loans and advances banks. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to the Credit risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). 27 Due to banks Accounting policy for due to banks and due to customers Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the instrument. 28 Due to customers Accounting policy for due to customers The accounting policy for amounts due to customers is included in Note 27 Due to banks. 29 Issued debt and subordinated liabilities Accounting policy for issued debt and subordinated liabilities Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that qualify as an embedded derivative that cannot be separated. ABN AMRO applies IAS 32 Financial Instruments: Presentation to determine whether funding is a financial liability or equity. Issued financial instruments or their components are classified as financial liabilities where the substance of the contractual arrangement results in ABN AMRO having a present obligation to deliver either cash or another financial asset or to satisfy the obligation other than by the exchange of a fixed number of equity shares. Issued liabilities qualify as subordinated debt if claims by the holders are subordinated to all other current and future liabilities of ABN AMRO and its subsidiaries. The valuation of liabilities measured at fair value includes the effect of changes in the bank\u2019s own credit spreads. The change in fair value applies to those financial liabilities designated at fair value where own value credit risk would be considered by market participants. The cumulative amount of changes in fair value attributable to credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt measured at fair value through profit or loss is valued at market prices. Fair value changes are calculated based on a yield curve generated from observed external pricing for funding and quoted CDS spreads 35 Commitments and contingent liabilities Accounting policy for off-balance sheet items Financial guarantee contracts A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when appropriate \u2013 the cumulative amount of income recognised in the income statement. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-31-8": { "value": "Accounting policy for measuring allowances for expected credit losses (ECL) The IFRS 9 impairment requirements are applicable to financial assets measured at amortised cost or fair value through other comprehensive income (FVOCI), loan commitments, lease receivables and contract assets and financial guarantee contracts. At each reporting date, these financial instruments are classified into one of three risk stages, depending on current credit quality, or as purchased or originated credit-impaired (POCI). POCI assets, which are credit-impaired at initial recognition, are accounted for at fair value (i.e. net of the initial lifetime ECLs) and do not carry an impairment Classification in stage 2 We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2. Change in credit quality since initial recognitionStage 1 Stage 2 Stage 3PerformingCredit quality deterioratedDefault = Impaired(Initial recognition)(Assets with significant increase in (Credit impaired assets)credit risk since initial recognition)Recognition of ECL12 month ECL Lifetime ECL Lifetime ECLInterest incomeEffective interest on gross carrying amount Effective interest on gross carrying amount Effective interest on amortised cost(gross carrying amount less loss allowance)allowance. Instead, a credit-adjusted effective interest rate (EIR), which is calculated using expected cash flows including initial lifetime ECLs, is applied to the amortised cost. Subsequently, the cumulative changes in lifetime ECLs since initial recognition, which are discounted at the credit-adjusted effective interest rate, are recognised in the profit or loss statement as an impairment gain or loss, and presented under impairment charges on financial instruments. Once a financial asset is classified as POCI, it retains that classification until it is derecognised (in the event that a substantial modification loss larger than 10% is applicable). For this reason, POCI stage is not included in the following figure. Quantitative stage triggers The key quantitative metric that determines when a financial instrument is transferred from stage 1 to stage 2 is the deterioration in the lifetime probability of default (LPD) from the date of origination to the reporting date, based on internal data. The LPD represents the likelihood that a counterparty will default during the lifetime of the financial instrument and depends on credit risk drivers such as: \u00c5 product characteristics (e.g. repayment and interest terms, term of the product); \u00c5 the financial condition of the borrower; \u00c5 the number of days past due; \u00c5 expected developments in the economy. The lifetime PD deterioration (LPDD) measures the relative difference between the remaining lifetime PD at reporting (LPDR) and the remaining lifetime PD at origination (LPDO) as LPDD = LPDR/LPDO. If the LPD deterioration of an exposure is above a predefined Range of lifetime PD deterioration thresholds b Product class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xQualitative stage triggers The bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u00c5 Forborne status of a borrower; \u00c5 Watch status of a borrower. ABN AMRO assigns the watch status to counterparties with an increased credit risk. This process comprises intensive monitoring, early detection of deterioration in the credit portfolio and appropriate follow-up measures; \u00c5 A delinquency-based regulatory backstop is in place, such that the credit risk of financial assets that are more than 30 days past due will be assumed to have significantly increased. Reclassification to stage 1 As a general rule, favourable changes in credit risk are recognised consistently with unfavourable changes, and a financial instrument is transferred back to stage 1 if quantitative or qualitative triggers are no longer met. In some cases, a probation period applies: \u00c5 Forborne financial instruments are transferred back from stage 2 to stage 1 only after a probation period of at least two years has ended, in line with the ABN AMRO forbearance policy. Stage 3 forborne instruments transfer back to stage 2 after a cure period of at least one year; \u00c5 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1. threshold, the LPD is considered to be significantly deteriorated. The exposure is then transferred to stage 2 and impairment allowances equal to the lifetime expected credit loss are recognised. If the LPD deterioration subsequently reduces and falls below the threshold, the client is transferred back to stage 1. When determining the thresholds, ABN AMRO distinguishes between various portfolios within consumer lending, residential mortgages and corporate loans. A specific threshold is calculated for each portfolio, based on a statistical method. The following table shows LPD deterioration thresholds that triggered transfers to stage 2 as at 31 December 2022. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model. Classification in stage 3 A transfer to stage 3 will always be the result of the default of a financial instrument. Our definitions of default and impaired are aligned and comply with the European Banking Authority (EBA) guidelines on the application of the definition of default. All models use a consistent definition of default, which has been specified in line with regulations. A default is deemed to have occurred when: \u00c5 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u00c5 the bank considers the borrower to be unlikely to meet its contractual obligations (unlikely to pay, or UTP). The materiality of a financial obligation past due is assessed against an absolute and a relative threshold, in line with regulatory standards. To determine unlikeliness to pay, the bank has specified both mandatory default triggers (always resulting in the assignment of a default status, whereby no additional expert judgement is allowed) and judgemental triggers (requiring an assessment by credit risk managers to determine whether the UTP indications should result in a default classification). The mandatory triggers include the reporting of a forborne exposure under probation as non-performing for being 30 days past due or owing to an additional forbearance measure being applied. As a result, the definitions of non-performing and default are materially aligned. Reclassification to stage 2 The default classification for non-forborne exposures ends when the default triggers no longer apply and a (probation) cure period of at least three months has passed since the default trigger was last applied. For forborne exposures, a twelve-month cure period Asset in scope?YESPurchased or originated credit impaired (POCI)?NOYESDefault trigger hit?NOYESLifetime PD significantly deteriorated?NOYESWatch listNOYESForbearance (but not impaired)Days past due0-30>30Stage 1 Stage 2 Stage 3 Stage POCICalculation method ABN AMRO recognises loss allowances based on the Expected Credit Loss model (ECL) of IFRS 9, which is designed to be forward-looking. The amount of ECL is based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. ABN AMRO distinguishes between two types of calculation methods for credit loss allowances: \u00c5 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u00c5 Collective 12-month ECL (stage 1) and LECL (stage 2 and 3) for financial instruments that have similar credit risk characteristics (e.g. residential mortgages, consumer loans and SME loans) are clustered in portfolios and collectively assessed for impairment losses. A collective impairment calculation approach based on individual parameters is also applied to stage 3 exposures below EUR 3 million. ABN AMRO has models to quantify the Probability of Loss (PL), Loss Given Loss (LGL) and Exposure at Loss (EAL) for the purpose of calculating the collective 12-month ECL and LECL for these financial instruments. starts from the moment the last forbearance measure or default trigger was applied. After the cure period, an assessment is performed to establish whether the improvement in the credit quality is factual and permanent (including, for example, no remaining past due amounts). Lifetime expected credit loss ABN AMRO defines the lifetime of credit as the maximum contractual period during which the bank is exposed to credit risk; we do not apply a longer period, even if that longer period is consistent with business practice. For some contracts, such as overdraft facilities or credit cards, no end date is specified or amounts can be contractually withdrawn by the lender at short notice. In these cases, ABN AMRO uses behavioural maturity models that rely on historical client behaviour to determine future expected exposures. Forward-looking information For expected credit loss calculations, ABN AMRO uses three different scenarios of future economic developments: a baseline (or most likely) scenario, a negative scenario and a positive scenario. The three scenarios are incorporated into the expected credit loss calculation and risk stage determination in a probability-weighted manner. In order to incorporate the latest economic outlook, the scenarios and their weights are reviewed each quarter and adjusted if necessary. Details of the scenarios and their weights used in the reporting period can be found in the Credit risk review section. The baseline scenario entails our Group Economics analysts\u2019 current macroeconomic base scenario, which usually covers the current year and subsequent year. For the purpose of scenario analysis under IFRS 9, this baseline is extended by three additional calendar years, after which it is assumed that macroeconomic variables (MEVs) gradually move to their potential or equilibrium values. At least once every quarter, Group Economics compares its forecasts with those of institutions like CPB, DNB, ECB, IMF or OECD, in order to determine possible differences and to analyse whether it can underpin those. This external benchmarking exercise is a standard input to the Scenario Booklet that is presented to the bank\u2019s Scenario and Stress Testing Committee for approval. Group Economics also develops a negative and a positive scenario. These scenarios are designed to give an impression of the bandwidth within which the economy, interest and FX rates, and other relevant variables are likely to move in the next four to five years, with a probability of around 85% (roughly corresponding to a standard deviation of plus and minus one and a half). Hence, these scenarios produce upper and lower boundaries, with a resulting bandwidth between the outcomes of the negative (\u2018bad weather\u2019 in terms of financial results of the bank) and positive (\u2018good weather\u2019) scenarios. To determine these boundaries, Group Economics may look at historical developments, medium-term (non-baseline) scenarios made by the aforementioned institutions, and other relevant developments. Management overlays and other adjustments Where necessary to reflect the credit risk dynamics not captured by our models, management judgement is applied via a management overlay or other IFRS 9 adjustment. A management overlay is a temporary adjustment in a loss allowance until a long-term solution (e.g. model adjustment) is effective, and must be an amount commensurate to the model limitation. All overlays require a decision of the Impairment and Provision Committee (IPC). The main types of management overlays that ABN AMRO distinguishes are: post-model adjustments (adjustments to model outcomes), adjustments in the weightings of macroeconomic scenarios and stage overrides. Other adjustments such as adjustments to model parameters or input data are not considered management overlays, but follow the same internal approval process. Climate and environmental risks in ECL Incorporating climate risk explicitly into ECL models is challenging due to the lack of historical data and the horizon on which climate and environmental risks are expected to materialise. We are taking steps to gain deeper insight into how climate and environmental risks affect our clients, and to eventually embed them into our IFRS 9 ECL models. The target state is to have CER reflected in all four modelling frameworks (IRB models, IFRS, stress testing and EC). Although the impact of climate risk on ECL can only be estimated with a high degree of uncertainty regarding amounts of losses and the time horizon on which it will materialize, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate and environmental risks are playing an increasing role in government policies and macroeconomic developments. To capture climate and environmental risks in ECL and related scenario processes, each macroeconomic scenario is accompanied by an overview that illustrates which of these risks are included in the various projected macroeconomic indicators. For short term identifiable events that are not (yet) included in the macroeconomic forecasts, management overlays on ECL can be taken. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen reducing measures. With the combination of macroeconomic scenarios and this management overlay we deem to be adequately provisioned for climate and environmental risks. Cured financial assets When a credit impaired financial asset cures, the interest that was previously unrecognised is reported as an impairment release in the impairment charge rather than as a credit to the interest income calculated using the effective interest method. Write-off \u00c5 For non-programme lending, a write-off must be recorded if all possible means of recovery have been exhausted and it has become clear that there is a low probability of recovering the debt, either in part or full. \u00c5 Most of the programme lending facilities are automatically written-off after 1,080 days in default. Such loans are written off after all the necessary procedures have been completed and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off are credited to impairment charges on financial instruments in the income statement. Accounting policy for offsetting financial assets and liabilities b Financial assets and liabilities are offset, and the net amount is reported on the EU IFRS balance sheet, if there is a legally enforceable right to set off the recognised amounts and there is an intention either to settle on a net basis or to realise the asset and settle the liability simultaneously. The bank applies netting to debtor and creditor balances, such as current accounts, where offsetting is justified by formal agreement with the client, provided they meet the applicable criteria. Accounting policy for enforceable master netting agreements or similar instruments b Enforceable master netting arrangements take into account all agreements containing conditions that allow offsetting in the event of default. In addition, agreements are enforceable if the bank has a legally enforceable right to offset and no ability and/or intention to realise the asset and settle the liability simultaneously. These arrangements include derivative clearing agreements, global master repurchase agreements and global master securities lending agreements. 1 Accounting policies Financial assets and liabilities Classification and measurement of financial assets ABN AMRO classifies financial assets based on the business model in which they are held in accordance with IFRS 9. The business model is determined at portfolio level. Portfolios are based on how ABN AMRO manages financial assets in order to achieve a particular business objective. The business model assessment is based on the level of sales, risk management, performance evaluation and management compensation. Derecognition is used as a condition to determine whether a transaction results in a sale. Three business models are distinguished: \u00c5 \u2018Hold to collect\u2019 business model, in which cash flows are primarily generated by collecting contractual cash flows until maturity of the financial instrument. Sales can occur, as long as they are incidental, infrequent and insignificant. The assessment of the frequency and significance of sales is determined for each underlying portfolio. Sales that result from increases in the credit risk of the counterparty or take place close to maturity do not contradict the \u2018hold to collect\u2019 business model; \u00c5 \u2018Hold to collect and sell\u2019 business model, in which the selling of financial assets is integral to achieving the business objective. In this business model, sales take place more frequently and have a greater value than in a hold-to-collect business model; \u00c5 Other business models not meeting the criteria of the business models mentioned above, for example business models in which financial assets are managed with the objective of generating cash flows from sales (trading book), are measured at FVTPL. After the business model has been determined, the contractual cash flows of financial assets are assessed. Debt instruments can be classified at amortised cost or FVOCI only when the contractual cash flows are solely payments of principal and interest (SPPI). Contractual cash flows that are SPPI are consistent with a basic lending arrangement in which consideration for the time value of money and credit risk are typically the most significant interest elements. Debt instruments that do not meet the SPPI requirements are mandatorily measured at FVTPL. Financial assets are assessed in their entirety, including any embedded derivatives that are not separated from the host contract. Based on the business model determined and the SPPI assessment, the following measurement categories are identified under IFRS 9: \u00c5 Amortised cost \u2013 Financial instruments measured at amortised cost are debt instruments within a \u2018hold to collect\u2019 business model with fixed or determinable payments which meet the SPPI criteria. These instruments are initially measured at fair value (including transaction costs) and subsequently measured at amortised cost using the effective interest rate method. Financial instruments measured at amortised cost are presented net of credit loss allowances in the statement of financial position; Reclassifications of financial assets are expected to be very infrequent and occur only when ABN AMRO changes its business model for a certain portfolio of financial assets. Recognition and derecognition Traded instruments are recognised on the trade date, which is defined as the date on which ABN AMRO commits to purchase or sell the underlying instrument. If the settlement terms are non-standard, the commitment is accounted for as a derivative between the trade and settlement dates. Loans and advances are recognised when they are acquired or funded by ABN AMRO and derecognised when settled. Issued debt is recognised when issued, and deposits are recognised when the cash is deposited with ABN AMRO. Other financial assets and liabilities, including derivatives, are recognised when ABN AMRO becomes a party to the contractual provisions of the asset or liability. Financial assets are derecognised when ABN AMRO loses control and the ability to obtain benefits from the contractual rights that comprise that asset. This occurs when the rights are realised or expire, or when substantially all risks and rewards are transferred. Financial assets are also derecognised if the bank has neither transferred nor retained substantially all risks and rewards of ownership, but control has passed to the transferee. Financial assets continue to be recognised in the balance sheet, and a liability recognised for the proceeds of any related funding transaction, unless a fully proportional share of all or specifically identified cash flows are transferred to the lender without material delay and the lender\u2019s claim is limited to those cash flows, and substantially all the risks, rewards and control associated with the financial instruments, that have been transferred, in which case that proportion of the asset is derecognised. When the terms and conditions of a financial asset have been renegotiated or otherwise modified to the extent that, substantially, it becomes a new financial asset, ABN AMRO derecognises the financial asset, with the difference recognised in the income statement, to the extent that an impairment loss has not already been recorded. The newly recognised \u00c5 FVTPL \u2013 Financial instruments measured at FVTPL include instruments held for trading, derivatives, equity instruments for which the FVOCI option has not been elected and instruments whose cash flows do not meet the SPPI requirements. Changes in the fair value of these instruments are directly recognised in the income statement; \u00c5 FVOCI \u2013 Financial instruments measured at FVOCI are debt instruments which are held in a \u2018hold to collect and sell\u2019 business model and which meet the SPPI criteria. They are initially measured at fair value, with subsequent unrealised changes recognised in other comprehensive income. Equity instruments for which the fair value option is elected are also measured at FVOCI. Please refer to the Risk, funding & capital management section for our accounting policies on the measurement of expected credit losses on financial instruments measured at amortised cost and FVOCI. Classification of assets and liabilities held for trading A financial asset or financial liability is classified as held for trading if it is: \u00c5 Acquired or incurred principally for the purpose of selling or repurchasing it in the near term; \u00c5 Part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking; or \u00c5 A trading derivative (except for a derivative that is a designated and effective hedging instrument). financial asset is classified as stage 1 for ECL measurement purposes. ABN AMRO assesses, in both qualitative and quantitative terms, whether such modifications are substantial. Generally, a 10% change in the net present value of the cash flows between the initial and new contract results in a derecognition. With regard to substantial modifications, e.g. due to forbearance measures, the derecognition gains or losses are recognised in net gains/(losses) on derecognition of financial assets measured at amortised cost and disclosed separately, if material. If the modification of the financial asset does not result in derecognition, the gross carrying amount of the financial asset is recalculated, based on the net present value of the new contractual cash flows, and discounted at the financial asset\u2019s original effective interest rate. The effect is recognised and disclosed as a modification loss in the income statement. Credit related modification gains or losses (i.e. due to forbearance measures) are recognised in the income statement and presented under impairment charges on financial instruments. Non-credit related modification gains or losses are recognised in the income statement and presented under interest income calculated using the effective interest method. 8 Net gains/(losses) on derecognition of financial assets measured at amortised cost Accounting policy derecognition of financial assets The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses recognised on the sale or derecognition of these financial assets, calculated as the difference between the carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received. 13 Cash and balances at central banks Accounting policy for cash and balances at central banks Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits are disclosed in Note 20 Loans and advances banks. 14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 17 Financial investments Accounting policy for financial investments Financial investments include financial instruments measured at fair value through other comprehensive income (FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL). Accounting policy for financial instruments measured at fair value through other comprehensive income Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net of applicable taxes.Interest earned, premiums, discounts and qualifying transaction costs of interest-earning FVOCI assets are amortised to income on an effective interest rate basis. When FVOCI debt instruments are sold, the cumulative gain or loss recognised in other comprehensive income is transferred to other operating income in the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised in the impairment charges on financial instruments in the income statement. The related loss allowance is recognised in other comprehensive income and does not reduce the carrying amount of the FVOCI debt instruments. ABN AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set out in Credit risk management in the Risk, funding & capital management chapter. Fair value changes in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other comprehensive income and not subsequently reclassified to the income statement. 18 Securities financing Accounting policy for securities financing Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are generally entered into on a collateralised basis, with securities usually advanced or received as collateral. The transfer of the securities themselves is not reflected in the statement of financial position unless the risks and rewards of ownership are also transferred. If cash is advanced or received, securities borrowing and lending activities are recorded at the amount of cash advanced (included in loans and advances) or received (due to banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and the collateral levels are adjusted in accordance with the underlying transactions. Fees and interest received or paid are recognised on an effective interest rate basis and recorded as interest income or interest expense. Sale and repurchase transactions involve purchases (or sales) of investments with agreements to resell (or repurchase) substantially identical investments at a certain date in the future at a fixed price. Investments purchased subject to commitments to resell them at future dates are not recognised. The amounts paid are recognised in loans and advances to either banks or customers and are shown as collateralised by the underlying security. Investments sold under repurchase agreements continue to be recognised in the statement of financial position. Proceeds from the sale of the investments are reported as liabilities to either banks or customers. The difference between the sale and repurchase price is recognised over the period of the transaction and recorded as interest income or interest expense, using the effective interest rate method. If borrowed securities are sold to third parties, the proceeds from the sale and a liability for the obligation to return the collateral are recorded at fair value. 19 Fair value of financial instruments carried at fair value Accounting policy for fair value of financial instruments The fair value is defined as the price that would be received when selling an asset or paid when transferring a liability in an orderly transaction between market participants at the measurement date. For financial instruments that are actively traded and for which quoted market prices or market parameters are readily available, the fair value is determined in a highly objective manner. However, when observable market prices and parameters do not exist, management judgement is necessary to estimate fair value. For financial instruments where no active liquid market exists, or quoted prices are unobtainable, recent market transactions are used or the fair value is estimated using a variety of valuation techniques \u2013 including reference to similar instruments for which market prices do exist, or to valuation techniques such as discounted cash flow models or option pricing models (e.g. Black Scholes). When portfolios of financial assets and liabilities are measured on the basis of the net exposure to the credit risk of a particular counterparty, any existing arrangements that mitigate the credit risk exposure (e.g. master netting agreements with the counterparty) are taken into account. Unobservable inputs are estimated using a combination of management judgement, historical data, market practice and benchmarking to other relevant observable market data. The difference between the transaction price and the internal valuation at inception, calculated using a model, is reserved and amortised to profit or loss at appropriate points over the life of the instrument, typically taking account of the ability to obtain reliable external data, the passage of time and the use of offsetting transactions. Where inputs to the valuation of a new transaction cannot be reliably determined, the transaction is initially recognised at its transaction price. Subsequent changes in fair value as calculated by the valuation model are reported as profit or loss or in equity. \u00c5 In order to determine a reliable fair value, where appropriate, management applies valuation adjustments to the pricing information derived from the above sources. These adjustments reflect management\u2019s assessment of factors that market participants would consider in setting a price, to the extent that these factors have not already been included in the information from the above sources. The main valuation adjustments required to arrive at a fair value are as follows: \u00c5 Credit and debit valuation adjustments. In addition to credit valuation for loans measured at fair value through profit or loss, credit valuation adjustments and debit valuation adjustments are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and how counterparties consider ABN AMRO\u2019s creditworthiness respectively; \u00c5 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives; \u00c5 Own credit adjustment. An own credit risk adjustment is applied to financial liabilities where it is believed that counterparties will consider ABN AMRO\u2019s creditworthiness when pricing such instruments; \u00c5 Model valuation adjustments for any known limitations. Management assesses the appropriateness of any model used on an ongoing basis. To the extent that the price provided by internal models does not represent the fair value of the instrument, for instance in highly stressed market conditions, management makes adjustments to the model valuation to calibrate to other available pricing sources. We believe our estimates of the fair value are adequate. However, the use of different models or assumptions could result in changes to our reported results. 20 Loans and advances banks Accounting policy for loans and advances banks and customers Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model. Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the asset. Loans and advances that do not pass the SPPI test are measured at fair value through profit or loss. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to Credit risk management in the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). 22 Fair value of financial instruments not carried at fair value Accounting policy for fair value of financial instruments not carried at fair value The categorisation and valuation of financial instruments not carried at fair value is determined in accordance with the accounting policies set out in Note 19 Fair value of financial instruments carried at fair value. 21 Loans and advances customers Accounting policy for loans and advances customers The accounting policy for loans and advances customers is included in Note 20 Loans and advances banks. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to the Credit risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-54-7": { "value": "Accounting policy for offsetting financial assets and liabilities b Financial assets and liabilities are offset, and the net amount is reported on the EU IFRS balance sheet, if there is a legally enforceable right to set off the recognised amounts and there is an intention either to settle on a net basis or to realise the asset and settle the liability simultaneously. The bank applies netting to debtor and creditor balances, such as current accounts, where offsetting is justified by formal agreement with the client, provided they meet the applicable criteria. 1 Accounting policies Financial assets and liabilities Offsetting The bank offsets financial assets and liabilities and the net amount reported in the statement of financial position if it is legally entitled to set off the recognised amounts and intends to settle on a net basis, or to realise the asset and settle the liability simultaneously. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForOffsettingOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-54-8": { "value": "Accounting policy for offsetting financial assets and liabilities b Financial assets and liabilities are offset, and the net amount is reported on the EU IFRS balance sheet, if there is a legally enforceable right to set off the recognised amounts and there is an intention either to settle on a net basis or to realise the asset and settle the liability simultaneously. The bank applies netting to debtor and creditor balances, such as current accounts, where offsetting is justified by formal agreement with the client, provided they meet the applicable criteria. Accounting policy for enforceable master netting agreements or similar instruments b Enforceable master netting arrangements take into account all agreements containing conditions that allow offsetting in the event of default. In addition, agreements are enforceable if the bank has a legally enforceable right to offset and no ability and/or intention to realise the asset and settle the liability simultaneously. These arrangements include derivative clearing agreements, global master repurchase agreements and global master securities lending agreements. 1 Accounting policies Financial assets and liabilities Recognition and derecognition Please refer to the Risk, funding & capital management section for our accounting policies on the measurement of expected credit losses on financial instruments measured at amortised cost and FVOCI. Classification of assets and liabilities held for trading A financial asset or financial liability is classified as held for trading if it is: \u00c5 Acquired or incurred principally for the purpose of selling or repurchasing it in the near term; \u00c5 Part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking; or \u00c5 A trading derivative (except for a derivative that is a designated and effective hedging instrument). Classification and measurement of financial liabilities Financial liability is initially recognised at its fair value minus, in the case of a financial liability not at fair value through profit or loss, transaction costs that are directly attributable to the acquisition or issue of the financial liability. Under IFRS 9, financial liabilities are classified as subsequently measured at amortised cost, except for the following instruments: \u00c5 Financial liabilities held for trading are measured at fair value through profit or loss; \u00c5 Financial liabilities that ABN AMRO has irrevocably designated at initial recognition as held at fair value through profit or loss when the instruments are held to reduce an accounting mismatch are managed on the basis of their fair value or include terms that have derivative characteristicsby nature. Under IFRS 9, the changes in fair value attributable to changes in the credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Financial liabilities are never reclassified after initial recognition. Financial liabilities are derecognised when the liability has been settled, has expired or has been extinguished. An exchange of an existing financial liability for a new liability with the same lender on substantially different terms, qualitatively and quantitatively (a 10% difference in the present value of the cash flows), is accounted for as an extinguishment of the original financial liability and recognition of a new financial liability. The difference between the former amortised cost and the consideration paid is recognised in the income statement. Offsetting The bank offsets financial assets and liabilities and the net amount reported in the statement of financial position if it is legally entitled to set off the recognised amounts and intends to settle on a net basis, or to realise the asset and settle the liability simultaneously. 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 27 Due to banks Accounting policy for due to banks and due to customers Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the instrument. 28 Due to customers Accounting policy for due to customers The accounting policy for amounts due to customers is included in Note 27 Due to banks. 29 Issued debt and subordinated liabilities Accounting policy for issued debt and subordinated liabilities Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that qualify as an embedded derivative that cannot be separated. ABN AMRO applies IAS 32 Financial Instruments: Presentation to determine whether funding is a financial liability or equity. Issued financial instruments or their components are classified as financial liabilities where the substance of the contractual arrangement results in ABN AMRO having a present obligation to deliver either cash or another financial asset or to satisfy the obligation other than by the exchange of a fixed number of equity shares. Issued liabilities qualify as subordinated debt if claims by the holders are subordinated to all other current and future liabilities of ABN AMRO and its subsidiaries. The valuation of liabilities measured at fair value includes the effect of changes in the bank\u2019s own credit spreads. The change in fair value applies to those financial liabilities designated at fair value where own value credit risk would be considered by market participants. The cumulative amount of changes in fair value attributable to credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt measured at fair value through profit or loss is valued at market prices. Fair value changes are calculated based on a yield curve generated from observed external pricing for funding and quoted CDS spreads ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-72-4": { "value": "Management of forborne, past due and credit-impaired loans b Credit risk reporting scope Although all financial assets on our balance sheet are subject to some form of credit risk, by far the largest part is in loans and advances. To provide a meaningful view of the credit risk in our lending book, the figures presented in this section therefore relate to loans and advances. Any credit risk outside the reported scope will be mentioned below the table. All figures are furthermore reported gross of loan impairment allowances and exclude fair value adjustments. The following table provides a comparison of gross carrying amounts presented in this section with the consolidated balance sheet. 31 December 2022 31 December 2021Fair value Less: Less: Fair value Less: loan Less: Gross adjustment loan im-amortisation Gross adjustment impair-amortisation carrying from hedge pairment and depre-Carrying carrying from hedge ment and depre-Carrying 2222(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks2,990 8 2,982 2,811 10 2,801Residential mortgages150,762 -9,489 153 141,121 146,351 1,442 82 147,711Consumer loans10,232 277 9,955 10,794 276 10,5181Corporate loans86,731 154 1,590 85,295 86,458 509 2,053 84,915Other loans and advances 1customers7,497 5 7,491 15,007 4 15,003Total loans and 1advances customers255,222 -9,335 2,026 243,861 258,611 1,951 2,416 258,146Total loans and 1advances258,212 -9,335 2,034 246,844 261,421 1,951 2,426 260,947Other138,201 -3,119 123 2,222 132,738 139,580 1,636 146 2,903 138,166Total assets 396,414 -12,454 2,157 2,222 379,581 401,001 3,587 2,572 2,903 399,113Loans and advances 1customers255,222 -9,335 2,026 243,861 258,611 1,951 2,416 258,146Corporate loans at fair value through P&L66 66 99 99Other loans at fair value through P&L5 5Total loans and advances customers255,288 -9,335 2,026 243,927 258,715 1,951 2,416 258,2511 Excluding loans at fair value through P&L.2 Compared to 2021, the presentation changed. In the line Other the fair value adjustment from hedge accounting, impairment allowances not in scope of IFRS 9 and amortisation and depreciation are now taken into consideration for the calculation of the gross carrying amount. Comparative figures have been adjusted accordingly.3 Excluding fair value adjustments from hedge accounting.Coverage and stage ratios b 31 December 2022 31 December 2021Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 3434(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,953 8 0.3% 98.8% 2,808 10 0.4% 99.9%Residential mortgages140,450 21 0.0% 93.2% 137,063 8 0.0% 93.7%Consumer loans9,121 30 0.3% 89.1% 9,348 23 0.2% 86.6%1Corporate loans69,103 256 0.4% 79.7% 69,364 130 0.2% 80.2%1Other loans and advances customers7,457 0.0% 99.5% 14,954 0.0% 99.6%1Total loans and advances customers226,130 308 0.1% 88.6% 230,729 162 0.1% 89.2%Stage 2Loans and advances banks37 0.0% 1.2% 3 0.5% 0.1%Residential mortgages9,169 57 0.6% 6.1% 8,025 22 0.3% 5.5%Consumer loans749 36 4.8% 7.3% 1,037 45 4.4% 9.6%1Corporate loans13,963 301 2.2% 16.1% 12,075 291 2.4% 14.0%1Other loans and advances customers36 2 5.6% 0.5% 44 1 3.2% 0.3%1Total loans and advances customers23,917 396 1.7% 9.4% 21,181 360 1.7% 8.2%Stage 3 and POCILoans and advances banksResidential mortgages1,143 75 6.6% 0.8% 1,264 52 4.1% 0.9%Consumer loans363 2 11 58.2% 3.5% 409 208 50.8% 3.8%1Corporate loans3,666 1,033 28.2% 4.2% 5,019 1,632 32.5% 5.8%1Other loans and advances customers4 3 83.9% 0.0% 9 3 32.0% 0.1%1Total loans and advances customers5,175 1,322 25.6% 2.0% 6,701 1,894 28.3% 2.6%Total of stages 1, 2, 3 and POCITotal loans and advances banks2,990 8 0.3% 2,811 10 0.4%Residential mortgages150,762 153 0.1% 146,351 82 0.1%Consumer loans10,232 277 2.7% 10,794 276 2.6%1Corporate loans86,731 1,590 1.8% 86,458 2,053 2.4%1Other loans and advances customers7,497 5 0.1% 15,007 4 0.0%1Total loans and advances customers255,222 2,026 0.8% 258,611 2,416 0.9%1, 2Total loans and advances258,212 2,034 0.8% 261,421 2,426 0.9%1 Excluding loans at fair value through P&L.2 ABN AMRO changed its presentation compared to previous reports. The table now shows total loans and advances to be more consistent with other risk disclosures in this report.3 Gross carrying amount excludes fair value adjustments from hedge accounting.4 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2022: EUR 1 million; 31 December 2021: EUR 1 million).The stage 2 ratio increased to 9.4% (31 December 2021: 8.2%), mainly as a result of increases in stage 2 exposure, while total loans and advances decreased. Stage 2 exposure increased for corporate loans, partly because of clients who returned from stage 3. Inflow as a result of a weakening macroeconomic outlook led to an increase in stage 2 exposures for residential mortgages. The stage 2 coverage ratio remained stable at 1.7%. The stage 3 ratio decreased to 2.0% at 31 December 2022 (31 December 2021: 2.6%), attributable to an outflow of clients due to repayments and clients returning to stage 2. The stage 3 coverage ratio decreased from 28.3% to 25.6% due to the write-off or return to stage 2 of some highly provisioned loans. Purchased or Originated Credit Impaired (POCI) On 31 December 2022, loans classified as POCI amounted to EUR 9 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report. Exposure and impairment flows b This section provides more details on the exposure and impairment flows underlying the change in coverage and stage ratios shown in the previous section. Total loans and advances b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 233,537 21,183 6,701 261,421 220,705 25,602 8,474 254,781Transfer to stage 17,771 -7,662 -110 5,607 -5,517 -90Transfer to stage 2-14,007 15,050 -1,044 -7,863 8,412 -549Transfer to stage 3-864 -932 1,796 -890 -1,432 2,322Additional drawdowns and partial repayments-25,287 -73 -71 -25,430 -20,683 1,029 11 -19,643Originated or purchased48,595 48,595 71,356 71,356Matured or repaid-21,365 -3,728 -1,515 -26,608 -36,312 -7,148 -2,538 -45,998Write-offs-622 -623 - 11 -19 -1,087 -1,117Foreign exchange826 44 38 908 1,774 281 159 2,214Other movements-123 71 1 -51 -145 -24 -1 -171Balance at 31 December 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,4211 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 Including POCI.Total loans and advances decreased compared to 31 December 2021, mainly due to a sharp decrease in Clearing exposures, which was also visible in other loans. This was primarily as a result of lower trading positions of Clearing clients at year-end 2022 and a decrease in margin contributions, mainly at European Commodity Clearing (ECC). The decrease was offset by an increase in residential mortgages (EUR 4.4 billion) and foreign exchange movements, with the latter being due to the depreciation in the value of the EUR compared to the USD. As our portfolio is now more Northwest Europe-oriented (due to the wind-down of the former CIB non-core business), the effect of this was less pronounced than in 2021. Transfers between stages were notably high for stage 2 exposures as a result of adjustments in the models\u2019 macroeconomic scenarios. Inflow in stage 3 was lower than the combined amount of write-offs, repayments and transfers to stage 2, leading to a strong reduction in stage 3 exposure. Exposure flows per product class are presented in the section Additional risk, funding & capital disclosures. Loan impairment charges and allowances b 31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 1 January 2022 10 82 276 2,053 4 2,426 153Transfer to stage 1-3 -9 -21 -33 -2Transfer to stage 24 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters57 12 61 130 2Originated or purchased7 4 44 55 12Matured or repaid-18 -12 -88 - 119 -7Impairment charges (releases) on loans and advances-2 73 59 41 1 171 -110Write-offs-3 -65 -556 -623Unwind discount / unearned interest accrued1 5 25 32Foreign exchange and other movements3 27 29 8Balance at 31 December 20228 153 277 1,590 5 2,034 512022Impairment charges (releases) on loans and advances-2 73 59 41 1 171 - 110Recoveries and other charges (releases)-17 -45 -42 -103 82Total impairment charges for the period -2 56 14 -1 1 67 -281 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.31 December 2021Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 1 January 2021 6 116 294 3,053 3 3,472 48Transfer to stage 1-6 -7 -21 -33 -1Transfer to stage 2-3 31 27 7Transfer to stage 321 51 107 1791Remeasurements10 5 39 425 1 480 101Changes in models-2 -1 1 -15 -17Changes in risk parameters-4 -31 -12 -54 -101Originated or purchased4 5 46 55 6Matured or repaid-19 -27 -563 -610 -18Impairment charges (releases) on loans and advances5 -28 47 -44 1 -20 94Write-offs-6 -69 -1,042 -1,117 -3Unwind discount / unearned interest accrued1 4 16 22Foreign exchange and other movements-1 69 69 14Balance at 31 December 2021 10 82 276 2,053 4 2,426 1532021Impairment charges (releases) on loans and advances5 -28 47 -44 1 -20 94Recoveries and other charges (releases)-18 -44 -79 -141 22Total impairment charges for the period 5 -46 3 -124 1 -161 1161 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.Loan impairment charges and allowances per stage b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 172 360 1,894 2,426 301 400 2,771 3,472Transfer to stage 157 -74 -16 -33 40 -62 - 11 -33Transfer to stage 2-31 153 -107 15 -35 112 -50 27Transfer to stage 3-17 -40 209 152 -12 -38 228 1791Remeasurements50 23 -103 -30 -108 41 547 480Changes in models-3 - 11 -3 -17Changes in risk parameters44 56 30 130 -34 -35 -32 -101Originated or purchased55 55 55 55Matured or repaid-14 -26 -79 - 119 -19 -18 -573 -610Impairment charges (releases) on loans and advances145 91 -66 171 -117 -10 107 -20Write-offs-622 -623 - 11 -19 -1,087 -1,117Unwind discount / unearned interest accrued32 32 22 22Foreign exchange and other movements-1 -55 84 29 -2 - 11 82 69Balance at 31 December 316 396 1,322 2,034 172 360 1,894 2,426Impairment charges (releases) on loans and advances145 91 -66 171 - 11 7 -10 107 -20Recoveries and other charges (releases)-103 -103 -141 -141Total impairment charges for the period 145 91 -169 67 -117 -10 -34 -1611 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.An addition of EUR 39 million (EUR 67 million on-balance and EUR -28 million off-balance) in impairments was recorded for 2022 (2021: release of EUR 46 million), resulting in a cost of risk of 3bps in 2022, compared to -7bps in 2021. Charges were attributable to a deteriorating economic outlook during the year, partly offset by releases from management overlays and releases for existing stage 3 clients. The releases in stage 3 can be largely attributed to the improved credit quality of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. For residential mortgages, charges of EUR 56 million were recorded in 2022, compared to a release of EUR 46 million in 2021. This was caused by the deteriorated macroeconomic outlook. The deteriorated economic outlook was also the main driver of the EUR 14 million impairment charges for consumer loans (2021: EUR 3 million). Impairments for consumer loans were also attributable to the deterioration of risk parameters in our consumer lending portfolios. A release of EUR 29 million (of which EUR 28 million was for off-balance exposures) was recorded for corporate loans in 2022 (2021: release of EUR 124 million). Impairment releases for corporate loans were recorded because of the improved credit quality of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. Individual and collective loan impairment allowances and management overlays b 31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 18 21 30 256 316 25Stage 257 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay26 9 294 328Total impairments 8 153 277 1,590 5 2,034 51Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,143 363 3,666 4 5,1751 Including POCI.31 December 2021Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 346 1,389 3 1,438 11 6Total individual impairments 46 1,389 3 1,438 116Collective impairmentsStage 110 8 23 130 172 17Stage 222 45 291 1 360 201Stage 352 162 243 456Total collective impairments 10 82 230 664 1 988 37- of which management overlay 24 46 354 424Total impairments 10 82 276 2,053 4 2,426 153Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,264 409 5,019 9 6,7011 Including POCI.Individual impairments decreased to EUR 896 million (31 December 2021: EUR 1,438 million) due to write-offs, repayments and transfers to stage 2. Total collective impairments amounted to EUR 1,138 million at year-end 2022 (31 December 2021: EUR 988 million) and included expected credit losses (ECL) as calculated by our IFRS 9 models and the management overlays we recorded. The ECL calculations take into account a probability weighted average of three economic scenarios. As the ECL model outcomes do not always reflect the current economic environment and circumstances, additional management overlays are applied to incorporate potential risks not fully captured by the model outcomes. During 2022, management overlays decreased to a total of EUR 328 million (31 December 2021: EUR 424 million). Of this decrease, EUR -43 million was due to reclassification of overlays to input data and in-model adjustments and did not have P&L impact. The remaining management overlays were mainly recorded for risks in the corporate loans portfolios and comprised the following: \u00c5 A new management overlay was applied for potential effects of the war in Ukraine that are not fully captured by the latest projections in our macroeconomic scenarios and existing IFRS 9 models. An initial overlay for second-order impact on potentially vulnerable clients was cancelled after individual clients were reviewed and, where appropriate, reclassified. As the uncertainty in the macroeconomic outlook as a whole continues to be high, the initial overlay was replaced by an overlay on impairments for third-order effects, amounting to EUR 123 million at year-end 2022. \u00c5 A new management overlay of EUR 34 million was formed for the potential impact that the government\u2019s measures to reduce nitrogen emissions may have on clients in livestock farming businesses in the Netherlands. \u00c5 The existing overlays, which cover anticipated additional risk costs relating to the wind-down of portfolios, decreased in line with the reducing exposure to these portfolios. Management overlays taken in previous years for the impact of Covid-19 decreased significantly: \u00c5 The management overlay applied for clients in sectors vulnerable to the impact of Covid-19-related restrictions was released after the Covid-19 restrictions were lifted in the Netherlands and analysis revealed there to be no material differences between the coverage ratios of vulnerable and non-vulnerable sectors. \u00c5 We also released a management overlay that captured expected credit risk deterioration due to Covid-19 in our Corporate Banking portfolio as we deem this effect to be largely incorporated into our credit risk parameters. \u00c5 A new management overlay was formed for potential underestimation of the delayed risk of Covid-19-related government support \u2013 especially tax deferrals \u2013 for corporate loans that are not individually managed. Compared to 31 December 2021, management overlays for our mortgage portfolio were stable as: \u00c5 The management overlay that covers the refinancing risk of interest-only mortgages was increased to take into account changes in the affordability tests as a result of rising interest rates. \u00c5 The management overlay that addresses the impact of excessive increases in property prices on the outcome of the IFRS 9 models was reclassified as an in-model adjustment. The management overlays within consumer lending portfolios decreased because the adjustment for modification losses was reclassified as an input data adjustment. All management overlays represent best estimates of the risks involved. The underlying reasoning and calculations are documented and discussed and approved by the Impairments and Provisioning Committee (IPC). Relevant experience related to the impact of Covid-19 on the model outcomes will be used to improve the models over time and reduce the need for management overlays. Macroeconomic scenarios in 2022 b Unweighted Weighted 44(in millions)Weight Macroeconomic variable 2023 2024 2025 2026ECLECL1 Real GDP Netherlands2.8% 2.6% 2.3% 1.6%2 Positive5% Unemployment3.9% 3.8% 3.7% 3.6% 1,0353 House price index1.0% 0.0% 1.0% 2.0% Real GDP Netherlands 0.5% 1.2% 1.6% 1.4%Baseline60% Unemployment 4.3% 4.2% 4.0% 4.0% 1,087 1,138 House price index -2.5% -2.5% -2.0% 1.0% Real GDP Netherlands -1.8% -0.4% 1.3% 1.8%Negative35% Unemployment 5.0% 4.9% 4.7% 4.7% 1,240 House price index -8.0% -12.0% -11.0% 0.0%1 Real GDP Netherlands, % change year-on-year.2 Unemployment Netherlands, % of labour force.3 House price index Netherlands - average % change year-on-year.4 Weighted and unweighted ECL are including all collective impairments. Previous reports showed ECL for stages 1 and 2 only. Comparative figures have been adjusted accordingly.Macroeconomic scenarios in 2021 b Unweighted Weighted 44(in millions) Weight Macroeconomic variable 2022 2023 2024 2025ECLECL1 Real GDP Netherlands4.5% 2.9% 2.5% 1.6%2 Positive10% Unemployment2.7% 2.3% 2.3% 2.2% 9243 House price index12.5% 5.0% 3.5% 3.0% Real GDP Netherlands 3.8% 2.4% 2.0% 1.4%Baseline60% Unemployment 3.1% 2.8% 2.8% 2.8% 953 988 House price index 10.0% 4.0% 3.0% 3.0% Real GDP Netherlands 2.7% 0.7% 2.3% 1.6%Negative30% Unemployment 4.0% 4.2% 3.4% 3.2% 1,078 House price index 0.0% -7.5% -10.0% -2.5%1 Real GDP Netherlands, % change year-on-year.2 Unemployment Netherlands, % of labour force.3 House price index Netherlands - average % change year-on-year.4 Weighted and unweighted ECL are including all collective impairments. Previous reports showed ECL for stages 1 and 2 only. Comparative figures have been adjusted accordingly.The scenario weights indicated in the above tables are in place for expected credit loss (ECL) calculation purposes only and are designed to capture prevailing uncertainties in the macroeconomic outlook in our ECL estimates. As the most recent macroeconomic indicators were more in line with the baseline than the negative scenarios, the adjustment to the weights used in the previous quarter was rolled back and weights were reset to their usual levels. Loan impairment charges and allowances \u2013 residential mortgages b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 8 22 52 82 14 44 58 116 Transfer to stage 16 -8 -1 -3 12 -15 -3 -6 Transfer to stage 2-2 20 -14 4 -1 15 -14 Transfer to stage 3-1 -2 21 17 -1 -5 27 21 1)Remeasurements-12 5 16 9 -10 15 5 Changes in models-1 -1 Changes in risk parameters17 28 12 57 -8 -11 -12 -31 Originated or purchased7 7 4 4 Matured or repaid-1 -7 -10 -18 -1 -6 -13 -19 Impairment charges (releases) on loans and advances13 35 25 73 -6 -21 -1 -28 Write-offs-3 -3 -6 -6 Unwind discount / unearned interest accrued1 1 1 1 Foreign exchange and other movements -1 Balance at 31 December 21 57 75 153 8 22 52 82 Impairment charges (releases) on loans and advances13 35 25 73 -6 -21 -1 -28 Recoveries and other charges (releases) -17 -17 -18 -18 Total impairment charges for the period 13 35 8 56 -6 -21 -19 -46 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loans b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 23 45 208 276 38 41 215 294 Transfer to stage 113 -17 -5 -9 9 -12 -3 -7 Transfer to stage 2-2 11 -9 -8 25 -19 -3 Transfer to stage 3-5 42 37 -2 -8 61 51 1Remeasurements-9 -1 37 27 -7 13 33 39 Changes in models-4 5 1 Changes in risk parameters3 3 6 12 -3 -2 -6 -12 Originated or purchased4 4 5 5 Matured or repaid-2 -1 -9 -12 -4 -2 -21 -27 Impairment charges (releases) on loans and advances7 -10 61 59 -11 8 50 47 Write-offs-65 -65 -69 -69 Unwind discount / unearned interest accrued5 5 4 4 Foreign exchange and other movements 2 3 -4 -3 8 Balance at 31 December 30 36 211 277 23 45 208 276 Impairment charges (releases) on loans and advances7 -10 61 59 -11 8 50 47 Recoveries and other charges (releases) -45 -45 -44 -44 Total impairment charges for the period 7 -10 16 14 -11 8 6 3 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b 2022 202122(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 130 291 1,632 2,053 243 316 2,494 3,053 Transfer to stage 138 -49 -10 -21 19 -36 -5 -21 Transfer to stage 2-27 123 -84 11 -26 73 -16 31 Transfer to stage 3-15 -34 147 98 -9 -24 140 107 1)Remeasurements74 18 -156 -64 -101 27 500 425 Changes in models-1 -6 -8 -15 Changes in risk parameters24 25 12 61 -19 -22 -13 -54 Originated or purchased44 44 46 46 Matured or repaid-10 -18 -60 -88 -14 -10 -539 -563 Impairment charges (releases) on loans and advances127 65 -152 41 -104 2 59 -44 Write-offs-555 -556 -11 -19 -1,012 -1,042 Unwind discount / unearned interest accrued25 25 16 16 Foreign exchange and other movements-1 -55 82 27 2 -7 74 69 Balance at 31 December 256 301 1,033 1,590 130 291 1,632 2,053 Impairment charges (releases) on loans and advances127 65 -152 41 -104 2 59 -44 Recoveries and other charges (releases) -42 -42 -79 -79 Total impairment charges for the period 127 65 -194 -1 -104 2 -21 -124 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b 2022 202133(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 17 20 116 153 16 10 21 48 Transfer to stage 16 -8 -2 1 -3 -1 Transfer to stage 2-2 5 4 -2 9 7 Transfer to stage 3-1 1 1Remeasurements-4 -115 -120 7 94 101 Changes in risk parameters1 1 2 Originated or purchased12 12 6 6 Matured or repaid-4 -3 -7 -5 -3 -11 -18 Impairment charges (releases) 9 -4 -114 -110 1 10 83 94 Write-offs-1 -2 -3 Foreign exchange and other movements 8 8 14 14 Balance at 31 December 25 16 10 51 17 20 116 153 Impairment charges (releases) on off-balance9 -4 -114 -110 1 10 83 94 2Other charges (releases) 82 82 22 22 Total impairment charges for the period 9 -4 -32 -28 1 10 105 116 1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.2 These charges (releases) relate to the off-balance sheet items that do not fall within the scope of IFRS 9 and for which stage information is not applicable.3 Including POCI.", "dimensions": { "concept": "ifrs-full:DisclosureOfAllowanceForCreditLossesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-100-4": { "value": "Credit risk mitigation b Collateral reporting is based on the net collateral value (NCV). The NCV represents the amount expected to be recovered from the collateral pledged to the bank if the client defaults. Where necessary, certain discounts are applied. The NCV is approached by an average recovery rate observed for the specific type of collateral and, where applicable, by applying haircuts, for example in the event of currency mismatches. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis. A surplus is not included for guarantees as the debtor cannot be held liable for more than the maximum debt. Financial assets: offsetting, netting, collateral and guarantees b 31 December 2022Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading907 907 907 Derivatives 5,212 5,212 4,136 4,136 1,077 Financial investments 39,034 39,034 39,034 Securities financing 25,218 5,186 20,032 820 24,847 25,667 5,881 246 Interest-bearing deposits2,088 317 1,771 44 317 361 1,410 Loans and advances934 934 537 1,793 2,330 1,793 396 Other277 277 277 Total loans and advances banks3,300 317 2,982 582 1,793 317 2,692 1,793 2,083 Residential mortgages150,609 150,609 2,778 288,267 258 291,303 144,617 3,923 Consumer loans9,959 4 9,955 3,741 6,787 386 10,913 4,387 3,428 Corporate loans86,242 1,101 85,141 2,047 30,432 51,330 3,920 87,730 33,471 30,882 Other loans and advances customers7,491 7,491 377 50 19 446 18 7,064 Fair value adjustment from hedge accounting-9,335 -9,335 -9,335 Total loans and 1advances customers244,966 1,105 243,861 2,424 36,951 346,434 4,583 390,392 182,492 35,962 Loans at fair value through P&L66 66 66 Total loans and advances customers245,032 1,105 243,927 2,424 36,951 346,434 4,583 390,392 182,492 36,028 Other assets 3,532 1 3,531 52 520 842 1,414 427 2,544 Total on-balance sheet subject to netting and pledged agreements322,235 6,609 315,626 8,013 64,110 346,434 5,742 424,300 190,593 81,919 Assets not subject to netting and pledged agreements63,955 63,955 63,955 Total assets 386,190 6,609 379,581 8,013 64,110 346,434 5,742 424,300 190,593 145,875 Total off-balance sheet95,872 95,872 4,095 8,576 1,279 13,951 5,471 87,392 Total on- and off-balance sheet482,062 6,609 475,453 8,013 68,205 355,011 7,021 438,251 196,064 233,267 1 Excluding loans at fair value through P&L.2 Carrying amount includes loan impairment allowances where applicable.3 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.4 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.5 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.31 December 2021Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading1,155 1,155 1,155 Derivatives 3,785 3,785 2,312 85 2,397 1,388 Financial investments 43,165 43,165 43,165 Securities financing19,659 3,521 16,138 85 18,808 18,893 2,915 160 Interest-bearing deposits1,538 349 1,189 36 1 282 318 871 Loans and advances1,355 1,355 967 927 1,893 923 385 Other257 257 257 Total loans and advances banks3,150 349 2,801 1,002 927 282 2,211 923 1,513 Residential mortgages146,269 146,269 2,779 262,635 355 265,768 123,226 3,727 Consumer loans10,519 1 10,518 3,856 6,465 28 10,349 4,107 4,276 Corporate loans88,038 3,632 84,405 2,943 26,669 50,828 3,693 84,132 28,148 28,421 Other loans and advances - customers15,003 15,003 163 75 28 267 44 14,779 Fair value adjustment from hedge accounting1,951 1,951 1,951 Total loans and 1advances customers261,779 3,633 258,146 3,105 33,304 320,003 4,103 360,516 155,525 53,155 Loans at fair value through P&L104 104 104 Total loans and advances customers261,884 3,633 258,251 3,105 33,304 320,003 4,103 360,516 155,525 53,259 Other assets 3,330 1 3,330 2 370 69 441 330 3,218 Total on-balance sheet subject to netting and pledged agreements336,127 7,504 328,624 6,508 53,494 320,003 4,454 384,459 159,693 103,858 Assets not subject to netting and pledged agreements70,490 70,490 70,490 Total assets 406,617 7,504 399,113 6,508 53,494 320,003 4,454 384,459 159,693 174,347 Total off-balance sheet93,977 93,977 4,683 8,130 1,961 14,774 5,022 84,225 Total on- and off-balance sheet500,594 7,504 493,091 6,508 58,178 328,133 6,415 399,233 164,714 258,572 1 Excluding loans at fair value through P&L.2 Carrying amount includes loan impairment allowances where applicable.3 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.4 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.5 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Total risk mitigation increased, driven by an increase in property and equipment and in residential mortgages, mainly due to rising house prices. As a result, surplus collateral also increased. In the case of consumer loans, total risk mitigation was relatively stable and net exposure declined slightly. The increase in total risk mitigation for corporate loans was evidenced by an increase in collateral for financial instruments. This was mainly driven by an increase in marketable securities collateral in the context of securities financing, mostly between financial institutions. The total net exposure of loans and advances customers decreased to EUR 36.0 billion in 2022 (31 December 2021: EUR 53.2 billion). This was primarily driven by other loans and advances and related to Clearing activities (i.e. posting cash collateral and default fund contributions). The decrease in exposure driven by fair value accounting from hedge accounting was due to the increase in interest rates. Financial assets: offsetting, netting, collateral and guarantees for credit-impaired assets b Collateral and guarantees for credit-impaired assets (stage 3 and POCI) represent credit risk mitigation based on the net collateral value (NCV) for clients in default. The carrying amount includes expected credit loss allowances, based on the probability-weighted present value of all expected cash shortfalls over the remaining life of the financial instrument for both on- and off-balance sheet exposures. The Financial In line with the decrease in the stage 3 carrying amount (including POCI) to EUR 3.9 billion (31 December 2021: EUR 4.8 billion), total risk mitigation decreased to EUR 4.6 billion in 2022 (31 December 2021: EUR 5.4 billion). This decrease was mainly observed in property and equipment and, to a lesser extent, other collateral and guarantees. The decline in property and equipment for corporate loans was partly offset by an increase for residential mortgages due to indexation. As the decrease in the stage 3 portfolio (including POCI) exceeded the decline in total risk mitigation, net exposure decreased by EUR 74 million to EUR 661 million at 31 December 2022. 31 December 2022Offset in the statement Not offset in the statement Net 4of financial positionof financial positionexposureLess: Carrying balance Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and guar-Total risk surplus 123(in millions)nettingliabilitiesamountmentcollateralmentanteesmitigationcollateralLoans and advances banksResidential mortgages 1,068 1,068 11 1,854 1 1,865 799 2 Consumer loans 151 151 23 71 11 105 32 79 Corporate loans 2,632 2,632 4 608 1,734 324 2,670 617 579 Other loans and advances customers1 1 1 Total loans and advances customers3,852 3,852 4 641 3,659 336 4,640 1,449 661 Total loans and advances 3,852 3,852 4 641 3,659 336 4,640 1,449 661 31 December 2021Loans and advances banksResidential mortgages1,212 1,212 12 1,821 1 1,834 632 11Consumer loans201 201 12 103 3 118 33 11 7Corporate loans3,387 3,387 5 648 2,504 333 3,491 708 603Other loans and advances customers6 6 2 2 4Total loans and advances customers4,806 4,806 5 672 4,428 340 5,445 1,373 735Total loans and advances 4,806 4,806 5 672 4,428 340 5,445 1,373 7351 Carrying amount includes loan impairment allowances where applicable.2 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.3 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.4 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.Restructuring & Recovery department identifies the most likely scenarios for non-programme lending defaulted clients (going concern or gone concern) and estimates the amounts and timing of expected future cash flows. This explains why a net exposure remains after collateral pledged to the bank is taken into account. During 2022 ABN AMRO obtained property and equipment by taking possession of collateral held as security for loans and advances. The total amount of such assets held on 31 December 2022 amounted to EUR 4 million (2021: EUR 4 million). ABN AMRO does not intend to use these assets in its operations and will pursue timely and orderly realisation of the collateral. Financial liabilities: offsetting, netting, collateral and guarantees b 31 December 2022Offset in the statement Not offset in the statement Net 3of financial positionof financial positionexposureCarrying Less: amount before balance sheet Master Financial - of which balance-sheet netting with Carrying netting instruments Total risk surplus 12(in millions)nettinggross assetsamountagreementcollateralmitigationcollateralFinancial liabilities held for trading 641 641 641 Derivatives 4,148 4,148 2,480 2,480 1,668 Securities financing 14,839 5,186 9,652 820 13,798 14,618 6,478 1,512 Deposits17,531 32 17,499 688 688 16,811 Other10 10 10 Due to banks 17,541 32 17,509 688 688 16,821 Deposits253,913 1,390 252,523 1,659 1,659 250,864 Other borrowings2,491 2,491 2,367 2,367 124 Due to customers 256,405 1,390 255,015 4,026 4,026 250,989 Other liabilities 5,187 1 5,187 5,187 Total liabilities subject to netting arrangements298,761 6,609 292,152 8,013 13,798 21,812 6,478 276,818 Remaining liabilities not subject to netting64,616 64,616 64,616 Total liabilities 363,376 6,609 356,767 8,013 13,798 21,812 6,478 341,434 1 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.2 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.3 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.31 December 2021Offset in the statement Not offset in the statement Net 3of financial positionof financial positionexposureCarrying Less: balance amount before sheet netting Master Financial - of which balance-sheet with gross Carrying netting instruments Total risk surplus 12(in millions)nettingassetsamountagreementcollateralmitigationcollateralFinancial liabilities held for trading 687 687 687 Derivatives4,344 4,344 3,706 3,706 638 Securities financing 13,015 3,521 9,494 78 11,042 11,120 3,306 1,680 Deposits38,133 67 38,066 507 507 37,558 Other10 10 10 Due to banks 38,143 67 38,076 507 507 37,568 Deposits254,468 3,915 250,553 1,732 1,732 248,821 Other borrowings665 665 484 484 181 Due to customers 255,133 3,915 251,218 2,216 2,216 249,002 Other liabilities 4,758 1 4,757 4,757 Total liabilities subject to netting arrangements316,079 7,504 308,575 6,508 11,042 17,550 3,306 294,332 Remaining liabilities not subject to netting68,538 68,538 68,538 Total liabilities 384,617 7,504 377,114 6,508 11,042 17,550 3,306 362,870 1 Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.2 Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.3 Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.34 Transferred, pledged, encumbered and restricted assets Accounting policy for transferred, pledged, encumbered and restricted assets Transferred financial assets are arrangements/transactions for which ABN AMRO has: \u00c5 Transferred the contractual rights to receive the cash flows of the financial asset to a third party, or; \u00c5 Retained the contractual rights to receive the cash flows of that financial asset, but has assumed a contractual obligation to pay the cash flows to a third party; or \u00c5 Transferred a financial asset when the counterparty has the right to repledge or to resell the asset. Depending on the circumstances, these transfers may result in financial assets that either are or are not derecognised in their entirety. Please refer to Note 1 Accounting policies. Pledged assets are assets pledged as collateral for liabilities or contingent liabilities and the terms and conditions relating to the pledge. Encumbered assets are those that are pledged or other assets that we believe to be restricted in order to secure, credit-enhance or collateralise a transaction. In principle, pledged assets are encumbered assets. The following differences apply to ABN AMRO: \u00c5 Encumbered assets include mandatory reserve requirements with central banks; \u00c5 Encumbered assets exclude assets pledged for unused credit facilities with central banks at the statement of financial position date, i.e. mainly retained mortgage-backed securities. Significant restrictions on assets may arise from statutory, contractual or regulatory requirements such as: \u00c5 Those that restrict the ability of the parent or its subsidiaries to transfer cash or other financial assets to or from other entities within the group; \u00c5 Guarantees or other requirements that may restrict dividends and other capital distributions being paid, or loans and advances being made or repaid to other entities within the group; \u00c5 Protective rights of other non-controlling interests that may restrict the ability of the bank to access and transfer assets freely to or from other entities within the group and to settle liabilities of the bank. Securities financing Securities financing transactions are entered into on a collateralised basis for mitigating the bank\u2019s credit risk exposure. In repurchase agreements and securities lending transactions, ABN AMRO gets the securities returned at maturity. The counterparty in the transactions holds the securities as collateral, but has no recourse to other assets of ABN AMRO. Pledged and encumbered assets Pledged and encumbered assets are no longer readily available to the group to secure funding or satisfy collateral needs or to be sold to reduce the funding requirement. The following activities conducted by ABN AMRO give rise to pledged assets: \u00c5 cash and securities provided as collateral to secure trading and other liabilities, mainly derivatives; \u00c5 mortgages and SME loans pledged to secure funding transactions such as covered bonds and securitisations; \u00c5 securities lent as part of repurchase and securities lending transactions. Off-balance sheet collateral held as security for assets Mainly as part of professional securities transactions, ABN AMRO obtains securities on terms that permit it to repledge or resell the securities to others. These transactions are conducted under terms that are usual and customary in standard professional securities transactions. ABN AMRO controls the credit risk associated with these activities by monitoring counterparty credit exposure and collateral value on a daily basis and, when necessary, requiring additional collateral to be deposited with or returned to the group. (in millions) 31 December 2022 31 December 2021 Fair value of securities received which can be sold or repledged 78,428 71,372 - of which: fair value of securities repledged/sold to others 55,614 52,417 ABN AMRO is obliged to return securities accepted as collateral to its counterparties. Significant restrictions on the ability to access or use the bank\u2019s assets Restricted financial assets consist of assets pledged as collateral against an existing or contingent liability and encumbered assets. Other restrictions impacting on the bank\u2019s ability to use assets include: \u00c5 Assets as a result of collateralising repurchase and borrowing agreements (31 December 2022: EUR 20.0 billion; 31 December 2021: EUR 16.1 billion); \u00c5 Assets held in certain jurisdictions to comply with local liquidity requirements and that are subject to restrictions in terms of their transferability within the group (31 December 2022: EUR 0.8 billion; 31 December 2021: EUR 0.8 billion); \u00c5 ABN AMRO Bank N.V. is in general not subject to any significant restrictions that would prevent the transfer of dividends and capital within the group, except for regulated subsidiaries that are required to maintain capital in order to comply with local regulations (31 December 2022: EUR 0.5 billion; 31 December 2021: EUR 0.6 billion). ", "dimensions": { "concept": "ifrs-full:DisclosureOfCollateralExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-111-3": { "value": "Market risk management for the trading book b Positions held with trading intent and hedges for positions held with trading intent must be included in the bank\u2019s trading book. The Central Trading Risk policy describes the positions included in the trading book and the criteria for transferring risk and positions between the trading and banking books. As part of its business strategy, ABN AMRO facilitates client orders, acts as a market maker in key markets and provides liquidity to clients, including institutional investors and private clients. Market risk in the trading book is the risk of losses in market value due to adverse market movements. The following market risks are inherent in the trading book: \u00c5 Interest rate risk, arising from adverse changes in interest rate risk curves and/or interest rate volatilities; \u00c5 Credit spread risk, arising from adverse changes in the term structure of credit spreads and/or from changes in the credit quality of debt securities or CDS reference entities, with an impact on default probabilities; \u00c5 Foreign exchange risk, arising from adverse changes in FX spot and forward rates and/or FX volatility. ABN AMRO has in place a detailed risk management framework to identify, measure and control market risk in the trading book. This risk management framework is in line with the 3LoD model and provides assurance that the bank\u2019s trading activities are consistent with its client-focused business strategy and moderate risk profile. In accordance with the strategy, the Business Risk Committee Trading annually approves trading mandates and limits, which define the nature and number of the permitted transactions and risks, as well as the associated constraints. The limit utilisation is monitored and discussed by the first and second LoD on a daily basis. The Business Risk Committee Trading is a subsidiary committee of the Group Risk Committee. Market risk measurement for the trading book b ABN AMRO measures and manages market risk in the trading book on a daily basis. The key metrics used are economic capital, regulatory capital, Value-at-Risk (VaR), Stressed VaR (SVaR) and Incremental Risk Charge (IRC), together with a wide array of stress and scenario tests, sensitivity measures, concentration limits and notional limits. These metrics are measured and monitored on a daily basis. Appropriate limits are set at bank level in the Risk Appetite Statement and at bank and business-line levels in the limit framework, in line with the general risk principles of the Central Trading Risk policy. Metrics and models are managed, reviewed, assessed and, if required, adjusted in a similar way as in the banking book. Other important tools to ensure the adequacy of the models, alongside the formal validation and review of models, are the daily explanation of risk reporting figures, periodic portfolio reviews and regular back-testing. Validation procedure For all models, including market risk models, we have a model risk policy in place. This policy requires that model assumptions and limitations are documented and independently validated by Model Validation. For material changes, the regulator performs an onsite investigation before such a model change is applied in production. Economic capital The calculation of economic capital for market risk in the trading book is based on the daily Value-at-Risk (VaR), Stressed VaR (SVaR) and Incremental Risk Charge (IRC) at a 99.95% confidence level. In comparison with previous years, Stressed VaR (SVaR) and Incremental Risk Charge (IRC) were added to the calculation of EC to align with the calculation of the regulatory capital. Stress testing and scenario analysis Stress testing and scenario analysis are designed to focus specifically on the impact of tail events occurring outside the VaR confidence interval. We perform daily stress tests for large movements in risk factors. Scenario analyses are also conducted frequently to evaluate the impacts of extreme market events that cover multiple risk factors, and the results of these tests are monitored. These scenarios can be based on historical or hypothetical events, or on a combination of the two. For each risk type, sensitivities are monitored against limits. This includes all risk types mentioned above and the basic risks in the trading portfolio. In addition, the holding period is monitored as a measure of the liquidity of the positions. Internal aggregated diversified and undiversified VaR for all trading positions b 31 December 2022Foreign Interest Total undiversified Diversified 12(in millions) CommoditiesEquityexchangerateVaRVaRVaR at last trading day of the period 0.2 4.1 4.3 4.2 Highest VaR 0.7 7.7 8.0 7.6 Lowest VaR 7.5 0.8 0.8 Average VaR 0.1 2.9 3.0 2.6 31 December 2021VaR at last trading day of the period 0.1 1.0 1.1 0.9 Highest VaR0.3 0.4 0.8 4.9 5.3 4.3 Lowest VaR 0.1 0.7 0.9 0.7 Average VaR 0.1 0.1 2.0 2.3 1.8 1 Commodity trading was discontinued in 2022. Positions throughout the year were very small. The last transaction ended on 31 December 2022. As a result commodity trading will no longer be reported in future annual and interim financial statements.2 Equity trading was discontinued in February 2021 and will no longer be reported in future annual and interim financial statements.ABN AMRO applies a diversified portfolio VaR approach that takes into account the fact that returns across risk factors may offset one another to a certain extent and consequently reduce risk. As long as these returns are not perfectly correlated to one another, VaR figures based on a diversified portfolio approach will be lower than if the figures are calculated using undiversified VaR. Undiversified VaR means that the VaR figures computed for the different risk factors are aggregated without taking into account any offset across risk factors, negating the potential for risk reduction. The following graph shows the total one-day VaR at a 99% confidence level (\u2018VaR diversified\u2019) and aggregation of the stand-alone risk factors (\u2018VaR undiversified\u2019). Market risk management for the banking book bABN AMRO has a detailed risk management framework in place to identify, measure and control market risk in the banking book. This framework provides assurance that the banking book activities remain consistent with the bank\u2019s strategy to pursue a moderate risk profile. The day-to-day management is delegated from the Asset & Liability Committee (ALCO) to the Asset and Liability Management and Treasury department (ALM/Treasury). Their activities include the execution of hedge transactions. ALM/Treasury forms the first line of defence. Market & ALM/T Risk Management acts as the second line of defence. The risk appetite is articulated in terms of net interest income, the economic value of equity and the economic capital for market risk in the banking book, and expresses the maximum loss the bank is willing to accept. The risk appetite is cascaded into a limit framework.Foreign exchange risk bForeign exchange (FX) risk is the risk arising from adverse movements in FX spot and forward rates and/or FX volatility. It is managed within the bank by ALM and Treasury. As a general rule, foreign exchange risk is hedged by using cross-currency swaps to swap the exposure in foreign currency to EUR. If, for operational reasons, it is inefficient to hedge exposures in foreign currencies, an open currency position (OCP) remains. This is measured by the aggregated net position per currency, except for EUR.Economic capitalEconomic capital for market risk in the banking book is calculated using a parametric Monte Carlo simulation model that determines the economic capital needed to absorb losses resulting from adverse movements in interest rates, client behaviour for mortgages and non-maturing deposits, volatility, credit spreads and foreign exchange rates.Market risk in the banking book metricsInterest rate risk(in millions) 31 December 2022 31 December 2021NII impact from an instantaneous increase in interest rates of 100bps280 98NII impact from an instantaneous decrease in interest rates of 100bps-302 -218NII impact from a gradual increase in interest rates of 200bps544 268NII impact from a gradual decrease in interest rates of 200bps-474 -251PV01-4.7 -5.931 December 2022 31 December 2021Total OCP (long, in EUR million)94 428OCP as % total capital0.3% 1.6%Sensitivity to 100 bps increase in largest non-EUR exposure (USD, in EUR million) 0.6 3.2NII-at-Risk is the difference in NII between a base scenario and an alternative scenario observed over a 1-year horizon. In addition to the regulatory prescribed scenarios, the internal metric is defined as the worst outcome of the following scenarios: a gradual increase or decrease in interest rates by 200bps, measured over a 1-year period, and an instantaneous increase or decrease of 100bps. NII-at-Risk includes all expected cash flows, including commercial margins and other spread components, from all interest rate-sensitive assets, liabilities and off-balance sheet items in the banking book. The NII-at-Risk calculation contains assumptions about the future balance sheet, including the reinvestment of maturing positions.On 31 December 2022, the NII-at-Risk was EUR 474 million in absolute terms (31 December 2021: EUR 251 million), reflecting a reduction of NII in the scenario of a gradual decrease of 200bps in interest rates. The most positive NII occurs in the scenario where interest rates rise gradually by 200bps, in which case the NII would be EUR 544 million higher than the base scenario. The increase in NII-at-Risk is mainly attributable to increases in the market rates. Due to interest rate floors applied to certain market and product rates, the effect of a downward rate scenario was previously dampened. With rising rates, the distance towards these floors has increased, resulting in a larger effective shock.The PV01 measures the value change resulting from a 1bp parallel shift in the yield curve. The PV01 exposure in absolute terms decreased by EUR 1.1 million to EUR 4.7 million in 2022. This decrease was the aggregate result of various developments in markets and the balance sheet. These include an increase in interest rates, lower predicted mortgage prepayments and associated hedging transactions.Open currency positionThe OCP is monitored regularly, and limits apply at a local and aggregate level. USD is the largest non-EUR exposure for assets as well as liabilities. The total OCP decreased in 2022 due to FX hedging activity.", "dimensions": { "concept": "ifrs-full:DisclosureOfMarketRiskExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-123-3": { "value": "Risk management approach bThe natural maturity mismatch between our loan book and funding portfolio requires liquidity risk management. We consider maturity transformation to be an integral part of the business model, which is why we closely monitor our liquidity position and the resulting risks. We hold a portfolio of highly liquid assets that can be converted into cash in the event of unforeseen market disruptions, allowing us to meet payment and collateral obligations at all times. Funding and liquidity risk are managed centrally. We incorporate liquidity costs into the pricing of our day-to-day business activities. In managing these risks, a clear distinction is made between going-concern and contingency risk management.Going-concern managementThe most important metrics for going-concern risk management and the management of the day-to-day liquidity position within specified limits are: H Stress testing: in monthly and ad hoc stress tests we evaluate the impact of cash inflows and outflows under plausible stress scenarios. Market-wide as well as bank-specific stress scenarios are defined and analysed. The goal of stress testing is twofold. Firstly, it helps us to review our risk framework, i.e. the liquidity buffer size, risk appetite and risk limits. Secondly, it allows us to identify ways to reduce outflows in times of crisis; H Liquidity Coverage Ratio (LCR): The objective of the LCR is to assess the short-term resilience of the liquidity position by ensuring sufficient high-quality liquid assets to survive a significant stress scenario lasting 30 calendar days; H Survival period: this is the period the liquidity position is expected to remain positive in an internal stress scenario in which wholesale funding markets deteriorate and clients withdraw a material proportion of their deposits; H Net Stable Funding Ratio (NSFR): The objective of this ratio is to assess resilience over a longer time horizon. The NSFR requires banks to hold sufficient stable funding to cover the duration of their long-term assets on an ongoing basis; H Loan-to-Deposit ratio (LtD): The LtD ratio measures the relationship between the loan book (loans and advances customers) and deposits from clients (due to customers), and includes all client-related loans and deposits. The ratio gives an indication of our dependence on wholesale funding for financing client loans.Contingency ris k managementContingency risk management aims to ensure that, in the event of either a bank-specific or general market stress event, the bank is able to generate sufficient liquidity to withstand a short or long-term liquidity crisis. Contingency risk management entails: H Contingency Funding Plan: this plan sets out the guidelines and responsibilities for addressing possible liquidity shortfalls in emergency situations. This only comes into effect if the liquidity position is threatened or if there are strong indications that liquidity stress is imminent. The Contingency Funding Plan is aligned with the Recovery Plan, as required by the regulators. It enables us to manage our liquidity without unnecessarily jeopardising commercial activities, while limiting excessive funding costs in severe market circumstances; H Collateral posting in the event of a rating downgrade: if our credit rating is downgraded, collateral requirements may increase. We monitor these potential additional collateral postings in the liquidity risk management framework; H Liquidity buffer: Group Treasury manages our liquidity buffer, of which the liquidity portfolio comprises a substantial part. At all times, this portfolio should be highly liquid to accommodate liquidity outflows during stress. The buffer consists of unencumbered, high-quality liquid assets, including government bonds, retained securities (RMBS and covered bonds) and cash.Loan-to-Deposit ratio bLoans and advances customers decreased to EUR 243.9 billion at 31 December 2022 (31 December 2021: EUR 258.3 billion). Underlying, the loan book increased in most segments. However, this was more than offset by a decrease in other clients loans within Clearing and fair value adjustments related to hedge accounting. Due to customers increased to EUR 255.0 billion at 31 December 2022 (31 December 2021: EUR 251.2 billion). The Loan-to-Deposit (LtD) ratio decreased to 96% at 31 December 2022 (31 December 2021: 103%) reflecting the continued increased trend in client savings over the years, outpacing the growth in the client loan book. Liquidity buffer composition b31 December 2022 31 December 2021Liquidity buffer LCR eligible Liquidity buffer LCR eligible(in billions)Level 1 Level 2 Level 1 Level 21Cash & central bank deposits58.6 58.6 64.3 64.3Government bonds27.3 25.1 2.4 27.5 31.9 1.1- of which ESG bonds 0.8 0.8 1.0 1. 0Supra national & Agency bonds9.1 9.5 6.8 7. 4- of which ESG bonds 2.3 2.4 1.3 1. 3Covered bonds2.9 2.5 0.2 2.8 2.6- of which ESG bonds 0.2 0.1 0.2 0.1Retained RMBS and Covered bonds5.5Other0.1 0.1 0.1 0.1Total liquidity buffer 103.6 95.7 2.7 101.5 106.3 1.2- of which in EUR 89.5% 89.6%- of which in other currencies 10.5% 10.4%1 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.Liquidity buffer currency diversification b(in billions, liquidity value)31 December 2022 31 December 2021EUR92.7 91.0USD8.2 8.5JPY2.5 1.0GBP0.2 0.3Other0.8Total 103.6 101.5The liquidity buffer consists largely of cash and deposits at central banks, government bonds and securities. Most of the securities in the liquidity buffer, with the exception of retained covered bonds, qualify for the LCR. The liquidity buffer faces haircuts based on the market value. These haircuts are used to determine the liquidity value. Haircuts may vary between the liquidity buffer and the LCR eligible buffer as the internal assessment of the liquidity buffer may deviate from the LCR definition.ABN AMRO wants to increase the green, social and sustainable investments in its liquidity portfolio up to EUR 3.5 billion by the end of 2023. This represents an update to the previous statement made in 2020, in which we focused on green bonds only. Targeted investments The table above shows the breakdown per currency in the liquidity buffer. The currency composition reflects the composition of the balance sheet, which mainly consists of EUR and USD exposures. The monthly averages of the liquidity buffer are shown in the following table.are bonds whose proceeds are invested in a sustainability instrument in line with the Green Bond Principles, the Social Bond Principles or a combination of the two. Inclusion of such bonds in the liquidity portfolio is subject to availability of ESG Reporting, a thorough project selection process and sound management of proceeds. To preserve the portfolios high quality and liquidity, these bonds must also meet the high quality liquid assets (HQLA) criteria of the European Banking Authority (EBA). By actively investing in the euro-denominated ESG bond market, ABN AMRO aims to support the growth of this market. The amounts of ESG bonds held in the liquidity portfolio are reported semi-annually. ABN AMRO\u2019s current ESG bond holdings amount to EUR 3.2 billion.Liquidity buffer composition - monthly average b(in billions, liquidity value) 2022 20211Cash & central bank deposits67.6 64.6Government bonds20.2 29.1Supra national & Agency bonds6.5 6.7Covered bonds2.5 3.0Retained RMBS and Covered bonds0.5 0.7Other0.3 0.4Total 97.5 104.51 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.Liability and equity breakdownAudited(in billions)251.2255.025020015010067.263.55038.117.522.022.89.59.711.111.0Client deposits Issued debt & Due to banks Securities financing Equity OtherSubordinated liabilities31 December 202231 December 2021The graph below shows the breakdown of client deposits by segment.Breakdown of client depositsAudited(in billions)150122.9125117.31007563.364.764.460.650256.27.0Personal & Business Banking Wealth Management Corporate Banking Group Functions depositsdepositsdepositsdeposits31 December 202231 December 2021Available funding instruments bA key goal of the funding strategy is to diversify funding sources. Our funding programmes allow us to issue various instruments in different currencies and markets, enabling FundingLiability and equity breakdown bClient deposits are our main source of funding, complemented by a well-diversified book of wholesale us to diversify our investor base. The following table shows a breakdown of total funding instruments.funding. The graph below shows the liability and equity breakdown for the full balance sheet. The increase in client deposits reflects a continued increased trend in client savings.Overview of funding types b(in millions) 31 December 2022 31 December 2021Commercial Paper/Certificates of Deposit 14,723 9,177Covered bonds23,781 31,338Secured funding (long-term) 23,781 31,3381Senior preferred (medium-term notes)8,219 13,209- of which ESG bonds 1,385 1,995Senior non-preferred9,536 5,964- of which ESG bonds 4,181 1,853Unsecured funding (long-term) 17,755 19,172Total issued debt 56,259 59,688Subordinated liabilities7,290 7,549Wholesale funding 63,550 67,2362Other long-term funding14,274 35,2213Total funding instruments77,823 102,457- of which matures within one year 32,420 18,4191 Includes Senior preferred instruments only.2 Includes TLTRO funding (recorded in due to banks) and funding with the Dutch State as counterparty (recorded in due to customers).3 Includes FX effects, fair value adjustments and interest movements.Total funding instruments decreased to EUR 77.8 billion at 31 December 2022 (31 December 2021: EUR 102.5 billion), mainly driven by the partial repayment of TLTRO III. Total issued debt decreased to EUR 56.3 billion at 31 December 2022 (31 December 2021: EUR 59.7 billion). The decrease reflects a decline in covered bonds. This was driven by a decline in market value and senior preferred funding, driven primarily by redemptions. This was partly offset by an increase in senior non-preferred funding. Subordinated liabilities decreased to EUR 7.3 billion at 31 December 2022 due to fair value adjustments (31 December 2021: EUR 7.5 billion). Senior non-preferred funding was issued in order to meet increasing MREL requirements from RWA increases. Other long-term funding decreased to EUR 14.3 billion at 31 December 2022 due to a repayment of EUR 21.0 billion of TLTRO III (31 December 2021: EUR 35.2 billion). Total green bonds outstanding increased to EUR 5.6 billion at 31 December 2022, which is 10% of total issued debt (31 December 2021: EUR 3.8 billion). In order to keep investors updated, our Green Bonds Framework determines a set of criteria applicable to issues of green bonds, including how we allocate the issue proceeds from green bonds to eligible assets, the evaluation and selection of eligible assets, independent assurance on the allocation of proceeds to eligible green assets, and the external reporting requirements. Green bonds have been issued since 2015, with a focus on sustainable real estate and renewable energy. These bonds enable investors to invest in, for example, energy efficiency through residential mortgages, loans for solar panels on existing homes, sustainable commercial real estate and wind energy. The allocation of green proceeds at 31 December 2022 is published on the ABN AMRO website.Maturity calendar b31 December 2022(notional amounts, in billions) 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 \u2265 2033 TotalCovered bonds 2.0 1.8 0.5 1.6 0.6 0.7 0.4 1. 9 3.1 2.2 13.4 28.2Senior preferred 2.4 1.8 3.0 0.8 0.2 0.1 0.1 0.2 0.1 8.6Senior non-preferred 1.3 0.7 2.0 0.9 1.0 1. 3 0.8 3.1 10.9Subordinated liabilities 2.5 1. 4 0.9 1.5 1.2 7. 61Other long-term funding11. 0 3.0 0.3 0.2 14.5Total long-term funding 1 7. 9 6.6 6.1 4.4 4.5 1.6 1.4 3.2 4.5 3.0 16.6 69.831 December 20212022 2023 2024 2025 2026 2027 2028 2029 2030 2031 \u2265 2032 TotalTotal long-term funding 8.9 38.8 6.6 6.1 4.3 2.2 1.6 1.4 2.0 4.4 15.1 91.41 Other long-term funding includes Targeted Longer-Term Refinancing Operations (TLTRO) III and funding with the Dutch State as counterparty.Funding issuance in 2022 bTotal long-term funding raised in 2022 amounted to EUR 8.0 billion. This included EUR 1.6 billion of covered bonds, EUR 1.5 billion of subordinated liabilities and EUR 4.8 billion of senior non-preferred funding. The total TLTRO III participation at 31 December 2022 was EUR 14.0 billion. Capital instruments are excluded in the long-term funding overview and included in the capital section, which provides a complete overview of all outstanding capital instruments.Long-term funding raised in 2022 and 2021Audited(notional amounts at issuance, in billions)15129.098.00.13.11.560.91.61.534.83.5020212022Senior non-preferredCovered bonds1Subordinated liabilities Other long-term funding1 The issuance of the EUR 1.0 billion of additional Tier 1 capital instrument is excluded from the graph above. An overview of the Capital instruments is provided in the Capital section.Long-term wholesale funding in non-euro currencies declined to 15.7% of total outstanding long-term wholesale funding, compared with 18.3% at 31 December 2021. In 2022, the bank raised its long-term wholesale funding in euros and dollars. The diversification of the outstanding long-term funding in non-euro currencies is shown in the following graph.Non-euro currency diversificationof total outstanding long-term fundingAudited(in billions)151210.20.58.791.30.80.80.60.767.76.7320212022USD CHF GBP OtherMaturity calendar bWe target a maturity profile where redemptions of funding instruments are well spread over time. The average remaining maturity of newly issued wholesale funding decreased to 9.4 years at year-end 2022 (11.2 years at year-end 2021), not taking into account other long-term funding. The average remaining maturity of outstanding long-term funding increased to 5.7 years at year-end 2022 (up from 4.2 years at year-end 2021). The maturity calendar assumes redemption on the earliest possible call date or the legal maturity date, which does not mean that the instruments will be called at the earliest possible call date. Early redemption of subordinated instruments is subject to approval by the regulator.Maturity overview of assets and liabilities b The following table shows financial assets and liabilities arranged by the earliest possible contractual maturity. Contractual maturity of assets and liabilities b 31 December 2022Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets Cash and balances at central banks60,865 60,865 Financial assets held for trading28 32 90 49 64 56 251 337 907 Derivatives1 4,831 6 36 14 32 292 5,212 Financial investments594 1,204 1,232 3,024 3,903 5,367 12,437 10,647 626 39,034 Securities financing548 15,293 3,146 1,045 20,032 Loans and advances banks1,296 864 78 31 714 2,982 Loans and advances customers17,949 7,258 5,659 3,694 8,851 14,580 32,588 153,348 243,927 Other assets2,688 2,107 1,242 94 30 386 73 6,622 Total assets 83,968 4,831 26,765 11,369 7,907 12,884 20,096 45,725 165,411 626 379,581 Liabilities Financial liabilities held for trading2 92 1 55 7 23 209 252 641 Derivatives1 3,671 24 1 2 19 22 63 346 4,148 Securities financing419 9,034 200 9,652 Due to banks1,568 912 235 11,327 130 3,070 11 5 152 17,509 Due to customers223,772 15,755 3,747 1,657 1,670 422 1,484 6,507 255,015 Issued debt 3,665 10,261 1,052 4,074 3,585 9,913 23,709 56,259 - of which senior secured 20 154 1,779 1,816 2,618 17,393 23,781 - of which senior unsecured 26 81 2,270 1,768 7,295 6,315 17,755 - of which other 3,639 10,160 898 25 14,723 Subordinated liabilities 1,027 1,401 103 3,731 1,028 7,290 Other liabilities2,810 2,620 430 27 18 330 18 6,253 Total liabilities 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 356,767 Total equity 22,814 22,814 Total liabilities and equity 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 22,814 379,581 Off-balance sheet liabilities Committed credit facilities53,873 53,873 Guarantees and other commitments7,651 7,651 Total off-balance sheet liabilities 61,524 61,524 31 December 2021Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets Cash and balances at central banks66,865 66,865 Financial assets held for trading7 12 81 69 315 50 238 381 1,155 Derivatives 2,975 9 12 22 64 703 3,785 Financial investments1,353 975 1,989 1,185 5,066 6,083 14,131 11,801 580 43,165 Securities financing716 13,142 2,192 88 16,138 Loans and advances banks912 334 375 258 124 72 726 2,801 Loans and advances customers26,837 6,483 5,732 2,630 8,360 14,282 32,176 161,750 258,251 Other assets4,772 1,699 353 11 3 16 1 6,955 Total assets 101,462 2,975 22,647 10,348 4,471 14,028 20,561 46,681 175,362 580 399,113 LiabilitiesFinancial liabilities held for trading 24 1 13 61 178 409 687 Derivatives6 3,545 9 36 8 29 73 168 470 4,344 Securities financing498 8,394 603 9,494 Due to banks1,049 1,403 107 312 14 31,889 2,910 392 38,076 Due to customers232,973 8,594 1,562 503 253 311 1,300 5,723 251,218 Issued debt51 6,081 5,410 2,187 2,550 4,420 11,684 27,306 59,688 - of which senior secured 54 1,045 105 1,633 1,963 4,126 22,413 31,338 - of which senior unsecured - 3 25 1,985 1,433 826 2,456 7,557 4,893 19,172 - of which other 5,011 3,320 753 92 9,177 Subordinated liabilities 537 1,045 11 2 2,308 3,547 7,549 Other liabilities2,730 2,462 386 92 20 334 21 14 6,059 Total liabilities237,306 3,545 26,943 8,128 3,638 3,925 37,199 18,568 37,862 377,114 Total equity 21,999 21,999 Total liabilities and equity 237,306 3,545 26,943 8,128 3,638 3,925 37,199 18,568 37,862 21,999 399,113 Off-balance sheet liabilities Committed credit facilities54,642 54,642 Guarantees and other commitments7,598 7,598 Total off-balance sheet liabilities 62,240 62,240 Maturity based on contractual undiscounted cash flows b The following tables show financial assets and liabilities arranged by the earliest possible contractual maturity. 31 December 2022Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets: Cash and balances at central banks60,865 60,865 Financial assets held for trading28 32 91 51 68 64 262 347 944 Derivatives1 4,831 28 84 210 404 670 1,434 1,663 9,325 Financial investments594 1,224 1,309 3,203 4,197 5,812 13,001 11,127 626 41,092 Securities financing548 15,305 3,155 1,049 20,056 Loans and advances banks1,296 868 9 22 41 150 191 877 3,453 Loans and advances customers17,949 7,492 6,558 5,879 12,829 21,534 46,385 166,989 285,614 Other assets2,688 2,108 1,242 95 31 2 388 74 6,627 Total undiscounted assets 83,968 4,831 27,057 12,448 10,508 17,571 28,231 61,660 181,077 626 427,978 Of which: Gross settled derivatives not held for trading:Contractual amounts receivable 17 42 31 87 142 411 282 1,012 Contractual amounts payable 10 17 34 66 127 354 230 837 Total undiscounted gross settled derivatives not held for trading 7 25 -3 21 15 57 52 175 Net settled derivatives not held for trading 52 160 80 392 940 2,529 4,247 8,401 Liabilities: Financial liabilities held for trading2 92 1 57 11 29 219 261 674 Derivatives1 3,671 60 135 337 633 1,120 2,292 2,596 10,844 Securities financing419 9,038 200 9,657 Due to banks1,568 911 230 11,320 125 3,068 11 3 151 17,488 Due to customers223,772 15,757 3,752 1,666 1,684 446 1,531 6,553 255,161 Issued debt 3,707 10,407 1,358 4,603 4,474 11,468 25,183 61,198 Subordinated liabilities 1,041 1,449 200 181 343 4,007 1,202 8,424 Other liabilities2,810 2,616 427 23 11 329 17 6,234 Total liabilities 228,572 3,671 33,223 16,602 14,961 7,249 9,809 19,647 35,946 369,681 - of which: Gross settled derivatives not held for trading:Contractual amounts receivable 677 247 53 82 29 7 1,096 Contractual amounts payable 165 133 69 110 64 16 558 Total undiscounted gross settled derivatives not held for trading -512 -114 16 28 36 9 -537 Net settled derivatives not held for trading 54 120 273 480 271 213 809 2,222 Net liquidity gap-144,604 1,161 -6,165 -4,154 -4,453 10,321 18,422 42,013 145,131 626 58,297 Off-balance sheet liabilities Committed credit facilities53,873 53,873 Guarantees and other commitments7,651 7,651 Total off-balance sheet liabilities 61,524 61,524 31 December 2021Between Between Between Between Trading Up to one and three six and one Between More On deriva-one three and six twelve and two two and than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsfive yearsyearsmaturity TotalAssets Cash and balances at central banks66,865 66,865 Financial assets held for trading7 13 83 72 320 57 249 391 1,191 Derivatives2,975 64 258 649 1,207 2,221 4,825 5,376 17,575 Financial investments1,353 995 2,066 1,367 5,370 6,540 14,706 12,288 580 45,266 Securities financing716 13,145 2,193 88 16,142 Loans and advances banks912 330 -13 347 220 63 -57 595 2,397 Loans and advances customers26,837 6,726 6,670 4,915 12,542 21,631 46,892 176,333 302,544 Other assets4,772 1,700 353 113 16 1 6,955 Total undiscounted assets 101,462 2,975 22,972 11,610 7,552 19,675 30,513 66,614 194,984 580 458,936 Of which: Gross settled derivatives not held for trading:Contractual amounts receivable 11 3 36 7 2 2 6 6 172 Contractual amounts payable 45 5 6 9 8 9 13 95 Total undiscounted gross settled derivatives not held for trading 68 31 2 -8 -6 -3 -7 77 Net settled derivatives not held for trading 201 4 53 69 202 384 1,088 2,002 Liabilities Financial liabilities held for trading 1 25 3 18 69 192 422 731 Derivatives6 3,545 50 200 401 750 1,297 2,382 2,607 11,238 Securities financing498 8,394 603 9,494 Due to banks1,049 1,395 76 236 -130 31,850 2,894 385 37,754 Due to customers232,973 8,595 1,563 506 260 322 1,323 5,746 251,288 Issued debt51 6,116 5,535 2,469 3,051 5,267 13,157 28,704 64,350 Subordinated liabilities 16 64 692 1,295 561 3,011 4,188 9,827 Other liabilities2,730 2,459 384 89 15 333 20 13 6,042 Total liabilities 237,306 3,545 27,027 8,451 4,396 5,259 39,698 22,977 42,066 390,725 - of which: Gross settled derivatives not held for trading:Contractual amounts receivable 45 13 10 20 37 96 11 6 339 Contractual amounts payable 14 5 18 39 35 42 50 203 Total undiscounted gross settled derivatives not held for trading -32 -8 8 19 -2 -54 -66 -135 Net settled derivatives not held for trading 55 131 151 321 601 1,474 1,998 4,732 Net liquidity gap -135,844 -569 -4,055 3,159 3,156 14,416 -9,186 43,637 152,918 580 68,211 Off-balance sheet liabilities Committed credit facilities54,642 54,642 Guarantees and other commitments7,598 7,598 Total off-balance sheet liabilities 62,240 62,240 Expected maturity based on behavioural models b The following table provides an overview of the amounts expected to be settled within twelve months and after twelve months, based on the behavioural maturity profile. 31 December 2022 31 December 2021Up to More than Up to More than (in millions)one yearone year Totalone yearone year TotalAssets Cash and balances at central banks60,865 60,865 66,865 66,865 Financial assets held for trading907 907 1,155 1,155 Derivatives4,831 381 5,212 2,975 810 3,785 Financial investments9,848 29,186 39,034 10,596 32,568 43,165 Securities financing19,117 916 20,032 15,827 311 16,138 Loans and advances banks1,732 1,250 2,982 1,766 1,034 2,801 Residential mortgages14,377 126,744 141,121 14,385 133,326 147,711 Consumer loans2,305 7,650 9,955 3,279 7,240 10,518 Corporate loans at amortised cost36,896 48,398 85,295 36,117 48,797 84,915 Corporate loans at fair value through P&L28 37 66 42 57 99 Other loans and advances customers6,789 703 7,491 13,331 1,677 15,008 Equity-accounted investments 474 474 564 564 Property and equipment673 315 988 545 627 1,172 Goodwill and other intangible assets108 108 25 102 127 Assets held for sale13 13 89 89 Tax assets565 565 739 739 Other assets323 4,150 4,473 1,306 2,957 4,263 Total assets 159,377 220,204 379,581 169,044 230,069 399,113 Liabilities Financial liabilities held for trading641 641 687 687 Derivatives3,671 477 4,148 3,545 799 4,344 Securities financing8,822 830 9,652 8,397 1,097 9,494 Due to banks13,847 3,662 17,509 2,033 36,043 38,076 Current accounts15,126 106,905 122,030 47,577 85,406 132,983 Demand deposits 100,397 100,397 18,208 80,582 98,790 Time deposits21,611 8,485 30,096 11,174 7,606 18,780 Other due to customers198 2,293 2,491 89 576 665 Issued debt19,298 36,961 56,259 16,530 43,158 59,688 Subordinated liabilities2,520 4,770 7,290 1,563 5,985 7,549 Provisions1,030 13 1,044 1,201 1,201 Tax liabilities22 22 101 101 Other liabilities 5,187 5,187 1,644 3,113 4,757 Total liabilities 86,787 269,980 356,767 112,749 264,365 377,114 The behavioural maturity profile is based on internally developed liquidity risk models. These models cover residential mortgages, consumer and corporate loans, non-maturing assets (mainly current accounts), credit cards, non-maturing liabilities (demand deposits and current accounts) and term deposits. The liquidity risk models predict the behavioural cash flows, which can differ from the contractual cash flows as a result of, for example, prepayments or because some products do not have a defined contractual maturity date. The models are based on historically observed client behaviour and use a combination of internal and external risk drivers. The models are used for monitoring the bank\u2019s liquidity mismatch position. The liquidity risk models are included in the bank\u2019s model risk management framework. This means that the models have to follow a regular monitoring and validation schedule. Approval of the models is given by the Methodology Acceptance Group (MAG) ALM/T, based on independent advice from Model Validation. ", "dimensions": { "concept": "ifrs-full:DisclosureOfLiquidityRiskExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-143-4": { "value": "Capital structureRegulatory capital structure b(in millions) 31 December 2022 31 December 2021Total equity (EU IFRS) 22,814 21,999Cash flow hedge reserve946 1,540Dividend reserve-601 -573AT1 capital securities (EU IFRS)-1,985 -1,987Share buyback reserve-500 -500Regulatory and other adjustments-1,167 -1,273Common Equity Tier 1 19,507 19,206AT1 capital securities (EU IFRS)1,985 1,987Regulatory and other adjustments-3 -5Tier 1 capital21,489 21,188Subordinated liabilities (EU IFRS)7,290 7,549Regulatory and other adjustments-1,842 -2,413Tier 2 capital5,449 5,136Total regulatory capital 26,938 26,324Regulatory capital flow statement b(in millions)2022 2021Common Equity Tier 1 capitalBalance at 1 January19,206 19,548Addition of net profit attributable to owners of the parent company1,868 1,231Reserved dividend-601 -573Interim dividend paid-287Other, including regulatory adjustments-678 -999Balance at 31 December 19,507 19,206Additional Tier 1 capitalBalance at 1 January1,982 1,982Newly issued Tier 1 eligible capital instrumentsRedeemed Tier 1 eligible capital instrumentsBalance at 31 December1,982 1,982Tier 1 capital 21,489 21,188Tier 2 capitalBalance at 1 January5,136 4,664New issued Tier 2 eligible capital instruments1,524 879Redeemed Tier 2 ineligible capital instruments-996 -278Other, including regulatory adjustments-216 -129Balance at 31 December 5,449 5,136Total regulatory capital 26,938 26,324Capital instruments b31 December 2022 31 December 2021First possible Nominal Carrying Nominal Carrying (in millions) ISIN/CUSIP Maturity datecall dateamountamountamountamount1Tier 1EUR 1,000 million 4.375% per annumXS2131567138 Perpetual September 2025 1,000 991 1,000 993EUR 1,000 million 4.75% per annumXS1693822634 Perpetual September 2027 1,000 994 1,000 994Total Tier 1 capital instruments 2,000 1,985 2,000 1,987Tier 2USD 113 million 7.75% per annumUS00080QAD79 / USN0028HAP03 May 2023 106 103 100 101USD 1,500 million 4.75% per annumUS00080QAF28 / XS1264600310 July 2025 1,405 1,360 1,324 1,402USD 1,000 million 4.8% per annumUS0008DAL47 / XS1392917784 April 2026 937 868 883 901EUR 1,000 million 2.875% per annumXS1346254573 January 2028 January 2023 1,000 1,027 1,000 1,035USD 1,500 million 4.4% per annumXS1586330604 March 2028 March 20231,405 1,392 1,324 1,358USD 300 million 5.6% per annumXS1385037558 April 2031 281 249 265 279SGD 750 million 5.5% per annumXS2498035455 October 2032 July 2027 524 520EUR 1,000 million 5.125% per annumXS2558022591 February 2033 November 2027 1,000 979USD 1,000 million 3.324% per annumXS2415308761 / US00084DAV29 March 2037 December 2031 937 778 883 876EUR various smaller instruments2023 -2025 14 14 14 15USD 595 million 6.250% per annumXS0619547838 April 2022 525 537EUR 1,000 million 7.125% per annumXS0802995166 July 2022 1,000 1,045Total Tier 2 capital instruments 7,609 7,290 7,317 7,549- of which eligible for regulatory capital:Basel III, Tier 1 (fully-loaded)2,000 2,000Basel III, Tier 2 (fully-loaded) 5,449 5,1361 AT1 capital securities. For both AT1 instruments, the CET1 Trigger levels are 7.0% for ABN AMRO Bank level, and 5.125% for ABN AMRO Bank solo level. The amount of available distributable items for ABN AMRO Bank N.V. per 31 December 2022 totals EUR 19.8 billion (31 December 2021: EUR 18.7 billion).33 Equity Share capital and other components of equity Ordinary shares As at 31 December 2022, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. Compound financial instruments Components of compound financial instruments (liability and equity parts) are classified in their respective areas of the statement of financial position. Currency translation reserve The currency translation reserve represents the cumulative gains and losses on the translation of the net investment in foreign operations, net of the effect of hedging. Fair value reserve Under IFRS 9, the fair value reserve includes the gains and losses, net of tax, resulting from a change in the fair value of debt instruments measured at FVOCI. When the instruments are sold or otherwise disposed of, the related cumulative gain or loss recognised in equity is recycled to the income statement. Cash flow hedging reserve The cash flow hedging reserve comprises the effective portion of the cumulative net change in the fair value of cash flow hedging instruments, net of taxes, that are recycled to the income statement if the hedged transactions have an impact on profit or loss. Net investment hedging reserve The net investment hedging reserve comprises the currency translation differences arising when the currencies of these instruments are translated to euros, to the extent they are effective. Liability own credit risk reserve Under IFRS 9, the changes in fair value attributable to changes in the own credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Dividends Dividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which they are approved by shareholders. Capital securities Undated, deeply subordinated, resettable, callable capital securities are classified as additional tier 1 (AT1) capital, under total equity. ABN AMRO Bank has the European Central Bank\u2019s permission to carry out limited repurchases from investors and to sell back in the market Other reserves Other reserves mainly comprise retained earnings and profit for the period. The following table shows the equity of ABN AMRO Bank N.V. and the outstanding and issued share capital. (in millions) 31 December 2022 31 December 2021 Share capital 898 940 Share premium 12,529 12,970 Accumulated other comprehensive income -842 -1,227 Other reserves (incl. retained earnings/profit for the period) 8,243 7,324 AT1 capital securities 1,985 1,987 Equity attributable to owners of the parent company 22,812 21,994 Equity attributable to non-controlling interests 2 5 Total equity 22,814 21,999 At 31 December 2022, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares. The authorised share capital consists of 2,200,000,000 ordinary A-shares with a nominal value of EUR 1.00 and 200,000,000 ordinary B-shares with a nominal value of EUR 1.00. Every share is entitled to one vote during the General Meeting. During the financial year there were no changes in the authorised share capital. The total number of issued shares at 31 December 2022 was 897,521,916. In 2022, the final dividend for the year 2021 of EUR 0.61 per share was paid out for a total of EUR 553 million and the 2022 interim dividend of EUR 0.32 per share was paid out for a total of EUR 287 million. For the year 2022, a final dividend has been proposed of EUR 0.67 per share. During the first half year of 2022, ABN AMRO Bank N.V. purchased treasury shares under the buyback programme for EUR 500 million, at an average price of EUR 11.77 per share. These treasury shares were cancelled during Q3, resulting in a reduction in the issued share capital of 42,478,085 shares, with a nominal value of EUR 1.00 each. The amount of the purchase value between EUR 1.00 (the nominal value of the purchased shares) and EUR 11.55 (the value of the purchased shares for tax purposes) has been deducted from the share premium reserve. The amount of the purchase value in excess of EUR 11.55 has been deducted from other reserves. The following table shows the equity of ABN AMRO Bank N.V. and the outstanding and issued share capital. 31 December 2022 31 December 2021 Class A Class B Class A Class B ordinary shares ordinary shares ordinary shares ordinary shares Number of shares Authorised share capital 2,200,000,000 200,000,000 2,200,000,000 200,000,000 Unissued share capital 1,302,478,084 200,000,000 1,259,999,999 200,000,000 Issued share capital 897,521,916 940,000,001 Amount of shares (in EUR) Authorised share capital 2,200,000,000 200,000,000 2,200,000,000 200,000,000 Unissued share capital 1,302,478,084 200,000,000 1,259,999,999 200,000,000 Issued share capital 897,521,916 940,000,001 Par value 1.00 1.00 1.00 1.00 Accumulated other comprehensive income is specified in the following table. Accumulated Remeasurements Currency Cash flow share of OCI of Liability own on post-retirement translation Fair value hedge associates and credit risk (in millions) benefit plans reserve reserve reserve joint ventures reserve Total Balance at 1 January 2021 -24 -29 162 -1,854 36 -24 -1,733 Net gains/(losses) arising during the period 24 66 107 451 16 20 684 Less: Net realised gains/(losses) included in income statement 54 55 Net gains/(losses) in equity 24 66 108 396 16 20 629 Related income tax 6 30 82 5 123 Balance at 31 December 2021 -6 38 239 -1,540 51 -9 -1,227 Net gains/(losses) arising during the period 16 48 -287 762 -51 8 496 Less: Net realised gains/(losses) included in income statement 4 1 -39 7 -26 Net gains/(losses) in equity 16 44 -288 801 -58 8 522 Related income tax 3 -75 207 2 137 Balance at 31 December 2022 7 81 26 -946 -7 -3 -842 Accumulated other comprehensive income increased by EUR 385 million, driven mainly by the increase in the cash flow hedge reserve, which was the result of the current market interest rate environment. The decrease of the fair value reserve was attributable to the increased credit spread on financial investments. ", "dimensions": { "concept": "ifrs-full:DisclosureOfShareCapitalReservesAndOtherEquityInterestExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-145-5": { "value": "Capital instruments b31 December 2022 31 December 2021First possible Nominal Carrying Nominal Carrying (in millions) ISIN/CUSIP Maturity datecall dateamountamountamountamount1Tier 1EUR 1,000 million 4.375% per annumXS2131567138 Perpetual September 2025 1,000 991 1,000 993EUR 1,000 million 4.75% per annumXS1693822634 Perpetual September 2027 1,000 994 1,000 994Total Tier 1 capital instruments 2,000 1,985 2,000 1,987Tier 2USD 113 million 7.75% per annumUS00080QAD79 / USN0028HAP03 May 2023 106 103 100 101USD 1,500 million 4.75% per annumUS00080QAF28 / XS1264600310 July 2025 1,405 1,360 1,324 1,402USD 1,000 million 4.8% per annumUS0008DAL47 / XS1392917784 April 2026 937 868 883 901EUR 1,000 million 2.875% per annumXS1346254573 January 2028 January 2023 1,000 1,027 1,000 1,035USD 1,500 million 4.4% per annumXS1586330604 March 2028 March 20231,405 1,392 1,324 1,358USD 300 million 5.6% per annumXS1385037558 April 2031 281 249 265 279SGD 750 million 5.5% per annumXS2498035455 October 2032 July 2027 524 520EUR 1,000 million 5.125% per annumXS2558022591 February 2033 November 2027 1,000 979USD 1,000 million 3.324% per annumXS2415308761 / US00084DAV29 March 2037 December 2031 937 778 883 876EUR various smaller instruments2023 -2025 14 14 14 15USD 595 million 6.250% per annumXS0619547838 April 2022 525 537EUR 1,000 million 7.125% per annumXS0802995166 July 2022 1,000 1,045Total Tier 2 capital instruments 7,609 7,290 7,317 7,549- of which eligible for regulatory capital:Basel III, Tier 1 (fully-loaded)2,000 2,000Basel III, Tier 2 (fully-loaded) 5,449 5,1361 AT1 capital securities. For both AT1 instruments, the CET1 Trigger levels are 7.0% for ABN AMRO Bank level, and 5.125% for ABN AMRO Bank solo level. The amount of available distributable items for ABN AMRO Bank N.V. per 31 December 2022 totals EUR 19.8 billion (31 December 2021: EUR 18.7 billion).33 Equity Share capital and other components of equity Ordinary shares As at 31 December 2022, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. Compound financial instruments Components of compound financial instruments (liability and equity parts) are classified in their respective areas of the statement of financial position. Currency translation reserve The currency translation reserve represents the cumulative gains and losses on the translation of the net investment in foreign operations, net of the effect of hedging. Fair value reserve Under IFRS 9, the fair value reserve includes the gains and losses, net of tax, resulting from a change in the fair value of debt instruments measured at FVOCI. When the instruments are sold or otherwise disposed of, the related cumulative gain or loss recognised in equity is recycled to the income statement. Cash flow hedging reserve The cash flow hedging reserve comprises the effective portion of the cumulative net change in the fair value of cash flow hedging instruments, net of taxes, that are recycled to the income statement if the hedged transactions have an impact on profit or loss. Net investment hedging reserve The net investment hedging reserve comprises the currency translation differences arising when the currencies of these instruments are translated to euros, to the extent they are effective. Liability own credit risk reserve Under IFRS 9, the changes in fair value attributable to changes in the own credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Other reserves Other reserves mainly comprise retained earnings and profit for the period. The following table shows the equity of ABN AMRO Bank N.V. and the outstanding and issued share capital. (in millions) 31 December 2022 31 December 2021 Share capital 898 940 Share premium 12,529 12,970 Accumulated other comprehensive income -842 -1,227 Other reserves (incl. retained earnings/profit for the period) 8,243 7,324 AT1 capital securities 1,985 1,987 Equity attributable to owners of the parent company 22,812 21,994 Equity attributable to non-controlling interests 2 5 Total equity 22,814 21,999 At 31 December 2022, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares. The authorised share capital consists of 2,200,000,000 ordinary A-shares with a nominal value of EUR 1.00 and 200,000,000 ordinary B-shares with a nominal value of EUR 1.00. Every share is entitled to one vote during the General Meeting. During the financial year there were no changes in the authorised share capital. The total number of issued shares at 31 December 2022 was 897,521,916. In 2022, the final dividend for the year 2021 of EUR 0.61 per share was paid out for a total of EUR 553 million and the 2022 interim dividend of EUR 0.32 per share was paid out for a total of EUR 287 million. For the year 2022, a final dividend has been proposed of EUR 0.67 per share. During the first half year of 2022, ABN AMRO Bank N.V. purchased treasury shares under the buyback programme for EUR 500 million, at an average price of EUR 11.77 per share. These treasury shares were cancelled during Q3, resulting in a reduction in the issued share capital of 42,478,085 shares, with a nominal value of EUR 1.00 each. The amount of the purchase value between EUR 1.00 (the nominal value of the purchased shares) and EUR 11.55 (the value of the purchased shares for tax purposes) has been deducted from the share premium reserve. The amount of the purchase value in excess of EUR 11.55 has been deducted from other reserves. The following table shows the equity of ABN AMRO Bank N.V. and the outstanding and issued share capital. 31 December 2022 31 December 2021 Class A Class B Class A Class B ordinary shares ordinary shares ordinary shares ordinary shares Number of shares Authorised share capital 2,200,000,000 200,000,000 2,200,000,000 200,000,000 Unissued share capital 1,302,478,084 200,000,000 1,259,999,999 200,000,000 Issued share capital 897,521,916 940,000,001 Amount of shares (in EUR) Authorised share capital 2,200,000,000 200,000,000 2,200,000,000 200,000,000 Unissued share capital 1,302,478,084 200,000,000 1,259,999,999 200,000,000 Issued share capital 897,521,916 940,000,001 Par value 1.00 1.00 1.00 1.00 Accumulated other comprehensive income is specified in the following table. Accumulated Remeasurements Currency Cash flow share of OCI of Liability own on post-retirement translation Fair value hedge associates and credit risk (in millions) benefit plans reserve reserve reserve joint ventures reserve Total Balance at 1 January 2021 -24 -29 162 -1,854 36 -24 -1,733 Net gains/(losses) arising during the period 24 66 107 451 16 20 684 Less: Net realised gains/(losses) included in income statement 54 55 Net gains/(losses) in equity 24 66 108 396 16 20 629 Related income tax 6 30 82 5 123 Balance at 31 December 2021 -6 38 239 -1,540 51 -9 -1,227 Net gains/(losses) arising during the period 16 48 -287 762 -51 8 496 Less: Net realised gains/(losses) included in income statement 4 1 -39 7 -26 Net gains/(losses) in equity 16 44 -288 801 -58 8 522 Related income tax 3 -75 207 2 137 Balance at 31 December 2022 7 81 26 -946 -7 -3 -842 Accumulated other comprehensive income increased by EUR 385 million, driven mainly by the increase in the cash flow hedge reserve, which was the result of the current market interest rate environment. The decrease of the fair value reserve was attributable to the increased credit spread on financial investments. ", "dimensions": { "concept": "ifrs-full:DisclosureOfIssuedCapitalExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-146-4": { "value": "Movements in subordinated liabilities b2022 2021(in millions) Carrying amount Carrying amountBalance as at 1 January 7,549 8,069Cash flowsIssuance1,540 910Redemption-1,602 -1,514Non-cash changesForeign exchange differences360 367Other-556 -283Balance as at 31 December 7,290 7,549Minimum capital requirements31 December 2022 31 December 2021(in millions) Capital requirement RWA Capital requirement RWACredit risk IRBCentral governments and central banks67 8401Institutions148 1,847 127 1,589Corporates4,280 53,501 4,177 52,211Retail1,351 16,891 1,326 16,574- of which secured by immovable property 1,235 15,431 1,188 14,847- of which qualifying revolving exposures 11 136 11 140- of which other retail 106 1,323 127 1,588Equities not held for trading247 3,091 269 3,364Securitisation positions20 253 9 116Credit valuation adjustment2Other1,987 24,835 1,227 15,336Total credit risk IRB 8,033 100,418 7,202 90,030Credit risk SACentral governments and central banks41 515 21Institutions75 939 100 1,248Corporates468 5,854 451 5,636Retail182 2,272 200 2,495Secured by mortgages on immovable property12 152 12 145Exposures in default13 158 14 173Credit valuation adjustment22 274 16 2022Other3 39 4 46Total credit risk SA 816 10,203 796 9,946Other risksMarket risk160 2,005 133 1,668- of which Standardised Approach 2 1 6- of which Internal Model Approach 160 2,003 133 1,662Operational risk1,277 15,967 1,284 16,0493- of which Standardised Approach43 533 48 604- of which Advanced Measurement Approach 1,235 15,434 1,236 15,444Total other risks 1,438 17,973 1,417 17,717Total 10,287 128,593 9,415 117,6931 Institutions include exposures to banks and investment companies, regional and local governments and pension funds.2 Other includes non-credit obligations.3 Including Basic Indicator Approach.29 Issued debt and subordinated liabilities Accounting policy for issued debt and subordinated liabilities Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that qualify as an embedded derivative that cannot be separated. ABN AMRO applies IAS 32 Financial Instruments: Presentation to determine whether funding is a financial liability or equity. Issued financial instruments or their components are classified as financial liabilities where the substance of the contractual arrangement results in ABN AMRO having a present obligation to deliver either cash or another financial asset or to satisfy the obligation other than by the exchange of a fixed number of equity shares. Issued liabilities qualify as subordinated debt if claims by the holders are subordinated to all other current and future liabilities of ABN AMRO and its subsidiaries. The valuation of liabilities measured at fair value includes the effect of changes in the bank\u2019s own credit spreads. The change in fair value applies to those financial liabilities designated at fair value where own value credit risk would be considered by market participants. The cumulative amount of changes in fair value attributable to credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt measured at fair value through profit or loss is valued at market prices. Fair value changes are calculated based on a yield curve generated from observed external pricing for funding and quoted CDS spreads Subordinated liabilities The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December. Movements in these debt instruments involve a continual process of redemption and issuance of long-term and short-term funding. (in millions) 31 December 2022 31 December 2021 Subordinated liabilities 7,290 7,549 2022 2021 (in millions) Carrying amount Carrying amount Balance as at 1 January 7,549 8,069 Cash flows Issuance 1,540 910 Redemption -1,602 -1,514 Non-cash changes Foreign exchange differences 360 367 Other -556 -283 Balance as at 31 December 7,290 7,549 No perpetual loans were recorded at the reporting date. The issued and outstanding loans qualifying as subordinated liabilities are subordinated to all other current and future liabilities. 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"decimals": -6, "dimensions": { "concept": "ABN:InterestPaidOnAdditionalTier1CapitalAttributableToOwnersOfParentClassifiedAsFinancingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2021-01-01T00:00:00/2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77889": { "value": "115000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:PaymentsOfLeaseLiabilitiesClassifiedAsFinancingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77895": { "value": "94000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:PaymentsOfLeaseLiabilitiesClassifiedAsFinancingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2021-01-01T00:00:00/2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77900": { "value": "2948000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashFlowsFromUsedInFinancingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": 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"ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77926": { "value": "61887000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2021-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77930": { "value": "14000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:EffectOfExchangeRateChangesOnCashAndCashEquivalents", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77935": { "value": "58000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:EffectOfExchangeRateChangesOnCashAndCashEquivalents", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2021-01-01T00:00:00/2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77940": { "value": "62608000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77944": { "value": "68027000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77957": { "value": "2455000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestPaidClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77961": { "value": "1397000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestPaidClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2021-01-01T00:00:00/2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77965": { "value": "7934000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestReceivedClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77969": { "value": "7017000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestReceivedClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2021-01-01T00:00:00/2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77974": { "value": "-8000000", "decimals": -6, "dimensions": { "concept": "ABN:AdjustmentsForDividendIncomeNotFromAssociates", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77978": { "value": "-10000000", "decimals": -6, "dimensions": { "concept": "ABN:AdjustmentsForDividendIncomeNotFromAssociates", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2021-01-01T00:00:00/2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f77996": { "value": "60865000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndBankBalancesAtCentralBanks", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f78000": { "value": "66865000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndBankBalancesAtCentralBanks", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f78005": { "value": "1743000000", "decimals": -6, "dimensions": { "concept": "ABN:LoansAndAdvancesToBanksMaturityNotLaterThanThreeMonths", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f78009": { "value": "1162000000", "decimals": -6, "dimensions": { "concept": "ABN:LoansAndAdvancesToBanksMaturityNotLaterThanThreeMonths", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f78017": { "value": "62608000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f78021": { "value": "68027000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00", "unit": "iso4217:EUR" } }, "pp-value-163-2": { "value": "1 Accounting policies The notes to the Consolidated Annual Financial Statements, including the audited information in the Risk, funding & capital chapter, are an integral part of these Annual Financial Statements. This section describes ABN AMRO Bank\u2019s significant accounting policies and critical accounting estimates or judgements relating to the Annual Financial Statements. If an accounting policy or a critical accounting estimate relates to a specific note, it is included in the relevant note. Corporate information The Consolidated Annual Financial Statements of ABN AMRO Bank for the year ended 31 December 2022 incorporate financial information of ABN AMRO Bank N.V., its controlled entities, interests in associates and joint ventures. The Annual Financial Statements were prepared by the Executive Board and authorised for issue by the Supervisory Board and Executive Board on 7 March 2023. Statement of compliance The Consolidated Annual Financial Statements have been prepared in accordance with International Financial Reporting Standards (IFRS), as endorsed by the European Union (EU). They also comply with the financial reporting requirements set out in Title 9 of Book 2 of the Dutch Civil Code, where applicable.Basis of preparationThe Consolidated Annual Financial Statements have been prepared on a historical cost basis, except for derivative financial instruments, financial assets and liabilities held for trading or designated as measured at fair value through profit or loss, financial instruments not held in a \u2018hold to collect\u2019 business model, debt instruments that do not meet the solely payments of principal and interest (SPPI) test, and equity investments in associates or joint ventures for which the venture capital exemption is applied, all of which are measured at fair value through profit or loss. The carrying values of recognised assets and liabilities that are hedged items in fair value hedges, and otherwise carried at amortised cost, are adjusted to record changes in fair value attributable to the risks that are being hedged. Associates and joint ventures are accounted for using the equity method.The financial statements are prepared on a going concern basis.", "dimensions": { "concept": "ifrs-full:DisclosureOfGeneralInformationAboutFinancialStatementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-3": { "value": "1 Accounting policies Corporate information The Consolidated Annual Financial Statements of ABN AMRO Bank for the year ended 31 December 2022 incorporate financial information of ABN AMRO Bank N.V., its controlled entities, interests in associates and joint ventures. The Annual Financial Statements were prepared by the Executive Board and authorised for issue by the Supervisory Board and Executive Board on 7 March 2023. Authorisation of the Consolidated Annual Financial Statements 7 March 2023 Supervisory Board T. (Tom) de Swaan, Chairman A.C. (Arjen) Dorland, Vice-Chairman L.J. (Laetitia) Griffith M.P. (Michiel) Lap S.A.C. (Sarah) Russell A.M. (Anna) Stor\u00e5kers M.L. (Mariken) Tannemaat J.S.T. (Tjalling) Tiemstra Executive Board Robert Swaak, Chief Executive Officer and Chairman Tanja Cuppen, Chief Risk Officer Lars Kramer, Chief Financial Officer Carsten Bittner Chief Innovation and Technology Officer Annerie Vreugdenhil, Chief Commercial Officer - Personal & Business Banking (from 1 March 2022) Choy van der Hooft-Cheong, Chief Commercial Officer - Wealth Management Dan Dorner, Chief Commercial Officer - Corporate Banking ", "dimensions": { "concept": "ifrs-full:DisclosureOfAuthorisationOfFinancialStatementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-4": { "value": "1 Accounting policies Statement of compliance The Consolidated Annual Financial Statements have been prepared in accordance with International Financial Reporting Standards (IFRS), as endorsed by the European Union (EU). They also comply with the financial reporting requirements set out in Title 9 of Book 2 of the Dutch Civil Code, where applicable.", "dimensions": { "concept": "ifrs-full:StatementOfIFRSCompliance", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-5": { "value": "1 Accounting policies Basis of preparationThe Consolidated Annual Financial Statements have been prepared on a historical cost basis, except for derivative financial instruments, financial assets and liabilities held for trading or designated as measured at fair value through profit or loss, financial instruments not held in a \u2018hold to collect\u2019 business model, debt instruments that do not meet the solely payments of principal and interest (SPPI) test, and equity investments in associates or joint ventures for which the venture capital exemption is applied, all of which are measured at fair value through profit or loss. The carrying values of recognised assets and liabilities that are hedged items in fair value hedges, and otherwise carried at amortised cost, are adjusted to record changes in fair value attributable to the risks that are being hedged. Associates and joint ventures are accounted for using the equity method.The Annual Financial Statements are presented in euros, which is the presentation currency of ABN AMRO, rounded to the nearest million (unless otherwise stated).The financial statements are prepared on a going concern basis.", "dimensions": { "concept": "ifrs-full:DisclosureOfBasisOfPreparationOfFinancialStatementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-6": { "value": "1 Accounting policies Basis of preparationThe financial statements are prepared on a going concern basis.", "dimensions": { "concept": "ifrs-full:DisclosureOfGoingConcernExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-7": { "value": "1 Accounting policies Changes in accounting policies and presentation Changes in presentation Prior to 1 January 2022, the reconciliation between the carrying amounts at the beginning and the end of the period for each component of equity changes resulting from other comprehensive income were disclosed in a separate table as part of the statement of changes in equity. In 2022, the movement schedule explaining the equity components of other comprehensive income including the comparatives was moved to Note 33 Equity attributable to owners of the parent company. Furthermore, in 2022, ABN AMRO changed the presentation of \u2018Items that may be reclassified to the income statement\u2019 in the Statement of Other Comprehensive Income including comparatives to provide more relevant information about the effectof the reclassification adjustments. Change in reportable segments Effective from the start of 2022, ABN AMRO has simplified and centralised its operating model. The organisational structure has also been strengthened and simplified by replacing the four business lines with three units structured around client segments (the \u2018client units\u2019). ABN AMRO has realigned the new organisational structure with internal reporting to the Executive Board (CODM): H Retail Banking and part of Commercial Banking have been combined to form Personal & Business Banking; \u00c5 Private Banking has been replaced by Wealth Management; \u00c5 Corporate & Institutional Banking and part of Commercial Banking have been combined to form Corporate Banking. The prior-period figures in the financial information for these segments, as included in the Performance (and Segment Reporting Note) section of this report, have been restated accordingly. Personal & Business Banking This client unit serves consumer and business clients with banking and partner offerings, providing the convenience of digital interactions and access to expertise when it matters most. Wealth Management The Wealth Management client unit delivers outstanding expertise with tailored value propositions for wealthy clients, focusing on investment advice, financial planning and real estate financing. Corporate Banking This expertise-driven client unit delivers tailored financing, capital structuring and transaction banking solutions for medium-sized and large corporate clients and financial institutions. Corporate Banking also offers Entrepreneur & Enterprise as a bank-wide service concept for business and wealthy clients, in close collaboration with Wealth Management. Group Functions Group Functions consists of the following support function departments: Finance, Risk Management, Innovation & Technology, Human Resources, Group Audit, Legal & Corporate Office, Brand Marketing & Communications, Strategy & Innovation and a Sustainability Centre of Excellence. Group Functions is not a client unit, but part of the reconciliation. The majority of Group Functions\u2019 costs are allocated to the client units. ", "dimensions": { "concept": "ifrs-full:DisclosureOfReclassificationsOrChangesInPresentationExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-8": { "value": "1 Accounting policies Changes in accounting policies and presentation Changes in accounting policies The International Accounting Standards Board issued several amendments to existing standards (and endorsed by the EU), which become effective for the reporting period beginning 1 January 2023. The standards amended are: IAS 1 Disclosure of accounting policies; IAS 8 Definition of accounting estimate; IAS 12 Deferred Tax related to Assets and Liabilities arising from a Single Transaction. The impact of these amendments on the consolidated financial statements are insignificant. IFRS 17 \u2013 Insurance Contracts In May 2017, the IASB issued IFRS 17 Insurance Contracts (IFRS 17), a comprehensive new accounting standard for insurance contracts covering recognition and measurement, presentation and disclosure. IFRS 17 will replace IFRS 4 Insurance Contracts (IFRS 4) that was issued in 2005. IFRS 17 applies to all types of insurance contracts (i.e., life, non-life, direct insurance and re-insurance), regardless of the type of entities that issue them, as well as to certain guarantees and financial instruments with discretionary participation features. A few scope exceptions will apply. IFRS 17 introduces new accounting requirements for banking products with insurance features that may affect the determination of which instruments or which components thereof will be in the scope of IFRS 9 or IFRS 17.IFRS 17 is effective for reporting periods beginning on or after 1 January 2023, with comparative figures required. ABN AMRO does not apply for an early application of IFRS 17.ABN AMRO has completed the assessment of the impacts of adopting IFRS 17. ABN AMRO offers limited banking products with significant insurance risk embedded, such as equity release mortgages and loans with a death waiver, and has assessed that the impact of IFRS 17 on these insurance contracts is not material, except for the equity release mortgage.Currently, ABN AMRO applies unbundling of the loan component from the insurance contract for equity release mortgage, which was permitted in accordance with IFRS 4. The loan component was measured at amortised cost in accordance with IFRS 9 and the insurance component, the No Negative Equity Guarantee (NNEG), as an insurance contract in accordance with IFRS 4, which meant the measurement was based on IAS 37.In accordance with the currently issued IFRS 17, unbundling of the loan component from the insurance contract is not permitted anymore. For loan contracts (such as equity release mortgages and loans with a death waiver) that meet the definition of insurance but limit the compensation for insured events to the amount otherwise required to settle the policyholder\u2019s obligation created by the contract, the issuers of such loans, have an option to apply IFRS 9 or IFRS 17. The election would be made at a portfolio level and would be irrevocable. ABN AMRO\u2019s policy is to apply IFRS 9 to such loans. Since ABN AMRO has chosen to apply IFRS 9 to the equity release mortgage, these loans in their entirety, i.e. including the NNEG feature, do not meet the SPPI criterion. Therefore they should be measured in their entirety at fair value through profit or loss as of 1 January 2023. ABN AMRO applies the change in classification and measurement retrospectively. Furthermore, ABN AMRO has a captive insurance entity (ABN AMRO Captive N.V.) and two equity accounted insurance entities (Neuflize Vie S.A. and Nationale Nederlanden \u2013 ABN AMRO Verzekeringen Holding B.V.). IFRS 17 has an impact on the shareholders\u2019 equity, net result, presentation and disclosures of these entities.The total IFRS 17 impact on the opening equity balance (retained earnings) of 2023 is approximately EUR 200 million, mainly because the fair value of the equity release mortgages as of 1 January 2023 is significantly below the carrying amount at amortised cost due to the increased mortgage rates. Onerous Contracts \u2013 Costs of Fulfilling a Contract \u2013 Amendments to IAS 37 In May 2020, the IASB issued amendments to IAS 37 to specify which costs an entity needs to include when assessing whether a contract is onerous or loss-making. The amendments apply a \u2018directly related cost approach\u2019. The costs that relate directly to a contract to provide goods or services include both incremental costs and an allocation of costs directly related to contract activities. The amendments are effective for annual reporting periods beginning on or after 1 January 2022. Based on the amendments, certain other directly related costs have been included by ABN AMRO in the measurement of provisions in scope of IAS 37. New standards, amendments and interpretations not yet endorsed The International Accounting Standards Board issued the following amendments to existing standards that are not yet endorsed by the EU. It is expected that these amendments will become effective for the reporting period beginning 1 January 2024. Since the amendments are not yet endorsed these changes are not open for early adoption. The standards amended are: IAS 1 Classification of liabilities as current or non-current; IFRS 16 Lease liability in a sale and lease back. The expected impact of these changes on the consolidated financial statements is insignificant. ", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-9": { "value": "1 Accounting policies Changes in accounting policies and presentation Changes in accounting policies The International Accounting Standards Board issued several amendments to existing standards (and endorsed by the EU), which become effective for the reporting period beginning 1 January 2023. The standards amended are: IAS 1 Disclosure of accounting policies; IAS 8 Definition of accounting estimate; IAS 12 Deferred Tax related to Assets and Liabilities arising from a Single Transaction. The impact of these amendments on the consolidated financial statements are insignificant. IFRS 17 \u2013 Insurance Contracts In May 2017, the IASB issued IFRS 17 Insurance Contracts (IFRS 17), a comprehensive new accounting standard for insurance contracts covering recognition and measurement, presentation and disclosure. IFRS 17 will replace IFRS 4 Insurance Contracts (IFRS 4) that was issued in 2005. IFRS 17 applies to all types of insurance contracts (i.e., life, non-life, direct insurance and re-insurance), regardless of the type of entities that issue them, as well as to certain guarantees and financial instruments with discretionary participation features. A few scope exceptions will apply. IFRS 17 introduces new accounting requirements for banking products with insurance features that may affect the determination of which instruments or which components thereof will be in the scope of IFRS 9 or IFRS 17.IFRS 17 is effective for reporting periods beginning on or after 1 January 2023, with comparative figures required. ABN AMRO does not apply for an early application of IFRS 17.ABN AMRO has completed the assessment of the impacts of adopting IFRS 17. ABN AMRO offers limited banking products with significant insurance risk embedded, such as equity release mortgages and loans with a death waiver, and has assessed that the impact of IFRS 17 on these insurance contracts is not material, except for the equity release mortgage.Currently, ABN AMRO applies unbundling of the loan component from the insurance contract for equity release mortgage, which was permitted in accordance with IFRS 4. The loan component was measured at amortised cost in accordance with IFRS 9 and the insurance component, the No Negative Equity Guarantee (NNEG), as an insurance contract in accordance with IFRS 4, which meant the measurement was based on IAS 37.In accordance with the currently issued IFRS 17, unbundling of the loan component from the insurance contract is not permitted anymore. For loan contracts (such as equity release mortgages and loans with a death waiver) that meet the definition of insurance but limit the compensation for insured events to the amount otherwise required to settle the policyholder\u2019s obligation created by the contract, the issuers of such loans, have an option to apply IFRS 9 or IFRS 17. The election would be made at a portfolio level and would be irrevocable. ABN AMRO\u2019s policy is to apply IFRS 9 to such loans. Since ABN AMRO has chosen to apply IFRS 9 to the equity release mortgage, these loans in their entirety, i.e. including the NNEG feature, do not meet the SPPI criterion. Therefore they should be measured in their entirety at fair value through profit or loss as of 1 January 2023. ABN AMRO applies the change in classification and measurement retrospectively. Furthermore, ABN AMRO has a captive insurance entity (ABN AMRO Captive N.V.) and two equity accounted insurance entities (Neuflize Vie S.A. and Nationale Nederlanden \u2013 ABN AMRO Verzekeringen Holding B.V.). IFRS 17 has an impact on the shareholders\u2019 equity, net result, presentation and disclosures of these entities.The total IFRS 17 impact on the opening equity balance (retained earnings) of 2023 is approximately EUR 200 million, mainly because the fair value of the equity release mortgages as of 1 January 2023 is significantly below the carrying amount at amortised cost due to the increased mortgage rates. Onerous Contracts \u2013 Costs of Fulfilling a Contract \u2013 Amendments to IAS 37 In May 2020, the IASB issued amendments to IAS 37 to specify which costs an entity needs to include when assessing whether a contract is onerous or loss-making. The amendments apply a \u2018directly related cost approach\u2019. The costs that relate directly to a contract to provide goods or services include both incremental costs and an allocation of costs directly related to contract activities. The amendments are effective for annual reporting periods beginning on or after 1 January 2022. Based on the amendments, certain other directly related costs have been included by ABN AMRO in the measurement of provisions in scope of IAS 37. New standards, amendments and interpretations not yet endorsed The International Accounting Standards Board issued the following amendments to existing standards that are not yet endorsed by the EU. It is expected that these amendments will become effective for the reporting period beginning 1 January 2024. Since the amendments are not yet endorsed these changes are not open for early adoption. The standards amended are: IAS 1 Classification of liabilities as current or non-current; IFRS 16 Lease liability in a sale and lease back. The expected impact of these changes on the consolidated financial statements is insignificant. ", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesAccountingEstimatesAndErrorsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-10": { "value": "1 Accounting policies Critical accounting estimates and judgements In preparing the financial statements, management needs to exercise its judgement in the process of applying ABN AMRO\u2019s accounting policies and make estimates and assumptions concerning the future. Actual results may differ from those estimates and assumptions. Accounting policies for the most significant areas that require management to make judgements and estimates affecting reported amounts and disclosures are made in the following sections: Impairment losses on financial assets measured at AC - Risk, funding & capital management section Income tax expense, tax assets and tax liabilities - Note 11 Impairment of instruments measured at FVOCI - Note 17 Fair value of financial instruments - Note 19 Impairment of ROU assets and goodwill - Note 24 Provisions - Note 30 The year 2022 saw the outbreak of the war in Ukraine, while the impact of Covid-19 became less pronounced. Additionally, energy prices have risen significantly in ABN AMRO\u2019s major markets. These developments could impact the estimated expected credit losses of the financial instruments in scope of IFRS 9. The impact on the estimates and assumptions is disclosed in more detail in the Risk, funding & capital management section. Critical accounting estimates and judgements Interest-bearing debt securities classified as FVOCI investments are assessed at each reporting date to establish whether there are any expected credit losses. ABN AMRO has developed models to determine such credit losses. Impairment charges on FVOCI instruments are recorded in (un)realised gains/(losses) fair value through OCI in the statement of comprehensive income. ", "dimensions": { "concept": "ifrs-full:DisclosureOfAccountingJudgementsAndEstimatesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-11": { "value": "1 Accounting policies Financial assets and liabilities Government grants Government grants are recognised in the income statement on a systematic basis over the periods that the related expenses, which the grants are intended to compensate, are recognised. In the case of an income-related grant, the grant is deducted from the related expense. On 23 November and 21 December 2022, ABN AMRO partly repaid the TLTRO III funding in the amounts of EUR 8.0 billion and EUR 13.0 billion, respectively. On 31 December 2022, an amount of EUR 14.0 billion remained outstanding, of which EUR 11.0 billion matures in June 2023 and EUR 3.0 billion matures in June 2024. The repayments followed the change made by the ECB in the TLTRO III interest rate terms and conditions. 27 Due to banks Accounting policy for due to banks and due to customers Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the instrument. ", "dimensions": { "concept": "ifrs-full:DisclosureOfGovernmentGrantsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-12": { "value": "1 Accounting policies Assessment of risks, rewards and control Whenever ABN AMRO is required to assess risks, rewards and control, as well as when considering the recognition and derecognition of assets or liabilities and the consolidation or deconsolidation of subsidiaries, it may sometimes be required touse judgement. Although management uses its best knowledge of current events and actions in making such assessments, the actual risks, rewards and control may ultimately differ. Significant accounting policies Basis of consolidation The Consolidated Annual Financial Statements of ABN AMRO Bank N.V. include the financial statements of the parent company and its controlled entities, thus incorporating the assets, liabilities, revenues and expenses of ABN AMRO Bank N.V. and its subsidiaries. Non-controlling interests (held by third parties) in the equity and results of group companies are presented separately in the Consolidated Annual Financial Statements. Subsidiaries are included using the same reporting period and consistent accounting policies. Intercompany balances and transactions, as well as any related unrealised gains and losses, are eliminated in preparing the Consolidated Financial Statements. Unrealised gains arising from transactions with associates and jointly controlled entities are eliminated to the extent of ABN AMRO\u2019s interest in the entities. Unrealised losses are also eliminated unless the transaction provides evidence of impairment in the asset transferred. ", "dimensions": { "concept": "ifrs-full:DisclosureOfBasisOfConsolidationExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-17": { "value": "1 Accounting policies Basis of preparationThe Annual Financial Statements are presented in euros, which is the presentation currency of ABN AMRO, rounded to the nearest million (unless otherwise stated).", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFunctionalCurrencyExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-18": { "value": "1 Accounting policies Foreign currency ABN AMRO applies IAS 21 The Effects of Changes in Foreign Exchange Rates. Transactions in foreign currencies are translated into euros at the rate prevailing on the transaction date. Foreign currency balances of monetary items are translated into euros at period-end exchange rates. Exchange gains and losses on such balances are recognised in the income statement. The Consolidated Annual Financial Statements are stated in euros, which is the presentation and functional currency of ABN AMRO. The bank\u2019s foreign operations may have different functional currencies. The functional currency is the currency that best reflects the economic substance of the underlying event and circumstances relevant to that entity. Prior to consolidation (or equity accounting), the assets and liabilities of non-euro operations are translated into euros at the closing rate, and items in the income statement and other comprehensive income are translated at the rate prevailing on the transaction dates. Exchange differences arising on the translation of foreign operations are included in the currency translation reserve within equity. These are transferred to the income statement when the bank loses control, joint control or significant influence over the foreign operation. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForForeignCurrencyTranslationExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-19": { "value": "1 Accounting policies Financial assets and liabilities Classification and measurement of financial assets Reclassifications of financial assets are expected to be very infrequent and occur only when ABN AMRO changes its business model for a certain portfolio of financial assets. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForReclassificationOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-20": { "value": "1 Accounting policies Financial assets and liabilities Recognition and derecognition Traded instruments are recognised on the trade date, which is defined as the date on which ABN AMRO commits to purchase or sell the underlying instrument. If the settlement terms are non-standard, the commitment is accounted for as a derivative between the trade and settlement dates. Loans and advances are recognised when they are acquired or funded by ABN AMRO and derecognised when settled. Issued debt is recognised when issued, and deposits are recognised when the cash is deposited with ABN AMRO. Other financial assets and liabilities, including derivatives, are recognised when ABN AMRO becomes a party to the contractual provisions of the asset or liability. Financial assets are derecognised when ABN AMRO loses control and the ability to obtain benefits from the contractual rights that comprise that asset. This occurs when the rights are realised or expire, or when substantially all risks and rewards are transferred. Financial assets are also derecognised if the bank has neither transferred nor retained substantially all risks and rewards of ownership, but control has passed to the transferee. Financial assets continue to be recognised in the balance sheet, and a liability recognised for the proceeds of any related funding transaction, unless a fully proportional share of all or specifically identified cash flows are transferred to the lender without material delay and the lender\u2019s claim is limited to those cash flows, and substantially all the risks, rewards and control associated with the financial instruments, that have been transferred, in which case that proportion of the asset is derecognised. When the terms and conditions of a financial asset have been renegotiated or otherwise modified to the extent that, substantially, it becomes a new financial asset, ABN AMRO derecognises the financial asset, with the difference recognised in the income statement, to the extent that an impairment loss has not already been recorded. The newly recognised financial asset is classified as stage 1 for ECL measurement purposes. ABN AMRO assesses, in both qualitative and quantitative terms, whether such modifications are substantial. Generally, a 10% change in the net present value of the cash flows between the initial and new contract results in a derecognition. With regard to substantial modifications, e.g. due to forbearance measures, the derecognition gains or losses are recognised in net gains/(losses) on derecognition of financial assets measured at amortised cost and disclosed separately, if material. If the modification of the financial asset does not result in derecognition, the gross carrying amount of the financial asset is recalculated, based on the net present value of the new contractual cash flows, and discounted at the financial asset\u2019s original effective interest rate. The effect is recognised and disclosed as a modification loss in the income statement. Credit related modification gains or losses (i.e. due to forbearance measures) are recognised in the income statement and presented under impairment charges on financial instruments. Non-credit related modification gains or losses are recognised in the income statement and presented under interest income calculated using the effective interest method. Financial liabilities are derecognised when the liability has been settled, has expired or has been extinguished. An exchange of an existing financial liability for a new liability with the same lender on substantially different terms, qualitatively and quantitatively (a 10% difference in the present value of the cash flows), is accounted for as an extinguishment of the original financial liability and recognition of a new financial liability. The difference between the former amortised cost and the consideration paid is recognised in the income statement. 8 Net gains/(losses) on derecognition of financial assets measured at amortised cost Accounting policy derecognition of financial assets The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses recognised on the sale or derecognition of these financial assets, calculated as the difference between the carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerecognitionOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-21": { "value": "1 Accounting policies Financial assets and liabilities Statement of cash flows For the purposes of the statement of cash flows, cash and cash equivalents comprise cash on hand, freely available balanceswith central banks and other banks, and net balances on current accounts with other banks with a maturity of less than threemonths from the date of acquisition. The statement of cash flows, based on the indirect method of calculating operating cash flows, gives details of the source of cash and cash equivalents which became available during the year and the applicationof these cash and cash equivalents over the course of the year. The cash flows are analysed into cash flows from operations, including banking activities, investment activities and financing activities. Movements in loans and advances and interbank deposits are included in the cash flow from operating activities. Investment activities are comprised of acquisitions, sales and redemptions in respect of financial investments, as well as investments in, and sales of, subsidiaries and associates, property and equipment. The issuing of shares and the borrowing and repayment of long-term funds are treated as financing activities. Cash flows arising from foreign currency transactions are translated into euros using the exchange rates at the date of the cash flows. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForCashFlowsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-163-22": { "value": "1 Accounting policies Financial assets and liabilities Statement of cash flows For the purposes of the statement of cash flows, cash and cash equivalents comprise cash on hand, freely available balanceswith central banks and other banks, and net balances on current accounts with other banks with a maturity of less than threemonths from the date of acquisition. The statement of cash flows, based on the indirect method of calculating operating cash flows, gives details of the source of cash and cash equivalents which became available during the year and the applicationof these cash and cash equivalents over the course of the year. The cash flows are analysed into cash flows from operations, including banking activities, investment activities and financing activities. Movements in loans and advances and interbank deposits are included in the cash flow from operating activities. Investment activities are comprised of acquisitions, sales and redemptions in respect of financial investments, as well as investments in, and sales of, subsidiaries and associates, property and equipment. The issuing of shares and the borrowing and repayment of long-term funds are treated as financing activities. Cash flows arising from foreign currency transactions are translated into euros using the exchange rates at the date of the cash flows. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyToDetermineComponentsOfCashAndCashEquivalents", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "f78123": { "value": "ABN AMRO Bank N.V.", "dimensions": { "concept": "ifrs-full:NameOfReportingEntityOrOtherMeansOfIdentification", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "f78124": { "value": "ABN AMRO Bank N.V.", "dimensions": { "concept": "ifrs-full:NameOfParentEntity", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "f78138": { "value": "the Netherlands and abroad", "dimensions": { "concept": "ifrs-full:PrincipalPlaceOfBusiness", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "f78146": { "value": "public limited liability company", "dimensions": { "concept": "ifrs-full:LegalFormOfEntity", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "f78153": { "value": "the Netherlands", "dimensions": { "concept": "ifrs-full:DomicileOfEntity", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "f78154": { "value": "the Netherlands", "dimensions": { "concept": "ifrs-full:CountryOfIncorporation", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-178-2": { "value": "Gustav Mahlerlaan 10, 1082 PP Amsterdam, the Netherlands", "dimensions": { "concept": "ifrs-full:AddressOfRegisteredOfficeOfEntity", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "f78214": { "value": "ABN AMRO provides a broad range of financial services to retail, private and corporate banking clients.", "dimensions": { "concept": "ifrs-full:DescriptionOfNatureOfEntitysOperationsAndPrincipalActivities", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-388-4": { "value": "Government grants Government grants are recognised in the income statement on a systematic basis over the periods that the related expenses, which the grants are intended to compensate, are recognised. In the case of an income-related grant, the grant is deducted from the related expense. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForGovernmentGrants", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-395-2": { "value": "2 Segment reporting Accounting policy for segment reporting The segment reporting is in accordance with IFRS 8 Operating Segments. The segments are reported in a manner consistent with internal reporting provided to the Executive Board, which is responsible for allocating resources and assessing performance and has been identified as the chief operating decision-maker. All transactions between segments are eliminated as intersegment revenues and expenses in Group Functions. Geographical data are presented according to the management view. Segment assets, liabilities, income and results are measured based on our accounting policies and include items directly attributable to a segment, as well as those that can be allocated on a reasonable basis. Transactions between segments are conducted on an arm\u2019s length basis. Interest income is reported as net interest income because management primarily relies on net interest income as a performance measure, not gross income and expense. Change in reportable segments Effective from the start of 2022, ABN AMRO has simplified and centralised its operating model. The organisational structure has also been strengthened and simplified by replacing the four business lines with three units structured around client segments (the \u2018client units\u2019). ABN AMRO has realigned the new organisational structure with internal reporting to the Executive Board (CODM): H Retail Banking and part of Commercial Banking have been combined to form Personal & Business Banking; \u00c5 Private Banking has been replaced by Wealth Management; \u00c5 Corporate & Institutional Banking and part of Commercial Banking have been combined to form Corporate Banking. The prior-period figures in the financial information for these segments, as included in the Performance (and Segment Reporting Note) section of this report, have been restated accordingly. Personal & Business Banking This client unit serves consumer and business clients with banking and partner offerings, providing the convenience of digital interactions and access to expertise when it matters most. Wealth Management The Wealth Management client unit delivers outstanding expertise with tailored value propositions for wealthy clients, focusing on investment advice, financial planning and real estate financing. Corporate Banking This expertise-driven client unit delivers tailored financing, capital structuring and transaction banking solutions for medium-sized and large corporate clients and financial institutions. Corporate Banking also offers Entrepreneur & Enterprise as a bank-wide service concept for business and wealthy clients, in close collaboration with Wealth Management. Group Functions Group Functions consists of the following support function departments: Finance, Risk Management, Innovation & Technology, Human Resources, Group Audit, Legal & Corporate Office, Brand Marketing & Communications, Strategy & Innovation and a Sustainability Centre of Excellence. Group Functions is not a client unit, but part of the reconciliation. The majority of Group Functions\u2019 costs are allocated to the client units. Segment income statement for the year 2022 2022 Personal & Business Wealth Corporate Group (in millions) Banking Management Banking Functions Total Income Net interest income 2,707 764 2,112 -161 5,422 Net fee and commission income 526 595 682 -25 1,778 Net income from other operating activities 78 99 11 7 -44 249 Net trading income 10 272 282 Share of result in equity-accounted investments 13 19 75 1 107 Net gains/(losses) on derecognition of financial assets measured at amortised cost -12 14 1 Operating income 3,334 1,477 3,246 -216 7,841 Expenses Personnel expenses 463 390 600 1,004 2,458 General and administrative expenses 660 208 461 1,466 2,796 Depreciation, amortisation and impairment losses of tangible and intangible assets 6 28 10 128 172 Intersegment revenues/expenses 1,529 381 679 -2,588 Operating expenses 2,658 1,007 1,750 11 5,425 Impairment charges on financial instruments 73 29 -68 5 39 Total expenses 2,731 1,036 1,682 15 5,464 Profit/(loss) before taxation 603 440 1,564 -231 2,376 Income tax expense 144 93 365 -93 509 Profit/(loss) 459 347 1,199 -138 1,867 Attributable to: Owners of the parent company 459 347 1,199 -138 1,868 Segment income statement for the year 2021 2021 Personal & Business Wealth Corporate Group (in millions) Banking Management Banking Functions Total Income Net interest income 2,502 634 1,875 198 5,210 Net fee and commission income 438 601 645 -21 1,664 Net income from other operating activities 23 33 101 507 663 Net trading income -2 197 -50 145 Share of result in equity-accounted investments 12 14 -3 23 Net gains/ (losses) on derecognition of financial assets measured at amortised cost -106 -2 -108 Operating income 2,974 1,283 2,709 632 7,597 Expenses Personnel expenses 462 387 602 873 2,324 General and administrative expenses 769 198 447 1,874 3,287 Depreciation, amortisation and impairment losses of tangible and intangible assets 5 28 18 143 194 Intersegment revenues/expenses 1,440 343 679 -2,462 Operating expenses 2,677 956 1,746 427 5,806 Impairment charges on financial instruments -23 -6 -15 -3 -46 Total expenses 2,654 950 1,731 425 5,759 Profit/(loss) before taxation 320 333 978 207 1,838 Income tax expense 92 95 247 169 604 Profit/(loss) 228 238 730 38 1,234 Attributable to: Owners of the parent company 228 238 730 35 1,231 Non-controlling interests 3 3 Total bank Net interest income increased by EUR 213 million to EUR 5,422 million in 2022, compared with EUR 5,210 million in 2021. Excluding large incidentals, net interest income decreased by EUR 70 million, mainly due to a significant decrease in mortgage prepayment penalties, lower Treasury results and asset margin pressure (in residential mortgages and consumer loans), partly offset by higher interest margins on deposits in the final quarter of 2022, recorded in all client units. Net fee and commission income increased by EUR 114 million to EUR 1,778 million in 2022. This increase related mainly to higher transaction volumes and pricing from personal clients, improved credit card usage in ICS and higher transaction volumes at Clearing due to increased market volatility throughout 2022. Net income from other operating activities amounted to EUR 249 million in 2022 (2021: EUR 663 million), mainly due to large incidentals in 2022 (loss due to the change in the TLTRO III terms and conditions) and 2021 (gain on the sale and leaseback of the Amsterdam head office). Net trading income increased by EUR 137 million to EUR 282 million, mainly due to positive trading results at Global Markets (impacted by the significant increase in interest rates and FX developments throughout 2022) and higher CVA/DVA/FVA results (EUR 60 million in 2022 versus EUR 46 million in 2021). Share of result in equity-accounted investments increased by EUR 84 million in 2022, mainly due to the transaction gain on the divestment of the MP Solar stake in Q3. Derecognition of financial assets was nil for the year. Last year there was a significant discount to book value on a loan disposal as part of the wind-down of the CIB non-core portfolio, booked in Q2 2021. Personnel expenses increased by EUR 134 million to EUR 2,458 million in 2022 (2021: EUR 2,324 million). Excluding large incidentals, these expenses increased by EUR 100 million, mainly due to the 4% salary increase agreed under the new CLA and higher FTE for AML-related activities, IT and strategy execution throughout 2022. General and administrative expenses decreased by EUR 491 million to EUR 2,796 million in 2022 (EUR 3,287 million in 2021). Excluding large incidentals, general and administrative expenses decreased by EUR 57 million, mainly due to lower regulatory levies and lower expenses from external staffing, partly related to our AML activities. Depreciation and amortisation decreased by EUR 22 million in 2022, mainly due to a decrease in building and equipment depreciation. Impairment charges recorded an addition of EUR 39 million for 2022 (2021: release of EUR 46 million), resulting in a cost of risk of 3bps in 2022, compared to -7bps in 2021. Charges were attributable to a more unfavourable economic scenario during the year, partly offset by releases from management overlays and releases in the existing stage 3 portfolio. The releases in stage 3 can be largely attributed to better performance of the existing defaulted portfolio, repayments of stage 3 loans, outflow to the performing portfolio and recoveries. There was no revenue from transactions with a single external client or counterparty exceeding 10% of the bank\u2019s total revenue in 2022 or 2021. Personal & Business Banking Net interest income increased to EUR 2,707 million (2021: EUR 2,502 million). Excluding large incidentals, net interest income increased mainly due to improved deposit interest margins. Net fee and commission income rose to EUR 526 million (2021: EUR 438 million), reflecting recovery in credit card usage (ICS) and higher payment service income (due to higher pricing and transaction volume). Net income from other operating activities was EUR 78 million in 2022 (2021: EUR 23 million), mainly reflecting results from divestments. Personnel expenses amounted to EUR 463 million in 2022 (2021: EUR 462 million). The impact of the new CLA was fully mitigated by a decrease in employee FTEs. General and administrative expenses decreased by EUR 109 million, totalling EUR 660 million, in 2022. Excluding incidentals, the decrease was mainly due to lower regulatory levies and lower expenses for external staff. Impairment charges recorded a charge of EUR 73 million in 2022 (2021: release of EUR 23 million), mainly due to model-based additions because macroeconomic variables deteriorated throughout the year. Wealth Management Net interest income increased by EUR 130 million and amounted to EUR 764 million in 2022. This increase was mainly attributable to improved margins on deposits due to rising interest rates. Net fee and commission income remained nearly flat, amounting to EUR 595 million (2021: EUR 601 million) as stock markets opened to a strong start in 2022 but then declined throughout the year. Net income from other operating activities totalled EUR 99 million in 2022, an increase of EUR 66 million. This was mainly due to the results from the sale of ABN AMRO Pensioeninstelling. Personnel expenses remained nearly flat at EUR 390 million in 2022 (2021: EUR 387 million).The impact of the new CLA in the last quarter of 2022 was partly mitigated by staff-related provision releases. General and administrative expenses slightly increased by EUR 10 million to EUR 208 million in 2022, mainly due to higher IT expenses and provision amounts, which were offset by lower regulatory levies and lower expenses for external staff. Impairment charges recorded a charge of EUR 29 million in 2022 (2021: a release of EUR 6 million), reflecting both model-based increases and stage 3 additions. Corporate Banking Net interest income increased to EUR 2,112 million in 2022 (2021: EUR 1,875 million), mainly due to a EUR 289 million increase in CB core, reflecting business growth (increased lending volume) and improved deposit margins. This was partially offset by a EUR 52 million decrease in CB non-core due to the successful wind-down. Net fee and commission income recorded an increase of EUR 37 million, mainly at Clearing and due to increased market volatility throughout 2022. Net income from other operating activities was EUR 117 million (2021: EUR 101 million), mainly reflecting positive equity stake revaluations, partly offset by a decrease in the result from private equity investments. Share of result in equity-accounted investments increased by EUR 78 million in 2022, mainly due to the gain on the divestment of the MP Solar stake in Q3. Net trading income increased by EUR 75 million to EUR 272 million, mainly due to positive trading results at Global Markets (impacted by the significant increase in interest rates and FX developments throughout 2022) and higher CVA/DVA/FVA results (EUR 60 million in 2022 versus EUR 46 million in 2021). Derecognition of financial assets came out at EUR 12 million negative in 2022 (2021: EUR 106 million negative). The figure for 2021 includes a significant discount to book value, booked in Q2 2021, on a loan disposal as part of the wind-down of the CIB non-core portfolio. Personnel expenses remained flat at EUR 600 million in 2022, compared to EUR 602 million in 2021. The impact of the new CLA was fully mitigated by releases on staff-related provisions and a decrease in employee FTEs. General and administrative expenses increased by EUR 14 million to EUR 461 million in 2022, mainly due to an increase in staff-related costs and expenses for external staff. Impairment charges recorded a net release of EUR 68 million in 2022 (2021: EUR 15 million release), mainly due to Stage 3 releases throughout 2022. Group Functions Net interest income decreased by EUR 359 million to EUR 161 million negative in 2022 (2021: EUR 198 million), mainly due to lower treasury results and lower mortgage prepayment penalties. Net income from other operating activities decreased by EUR 551 to EUR 44 million negative in 2022 (2021: EUR 507 million) mainly due to large incidentals and volatile items in both years. Personnel expenses increased by EUR 131 million to EUR 1,004 million in 2022, mainly due to the upscaling of AML activities reflected in the increase in employee FTEs and the impact of the new CLA. General and administrative expenses decreased by EUR 408 million to EUR 1,466 million in 2022 (2021: EUR 1,874 million). This was due to the AML settlement in 2021 (EUR 480 million), partly offset by additional provisions for AML remediation activities in 2022. Selected assets and liabilities per segment 31 December 2022 Personal & Business Wealth Corporate Group (in millions) Banking Management Banking Functions Total Assets Financial assets held for trading 1 907 907 Derivatives 1 4,836 375 5,212 Securities financing 6,545 13,487 20,032 Residential mortgages 144,537 6,072 -9,489 141,121 Consumer loans 4,588 4,725 642 9,955 Corporate loans 8,617 6,172 69,751 820 85,360 Other loans and advances customers 40 11 7,316 124 7,491 Other 1,687 1,873 11,071 94,872 109,503 Total assets 159,469 18,856 101,068 100,189 379,581 Liabilities Financial liabilities held for trading 641 641 Derivatives 8 15 3,664 461 4,148 Securities financing 47 9,605 9,652 Current accounts 47,828 25,534 48,104 565 122,030 Demand deposits 69,065 28,549 2,782 100,397 Time deposits 5,902 10,473 7,310 6,411 30,096 Other due to customers 123 2,367 2 2,491 Other 36,543 -45,715 36,153 60,330 87,311 Total liabilities 159,469 18,856 101,068 77,375 356,767 31 December 2021 Personal & Business Wealth Corporate Group (in millions) Banking Management Banking Functions Total Assets Financial assets held for trading 1,155 1,155 Derivatives 15 3,002 768 3,785 Securities financing 5,624 10,514 16,138 Residential mortgages 141,098 5,171 1,442 147,711 Consumer loans 5,318 4,937 263 10,518 Corporate loans 9,376 5,739 68,706 1,193 85,014 Other loans and advances customers 31 6 14,858 11 3 15,008 Other 1,673 2,538 11,247 104,327 119,784 Total assets 157,495 18,405 104,856 118,357 399,113 Liabilities Financial liabilities held for trading 687 687 Derivatives 4 3,542 798 4,344 Securities financing 2 9,493 9,494 Current accounts 42,898 29,457 59,875 753 132,983 Demand deposits 68,155 30,428 207 98,790 Time deposits 6,057 3,449 3,867 5,408 18,780 Other due to customers 166 478 21 665 Other 40,219 -44,932 36,199 79,886 111,371 Total liabilities 157,495 18,405 104,856 96,358 377,114 Geographical segments 2022 The Rest of Rest of (in millions) Netherlands Europe USA Asia the world Total Income Net interest income 4,943 335 75 38 31 5,422 Net fee and commission income 1,223 349 108 92 7 1,778 Net income from other operating activities 177 38 10 6 19 249 Net trading income 312 -2 -28 282 Share of result in equity-accounted investments 88 19 107 Net gains/ (losses) on derecognition of financial assets measured at amortised cost -10 -4 14 1 1 Operating income 6,732 741 187 151 30 7,841 Expenses Personnel expenses 1,967 333 95 45 17 2,458 General and administrative expenses 2,554 182 33 17 10 2,796 Depreciation and amortisation of tangible and intangible assets 144 31 -2 -2 1 172 Intersegment revenues/expenses 35 -30 1 8 -14 Operating expenses 4,700 516 127 69 14 5,425 Impairment charges on financial instruments 76 12 -42 -7 -1 39 Total expenses 4,776 528 85 62 14 5,464 Profit/(loss) before taxation 1,957 213 102 89 16 2,376 Income tax expense 424 40 29 12 4 509 Profit/(loss) 1,533 173 73 77 12 1,867 Attributable to: Owners of the parent company 1,533 173 73 77 12 1,868 Non-controlling interests 2021The Rest of Rest of (in millions) Netherlands Europe USA Asia the world Total Income Net interest income 4,796 259 93 47 14 5,210 Net fee and commission income 1,137 346 92 80 9 1,664 Net income from other operating activities 629 35 5 4 -9 663 Net trading income 227 -90 -1 9 145 Share of result in equity-accounted investments 9 14 23 Net gains/ (losses) on derecognition of financial assets measured at amortised cost 7 -12 -119 7 8 -108 Operating income 6,806 552 70 138 31 7,597 Expenses Personnel expenses 1,827 320 99 59 20 2,324 General and administrative expenses 3,043 182 34 19 9 3,287 Depreciation and amortisation of tangible and intangible assets 160 31 3 194 Intersegment revenues/expenses 6 1 5 -12 Operating expenses 5,030 540 134 85 17 5,806 Impairment charges on financial instruments -107 17 45 -3 2 -46 Total expenses 4,923 557 179 82 18 5,759 Profit/(loss) before taxation 1,884 -6 -109 55 13 1,838 Income tax expense 566 11 16 12 -2 604 Profit/(loss) 1,317 -17 -125 43 15 1,234 Attributable to: Owners of the parent company 1,315 -17 -125 43 15 1,231 Non-controlling interests 3 3 ", "dimensions": { "concept": "ifrs-full:DisclosureOfEntitysReportableSegmentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-395-4": { "value": "2 Segment reporting Accounting policy for segment reporting The segment reporting is in accordance with IFRS 8 Operating Segments. The segments are reported in a manner consistent with internal reporting provided to the Executive Board, which is responsible for allocating resources and assessing performance and has been identified as the chief operating decision-maker. All transactions between segments are eliminated as intersegment revenues and expenses in Group Functions. Geographical data are presented according to the management view. Segment assets, liabilities, income and results are measured based on our accounting policies and include items directly attributable to a segment, as well as those that can be allocated on a reasonable basis. Transactions between segments are conducted on an arm\u2019s length basis. Interest income is reported as net interest income because management primarily relies on net interest income as a performance measure, not gross income and expense. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSegmentReportingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-403-2": { "value": "3 Overview of financial assets and liabilities by measurement base 31 December 2022 Fair value Fair value Fair value Amortised through profit or through profit or through other (in millions) cost loss - trading loss - other comprehensive income Total Financial assets Cash and balances at central banks 60,865 60,865 Financial assets held for trading 907 907 Derivatives 4,831 381 5,212 Financial investments 626 38,408 39,034 Securities financing 20,032 20,032 Loans and advances banks 2,982 2,982 Loans and advances customers 243,861 66 243,927 Other financial assets 3,457 3,457 Total financial assets 331,198 5,739 1,072 38,408 376,417 Financial liabilities Financial liabilities held for trading 641 641 Derivatives 3,671 477 4,148 Securities financing 9,652 9,652 Due to banks 17,509 17,509 Due to customers 255,015 255,015 Issued debt 56,036 223 56,259 Subordinated liabilities 7,290 7,290 Other financial liabilities 3,127 3,127 Total financial liabilities 348,629 4,312 700 353,641 31 December 2021 Fair value Fair value Fair value Amortised through profit or through profit or through other (in millions) cost loss - trading loss - other comprehensive income Total Financial assets Cash and balances at central banks 66,865 66,865 Financial assets held for trading 1,155 1,155 Derivatives 2,975 810 3,785 Financial investments 580 42,585 43,165 Securities financing 16,138 16,138 Loans and advances banks 2,801 2,801 Loans and advances customers 258,146 104 258,251 Assets held for sale 86 86 Other financial assets 3,257 3,257 Total financial assets 347,207 4,130 1,581 42,585 395,502 Financial liabilities Financial liabilities held for trading 687 687 Derivatives 3,545 799 4,344 Securities financing 9,494 9,494 Due to banks 38,076 38,076 Due to customers 251,218 251,218 Issued debt 58,796 892 59,688 Subordinated liabilities 7,549 7,549 Other financial liabilities 2,844 2,844 Total financial liabilities 367,977 4,231 1,691 373,899 (in millions) 31 December 2022 31 December 2021 Assets Cash on hand and other cash equivalents 342 12 Balances with central banks readily convertible in cash other than mandatory reserve deposits 60,523 66,853 Total cash and balances at central banks 60,865 66,865 13 Cash and balances at central banks Accounting policy for cash and balances at central banks Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits are disclosed in Note 20 Loans and advances banks. 14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. Financial assets held for trading (in millions) 31 December 2022 31 December 2021 Trading securities Government bonds 214 480 Corporate debt securities 681 670 Equity securities 10 3 Total trading securities 906 1,153 Other trading assets 1 2 Total financial assets held for trading 907 1,155 These portfolios consist of primary dealership positions of ABN AMRO Bank N.V. in the respective countries and positions for the purpose of client facilitation. 31 December 2022 Hedge Total Derivatives held for trading Economic hedges accounting derivatives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 51 51 Fair value liabilities 10 10 Notionals 15,853 5 15,858 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,331,761 886 101,439 1,434,086 Other bilateral Fair value assets 4,035 742 3 46 312 23 5,161 Fair value liabilities 2,841 817 3 95 48 334 4,138 Notionals 206,343 54,289 241 661 17,468 89,813 368,814 Total Fair value assets 4,086 742 3 46 312 23 5,212 Fair value liabilities 2,851 817 3 95 48 334 4,148 Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758 Financial liabilities held for trading (in millions) 31 December 2022 31 December 2021 Bonds 609 654 Equity securities 1 Total short security positions 610 654 Other liabilities held for trading 32 33 Total financial liabilities held for trading 641 687 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 31 December 2021 Hedge Total deriva-Derivatives held for trading Economic hedges accounting tives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 4 4 Fair value liabilities 3 3 Notionals 4,217 9 1 4,226 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,026,420 1,195 106,305 1,133,920 Other bilateral Fair value assets 2,385 509 78 68 177 13 552 3,781 Fair value liabilities 2,865 563 113 143 11 8 3 535 4,341 Notionals 148,764 48,213 1,498 1,048 10,621 74 59,651 269,869 Total Fair value assets 2,388 509 78 68 177 13 552 3,785 Fair value liabilities 2,866 567 113 143 11 8 3 535 4,344 Notionals 1,179,401 48,222 1,499 2,243 10,621 74 165,956 1,408,016 16 Hedge accounting Accounting policy for hedge accounting ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties to hedge risks on assets, liabilities and net investments. The accounting treatment of the hedged item and the hedging instrument depends on whether the hedge relationship qualifies for hedge accounting. Qualifying hedges may be designated as fair value hedges, cash flow hedges or hedges of net investments. A non-derivative financial asset or liability may be designated as a hedging instrument for hedge accounting purposes only if it hedges the risk of changes in foreign currency exchange rates. The hedged item can be an asset, liability, or net investment in a foreign operation that (a) exposes the entity to the risk of changes in fair value or future cash flows, and (b) is designated as being hedged. The hedged risks are typically changes in interest rates or foreign currency rates. ABN AMRO\u2019s market risk management strategy, which includes interest rate risk and foreign currency risk in the banking book, is described in more detail in the Risk, funding & capital management section. Both at the inception of the hedge and on an ongoing basis, ABN AMRO assesses whether the derivatives designated in each hedging relationship are expected to be and have been highly effective in offsetting changes in the fair value or cash flows of the hedged item. These prospective and retrospective effectiveness tests are performed by using a regression analysis. ABN AMRO applies the following criteria to assess whether the hedging relationship is effective: \u00c5 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and \u00c5 A slope of the regression line is within a range of 0.80-1.25. Hedge ineffectiveness and gains and losses on components of a derivative that are excluded from the assessment of hedge effectiveness are recorded directly in the result from financial transactions as part of other operating income. ABN AMRO discontinues hedge accounting when the hedge relationship has ceased to be effective or is no longer expected to be effective, or when the derivative or hedged item is sold or otherwise terminated. Application of IAS 39 as endorsed by the European Union As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39 as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9. The EU-endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared to the full hedge accounting text of IAS 39. One of these reliefs is that negative credit spreads can be excluded from hedge relationships. ABN AMRO applies this to several micro fair value hedge relationships. Another relief is that the impact of changes in the estimates of the repricing dates is considered ineffective only if it leads to over-hedging. This relief is applied in the macro fair value hedge. Fair value hedges ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges the exposure to changes in the fair value of the hedged item, the hedged item is adjusted in relation to the risk being hedged. Gains or losses on remeasurement of both the hedging instrument and the hedged item are recognised in the income statement as result from financial transactions, which is part of the line item Other operating income. Hedge effectiveness for fair value hedges is measured as the amount by which the changes in the fair value of the hedging instrument are different from the changes in the fair value of the hedged item. When a fair value hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged item is derecognised. Micro fair value hedge accounting Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes in the fair value of fixed-rate assets and fixed-rate liabilities due to changes in market interest rates. The main sources of hedge ineffectiveness in micro fair value hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; \u00c5 The difference in discounting between the hedged item and the hedging instrument; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. Macro fair value hedge accounting ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps. The exposure from this portfolio frequently changes due to new loans originated, contractual repayments and prepayments made by clients in each period. More than one group (or portfolio) of mortgages can be identified as the hedged item within the fixed-rate mortgage portfolio. To ensure an effective matching of hedged items and hedging instruments, ABN AMRO applies a dynamic strategy in which hedged items are de-designated and re-designated on a monthly basis. The hedge accounting relationship is reviewed and re-designated on a monthly basis. Hedged mortgages are fixed-rate mortgages with the following features: \u00c5 denominated in local currency (euros); \u00c5 fixed term to maturity or repricing; \u00c5 pre-payable amortising or fixed principal amounts; \u00c5 fixed interest payment dates; \u00c5 no interest rate options; \u00c5 accounted for on an amortised cost basis. At each designation, the mortgage cash flows are allocated to monthly time buckets, based on the expected maturity dates. ABN AMRO models the maturity dates of mortgages, taking into account the modelled prepayments applied to the contractual cash flows and the maturity dates of the mortgage portfolio. If the interest rate swap notional exceeds the expected mortgage notional in any given month, taking into account the uncertainty of the expected mortgage notional by applying a haircut, mortgages that mature in adjacent buckets are designated to the interest rate swaps. Changes in the fair value of the mortgages that are attributable to the hedged interest rate risk are recognised as fair value adjustments from hedge accounting in the income statement and adjust the carrying amount of the mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value of the interest rate swaps and therefore reduce the profit or loss volatility that would otherwise arise from changes in the fair value of the interest rate swaps alone. At the start of the hedge relationships and at each monthly de-designation, the difference between the fair value attributable to the hedged interest rate risk and the carrying amount of the hedged mortgages is amortised over the remaining life of the hedged item. In addition to the sources of ineffectiveness described for micro fair value hedges, the sources of ineffectiveness specifically for macro hedges are: \u00c5 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent the difference would lead to over-hedging; and \u00c5 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages). Cash flow hedges ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or re-designated, if necessary, to maintain an effective hedge accounting relationship. When a derivative financial instrument hedges the exposure to variability in the cash flows from a hedged item, the effective part of any gain or loss on remeasurement of the hedging instrument is recognised directly in other comprehensive income. Hedge effectiveness for the macro cash flow hedge is measured as the amount by which the changes in the fair value of the interest rate swaps are in excess of changes in the fair value of the expected cash flows in the hedge relationship. Any ineffective part of the cash flow hedge is recognised in other operating income immediately. When a cash flow hedging instrument or hedge relationship is terminated but the hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised in other comprehensive income and are transferred to the income statement when the hedged transaction affects profit or loss. The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that the hedged transaction is no longer expected to occur, the accumulated gains or losses recognised in other comprehensive income are recognised in the income statement immediately. The main sources of hedge ineffectiveness for cash flow hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. The hedged items in the macro cash flow hedge are future cash flows, which are derived from the projected balance sheet. This projected balance sheet takes the contractual terms and conditions of financial assets and liabilities and combines these with estimated prepayments, volume growth rates and interest scenarios. Within the projected balance sheet, assets and liabilities are grouped on the basis of the specific interest rate index on which they reprice (e.g. one month, three months, six months, twelve months). For each repricing index, all assets and liabilities are allocated on a gross basis to monthly buckets in which they reprice up until their maturity. The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped per interest rate index and allocated to monthly repricing buckets until their maturity. The hedge relationship is established by designating the interest rate swap cash flows per bucket to the corresponding bucket of projected cash flows of the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If there are no projected cash flows available in the corresponding bucket for the applicable benchmark rate, the interest rate swap cash flows are designated to projected cash flows in a bucket with a different benchmark. The availability of projected cash flows in the buckets is not constant over time and is therefore evaluated on a monthly basis. Changes in cash flow projections may lead to a revision of the designation. Back-testing is performed on the interest rate risk models. Historical data are used to review the assumptions applied. Hedges of net investments in foreign operations ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net investments in foreign operations. For such hedges, currency translation differences arising on translation of the currency of these instruments to euros are recognised directly in the currency translation reserve in other comprehensive income, insofar as they are effective. The accumulated gains or losses recognised in other comprehensive income are transferred to the income statement on the disposal of the foreign operation. In previous years, ABN AMRO hedged its currency exposure to certain investments in foreign operations by hedging its net investment in these foreign operations with forward contracts. ABN AMRO currently still holds some currency translation reserve for these respective positions, but no longer applies net investment hedge accounting. Hedges not qualifying for hedge accounting The fair value changes of derivative transactions used to hedge against economic risk exposures that do not qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised directly in profit or loss. Effect on financial position and performance - hedging instruments Changes in fair value Line item in the used for calculation Notional statement of hedge ineffectiveness amount Carrying amount financial position for the year (in millions) Assets Liabilities 31 December 2022 Cash flow hedges - macro Interest rate 50,106 Derivatives 777 Fair value hedges - macro Interest rate 47,759 Derivatives 11,020 Fair value hedges - micro Interest rate 93,387 23 334 Derivatives -4,007 Economic hedges Total economic hedges 19,014 358 143 Derivatives n/a 31 December 2021 Cash flow hedges - macro Interest rate 25,269 Derivatives 443 Fair value hedges - macro Interest rate 46,278 Derivatives 1,610 Fair value hedges - micro Interest rate 94,409 552 535 Derivatives -1,063 Economic hedges Total economic hedges 12,938 258 264 Derivatives n/a The deltas in the hedge accounting numbers are largely caused by interest rate developments in 2022. Starting Q2 2022 a hedge relationship was in place for the TLTRO programme. After the change in conditions by ECB in Q4 2022 the hedge relationship had to be terminated. All hedge adjustments have been reverted and the result on the hedges are reported under other income. Please refer to Note 6, Net income from other operating activities, for further details. Effect on financial position and performance - hedged item Change in value used Accumulated Line item in for calculating Cash flow hedge amount of fair value the statement hedge reserve/Foreign Carrying amount hedge adjustments of financial ineffectiveness currency translation of the hedged item on the hedged item position for the year reserve Continuing Discontin-Assets Liabilities Assets Liabilities hedges ued hedges active and active and active and active and (in millions) discontinued discontinued discontinued discontinued 31 December 2022 Cash flow hedges - macro Interest rate -763 11 3 -1,388 Fair value hedges - macro Residential Interest rate - Financial assets at AC 38,270 -9,489 mortgages -10,873 Fair value hedges - micro Interest rate - Financial assets at Financial FVOCI 34,276 -3,119 investments -4,778 Corporate & Interest rate - Financial assets at AC 762 154 Other loans -357 Issued debt & Interest rate - Financial liabilities Subordinated at AC 48,473 -6,700 liabilities 9,025 Net investment hedges Currency -42 31 December 2021 Cash flow hedges - macro Interest rate -449 -690 -1,386 Fair value hedges - macro Interest rate - Financial assets at AC Residential 46,278 1,442 mortgages -1,603 Fair value hedges - micro Interest rate - Financial assets at Financial FVOCI 37,547 1,636 investments -1,389 Interest rate - Financial assets at AC Corporate & 1,088 509 Other loans -142 Interest rate - Financial liabilities Issued debt & Subordinated at AC 59,336 2,230 liabilities 2,548 Net investment hedges Currency -42 The accumulated amount of fair value hedge adjustments remaining in the statement of financial position for hedged items that have ceased to be adjusted for hedging gains and losses amounted to EUR -0.9 billion at 31 December 2022 (31 December 2021: EUR 0.2 billion). Effect on financial position and performance - hedge ineffectiveness and hedging gains or losses Amount re-Amount Changes in classified from reclassified fair value used Change in Change in the cash flow from the for calculation value used for Line item in the value of hedge reserve foreign Line item hedge calculating hedge Hedge profit or loss the hedging to profit or loss currency affected in profit ineffectiveness ineffectiveness ineffectivenes (that includes instrument - hedges item translation or loss because for the year - for the year - recognised in hedge ineffec-recognised affected profit reserve to of the 1 2 (in millions) hedged item hedging instrument profit or loss tiveness) in OCIor lossprofit or loss reclassification 31 December 2022 Cash flow hedges - macro Other operating Net interest Interest rate -763 777 14 income 762 39 income Fair value hedges - macro Other operating Interest rate -10,873 11,020 147 income Fair value hedges - micro Other operating Interest rate 3,891 -4,007 -116 income Net investment hedges Other operating Currency income 31 December 2021 Cash flow hedges - macro Other Interest rate operating Net interest -449 443 -6 income 451 -54 income Fair value hedges - macro Other Interest rate operating -1,603 1,610 7 income Fair value hedges - micro Other Interest rate operating 1,018 -1,063 -45 income Net investment hedges Other operating Currency income 1 The amount reconciles to \u2018Net gains/(losses) arising during the period\u2019 in the specification of \u2018Accumulated other comprehensive income\u2019 in the consolidated statement of equity. 2 The amount reconciles to \u2018Less: Net realised gains/(losses) included in income statement\u2019 in the specification of \u2018Accumulated other comprehensive income\u2019 in the consolidated Amount, timing and uncertainty of future cash flows - hedging instruments More than More than More than Within 3 months but 1 year but 5 years but More than (in millions, nominal amounts) 3 months within 1 year within 5 years within 10 years 10 years Total 31 December 2022 Fair value hedges - micro Payers - Interest rate 1,613 4,368 18,106 8,437 5,388 37,913 Receivers - Interest rate 2,658 4,258 17,772 13,041 17,746 55,475 31 December 2021 Fair value hedges - micro Payers - Interest rate 1,195 4,508 19,213 7,372 4,399 36,687 Receivers - Interest rate 4,818 5,508 20,114 10,945 16,337 57,721 The weighted average fixed rate of the interest rate swaps included in micro hedge relationships varied between 1.4% and 2.0% as at 31 December 2022 (1.4% and 2.1% as at 31 December 2021), depending on the origination date, currency, product type and original maturity. 17 Financial investments Accounting policy for financial investments Financial investments include financial instruments measured at fair value through other comprehensive income (FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL). Accounting policy for financial instruments measured at fair value through other comprehensive income Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net of applicable taxes.Interest earned, premiums, discounts and qualifying transaction costs of interest-earning FVOCI assets are amortised to income on an effective interest rate basis. When FVOCI debt instruments are sold, the cumulative gain or loss recognised in other comprehensive income is transferred to other operating income in the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised in the impairment charges on financial instruments in the income statement. The related loss allowance is recognised in other comprehensive income and does not reduce the carrying amount of the FVOCI debt instruments. ABN AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set out in Credit risk management in the Risk, funding & capital management chapter. Fair value changes in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other comprehensive income and not subsequently reclassified to the income statement. Accounting policy for financial instruments measured at fair value through profit and loss Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are mandatorily measured at fair value because they do not meet the SPPI test. (in millions) 31 December 2022 31 December 2021 Financial investments Debt securities held at fair value through other comprehensive income 38,408 42,585 Held at fair value through profit or loss 626 580 Total financial investments 39,034 43,165 Interest rate benchmark reform ABN AMRO has analysed its significant hedging relationships directly affected by the benchmark reform. Most of ABN AMRO\u2019s financial instruments are linked to euro area benchmarks and, as a result, so are its hedging relationships. Of the non-euro area benchmarks relevant for ABN AMRO, all benchmarks other than USD LIBOR already reformed before 2022. As a consequence, ABN AMRO\u2019s hedging relationships affected by the IBOR reform comprise only a small percentage of its total hedging relationships. A total of EUR 191.3 billion of notional derivatives were part of hedging relationships at 31 December 2022, of which EUR 175.5 billion was linked to EURIBOR and EUR 15.7 billion to other benchmarks. Of the derivative contracts linked to a non-EURIBOR benchmark, a notional amount of EUR 9.9 billion will mature before cessation of the reference benchmark. These contracts are therefore not affected by the IBOR reform. A remaining total of EUR 5.8 billion notional is exposed to benchmarks under reform. The contracts exposed to benchmarks under reform have an average maturity of 2.6 years and are all referencing 3-months USD LIBOR. At the year-end, an exposure remained to IBOR rates subject to reform that still have to transition. Trades that refer to an IBOR rate, but mature before a transition is required are excluded from the overview. For non-derivative asset contracts, contracts referring to USD LIBOR amounted to EUR 3.7 billion. For non-derivative liability contracts, there were no contracts referring to a USD LIBOR at year-end 2022. For derivative contracts, contracts referring to USD LIBOR amounted to EUR 53.9 billion notional (gross value, hence no offsetting effects shown), of which EUR 19.9 billion has no exposure to USD LIBOR after cessation date. The exposure after cessation date is EUR 34.0 billion, of which EUR 8.4 billion relates to bilateral contracts.Critical accounting estimates and judgements Interest-bearing debt securities classified as FVOCI investments are assessed at each reporting date to establish whether there are any expected credit losses. ABN AMRO has developed models to determine such credit losses. Impairment charges on FVOCI instruments are recorded in (un)realised gains/(losses) fair value through OCI in the statement of comprehensive income. Financial investments measured at fair value through other comprehensive income The fair value of financial investments measured at FVOCI is specified in the following table. (in millions) 31 December 2022 31 December 2021 Interest-earning securities Dutch government 2,465 4,028 US Treasury and US government 7,238 6,628 Other OECD government 18,158 20,550 Non-OECD government 142 996 International bonds issued by the European Union 2,415 2,262 European Stability Mechanism 1,704 1,964 Mortgage- and other asset-backed securities 3,274 3,168 Financial institutions 2,998 2,989 Non-financial institutions 15 1 Total investments held at fair value through other comprehensive income 38,408 42,585 Most of these instruments are part of the liquidity buffer and are held for liquidity contingency purposes. Government bonds by country of origin 31 December 2022 31 December 2021 Accumulated Accumulated unrealised gains/unrealised gains/(losses) and fair value (losses) and fair value (in millions) hedges gains/(losses) Impairments Fair value hedges gains/(losses) Impairments Fair value Dutch national government -148 2,465 402 4,028 USA national government -317 7,238 109 6,628 German national government -310 5,145 444 6,589 French national government -190 1,855 63 3,097 Belgian national government -268 -1 2,567 11 2 -1 2,953 Austrian national government -75 1,481 176 1,873 Finnish national government -61 1,116 66 1,414 Luxembourg national government -101 1,238 40 1,256 Canadian national government -104 1,126 27 1,164 Japanese national government -1 2,464 959 Polish national government 25 320 145 439 Spanish national government 63 300 United Kingdom national government 10 180 110 290 Danish national government -19 260 1 211 Swedish national government 4 4 Hong Kong 170 Brazilian national government 72 61 Singapore national government 70 765 European Union bonds (excl. European Stability Mechanism) -695 2,415 42 2,262 Italian national government -91 340 Total government bonds -2,345 -1 30,418 1,737 -1 34,463 Financial investments measured at fair value through profit or loss (in millions) 31 December 2022 31 December 2021 Private equities and venture capital 418 369 Equity securities 207 211 Total investments held at fair value through profit or loss 626 580 18 Securities financing Accounting policy for securities financing Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are generally entered into on a collateralised basis, with securities usually advanced or received as collateral. The transfer of the securities themselves is not reflected in the statement of financial position unless the risks and rewards of ownership are also transferred. If cash is advanced or received, securities borrowing and lending activities are recorded at the amount of cash advanced (included in loans and advances) or received (due to banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and the collateral levels are adjusted in accordance with the underlying transactions. Fees and interest received or paid are recognised on an effective interest rate basis and recorded as interest income or interest expense. Sale and repurchase transactions involve purchases (or sales) of investments with agreements to resell (or repurchase) substantially identical investments at a certain date in the future at a fixed price. Investments purchased subject to commitments to resell them at future dates are not recognised. The amounts paid are recognised in loans and advances to either banks or customers and are shown as collateralised by the underlying security. Investments sold under repurchase agreements continue to be recognised in the statement of financial position. Proceeds from the sale of the investments are reported as liabilities to either banks or customers. The difference between the sale and repurchase price is recognised over the period of the transaction and recorded as interest income or interest expense, using the effective interest rate method. If borrowed securities are sold to third parties, the proceeds from the sale and a liability for the obligation to return the collateral are recorded at fair value. 31 December 2022 31 December 2021 (in millions) Banks Customers Total Banks Customers Total Assets Reverse repurchase agreements 2,649 11,591 14,239 3,181 6,733 9,914 Securities borrowing transactions 2,900 2,893 5,793 2,973 3,251 6,225 Total 5,548 14,484 20,032 6,154 9,984 16,138 Liabilities Repurchase agreements 219 8,359 8,578 11 5 8,372 8,488 Securities lending transactions 474 600 1,074 4 1,003 1,007 Total 692 8,960 9,652 119 9,375 9,494 Securities financing transactions include balances relating to reverse repurchase activities and cash collateral on securities borrowed. ABN AMRO controls the credit risk associated with these activities by monitoring counterparty credit exposure and collateral values on a daily basis and requiring additional collateral to be deposited with ABN AMRO when deemed necessary. The total reverse repurchase agreements increased during the year by EUR 4.3 billion due to agreements with several large clients. Items of securities financing transactions that ABN AMRO can repledge or resell are included in Note 34 Transferred, pledged, encumbered and restricted assets. 19 Fair value of financial instruments carried at fair value Accounting policy for fair value of financial instruments The fair value is defined as the price that would be received when selling an asset or paid when transferring a liability in an orderly transaction between market participants at the measurement date. For financial instruments that are actively traded and for which quoted market prices or market parameters are readily available, the fair value is determined in a highly objective manner. However, when observable market prices and parameters do not exist, management judgement is necessary to estimate fair value. For financial instruments where no active liquid market exists, or quoted prices are unobtainable, recent market transactions are used or the fair value is estimated using a variety of valuation techniques \u2013 including reference to similar instruments for which market prices do exist, or to valuation techniques such as discounted cash flow models or option pricing models (e.g. Black Scholes). When portfolios of financial assets and liabilities are measured on the basis of the net exposure to the credit risk of a particular counterparty, any existing arrangements that mitigate the credit risk exposure (e.g. master netting agreements with the counterparty) are taken into account. Unobservable inputs are estimated using a combination of management judgement, historical data, market practice and benchmarking to other relevant observable market data. The difference between the transaction price and the internal valuation at inception, calculated using a model, is reserved and amortised to profit or loss at appropriate points over the life of the instrument, typically taking account of the ability to obtain reliable external data, the passage of time and the use of offsetting transactions. Where inputs to the valuation of a new transaction cannot be reliably determined, the transaction is initially recognised at its transaction price. Subsequent changes in fair value as calculated by the valuation model are reported as profit or loss or in equity. \u00c5 In order to determine a reliable fair value, where appropriate, management applies valuation adjustments to the pricing information derived from the above sources. These adjustments reflect management\u2019s assessment of factors that market participants would consider in setting a price, to the extent that these factors have not already been included in the information from the above sources. The main valuation adjustments required to arrive at a fair value are as follows: \u00c5 Credit and debit valuation adjustments. In addition to credit valuation for loans measured at fair value through profit or loss, credit valuation adjustments and debit valuation adjustments are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and how counterparties consider ABN AMRO\u2019s creditworthiness respectively; \u00c5 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives; \u00c5 Own credit adjustment. An own credit risk adjustment is applied to financial liabilities where it is believed that counterparties will consider ABN AMRO\u2019s creditworthiness when pricing such instruments; \u00c5 Model valuation adjustments for any known limitations. Management assesses the appropriateness of any model used on an ongoing basis. To the extent that the price provided by internal models does not represent the fair value of the instrument, for instance in highly stressed market conditions, management makes adjustments to the model valuation to calibrate to other available pricing sources. We believe our estimates of the fair value are adequate. However, the use of different models or assumptions could result in changes to our reported results. Valuation control framework ABN AMRO has designated controls and processes in place for determining the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols for independent review and validation of fair values separate from those businesses entering into the transactions. This includes specific controls to ensure consistent pricing policies and procedures, incorporating disciplined price verification for both market and counterparty risk trades. The business entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. There are daily controls of the profit or loss recorded by trading and treasury front-office staff. A key element of the control environment, segregated from the recording of the transaction\u2019s valuation, is the independent price-verification process. Valuations are first calculated by the business. Such valuations may be current bid or offer prices in an active market, or may be derived using a model and variable model inputs. These valuations are reviewed and, if necessary, amended by the independent price-verification process. This process involves a team, independent of those trading the financial instruments, performing a review of valuations in the light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The minimum frequency of review is monthly, both for trading positions and non-trading positions. The independent price-verification control includes formalised reporting and escalation to management of any valuation differences in breach of defined thresholds. When models are used to value products, those models are subject to a model review process. This process requires different levels of model documentation, testing and review, depending on the complexity of the model and the size of our exposure to the model. Valuation techniques A number of methodologies are used to determine the fair value of financial instruments for which observable prices in active markets for identical instruments are not available. Values between and beyond available data points are obtained by interpolation and/or extrapolation. When valuation techniques are used, the fair value can be significantly impacted by the choice of valuation model and underlying assumptions made concerning factors such as the amount and timing of cash flows, discount rates and credit risk. Interest rate derivatives This category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting those cash flows, using appropriate interest rate curves. The exception is interest option contracts, which are valued using market standard option pricing models. The inputs for the discounting cash flow models are principally observable benchmark interest rates in active markets such as the interbank rates and quoted interest rates in the swap, bond and futures markets. The inputs for credit spreads \u2013 where available \u2013 are derived from prices of credit default swaps or other credit-based instruments, such as debt securities. In other cases, credit spreads are obtained from pricing services. The additional inputs for the option pricing models are price volatilities and correlations, which are obtained from broker quotations or pricing services or derived from option prices. Because of the observability of the inputs used in the valuation models, the majority of the interest rate derivative contracts are classified as level 2. If adjustments to interest rate curves, credit spreads, correlations or volatilities are based on significant unobservable inputs, the contracts are classified as level 3. Exchange traded options and futures are valued using quoted market prices and are hence classified as level 1. Foreign exchange contracts Foreign exchange contracts include foreign exchange forward contracts, foreign exchange options and foreign exchange swaps. The majority of the foreign exchange contracts at ABN AMRO are traded as over-the-counter derivatives. These instruments are valued using foreign currency exchange rates. There are observable markets both for spot and forward contracts and for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2. Government debt securities Government debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. These instruments are generally traded in active markets and prices can be derived directly from those markets. Therefore the instruments are classified as level 1. Highly liquid bonds are valued using exchange traded prices. Less liquid bonds are valued using observable market prices, which are sourced from broker quotes, interdealer prices or other reliable pricing services. For a minority of the government debt securities, active market prices are not available. In these cases ABN AMRO uses discounted cash flow valuation techniques that incorporate observable market data for similar government instruments. The main inputs are interest rate curves, liquidity spreads and credit spreads. The instruments for which this method applies are classified as level 2. If adjustments to any of the main inputs are made based on significant unobservable inputs, the instrument is classified as level 3. Corporate debt securities Corporate debt securities primarily consist of corporate bonds and other debt securities issued by corporate entities. Most of these instruments are standard fixed or floating rate securities. Corporate debt securities are generally valued using observable market prices, which are sourced from broker quotes, inter-dealer prices or other reliable pricing services. These instruments are classified as level 1. If observable market prices are not available, ABN AMRO uses discounted cash flow valuation techniques, based on inputs derived from comparable instruments and credit default swap data of the issuer, to estimate credit spreads. These instruments are classified as level 2. If adjustments to any of the main inputs are made based on significant unobservable inputs, the instrument is classified as level 3 Equity instruments Equity instruments that are actively traded on public stock exchanges are valued using the readily available quoted prices and are therefore classified as level 1. Investments in private equity funds are initially recognised at their transaction price and remeasured to the extent reliable information is available on a case-by-case basis and are classified as level 3. Loans and advances at fair value through profit or loss Loans and advances at fair value through profit or loss primarily consist of contracts with corporate clients where the contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective to generate cash flows from sales. The return on the contracts with embedded derivatives is based on the price of underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used to value these contracts. The main inputs are interest rate curves, quoted commodity prices, liquidity spreads and credit spreads. The instruments are classified as level 2. If adjustments to interest rate curves, liquidity spreads and credit spreads are based on significant unobservable inputs, the instruments are classified as level 3. Issued debt Issued debt securities are valued using discounted cash flow models, based on current interest rate curves that incorporate observable inputs. These instruments are classified as level 2. When there are no, or only limited, publicly quoted prices available for these instruments and unobservable inputs have a significant effect on the fair value calculation, these instruments are classified as level 3. ABN AMRO refines and modifies its valuation techniques as markets and products develop and as the pricing for individual products becomes more or less readily available. While ABN AMRO believes its valuation techniques are appropriate and consistent with other market participants, the use of different methodologies or assumptions could result in different estimates of the fair value at the reporting date. Fair value hierarchy ABN AMRO analyses financial instruments held at fair value in the three categories described below. Level 1 financial instruments are those that are valued using unadjusted quoted prices in active markets for identical financial instruments. Level 2 financial instruments are those valued using techniques based primarily on observable market data. Instruments in this category are valued using quoted prices for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all the inputs that have a significant effect on the valuation are directly or indirectly based on observable market data. Level 3 financial instruments are those valued using a valuation technique where at least one input with a significant effect on the instrument\u2019s valuation is not based on observable market data. The effect of fair value adjustments on the instrument\u2019s valuation is included in the assessment. ABN AMRO recognises transfers between levels of the fair value hierarchy at the end of the reporting period during which the change occurred. 31 December 2022 31 December 2021 Quoted Valuation Quoted Valuation market Valuation techniques market Valuation techniques prices techniques - significant Total prices techniques - significant Total in active - observable unobservable fair in active - observable unobservable fair (in millions) markets inputs inputs value markets inputs inputs value Assets Government debt securities 212 3 214 480 480 Corporate debt securities 495 186 681 472 198 670 Equity securities 10 10 3 3 Other financial assets held for trading 1 1 2 2 Financial assets held for trading 718 190 907 955 199 1,155 Interest rate derivatives 51 4,067 36 4,155 4 2,927 78 3,009 Foreign exchange contracts 1,045 9 1,054 676 10 686 Other derivatives 3 3 90 90 Derivatives 51 5,115 46 5,212 4 3,694 88 3,785 Equity instruments 79 65 481 626 90 57 433 580 Financial investments at fair value through profit or loss 79 65 481 626 90 57 433 580 Government debt securities 31,801 320 32,121 35,988 439 36,427 Corporate debt securities 2,973 1 38 3,013 2,947 1 42 2,990 Other debt securities 3,274 3,274 3,168 3,168 Financial assets held at fair value through other comprehensive income 38,049 1 358 38,408 42,102 1 481 42,585 Loans and advances at fair value through profit or loss 36 30 66 104 104 Total financial assets 38,897 5,407 915 45,219 43,151 4,056 1,002 48,209 Liabilities Short positions in government debt securities 341 341 255 255 Corporate debt securities 205 62 267 320 79 399 Equity securities 1 1 Other financial liabilities held for trading 32 32 33 33 Financial liabilities held for trading 548 93 641 575 112 687 Interest rate derivatives 10 3,270 3,280 3,543 3,544 Foreign exchange contracts 865 865 3 681 684 Other derivatives 3 3 11 6 11 6 Derivatives 10 4,138 4,148 3 4,341 4,344 Issued debt 223 223 892 892 Total financial liabilities 557 4,455 5,012 578 5,344 5,922 Transfers between levels 1 and 2 There were no material transfers between levels 1 and 2. Transfers from levels 1 and 2 to 3 There were no material transfers from levels 1 and 2 to 3. Other transfers There were no other material transfers between the fair value hierarchies. Movements in level 3 financial instruments measured at fair value The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value. Assets Liabilities Financial assets Financial held at fair value Loans and investments at through other advances at fair fair value through comprehensive value through Issued (in millions) Derivatives profit or loss income profit or loss debt Balance at 1 January 2021 140 569 517 Purchases 44 Redemptions -68 1 Gains/(losses) recorded in profit and loss 1 1 2 Unrealised gains/(losses)-67 151 -36 Transfer between levels 14 Other movements -75 Balance at 31 December 2021 88 433 481 Purchases 55 Sales -45 Redemptions -3 1 Gains/(losses) recorded in profit and loss 13 1 2 Unrealised gains/(losses)-49 31 -124 Transfer between levels 7 Other movements -2 30 Balance at 31 December 2022 46 481 358 30 1 Included in other operating income. 2 Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments measured at FVOCI in other comprehensive income. Level 3 sensitivity information Interest-earning securities - government bonds ABN AMRO has a position in a Polish bond, denominated in euros (in Note 17 Financial investments, and part of Other OECD governments), for which the market is relatively illiquid. This bond is valued using a discounted cash flow model. The main inputs are the interest rate curve, liquidity spread and credit spread. The valuation spread is determined using an internal model. The sensitivity analysis is performed using a range of reasonable valuation spreads. Interest-earning securities - other Preference shares are shares for which the dividend is fixed for a period of ten years, after which the dividend is redetermined and the shares can be redeemed. The position is valued using a discounted cash flow model for which the relevant inputs are the interest curve, liquidity spread and credit spread. The liquidity spread and credit spread are unobservable inputs and are derived from similar securities. The sensitivity of the preference shares is determined by using a range of reasonable spreads and by considering the call option that is held by the issuer. Equity shares - preferred shares Equities measured at fair value through profit and loss and classified as level 3 mainly comprise private equity investments. Private equity shares are measured at fair value, applying two calculation techniques: \u00c5 Using comparable pricing in accordance with the European Private Equity and Venture Capitalist Association (EVCA) guidelines. This valuation technique is based on earnings multiples of comparable listed and unlisted companies. The fair value calculation of an investment is strongly linked with movements on public equity markets; \u00c5 Net Asset Value (NAV) for fund investments and asset-backed investments. This is determined by using audited and unaudited company financial statements and any other information available, publicly or otherwise. As a consequence, the NAV calculation of an investment is strongly linked to movements in the quarterly performance of the company and can be used as an indicator of fair value. New investments are initially valued at fair value. Subsequently, the fair value technique \u2013 either the EVCA technique or NAV calculation \u2013 is applied for direct investments. The sensitivity for using comparable pricing is determined by stressing the earnings multiples in a positive and negative market scenario, whereas sensitivity testing for the NAV calculation based on the quarterly performance cannot be applied. (in millions) 31 December 2022 31 December 2021 Interest-bearing deposits 1,771 1,189 Loans and advances 934 1,355 Mandatory reserve deposits with central banks 200 199 Other loans and advances banks 85 68 Subtotal 2,990 2,811 Less: loan impairment allowances 8 10 Total loans and advances banks 2,982 2,801 Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. Most relevant for the bank are the minimum reserve requirements determined by the ECB. The ECB prescribes how the minimum reserve amount should be calculated during pre-defined reserve periods. During such a period, the balances are available for use by ABN AMRO. The bank manages and monitors deposits to ensure that the minimum reserve requirements for the period are met. Derivatives ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have an observable credit spread, ABN AMRO applies a proxied credit spread extracted from counterparties of comparable credit quality that do have an observable credit spread. ABN AMRO performs a probability of default assessment for each counterparty and allocates an appropriate internal credit risk measure known as a Uniform Counterparty Rating (UCR).This UCR, which is significant to the entire fair value measurement of the derivative contracts included in the following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input. Valuation Unobservable Carrying Possible alternative Unobservable Unobservable technique data value assumptions data range data base Applying Applying Applying Applying (in millions) minimum maximum minimum maximum 31 December 2022 Private equity EBITDA Equity shares valuation multiples 140 -14 14 Private equity Equity shares valuation Net asset value 342 -34 34 Interest-earning securities - Discounted Liquidity and government bonds cash flow credit spread 320 -9 18 14bps 102bps 73bps Discounted Liquidity and Interest-earning securities - other cash flow credit spread 38 -1 214bps 546bps 313bps Discounted Probability of Derivatives held for trading cash flow default 46 -2 4 0.0% 100.0% 15.0% 31 December 2021 Private equity EBITDA Equity shares valuation multiples 159 -16 16 Private equity Equity shares valuation Net asset value 274 -27 27 Interest-earning securities - Discounted Liquidity and government bonds cash flow credit spread 439 -8 13 19bps 74bps 53bps Discounted Liquidity and Interest-earning securities - other cash flow credit spread 42 -2 90bps 381bps 118bps Discounted Probability of Derivatives held for trading cash flow default 88 -5 8 0.4% 100.0% 33.7% 20 Loans and advances banks Accounting policy for loans and advances banks and customers Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model. Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the asset. Loans and advances that do not pass the SPPI test are measured at fair value through profit or loss. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to Credit risk management in the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). 22 Fair value of financial instruments not carried at fair value Accounting policy for fair value of financial instruments not carried at fair value The categorisation and valuation of financial instruments not carried at fair value is determined in accordance with the accounting policies set out in Note 19 Fair value of financial instruments carried at fair value. 21 Loans and advances customers Accounting policy for loans and advances customers The accounting policy for loans and advances customers is included in Note 20 Loans and advances banks. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to the Credit risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). (in millions) 31 December 2022 31 December 2021 Residential mortgages (excluding fair value adjustment) 150,762 146,351 Fair value adjustment from hedge accounting on residential mortgages -9,489 1,442 Residential mortgages, gross 141,274 147,793 Less: loan impairment allowances - residential mortgage loans 153 82 Residential mortgages 141,121 147,711 Consumer loans, gross 10,232 10,794 Less: loan impairment allowances - consumer loans 277 276 Consumer loans 9,955 10,518 Corporate loans (excluding fair value adjustment) 78,178 78,173 Fair value adjustment from hedge accounting on corporate loans 154 509 Financial lease receivables 4,396 4,972 Factoring 4,157 3,312 1 Corporate loans, gross86,885 86,968 Less: loan impairment allowances - corporate loans 1,590 2,053 Corporate loans at amortised cost 85,295 84,915 Corporate loans at fair value through P&L 66 99 Government and official institutions 629 401 Other loans1) 6,868 14,606 1 Other loans and advances customers, gross7,497 15,007 Less: loan impairment allowances - other 5 4 Other loans at amortised cost 7,491 15,003 Other loans at fair value through P&L 5 Other loans and advances customers 7,491 15,008 Total loans and advances customers 243,927 258,251 1 Excluding loans at fair value through P&L. For information on loan impairment allowances, please refer to the Credit risk review section in the Risk, funding & capital chapter. Valuation methodologies The methods and assumptions described below have been applied to estimate the fair value of financial instruments not carried at fair value. These fair values were calculated for disclosure purposes only. Note that the fair value can be significantly impacted by the choice of valuation model and underlying assumptions concerning factors such as the amount and timing of cash flows, discount rates, credit risk and liquidity risk. Short-term financial instruments The carrying amounts (net of impairment allowances) of financial instruments maturing within a period of less than three months or that have no contractual maturity are assumed to be a reasonable approximation of their fair value. For certain instruments, behavioural maturities are applied. Short-term financial instruments are classified as level 2 as unobservable inputs (such as inputs to determine credit risk, prepayment risk and liquidity risk) do not have a significant influence in determining the fair value. Cash and balances at central banks Cash and balances at central banks are classified as level 1 as these instruments have a short-term nature, prices from an active market are available and no fair value adjustments are made to the carrying amounts. Securities financing Securities financing includes repurchase and reverse repurchase agreements and securities borrowing and lending transactions. Due to the short-term characteristics of these instruments and the value and liquidity of available collateral, the carrying amounts (net of impairment allowances) are considered to approximate the fair value. Securities financing amounts are classified as level 2. Loans and advances banks and customers The fair value of loans and advances banks and customers is estimated by a discounted cash flow model based on contractual cash flows, using actual yields and discounting by risk-free interest rates. Adjustments to reflect changes in liquidity spreads are applied and prepayment options are included in the estimated fair value. The calculations are adjusted for credit risk by incorporating the expected credit losses over the estimated lifetime of the loan, based on parameters including probability of default, loss given default and exposure at default. The loans and advances are classified as level 3 on the basis that unobservable inputs significantly influence the approximated fair values. The loans and advances for which unobservable inputs do not significantly influence the approximated fair values are classified as level 2. Behavioural maturities instead of contractual maturities are used to determine the level classification of a small part of the portfolio. Cash collateral paid to counterparties in relation to Credit Support Annexes (CSA) is included in loans and advances banks and customers. Due to the short-term characteristics of these instruments, fair value is considered to approximate the carrying amounts. The related amounts are classified as level 2. Due to banks and customers The fair value of instruments such as deposits and borrowings included in due to banks and customers is estimated by a discounted cash flow model based on risk-free interest rates. Adjustments to reflect changes in liquidity spreads are applied. Amounts due to banks and customers are classified as level 3 on the basis that unobservable inputs significantly influence the approximated fair values. The financial instruments for which unobservable inputs do not significantly influence the approximated fair values are classified as level 2. For the majority of the portfolio, behavioural maturities are used to determine the level classification. Cash collateral liabilities in relation to Credit Support Annexes (CSA) are included in due to banks and customers. Due to the short-term characteristics of these instruments, fair value is considered to approximate the carrying amounts. The related amounts are classified as level 2. Issued debt and subordinated liabilities The fair value of issued debt securities and subordinated liabilities is based on quoted prices. If these are not available, the fair value is based on a market approach in which independent quotes from market participants are used for the debt issuance spreads above the average interbank offered rates (over a range of tenors) that the market would demand when purchasing new senior or subordinated debt from ABN AMRO. Where necessary, these quotes are interpolated, using a curve shape derived from CDS prices. 31 December 2022 Carrying value Total fair value Difference Valuation Quoted Valuation techniques market prices techniques -significant in active -observable unobservable (in millions) markets inputs inputs Assets Cash and balances at central banks 60,865 60,865 60,865 Securities financing 20,032 20,032 20,032 Loans and advances banks 2,982 2,645 340 2,986 3 Loans and advances customers 243,861 30,373 195,900 226,273 -17,588 Total 327,741 60,865 53,051 196,240 310,156 -17,585 Liabilities Securities financing 9,652 9,652 9,652 Due to banks 17,509 3,788 13,608 17,396 -113 Due to customers 255,015 78,925 155,878 234,803 -20,212 Issued debt 56,036 29,556 20,682 50,238 -5,799 Subordinated liabilities 7,290 3,906 3,058 6,964 -326 Total 345,502 33,462 116,105 169,486 319,053 -26,449 31 December 2021 Carrying value Total fair value Difference Valuation Quoted Valuation techniques market prices techniques -significant in active -observable unobservable (in millions) markets inputs inputs Assets Cash and balances at central banks 66,865 66,865 66,865 Securities financing 16,138 16,138 16,138 Loans and advances banks 2,801 2,461 336 2,797 -3 Loans and advances customers 258,146 30,175 240,273 270,448 12,302 Total 343,950 66,865 48,775 240,609 356,249 12,299 Liabilities Securities financing 9,494 9,494 9,494 Due to banks 38,076 4,309 33,773 38,082 6 Due to customers 251,218 85,654 163,021 248,676 -2,542 Issued debt 58,796 43,608 18,914 62,522 3,726 Subordinated liabilities 7,549 5,959 1,979 7,938 389 Total 365,132 49,567 120,350 196,794 366,712 1,579 (in millions) 31 December 2022 31 December 2021 Current accounts 1,977 1,525 Demand deposits 1 3 Time deposits 14,895 36,070 Cash collateral on securities lent 625 467 Other 10 10 Total due to banks 17,509 38,076 On 23 November and 21 December 2022, ABN AMRO partly repaid the TLTRO III funding in the amounts of EUR 8.0 billion and EUR 13.0 billion, respectively. On 31 December 2022, an amount of EUR 14.0 billion remained outstanding, of which EUR 11.0 billion matures in June 2023 and EUR 3.0 billion matures in June 2024. The repayments followed the change made by the ECB in the TLTRO III interest rate terms and conditions. (in millions) 31 December 2022 31 December 2021 Current accounts 122,030 132,983 Demand deposits 100,397 98,790 Time deposits 30,096 18,780 Other 2,491 665 Total due to customers 255,015 251,218 27 Due to banks Accounting policy for due to banks and due to customers Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the instrument. 28 Due to customers Accounting policy for due to customers The accounting policy for amounts due to customers is included in Note 27 Due to banks. 29 Issued debt and subordinated liabilities Accounting policy for issued debt and subordinated liabilities Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that qualify as an embedded derivative that cannot be separated. ABN AMRO applies IAS 32 Financial Instruments: Presentation to determine whether funding is a financial liability or equity. Issued financial instruments or their components are classified as financial liabilities where the substance of the contractual arrangement results in ABN AMRO having a present obligation to deliver either cash or another financial asset or to satisfy the obligation other than by the exchange of a fixed number of equity shares. Issued liabilities qualify as subordinated debt if claims by the holders are subordinated to all other current and future liabilities of ABN AMRO and its subsidiaries. The valuation of liabilities measured at fair value includes the effect of changes in the bank\u2019s own credit spreads. The change in fair value applies to those financial liabilities designated at fair value where own value credit risk would be considered by market participants. The cumulative amount of changes in fair value attributable to credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt measured at fair value through profit or loss is valued at market prices. Fair value changes are calculated based on a yield curve generated from observed external pricing for funding and quoted CDS spreads The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December 2022. Movements in these debt instruments involve a continual process of redemption and issuance of long-term and short-term funding. Issued debt (in millions) 31 December 2022 31 December 2021 Bonds and notes issued 41,313 49,619 Certificates of deposit and commercial paper 14,723 9,177 Total at amortised cost 56,036 58,796 Designated at fair value through profit or loss 223 892 Total issued debt 56,259 59,688 - of which matures within one year 19,053 16,734 2022 2021 (in millions) Carrying amount Carrying amount Balance as at 1 January 59,688 66,949 Cash flows Issuance 35,231 30,226 Redemption -30,668 -36,180 Non-cash changes Foreign exchange differences 11 8 1,130 Fair value changes own credit risk -8 -20 Unrealised gains/(losses) -8,451 -2,335 Other 350 -83 Balance as at 31 December 56,259 59,688 The amounts of debt issued and redeemed during the period are shown in the Consolidated statement of cash flows. Non-cash changes consist mainly of unrealised gains and losses and foreign exchange differences. Further details of the funding programmes are provided in Funding in the Risk, funding & capital chapter. Financial liabilities designated at fair value through profit or loss (in millions) 31 December 2022 31 December 2021 Cumulative change in fair value of the structured notes attributable to changes in credit risk 4 12 Change during the year in fair value of the structured notes attributable to changes in credit risk -8 -20 Difference between amount contractually required to pay at maturity and the carrying amount 6 -63 The change in fair value of the structured notes attributable to changes in credit risk is determined using the credit spread implicit in the fair value of similar bonds traded in active markets and issued by ABN AMRO. Subordinated liabilities The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December. Movements in these debt instruments involve a continual process of redemption and issuance of long-term and short-term funding. (in millions) 31 December 2022 31 December 2021 Subordinated liabilities 7,290 7,549 2022 2021 (in millions) Carrying amount Carrying amount Balance as at 1 January 7,549 8,069 Cash flows Issuance 1,540 910 Redemption -1,602 -1,514 Non-cash changes Foreign exchange differences 360 367 Other -556 -283 Balance as at 31 December 7,290 7,549 No perpetual loans were recorded at the reporting date. The issued and outstanding loans qualifying as subordinated liabilities are subordinated to all other current and future liabilities. 35 Commitments and contingent liabilities Accounting policy for off-balance sheet items Financial guarantee contracts A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when appropriate \u2013 the cumulative amount of income recognised in the income statement. ", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-405-6": { "value": "4 Net interest income Accounting policy for net interest income Interest income and expense on financial instruments is recognised in the income statement on an accrual basis using the effective interest rate method, except for those financial instruments measured at fair value through profit or loss. The effective interest rate method allocates interest, amortisation of any discount or premium or other differences, including transaction costs and qualifying fees and commissions, over the expected lives of the assets and liabilities. The effective interest rate is the rate that exactly discounts estimated future cash flows to the net carrying amount of the asset. As a result, this method requires ABN AMRO to estimate future cash flows, in some cases based on its experience of client behaviour, considering all contractual terms of the financial instrument, as well as the expected lives of the assets and liabilities. Interest on loans and advances measured at fair value through profit or loss is also included in net interest income and recognised using the contractual interest rate. Interest income and expense on trading balances is included in net trading income. Interest paid on assets with a negative interest yield is classified as interest expense. Interest received from liabilities with a negative interest yield is classified as interest income. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInterestIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-404-2": { "value": "(in millions) 2022 2021 Interest income calculated using the effective interest method 7,698 6,760 Other interest and similar income 236 258 Interest income 7,934 7,017 Interest expense calculated using the effective interest method 2,455 1,397 Other interest and similar expense 57 411 Interest expense 2,512 1,808 Net interest income 5,422 5,210 4 Net interest income Accounting policy for net interest income Interest income and expense on financial instruments is recognised in the income statement on an accrual basis using the effective interest rate method, except for those financial instruments measured at fair value through profit or loss. The effective interest rate method allocates interest, amortisation of any discount or premium or other differences, including transaction costs and qualifying fees and commissions, over the expected lives of the assets and liabilities. The effective interest rate is the rate that exactly discounts estimated future cash flows to the net carrying amount of the asset. As a result, this method requires ABN AMRO to estimate future cash flows, in some cases based on its experience of client behaviour, considering all contractual terms of the financial instrument, as well as the expected lives of the assets and liabilities. Interest on loans and advances measured at fair value through profit or loss is also included in net interest income and recognised using the contractual interest rate. Interest income and expense on trading balances is included in net trading income. Interest paid on assets with a negative interest yield is classified as interest expense. Interest received from liabilities with a negative interest yield is classified as interest income. Interest income (in millions) 2022 2021 Interest income from: Financial investments at fair value through other comprehensive income 525 515 Securities financing 454 145 Loans and advances banks 388 58 Loans and advances customers 6,308 6,238 Non-trading derivatives - hedge accounting - Cash flow hedges 322 375 Non-trading derivatives - hedge accounting - Fair value hedges -897 -1,291 Other 598 720 Interest income calculated using the effective interest method 7,698 6,760 Financial assets at fair value through profit or loss 2 4 Non-trading derivatives - no hedge accounting 78 53 Other 156 201 Other interest and similar income 236 258 Total interest income 7,934 7,017 Interest expense(in millions) 2022 2021 Interest expenses from: Securities financing 262 69 Due to banks 119 67 Due to customers 833 320 Issued debt 932 864 Subordinated liabilities 337 352 Non-trading derivatives - hedge accounting - Cash flow hedges 472 411 Non-trading derivatives - hedge accounting - Fair value hedges -498 -909 Other -2 223 Interest expense calculated using the effective interest method 2,455 1,397 Financial liabilities at fair value through profit or loss 13 35 Non-trading derivatives - no hedge accounting 22 43 Other 22 333 Other interest and similar expense 57 411 Total interest expense 2,512 1,808 ", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestIncomeExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-404-3": { "value": "(in millions) 2022 2021 Interest income calculated using the effective interest method 7,698 6,760 Other interest and similar income 236 258 Interest income 7,934 7,017 Interest expense calculated using the effective interest method 2,455 1,397 Other interest and similar expense 57 411 Interest expense 2,512 1,808 Net interest income 5,422 5,210 4 Net interest income Accounting policy for net interest income Interest income and expense on financial instruments is recognised in the income statement on an accrual basis using the effective interest rate method, except for those financial instruments measured at fair value through profit or loss. The effective interest rate method allocates interest, amortisation of any discount or premium or other differences, including transaction costs and qualifying fees and commissions, over the expected lives of the assets and liabilities. The effective interest rate is the rate that exactly discounts estimated future cash flows to the net carrying amount of the asset. As a result, this method requires ABN AMRO to estimate future cash flows, in some cases based on its experience of client behaviour, considering all contractual terms of the financial instrument, as well as the expected lives of the assets and liabilities. Interest on loans and advances measured at fair value through profit or loss is also included in net interest income and recognised using the contractual interest rate. Interest income and expense on trading balances is included in net trading income. Interest paid on assets with a negative interest yield is classified as interest expense. Interest received from liabilities with a negative interest yield is classified as interest income. Interest income (in millions) 2022 2021 Interest income from: Financial investments at fair value through other comprehensive income 525 515 Securities financing 454 145 Loans and advances banks 388 58 Loans and advances customers 6,308 6,238 Non-trading derivatives - hedge accounting - Cash flow hedges 322 375 Non-trading derivatives - hedge accounting - Fair value hedges -897 -1,291 Other 598 720 Interest income calculated using the effective interest method 7,698 6,760 Financial assets at fair value through profit or loss 2 4 Non-trading derivatives - no hedge accounting 78 53 Other 156 201 Other interest and similar income 236 258 Total interest income 7,934 7,017 ", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestIncomeExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-404-4": { "value": "(in millions) 2022 2021 Interest income calculated using the effective interest method 7,698 6,760 Other interest and similar income 236 258 Interest income 7,934 7,017 Interest expense calculated using the effective interest method 2,455 1,397 Other interest and similar expense 57 411 Interest expense 2,512 1,808 Net interest income 5,422 5,210 4 Net interest income Accounting policy for net interest income Interest income and expense on financial instruments is recognised in the income statement on an accrual basis using the effective interest rate method, except for those financial instruments measured at fair value through profit or loss. The effective interest rate method allocates interest, amortisation of any discount or premium or other differences, including transaction costs and qualifying fees and commissions, over the expected lives of the assets and liabilities. The effective interest rate is the rate that exactly discounts estimated future cash flows to the net carrying amount of the asset. As a result, this method requires ABN AMRO to estimate future cash flows, in some cases based on its experience of client behaviour, considering all contractual terms of the financial instrument, as well as the expected lives of the assets and liabilities. Interest on loans and advances measured at fair value through profit or loss is also included in net interest income and recognised using the contractual interest rate. Interest income and expense on trading balances is included in net trading income. Interest paid on assets with a negative interest yield is classified as interest expense. Interest received from liabilities with a negative interest yield is classified as interest income. Interest expense(in millions) 2022 2021 Interest expenses from: Securities financing 262 69 Due to banks 119 67 Due to customers 833 320 Issued debt 932 864 Subordinated liabilities 337 352 Non-trading derivatives - hedge accounting - Cash flow hedges 472 411 Non-trading derivatives - hedge accounting - Fair value hedges -498 -909 Other -2 223 Interest expense calculated using the effective interest method 2,455 1,397 Financial liabilities at fair value through profit or loss 13 35 Non-trading derivatives - no hedge accounting 22 43 Other 22 333 Other interest and similar expense 57 411 Total interest expense 2,512 1,808 ", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-408-2": { "value": "5 Net fee and commission income Accounting policy for net fee and commission income ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net fee and commission income. After identifying contracts and their performance obligations, revenue is recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for transferring promised services to clients. The transaction price is allocated to each performance obligation. Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates. The amount of revenue recognised is discounted to the present value of consideration due, if payment extends beyond normal credit terms. Revenue is recognised when a promised service is transferred to the client. Fees and commissions are recognised either: \u00c5 At a point in time: the fee is a reward for a service provided at a moment in time; or \u00c5 Over time (amortised): the fee relates to services on an ongoing basis. ABN AMRO engages in transactions where more than one party is involved in providing services to a client. In the case of these transactions, ABN AMRO assesses whether it is a principal or an agent in the transaction by evaluating the nature of its promise to the client. The bank is a principal if it controls the promised goods or services before they are transferred to a client. The bank is acting as an agent, of another party, if it provides a service of arranging for another party to transfer goods or services to a client and, as a result, does not control the specified goods or services. Control of goods and services refers to the ability to direct the use of, and obtain substantially all the remaining benefits from, the goods and services. If the bank is assessed to be a principal in the transaction, it recognises revenue in the gross amount of the consideration to which it expects to be entitled in exchange for the specified goods or services transferred. If, however, the bank acts as an agent, it recognises revenue in the amount of the fee or commission to which it expects to be entitled in exchange for arranging for the specified goods or services to be provided by the other party. The fee or commission may be the net amount of consideration that the bank retains after paying the other party the consideration received in exchange for the goods or services to be provided by that party. (in millions) 2022 2021 Fee and commission income 2,271 2,213 Fee and commission expense 493 550 Net fee and commission income 1,778 1,664 Fee and commission income 2022 Personal & Wealth Corporate Group (in millions) Business Banking Management Banking Functions Total Fee and commission income from: Securities and custodian services 15 58 541 2 617 Payment services 545 33 160 738 Portfolio management and trust fees 47 531 4 581 Guarantees and commitment fees 35 6 67 1 109 Insurance and investment fees 36 41 77 Other service fees 34 17 99 150 Total fee and commission income 711 686 871 3 2,271 Timing fee and commission income Recognised at a point in time 343 375 835 3 1,555 Recognised over time 369 311 36 1 716 Total fee and commission income 711 686 871 3 2,271 2021 Personal & Wealth Corporate Group (in millions) Business Banking Management Banking Functions Total Fee and commission income from: Securities and custodian services 19 62 570 2 653 Payment services 444 29 159 632 Portfolio management and trust fees 51 548 4 603 Guarantees and commitment fees 39 6 69 114 Insurance and investment fees 49 39 87 Other service fees 20 15 89 123 Total fee and commission income 621 699 891 3 2,213 Timing fee and commission income Recognised at a point in time 304 369 821 2 1,497 Recognised over time 318 330 69 717 Total fee and commission income 621 699 891 3 2,213 Fee and commission expense (in millions) 2022 2021 Fee and commission expenses from: Securities and custodian services 156 210 Payment services 200 191 Portfolio management and trust fees 67 73 Guarantees and commitment fees 28 28 Insurance and investment fees 24 31 Other service fees 18 16 Total fee and commission expense 493 550 ", "dimensions": { "concept": "ifrs-full:DisclosureOfFeeAndCommissionIncomeExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-408-3": { "value": "5 Net fee and commission income Accounting policy for net fee and commission income ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net fee and commission income. After identifying contracts and their performance obligations, revenue is recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for transferring promised services to clients. The transaction price is allocated to each performance obligation. Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates. The amount of revenue recognised is discounted to the present value of consideration due, if payment extends beyond normal credit terms. Revenue is recognised when a promised service is transferred to the client. Fees and commissions are recognised either: \u00c5 At a point in time: the fee is a reward for a service provided at a moment in time; or \u00c5 Over time (amortised): the fee relates to services on an ongoing basis. ABN AMRO engages in transactions where more than one party is involved in providing services to a client. In the case of these transactions, ABN AMRO assesses whether it is a principal or an agent in the transaction by evaluating the nature of its promise to the client. The bank is a principal if it controls the promised goods or services before they are transferred to a client. The bank is acting as an agent, of another party, if it provides a service of arranging for another party to transfer goods or services to a client and, as a result, does not control the specified goods or services. Control of goods and services refers to the ability to direct the use of, and obtain substantially all the remaining benefits from, the goods and services. If the bank is assessed to be a principal in the transaction, it recognises revenue in the gross amount of the consideration to which it expects to be entitled in exchange for the specified goods or services transferred. If, however, the bank acts as an agent, it recognises revenue in the amount of the fee or commission to which it expects to be entitled in exchange for arranging for the specified goods or services to be provided by the other party. The fee or commission may be the net amount of consideration that the bank retains after paying the other party the consideration received in exchange for the goods or services to be provided by that party. (in millions) 2022 2021 Fee and commission income 2,271 2,213 Fee and commission expense 493 550 Net fee and commission income 1,778 1,664 Fee and commission income 2022 Personal & Wealth Corporate Group (in millions) Business Banking Management Banking Functions Total Fee and commission income from: Securities and custodian services 15 58 541 2 617 Payment services 545 33 160 738 Portfolio management and trust fees 47 531 4 581 Guarantees and commitment fees 35 6 67 1 109 Insurance and investment fees 36 41 77 Other service fees 34 17 99 150 Total fee and commission income 711 686 871 3 2,271 Timing fee and commission income Recognised at a point in time 343 375 835 3 1,555 Recognised over time 369 311 36 1 716 Total fee and commission income 711 686 871 3 2,271 2021 Personal & Wealth Corporate Group (in millions) Business Banking Management Banking Functions Total Fee and commission income from: Securities and custodian services 19 62 570 2 653 Payment services 444 29 159 632 Portfolio management and trust fees 51 548 4 603 Guarantees and commitment fees 39 6 69 114 Insurance and investment fees 49 39 87 Other service fees 20 15 89 123 Total fee and commission income 621 699 891 3 2,213 Timing fee and commission income Recognised at a point in time 304 369 821 2 1,497 Recognised over time 318 330 69 717 Total fee and commission income 621 699 891 3 2,213 ", "dimensions": { "concept": "ifrs-full:DisclosureOfRevenueExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-408-4": { "value": "5 Net fee and commission income Accounting policy for net fee and commission income ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net fee and commission income. After identifying contracts and their performance obligations, revenue is recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for transferring promised services to clients. The transaction price is allocated to each performance obligation. Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates. The amount of revenue recognised is discounted to the present value of consideration due, if payment extends beyond normal credit terms. Revenue is recognised when a promised service is transferred to the client. Fees and commissions are recognised either: \u00c5 At a point in time: the fee is a reward for a service provided at a moment in time; or \u00c5 Over time (amortised): the fee relates to services on an ongoing basis. ABN AMRO engages in transactions where more than one party is involved in providing services to a client. In the case of these transactions, ABN AMRO assesses whether it is a principal or an agent in the transaction by evaluating the nature of its promise to the client. The bank is a principal if it controls the promised goods or services before they are transferred to a client. The bank is acting as an agent, of another party, if it provides a service of arranging for another party to transfer goods or services to a client and, as a result, does not control the specified goods or services. Control of goods and services refers to the ability to direct the use of, and obtain substantially all the remaining benefits from, the goods and services. If the bank is assessed to be a principal in the transaction, it recognises revenue in the gross amount of the consideration to which it expects to be entitled in exchange for the specified goods or services transferred. If, however, the bank acts as an agent, it recognises revenue in the amount of the fee or commission to which it expects to be entitled in exchange for arranging for the specified goods or services to be provided by the other party. The fee or commission may be the net amount of consideration that the bank retains after paying the other party the consideration received in exchange for the goods or services to be provided by that party. (in millions) 2022 2021 Fee and commission income 2,271 2,213 Fee and commission expense 493 550 Net fee and commission income 1,778 1,664 Fee and commission income 2022 Personal & Wealth Corporate Group (in millions) Business Banking Management Banking Functions Total Fee and commission income from: Securities and custodian services 15 58 541 2 617 Payment services 545 33 160 738 Portfolio management and trust fees 47 531 4 581 Guarantees and commitment fees 35 6 67 1 109 Insurance and investment fees 36 41 77 Other service fees 34 17 99 150 Total fee and commission income 711 686 871 3 2,271 Timing fee and commission income Recognised at a point in time 343 375 835 3 1,555 Recognised over time 369 311 36 1 716 Total fee and commission income 711 686 871 3 2,271 2021 Personal & Wealth Corporate Group (in millions) Business Banking Management Banking Functions Total Fee and commission income from: Securities and custodian services 19 62 570 2 653 Payment services 444 29 159 632 Portfolio management and trust fees 51 548 4 603 Guarantees and commitment fees 39 6 69 114 Insurance and investment fees 49 39 87 Other service fees 20 15 89 123 Total fee and commission income 621 699 891 3 2,213 Timing fee and commission income Recognised at a point in time 304 369 821 2 1,497 Recognised over time 318 330 69 717 Total fee and commission income 621 699 891 3 2,213 ", "dimensions": { "concept": "ifrs-full:DisclosureOfRevenueFromContractsWithCustomersExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-408-6": { "value": "5 Net fee and commission income Accounting policy for net fee and commission income ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net fee and commission income. After identifying contracts and their performance obligations, revenue is recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for transferring promised services to clients. The transaction price is allocated to each performance obligation. Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates. The amount of revenue recognised is discounted to the present value of consideration due, if payment extends beyond normal credit terms. Revenue is recognised when a promised service is transferred to the client. Fees and commissions are recognised either: \u00c5 At a point in time: the fee is a reward for a service provided at a moment in time; or \u00c5 Over time (amortised): the fee relates to services on an ongoing basis. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForRecognitionOfRevenue", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-412-2": { "value": "6 Net income from other operating activities Accounting policy for other operating income Other operating income includes all other banking activities such as operating lease activities as lessor and results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair value changes relating to assets and liabilities measured at fair value through profit or loss, and changes in the value of derivatives related to such instruments. Dividend income from non-trading equity investments is recognised when entitlement is established. Income from operating lease activities is presented separately from the depreciation expense of the related assets. (in millions) 2022 2021 Income from lease activities 152 163 Disposal of operating activities and equity-accounted investments 147 3 Result from financial transactions 7 245 Other 69 395 Income from other operating activities 375 805 (in millions) 2022 2021 Expenses from lease activities 125 142 Expenses from other operating activities 125 142 In October 2022, the ECB announced a change in interest terms and conditions of its targeted longer-term refinancing operations programme (TLTRO III). Since 24 June 2022, the interest rate sensitivity of the TLTRO III funding was designated in a hedge relationship. As a result of the change in conditions, the hedge relationship was no longer effective and therefore had to be terminated. The negative mark-to-market of the hedging instrument at the date of termination was EUR 300 million and is recognised in Results from Financial Transactions. ", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-412-3": { "value": "6 Net income from other operating activities Accounting policy for other operating income Other operating income includes all other banking activities such as operating lease activities as lessor and results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair value changes relating to assets and liabilities measured at fair value through profit or loss, and changes in the value of derivatives related to such instruments. Dividend income from non-trading equity investments is recognised when entitlement is established. Income from operating lease activities is presented separately from the depreciation expense of the related assets. (in millions) 2022 2021 Income from lease activities 152 163 Disposal of operating activities and equity-accounted investments 147 3 Result from financial transactions 7 245 Other 69 395 Income from other operating activities 375 805 ", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-412-4": { "value": "6 Net income from other operating activities Accounting policy for other operating income Other operating income includes all other banking activities such as operating lease activities as lessor and results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair value changes relating to assets and liabilities measured at fair value through profit or loss, and changes in the value of derivatives related to such instruments. Dividend income from non-trading equity investments is recognised when entitlement is established. Income from operating lease activities is presented separately from the depreciation expense of the related assets. (in millions) 2022 2021 Expenses from lease activities 125 142 Expenses from other operating activities 125 142 ", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherOperatingExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-412-5": { "value": "6 Net income from other operating activities Accounting policy for other operating income Other operating income includes all other banking activities such as operating lease activities as lessor and results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair value changes relating to assets and liabilities measured at fair value through profit or loss, and changes in the value of derivatives related to such instruments. Dividend income from non-trading equity investments is recognised when entitlement is established. Income from operating lease activities is presented separately from the depreciation expense of the related assets. (in millions) 2022 2021 Income from lease activities 152 163 Disposal of operating activities and equity-accounted investments 147 3 Result from financial transactions 7 245 Other 69 395 Income from other operating activities 375 805 (in millions) 2022 2021 Expenses from lease activities 125 142 Expenses from other operating activities 125 142 24 Property and equipment, leases, goodwill and other intangible assets At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Accounting policy for leases Lessor accounting Where ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where the bank transfers substantially all risks and rewards incidental to ownership of the asset to the lessee are classified as finance leases. Leases that do not transfer these risks and rewards are classified as operating leases. Finance leases are recognised as a receivable in loans and advances at an amount equal to the net investment in the lease, less credit loss allowances. Assets subject to operating leases are recognised at cost in property and equipment. Operating income from finance leases is recognised in a pattern reflecting a constant periodic rate of return on the net investment in the lease. Lessee accounting All leases, except for low-value leases and leases with a duration of less than one year, are recognised on the balance sheet as a right of use (ROU) asset and lease liability. As a lessee, ABN AMRO enters into various lease contracts, mainly for office buildings and cars that the bank leases for its own use. When accounting for the contracts as a lessee, ABN AMRO separates non-lease components from lease components. Payments such as variable lease payments that do not depend on an index or a rate and non-lease components are not included in the lease liability. The ROU asset is initially measured at cost, which reflects the initial lease liability, adjusted for upfront lease payments, received incentives and initial direct costs. The initial lease liability is equal to the sum of the fixed lease payments, discounted by the incremental borrowing rate. The ROU asset is depreciated over the period of the lease, using the straight-line method. Adjustments to the ROU asset and corresponding lease liability result from remeasurement and/or modification. Remeasurement occurs when there is a change in the lease term or discount rate, or when ABN AMRO changes its assessment regarding purchase, extension or termination options. A lease modification is a change in the scope of the lease, or the consideration of a part of a lease that was not in the original terms and conditions of the lease. A lease modification results in either a separate additional lease or a change in the accounting for the existing lease. In the case of a lease modification not resulting in an additional lease, the lease liability is remeasured by adjusting the carrying amount of the ROU asset and, to reflect the partial or full termination of the lease, recognising any gain or loss in the statement of profit and loss. Expenses related to short-term leases with a term of less than 12 months and leases of low-value are recognised in the income statement. ROU assets are included in the line item Property and equipment, while the lease liabilities are included in Other liabilities. Depreciation of the ROU assets is included in the line item for depreciation and amortisation of tangible and intangible assets in the income statement, and interest expense on lease liabilities is included in the line item Other interest and similar expense. Sale and leaseback transactions In a sale and leaseback transaction, the seller-lessee transfers an underlying asset to the buyer-lessor and leases that asset back from the buyer-lessor. Seller-lessee accounting If the bank is involved in a sale and leaseback transaction as a seller-lessee, the accounting policy described below is from the perspective of a seller-lessee. To determine how to account for a sale and leaseback transaction, the bank first considers whether the initial transfer of the underlying asset from the seller-lessee to the buyer-lessor is a sale in accordance with IFRS 15. If a sale and leaseback transaction results in a sale in accordance with IFRS 15, the underlying asset is derecognised and the lessee accounting model is applied to the leaseback. The ROU asset arising from the leaseback is measured based on the proportion of the previous carrying amount of the asset that relates to the rights of use retained by the seller-lessee. Accordingly, any gain or loss that relates to the rights transferred to the buyer-lessor is recognised. The proportion of the rights of use retained is the ratio between the present value of lease payments at market rates (excluding any future index changes) and the fair value of the consideration for the sale proceeds. The residual proportion is the proportion of the rights transferred. The fair value of the consideration for the sale proceeds is equal to the fair value of the underlying asset in the sale-and-leaseback transaction. If this does not equal the fair value of the underlying asset, or if the payments for the lease are not at market rates, the bank makes adjustments to recognise the sale proceeds at the fair value. Any below-market terms are recognised as a prepayment of lease payments and any above-market terms are recognised as additional financing provided by the buyer-lessor to the seller-lessee. (in millions) 31 December 2022 31 December 2021 Land and buildings held for own use 191 211 Leasehold improvements 39 43 Plant & equipment under operating lease 427 533 Equipment 81 84 Right of use assets 241 299 Other 10 Total property and equipment 988 1,172 The right of use assets consist primarily of real estate. 2022 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under Equip-of use equip-and intangible intangible (in millions) own use ments oper. lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031 Acquisitions/divestments of subsidiaries -2 -2 Additions 33 8 96 38 93 11 278 3 3 Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450 Foreign exchange differences 2 -12 1 3 -7 1 1 Other -50 3 6 -68 -109 -1 -2 Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580 Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825 Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19 Depreciation of assets subject to operating lease -127 -127 Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446 Foreign exchange differences -1 6 -1 4 -1 -1 Other 36 -3 -4 -5 24 Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398 Impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78 Acquisitions/divestments of subsidiaries 2 2 Increase of impairments charged to the income statement -1 -4 -1 -6 Impairments on assets subject to operating lease 2 2 Reversal of impairments credited to the income statement 10 10 Reversal of impairments due to disposals 4 1 4 10 3 3 Foreign exchange differences -2 -3 Other -1 Impairments as at 31 December -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Total as at 31 December 191 39 427 81 241 10 988 79 30 108 2021 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under oper. Equip-of use equip-and intangible intangible (in millions) own use ments lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 842 242 978 863 436 3,360 146 880 1,027 Additions 23 10 11 8 31 255 437 21 21 Reversal of cost due to disposals -724 -11 -184 -97 -13 -1,029 -18 -18 Foreign exchange differences 2 19 3 7 31 1 1 Other 675 1 -4 -138 533 1 -1 Acquisition costs as at 31 December 815 244 931 795 547 3,333 147 884 1,031 Accumulated depreciation/amortisation as at 1 January -591 -189 -369 -743 -134 -2,026 -816 -816 Depreciation/amortisation -33 -15 -55 -72 -175 -20 -20 Depreciation of assets subject to operating lease -138 -138 Reversal of depreciation/amortisation due to disposals 455 11 125 88 9 687 12 12 Foreign exchange differences -2 -8 -3 -2 -13 -1 -1 Other -426 5 8 -413 1 1 Accumulated depreciation/amortisation as at 31 December -596 -195 -389 -707 -190 -2,078 -825 -825 Impairments as at 1 January -8 -5 -7 -3 -55 -79 -68 -15 -82 Increase of impairments charged to the income statement -1 -2 -3 -1 -1 Impairments on assets subject to operating lease -4 -4 Reversal of impairments credited to the income statement 5 5 Reversal of impairments due to disposals 1 4 5 6 6 Foreign exchange differences -1 -3 -4 Other -3 -3 Impairments as at 31 December -8 -6 -8 -4 -57 -83 -68 -10 -78 Total as at 31 December 211 43 533 84 299 1,172 79 48 127 Leases ABN AMRO enters into leases both as lessor and as lessee. In its capacity as lessee, ABN AMRO leases various assets, mainly office properties, cars and equipment that serve to support the bank\u2019s operations. The leases have various terms and termination and renewal options. The majority of termination and renewal options are exercisable only by the bank and not by the respective lessor. There are no variable lease payments in lease contracts where ABN AMRO acts as lessee. No covenants are present in the lease agreements and ABN AMRO is not allowed to use leased assets as security for financing purposes. The total cash outflow relating to leases in 2022 amounted to EUR 110 million (2021: EUR 91 million). Sale and leaseback of head office at Gustav Mahlerlaan In 2021, ABN AMRO completed the sale and leaseback of its head office at Gustav Mahlerlaan in Amsterdam. ABN AMRO is the seller-lessee in this transaction. The buyer-lessor of the office paid a total consideration of EUR 765 million. As part of the sale, ABN AMRO recognised a pre-tax gain of EUR 327 million (EUR 245 million net of tax) in other operating income (Note 6 Net income from other operating activities). As part of the lease, ABN AMRO recognised a ROU asset of EUR 78 million and a corresponding lease liability of EUR 203 million (Note 32 Other liabilities). ABN AMRO will lease back the Gustav Mahlerlaan office for a period of four years before moving to the redeveloped office building at Foppingadreef in Amsterdam Zuidoost. ABN AMRO has an option, which is only exercisable by ABN AMRO, to extend the lease by a further period of one year. As at 31 December 2022, ABN AMRO had not exercised the option to extend the lease. In Q3 2022, ABN AMRO has exercised the option to early terminate part of the lease of the Gustav Mahler building in June 2023. The closure is the result of progress being made both on the new owners\u2019 redevelopment plans for the site as well as continued progress on the circular repurposing of the materials at another location. As a result of exercising this early exit option, an additional gain of EUR 15.6 million has been recognised in in other operating income (Note 6 Net income from other operating activities).In the first four years of the lease contract, the lease is based on \u2018triple net\u2019 conditions, which means that the share of the owner\u2019s maintenance costs normally incurred by the lessor will be paid by the lessee. The contractual lease amounts are paid quarterly in advance. The office building at Foppingadreef is currently being redeveloped and work is expected to be completed by the end of 2025. After 2025, ABN AMRO will continue to lease a small part of the Gustav Mahlerlaan office, which will remain the bank\u2019s head office for an additional fifteen years, with the option to extend this period by five years. ABN AMRO is also financing part of the sale and leaseback transaction for the first four years of the lease contract. The following table shows the maturity of lease liabilities for leases in which the bank acts as lessee, as well as the future undiscounted minimum lease receipts under operating and financial leases where the bank acts as lessor. It also reconciles the total future minimum lease receipts under financial leases and the net investment in the leases. 31 December 2022 More than More than Unearned Net Within 3 months but 1 year but More than finance investment (in millions) 3 months within 1 year within 5 years 5 years Total income in the lease Lease liabilities 22 66 224 52 364 n/a n/a Future minimum lease receipts under financial leases 689 1,055 2,531 402 4,678 -281 4,396 Future minimum lease receipts under operating leases 36 126 272 36 469 n/a n/a 31 December 2021 Lease liabilities 15 44 174 88 320 n/a n/a Future minimum lease receipts under financial leases 771 1,124 2,882 446 5,222 -250 4,972 Future minimum lease receipts under operating leases 42 135 369 37 583 n/a n/a The net investment in the leases amounted to EUR 4,396 million (31 December 2021: EUR 4,972 million). The decrease was mainly due to interest rate developments as this leads to less demand for new leasing contracts and more opportunities for early termination and prepayment by clients. ABN AMRO retains risk with respect to its declining portfolio. However, it has been actively de-risking the lease portfolio, mainly in the UK. Furthermore, Asset Based Finance decreased its exposure to certain lease products and client segments by selling these exposures to other market participants, requesting clients to search for alternative funding or demanding prepayments on lease facilities. In its capacity as lessor, ABN AMRO leases out various assets. Operating leases in which the bank acts as lessor are included in Property and equipment \u2013 equipment. Financial leases in which the bank acts as lessor are included in corporate loans under loans and advances customers. Income from leases in which ABN AMRO acts as lessor is presented in the following table. (in millions) 2022 2021 Income from financial leases 133 147 Income from operating leases 152 163 Total income from leases 285 309 Income related to variable lease payments on financial leases amounted to EUR 3 million in 2022. There was no income relating to variable lease payments on operating leases. ABN AMRO also acts as an intermediate lessor in subleases where it subleases ROU assets to a third party. During 2022, the total income from subleasing ROU assets amounted to EUR 5 million. ", "dimensions": { "concept": "ifrs-full:DisclosureOfLeasesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-423-4": { "value": "7 Net trading income Accounting policy for net trading income In accordance with IFRS 9, trading positions are held at fair value, and net trading income includes gains and losses arising from changes in the fair value of such financial assets and liabilities. The latter comprises gains and losses from trading financial assets and liabilities, interest income and expenses related to trading financial assets and liabilities, and dividends received from trading instruments. Dividend income and dividends from trading instruments are recognised at the dividend announcement date. Net trading income also includes changes in fair value arising from changes in counterparty credit spreads (CVA) and changes in own credit spreads (DVA) where these impact on the value of our trading assets and liabilities. The funding valuation adjustment (FVA) incorporates the incremental cost of funding into the valuation of uncollateralised and partly collateralised derivatives.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForTradingIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-420-2": { "value": "(in millions) 2022 2021 Interest instruments trading 155 28 Equity and commodity trading 7 Foreign exchange transaction results 127 110 Total net trading income 282 145 7 Net trading income Accounting policy for net trading income In accordance with IFRS 9, trading positions are held at fair value, and net trading income includes gains and losses arising from changes in the fair value of such financial assets and liabilities. The latter comprises gains and losses from trading financial assets and liabilities, interest income and expenses related to trading financial assets and liabilities, and dividends received from trading instruments. Dividend income and dividends from trading instruments are recognised at the dividend announcement date. Net trading income also includes changes in fair value arising from changes in counterparty credit spreads (CVA) and changes in own credit spreads (DVA) where these impact on the value of our trading assets and liabilities. The funding valuation adjustment (FVA) incorporates the incremental cost of funding into the valuation of uncollateralised and partly collateralised derivatives.", "dimensions": { "concept": "ifrs-full:DisclosureOfTradingIncomeExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-425-2": { "value": "9 Personnel expenses Accounting policy for personnel expenses Salaries and wages, social security charges and other salary-related costs are recognised over the period in which the employees provide the services to which the payments relate. The accounting policies for pensions and other post-employment benefits are included in Note 31 Pension and other employee benefits. (in millions) 2022 2021 Salaries and wages 1,810 1,726 Social security charges 242 220 Expenses relating to Defined post employment benefit plans 14 3 Defined contribution plan expenses 321 291 Other 72 84 Total personnel expenses 2,458 2,324 31 Pension and other employee benefits Accounting policy for pension and other employee benefits ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands. Defined contribution plans For defined contribution plans, ABN AMRO pays annual contributions determined by a fixed method and has no legal or constructive obligation to pay any further contributions. Contributions are recognised directly in the income statement in the year to which they relate. Actuarial and investment risk are for the account of the participants in the plan. Defined benefit plans For defined benefit plans, the net obligation of each plan is the difference between the present value of the defined benefit obligations and the fair value of the plan\u2019s assets. The actuarial assumptions used for calculating the present value of the defined benefit obligations include discount rates based on high-quality corporate bonds, the inflation rate, future salary increases, employee contributions, mortality assumptions and rates of employee turnover. The assumptions are based on available market data and management expectations at the end of the reporting period. Plan assets are measured at fair value at balance sheet date and are netted against the defined benefit obligations. Pension costs recognised in the income statement for defined benefit plans consist of: \u00c5 service costs; \u00c5 net interest costs determined by multiplying the net defined benefit liability (asset) by the discount rate, both as at the start of the annual reporting period, taking into account any changes in the net defined benefit liability (asset) during the period as a result of contributions and benefit payments; and \u00c5 curtailments or plan amendments. Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments. Remeasurement Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover). They are recognised in other comprehensive income and are not recycled to profit or loss in later periods. The actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets and any tax payable by the pension plan itself. Other employee benefits Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining in service up to retirement age and the completion of a minimum service period. The expected costs of these benefits are accrued over the period of employment, using the same accounting methodology as used for defined benefit pension plans. These obligations are calculated annually. Plans in all countries comply with applicable local regulations concerning investments and minimum funding levels. Pension and other employee benefits Amounts recognised in the income statement for pensions and other employee benefits 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Current service cost 5 3 8 7 11 18 Interest cost 2 2 1 2 Interest income -1 -1 -1 -1 Other 12 -4 8 -3 -3 Total defined benefit expenses in actuarial report 18 -1 17 7 8 15 Other expenses -4 -4 -4 -4 Total defined benefit expenses 14 -1 12 3 8 11 Defined contribution plans 321 321 291 291 Total pension expenses and other post retirement employee benefits 334 -1 333 294 8 302 Pension expenses for defined contribution plans consist mainly of the cash contributions to the Dutch collective defined contribution plan. Dutch defined contribution plan The Dutch defined contribution plan is a collective defined contribution plan, based on an average salary plan. The target retirement age is set at 68 years. The contribution payable by pension fund participants is 5.5% (2021: 5.5%). Participants\u2019 contributions to the defined contribution plan in 2022 amounted to EUR 50 million (2021: EUR 47 million) and are included in the pension expenses. Reconciliation to the statement of financial position and other comprehensive income 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Present value of defined benefit obligations - funded with plan assets 197 3 200 242 3 246 Fair value of plan assets 157 157 189 189 40 3 43 54 3 57 Present value of defined benefit obligations - unfunded 30 125 155 24 134 158 Net liabilities/(assets) balance sheet at 31 December 70 128 198 78 137 215 - of which assets 5 5 1 1 - of which liabilities 75 128 202 79 137 216 Experience adjustments -4 -1 -4 14 13 Remeasurements arising from changes in demographic assumptions DBO 1 1 1 1 Remeasurements arising from changes in financial assumptions DBO 36 4 40 6 1 7 Remeasurements arising from changes in financial assumptions plan assets -20 -20 3 3 Remeasurements in other comprehensive income 13 3 16 23 24 Change in defined benefit obligation (DBO) 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Defined benefit obligation as at 1 January 266 137 404 300 136 435 Current service cost 5 3 8 7 11 18 Interest cost 2 2 1 2 Benefits paid in from employer -9 -4 -13 -9 -3 -12 Remeasurements arising from changes in demographic assumptions -1 -1 -1 -1 Experience adjustments 4 1 4 -14 -13 Remeasurements arising from changes in financial assumptions -36 -4 -40 -6 -1 -7 Other -5 -5 -10 -12 -6 -18 Defined benefit obligation as at 31 December 227 128 355 266 137 404 The net defined benefit liabilities/(assets) balance as at 31 December 2022 consisted of pensioners with a profit share, the indexation of benefits insured with an insurance company and several small defined benefit plans outside the Netherlands. Change in fair value of plan assets 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Fair value of plan assets as at 1 January 189 189 194 194 Interest income 1 1 1 1 Return on plan assets excluding interest -20 -20 3 3 Employer's contributions 1 1 Other -12 -12 -10 -10 Fair value of plan assets as at 31 December 157 157 189 189 Principal actuarial assumptions 2022 2021 Discount rate 3.4% 0.8% Indexation rate 2.0% 1.7% Future salary increases 2.2% 2.2% The above assumptions are weighted by defined benefit obligations. The discount rate consists of a risk-free rate and a credit spread on AA-rated corporate bonds. ", "dimensions": { "concept": "ifrs-full:DisclosureOfEmployeeBenefitsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-425-3": { "value": "9 Personnel expenses Accounting policy for personnel expenses Salaries and wages, social security charges and other salary-related costs are recognised over the period in which the employees provide the services to which the payments relate. The accounting policies for pensions and other post-employment benefits are included in Note 31 Pension and other employee benefits. (in millions) 2022 2021 Salaries and wages 1,810 1,726 Social security charges 242 220 Expenses relating to Defined post employment benefit plans 14 3 Defined contribution plan expenses 321 291 Other 72 84 Total personnel expenses 2,458 2,324 10 General and administrative expenses Accounting policy for general and administrative expenses Costs are recognised in the period in which services have been provided and to which the payment relates. (in millions) 2022 2021 Agency staff, contractors and consultancy costs 810 875 Staff-related costs 52 38 Information technology costs 974 980 Housing 99 88 Post, telephone and transport 28 32 Marketing and public relations costs 92 84 Regulatory charges 426 463 Other 314 728 Total general and administrative expenses 2,796 3,287 (in millions) 2022 2021 Bank tax 97 150 Deposit Guarantee Scheme 93 127 Single Resolution Fund 207 159 Other regulatory levies 30 27 Total regulatory charges 426 463 Auditor\u2019s fees to EY are included under agency staff, contractors and consultancy costs. The fees stated for the audit of the financial statements are based on the total fees for the audit of the financial statements, regardless of whether the procedures were performed before the year-end. These are specified in the following table. (in millions) 2022 2021 Financial statements audit fees 15 15 Audit-related fees 2 2 Total auditor's fee 17 17 Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 13 million in 2022 (2021: EUR 13 million). Audit-related fees for activities in the Netherlands amounted to EUR 2 million in 2022 (2021: EUR 2 million). Audit-related fees comprise services for regulatory reporting purposes, comfort letters and consent letters, assurance engagements on segregation of assets, assurance on service organisation reports and procedures agreed for supervisory purposes. 24 Property and equipment, leases, goodwill and other intangible assets 2022 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under Equip-of use equip-and intangible intangible (in millions) own use ments oper. lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031 Acquisitions/divestments of subsidiaries -2 -2 Additions 33 8 96 38 93 11 278 3 3 Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450 Foreign exchange differences 2 -12 1 3 -7 1 1 Other -50 3 6 -68 -109 -1 -2 Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580 Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825 Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19 Depreciation of assets subject to operating lease -127 -127 Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446 Foreign exchange differences -1 6 -1 4 -1 -1 Other 36 -3 -4 -5 24 Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398 Impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78 Acquisitions/divestments of subsidiaries 2 2 Increase of impairments charged to the income statement -1 -4 -1 -6 Impairments on assets subject to operating lease 2 2 Reversal of impairments credited to the income statement 10 10 Reversal of impairments due to disposals 4 1 4 10 3 3 Foreign exchange differences -2 -3 Other -1 Impairments as at 31 December -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Total as at 31 December 191 39 427 81 241 10 988 79 30 108 2021 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under oper. Equip-of use equip-and intangible intangible (in millions) own use ments lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 842 242 978 863 436 3,360 146 880 1,027 Additions 23 10 11 8 31 255 437 21 21 Reversal of cost due to disposals -724 -11 -184 -97 -13 -1,029 -18 -18 Foreign exchange differences 2 19 3 7 31 1 1 Other 675 1 -4 -138 533 1 -1 Acquisition costs as at 31 December 815 244 931 795 547 3,333 147 884 1,031 Accumulated depreciation/amortisation as at 1 January -591 -189 -369 -743 -134 -2,026 -816 -816 Depreciation/amortisation -33 -15 -55 -72 -175 -20 -20 Depreciation of assets subject to operating lease -138 -138 Reversal of depreciation/amortisation due to disposals 455 11 125 88 9 687 12 12 Foreign exchange differences -2 -8 -3 -2 -13 -1 -1 Other -426 5 8 -413 1 1 Accumulated depreciation/amortisation as at 31 December -596 -195 -389 -707 -190 -2,078 -825 -825 Impairments as at 1 January -8 -5 -7 -3 -55 -79 -68 -15 -82 Increase of impairments charged to the income statement -1 -2 -3 -1 -1 Impairments on assets subject to operating lease -4 -4 Reversal of impairments credited to the income statement 5 5 Reversal of impairments due to disposals 1 4 5 6 6 Foreign exchange differences -1 -3 -4 Other -3 -3 Impairments as at 31 December -8 -6 -8 -4 -57 -83 -68 -10 -78 Total as at 31 December 211 43 533 84 299 1,172 79 48 127 (in millions) 2022 2022 Depreciation on tangible assets Land and buildings held for own use 24 33 Leasehold improvements 13 15 Equipment 42 55 Right of use assets 78 72 Amortisation on intangible assets Purchased software 10 11 Internally developed software 2 3 Other intangible assets 7 6 Impairment losses on tangible assets Land and buildings held for own use (incl. held for sale) 1 1 Right of use assets -5 -3 Other 1 Impairment losses on intangible assets Purchased software 1 Total depreciation, amortisation and impairment losses 172 194 ", "dimensions": { "concept": "ifrs-full:DisclosureOfExpensesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-425-4": { "value": "9 Personnel expenses Accounting policy for personnel expenses Salaries and wages, social security charges and other salary-related costs are recognised over the period in which the employees provide the services to which the payments relate. The accounting policies for pensions and other post-employment benefits are included in Note 31 Pension and other employee benefits. (in millions) 2022 2021 Salaries and wages 1,810 1,726 Social security charges 242 220 Expenses relating to Defined post employment benefit plans 14 3 Defined contribution plan expenses 321 291 Other 72 84 Total personnel expenses 2,458 2,324 10 General and administrative expenses Accounting policy for general and administrative expenses Costs are recognised in the period in which services have been provided and to which the payment relates. (in millions) 2022 2021 Agency staff, contractors and consultancy costs 810 875 Staff-related costs 52 38 Information technology costs 974 980 Housing 99 88 Post, telephone and transport 28 32 Marketing and public relations costs 92 84 Regulatory charges 426 463 Other 314 728 Total general and administrative expenses 2,796 3,287 (in millions) 2022 2021 Bank tax 97 150 Deposit Guarantee Scheme 93 127 Single Resolution Fund 207 159 Other regulatory levies 30 27 Total regulatory charges 426 463 Auditor\u2019s fees to EY are included under agency staff, contractors and consultancy costs. The fees stated for the audit of the financial statements are based on the total fees for the audit of the financial statements, regardless of whether the procedures were performed before the year-end. These are specified in the following table. (in millions) 2022 2021 Financial statements audit fees 15 15 Audit-related fees 2 2 Total auditor's fee 17 17 Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 13 million in 2022 (2021: EUR 13 million). Audit-related fees for activities in the Netherlands amounted to EUR 2 million in 2022 (2021: EUR 2 million). Audit-related fees comprise services for regulatory reporting purposes, comfort letters and consent letters, assurance engagements on segregation of assets, assurance on service organisation reports and procedures agreed for supervisory purposes. 24 Property and equipment, leases, goodwill and other intangible assets 2022 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under Equip-of use equip-and intangible intangible (in millions) own use ments oper. lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031 Acquisitions/divestments of subsidiaries -2 -2 Additions 33 8 96 38 93 11 278 3 3 Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450 Foreign exchange differences 2 -12 1 3 -7 1 1 Other -50 3 6 -68 -109 -1 -2 Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580 Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825 Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19 Depreciation of assets subject to operating lease -127 -127 Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446 Foreign exchange differences -1 6 -1 4 -1 -1 Other 36 -3 -4 -5 24 Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398 Impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78 Acquisitions/divestments of subsidiaries 2 2 Increase of impairments charged to the income statement -1 -4 -1 -6 Impairments on assets subject to operating lease 2 2 Reversal of impairments credited to the income statement 10 10 Reversal of impairments due to disposals 4 1 4 10 3 3 Foreign exchange differences -2 -3 Other -1 Impairments as at 31 December -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Total as at 31 December 191 39 427 81 241 10 988 79 30 108 2021 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under oper. Equip-of use equip-and intangible intangible (in millions) own use ments lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 842 242 978 863 436 3,360 146 880 1,027 Additions 23 10 11 8 31 255 437 21 21 Reversal of cost due to disposals -724 -11 -184 -97 -13 -1,029 -18 -18 Foreign exchange differences 2 19 3 7 31 1 1 Other 675 1 -4 -138 533 1 -1 Acquisition costs as at 31 December 815 244 931 795 547 3,333 147 884 1,031 Accumulated depreciation/amortisation as at 1 January -591 -189 -369 -743 -134 -2,026 -816 -816 Depreciation/amortisation -33 -15 -55 -72 -175 -20 -20 Depreciation of assets subject to operating lease -138 -138 Reversal of depreciation/amortisation due to disposals 455 11 125 88 9 687 12 12 Foreign exchange differences -2 -8 -3 -2 -13 -1 -1 Other -426 5 8 -413 1 1 Accumulated depreciation/amortisation as at 31 December -596 -195 -389 -707 -190 -2,078 -825 -825 Impairments as at 1 January -8 -5 -7 -3 -55 -79 -68 -15 -82 Increase of impairments charged to the income statement -1 -2 -3 -1 -1 Impairments on assets subject to operating lease -4 -4 Reversal of impairments credited to the income statement 5 5 Reversal of impairments due to disposals 1 4 5 6 6 Foreign exchange differences -1 -3 -4 Other -3 -3 Impairments as at 31 December -8 -6 -8 -4 -57 -83 -68 -10 -78 Total as at 31 December 211 43 533 84 299 1,172 79 48 127 (in millions) 2022 2022 Depreciation on tangible assets Land and buildings held for own use 24 33 Leasehold improvements 13 15 Equipment 42 55 Right of use assets 78 72 Amortisation on intangible assets Purchased software 10 11 Internally developed software 2 3 Other intangible assets 7 6 Impairment losses on tangible assets Land and buildings held for own use (incl. held for sale) 1 1 Right of use assets -5 -3 Other 1 Impairment losses on intangible assets Purchased software 1 Total depreciation, amortisation and impairment losses 172 194 ", "dimensions": { "concept": "ifrs-full:DisclosureOfExpensesByNatureExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-425-6": { "value": "9 Personnel expenses Accounting policy for personnel expenses Salaries and wages, social security charges and other salary-related costs are recognised over the period in which the employees provide the services to which the payments relate. The accounting policies for pensions and other post-employment benefits are included in Note 31 Pension and other employee benefits. 31 Pension and other employee benefits Accounting policy for pension and other employee benefits ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands. Defined contribution plans For defined contribution plans, ABN AMRO pays annual contributions determined by a fixed method and has no legal or constructive obligation to pay any further contributions. Contributions are recognised directly in the income statement in the year to which they relate. Actuarial and investment risk are for the account of the participants in the plan. Defined benefit plans For defined benefit plans, the net obligation of each plan is the difference between the present value of the defined benefit obligations and the fair value of the plan\u2019s assets. The actuarial assumptions used for calculating the present value of the defined benefit obligations include discount rates based on high-quality corporate bonds, the inflation rate, future salary increases, employee contributions, mortality assumptions and rates of employee turnover. The assumptions are based on available market data and management expectations at the end of the reporting period. Plan assets are measured at fair value at balance sheet date and are netted against the defined benefit obligations. Pension costs recognised in the income statement for defined benefit plans consist of: \u00c5 service costs; \u00c5 net interest costs determined by multiplying the net defined benefit liability (asset) by the discount rate, both as at the start of the annual reporting period, taking into account any changes in the net defined benefit liability (asset) during the period as a result of contributions and benefit payments; and \u00c5 curtailments or plan amendments. Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments. Remeasurement Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover). They are recognised in other comprehensive income and are not recycled to profit or loss in later periods. The actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets and any tax payable by the pension plan itself. Other employee benefits Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining in service up to retirement age and the completion of a minimum service period. The expected costs of these benefits are accrued over the period of employment, using the same accounting methodology as used for defined benefit pension plans. These obligations are calculated annually. Plans in all countries comply with applicable local regulations concerning investments and minimum funding levels. 37 Share-based payment Accounting policy for share-based payment Identified staff as defined by CRD V are entitled to receive variable compensation. The variable compensation consists of a cash element and a share-based element settled in cash. The cash element in the variable compensation plan is recognised in accordance with IAS 19 and the other element qualifies as a cash-settled share-based payment in accordance with IFRS 2. The compensation is granted for a certain performance year for 50% in cash and for 50% in share-based compensation settled in cash. The vesting conditions include bad leaver conditions and consist of a deferral period and a retention period until the share-based compensation is settled in cash. Up to and including the performance year 2019, the share-based compensation settled in cash (depositary receipt) vests for 30% two years after the performance year. The remaining 20% vests in three equal tranches in the third, fourth and fifth year following the performance year. At the end of the vesting period, participants receive the cash value of the five-day average of an ABN AMRO listed depositary receipt (DR). The share-based compensation settled in cash granted for 2019 and the years before gives the option to request DRs rather than cash. This choice can be made during the quarter in which settlement takes place and is subject to Supervisory Board approval. This equity component in the plan is valued at nil until the request is approved. Participants receive the same amount of fair value, regardless of whether they choose cash or DRs. If participants choose DRs, the value of the DRs is transferred in its entirety from the liability to an equity account. The actual delivery to the participant is expected to take place in the same quarter as the choice is made. ABN AMRO will not issue additional shares for the compensation granted for 2019 and before, but will buy shares in the market when needed. As the purchase of shares is expected to take place in the quarter during which the DRs are delivered, there is no impact on (diluted) earnings per share. As from performance year 2020, the DRs were replaced by performance certificates (PCs) as share-based compensation settled in cash. The share-based compensation settled in cash vests for 30% in the first year. The remaining 20% vests in four equal tranches in the second, third, fourth and fifth year following the performance year. At the end of the vesting period, participants receive the cash value of the five-day average of ABN AMRO\u2019s share price. Share-based compensation settled in cash granted from performance year 2020 onwards does not include the option to request DRs. A liability is recognised for the fair value of cash-settled transactions. The fair value is measured initially and at each reporting date up to and including the settlement date, with changes in fair value recognised in employee benefits expense. The fair value is determined using an internally developed model based on the share price and market expectations of future dividends. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForEmployeeBenefitsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-425-7": { "value": "9 Personnel expenses Accounting policy for personnel expenses Salaries and wages, social security charges and other salary-related costs are recognised over the period in which the employees provide the services to which the payments relate. The accounting policies for pensions and other post-employment benefits are included in Note 31 Pension and other employee benefits. 10 General and administrative expenses Accounting policy for general and administrative expenses Costs are recognised in the period in which services have been provided and to which the payment relates. 24 Property and equipment, leases, goodwill and other intangible assets Accounting policy for property and equipment Property and equipment is stated at cost less accumulated depreciation and any impairment amount. At each balance sheet date, an assessment is performed to determine whether there is any indication of impairment. Subsequent costs are capitalised if these result in an enhancement to the asset. Depreciation is charged to the income statement on a straight-line basis over the estimated useful lives of items of property and equipment, and of major components that are accounted for separately. ABN AMRO generally uses the following useful lives in calculating depreciation: Land: not depreciated; Buildings: 30 years; Leasehold improvements: 5 years; Equipment: 5 years; Installations (durable): 10 years; Computer installations: 2 to 5 years. Depreciation rates and residual values are reviewed at least periodically to take into account any change in circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account the term and renewal conditions of the related lease. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForExpensesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-427-4": { "value": "10 General and administrative expenses Accounting policy for general and administrative expenses Costs are recognised in the period in which services have been provided and to which the payment relates. (in millions) 2022 2021 Agency staff, contractors and consultancy costs 810 875 Staff-related costs 52 38 Information technology costs 974 980 Housing 99 88 Post, telephone and transport 28 32 Marketing and public relations costs 92 84 Regulatory charges 426 463 Other 314 728 Total general and administrative expenses 2,796 3,287 (in millions) 2022 2021 Bank tax 97 150 Deposit Guarantee Scheme 93 127 Single Resolution Fund 207 159 Other regulatory levies 30 27 Total regulatory charges 426 463 Auditor\u2019s fees to EY are included under agency staff, contractors and consultancy costs. The fees stated for the audit of the financial statements are based on the total fees for the audit of the financial statements, regardless of whether the procedures were performed before the year-end. These are specified in the following table. (in millions) 2022 2021 Financial statements audit fees 15 15 Audit-related fees 2 2 Total auditor's fee 17 17 Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 13 million in 2022 (2021: EUR 13 million). Audit-related fees for activities in the Netherlands amounted to EUR 2 million in 2022 (2021: EUR 2 million). Audit-related fees comprise services for regulatory reporting purposes, comfort letters and consent letters, assurance engagements on segregation of assets, assurance on service organisation reports and procedures agreed for supervisory purposes. ", "dimensions": { "concept": "ifrs-full:DisclosureOfGeneralAndAdministrativeExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-427-5": { "value": "10 General and administrative expenses Auditor\u2019s fees to EY are included under agency staff, contractors and consultancy costs. The fees stated for the audit of the financial statements are based on the total fees for the audit of the financial statements, regardless of whether the procedures were performed before the year-end. These are specified in the following table. (in millions) 2022 2021 Financial statements audit fees 15 15 Audit-related fees 2 2 Total auditor's fee 17 17 Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 13 million in 2022 (2021: EUR 13 million). Audit-related fees for activities in the Netherlands amounted to EUR 2 million in 2022 (2021: EUR 2 million). Audit-related fees comprise services for regulatory reporting purposes, comfort letters and consent letters, assurance engagements on segregation of assets, assurance on service organisation reports and procedures agreed for supervisory purposes. ", "dimensions": { "concept": "ifrs-full:DisclosureOfAuditorsRemunerationExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-432-2": { "value": "11 Income tax expense, tax assets and tax liabilities Accounting policy for income tax expense, tax assets and tax liabilities Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and in the statement of other comprehensive income in the period in which profits arise. Withholding taxes are included in income tax when these taxes become payable by a subsidiary, associate or joint arrangement on distributions to ABN AMRO. Income tax recoverable on tax-allowable losses is recognised as a current tax asset only to the extent that it is regarded as recoverable by offsetting against taxable profits arising in the current or prior period. Current tax is measured using tax rates enacted at the balance sheet date. Deferred tax is recognised for qualifying temporary differences. Temporary differences represent the difference between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for taxation purposes. The amount of deferred tax provided is based on the expected manner of realisation or settlement of the carrying amount of assets and liabilities, using tax rates enacted at the balance sheet date. A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. Tax assets and liabilities The most significant temporary differences arise from the revaluation of certain financial assets and liabilities, including derivative contracts, allowances for loan impairment and investments. The following table summarises the tax position. 31 December 2022 31 December 2021 (in millions) Assets Liabilities Assets Liabilities Current tax 68 22 119 101 Deferred tax 497 620 Total tax assets and liabilities 565 22 739 101 The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in the following tables. As at Of which: Of which: As at 31 December Income 31 December deferred deferred (in millions) 2021 statement OCI Equity Other 2022 tax asset tax liability Assets and liabilities held for trading, derivatives and financial investments 448 -1 -131 315 341 25 Property and equipment (excluding leases) and intangible assets 18 6 23 25 3 Loans 7 6 12 13 Equity-accounted investments Leases 37 1 38 96 58 Pensions and other (post-)employment benefits 11 -1 -1 9 9 Provisions 24 -2 -2 20 21 Tax losses carried forward 51 -12 1 40 40 Other 24 17 -2 39 49 10 Deferred tax assets (+) and liabilities (-) 620 13 -137 497 593 97 Offsetting deferred tax assets and liabilities 97 97 Net deferred tax assets (+) and liabilities (-) 497 As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions) 2020 statement OCI Equity Other 2021 tax asset tax liability Assets and liabilities held for trading, derivatives and financial investments 560 1 -113 448 538 90 Property and equipment (excluding leases) and intangible assets 15 3 18 22 4 Loans 6 1 7 7 1 Equity-accounted investments 3 -3 Leases 5 32 37 110 72 Pensions and other (post-)employment benefits 20 -6 -3 11 11 Provisions 17 9 -2 24 24 Tax losses carried forward 25 25 51 51 Other 19 9 -5 24 47 23 Deferred tax assets (+) and liabilities (-) 671 72 -123 1 620 811 191 Offsetting deferred tax assets and liabilities 191 191 Net deferred tax assets (+) and liabilities (-) 620 ", "dimensions": { "concept": "ifrs-full:DisclosureOfTaxReceivablesAndPayablesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-432-3": { "value": "11 Income tax expense, tax assets and tax liabilities Accounting policy for income tax expense, tax assets and tax liabilities Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and in the statement of other comprehensive income in the period in which profits arise. Withholding taxes are included in income tax when these taxes become payable by a subsidiary, associate or joint arrangement on distributions to ABN AMRO. Income tax recoverable on tax-allowable losses is recognised as a current tax asset only to the extent that it is regarded as recoverable by offsetting against taxable profits arising in the current or prior period. Current tax is measured using tax rates enacted at the balance sheet date. Deferred tax is recognised for qualifying temporary differences. Temporary differences represent the difference between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for taxation purposes. The amount of deferred tax provided is based on the expected manner of realisation or settlement of the carrying amount of assets and liabilities, using tax rates enacted at the balance sheet date. A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. Deferred tax assets and liabilities are offset only when there is both a legal right to offset and an intention to settle on a net basis. (in millions) 2022 2021 Recognised in income statement: Current tax expenses for the current period 530 675 Adjustments recognised in the period for current tax of prior periods -7 1 Total current tax expense 522 676 Deferred tax arising from the current period 2 -41 Impact of changes in tax rates on deferred taxes 1 -1 Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset -13 -24 Deferred tax prior period -2 -9 Previously unrecognised tax losses, tax credits and temporary differences reducing deferred tax expense -1 3 Total deferred tax expense -13 -72 Total income tax expense 509 604 Reconciliation of the total tax charge The effective tax rate based on the consolidated income statement differs from the theoretical tax rate that would arise using the statutory tax rate of the Netherlands. This difference is explained in the following table. (in millions) 2022 Effective tax rate 2021 Effective tax rate Profit/(loss) before taxation 2,376 1,838 Applicable tax rate 25.8% 25.0% Expected income tax expense 613 459 International tax rate difference -10 -0.4% -5 -0.3% Adjustment previous years -9 -0.4% -8 -0.4% Change in tax rates 1 0.0% -1 -0.1% Bank tax 24 1.0% 36 2.0% Non-taxable income -3 -0.1% -1 -0.1% Non-deductible expenses -6 -0.3% 152 8.3% Tax exempted result (participation exemption) -87 -3.7% -45 -2.4% Losses not benefited -1 -0.1% 40 2.2% Change recognition of deferred tax assets -13 -0.5% -24 -1.3% Other tax effects 1 0.0% 0.0% Actual income tax expense 509 21.4% 604 32.9% The effective tax rate in 2022 (21.4%) is lower than in 2021 (32.9%). This decrease was mainly driven by the AML settlement recorded in 2021, which was not tax deductible. The effective tax rate of 21.4%, compared to the standard Dutch rate of 25.8%, was mainly driven by proceeds and revaluations exempted under the Dutch participation exemption, offset by the non-deductible Dutch bank tax. Tax assets and liabilities The most significant temporary differences arise from the revaluation of certain financial assets and liabilities, including derivative contracts, allowances for loan impairment and investments. The following table summarises the tax position. 31 December 2022 31 December 2021 (in millions) Assets Liabilities Assets Liabilities Current tax 68 22 119 101 Deferred tax 497 620 Total tax assets and liabilities 565 22 739 101 The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in the following tables. As at Of which: Of which: As at 31 December Income 31 December deferred deferred (in millions) 2021 statement OCI Equity Other 2022 tax asset tax liability Assets and liabilities held for trading, derivatives and financial investments 448 -1 -131 315 341 25 Property and equipment (excluding leases) and intangible assets 18 6 23 25 3 Loans 7 6 12 13 Equity-accounted investments Leases 37 1 38 96 58 Pensions and other (post-)employment benefits 11 -1 -1 9 9 Provisions 24 -2 -2 20 21 Tax losses carried forward 51 -12 1 40 40 Other 24 17 -2 39 49 10 Deferred tax assets (+) and liabilities (-) 620 13 -137 497 593 97 Offsetting deferred tax assets and liabilities 97 97 Net deferred tax assets (+) and liabilities (-) 497 As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions) 2020 statement OCI Equity Other 2021 tax asset tax liability Assets and liabilities held for trading, derivatives and financial investments 560 1 -113 448 538 90 Property and equipment (excluding leases) and intangible assets 15 3 18 22 4 Loans 6 1 7 7 1 Equity-accounted investments 3 -3 Leases 5 32 37 110 72 Pensions and other (post-)employment benefits 20 -6 -3 11 11 Provisions 17 9 -2 24 24 Tax losses carried forward 25 25 51 51 Other 19 9 -5 24 47 23 Deferred tax assets (+) and liabilities (-) 671 72 -123 1 620 811 191 Offsetting deferred tax assets and liabilities 191 191 Net deferred tax assets (+) and liabilities (-) 620 Deferred tax assets Deferred tax assets are recognised to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. Recognition is based on estimates of taxable income by jurisdiction in which ABN AMRO operates and the period over which deferred tax assets are recoverable. In the event that actual results differ from these estimates in future periods, changes to the recognition of deferred tax assets could be required and these could impact our financial position and net profit. No deferred income taxes have been recognised on undistributed earnings of ABN AMRO\u2019s subsidiaries, branches and interests in joint ventures. Tax losses The total accumulated losses available for carry-forward at 31 December 2022 amounted to EUR 1,428 million (31 December 2021: EUR 2,550 million), of which EUR 194 million (31 December 2021: EUR 202 million) was recognised for future tax benefits. The recorded deferred tax asset for tax losses carried forward amounted to EUR 40 million (31 December 2021: EUR 51 million). Unrecognised tax assets Certain amounts of deferred tax assets are not recognised because future taxable profits are not considered probable. Deferred tax assets for an amount of EUR 58 million (31 December 2021: EUR 83 million) have not been recognised in respect of deductible temporary differences of EUR 242 million (31 December 2021: EUR 342 million). In addition, deferred tax assets for an amount of EUR 239 million (31 December 2021: EUR 429 million) have not been recognised in respect of tax losses of EUR 1,234 million (31 December 2021: EUR 2,348 million). In 2022, an amount of EUR 1,190 million of unrecognised tax losses was finally written off, due to liquidation of the company and branch holding these losses. No use for these losses could be identified. Tax credits and unrecognised tax credits ABN AMRO did not have any carry-forward tax credits at 31 December 2022. Loss carry-forward by year of expiration After No (in millions) 2022 2023 2024 2025 2026 2027 5 years expiration Total 2022 Loss carry-forward recognised 60 135 194 Loss carry-forward not recognised 1,234 1,234 Total tax losses carry-forward (gross) 60 1,369 1,428 2021 Loss carry-forward recognised 24 177 202 Loss carry-forward not recognised 11 2 3 39 3 2,290 2,348 Total tax losses carry-forward (gross) 11 2 3 39 3 24 2,468 2,550 Of the total amount of recognised net deferred tax assets, EUR 20 million (31 December 2021: EUR 57 million) was related to entities that suffered a loss in either the current or preceding year. The recognition of these deferred tax assets is based on a projection of future taxable income. Tax related to equity Tax related to components of other comprehensive income and tax related to equity and movements in equity can be found in the Consolidated statement of comprehensive income and the Consolidated statement of changes in equity. Income tax consequences of dividend Dividends are, in principle, subject to a 15% withholding tax in the Netherlands. In 2022, ABN AMRO Bank N.V. withheld EUR 128 million of dividend withholding tax on dividends paid to its shareholders. Country-by-country reporting 31 December 2022 Operating Total profit/(loss) operating Average before Income Income Total income number of taxation (in tax expense tax paid Principal subsidiary Main activity assets (in millions) FTEs millions) (in millions) (in millions) Netherlands ABN AMRO Bank N.V. Personal & Business 346,618 6,732 17,101 1,957 424 522 Banking France Banque Neuflize OBC S.A. Wealth Management 4,935 320 848 80 13 7 Germany ABN AMRO Bank N.V. Wealth Management 3,231 201 734 24 10 -4 Frankfurt Branch Belgium ABN AMRO Bank N.V. Wealth Management 1,105 91 373 10 Branch Belgium United Kingdom ABN AMRO Asset based Corporate Banking 1,829 62 326 53 8 5 Finance N.V., UK branche Norway ABN AMRO Bank N.V. Corporate Banking 2,043 60 16 43 9 1 Oslo Branch United States ABN AMRO Clearing Corporate Banking 16,732 187 337 102 29 -4 Chicago LLC Brazil Banco ABN AMRO S.A. Corporate Banking 210 14 33 12 4 Singapore ABN AMRO Clearing Corporate Banking 2,053 78 155 47 4 4 Singapore Pte. Ltd. Hong Kong ABN AMRO Clearing Corporate Banking 295 52 61 34 5 5 Hong Kong Ltd. Japan ABN AMRO Clearing Corporate Banking 262 20 23 8 2 4 Tokyo Co. Ltd. Australia ABN AMRO Clearing Corporate Banking 337 15 68 3 2 Sydney Pty Ltd. Other -69 8 5 4 Total 379,581 7,841 20,080 2,376 509 544 31 December 2021 Operating Total profit/(loss) operating Average before Income tax Income tax Total income (in number of taxation expense paid Principal subsidiary Main activity assets millions) FTEs (in millions) (in millions) (in millions) Netherlands ABN AMRO Bank N.V. Personal & Business 364,653 6,806 16,491 1,884 566 421 Banking France Banque Neuflize OBC S.A. Wealth Management 5,061 310 822 85 25 54 Germany Bethmann Bank AG Wealth Management 3,711 63 689 -118 2 8 Belgium ABN AMRO Bank N.V. Wealth Management 1,268 87 381 10 5 Branch Belgium United Kingdom ABN AMRO Asset based Corporate Banking 2,169 58 318 -18 -3 3 Finance N.V., UK branche Norway ABN AMRO Bank N.V. Corporate Banking 2,011 31 17 33 -18 Oslo Branch United States ABN AMRO Clearing Corporate Banking 16,131 70 395 -109 16 32 Chicago LLC Brazil Banco ABN AMRO S.A. Corporate Banking 224 11 55 7 -4 2 Singapore ABN AMRO Bank N.V. Corporate Banking 3,037 83 214 35 5 6 Branch Singapore Hong Kong ABN AMRO Bank N.V. Corporate Banking 553 35 88 15 4 6 Branch Hong Kong Japan ABN AMRO Clearing Corporate Banking 57 20 18 9 3 3 Tokyo Co. Ltd. United Arab ABN AMRO Bank N.V. Wealth Management 2 Emirates Branch UAE/DIFC Australia ABN AMRO Clearing Corporate Banking 380 20 68 5 3 Sydney Pty Ltd. Other -143 5 25 -1 Total 399,113 7,597 19,583 1,838 604 534 ABN AMRO received government grants for its participation in the TLTRO programmes in 2022 and 2021. For more information, please refer to the Note 27 Due to banks. ", "dimensions": { "concept": "ifrs-full:DisclosureOfDeferredTaxesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-432-4": { "value": "11 Income tax expense, tax assets and tax liabilities Accounting policy for income tax expense, tax assets and tax liabilities Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and in the statement of other comprehensive income in the period in which profits arise. Withholding taxes are included in income tax when these taxes become payable by a subsidiary, associate or joint arrangement on distributions to ABN AMRO. Income tax recoverable on tax-allowable losses is recognised as a current tax asset only to the extent that it is regarded as recoverable by offsetting against taxable profits arising in the current or prior period. Current tax is measured using tax rates enacted at the balance sheet date. Deferred tax is recognised for qualifying temporary differences. Temporary differences represent the difference between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for taxation purposes. The amount of deferred tax provided is based on the expected manner of realisation or settlement of the carrying amount of assets and liabilities, using tax rates enacted at the balance sheet date. A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. Deferred tax assets and liabilities are offset only when there is both a legal right to offset and an intention to settle on a net basis. (in millions) 2022 2021 Recognised in income statement: Current tax expenses for the current period 530 675 Adjustments recognised in the period for current tax of prior periods -7 1 Total current tax expense 522 676 Deferred tax arising from the current period 2 -41 Impact of changes in tax rates on deferred taxes 1 -1 Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset -13 -24 Deferred tax prior period -2 -9 Previously unrecognised tax losses, tax credits and temporary differences reducing deferred tax expense -1 3 Total deferred tax expense -13 -72 Total income tax expense 509 604 Reconciliation of the total tax charge The effective tax rate based on the consolidated income statement differs from the theoretical tax rate that would arise using the statutory tax rate of the Netherlands. This difference is explained in the following table. (in millions) 2022 Effective tax rate 2021 Effective tax rate Profit/(loss) before taxation 2,376 1,838 Applicable tax rate 25.8% 25.0% Expected income tax expense 613 459 International tax rate difference -10 -0.4% -5 -0.3% Adjustment previous years -9 -0.4% -8 -0.4% Change in tax rates 1 0.0% -1 -0.1% Bank tax 24 1.0% 36 2.0% Non-taxable income -3 -0.1% -1 -0.1% Non-deductible expenses -6 -0.3% 152 8.3% Tax exempted result (participation exemption) -87 -3.7% -45 -2.4% Losses not benefited -1 -0.1% 40 2.2% Change recognition of deferred tax assets -13 -0.5% -24 -1.3% Other tax effects 1 0.0% 0.0% Actual income tax expense 509 21.4% 604 32.9% The effective tax rate in 2022 (21.4%) is lower than in 2021 (32.9%). This decrease was mainly driven by the AML settlement recorded in 2021, which was not tax deductible. The effective tax rate of 21.4%, compared to the standard Dutch rate of 25.8%, was mainly driven by proceeds and revaluations exempted under the Dutch participation exemption, offset by the non-deductible Dutch bank tax. Tax assets and liabilities The most significant temporary differences arise from the revaluation of certain financial assets and liabilities, including derivative contracts, allowances for loan impairment and investments. The following table summarises the tax position. 31 December 2022 31 December 2021 (in millions) Assets Liabilities Assets Liabilities Current tax 68 22 119 101 Deferred tax 497 620 Total tax assets and liabilities 565 22 739 101 The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in the following tables. As at Of which: Of which: As at 31 December Income 31 December deferred deferred (in millions) 2021 statement OCI Equity Other 2022 tax asset tax liability Assets and liabilities held for trading, derivatives and financial investments 448 -1 -131 315 341 25 Property and equipment (excluding leases) and intangible assets 18 6 23 25 3 Loans 7 6 12 13 Equity-accounted investments Leases 37 1 38 96 58 Pensions and other (post-)employment benefits 11 -1 -1 9 9 Provisions 24 -2 -2 20 21 Tax losses carried forward 51 -12 1 40 40 Other 24 17 -2 39 49 10 Deferred tax assets (+) and liabilities (-) 620 13 -137 497 593 97 Offsetting deferred tax assets and liabilities 97 97 Net deferred tax assets (+) and liabilities (-) 497 As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions) 2020 statement OCI Equity Other 2021 tax asset tax liability Assets and liabilities held for trading, derivatives and financial investments 560 1 -113 448 538 90 Property and equipment (excluding leases) and intangible assets 15 3 18 22 4 Loans 6 1 7 7 1 Equity-accounted investments 3 -3 Leases 5 32 37 110 72 Pensions and other (post-)employment benefits 20 -6 -3 11 11 Provisions 17 9 -2 24 24 Tax losses carried forward 25 25 51 51 Other 19 9 -5 24 47 23 Deferred tax assets (+) and liabilities (-) 671 72 -123 1 620 811 191 Offsetting deferred tax assets and liabilities 191 191 Net deferred tax assets (+) and liabilities (-) 620 Deferred tax assets Deferred tax assets are recognised to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. Recognition is based on estimates of taxable income by jurisdiction in which ABN AMRO operates and the period over which deferred tax assets are recoverable. In the event that actual results differ from these estimates in future periods, changes to the recognition of deferred tax assets could be required and these could impact our financial position and net profit. No deferred income taxes have been recognised on undistributed earnings of ABN AMRO\u2019s subsidiaries, branches and interests in joint ventures. Tax losses The total accumulated losses available for carry-forward at 31 December 2022 amounted to EUR 1,428 million (31 December 2021: EUR 2,550 million), of which EUR 194 million (31 December 2021: EUR 202 million) was recognised for future tax benefits. The recorded deferred tax asset for tax losses carried forward amounted to EUR 40 million (31 December 2021: EUR 51 million). Unrecognised tax assets Certain amounts of deferred tax assets are not recognised because future taxable profits are not considered probable. Deferred tax assets for an amount of EUR 58 million (31 December 2021: EUR 83 million) have not been recognised in respect of deductible temporary differences of EUR 242 million (31 December 2021: EUR 342 million). In addition, deferred tax assets for an amount of EUR 239 million (31 December 2021: EUR 429 million) have not been recognised in respect of tax losses of EUR 1,234 million (31 December 2021: EUR 2,348 million). In 2022, an amount of EUR 1,190 million of unrecognised tax losses was finally written off, due to liquidation of the company and branch holding these losses. No use for these losses could be identified. Tax credits and unrecognised tax credits ABN AMRO did not have any carry-forward tax credits at 31 December 2022. Loss carry-forward by year of expiration After No (in millions) 2022 2023 2024 2025 2026 2027 5 years expiration Total 2022 Loss carry-forward recognised 60 135 194 Loss carry-forward not recognised 1,234 1,234 Total tax losses carry-forward (gross) 60 1,369 1,428 2021 Loss carry-forward recognised 24 177 202 Loss carry-forward not recognised 11 2 3 39 3 2,290 2,348 Total tax losses carry-forward (gross) 11 2 3 39 3 24 2,468 2,550 Of the total amount of recognised net deferred tax assets, EUR 20 million (31 December 2021: EUR 57 million) was related to entities that suffered a loss in either the current or preceding year. The recognition of these deferred tax assets is based on a projection of future taxable income. Tax related to equity Tax related to components of other comprehensive income and tax related to equity and movements in equity can be found in the Consolidated statement of comprehensive income and the Consolidated statement of changes in equity. Income tax consequences of dividend Dividends are, in principle, subject to a 15% withholding tax in the Netherlands. In 2022, ABN AMRO Bank N.V. withheld EUR 128 million of dividend withholding tax on dividends paid to its shareholders. Country-by-country reporting 31 December 2022 Operating Total profit/(loss) operating Average before Income Income Total income number of taxation (in tax expense tax paid Principal subsidiary Main activity assets (in millions) FTEs millions) (in millions) (in millions) Netherlands ABN AMRO Bank N.V. Personal & Business 346,618 6,732 17,101 1,957 424 522 Banking France Banque Neuflize OBC S.A. Wealth Management 4,935 320 848 80 13 7 Germany ABN AMRO Bank N.V. Wealth Management 3,231 201 734 24 10 -4 Frankfurt Branch Belgium ABN AMRO Bank N.V. Wealth Management 1,105 91 373 10 Branch Belgium United Kingdom ABN AMRO Asset based Corporate Banking 1,829 62 326 53 8 5 Finance N.V., UK branche Norway ABN AMRO Bank N.V. Corporate Banking 2,043 60 16 43 9 1 Oslo Branch United States ABN AMRO Clearing Corporate Banking 16,732 187 337 102 29 -4 Chicago LLC Brazil Banco ABN AMRO S.A. Corporate Banking 210 14 33 12 4 Singapore ABN AMRO Clearing Corporate Banking 2,053 78 155 47 4 4 Singapore Pte. Ltd. Hong Kong ABN AMRO Clearing Corporate Banking 295 52 61 34 5 5 Hong Kong Ltd. Japan ABN AMRO Clearing Corporate Banking 262 20 23 8 2 4 Tokyo Co. Ltd. Australia ABN AMRO Clearing Corporate Banking 337 15 68 3 2 Sydney Pty Ltd. Other -69 8 5 4 Total 379,581 7,841 20,080 2,376 509 544 31 December 2021 Operating Total profit/(loss) operating Average before Income tax Income tax Total income (in number of taxation expense paid Principal subsidiary Main activity assets millions) FTEs (in millions) (in millions) (in millions) Netherlands ABN AMRO Bank N.V. Personal & Business 364,653 6,806 16,491 1,884 566 421 Banking France Banque Neuflize OBC S.A. Wealth Management 5,061 310 822 85 25 54 Germany Bethmann Bank AG Wealth Management 3,711 63 689 -118 2 8 Belgium ABN AMRO Bank N.V. Wealth Management 1,268 87 381 10 5 Branch Belgium United Kingdom ABN AMRO Asset based Corporate Banking 2,169 58 318 -18 -3 3 Finance N.V., UK branche Norway ABN AMRO Bank N.V. Corporate Banking 2,011 31 17 33 -18 Oslo Branch United States ABN AMRO Clearing Corporate Banking 16,131 70 395 -109 16 32 Chicago LLC Brazil Banco ABN AMRO S.A. Corporate Banking 224 11 55 7 -4 2 Singapore ABN AMRO Bank N.V. Corporate Banking 3,037 83 214 35 5 6 Branch Singapore Hong Kong ABN AMRO Bank N.V. Corporate Banking 553 35 88 15 4 6 Branch Hong Kong Japan ABN AMRO Clearing Corporate Banking 57 20 18 9 3 3 Tokyo Co. Ltd. United Arab ABN AMRO Bank N.V. Wealth Management 2 Emirates Branch UAE/DIFC Australia ABN AMRO Clearing Corporate Banking 380 20 68 5 3 Sydney Pty Ltd. Other -143 5 25 -1 Total 399,113 7,597 19,583 1,838 604 534 ABN AMRO received government grants for its participation in the TLTRO programmes in 2022 and 2021. For more information, please refer to the Note 27 Due to banks. ", "dimensions": { "concept": "ifrs-full:DisclosureOfIncomeTaxExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-432-6": { "value": "11 Income tax expense, tax assets and tax liabilities Accounting policy for income tax expense, tax assets and tax liabilities Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and in the statement of other comprehensive income in the period in which profits arise. Withholding taxes are included in income tax when these taxes become payable by a subsidiary, associate or joint arrangement on distributions to ABN AMRO. Income tax recoverable on tax-allowable losses is recognised as a current tax asset only to the extent that it is regarded as recoverable by offsetting against taxable profits arising in the current or prior period. Current tax is measured using tax rates enacted at the balance sheet date. Deferred tax is recognised for qualifying temporary differences. Temporary differences represent the difference between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for taxation purposes. The amount of deferred tax provided is based on the expected manner of realisation or settlement of the carrying amount of assets and liabilities, using tax rates enacted at the balance sheet date. A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIncomeTaxExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-432-7": { "value": "11 Income tax expense, tax assets and tax liabilities Accounting policy for income tax expense, tax assets and tax liabilities Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and in the statement of other comprehensive income in the period in which profits arise. Withholding taxes are included in income tax when these taxes become payable by a subsidiary, associate or joint arrangement on distributions to ABN AMRO. Income tax recoverable on tax-allowable losses is recognised as a current tax asset only to the extent that it is regarded as recoverable by offsetting against taxable profits arising in the current or prior period. Current tax is measured using tax rates enacted at the balance sheet date. Deferred tax is recognised for qualifying temporary differences. Temporary differences represent the difference between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for taxation purposes. The amount of deferred tax provided is based on the expected manner of realisation or settlement of the carrying amount of assets and liabilities, using tax rates enacted at the balance sheet date. A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will allow the deferred tax asset to be recovered. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredIncomeTaxExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-438-2": { "value": "12 Earnings per share The following table shows the composition of basic earnings per share at 31 December. 2022 2021 Profit/(loss) for Number Earnings per Profit/(loss) Number Earnings per 1 1 (in millions) the periodof shares share (in EUR) for the periodof shares share (in EUR) Basic earnings 1,776 908 1.96 1,140 940 1.21 1 Earnings consist of profit excluding results attributable to non-controlling interests and payments to holders of AT1 instruments. ABN AMRO Bank N.V. does not have any dilutive potential ordinary shares. Therefore only basic earnings per ordinary share is disclosed. Basic earnings per ordinary share is calculated by dividing the profit attributable to the owners of the parent company by the weighted average number of ordinary shares outstanding. During 2022, a final dividend was distributed for 2021 of EUR 0.61 per share for a total of EUR 553 million and an interim dividend was distributed for 2022 of EUR 0.32 per share for a total of EUR 287 million. For the year 2022, a final dividend has been proposed of EUR 0.67 per share. During the first half of 2022, ABN AMRO Bank N.V. conducted a EUR 500 million buyback programme. The buyback programme resulted in the purchase of 42 million ordinary shares throughout the first half year. As a result, the weighted average number of ordinary shares was 908 million. ", "dimensions": { "concept": "ifrs-full:DisclosureOfEarningsPerShareExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-438-3": { "value": "12 Earnings per share The following table shows the composition of basic earnings per share at 31 December. 2022 2021 Profit/(loss) for Number Earnings per Profit/(loss) Number Earnings per 1 1 (in millions) the periodof shares share (in EUR) for the periodof shares share (in EUR) Basic earnings 1,776 908 1.96 1,140 940 1.21 1 Earnings consist of profit excluding results attributable to non-controlling interests and payments to holders of AT1 instruments. ABN AMRO Bank N.V. does not have any dilutive potential ordinary shares. Therefore only basic earnings per ordinary share is disclosed. Basic earnings per ordinary share is calculated by dividing the profit attributable to the owners of the parent company by the weighted average number of ordinary shares outstanding. During 2022, a final dividend was distributed for 2021 of EUR 0.61 per share for a total of EUR 553 million and an interim dividend was distributed for 2022 of EUR 0.32 per share for a total of EUR 287 million. For the year 2022, a final dividend has been proposed of EUR 0.67 per share. During the first half of 2022, ABN AMRO Bank N.V. conducted a EUR 500 million buyback programme. The buyback programme resulted in the purchase of 42 million ordinary shares throughout the first half year. As a result, the weighted average number of ordinary shares was 908 million. 33 Equity Dividends Dividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which they are approved by shareholders. At 31 December 2022, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares. The authorised share capital consists of 2,200,000,000 ordinary A-shares with a nominal value of EUR 1.00 and 200,000,000 ordinary B-shares with a nominal value of EUR 1.00. Every share is entitled to one vote during the General Meeting. During the financial year there were no changes in the authorised share capital. The total number of issued shares at 31 December 2022 was 897,521,916. In 2022, the final dividend for the year 2021 of EUR 0.61 per share was paid out for a total of EUR 553 million and the 2022 interim dividend of EUR 0.32 per share was paid out for a total of EUR 287 million. For the year 2022, a final dividend has been proposed of EUR 0.67 per share. During the first half year of 2022, ABN AMRO Bank N.V. purchased treasury shares under the buyback programme for EUR 500 million, at an average price of EUR 11.77 per share. These treasury shares were cancelled during Q3, resulting in a reduction in the issued share capital of 42,478,085 shares, with a nominal value of EUR 1.00 each. The amount of the purchase value between EUR 1.00 (the nominal value of the purchased shares) and EUR 11.55 (the value of the purchased shares for tax purposes) has been deducted from the share premium reserve. The amount of the purchase value in excess of EUR 11.55 has been deducted from other reserves. ", "dimensions": { "concept": "ifrs-full:DisclosureOfDividendsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "s8_notes__7__6": { "value": "0.61", "decimals": 2, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00", "unit": "iso4217:EUR/xbrli:shares" } }, "s8_notes__8__5": { "value": "0.67", "decimals": 2, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2021-01-01T00:00:00/2022-01-01T00:00:00", "unit": "iso4217:EUR/xbrli:shares" } }, "pp-value-437-3": { "value": "(in millions) 31 December 2022 31 December 2021 Assets Cash on hand and other cash equivalents 342 12 Balances with central banks readily convertible in cash other than mandatory reserve deposits 60,523 66,853 Total cash and balances at central banks 60,865 66,865 13 Cash and balances at central banks Accounting policy for cash and balances at central banks Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits are disclosed in Note 20 Loans and advances banks. ", "dimensions": { "concept": "ifrs-full:DisclosureOfCashAndCashEquivalentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-437-4": { "value": "(in millions) 31 December 2022 31 December 2021 Assets Cash on hand and other cash equivalents 342 12 Balances with central banks readily convertible in cash other than mandatory reserve deposits 60,523 66,853 Total cash and balances at central banks 60,865 66,865 13 Cash and balances at central banks Accounting policy for cash and balances at central banks Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits are disclosed in Note 20 Loans and advances banks. ", "dimensions": { "concept": "ifrs-full:DisclosureOfCashAndBankBalancesAtCentralBanksExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-440-3": { "value": "14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. Financial assets held for trading (in millions) 31 December 2022 31 December 2021 Trading securities Government bonds 214 480 Corporate debt securities 681 670 Equity securities 10 3 Total trading securities 906 1,153 Other trading assets 1 2 Total financial assets held for trading 907 1,155 These portfolios consist of primary dealership positions of ABN AMRO Bank N.V. in the respective countries and positions for the purpose of client facilitation. 31 December 2022 Hedge Total Derivatives held for trading Economic hedges accounting derivatives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 51 51 Fair value liabilities 10 10 Notionals 15,853 5 15,858 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,331,761 886 101,439 1,434,086 Other bilateral Fair value assets 4,035 742 3 46 312 23 5,161 Fair value liabilities 2,841 817 3 95 48 334 4,138 Notionals 206,343 54,289 241 661 17,468 89,813 368,814 Total Fair value assets 4,086 742 3 46 312 23 5,212 Fair value liabilities 2,851 817 3 95 48 334 4,148 Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 31 December 2021 Hedge Total deriva-Derivatives held for trading Economic hedges accounting tives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 4 4 Fair value liabilities 3 3 Notionals 4,217 9 1 4,226 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,026,420 1,195 106,305 1,133,920 Other bilateral Fair value assets 2,385 509 78 68 177 13 552 3,781 Fair value liabilities 2,865 563 113 143 11 8 3 535 4,341 Notionals 148,764 48,213 1,498 1,048 10,621 74 59,651 269,869 Total Fair value assets 2,388 509 78 68 177 13 552 3,785 Fair value liabilities 2,866 567 113 143 11 8 3 535 4,344 Notionals 1,179,401 48,222 1,499 2,243 10,621 74 165,956 1,408,016 ", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialAssetsHeldForTradingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-440-4": { "value": "14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. 31 December 2022 Hedge Total Derivatives held for trading Economic hedges accounting derivatives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 51 51 Fair value liabilities 10 10 Notionals 15,853 5 15,858 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,331,761 886 101,439 1,434,086 Other bilateral Fair value assets 4,035 742 3 46 312 23 5,161 Fair value liabilities 2,841 817 3 95 48 334 4,138 Notionals 206,343 54,289 241 661 17,468 89,813 368,814 Total Fair value assets 4,086 742 3 46 312 23 5,212 Fair value liabilities 2,851 817 3 95 48 334 4,148 Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758 Financial liabilities held for trading (in millions) 31 December 2022 31 December 2021 Bonds 609 654 Equity securities 1 Total short security positions 610 654 Other liabilities held for trading 32 33 Total financial liabilities held for trading 641 687 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 31 December 2021 Hedge Total deriva-Derivatives held for trading Economic hedges accounting tives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 4 4 Fair value liabilities 3 3 Notionals 4,217 9 1 4,226 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,026,420 1,195 106,305 1,133,920 Other bilateral Fair value assets 2,385 509 78 68 177 13 552 3,781 Fair value liabilities 2,865 563 113 143 11 8 3 535 4,341 Notionals 148,764 48,213 1,498 1,048 10,621 74 59,651 269,869 Total Fair value assets 2,388 509 78 68 177 13 552 3,785 Fair value liabilities 2,866 567 113 143 11 8 3 535 4,344 Notionals 1,179,401 48,222 1,499 2,243 10,621 74 165,956 1,408,016 ", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialLiabilitiesHeldForTradingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-440-5": { "value": "14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. Financial assets held for trading (in millions) 31 December 2022 31 December 2021 Trading securities Government bonds 214 480 Corporate debt securities 681 670 Equity securities 10 3 Total trading securities 906 1,153 Other trading assets 1 2 Total financial assets held for trading 907 1,155 These portfolios consist of primary dealership positions of ABN AMRO Bank N.V. in the respective countries and positions for the purpose of client facilitation. 31 December 2022 Hedge Total Derivatives held for trading Economic hedges accounting derivatives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 51 51 Fair value liabilities 10 10 Notionals 15,853 5 15,858 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,331,761 886 101,439 1,434,086 Other bilateral Fair value assets 4,035 742 3 46 312 23 5,161 Fair value liabilities 2,841 817 3 95 48 334 4,138 Notionals 206,343 54,289 241 661 17,468 89,813 368,814 Total Fair value assets 4,086 742 3 46 312 23 5,212 Fair value liabilities 2,851 817 3 95 48 334 4,148 Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758 Financial liabilities held for trading (in millions) 31 December 2022 31 December 2021 Bonds 609 654 Equity securities 1 Total short security positions 610 654 Other liabilities held for trading 32 33 Total financial liabilities held for trading 641 687 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 31 December 2021 Hedge Total deriva-Derivatives held for trading Economic hedges accounting tives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 4 4 Fair value liabilities 3 3 Notionals 4,217 9 1 4,226 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,026,420 1,195 106,305 1,133,920 Other bilateral Fair value assets 2,385 509 78 68 177 13 552 3,781 Fair value liabilities 2,865 563 113 143 11 8 3 535 4,341 Notionals 148,764 48,213 1,498 1,048 10,621 74 59,651 269,869 Total Fair value assets 2,388 509 78 68 177 13 552 3,785 Fair value liabilities 2,866 567 113 143 11 8 3 535 4,344 Notionals 1,179,401 48,222 1,499 2,243 10,621 74 165,956 1,408,016 ", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsHeldForTradingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-440-6": { "value": "14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. Financial assets held for trading (in millions) 31 December 2022 31 December 2021 Trading securities Government bonds 214 480 Corporate debt securities 681 670 Equity securities 10 3 Total trading securities 906 1,153 Other trading assets 1 2 Total financial assets held for trading 907 1,155 These portfolios consist of primary dealership positions of ABN AMRO Bank N.V. in the respective countries and positions for the purpose of client facilitation. 31 December 2022 Hedge Total Derivatives held for trading Economic hedges accounting derivatives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 51 51 Fair value liabilities 10 10 Notionals 15,853 5 15,858 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,331,761 886 101,439 1,434,086 Other bilateral Fair value assets 4,035 742 3 46 312 23 5,161 Fair value liabilities 2,841 817 3 95 48 334 4,138 Notionals 206,343 54,289 241 661 17,468 89,813 368,814 Total Fair value assets 4,086 742 3 46 312 23 5,212 Fair value liabilities 2,851 817 3 95 48 334 4,148 Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758 Financial liabilities held for trading (in millions) 31 December 2022 31 December 2021 Bonds 609 654 Equity securities 1 Total short security positions 610 654 Other liabilities held for trading 32 33 Total financial liabilities held for trading 641 687 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 31 December 2021 Hedge Total deriva-Derivatives held for trading Economic hedges accounting tives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 4 4 Fair value liabilities 3 3 Notionals 4,217 9 1 4,226 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,026,420 1,195 106,305 1,133,920 Other bilateral Fair value assets 2,385 509 78 68 177 13 552 3,781 Fair value liabilities 2,865 563 113 143 11 8 3 535 4,341 Notionals 148,764 48,213 1,498 1,048 10,621 74 59,651 269,869 Total Fair value assets 2,388 509 78 68 177 13 552 3,785 Fair value liabilities 2,866 567 113 143 11 8 3 535 4,344 Notionals 1,179,401 48,222 1,499 2,243 10,621 74 165,956 1,408,016 17 Financial investments Accounting policy for financial investments Financial investments include financial instruments measured at fair value through other comprehensive income (FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL). Accounting policy for financial instruments measured at fair value through profit and loss Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are mandatorily measured at fair value because they do not meet the SPPI test. (in millions) 31 December 2022 31 December 2021 Financial investments Debt securities held at fair value through other comprehensive income 38,408 42,585 Held at fair value through profit or loss 626 580 Total financial investments 39,034 43,165 Financial investments measured at fair value through profit or loss (in millions) 31 December 2022 31 December 2021 Private equities and venture capital 418 369 Equity securities 207 211 Total investments held at fair value through profit or loss 626 580 ", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-440-10": { "value": "14 Financial assets and liabilities held for trading Accounting policy for financial assets and liabilities held for trading In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement. 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 17 Financial investments Accounting policy for financial investments Financial investments include financial instruments measured at fair value through other comprehensive income (FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL). Accounting policy for financial instruments measured at fair value through profit and loss Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are mandatorily measured at fair value because they do not meet the SPPI test. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-444-14": { "value": "15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 16 Hedge accounting Accounting policy for hedge accounting ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties to hedge risks on assets, liabilities and net investments. The accounting treatment of the hedged item and the hedging instrument depends on whether the hedge relationship qualifies for hedge accounting. Qualifying hedges may be designated as fair value hedges, cash flow hedges or hedges of net investments. A non-derivative financial asset or liability may be designated as a hedging instrument for hedge accounting purposes only if it hedges the risk of changes in foreign currency exchange rates. The hedged item can be an asset, liability, or net investment in a foreign operation that (a) exposes the entity to the risk of changes in fair value or future cash flows, and (b) is designated as being hedged. The hedged risks are typically changes in interest rates or foreign currency rates. ABN AMRO\u2019s market risk management strategy, which includes interest rate risk and foreign currency risk in the banking book, is described in more detail in the Risk, funding & capital management section. Both at the inception of the hedge and on an ongoing basis, ABN AMRO assesses whether the derivatives designated in each hedging relationship are expected to be and have been highly effective in offsetting changes in the fair value or cash flows of the hedged item. These prospective and retrospective effectiveness tests are performed by using a regression analysis. ABN AMRO applies the following criteria to assess whether the hedging relationship is effective: \u00c5 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and \u00c5 A slope of the regression line is within a range of 0.80-1.25. Hedge ineffectiveness and gains and losses on components of a derivative that are excluded from the assessment of hedge effectiveness are recorded directly in the result from financial transactions as part of other operating income. ABN AMRO discontinues hedge accounting when the hedge relationship has ceased to be effective or is no longer expected to be effective, or when the derivative or hedged item is sold or otherwise terminated. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsAndHedgingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-444-15": { "value": "15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-442-8": { "value": "31 December 2022 Hedge Total Derivatives held for trading Economic hedges accounting derivatives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 51 51 Fair value liabilities 10 10 Notionals 15,853 5 15,858 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,331,761 886 101,439 1,434,086 Other bilateral Fair value assets 4,035 742 3 46 312 23 5,161 Fair value liabilities 2,841 817 3 95 48 334 4,138 Notionals 206,343 54,289 241 661 17,468 89,813 368,814 Total Fair value assets 4,086 742 3 46 312 23 5,212 Fair value liabilities 2,851 817 3 95 48 334 4,148 Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758 15 Derivatives Accounting policy for derivatives Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate exposures. ABN AMRO also offers products that are traded on the financial markets to institutional and individual clients and governments. Derivatives held for risk management purposes include derivatives qualifying for hedge accounting and those used for economic hedges. A hedging instrument, for hedge accounting purposes, is a designated derivative whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item. Derivative assets and liabilities subject to master netting arrangements are presented net only when they satisfy the eligibility requirements for netting under IAS 32. ABN AMRO did not have any netted derivative positions in the statement of financial position in either 2022 or 2021. As derivative transactions and the related cash collateral held at a CCP are settled on a daily basis, the carrying amount of these positions in the statement of financial position is nil. From a risk perspective, the gross amount of trading assets must be associated with the gross amount of trading liabilities, which are presented separately in the statement of financial position. 31 December 2021 Hedge Total deriva-Derivatives held for trading Economic hedges accounting tives Interest Interest Interest (in millions) rate Currency Other rate Currency Other rate Exchange traded Fair value assets 4 4 Fair value liabilities 3 3 Notionals 4,217 9 1 4,226 Over-the-counter Central counterparties Fair value assets Fair value liabilities Notionals 1,026,420 1,195 106,305 1,133,920 Other bilateral Fair value assets 2,385 509 78 68 177 13 552 3,781 Fair value liabilities 2,865 563 113 143 11 8 3 535 4,341 Notionals 148,764 48,213 1,498 1,048 10,621 74 59,651 269,869 Total Fair value assets 2,388 509 78 68 177 13 552 3,785 Fair value liabilities 2,866 567 113 143 11 8 3 535 4,344 Notionals 1,179,401 48,222 1,499 2,243 10,621 74 165,956 1,408,016 ", "dimensions": { "concept": "ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-446-7": { "value": "16 Hedge accounting Accounting policy for hedge accounting ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties to hedge risks on assets, liabilities and net investments. The accounting treatment of the hedged item and the hedging instrument depends on whether the hedge relationship qualifies for hedge accounting. Qualifying hedges may be designated as fair value hedges, cash flow hedges or hedges of net investments. A non-derivative financial asset or liability may be designated as a hedging instrument for hedge accounting purposes only if it hedges the risk of changes in foreign currency exchange rates. The hedged item can be an asset, liability, or net investment in a foreign operation that (a) exposes the entity to the risk of changes in fair value or future cash flows, and (b) is designated as being hedged. The hedged risks are typically changes in interest rates or foreign currency rates. ABN AMRO\u2019s market risk management strategy, which includes interest rate risk and foreign currency risk in the banking book, is described in more detail in the Risk, funding & capital management section. Both at the inception of the hedge and on an ongoing basis, ABN AMRO assesses whether the derivatives designated in each hedging relationship are expected to be and have been highly effective in offsetting changes in the fair value or cash flows of the hedged item. These prospective and retrospective effectiveness tests are performed by using a regression analysis. ABN AMRO applies the following criteria to assess whether the hedging relationship is effective: \u00c5 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and \u00c5 A slope of the regression line is within a range of 0.80-1.25. Hedge ineffectiveness and gains and losses on components of a derivative that are excluded from the assessment of hedge effectiveness are recorded directly in the result from financial transactions as part of other operating income. ABN AMRO discontinues hedge accounting when the hedge relationship has ceased to be effective or is no longer expected to be effective, or when the derivative or hedged item is sold or otherwise terminated. Application of IAS 39 as endorsed by the European Union As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39 as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9. The EU-endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared to the full hedge accounting text of IAS 39. One of these reliefs is that negative credit spreads can be excluded from hedge relationships. ABN AMRO applies this to several micro fair value hedge relationships. Another relief is that the impact of changes in the estimates of the repricing dates is considered ineffective only if it leads to over-hedging. This relief is applied in the macro fair value hedge. Fair value hedges ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges the exposure to changes in the fair value of the hedged item, the hedged item is adjusted in relation to the risk being hedged. Gains or losses on remeasurement of both the hedging instrument and the hedged item are recognised in the income statement as result from financial transactions, which is part of the line item Other operating income. Hedge effectiveness for fair value hedges is measured as the amount by which the changes in the fair value of the hedging instrument are different from the changes in the fair value of the hedged item. When a fair value hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged item is derecognised. Micro fair value hedge accounting Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes in the fair value of fixed-rate assets and fixed-rate liabilities due to changes in market interest rates. The main sources of hedge ineffectiveness in micro fair value hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; \u00c5 The difference in discounting between the hedged item and the hedging instrument; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. Macro fair value hedge accounting ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps. The exposure from this portfolio frequently changes due to new loans originated, contractual repayments and prepayments made by clients in each period. More than one group (or portfolio) of mortgages can be identified as the hedged item within the fixed-rate mortgage portfolio. To ensure an effective matching of hedged items and hedging instruments, ABN AMRO applies a dynamic strategy in which hedged items are de-designated and re-designated on a monthly basis. The hedge accounting relationship is reviewed and re-designated on a monthly basis. Hedged mortgages are fixed-rate mortgages with the following features: \u00c5 denominated in local currency (euros); \u00c5 fixed term to maturity or repricing; \u00c5 pre-payable amortising or fixed principal amounts; \u00c5 fixed interest payment dates; \u00c5 no interest rate options; \u00c5 accounted for on an amortised cost basis. At each designation, the mortgage cash flows are allocated to monthly time buckets, based on the expected maturity dates. ABN AMRO models the maturity dates of mortgages, taking into account the modelled prepayments applied to the contractual cash flows and the maturity dates of the mortgage portfolio. If the interest rate swap notional exceeds the expected mortgage notional in any given month, taking into account the uncertainty of the expected mortgage notional by applying a haircut, mortgages that mature in adjacent buckets are designated to the interest rate swaps. Changes in the fair value of the mortgages that are attributable to the hedged interest rate risk are recognised as fair value adjustments from hedge accounting in the income statement and adjust the carrying amount of the mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value of the interest rate swaps and therefore reduce the profit or loss volatility that would otherwise arise from changes in the fair value of the interest rate swaps alone. At the start of the hedge relationships and at each monthly de-designation, the difference between the fair value attributable to the hedged interest rate risk and the carrying amount of the hedged mortgages is amortised over the remaining life of the hedged item. In addition to the sources of ineffectiveness described for micro fair value hedges, the sources of ineffectiveness specifically for macro hedges are: \u00c5 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent the difference would lead to over-hedging; and \u00c5 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages). Cash flow hedges ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or re-designated, if necessary, to maintain an effective hedge accounting relationship. When a derivative financial instrument hedges the exposure to variability in the cash flows from a hedged item, the effective part of any gain or loss on remeasurement of the hedging instrument is recognised directly in other comprehensive income. Hedge effectiveness for the macro cash flow hedge is measured as the amount by which the changes in the fair value of the interest rate swaps are in excess of changes in the fair value of the expected cash flows in the hedge relationship. Any ineffective part of the cash flow hedge is recognised in other operating income immediately. When a cash flow hedging instrument or hedge relationship is terminated but the hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised in other comprehensive income and are transferred to the income statement when the hedged transaction affects profit or loss. The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that the hedged transaction is no longer expected to occur, the accumulated gains or losses recognised in other comprehensive income are recognised in the income statement immediately. The main sources of hedge ineffectiveness for cash flow hedges are: \u00c5 The effect of the counterparty and the bank\u2019s own credit risk on the fair value of the interest rate swap that is not reflected in the fair value of the hedged item, which is only attributable to the change in the interest rate; and \u00c5 Potential differences in maturities of the interest rate swap and the loans or notes. The hedged items in the macro cash flow hedge are future cash flows, which are derived from the projected balance sheet. This projected balance sheet takes the contractual terms and conditions of financial assets and liabilities and combines these with estimated prepayments, volume growth rates and interest scenarios. Within the projected balance sheet, assets and liabilities are grouped on the basis of the specific interest rate index on which they reprice (e.g. one month, three months, six months, twelve months). For each repricing index, all assets and liabilities are allocated on a gross basis to monthly buckets in which they reprice up until their maturity. The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped per interest rate index and allocated to monthly repricing buckets until their maturity. The hedge relationship is established by designating the interest rate swap cash flows per bucket to the corresponding bucket of projected cash flows of the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If there are no projected cash flows available in the corresponding bucket for the applicable benchmark rate, the interest rate swap cash flows are designated to projected cash flows in a bucket with a different benchmark. The availability of projected cash flows in the buckets is not constant over time and is therefore evaluated on a monthly basis. Changes in cash flow projections may lead to a revision of the designation. Back-testing is performed on the interest rate risk models. Historical data are used to review the assumptions applied. Hedges of net investments in foreign operations ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net investments in foreign operations. For such hedges, currency translation differences arising on translation of the currency of these instruments to euros are recognised directly in the currency translation reserve in other comprehensive income, insofar as they are effective. The accumulated gains or losses recognised in other comprehensive income are transferred to the income statement on the disposal of the foreign operation. In previous years, ABN AMRO hedged its currency exposure to certain investments in foreign operations by hedging its net investment in these foreign operations with forward contracts. ABN AMRO currently still holds some currency translation reserve for these respective positions, but no longer applies net investment hedge accounting. Hedges not qualifying for hedge accounting The fair value changes of derivative transactions used to hedge against economic risk exposures that do not qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised directly in profit or loss. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForHedgingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-453-4": { "value": "17 Financial investments Accounting policy for financial investments Financial investments include financial instruments measured at fair value through other comprehensive income (FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL). Accounting policy for financial instruments measured at fair value through other comprehensive income Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net of applicable taxes.Interest earned, premiums, discounts and qualifying transaction costs of interest-earning FVOCI assets are amortised to income on an effective interest rate basis. When FVOCI debt instruments are sold, the cumulative gain or loss recognised in other comprehensive income is transferred to other operating income in the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised in the impairment charges on financial instruments in the income statement. The related loss allowance is recognised in other comprehensive income and does not reduce the carrying amount of the FVOCI debt instruments. ABN AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set out in Credit risk management in the Risk, funding & capital management chapter. Fair value changes in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other comprehensive income and not subsequently reclassified to the income statement. Accounting policy for financial instruments measured at fair value through profit and loss Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are mandatorily measured at fair value because they do not meet the SPPI test. (in millions) 31 December 2022 31 December 2021 Financial investments Debt securities held at fair value through other comprehensive income 38,408 42,585 Held at fair value through profit or loss 626 580 Total financial investments 39,034 43,165 Financial investments measured at fair value through profit or loss (in millions) 31 December 2022 31 December 2021 Private equities and venture capital 418 369 Equity securities 207 211 Total investments held at fair value through profit or loss 626 580 23 Group structure Unconsolidated structured entities Unconsolidated structured entities are entities over which ABN AMRO has no control or significant influence. ABN AMRO is involved with structured entities through securitisation of financial assets and investments in structured entities. Structured entities generally finance the purchase of assets by issuing debt and equity securities that are collateralised by the assets held by the structured entities. The debt and equity securities issued by the structured entities may include tranches with varying levels of subordination. The interest in unconsolidated structured entities increased by EUR 1.1 billion to EUR 5.3 billion at year-end 2022 (2021: EUR 4.2 billion). The interests consist mainly of debt securities in corporate loans of EUR 681 million (2021: EUR 677 million) and mortgage and other asset-backed securities recognised under financial investments of EUR 3.3 billion (2021: EUR 3.2 billion). The maximum exposure to losses from these interests is equal to the total carrying amount. Sponsoring of unconsolidated structured entities An entity is considered a sponsor of an unconsolidated structured entity if it had a key role in establishing that entity so that the transaction that is the purpose of the entity could occur. No sponsoring occurred during 2022. ", "dimensions": { "concept": "ifrs-full:DisclosureOfInvestmentsOtherThanInvestmentsAccountedForUsingEquityMethodExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-453-9": { "value": "17 Financial investments Accounting policy for financial instruments measured at fair value through profit and loss Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are mandatorily measured at fair value because they do not meet the SPPI test. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentsOtherThanInvestmentsAccountedForUsingEquityMethodExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-482-3": { "value": "18 Securities financing Accounting policy for securities financing Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are generally entered into on a collateralised basis, with securities usually advanced or received as collateral. The transfer of the securities themselves is not reflected in the statement of financial position unless the risks and rewards of ownership are also transferred. If cash is advanced or received, securities borrowing and lending activities are recorded at the amount of cash advanced (included in loans and advances) or received (due to banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and the collateral levels are adjusted in accordance with the underlying transactions. Fees and interest received or paid are recognised on an effective interest rate basis and recorded as interest income or interest expense. Sale and repurchase transactions involve purchases (or sales) of investments with agreements to resell (or repurchase) substantially identical investments at a certain date in the future at a fixed price. Investments purchased subject to commitments to resell them at future dates are not recognised. The amounts paid are recognised in loans and advances to either banks or customers and are shown as collateralised by the underlying security. Investments sold under repurchase agreements continue to be recognised in the statement of financial position. Proceeds from the sale of the investments are reported as liabilities to either banks or customers. The difference between the sale and repurchase price is recognised over the period of the transaction and recorded as interest income or interest expense, using the effective interest rate method. If borrowed securities are sold to third parties, the proceeds from the sale and a liability for the obligation to return the collateral are recorded at fair value. 31 December 2022 31 December 2021 (in millions) Banks Customers Total Banks Customers Total Assets Reverse repurchase agreements 2,649 11,591 14,239 3,181 6,733 9,914 Securities borrowing transactions 2,900 2,893 5,793 2,973 3,251 6,225 Total 5,548 14,484 20,032 6,154 9,984 16,138 Liabilities Repurchase agreements 219 8,359 8,578 11 5 8,372 8,488 Securities lending transactions 474 600 1,074 4 1,003 1,007 Total 692 8,960 9,652 119 9,375 9,494 Securities financing transactions include balances relating to reverse repurchase activities and cash collateral on securities borrowed. ABN AMRO controls the credit risk associated with these activities by monitoring counterparty credit exposure and collateral values on a daily basis and requiring additional collateral to be deposited with ABN AMRO when deemed necessary. The total reverse repurchase agreements increased during the year by EUR 4.3 billion due to agreements with several large clients. Items of securities financing transactions that ABN AMRO can repledge or resell are included in Note 34 Transferred, pledged, encumbered and restricted assets. ", "dimensions": { "concept": "ifrs-full:DisclosureOfRepurchaseAndReverseRepurchaseAgreementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-482-7": { "value": "18 Securities financing Accounting policy for securities financing Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are generally entered into on a collateralised basis, with securities usually advanced or received as collateral. The transfer of the securities themselves is not reflected in the statement of financial position unless the risks and rewards of ownership are also transferred. If cash is advanced or received, securities borrowing and lending activities are recorded at the amount of cash advanced (included in loans and advances) or received (due to banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and the collateral levels are adjusted in accordance with the underlying transactions. Fees and interest received or paid are recognised on an effective interest rate basis and recorded as interest income or interest expense. Sale and repurchase transactions involve purchases (or sales) of investments with agreements to resell (or repurchase) substantially identical investments at a certain date in the future at a fixed price. Investments purchased subject to commitments to resell them at future dates are not recognised. The amounts paid are recognised in loans and advances to either banks or customers and are shown as collateralised by the underlying security. Investments sold under repurchase agreements continue to be recognised in the statement of financial position. Proceeds from the sale of the investments are reported as liabilities to either banks or customers. The difference between the sale and repurchase price is recognised over the period of the transaction and recorded as interest income or interest expense, using the effective interest rate method. If borrowed securities are sold to third parties, the proceeds from the sale and a liability for the obligation to return the collateral are recorded at fair value. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForRepurchaseAndReverseRepurchaseAgreementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-484-3": { "value": "19 Fair value of financial instruments carried at fair value Accounting policy for fair value of financial instruments The fair value is defined as the price that would be received when selling an asset or paid when transferring a liability in an orderly transaction between market participants at the measurement date. For financial instruments that are actively traded and for which quoted market prices or market parameters are readily available, the fair value is determined in a highly objective manner. However, when observable market prices and parameters do not exist, management judgement is necessary to estimate fair value. For financial instruments where no active liquid market exists, or quoted prices are unobtainable, recent market transactions are used or the fair value is estimated using a variety of valuation techniques \u2013 including reference to similar instruments for which market prices do exist, or to valuation techniques such as discounted cash flow models or option pricing models (e.g. Black Scholes). When portfolios of financial assets and liabilities are measured on the basis of the net exposure to the credit risk of a particular counterparty, any existing arrangements that mitigate the credit risk exposure (e.g. master netting agreements with the counterparty) are taken into account. Unobservable inputs are estimated using a combination of management judgement, historical data, market practice and benchmarking to other relevant observable market data. The difference between the transaction price and the internal valuation at inception, calculated using a model, is reserved and amortised to profit or loss at appropriate points over the life of the instrument, typically taking account of the ability to obtain reliable external data, the passage of time and the use of offsetting transactions. Where inputs to the valuation of a new transaction cannot be reliably determined, the transaction is initially recognised at its transaction price. Subsequent changes in fair value as calculated by the valuation model are reported as profit or loss or in equity. \u00c5 In order to determine a reliable fair value, where appropriate, management applies valuation adjustments to the pricing information derived from the above sources. These adjustments reflect management\u2019s assessment of factors that market participants would consider in setting a price, to the extent that these factors have not already been included in the information from the above sources. The main valuation adjustments required to arrive at a fair value are as follows: \u00c5 Credit and debit valuation adjustments. In addition to credit valuation for loans measured at fair value through profit or loss, credit valuation adjustments and debit valuation adjustments are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and how counterparties consider ABN AMRO\u2019s creditworthiness respectively; \u00c5 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives; \u00c5 Own credit adjustment. An own credit risk adjustment is applied to financial liabilities where it is believed that counterparties will consider ABN AMRO\u2019s creditworthiness when pricing such instruments; \u00c5 Model valuation adjustments for any known limitations. Management assesses the appropriateness of any model used on an ongoing basis. To the extent that the price provided by internal models does not represent the fair value of the instrument, for instance in highly stressed market conditions, management makes adjustments to the model valuation to calibrate to other available pricing sources. We believe our estimates of the fair value are adequate. However, the use of different models or assumptions could result in changes to our reported results. Valuation control framework ABN AMRO has designated controls and processes in place for determining the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols for independent review and validation of fair values separate from those businesses entering into the transactions. This includes specific controls to ensure consistent pricing policies and procedures, incorporating disciplined price verification for both market and counterparty risk trades. The business entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. There are daily controls of the profit or loss recorded by trading and treasury front-office staff. A key element of the control environment, segregated from the recording of the transaction\u2019s valuation, is the independent price-verification process. Valuations are first calculated by the business. Such valuations may be current bid or offer prices in an active market, or may be derived using a model and variable model inputs. These valuations are reviewed and, if necessary, amended by the independent price-verification process. This process involves a team, independent of those trading the financial instruments, performing a review of valuations in the light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The minimum frequency of review is monthly, both for trading positions and non-trading positions. The independent price-verification control includes formalised reporting and escalation to management of any valuation differences in breach of defined thresholds. When models are used to value products, those models are subject to a model review process. This process requires different levels of model documentation, testing and review, depending on the complexity of the model and the size of our exposure to the model. Valuation techniques A number of methodologies are used to determine the fair value of financial instruments for which observable prices in active markets for identical instruments are not available. Values between and beyond available data points are obtained by interpolation and/or extrapolation. When valuation techniques are used, the fair value can be significantly impacted by the choice of valuation model and underlying assumptions made concerning factors such as the amount and timing of cash flows, discount rates and credit risk. Interest rate derivatives This category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting those cash flows, using appropriate interest rate curves. The exception is interest option contracts, which are valued using market standard option pricing models. The inputs for the discounting cash flow models are principally observable benchmark interest rates in active markets such as the interbank rates and quoted interest rates in the swap, bond and futures markets. The inputs for credit spreads \u2013 where available \u2013 are derived from prices of credit default swaps or other credit-based instruments, such as debt securities. In other cases, credit spreads are obtained from pricing services. The additional inputs for the option pricing models are price volatilities and correlations, which are obtained from broker quotations or pricing services or derived from option prices. Because of the observability of the inputs used in the valuation models, the majority of the interest rate derivative contracts are classified as level 2. If adjustments to interest rate curves, credit spreads, correlations or volatilities are based on significant unobservable inputs, the contracts are classified as level 3. Exchange traded options and futures are valued using quoted market prices and are hence classified as level 1. Foreign exchange contracts Foreign exchange contracts include foreign exchange forward contracts, foreign exchange options and foreign exchange swaps. The majority of the foreign exchange contracts at ABN AMRO are traded as over-the-counter derivatives. These instruments are valued using foreign currency exchange rates. There are observable markets both for spot and forward contracts and for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2. Government debt securities Government debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. These instruments are generally traded in active markets and prices can be derived directly from those markets. Therefore the instruments are classified as level 1. Highly liquid bonds are valued using exchange traded prices. Less liquid bonds are valued using observable market prices, which are sourced from broker quotes, interdealer prices or other reliable pricing services. For a minority of the government debt securities, active market prices are not available. In these cases ABN AMRO uses discounted cash flow valuation techniques that incorporate observable market data for similar government instruments. The main inputs are interest rate curves, liquidity spreads and credit spreads. The instruments for which this method applies are classified as level 2. If adjustments to any of the main inputs are made based on significant unobservable inputs, the instrument is classified as level 3. Corporate debt securities Corporate debt securities primarily consist of corporate bonds and other debt securities issued by corporate entities. Most of these instruments are standard fixed or floating rate securities. Corporate debt securities are generally valued using observable market prices, which are sourced from broker quotes, inter-dealer prices or other reliable pricing services. These instruments are classified as level 1. If observable market prices are not available, ABN AMRO uses discounted cash flow valuation techniques, based on inputs derived from comparable instruments and credit default swap data of the issuer, to estimate credit spreads. These instruments are classified as level 2. If adjustments to any of the main inputs are made based on significant unobservable inputs, the instrument is classified as level 3 Equity instruments Equity instruments that are actively traded on public stock exchanges are valued using the readily available quoted prices and are therefore classified as level 1. Investments in private equity funds are initially recognised at their transaction price and remeasured to the extent reliable information is available on a case-by-case basis and are classified as level 3. Loans and advances at fair value through profit or loss Loans and advances at fair value through profit or loss primarily consist of contracts with corporate clients where the contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective to generate cash flows from sales. The return on the contracts with embedded derivatives is based on the price of underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used to value these contracts. The main inputs are interest rate curves, quoted commodity prices, liquidity spreads and credit spreads. The instruments are classified as level 2. If adjustments to interest rate curves, liquidity spreads and credit spreads are based on significant unobservable inputs, the instruments are classified as level 3. Issued debt Issued debt securities are valued using discounted cash flow models, based on current interest rate curves that incorporate observable inputs. These instruments are classified as level 2. When there are no, or only limited, publicly quoted prices available for these instruments and unobservable inputs have a significant effect on the fair value calculation, these instruments are classified as level 3. ABN AMRO refines and modifies its valuation techniques as markets and products develop and as the pricing for individual products becomes more or less readily available. While ABN AMRO believes its valuation techniques are appropriate and consistent with other market participants, the use of different methodologies or assumptions could result in different estimates of the fair value at the reporting date. Fair value hierarchy ABN AMRO analyses financial instruments held at fair value in the three categories described below. Level 1 financial instruments are those that are valued using unadjusted quoted prices in active markets for identical financial instruments. Level 2 financial instruments are those valued using techniques based primarily on observable market data. Instruments in this category are valued using quoted prices for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all the inputs that have a significant effect on the valuation are directly or indirectly based on observable market data. Level 3 financial instruments are those valued using a valuation technique where at least one input with a significant effect on the instrument\u2019s valuation is not based on observable market data. The effect of fair value adjustments on the instrument\u2019s valuation is included in the assessment. ABN AMRO recognises transfers between levels of the fair value hierarchy at the end of the reporting period during which the change occurred. 31 December 2022 31 December 2021 Quoted Valuation Quoted Valuation market Valuation techniques market Valuation techniques prices techniques - significant Total prices techniques - significant Total in active - observable unobservable fair in active - observable unobservable fair (in millions) markets inputs inputs value markets inputs inputs value Assets Government debt securities 212 3 214 480 480 Corporate debt securities 495 186 681 472 198 670 Equity securities 10 10 3 3 Other financial assets held for trading 1 1 2 2 Financial assets held for trading 718 190 907 955 199 1,155 Interest rate derivatives 51 4,067 36 4,155 4 2,927 78 3,009 Foreign exchange contracts 1,045 9 1,054 676 10 686 Other derivatives 3 3 90 90 Derivatives 51 5,115 46 5,212 4 3,694 88 3,785 Equity instruments 79 65 481 626 90 57 433 580 Financial investments at fair value through profit or loss 79 65 481 626 90 57 433 580 Government debt securities 31,801 320 32,121 35,988 439 36,427 Corporate debt securities 2,973 1 38 3,013 2,947 1 42 2,990 Other debt securities 3,274 3,274 3,168 3,168 Financial assets held at fair value through other comprehensive income 38,049 1 358 38,408 42,102 1 481 42,585 Loans and advances at fair value through profit or loss 36 30 66 104 104 Total financial assets 38,897 5,407 915 45,219 43,151 4,056 1,002 48,209 Liabilities Short positions in government debt securities 341 341 255 255 Corporate debt securities 205 62 267 320 79 399 Equity securities 1 1 Other financial liabilities held for trading 32 32 33 33 Financial liabilities held for trading 548 93 641 575 112 687 Interest rate derivatives 10 3,270 3,280 3,543 3,544 Foreign exchange contracts 865 865 3 681 684 Other derivatives 3 3 11 6 11 6 Derivatives 10 4,138 4,148 3 4,341 4,344 Issued debt 223 223 892 892 Total financial liabilities 557 4,455 5,012 578 5,344 5,922 Transfers between levels 1 and 2 There were no material transfers between levels 1 and 2. Transfers from levels 1 and 2 to 3 There were no material transfers from levels 1 and 2 to 3. Other transfers There were no other material transfers between the fair value hierarchies. Movements in level 3 financial instruments measured at fair value The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value. Assets Liabilities Financial assets Financial held at fair value Loans and investments at through other advances at fair fair value through comprehensive value through Issued (in millions) Derivatives profit or loss income profit or loss debt Balance at 1 January 2021 140 569 517 Purchases 44 Redemptions -68 1 Gains/(losses) recorded in profit and loss 1 1 2 Unrealised gains/(losses)-67 151 -36 Transfer between levels 14 Other movements -75 Balance at 31 December 2021 88 433 481 Purchases 55 Sales -45 Redemptions -3 1 Gains/(losses) recorded in profit and loss 13 1 2 Unrealised gains/(losses)-49 31 -124 Transfer between levels 7 Other movements -2 30 Balance at 31 December 2022 46 481 358 30 1 Included in other operating income. 2 Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments measured at FVOCI in other comprehensive income. Level 3 sensitivity information Interest-earning securities - government bonds ABN AMRO has a position in a Polish bond, denominated in euros (in Note 17 Financial investments, and part of Other OECD governments), for which the market is relatively illiquid. This bond is valued using a discounted cash flow model. The main inputs are the interest rate curve, liquidity spread and credit spread. The valuation spread is determined using an internal model. The sensitivity analysis is performed using a range of reasonable valuation spreads. Interest-earning securities - other Preference shares are shares for which the dividend is fixed for a period of ten years, after which the dividend is redetermined and the shares can be redeemed. The position is valued using a discounted cash flow model for which the relevant inputs are the interest curve, liquidity spread and credit spread. The liquidity spread and credit spread are unobservable inputs and are derived from similar securities. The sensitivity of the preference shares is determined by using a range of reasonable spreads and by considering the call option that is held by the issuer. Equity shares - preferred shares Equities measured at fair value through profit and loss and classified as level 3 mainly comprise private equity investments. Private equity shares are measured at fair value, applying two calculation techniques: \u00c5 Using comparable pricing in accordance with the European Private Equity and Venture Capitalist Association (EVCA) guidelines. This valuation technique is based on earnings multiples of comparable listed and unlisted companies. The fair value calculation of an investment is strongly linked with movements on public equity markets; \u00c5 Net Asset Value (NAV) for fund investments and asset-backed investments. This is determined by using audited and unaudited company financial statements and any other information available, publicly or otherwise. As a consequence, the NAV calculation of an investment is strongly linked to movements in the quarterly performance of the company and can be used as an indicator of fair value. New investments are initially valued at fair value. Subsequently, the fair value technique \u2013 either the EVCA technique or NAV calculation \u2013 is applied for direct investments. The sensitivity for using comparable pricing is determined by stressing the earnings multiples in a positive and negative market scenario, whereas sensitivity testing for the NAV calculation based on the quarterly performance cannot be applied. Derivatives ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have an observable credit spread, ABN AMRO applies a proxied credit spread extracted from counterparties of comparable credit quality that do have an observable credit spread. ABN AMRO performs a probability of default assessment for each counterparty and allocates an appropriate internal credit risk measure known as a Uniform Counterparty Rating (UCR).This UCR, which is significant to the entire fair value measurement of the derivative contracts included in the following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input. Valuation Unobservable Carrying Possible alternative Unobservable Unobservable technique data value assumptions data range data base Applying Applying Applying Applying (in millions) minimum maximum minimum maximum 31 December 2022 Private equity EBITDA Equity shares valuation multiples 140 -14 14 Private equity Equity shares valuation Net asset value 342 -34 34 Interest-earning securities - Discounted Liquidity and government bonds cash flow credit spread 320 -9 18 14bps 102bps 73bps Discounted Liquidity and Interest-earning securities - other cash flow credit spread 38 -1 214bps 546bps 313bps Discounted Probability of Derivatives held for trading cash flow default 46 -2 4 0.0% 100.0% 15.0% 31 December 2021 Private equity EBITDA Equity shares valuation multiples 159 -16 16 Private equity Equity shares valuation Net asset value 274 -27 27 Interest-earning securities - Discounted Liquidity and government bonds cash flow credit spread 439 -8 13 19bps 74bps 53bps Discounted Liquidity and Interest-earning securities - other cash flow credit spread 42 -2 90bps 381bps 118bps Discounted Probability of Derivatives held for trading cash flow default 88 -5 8 0.4% 100.0% 33.7% 22 Fair value of financial instruments not carried at fair value Accounting policy for fair value of financial instruments not carried at fair value The categorisation and valuation of financial instruments not carried at fair value is determined in accordance with the accounting policies set out in Note 19 Fair value of financial instruments carried at fair value. Valuation methodologies The methods and assumptions described below have been applied to estimate the fair value of financial instruments not carried at fair value. These fair values were calculated for disclosure purposes only. Note that the fair value can be significantly impacted by the choice of valuation model and underlying assumptions concerning factors such as the amount and timing of cash flows, discount rates, credit risk and liquidity risk. Short-term financial instruments The carrying amounts (net of impairment allowances) of financial instruments maturing within a period of less than three months or that have no contractual maturity are assumed to be a reasonable approximation of their fair value. For certain instruments, behavioural maturities are applied. Short-term financial instruments are classified as level 2 as unobservable inputs (such as inputs to determine credit risk, prepayment risk and liquidity risk) do not have a significant influence in determining the fair value. Cash and balances at central banks Cash and balances at central banks are classified as level 1 as these instruments have a short-term nature, prices from an active market are available and no fair value adjustments are made to the carrying amounts. Securities financing Securities financing includes repurchase and reverse repurchase agreements and securities borrowing and lending transactions. Due to the short-term characteristics of these instruments and the value and liquidity of available collateral, the carrying amounts (net of impairment allowances) are considered to approximate the fair value. Securities financing amounts are classified as level 2. Loans and advances banks and customers The fair value of loans and advances banks and customers is estimated by a discounted cash flow model based on contractual cash flows, using actual yields and discounting by risk-free interest rates. Adjustments to reflect changes in liquidity spreads are applied and prepayment options are included in the estimated fair value. The calculations are adjusted for credit risk by incorporating the expected credit losses over the estimated lifetime of the loan, based on parameters including probability of default, loss given default and exposure at default. The loans and advances are classified as level 3 on the basis that unobservable inputs significantly influence the approximated fair values. The loans and advances for which unobservable inputs do not significantly influence the approximated fair values are classified as level 2. Behavioural maturities instead of contractual maturities are used to determine the level classification of a small part of the portfolio. Cash collateral paid to counterparties in relation to Credit Support Annexes (CSA) is included in loans and advances banks and customers. Due to the short-term characteristics of these instruments, fair value is considered to approximate the carrying amounts. The related amounts are classified as level 2. Due to banks and customers The fair value of instruments such as deposits and borrowings included in due to banks and customers is estimated by a discounted cash flow model based on risk-free interest rates. Adjustments to reflect changes in liquidity spreads are applied. Amounts due to banks and customers are classified as level 3 on the basis that unobservable inputs significantly influence the approximated fair values. The financial instruments for which unobservable inputs do not significantly influence the approximated fair values are classified as level 2. For the majority of the portfolio, behavioural maturities are used to determine the level classification. Cash collateral liabilities in relation to Credit Support Annexes (CSA) are included in due to banks and customers. Due to the short-term characteristics of these instruments, fair value is considered to approximate the carrying amounts. The related amounts are classified as level 2. Issued debt and subordinated liabilities The fair value of issued debt securities and subordinated liabilities is based on quoted prices. If these are not available, the fair value is based on a market approach in which independent quotes from market participants are used for the debt issuance spreads above the average interbank offered rates (over a range of tenors) that the market would demand when purchasing new senior or subordinated debt from ABN AMRO. Where necessary, these quotes are interpolated, using a curve shape derived from CDS prices. 31 December 2022 Carrying value Total fair value Difference Valuation Quoted Valuation techniques market prices techniques -significant in active -observable unobservable (in millions) markets inputs inputs Assets Cash and balances at central banks 60,865 60,865 60,865 Securities financing 20,032 20,032 20,032 Loans and advances banks 2,982 2,645 340 2,986 3 Loans and advances customers 243,861 30,373 195,900 226,273 -17,588 Total 327,741 60,865 53,051 196,240 310,156 -17,585 Liabilities Securities financing 9,652 9,652 9,652 Due to banks 17,509 3,788 13,608 17,396 -113 Due to customers 255,015 78,925 155,878 234,803 -20,212 Issued debt 56,036 29,556 20,682 50,238 -5,799 Subordinated liabilities 7,290 3,906 3,058 6,964 -326 Total 345,502 33,462 116,105 169,486 319,053 -26,449 31 December 2021 Carrying value Total fair value Difference Valuation Quoted Valuation techniques market prices techniques -significant in active -observable unobservable (in millions) markets inputs inputs Assets Cash and balances at central banks 66,865 66,865 66,865 Securities financing 16,138 16,138 16,138 Loans and advances banks 2,801 2,461 336 2,797 -3 Loans and advances customers 258,146 30,175 240,273 270,448 12,302 Total 343,950 66,865 48,775 240,609 356,249 12,299 Liabilities Securities financing 9,494 9,494 9,494 Due to banks 38,076 4,309 33,773 38,082 6 Due to customers 251,218 85,654 163,021 248,676 -2,542 Issued debt 58,796 43,608 18,914 62,522 3,726 Subordinated liabilities 7,549 5,959 1,979 7,938 389 Total 365,132 49,567 120,350 196,794 366,712 1,579 ", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-484-4": { "value": "19 Fair value of financial instruments carried at fair value Accounting policy for fair value of financial instruments The fair value is defined as the price that would be received when selling an asset or paid when transferring a liability in an orderly transaction between market participants at the measurement date. For financial instruments that are actively traded and for which quoted market prices or market parameters are readily available, the fair value is determined in a highly objective manner. However, when observable market prices and parameters do not exist, management judgement is necessary to estimate fair value. For financial instruments where no active liquid market exists, or quoted prices are unobtainable, recent market transactions are used or the fair value is estimated using a variety of valuation techniques \u2013 including reference to similar instruments for which market prices do exist, or to valuation techniques such as discounted cash flow models or option pricing models (e.g. Black Scholes). When portfolios of financial assets and liabilities are measured on the basis of the net exposure to the credit risk of a particular counterparty, any existing arrangements that mitigate the credit risk exposure (e.g. master netting agreements with the counterparty) are taken into account. Unobservable inputs are estimated using a combination of management judgement, historical data, market practice and benchmarking to other relevant observable market data. The difference between the transaction price and the internal valuation at inception, calculated using a model, is reserved and amortised to profit or loss at appropriate points over the life of the instrument, typically taking account of the ability to obtain reliable external data, the passage of time and the use of offsetting transactions. Where inputs to the valuation of a new transaction cannot be reliably determined, the transaction is initially recognised at its transaction price. Subsequent changes in fair value as calculated by the valuation model are reported as profit or loss or in equity. \u00c5 In order to determine a reliable fair value, where appropriate, management applies valuation adjustments to the pricing information derived from the above sources. These adjustments reflect management\u2019s assessment of factors that market participants would consider in setting a price, to the extent that these factors have not already been included in the information from the above sources. The main valuation adjustments required to arrive at a fair value are as follows: \u00c5 Credit and debit valuation adjustments. In addition to credit valuation for loans measured at fair value through profit or loss, credit valuation adjustments and debit valuation adjustments are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and how counterparties consider ABN AMRO\u2019s creditworthiness respectively; \u00c5 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives; \u00c5 Own credit adjustment. An own credit risk adjustment is applied to financial liabilities where it is believed that counterparties will consider ABN AMRO\u2019s creditworthiness when pricing such instruments; \u00c5 Model valuation adjustments for any known limitations. Management assesses the appropriateness of any model used on an ongoing basis. To the extent that the price provided by internal models does not represent the fair value of the instrument, for instance in highly stressed market conditions, management makes adjustments to the model valuation to calibrate to other available pricing sources. We believe our estimates of the fair value are adequate. However, the use of different models or assumptions could result in changes to our reported results. Valuation control framework ABN AMRO has designated controls and processes in place for determining the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols for independent review and validation of fair values separate from those businesses entering into the transactions. This includes specific controls to ensure consistent pricing policies and procedures, incorporating disciplined price verification for both market and counterparty risk trades. The business entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. There are daily controls of the profit or loss recorded by trading and treasury front-office staff. A key element of the control environment, segregated from the recording of the transaction\u2019s valuation, is the independent price-verification process. Valuations are first calculated by the business. Such valuations may be current bid or offer prices in an active market, or may be derived using a model and variable model inputs. These valuations are reviewed and, if necessary, amended by the independent price-verification process. This process involves a team, independent of those trading the financial instruments, performing a review of valuations in the light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The minimum frequency of review is monthly, both for trading positions and non-trading positions. The independent price-verification control includes formalised reporting and escalation to management of any valuation differences in breach of defined thresholds. When models are used to value products, those models are subject to a model review process. This process requires different levels of model documentation, testing and review, depending on the complexity of the model and the size of our exposure to the model. Valuation techniques A number of methodologies are used to determine the fair value of financial instruments for which observable prices in active markets for identical instruments are not available. Values between and beyond available data points are obtained by interpolation and/or extrapolation. When valuation techniques are used, the fair value can be significantly impacted by the choice of valuation model and underlying assumptions made concerning factors such as the amount and timing of cash flows, discount rates and credit risk. Interest rate derivatives This category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting those cash flows, using appropriate interest rate curves. The exception is interest option contracts, which are valued using market standard option pricing models. The inputs for the discounting cash flow models are principally observable benchmark interest rates in active markets such as the interbank rates and quoted interest rates in the swap, bond and futures markets. The inputs for credit spreads \u2013 where available \u2013 are derived from prices of credit default swaps or other credit-based instruments, such as debt securities. In other cases, credit spreads are obtained from pricing services. The additional inputs for the option pricing models are price volatilities and correlations, which are obtained from broker quotations or pricing services or derived from option prices. Because of the observability of the inputs used in the valuation models, the majority of the interest rate derivative contracts are classified as level 2. If adjustments to interest rate curves, credit spreads, correlations or volatilities are based on significant unobservable inputs, the contracts are classified as level 3. Exchange traded options and futures are valued using quoted market prices and are hence classified as level 1. Foreign exchange contracts Foreign exchange contracts include foreign exchange forward contracts, foreign exchange options and foreign exchange swaps. The majority of the foreign exchange contracts at ABN AMRO are traded as over-the-counter derivatives. These instruments are valued using foreign currency exchange rates. There are observable markets both for spot and forward contracts and for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2. Government debt securities Government debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. These instruments are generally traded in active markets and prices can be derived directly from those markets. Therefore the instruments are classified as level 1. Highly liquid bonds are valued using exchange traded prices. Less liquid bonds are valued using observable market prices, which are sourced from broker quotes, interdealer prices or other reliable pricing services. For a minority of the government debt securities, active market prices are not available. In these cases ABN AMRO uses discounted cash flow valuation techniques that incorporate observable market data for similar government instruments. The main inputs are interest rate curves, liquidity spreads and credit spreads. The instruments for which this method applies are classified as level 2. If adjustments to any of the main inputs are made based on significant unobservable inputs, the instrument is classified as level 3. Corporate debt securities Corporate debt securities primarily consist of corporate bonds and other debt securities issued by corporate entities. Most of these instruments are standard fixed or floating rate securities. Corporate debt securities are generally valued using observable market prices, which are sourced from broker quotes, inter-dealer prices or other reliable pricing services. These instruments are classified as level 1. If observable market prices are not available, ABN AMRO uses discounted cash flow valuation techniques, based on inputs derived from comparable instruments and credit default swap data of the issuer, to estimate credit spreads. These instruments are classified as level 2. If adjustments to any of the main inputs are made based on significant unobservable inputs, the instrument is classified as level 3 Equity instruments Equity instruments that are actively traded on public stock exchanges are valued using the readily available quoted prices and are therefore classified as level 1. Investments in private equity funds are initially recognised at their transaction price and remeasured to the extent reliable information is available on a case-by-case basis and are classified as level 3. Loans and advances at fair value through profit or loss Loans and advances at fair value through profit or loss primarily consist of contracts with corporate clients where the contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective to generate cash flows from sales. The return on the contracts with embedded derivatives is based on the price of underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used to value these contracts. The main inputs are interest rate curves, quoted commodity prices, liquidity spreads and credit spreads. The instruments are classified as level 2. If adjustments to interest rate curves, liquidity spreads and credit spreads are based on significant unobservable inputs, the instruments are classified as level 3. Issued debt Issued debt securities are valued using discounted cash flow models, based on current interest rate curves that incorporate observable inputs. These instruments are classified as level 2. When there are no, or only limited, publicly quoted prices available for these instruments and unobservable inputs have a significant effect on the fair value calculation, these instruments are classified as level 3. ABN AMRO refines and modifies its valuation techniques as markets and products develop and as the pricing for individual products becomes more or less readily available. While ABN AMRO believes its valuation techniques are appropriate and consistent with other market participants, the use of different methodologies or assumptions could result in different estimates of the fair value at the reporting date. Fair value hierarchy ABN AMRO analyses financial instruments held at fair value in the three categories described below. Level 1 financial instruments are those that are valued using unadjusted quoted prices in active markets for identical financial instruments. Level 2 financial instruments are those valued using techniques based primarily on observable market data. Instruments in this category are valued using quoted prices for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all the inputs that have a significant effect on the valuation are directly or indirectly based on observable market data. Level 3 financial instruments are those valued using a valuation technique where at least one input with a significant effect on the instrument\u2019s valuation is not based on observable market data. The effect of fair value adjustments on the instrument\u2019s valuation is included in the assessment. ABN AMRO recognises transfers between levels of the fair value hierarchy at the end of the reporting period during which the change occurred. 31 December 2022 31 December 2021 Quoted Valuation Quoted Valuation market Valuation techniques market Valuation techniques prices techniques - significant Total prices techniques - significant Total in active - observable unobservable fair in active - observable unobservable fair (in millions) markets inputs inputs value markets inputs inputs value Assets Government debt securities 212 3 214 480 480 Corporate debt securities 495 186 681 472 198 670 Equity securities 10 10 3 3 Other financial assets held for trading 1 1 2 2 Financial assets held for trading 718 190 907 955 199 1,155 Interest rate derivatives 51 4,067 36 4,155 4 2,927 78 3,009 Foreign exchange contracts 1,045 9 1,054 676 10 686 Other derivatives 3 3 90 90 Derivatives 51 5,115 46 5,212 4 3,694 88 3,785 Equity instruments 79 65 481 626 90 57 433 580 Financial investments at fair value through profit or loss 79 65 481 626 90 57 433 580 Government debt securities 31,801 320 32,121 35,988 439 36,427 Corporate debt securities 2,973 1 38 3,013 2,947 1 42 2,990 Other debt securities 3,274 3,274 3,168 3,168 Financial assets held at fair value through other comprehensive income 38,049 1 358 38,408 42,102 1 481 42,585 Loans and advances at fair value through profit or loss 36 30 66 104 104 Total financial assets 38,897 5,407 915 45,219 43,151 4,056 1,002 48,209 Liabilities Short positions in government debt securities 341 341 255 255 Corporate debt securities 205 62 267 320 79 399 Equity securities 1 1 Other financial liabilities held for trading 32 32 33 33 Financial liabilities held for trading 548 93 641 575 112 687 Interest rate derivatives 10 3,270 3,280 3,543 3,544 Foreign exchange contracts 865 865 3 681 684 Other derivatives 3 3 11 6 11 6 Derivatives 10 4,138 4,148 3 4,341 4,344 Issued debt 223 223 892 892 Total financial liabilities 557 4,455 5,012 578 5,344 5,922 Transfers between levels 1 and 2 There were no material transfers between levels 1 and 2. Transfers from levels 1 and 2 to 3 There were no material transfers from levels 1 and 2 to 3. Other transfers There were no other material transfers between the fair value hierarchies. Movements in level 3 financial instruments measured at fair value The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value. Assets Liabilities Financial assets Financial held at fair value Loans and investments at through other advances at fair fair value through comprehensive value through Issued (in millions) Derivatives profit or loss income profit or loss debt Balance at 1 January 2021 140 569 517 Purchases 44 Redemptions -68 1 Gains/(losses) recorded in profit and loss 1 1 2 Unrealised gains/(losses)-67 151 -36 Transfer between levels 14 Other movements -75 Balance at 31 December 2021 88 433 481 Purchases 55 Sales -45 Redemptions -3 1 Gains/(losses) recorded in profit and loss 13 1 2 Unrealised gains/(losses)-49 31 -124 Transfer between levels 7 Other movements -2 30 Balance at 31 December 2022 46 481 358 30 1 Included in other operating income. 2 Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments measured at FVOCI in other comprehensive income. Level 3 sensitivity information Interest-earning securities - government bonds ABN AMRO has a position in a Polish bond, denominated in euros (in Note 17 Financial investments, and part of Other OECD governments), for which the market is relatively illiquid. This bond is valued using a discounted cash flow model. The main inputs are the interest rate curve, liquidity spread and credit spread. The valuation spread is determined using an internal model. The sensitivity analysis is performed using a range of reasonable valuation spreads. Interest-earning securities - other Preference shares are shares for which the dividend is fixed for a period of ten years, after which the dividend is redetermined and the shares can be redeemed. The position is valued using a discounted cash flow model for which the relevant inputs are the interest curve, liquidity spread and credit spread. The liquidity spread and credit spread are unobservable inputs and are derived from similar securities. The sensitivity of the preference shares is determined by using a range of reasonable spreads and by considering the call option that is held by the issuer. Equity shares - preferred shares Equities measured at fair value through profit and loss and classified as level 3 mainly comprise private equity investments. Private equity shares are measured at fair value, applying two calculation techniques: \u00c5 Using comparable pricing in accordance with the European Private Equity and Venture Capitalist Association (EVCA) guidelines. This valuation technique is based on earnings multiples of comparable listed and unlisted companies. The fair value calculation of an investment is strongly linked with movements on public equity markets; \u00c5 Net Asset Value (NAV) for fund investments and asset-backed investments. This is determined by using audited and unaudited company financial statements and any other information available, publicly or otherwise. As a consequence, the NAV calculation of an investment is strongly linked to movements in the quarterly performance of the company and can be used as an indicator of fair value. New investments are initially valued at fair value. Subsequently, the fair value technique \u2013 either the EVCA technique or NAV calculation \u2013 is applied for direct investments. The sensitivity for using comparable pricing is determined by stressing the earnings multiples in a positive and negative market scenario, whereas sensitivity testing for the NAV calculation based on the quarterly performance cannot be applied. Derivatives ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have an observable credit spread, ABN AMRO applies a proxied credit spread extracted from counterparties of comparable credit quality that do have an observable credit spread. ABN AMRO performs a probability of default assessment for each counterparty and allocates an appropriate internal credit risk measure known as a Uniform Counterparty Rating (UCR).This UCR, which is significant to the entire fair value measurement of the derivative contracts included in the following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input. Valuation Unobservable Carrying Possible alternative Unobservable Unobservable technique data value assumptions data range data base Applying Applying Applying Applying (in millions) minimum maximum minimum maximum 31 December 2022 Private equity EBITDA Equity shares valuation multiples 140 -14 14 Private equity Equity shares valuation Net asset value 342 -34 34 Interest-earning securities - Discounted Liquidity and government bonds cash flow credit spread 320 -9 18 14bps 102bps 73bps Discounted Liquidity and Interest-earning securities - other cash flow credit spread 38 -1 214bps 546bps 313bps Discounted Probability of Derivatives held for trading cash flow default 46 -2 4 0.0% 100.0% 15.0% 31 December 2021 Private equity EBITDA Equity shares valuation multiples 159 -16 16 Private equity Equity shares valuation Net asset value 274 -27 27 Interest-earning securities - Discounted Liquidity and government bonds cash flow credit spread 439 -8 13 19bps 74bps 53bps Discounted Liquidity and Interest-earning securities - other cash flow credit spread 42 -2 90bps 381bps 118bps Discounted Probability of Derivatives held for trading cash flow default 88 -5 8 0.4% 100.0% 33.7% 22 Fair value of financial instruments not carried at fair value Valuation methodologies The methods and assumptions described below have been applied to estimate the fair value of financial instruments not carried at fair value. These fair values were calculated for disclosure purposes only. Note that the fair value can be significantly impacted by the choice of valuation model and underlying assumptions concerning factors such as the amount and timing of cash flows, discount rates, credit risk and liquidity risk. Short-term financial instruments The carrying amounts (net of impairment allowances) of financial instruments maturing within a period of less than three months or that have no contractual maturity are assumed to be a reasonable approximation of their fair value. For certain instruments, behavioural maturities are applied. Short-term financial instruments are classified as level 2 as unobservable inputs (such as inputs to determine credit risk, prepayment risk and liquidity risk) do not have a significant influence in determining the fair value. Cash and balances at central banks Cash and balances at central banks are classified as level 1 as these instruments have a short-term nature, prices from an active market are available and no fair value adjustments are made to the carrying amounts. Securities financing Securities financing includes repurchase and reverse repurchase agreements and securities borrowing and lending transactions. Due to the short-term characteristics of these instruments and the value and liquidity of available collateral, the carrying amounts (net of impairment allowances) are considered to approximate the fair value. Securities financing amounts are classified as level 2. Loans and advances banks and customers The fair value of loans and advances banks and customers is estimated by a discounted cash flow model based on contractual cash flows, using actual yields and discounting by risk-free interest rates. Adjustments to reflect changes in liquidity spreads are applied and prepayment options are included in the estimated fair value. The calculations are adjusted for credit risk by incorporating the expected credit losses over the estimated lifetime of the loan, based on parameters including probability of default, loss given default and exposure at default. The loans and advances are classified as level 3 on the basis that unobservable inputs significantly influence the approximated fair values. The loans and advances for which unobservable inputs do not significantly influence the approximated fair values are classified as level 2. Behavioural maturities instead of contractual maturities are used to determine the level classification of a small part of the portfolio. Cash collateral paid to counterparties in relation to Credit Support Annexes (CSA) is included in loans and advances banks and customers. Due to the short-term characteristics of these instruments, fair value is considered to approximate the carrying amounts. The related amounts are classified as level 2. Due to banks and customers The fair value of instruments such as deposits and borrowings included in due to banks and customers is estimated by a discounted cash flow model based on risk-free interest rates. Adjustments to reflect changes in liquidity spreads are applied. Amounts due to banks and customers are classified as level 3 on the basis that unobservable inputs significantly influence the approximated fair values. The financial instruments for which unobservable inputs do not significantly influence the approximated fair values are classified as level 2. For the majority of the portfolio, behavioural maturities are used to determine the level classification. Cash collateral liabilities in relation to Credit Support Annexes (CSA) are included in due to banks and customers. Due to the short-term characteristics of these instruments, fair value is considered to approximate the carrying amounts. The related amounts are classified as level 2. Issued debt and subordinated liabilities The fair value of issued debt securities and subordinated liabilities is based on quoted prices. If these are not available, the fair value is based on a market approach in which independent quotes from market participants are used for the debt issuance spreads above the average interbank offered rates (over a range of tenors) that the market would demand when purchasing new senior or subordinated debt from ABN AMRO. Where necessary, these quotes are interpolated, using a curve shape derived from CDS prices. 31 December 2022 Carrying value Total fair value Difference Valuation Quoted Valuation techniques market prices techniques -significant in active -observable unobservable (in millions) markets inputs inputs Assets Cash and balances at central banks 60,865 60,865 60,865 Securities financing 20,032 20,032 20,032 Loans and advances banks 2,982 2,645 340 2,986 3 Loans and advances customers 243,861 30,373 195,900 226,273 -17,588 Total 327,741 60,865 53,051 196,240 310,156 -17,585 Liabilities Securities financing 9,652 9,652 9,652 Due to banks 17,509 3,788 13,608 17,396 -113 Due to customers 255,015 78,925 155,878 234,803 -20,212 Issued debt 56,036 29,556 20,682 50,238 -5,799 Subordinated liabilities 7,290 3,906 3,058 6,964 -326 Total 345,502 33,462 116,105 169,486 319,053 -26,449 31 December 2021 Carrying value Total fair value Difference Valuation Quoted Valuation techniques market prices techniques -significant in active -observable unobservable (in millions) markets inputs inputs Assets Cash and balances at central banks 66,865 66,865 66,865 Securities financing 16,138 16,138 16,138 Loans and advances banks 2,801 2,461 336 2,797 -3 Loans and advances customers 258,146 30,175 240,273 270,448 12,302 Total 343,950 66,865 48,775 240,609 356,249 12,299 Liabilities Securities financing 9,494 9,494 9,494 Due to banks 38,076 4,309 33,773 38,082 6 Due to customers 251,218 85,654 163,021 248,676 -2,542 Issued debt 58,796 43,608 18,914 62,522 3,726 Subordinated liabilities 7,549 5,959 1,979 7,938 389 Total 365,132 49,567 120,350 196,794 366,712 1,579 ", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-484-8": { "value": "19 Fair value of financial instruments carried at fair value Accounting policy for fair value of financial instruments The fair value is defined as the price that would be received when selling an asset or paid when transferring a liability in an orderly transaction between market participants at the measurement date. For financial instruments that are actively traded and for which quoted market prices or market parameters are readily available, the fair value is determined in a highly objective manner. However, when observable market prices and parameters do not exist, management judgement is necessary to estimate fair value. For financial instruments where no active liquid market exists, or quoted prices are unobtainable, recent market transactions are used or the fair value is estimated using a variety of valuation techniques \u2013 including reference to similar instruments for which market prices do exist, or to valuation techniques such as discounted cash flow models or option pricing models (e.g. Black Scholes). When portfolios of financial assets and liabilities are measured on the basis of the net exposure to the credit risk of a particular counterparty, any existing arrangements that mitigate the credit risk exposure (e.g. master netting agreements with the counterparty) are taken into account. Unobservable inputs are estimated using a combination of management judgement, historical data, market practice and benchmarking to other relevant observable market data. The difference between the transaction price and the internal valuation at inception, calculated using a model, is reserved and amortised to profit or loss at appropriate points over the life of the instrument, typically taking account of the ability to obtain reliable external data, the passage of time and the use of offsetting transactions. Where inputs to the valuation of a new transaction cannot be reliably determined, the transaction is initially recognised at its transaction price. Subsequent changes in fair value as calculated by the valuation model are reported as profit or loss or in equity. \u00c5 In order to determine a reliable fair value, where appropriate, management applies valuation adjustments to the pricing information derived from the above sources. These adjustments reflect management\u2019s assessment of factors that market participants would consider in setting a price, to the extent that these factors have not already been included in the information from the above sources. The main valuation adjustments required to arrive at a fair value are as follows: \u00c5 Credit and debit valuation adjustments. In addition to credit valuation for loans measured at fair value through profit or loss, credit valuation adjustments and debit valuation adjustments are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and how counterparties consider ABN AMRO\u2019s creditworthiness respectively; \u00c5 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives; \u00c5 Own credit adjustment. An own credit risk adjustment is applied to financial liabilities where it is believed that counterparties will consider ABN AMRO\u2019s creditworthiness when pricing such instruments; \u00c5 Model valuation adjustments for any known limitations. Management assesses the appropriateness of any model used on an ongoing basis. To the extent that the price provided by internal models does not represent the fair value of the instrument, for instance in highly stressed market conditions, management makes adjustments to the model valuation to calibrate to other available pricing sources. We believe our estimates of the fair value are adequate. However, the use of different models or assumptions could result in changes to our reported results. 22 Fair value of financial instruments not carried at fair value Accounting policy for fair value of financial instruments not carried at fair value The categorisation and valuation of financial instruments not carried at fair value is determined in accordance with the accounting policies set out in Note 19 Fair value of financial instruments carried at fair value. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-490-3": { "value": "(in millions) 31 December 2022 31 December 2021 Interest-bearing deposits 1,771 1,189 Loans and advances 934 1,355 Mandatory reserve deposits with central banks 200 199 Other loans and advances banks 85 68 Subtotal 2,990 2,811 Less: loan impairment allowances 8 10 Total loans and advances banks 2,982 2,801 Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. Most relevant for the bank are the minimum reserve requirements determined by the ECB. The ECB prescribes how the minimum reserve amount should be calculated during pre-defined reserve periods. During such a period, the balances are available for use by ABN AMRO. The bank manages and monitors deposits to ensure that the minimum reserve requirements for the period are met. 20 Loans and advances banks Accounting policy for loans and advances banks and customers Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model. Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the asset. Loans and advances that do not pass the SPPI test are measured at fair value through profit or loss. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to Credit risk management in the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). ", "dimensions": { "concept": "ifrs-full:DisclosureOfLoansAndAdvancesToBanksExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-490-4": { "value": "(in millions) 31 December 2022 31 December 2021 Interest-bearing deposits 1,771 1,189 Loans and advances 934 1,355 Mandatory reserve deposits with central banks 200 199 Other loans and advances banks 85 68 Subtotal 2,990 2,811 Less: loan impairment allowances 8 10 Total loans and advances banks 2,982 2,801 Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. Most relevant for the bank are the minimum reserve requirements determined by the ECB. The ECB prescribes how the minimum reserve amount should be calculated during pre-defined reserve periods. During such a period, the balances are available for use by ABN AMRO. The bank manages and monitors deposits to ensure that the minimum reserve requirements for the period are met. 20 Loans and advances banks Accounting policy for loans and advances banks and customers Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model. Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the asset. Loans and advances that do not pass the SPPI test are measured at fair value through profit or loss. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to Credit risk management in the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). ", "dimensions": { "concept": "ifrs-full:DisclosureOfRestrictedCashAndCashEquivalentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-502-3": { "value": "21 Loans and advances customers Accounting policy for loans and advances customers The accounting policy for loans and advances customers is included in Note 20 Loans and advances banks. Please refer to Note 1 Accounting policies in the Consolidated Annual Financial Statements and to the Credit risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for credit losses). (in millions) 31 December 2022 31 December 2021 Residential mortgages (excluding fair value adjustment) 150,762 146,351 Fair value adjustment from hedge accounting on residential mortgages -9,489 1,442 Residential mortgages, gross 141,274 147,793 Less: loan impairment allowances - residential mortgage loans 153 82 Residential mortgages 141,121 147,711 Consumer loans, gross 10,232 10,794 Less: loan impairment allowances - consumer loans 277 276 Consumer loans 9,955 10,518 Corporate loans (excluding fair value adjustment) 78,178 78,173 Fair value adjustment from hedge accounting on corporate loans 154 509 Financial lease receivables 4,396 4,972 Factoring 4,157 3,312 1 Corporate loans, gross86,885 86,968 Less: loan impairment allowances - corporate loans 1,590 2,053 Corporate loans at amortised cost 85,295 84,915 Corporate loans at fair value through P&L 66 99 Government and official institutions 629 401 Other loans1) 6,868 14,606 1 Other loans and advances customers, gross7,497 15,007 Less: loan impairment allowances - other 5 4 Other loans at amortised cost 7,491 15,003 Other loans at fair value through P&L 5 Other loans and advances customers 7,491 15,008 Total loans and advances customers 243,927 258,251 1 Excluding loans at fair value through P&L. For information on loan impairment allowances, please refer to the Credit risk review section in the Risk, funding & capital chapter. ", "dimensions": { "concept": "ifrs-full:DisclosureOfLoansAndAdvancesToCustomersExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-3": { "value": "23 Group structure Accounting policy for associates and joint ventures Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board of directors, participation in the policy-making process and material transactions between the entity and the investee are considered to determine significant influence. A joint venture is an investment in which two or more parties have contractually agreed to share control over the investment. Joint control exists only when decisions about the relevant activities require the unanimous consent of the parties sharing control. The activities conducted through joint ventures include cash transfers, insurance, finance and leasing. Investments in associates and joint ventures, including strategic investments, are accounted for using the equity method. Under this method, the investment is initially recorded at cost and subsequently increased (or decreased) for post-acquisitionnet income (or loss), other movements impacting on the equity of the investee and any adjustments required for impairment.ABN AMRO\u2019s share of the profit or loss of the investee is recognised in Share of result in equity accounted investements. If ABN AMRO\u2019s share of losses exceeds the carrying amount of the investment, the carrying amount is reduced to zero, including any other unsecured receivables, and recognition of further losses is discontinued except if ABN AMRO has incurred obligations or made payments on behalf of the investee. Assets and liabilities of acquisitions and divestments The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries and equity accounted investments at the date of acquisition or disposal. 31 December 2022 31 December 2021 (in millions) Acquisitions Divestments Acquisitions Divestments Assets and liabilities of acquisitions and divestments Loans and advances banks -9 Equity-accounted investments 13 -51 14 -1 Other assets -75 -193 Net assets acquired/Net assets divested 13 -135 14 -194 Result on divestments, gross 147 Net disposal result 147 Cash used for acquisitions/received from divestments Total purchase consideration/Proceeds from sale -13 281 -14 194 Cash and cash equivalents acquired/divested -9 Cash used for acquisitions/received from divestments -13 272 -14 194 Equity accounted investments The following table provides an overview of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Principal place Carrying Equity Carrying Equity (in millions) of business Business line amount interest amount interest Joint ventures Neuflize Vie S.A. France Wealth Management 219 60% 240 60% Other joint ventures 25 25 Associates Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. The Netherlands Personal & Business Banking 54 49% 128 49% Other equity associates 176 170 Total equity associates and joint ventures 474 564 Neuflize Vie is a joint venture where the power to govern the financial and operating policies of the economic activity is subject to joint control. Other investments in equity associates and joint ventures at equity method comprise a large number of equity associates and joint ventures with individual carrying amounts of less than EUR 75 million. The following tables provide an overview of the summarised financial information of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Assets Financial assets held for trading 1,322 1,899 Financial investments 10,874 1,079 13,378 493 Loans and advances banks and customers 260 1,929 262 2,074 Property and equipment 380 350 5 Accrued income and prepaid expenses 36 26 36 33 Other assets 41 102 37 105 Total assets 11,590 4,457 14,062 4,609 Liabilities Due to banks and customers 35 47 Provisions 4,495 4,100 6,122 4,180 Other liabilities 6,696 100 7,492 164 Total liabilities 11,225 4,201 13,662 4,345 Equity Total equity 365 257 401 264 Total liabilities and equity 11,590 4,457 14,062 4,609 Bank's share of equity 219 54 240 128 Carrying amount 219 54 240 128 Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. (EUR 4.5 billion at 31 December 2022, compared with EUR 4.6 billion at 31 December 2021). Neuflize Vie holds the majority of assets under joint ventures (EUR 11.6 billion at 31 December 2022, compared with EUR 14.1 billion at 31 December 2021). 2022 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Other income 92 519 73 610 Operating income 92 519 73 610 Other operating expenses 51 464 47 544 Operating expenses 51 464 47 544 Profit/(loss) before taxation 41 55 26 66 Income tax expense 9 12 7 12 Profit/(loss) for the period 32 42 19 55 Other comprehensive income -2 43 Total comprehensive income 30 42 62 55 2022 2021 (in millions) Joint ventures Associates: Joint ventures Associates: Operating income 92 1,493 73 1,145 Operating expenses 51 892 47 939 Profit/(loss) before taxation 41 601 26 206 Income tax expense 9 52 7 19 Profit/(loss) for the period 32 549 19 187 The joint ventures and associates had no contingent liabilities or capital commitments other than the minimum capital requirements under the Solvency Regulation as at 31 December 2022 and 2021. Impairments on equity accounted investments The following table shows the changes in impairments on equity accounted investments. (in millions) 2022 2021 Balance as at 1 January 17 Increase in impairments 6 Release of impairments -8 Other -14 Balance as at 31 December ", "dimensions": { "concept": "ifrs-full:DisclosureOfInvestmentsAccountedForUsingEquityMethodExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-4": { "value": "23 Group structure Accounting policy for business combinations ABN AMRO accounts for business combinations using the acquisition method when control is transferred to the bank. All items of consideration, including contingent consideration, transferred by ABN AMRO are measured and recognised at fair value at the acquisition date. Transaction costs incurred by ABN AMRO in connection with the business combination, other than those associated with the issuance of debt and equity securities, do not form part of the cost of the business combination transaction but are expensed as incurred. The excess of the purchase consideration over ABN AMRO\u2019s share of the fair value of the identifiable net assets acquired (including certain contingent liabilities) is recorded as goodwill. ABN AMRO measures the identifiable assets acquired and the liabilities assumed at the fair value at the acquisition date. In a step acquisition, where a business combination occurs in stages and control of the business is obtained in stages, the identifiable assets and liabilities of the acquiree are recognised at fair value when control is obtained. A gain or loss is recognised in profit or loss as the difference between the fair value of the previously held equity interest in the acquiree and its carrying amount. Changes in interests in subsidiaries that do not result in a change of control are treated as transactions between equity holders and are reported in equity. Accounting policy for associates and joint ventures Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board of directors, participation in the policy-making process and material transactions between the entity and the investee are considered to determine significant influence. A joint venture is an investment in which two or more parties have contractually agreed to share control over the investment. Joint control exists only when decisions about the relevant activities require the unanimous consent of the parties sharing control. The activities conducted through joint ventures include cash transfers, insurance, finance and leasing. Investments in associates and joint ventures, including strategic investments, are accounted for using the equity method. Under this method, the investment is initially recorded at cost and subsequently increased (or decreased) for post-acquisitionnet income (or loss), other movements impacting on the equity of the investee and any adjustments required for impairment.ABN AMRO\u2019s share of the profit or loss of the investee is recognised in Share of result in equity accounted investements. If ABN AMRO\u2019s share of losses exceeds the carrying amount of the investment, the carrying amount is reduced to zero, including any other unsecured receivables, and recognition of further losses is discontinued except if ABN AMRO has incurred obligations or made payments on behalf of the investee. Accounting policy for subsidiaries ABN AMRO\u2019s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is evidenced by ABN AMRO\u2019s ability to exercise its power in order to affect the variable returns that it is exposed to through its involvement in the entity. The existence and effect of potential voting rights that are currently exercisable are taken into account when assessing whether control exists. The assessment of control is based on consideration of all facts and circumstances. The bank reassesses whether it controls an investee if facts and circumstances indicate that there are changes to one or more of the three elements of control (power, exposure to variability in returns, and a link between the two). ABN AMRO sponsors entities, including certain special purpose entities, which may or may not be directly owned, for the purpose of asset securitisation transactions and other specific and well-defined objectives. Particularly in the case of securitisations, these entities may acquire assets from ABN AMRO companies. Some of these entities hold assets that are not available to meet the claims of creditors of ABN AMRO or its subsidiaries. These entities are consolidated in ABN AMRO\u2019s financial statements when the substance of the relationship between ABN AMRO and the entity indicates that control is held by ABN AMRO. ABN AMRO is mainly involved in securitisations of own originated assets, such as various consumer and commercial financial assets. This process generally necessitates a sale of these assets to a special purpose entity (SPE), which in turn issues securities to investors. ABN AMRO\u2019s interests in securitised assets may be retained in the form of senior or subordinated tranches, issued guarantees, interest-only strips or other residual interests, together referred to as retained interests. In many cases, these retained interests convey control, such that the SPE is consolidated and the securitised assets continue to be recognised in the consolidated statement of financial position. The financial statements of subsidiaries and special purpose entities are included in the Consolidated Annual Financial Statements from the date on which control commences until the date on which control ceases. Assets and liabilities of acquisitions and divestments The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries and equity accounted investments at the date of acquisition or disposal. 31 December 2022 31 December 2021 (in millions) Acquisitions Divestments Acquisitions Divestments Assets and liabilities of acquisitions and divestments Loans and advances banks -9 Equity-accounted investments 13 -51 14 -1 Other assets -75 -193 Net assets acquired/Net assets divested 13 -135 14 -194 Result on divestments, gross 147 Net disposal result 147 Cash used for acquisitions/received from divestments Total purchase consideration/Proceeds from sale -13 281 -14 194 Cash and cash equivalents acquired/divested -9 Cash used for acquisitions/received from divestments -13 272 -14 194 Acquisitions and Divestments No significant acquisitions were performed in 2022. The change in divestments in 2022 was impacted by the sale of ABN AMRO Levensverzekeringen, ABN AMRO Pensioeninstellingen and MP Solar. No significant acquisitions were performed in 2021. The change in divestments in 2021 was impacted by the sale of the Maas Capital Shipping portfolio. Equity accounted investments The following table provides an overview of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Principal place Carrying Equity Carrying Equity (in millions) of business Business line amount interest amount interest Joint ventures Neuflize Vie S.A. France Wealth Management 219 60% 240 60% Other joint ventures 25 25 Associates Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. The Netherlands Personal & Business Banking 54 49% 128 49% Other equity associates 176 170 Total equity associates and joint ventures 474 564 Neuflize Vie is a joint venture where the power to govern the financial and operating policies of the economic activity is subject to joint control. Other investments in equity associates and joint ventures at equity method comprise a large number of equity associates and joint ventures with individual carrying amounts of less than EUR 75 million. The following tables provide an overview of the summarised financial information of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Assets Financial assets held for trading 1,322 1,899 Financial investments 10,874 1,079 13,378 493 Loans and advances banks and customers 260 1,929 262 2,074 Property and equipment 380 350 5 Accrued income and prepaid expenses 36 26 36 33 Other assets 41 102 37 105 Total assets 11,590 4,457 14,062 4,609 Liabilities Due to banks and customers 35 47 Provisions 4,495 4,100 6,122 4,180 Other liabilities 6,696 100 7,492 164 Total liabilities 11,225 4,201 13,662 4,345 Equity Total equity 365 257 401 264 Total liabilities and equity 11,590 4,457 14,062 4,609 Bank's share of equity 219 54 240 128 Carrying amount 219 54 240 128 Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. (EUR 4.5 billion at 31 December 2022, compared with EUR 4.6 billion at 31 December 2021). Neuflize Vie holds the majority of assets under joint ventures (EUR 11.6 billion at 31 December 2022, compared with EUR 14.1 billion at 31 December 2021). 2022 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Other income 92 519 73 610 Operating income 92 519 73 610 Other operating expenses 51 464 47 544 Operating expenses 51 464 47 544 Profit/(loss) before taxation 41 55 26 66 Income tax expense 9 12 7 12 Profit/(loss) for the period 32 42 19 55 Other comprehensive income -2 43 Total comprehensive income 30 42 62 55 2022 2021 (in millions) Joint ventures Associates: Joint ventures Associates: Operating income 92 1,493 73 1,145 Operating expenses 51 892 47 939 Profit/(loss) before taxation 41 601 26 206 Income tax expense 9 52 7 19 Profit/(loss) for the period 32 549 19 187 The joint ventures and associates had no contingent liabilities or capital commitments other than the minimum capital requirements under the Solvency Regulation as at 31 December 2022 and 2021. Impairments on equity accounted investments The following table shows the changes in impairments on equity accounted investments. (in millions) 2022 2021 Balance as at 1 January 17 Increase in impairments 6 Release of impairments -8 Other -14 Balance as at 31 December Structured entities Structured entities are entities that have been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. A structured entity has some or all of the following features or attributes: \u00c5 Restricted activities; \u00c5 Narrow and well-defined objectives; \u00c5 Insufficient equity to permit the structured entity to finance its activities without subordinated financial support; \u00c5 Financing, in the form of multiple contractually linked instruments, to investors that creates concentrations of credit or other risks; \u00c5 Relevant activities are directed by contractual arrangements. Consolidated structured entities There were no notes sold to external parties at 31 December 2022 (31 December 2021: no notes sold). Retained notes are used for repo transactions and TLTRO, for example. The securitisation transactions were primarily used for funding and liquidity purposes. There was no RWA (REA) relief at 31 December 2022 (31 December 2021: no relief). During 2022, ABN AMRO terminated its last traditional securitisation programme. In such transactions, a foundation (stichting) incorporates a bankruptcy-remote, structured entity, to which the legal title of a portfolio of receivables is sold. As ABN AMRO continued, in this case, to recognise the assets after the legal title had been sold, no derecognition took place. The structured entity had issued notes to fund the purchase. ABN AMRO performed key ancillary roles in all its securitisation transactions, including as swap counterparty. After termination of the securitisation programme, a small position of securitised assets remained. Risks associated with the roles in the securitisation process Credit risk Credit risk relates to the risk of credit losses on securitised assets. ABN AMRO retains part of the credit risk by retaining notes and other securitisation positions such as liquidity facilities, swaps and first loss tranches. Regulatory capital is held for all retained securitisation positions in accordance with the applicable regulation. Liquidity risk Liquidity risk relates to the risk that ABN AMRO may incur additional cash outflows. Any potential future cash outflows relating to these positions, including collateral requirements, are taken into account within stress tests and are integrated into the liquidity ratios, where required. This includes the potential impact of the liquidity facilities or swap agreements that form part of certain securitisation transactions, most of which relate to transactions where ABN AMRO is the originator of the underlying assets. Approaches to calculating risk exposure amount ABN AMRO does not achieve significant risk transfers for any of the mortgage securitisations. Therefore, the look-through approach is used and RWA (REA) reduction is not applied. Monitoring process ABN AMRO periodically monitors changes in credit risk relating to securitisation exposures. The significance of the amount of credit risk transferred to third parties by securitisation of own originated assets is assessed on a monthly basis in accordance with the regulatory significant risk transfer test. For investments in third-party securitisations, the risk is monitored by reviewing the investor reports of these transactions. Additionally, third-party securitisation positions are included in the firm-wide comprehensive stress tests in which the downgrade and default risks under stressed market conditions are assessed. Overview of securitisation positions and securitised assets The total amount of assets securitised in securitisations decreased to EUR 2.0 billion at 31 December 2022 (31 December 2021: EUR 10.5 billion) due to the termination of Dolphin Master Issuer B.V. No securitisation transactions for the purpose of capital relief were originated in 2022. Details of total notes outstanding per structured entity The following table provides details of the outstanding notes issued by consolidated structured entities established by ABN AMRO for securitisation purposes and which were terminated during 2022. 31 December 2022 31 December 2021 (in millions) Total notes issued % of total assets Total notes issued % of total assets Category Dolphin Master Issuer B.V. 9,533 2.4% Total 9,533 Support to consolidated structured entities ABN AMRO did not provide support, financial or otherwise, to a consolidated structured entity, including when ABN AMRO was not contractually obliged to do so, and nor does ABN AMRO intend to do so in the future. Unconsolidated structured entities Unconsolidated structured entities are entities over which ABN AMRO has no control or significant influence. ABN AMRO is involved with structured entities through securitisation of financial assets and investments in structured entities. Structured entities generally finance the purchase of assets by issuing debt and equity securities that are collateralised by the assets held by the structured entities. The debt and equity securities issued by the structured entities may include tranches with varying levels of subordination. The interest in unconsolidated structured entities increased by EUR 1.1 billion to EUR 5.3 billion at year-end 2022 (2021: EUR 4.2 billion). The interests consist mainly of debt securities in corporate loans of EUR 681 million (2021: EUR 677 million) and mortgage and other asset-backed securities recognised under financial investments of EUR 3.3 billion (2021: EUR 3.2 billion). The maximum exposure to losses from these interests is equal to the total carrying amount. Sponsoring of unconsolidated structured entities An entity is considered a sponsor of an unconsolidated structured entity if it had a key role in establishing that entity so that the transaction that is the purpose of the entity could occur. No sponsoring occurred during 2022. ", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestsInOtherEntitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-5": { "value": "23 Group structure Accounting policy for subsidiaries ABN AMRO\u2019s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is evidenced by ABN AMRO\u2019s ability to exercise its power in order to affect the variable returns that it is exposed to through its involvement in the entity. The existence and effect of potential voting rights that are currently exercisable are taken into account when assessing whether control exists. The assessment of control is based on consideration of all facts and circumstances. The bank reassesses whether it controls an investee if facts and circumstances indicate that there are changes to one or more of the three elements of control (power, exposure to variability in returns, and a link between the two). ABN AMRO sponsors entities, including certain special purpose entities, which may or may not be directly owned, for the purpose of asset securitisation transactions and other specific and well-defined objectives. Particularly in the case of securitisations, these entities may acquire assets from ABN AMRO companies. Some of these entities hold assets that are not available to meet the claims of creditors of ABN AMRO or its subsidiaries. These entities are consolidated in ABN AMRO\u2019s financial statements when the substance of the relationship between ABN AMRO and the entity indicates that control is held by ABN AMRO. ABN AMRO is mainly involved in securitisations of own originated assets, such as various consumer and commercial financial assets. This process generally necessitates a sale of these assets to a special purpose entity (SPE), which in turn issues securities to investors. ABN AMRO\u2019s interests in securitised assets may be retained in the form of senior or subordinated tranches, issued guarantees, interest-only strips or other residual interests, together referred to as retained interests. In many cases, these retained interests convey control, such that the SPE is consolidated and the securitised assets continue to be recognised in the consolidated statement of financial position. The financial statements of subsidiaries and special purpose entities are included in the Consolidated Annual Financial Statements from the date on which control commences until the date on which control ceases. Assets and liabilities of acquisitions and divestments The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries and equity accounted investments at the date of acquisition or disposal. 31 December 2022 31 December 2021 (in millions) Acquisitions Divestments Acquisitions Divestments Assets and liabilities of acquisitions and divestments Loans and advances banks -9 Equity-accounted investments 13 -51 14 -1 Other assets -75 -193 Net assets acquired/Net assets divested 13 -135 14 -194 Result on divestments, gross 147 Net disposal result 147 Cash used for acquisitions/received from divestments Total purchase consideration/Proceeds from sale -13 281 -14 194 Cash and cash equivalents acquired/divested -9 Cash used for acquisitions/received from divestments -13 272 -14 194 Acquisitions and Divestments No significant acquisitions were performed in 2022. The change in divestments in 2022 was impacted by the sale of ABN AMRO Levensverzekeringen, ABN AMRO Pensioeninstellingen and MP Solar. No significant acquisitions were performed in 2021. The change in divestments in 2021 was impacted by the sale of the Maas Capital Shipping portfolio. Structured entities Structured entities are entities that have been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. A structured entity has some or all of the following features or attributes: \u00c5 Restricted activities; \u00c5 Narrow and well-defined objectives; \u00c5 Insufficient equity to permit the structured entity to finance its activities without subordinated financial support; \u00c5 Financing, in the form of multiple contractually linked instruments, to investors that creates concentrations of credit or other risks; \u00c5 Relevant activities are directed by contractual arrangements. Consolidated structured entities There were no notes sold to external parties at 31 December 2022 (31 December 2021: no notes sold). Retained notes are used for repo transactions and TLTRO, for example. The securitisation transactions were primarily used for funding and liquidity purposes. There was no RWA (REA) relief at 31 December 2022 (31 December 2021: no relief). During 2022, ABN AMRO terminated its last traditional securitisation programme. In such transactions, a foundation (stichting) incorporates a bankruptcy-remote, structured entity, to which the legal title of a portfolio of receivables is sold. As ABN AMRO continued, in this case, to recognise the assets after the legal title had been sold, no derecognition took place. The structured entity had issued notes to fund the purchase. ABN AMRO performed key ancillary roles in all its securitisation transactions, including as swap counterparty. After termination of the securitisation programme, a small position of securitised assets remained. Risks associated with the roles in the securitisation process Credit risk Credit risk relates to the risk of credit losses on securitised assets. ABN AMRO retains part of the credit risk by retaining notes and other securitisation positions such as liquidity facilities, swaps and first loss tranches. Regulatory capital is held for all retained securitisation positions in accordance with the applicable regulation. Liquidity risk Liquidity risk relates to the risk that ABN AMRO may incur additional cash outflows. Any potential future cash outflows relating to these positions, including collateral requirements, are taken into account within stress tests and are integrated into the liquidity ratios, where required. This includes the potential impact of the liquidity facilities or swap agreements that form part of certain securitisation transactions, most of which relate to transactions where ABN AMRO is the originator of the underlying assets. Approaches to calculating risk exposure amount ABN AMRO does not achieve significant risk transfers for any of the mortgage securitisations. Therefore, the look-through approach is used and RWA (REA) reduction is not applied. Monitoring process ABN AMRO periodically monitors changes in credit risk relating to securitisation exposures. The significance of the amount of credit risk transferred to third parties by securitisation of own originated assets is assessed on a monthly basis in accordance with the regulatory significant risk transfer test. For investments in third-party securitisations, the risk is monitored by reviewing the investor reports of these transactions. Additionally, third-party securitisation positions are included in the firm-wide comprehensive stress tests in which the downgrade and default risks under stressed market conditions are assessed. Overview of securitisation positions and securitised assets The total amount of assets securitised in securitisations decreased to EUR 2.0 billion at 31 December 2022 (31 December 2021: EUR 10.5 billion) due to the termination of Dolphin Master Issuer B.V. No securitisation transactions for the purpose of capital relief were originated in 2022. Details of total notes outstanding per structured entity The following table provides details of the outstanding notes issued by consolidated structured entities established by ABN AMRO for securitisation purposes and which were terminated during 2022. 31 December 2022 31 December 2021 (in millions) Total notes issued % of total assets Total notes issued % of total assets Category Dolphin Master Issuer B.V. 9,533 2.4% Total 9,533 Support to consolidated structured entities ABN AMRO did not provide support, financial or otherwise, to a consolidated structured entity, including when ABN AMRO was not contractually obliged to do so, and nor does ABN AMRO intend to do so in the future. ", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInSubsidiariesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-6": { "value": "23 Group structure Accounting policy for associates and joint ventures Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board of directors, participation in the policy-making process and material transactions between the entity and the investee are considered to determine significant influence. Investments in associates and joint ventures, including strategic investments, are accounted for using the equity method. Under this method, the investment is initially recorded at cost and subsequently increased (or decreased) for post-acquisitionnet income (or loss), other movements impacting on the equity of the investee and any adjustments required for impairment.ABN AMRO\u2019s share of the profit or loss of the investee is recognised in Share of result in equity accounted investements. If ABN AMRO\u2019s share of losses exceeds the carrying amount of the investment, the carrying amount is reduced to zero, including any other unsecured receivables, and recognition of further losses is discontinued except if ABN AMRO has incurred obligations or made payments on behalf of the investee. Assets and liabilities of acquisitions and divestments The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries and equity accounted investments at the date of acquisition or disposal. 31 December 2022 31 December 2021 (in millions) Acquisitions Divestments Acquisitions Divestments Assets and liabilities of acquisitions and divestments Loans and advances banks -9 Equity-accounted investments 13 -51 14 -1 Other assets -75 -193 Net assets acquired/Net assets divested 13 -135 14 -194 Result on divestments, gross 147 Net disposal result 147 Cash used for acquisitions/received from divestments Total purchase consideration/Proceeds from sale -13 281 -14 194 Cash and cash equivalents acquired/divested -9 Cash used for acquisitions/received from divestments -13 272 -14 194 Equity accounted investments The following table provides an overview of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Principal place Carrying Equity Carrying Equity (in millions) of business Business line amount interest amount interest Joint ventures Neuflize Vie S.A. France Wealth Management 219 60% 240 60% Other joint ventures 25 25 Associates Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. The Netherlands Personal & Business Banking 54 49% 128 49% Other equity associates 176 170 Total equity associates and joint ventures 474 564 Neuflize Vie is a joint venture where the power to govern the financial and operating policies of the economic activity is subject to joint control. Other investments in equity associates and joint ventures at equity method comprise a large number of equity associates and joint ventures with individual carrying amounts of less than EUR 75 million. The following tables provide an overview of the summarised financial information of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Assets Financial assets held for trading 1,322 1,899 Financial investments 10,874 1,079 13,378 493 Loans and advances banks and customers 260 1,929 262 2,074 Property and equipment 380 350 5 Accrued income and prepaid expenses 36 26 36 33 Other assets 41 102 37 105 Total assets 11,590 4,457 14,062 4,609 Liabilities Due to banks and customers 35 47 Provisions 4,495 4,100 6,122 4,180 Other liabilities 6,696 100 7,492 164 Total liabilities 11,225 4,201 13,662 4,345 Equity Total equity 365 257 401 264 Total liabilities and equity 11,590 4,457 14,062 4,609 Bank's share of equity 219 54 240 128 Carrying amount 219 54 240 128 Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. (EUR 4.5 billion at 31 December 2022, compared with EUR 4.6 billion at 31 December 2021). Neuflize Vie holds the majority of assets under joint ventures (EUR 11.6 billion at 31 December 2022, compared with EUR 14.1 billion at 31 December 2021). 2022 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Other income 92 519 73 610 Operating income 92 519 73 610 Other operating expenses 51 464 47 544 Operating expenses 51 464 47 544 Profit/(loss) before taxation 41 55 26 66 Income tax expense 9 12 7 12 Profit/(loss) for the period 32 42 19 55 Other comprehensive income -2 43 Total comprehensive income 30 42 62 55 2022 2021 (in millions) Joint ventures Associates: Joint ventures Associates: Operating income 92 1,493 73 1,145 Operating expenses 51 892 47 939 Profit/(loss) before taxation 41 601 26 206 Income tax expense 9 52 7 19 Profit/(loss) for the period 32 549 19 187 The joint ventures and associates had no contingent liabilities or capital commitments other than the minimum capital requirements under the Solvency Regulation as at 31 December 2022 and 2021. Impairments on equity accounted investments The following table shows the changes in impairments on equity accounted investments. (in millions) 2022 2021 Balance as at 1 January 17 Increase in impairments 6 Release of impairments -8 Other -14 Balance as at 31 December ", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInAssociatesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-7": { "value": "23 Group structure Accounting policy for associates and joint ventures A joint venture is an investment in which two or more parties have contractually agreed to share control over the investment. Joint control exists only when decisions about the relevant activities require the unanimous consent of the parties sharing control. The activities conducted through joint ventures include cash transfers, insurance, finance and leasing. Investments in associates and joint ventures, including strategic investments, are accounted for using the equity method. Under this method, the investment is initially recorded at cost and subsequently increased (or decreased) for post-acquisitionnet income (or loss), other movements impacting on the equity of the investee and any adjustments required for impairment.ABN AMRO\u2019s share of the profit or loss of the investee is recognised in Share of result in equity accounted investements. If ABN AMRO\u2019s share of losses exceeds the carrying amount of the investment, the carrying amount is reduced to zero, including any other unsecured receivables, and recognition of further losses is discontinued except if ABN AMRO has incurred obligations or made payments on behalf of the investee. Assets and liabilities of acquisitions and divestments The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries and equity accounted investments at the date of acquisition or disposal. 31 December 2022 31 December 2021 (in millions) Acquisitions Divestments Acquisitions Divestments Assets and liabilities of acquisitions and divestments Loans and advances banks -9 Equity-accounted investments 13 -51 14 -1 Other assets -75 -193 Net assets acquired/Net assets divested 13 -135 14 -194 Result on divestments, gross 147 Net disposal result 147 Cash used for acquisitions/received from divestments Total purchase consideration/Proceeds from sale -13 281 -14 194 Cash and cash equivalents acquired/divested -9 Cash used for acquisitions/received from divestments -13 272 -14 194 Equity accounted investments The following table provides an overview of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Principal place Carrying Equity Carrying Equity (in millions) of business Business line amount interest amount interest Joint ventures Neuflize Vie S.A. France Wealth Management 219 60% 240 60% Other joint ventures 25 25 Associates Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. The Netherlands Personal & Business Banking 54 49% 128 49% Other equity associates 176 170 Total equity associates and joint ventures 474 564 Neuflize Vie is a joint venture where the power to govern the financial and operating policies of the economic activity is subject to joint control. Other investments in equity associates and joint ventures at equity method comprise a large number of equity associates and joint ventures with individual carrying amounts of less than EUR 75 million. The following tables provide an overview of the summarised financial information of the most significant investments in associates and joint ventures at equity method. 31 December 2022 31 December 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Assets Financial assets held for trading 1,322 1,899 Financial investments 10,874 1,079 13,378 493 Loans and advances banks and customers 260 1,929 262 2,074 Property and equipment 380 350 5 Accrued income and prepaid expenses 36 26 36 33 Other assets 41 102 37 105 Total assets 11,590 4,457 14,062 4,609 Liabilities Due to banks and customers 35 47 Provisions 4,495 4,100 6,122 4,180 Other liabilities 6,696 100 7,492 164 Total liabilities 11,225 4,201 13,662 4,345 Equity Total equity 365 257 401 264 Total liabilities and equity 11,590 4,457 14,062 4,609 Bank's share of equity 219 54 240 128 Carrying amount 219 54 240 128 Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. (EUR 4.5 billion at 31 December 2022, compared with EUR 4.6 billion at 31 December 2021). Neuflize Vie holds the majority of assets under joint ventures (EUR 11.6 billion at 31 December 2022, compared with EUR 14.1 billion at 31 December 2021). 2022 2021 Joint venture Associate Joint venture Associate Nationale-Nederlanden Nationale-Nederlanden ABN AMRO Verzekeringen ABN AMRO Verzekeringen (in millions) Neuflize Vie S.A. Holding B.V. Neuflize Vie S.A. Holding B.V. Other income 92 519 73 610 Operating income 92 519 73 610 Other operating expenses 51 464 47 544 Operating expenses 51 464 47 544 Profit/(loss) before taxation 41 55 26 66 Income tax expense 9 12 7 12 Profit/(loss) for the period 32 42 19 55 Other comprehensive income -2 43 Total comprehensive income 30 42 62 55 2022 2021 (in millions) Joint ventures Associates: Joint ventures Associates: Operating income 92 1,493 73 1,145 Operating expenses 51 892 47 939 Profit/(loss) before taxation 41 601 26 206 Income tax expense 9 52 7 19 Profit/(loss) for the period 32 549 19 187 The joint ventures and associates had no contingent liabilities or capital commitments other than the minimum capital requirements under the Solvency Regulation as at 31 December 2022 and 2021. Impairments on equity accounted investments The following table shows the changes in impairments on equity accounted investments. (in millions) 2022 2021 Balance as at 1 January 17 Increase in impairments 6 Release of impairments -8 Other -14 Balance as at 31 December ", "dimensions": { "concept": "ifrs-full:DisclosureOfJointVenturesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-8": { "value": "23 Group structure 24 Property and equipment, leases, goodwill and other intangible assets Accounting policy for property and equipment At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. The fair value of land and buildings held for own use is estimated at EUR 234 million at 31 December 2022 (31 December 2021:EUR 283 million). Of this fair value, 100% is based on external valuations performed in 2017 to 2022. Some properties have a lower fair value than the recorded carrying value. No impairment is recorded because these properties are considered corporate assets. The value in use for the cash-generating units within ABN AMRO Group is sufficient to cover the total valueof these assets. Valuation of goodwill (in millions) 2022 2022 Depreciation on tangible assets Land and buildings held for own use 24 33 Leasehold improvements 13 15 Equipment 42 55 Right of use assets 78 72 Amortisation on intangible assets Purchased software 10 11 Internally developed software 2 3 Other intangible assets 7 6 Impairment losses on tangible assets Land and buildings held for own use (incl. held for sale) 1 1 Right of use assets -5 -3 Other 1 Impairment losses on intangible assets Purchased software 1 Total depreciation, amortisation and impairment losses 172 194 31 December 31 December 2022 2021 Method used for recoverable Discount Long-term Impairment (in millions) Segment amount rate growth rate charges Goodwill Goodwill Entity Bethmann Wealth Management Value in use 10.0% 0.0% 63 63 ABN AMRO Asset Based Finance N.V., (UK) Branch Corporate Banking Value in use 10.0% 0.0% 9 10 Banque Neuflize OBC S.A. Wealth Management Value in use 10.0% 0.0% 6 6 Total goodwill and impairment charges 79 79 The outcome of several impairment tests entails an impairment of nil. Total goodwill and impairment charges remained the same compared to the prior period. ", "dimensions": { "concept": "ifrs-full:DisclosureOfImpairmentOfAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-9": { "value": "23 Group structure Accounting policy for business combinations ABN AMRO accounts for business combinations using the acquisition method when control is transferred to the bank. All items of consideration, including contingent consideration, transferred by ABN AMRO are measured and recognised at fair value at the acquisition date. Transaction costs incurred by ABN AMRO in connection with the business combination, other than those associated with the issuance of debt and equity securities, do not form part of the cost of the business combination transaction but are expensed as incurred. The excess of the purchase consideration over ABN AMRO\u2019s share of the fair value of the identifiable net assets acquired (including certain contingent liabilities) is recorded as goodwill. ABN AMRO measures the identifiable assets acquired and the liabilities assumed at the fair value at the acquisition date. In a step acquisition, where a business combination occurs in stages and control of the business is obtained in stages, the identifiable assets and liabilities of the acquiree are recognised at fair value when control is obtained. A gain or loss is recognised in profit or loss as the difference between the fair value of the previously held equity interest in the acquiree and its carrying amount. Changes in interests in subsidiaries that do not result in a change of control are treated as transactions between equity holders and are reported in equity. Assets and liabilities of acquisitions and divestments The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries and equity accounted investments at the date of acquisition or disposal. 31 December 2022 31 December 2021 (in millions) Acquisitions Divestments Acquisitions Divestments Assets and liabilities of acquisitions and divestments Loans and advances banks -9 Equity-accounted investments 13 -51 14 -1 Other assets -75 -193 Net assets acquired/Net assets divested 13 -135 14 -194 Result on divestments, gross 147 Net disposal result 147 Cash used for acquisitions/received from divestments Total purchase consideration/Proceeds from sale -13 281 -14 194 Cash and cash equivalents acquired/divested -9 Cash used for acquisitions/received from divestments -13 272 -14 194 Acquisitions and Divestments No significant acquisitions were performed in 2022. The change in divestments in 2022 was impacted by the sale of ABN AMRO Levensverzekeringen, ABN AMRO Pensioeninstellingen and MP Solar. No significant acquisitions were performed in 2021. The change in divestments in 2021 was impacted by the sale of the Maas Capital Shipping portfolio. ", "dimensions": { "concept": "ifrs-full:DisclosureOfBusinessCombinationsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-11": { "value": "23 Group structure Accounting policy for business combinations ABN AMRO accounts for business combinations using the acquisition method when control is transferred to the bank. All items of consideration, including contingent consideration, transferred by ABN AMRO are measured and recognised at fair value at the acquisition date. Transaction costs incurred by ABN AMRO in connection with the business combination, other than those associated with the issuance of debt and equity securities, do not form part of the cost of the business combination transaction but are expensed as incurred. The excess of the purchase consideration over ABN AMRO\u2019s share of the fair value of the identifiable net assets acquired (including certain contingent liabilities) is recorded as goodwill. ABN AMRO measures the identifiable assets acquired and the liabilities assumed at the fair value at the acquisition date. In a step acquisition, where a business combination occurs in stages and control of the business is obtained in stages, the identifiable assets and liabilities of the acquiree are recognised at fair value when control is obtained. A gain or loss is recognised in profit or loss as the difference between the fair value of the previously held equity interest in the acquiree and its carrying amount. Changes in interests in subsidiaries that do not result in a change of control are treated as transactions between equity holders and are reported in equity. 24 Property and equipment, leases, goodwill and other intangible assets Goodwill Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value of ABN AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and contingent liabilities are determined by reference to market values or by discounting expected future cash flows to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense and are irreversible. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsAndGoodwillExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-12": { "value": "23 Group structure Accounting policy for business combinations ABN AMRO accounts for business combinations using the acquisition method when control is transferred to the bank. All items of consideration, including contingent consideration, transferred by ABN AMRO are measured and recognised at fair value at the acquisition date. Transaction costs incurred by ABN AMRO in connection with the business combination, other than those associated with the issuance of debt and equity securities, do not form part of the cost of the business combination transaction but are expensed as incurred. The excess of the purchase consideration over ABN AMRO\u2019s share of the fair value of the identifiable net assets acquired (including certain contingent liabilities) is recorded as goodwill. ABN AMRO measures the identifiable assets acquired and the liabilities assumed at the fair value at the acquisition date. In a step acquisition, where a business combination occurs in stages and control of the business is obtained in stages, the identifiable assets and liabilities of the acquiree are recognised at fair value when control is obtained. A gain or loss is recognised in profit or loss as the difference between the fair value of the previously held equity interest in the acquiree and its carrying amount. Changes in interests in subsidiaries that do not result in a change of control are treated as transactions between equity holders and are reported in equity. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-13": { "value": "23 Group structure Accounting policy for subsidiaries ABN AMRO\u2019s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is evidenced by ABN AMRO\u2019s ability to exercise its power in order to affect the variable returns that it is exposed to through its involvement in the entity. The existence and effect of potential voting rights that are currently exercisable are taken into account when assessing whether control exists. The assessment of control is based on consideration of all facts and circumstances. The bank reassesses whether it controls an investee if facts and circumstances indicate that there are changes to one or more of the three elements of control (power, exposure to variability in returns, and a link between the two). ABN AMRO sponsors entities, including certain special purpose entities, which may or may not be directly owned, for the purpose of asset securitisation transactions and other specific and well-defined objectives. Particularly in the case of securitisations, these entities may acquire assets from ABN AMRO companies. Some of these entities hold assets that are not available to meet the claims of creditors of ABN AMRO or its subsidiaries. These entities are consolidated in ABN AMRO\u2019s financial statements when the substance of the relationship between ABN AMRO and the entity indicates that control is held by ABN AMRO. ABN AMRO is mainly involved in securitisations of own originated assets, such as various consumer and commercial financial assets. This process generally necessitates a sale of these assets to a special purpose entity (SPE), which in turn issues securities to investors. ABN AMRO\u2019s interests in securitised assets may be retained in the form of senior or subordinated tranches, issued guarantees, interest-only strips or other residual interests, together referred to as retained interests. In many cases, these retained interests convey control, such that the SPE is consolidated and the securitised assets continue to be recognised in the consolidated statement of financial position. The financial statements of subsidiaries and special purpose entities are included in the Consolidated Annual Financial Statements from the date on which control commences until the date on which control ceases. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSubsidiariesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-14": { "value": "23 Group structure Accounting policy for associates and joint ventures Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board of directors, participation in the policy-making process and material transactions between the entity and the investee are considered to determine significant influence. A joint venture is an investment in which two or more parties have contractually agreed to share control over the investment. Joint control exists only when decisions about the relevant activities require the unanimous consent of the parties sharing control. The activities conducted through joint ventures include cash transfers, insurance, finance and leasing. Investments in associates and joint ventures, including strategic investments, are accounted for using the equity method. Under this method, the investment is initially recorded at cost and subsequently increased (or decreased) for post-acquisitionnet income (or loss), other movements impacting on the equity of the investee and any adjustments required for impairment.ABN AMRO\u2019s share of the profit or loss of the investee is recognised in Share of result in equity accounted investements. If ABN AMRO\u2019s share of losses exceeds the carrying amount of the investment, the carrying amount is reduced to zero, including any other unsecured receivables, and recognition of further losses is discontinued except if ABN AMRO has incurred obligations or made payments on behalf of the investee. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociatesAndJointVenturesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-15": { "value": "23 Group structure Accounting policy for associates and joint ventures Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board of directors, participation in the policy-making process and material transactions between the entity and the investee are considered to determine significant influence. Investments in associates and joint ventures, including strategic investments, are accounted for using the equity method. Under this method, the investment is initially recorded at cost and subsequently increased (or decreased) for post-acquisitionnet income (or loss), other movements impacting on the equity of the investee and any adjustments required for impairment.ABN AMRO\u2019s share of the profit or loss of the investee is recognised in Share of result in equity accounted investements. If ABN AMRO\u2019s share of losses exceeds the carrying amount of the investment, the carrying amount is reduced to zero, including any other unsecured receivables, and recognition of further losses is discontinued except if ABN AMRO has incurred obligations or made payments on behalf of the investee. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociates", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-506-16": { "value": "23 Group structure Accounting policy for associates and joint ventures A joint venture is an investment in which two or more parties have contractually agreed to share control over the investment. Joint control exists only when decisions about the relevant activities require the unanimous consent of the parties sharing control. The activities conducted through joint ventures include cash transfers, insurance, finance and leasing. Investments in associates and joint ventures, including strategic investments, are accounted for using the equity method. Under this method, the investment is initially recorded at cost and subsequently increased (or decreased) for post-acquisitionnet income (or loss), other movements impacting on the equity of the investee and any adjustments required for impairment.ABN AMRO\u2019s share of the profit or loss of the investee is recognised in Share of result in equity accounted investements. If ABN AMRO\u2019s share of losses exceeds the carrying amount of the investment, the carrying amount is reduced to zero, including any other unsecured receivables, and recognition of further losses is discontinued except if ABN AMRO has incurred obligations or made payments on behalf of the investee. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentsInJointVentures", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-6": { "value": "24 Property and equipment, leases, goodwill and other intangible assets Accounting policy for property and equipment Property and equipment is stated at cost less accumulated depreciation and any impairment amount. At each balance sheet date, an assessment is performed to determine whether there is any indication of impairment. Subsequent costs are capitalised if these result in an enhancement to the asset. Depreciation is charged to the income statement on a straight-line basis over the estimated useful lives of items of property and equipment, and of major components that are accounted for separately. ABN AMRO generally uses the following useful lives in calculating depreciation: Land: not depreciated; Buildings: 30 years; Leasehold improvements: 5 years; Equipment: 5 years; Installations (durable): 10 years; Computer installations: 2 to 5 years. At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Depreciation rates and residual values are reviewed at least periodically to take into account any change in circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account the term and renewal conditions of the related lease. Assets for which the bank acts as a lessor in an operational lease contract are included in property and equipment. The asset is depreciated on a straight-line basis, over its useful life, to its estimated residual value. (in millions) 31 December 2022 31 December 2021 Land and buildings held for own use 191 211 Leasehold improvements 39 43 Plant & equipment under operating lease 427 533 Equipment 81 84 Right of use assets 241 299 Other 10 Total property and equipment 988 1,172 The right of use assets consist primarily of real estate. 2022 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under Equip-of use equip-and intangible intangible (in millions) own use ments oper. lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031 Acquisitions/divestments of subsidiaries -2 -2 Additions 33 8 96 38 93 11 278 3 3 Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450 Foreign exchange differences 2 -12 1 3 -7 1 1 Other -50 3 6 -68 -109 -1 -2 Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580 Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825 Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19 Depreciation of assets subject to operating lease -127 -127 Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446 Foreign exchange differences -1 6 -1 4 -1 -1 Other 36 -3 -4 -5 24 Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398 Impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78 Acquisitions/divestments of subsidiaries 2 2 Increase of impairments charged to the income statement -1 -4 -1 -6 Impairments on assets subject to operating lease 2 2 Reversal of impairments credited to the income statement 10 10 Reversal of impairments due to disposals 4 1 4 10 3 3 Foreign exchange differences -2 -3 Other -1 Impairments as at 31 December -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Total as at 31 December 191 39 427 81 241 10 988 79 30 108 The fair value of land and buildings held for own use is estimated at EUR 234 million at 31 December 2022 (31 December 2021:EUR 283 million). Of this fair value, 100% is based on external valuations performed in 2017 to 2022. Some properties have a lower fair value than the recorded carrying value. No impairment is recorded because these properties are considered corporate assets. The value in use for the cash-generating units within ABN AMRO Group is sufficient to cover the total valueof these assets. 2021 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under oper. Equip-of use equip-and intangible intangible (in millions) own use ments lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 842 242 978 863 436 3,360 146 880 1,027 Additions 23 10 11 8 31 255 437 21 21 Reversal of cost due to disposals -724 -11 -184 -97 -13 -1,029 -18 -18 Foreign exchange differences 2 19 3 7 31 1 1 Other 675 1 -4 -138 533 1 -1 Acquisition costs as at 31 December 815 244 931 795 547 3,333 147 884 1,031 Accumulated depreciation/amortisation as at 1 January -591 -189 -369 -743 -134 -2,026 -816 -816 Depreciation/amortisation -33 -15 -55 -72 -175 -20 -20 Depreciation of assets subject to operating lease -138 -138 Reversal of depreciation/amortisation due to disposals 455 11 125 88 9 687 12 12 Foreign exchange differences -2 -8 -3 -2 -13 -1 -1 Other -426 5 8 -413 1 1 Accumulated depreciation/amortisation as at 31 December -596 -195 -389 -707 -190 -2,078 -825 -825 Impairments as at 1 January -8 -5 -7 -3 -55 -79 -68 -15 -82 Increase of impairments charged to the income statement -1 -2 -3 -1 -1 Impairments on assets subject to operating lease -4 -4 Reversal of impairments credited to the income statement 5 5 Reversal of impairments due to disposals 1 4 5 6 6 Foreign exchange differences -1 -3 -4 Other -3 -3 Impairments as at 31 December -8 -6 -8 -4 -57 -83 -68 -10 -78 Total as at 31 December 211 43 533 84 299 1,172 79 48 127 ", "dimensions": { "concept": "ifrs-full:DisclosureOfPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-7": { "value": "24 Property and equipment, leases, goodwill and other intangible assets At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Accounting policy for intangible assets Goodwill Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value of ABN AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and contingent liabilities are determined by reference to market values or by discounting expected future cash flows to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense and are irreversible. Software and other intangible assets The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets. Software is amortised over a period of three years, unless it is classified as core application software, which is depreciated over its estimated useful life, set at a maximum of seven years. Only the development phase is capitalised for own-developed software. Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as customer relationships, and certain purchased trademarks and similar items. In general, the estimated useful life does not exceed ten years. Amortisation rates and residual values are reviewed at least annually to take into account any change in circumstances. (in millions) 31 December 2022 31 December 2021 Goodwill 79 79 Purchased software 12 20 Internally developed software 6 9 Other 12 19 Total goodwill and other intangible assets 108 127 2022 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under Equip-of use equip-and intangible intangible (in millions) own use ments oper. lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031 Acquisitions/divestments of subsidiaries -2 -2 Additions 33 8 96 38 93 11 278 3 3 Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450 Foreign exchange differences 2 -12 1 3 -7 1 1 Other -50 3 6 -68 -109 -1 -2 Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580 Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825 Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19 Depreciation of assets subject to operating lease -127 -127 Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446 Foreign exchange differences -1 6 -1 4 -1 -1 Other 36 -3 -4 -5 24 Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398 Impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78 Acquisitions/divestments of subsidiaries 2 2 Increase of impairments charged to the income statement -1 -4 -1 -6 Impairments on assets subject to operating lease 2 2 Reversal of impairments credited to the income statement 10 10 Reversal of impairments due to disposals 4 1 4 10 3 3 Foreign exchange differences -2 -3 Other -1 Impairments as at 31 December -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Total as at 31 December 191 39 427 81 241 10 988 79 30 108 2021 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under oper. Equip-of use equip-and intangible intangible (in millions) own use ments lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 842 242 978 863 436 3,360 146 880 1,027 Additions 23 10 11 8 31 255 437 21 21 Reversal of cost due to disposals -724 -11 -184 -97 -13 -1,029 -18 -18 Foreign exchange differences 2 19 3 7 31 1 1 Other 675 1 -4 -138 533 1 -1 Acquisition costs as at 31 December 815 244 931 795 547 3,333 147 884 1,031 Accumulated depreciation/amortisation as at 1 January -591 -189 -369 -743 -134 -2,026 -816 -816 Depreciation/amortisation -33 -15 -55 -72 -175 -20 -20 Depreciation of assets subject to operating lease -138 -138 Reversal of depreciation/amortisation due to disposals 455 11 125 88 9 687 12 12 Foreign exchange differences -2 -8 -3 -2 -13 -1 -1 Other -426 5 8 -413 1 1 Accumulated depreciation/amortisation as at 31 December -596 -195 -389 -707 -190 -2,078 -825 -825 Impairments as at 1 January -8 -5 -7 -3 -55 -79 -68 -15 -82 Increase of impairments charged to the income statement -1 -2 -3 -1 -1 Impairments on assets subject to operating lease -4 -4 Reversal of impairments credited to the income statement 5 5 Reversal of impairments due to disposals 1 4 5 6 6 Foreign exchange differences -1 -3 -4 Other -3 -3 Impairments as at 31 December -8 -6 -8 -4 -57 -83 -68 -10 -78 Total as at 31 December 211 43 533 84 299 1,172 79 48 127 Valuation of goodwill 31 December 31 December 2022 2021 Method used for recoverable Discount Long-term Impairment (in millions) Segment amount rate growth rate charges Goodwill Goodwill Entity Bethmann Wealth Management Value in use 10.0% 0.0% 63 63 ABN AMRO Asset Based Finance N.V., (UK) Branch Corporate Banking Value in use 10.0% 0.0% 9 10 Banque Neuflize OBC S.A. Wealth Management Value in use 10.0% 0.0% 6 6 Total goodwill and impairment charges 79 79 The outcome of several impairment tests entails an impairment of nil. Total goodwill and impairment charges remained the same compared to the prior period. ", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsAndGoodwillExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-8": { "value": "24 Property and equipment, leases, goodwill and other intangible assets At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Accounting policy for intangible assets Software and other intangible assets The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets. Software is amortised over a period of three years, unless it is classified as core application software, which is depreciated over its estimated useful life, set at a maximum of seven years. Only the development phase is capitalised for own-developed software. Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as customer relationships, and certain purchased trademarks and similar items. In general, the estimated useful life does not exceed ten years. Amortisation rates and residual values are reviewed at least annually to take into account any change in circumstances. (in millions) 31 December 2022 31 December 2021 Goodwill 79 79 Purchased software 12 20 Internally developed software 6 9 Other 12 19 Total goodwill and other intangible assets 108 127 2022 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under Equip-of use equip-and intangible intangible (in millions) own use ments oper. lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031 Acquisitions/divestments of subsidiaries -2 -2 Additions 33 8 96 38 93 11 278 3 3 Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450 Foreign exchange differences 2 -12 1 3 -7 1 1 Other -50 3 6 -68 -109 -1 -2 Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580 Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825 Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19 Depreciation of assets subject to operating lease -127 -127 Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446 Foreign exchange differences -1 6 -1 4 -1 -1 Other 36 -3 -4 -5 24 Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398 Impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78 Acquisitions/divestments of subsidiaries 2 2 Increase of impairments charged to the income statement -1 -4 -1 -6 Impairments on assets subject to operating lease 2 2 Reversal of impairments credited to the income statement 10 10 Reversal of impairments due to disposals 4 1 4 10 3 3 Foreign exchange differences -2 -3 Other -1 Impairments as at 31 December -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Total as at 31 December 191 39 427 81 241 10 988 79 30 108 2021 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under oper. Equip-of use equip-and intangible intangible (in millions) own use ments lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 842 242 978 863 436 3,360 146 880 1,027 Additions 23 10 11 8 31 255 437 21 21 Reversal of cost due to disposals -724 -11 -184 -97 -13 -1,029 -18 -18 Foreign exchange differences 2 19 3 7 31 1 1 Other 675 1 -4 -138 533 1 -1 Acquisition costs as at 31 December 815 244 931 795 547 3,333 147 884 1,031 Accumulated depreciation/amortisation as at 1 January -591 -189 -369 -743 -134 -2,026 -816 -816 Depreciation/amortisation -33 -15 -55 -72 -175 -20 -20 Depreciation of assets subject to operating lease -138 -138 Reversal of depreciation/amortisation due to disposals 455 11 125 88 9 687 12 12 Foreign exchange differences -2 -8 -3 -2 -13 -1 -1 Other -426 5 8 -413 1 1 Accumulated depreciation/amortisation as at 31 December -596 -195 -389 -707 -190 -2,078 -825 -825 Impairments as at 1 January -8 -5 -7 -3 -55 -79 -68 -15 -82 Increase of impairments charged to the income statement -1 -2 -3 -1 -1 Impairments on assets subject to operating lease -4 -4 Reversal of impairments credited to the income statement 5 5 Reversal of impairments due to disposals 1 4 5 6 6 Foreign exchange differences -1 -3 -4 Other -3 -3 Impairments as at 31 December -8 -6 -8 -4 -57 -83 -68 -10 -78 Total as at 31 December 211 43 533 84 299 1,172 79 48 127 ", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-9": { "value": "24 Property and equipment, leases, goodwill and other intangible assets At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Accounting policy for intangible assets Goodwill Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value of ABN AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and contingent liabilities are determined by reference to market values or by discounting expected future cash flows to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense and are irreversible. (in millions) 31 December 2022 31 December 2021 Goodwill 79 79 Purchased software 12 20 Internally developed software 6 9 Other 12 19 Total goodwill and other intangible assets 108 127 2022 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under Equip-of use equip-and intangible intangible (in millions) own use ments oper. lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031 Acquisitions/divestments of subsidiaries -2 -2 Additions 33 8 96 38 93 11 278 3 3 Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450 Foreign exchange differences 2 -12 1 3 -7 1 1 Other -50 3 6 -68 -109 -1 -2 Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580 Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825 Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19 Depreciation of assets subject to operating lease -127 -127 Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446 Foreign exchange differences -1 6 -1 4 -1 -1 Other 36 -3 -4 -5 24 Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398 Impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78 Acquisitions/divestments of subsidiaries 2 2 Increase of impairments charged to the income statement -1 -4 -1 -6 Impairments on assets subject to operating lease 2 2 Reversal of impairments credited to the income statement 10 10 Reversal of impairments due to disposals 4 1 4 10 3 3 Foreign exchange differences -2 -3 Other -1 Impairments as at 31 December -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Total as at 31 December 191 39 427 81 241 10 988 79 30 108 2021 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under oper. Equip-of use equip-and intangible intangible (in millions) own use ments lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 842 242 978 863 436 3,360 146 880 1,027 Additions 23 10 11 8 31 255 437 21 21 Reversal of cost due to disposals -724 -11 -184 -97 -13 -1,029 -18 -18 Foreign exchange differences 2 19 3 7 31 1 1 Other 675 1 -4 -138 533 1 -1 Acquisition costs as at 31 December 815 244 931 795 547 3,333 147 884 1,031 Accumulated depreciation/amortisation as at 1 January -591 -189 -369 -743 -134 -2,026 -816 -816 Depreciation/amortisation -33 -15 -55 -72 -175 -20 -20 Depreciation of assets subject to operating lease -138 -138 Reversal of depreciation/amortisation due to disposals 455 11 125 88 9 687 12 12 Foreign exchange differences -2 -8 -3 -2 -13 -1 -1 Other -426 5 8 -413 1 1 Accumulated depreciation/amortisation as at 31 December -596 -195 -389 -707 -190 -2,078 -825 -825 Impairments as at 1 January -8 -5 -7 -3 -55 -79 -68 -15 -82 Increase of impairments charged to the income statement -1 -2 -3 -1 -1 Impairments on assets subject to operating lease -4 -4 Reversal of impairments credited to the income statement 5 5 Reversal of impairments due to disposals 1 4 5 6 6 Foreign exchange differences -1 -3 -4 Other -3 -3 Impairments as at 31 December -8 -6 -8 -4 -57 -83 -68 -10 -78 Total as at 31 December 211 43 533 84 299 1,172 79 48 127 Valuation of goodwill 31 December 31 December 2022 2021 Method used for recoverable Discount Long-term Impairment (in millions) Segment amount rate growth rate charges Goodwill Goodwill Entity Bethmann Wealth Management Value in use 10.0% 0.0% 63 63 ABN AMRO Asset Based Finance N.V., (UK) Branch Corporate Banking Value in use 10.0% 0.0% 9 10 Banque Neuflize OBC S.A. Wealth Management Value in use 10.0% 0.0% 6 6 Total goodwill and impairment charges 79 79 The outcome of several impairment tests entails an impairment of nil. Total goodwill and impairment charges remained the same compared to the prior period. ", "dimensions": { "concept": "ifrs-full:DisclosureOfGoodwillExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-10": { "value": "24 Property and equipment, leases, goodwill and other intangible assets 2022 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under Equip-of use equip-and intangible intangible (in millions) own use ments oper. lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031 Acquisitions/divestments of subsidiaries -2 -2 Additions 33 8 96 38 93 11 278 3 3 Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450 Foreign exchange differences 2 -12 1 3 -7 1 1 Other -50 3 6 -68 -109 -1 -2 Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580 Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825 Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19 Depreciation of assets subject to operating lease -127 -127 Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446 Foreign exchange differences -1 6 -1 4 -1 -1 Other 36 -3 -4 -5 24 Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398 Impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78 Acquisitions/divestments of subsidiaries 2 2 Increase of impairments charged to the income statement -1 -4 -1 -6 Impairments on assets subject to operating lease 2 2 Reversal of impairments credited to the income statement 10 10 Reversal of impairments due to disposals 4 1 4 10 3 3 Foreign exchange differences -2 -3 Other -1 Impairments as at 31 December -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Total as at 31 December 191 39 427 81 241 10 988 79 30 108 2021 Other Total Land and Plant & property Total goodwill buildings Leasehold equipment Right and property Other and other held for improve-under oper. Equip-of use equip-and intangible intangible (in millions) own use ments lease ment assets ment equipment Goodwill assets assets Acquisition costs as at 1 January 842 242 978 863 436 3,360 146 880 1,027 Additions 23 10 11 8 31 255 437 21 21 Reversal of cost due to disposals -724 -11 -184 -97 -13 -1,029 -18 -18 Foreign exchange differences 2 19 3 7 31 1 1 Other 675 1 -4 -138 533 1 -1 Acquisition costs as at 31 December 815 244 931 795 547 3,333 147 884 1,031 Accumulated depreciation/amortisation as at 1 January -591 -189 -369 -743 -134 -2,026 -816 -816 Depreciation/amortisation -33 -15 -55 -72 -175 -20 -20 Depreciation of assets subject to operating lease -138 -138 Reversal of depreciation/amortisation due to disposals 455 11 125 88 9 687 12 12 Foreign exchange differences -2 -8 -3 -2 -13 -1 -1 Other -426 5 8 -413 1 1 Accumulated depreciation/amortisation as at 31 December -596 -195 -389 -707 -190 -2,078 -825 -825 Impairments as at 1 January -8 -5 -7 -3 -55 -79 -68 -15 -82 Increase of impairments charged to the income statement -1 -2 -3 -1 -1 Impairments on assets subject to operating lease -4 -4 Reversal of impairments credited to the income statement 5 5 Reversal of impairments due to disposals 1 4 5 6 6 Foreign exchange differences -1 -3 -4 Other -3 -3 Impairments as at 31 December -8 -6 -8 -4 -57 -83 -68 -10 -78 Total as at 31 December 211 43 533 84 299 1,172 79 48 127 (in millions) 2022 2022 Depreciation on tangible assets Land and buildings held for own use 24 33 Leasehold improvements 13 15 Equipment 42 55 Right of use assets 78 72 Amortisation on intangible assets Purchased software 10 11 Internally developed software 2 3 Other intangible assets 7 6 Impairment losses on tangible assets Land and buildings held for own use (incl. held for sale) 1 1 Right of use assets -5 -3 Other 1 Impairment losses on intangible assets Purchased software 1 Total depreciation, amortisation and impairment losses 172 194 ", "dimensions": { "concept": "ifrs-full:DisclosureOfDepreciationAndAmortisationExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-15": { "value": "24 Property and equipment, leases, goodwill and other intangible assets Accounting policy for property and equipment Property and equipment is stated at cost less accumulated depreciation and any impairment amount. At each balance sheet date, an assessment is performed to determine whether there is any indication of impairment. Subsequent costs are capitalised if these result in an enhancement to the asset. Depreciation is charged to the income statement on a straight-line basis over the estimated useful lives of items of property and equipment, and of major components that are accounted for separately. ABN AMRO generally uses the following useful lives in calculating depreciation: Land: not depreciated; Buildings: 30 years; Leasehold improvements: 5 years; Equipment: 5 years; Installations (durable): 10 years; Computer installations: 2 to 5 years. At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Depreciation rates and residual values are reviewed at least periodically to take into account any change in circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account the term and renewal conditions of the related lease. Assets for which the bank acts as a lessor in an operational lease contract are included in property and equipment. The asset is depreciated on a straight-line basis, over its useful life, to its estimated residual value. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-16": { "value": "24 Property and equipment, leases, goodwill and other intangible assets Accounting policy for property and equipment Property and equipment is stated at cost less accumulated depreciation and any impairment amount. At each balance sheet date, an assessment is performed to determine whether there is any indication of impairment. Subsequent costs are capitalised if these result in an enhancement to the asset. Depreciation is charged to the income statement on a straight-line basis over the estimated useful lives of items of property and equipment, and of major components that are accounted for separately. ABN AMRO generally uses the following useful lives in calculating depreciation: Land: not depreciated; Buildings: 30 years; Leasehold improvements: 5 years; Equipment: 5 years; Installations (durable): 10 years; Computer installations: 2 to 5 years. Depreciation rates and residual values are reviewed at least periodically to take into account any change in circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account the term and renewal conditions of the related lease. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDepreciationExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-17": { "value": "24 Property and equipment, leases, goodwill and other intangible assets Accounting policy for property and equipment At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfNonfinancialAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-18": { "value": "24 Property and equipment, leases, goodwill and other intangible assets At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Accounting policy for leases Lessor accounting Where ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where the bank transfers substantially all risks and rewards incidental to ownership of the asset to the lessee are classified as finance leases. Leases that do not transfer these risks and rewards are classified as operating leases. Finance leases are recognised as a receivable in loans and advances at an amount equal to the net investment in the lease, less credit loss allowances. Assets subject to operating leases are recognised at cost in property and equipment. Operating income from finance leases is recognised in a pattern reflecting a constant periodic rate of return on the net investment in the lease. Lessee accounting All leases, except for low-value leases and leases with a duration of less than one year, are recognised on the balance sheet as a right of use (ROU) asset and lease liability. As a lessee, ABN AMRO enters into various lease contracts, mainly for office buildings and cars that the bank leases for its own use. When accounting for the contracts as a lessee, ABN AMRO separates non-lease components from lease components. Payments such as variable lease payments that do not depend on an index or a rate and non-lease components are not included in the lease liability. The ROU asset is initially measured at cost, which reflects the initial lease liability, adjusted for upfront lease payments, received incentives and initial direct costs. The initial lease liability is equal to the sum of the fixed lease payments, discounted by the incremental borrowing rate. The ROU asset is depreciated over the period of the lease, using the straight-line method. Adjustments to the ROU asset and corresponding lease liability result from remeasurement and/or modification. Remeasurement occurs when there is a change in the lease term or discount rate, or when ABN AMRO changes its assessment regarding purchase, extension or termination options. A lease modification is a change in the scope of the lease, or the consideration of a part of a lease that was not in the original terms and conditions of the lease. A lease modification results in either a separate additional lease or a change in the accounting for the existing lease. In the case of a lease modification not resulting in an additional lease, the lease liability is remeasured by adjusting the carrying amount of the ROU asset and, to reflect the partial or full termination of the lease, recognising any gain or loss in the statement of profit and loss. Expenses related to short-term leases with a term of less than 12 months and leases of low-value are recognised in the income statement. ROU assets are included in the line item Property and equipment, while the lease liabilities are included in Other liabilities. Depreciation of the ROU assets is included in the line item for depreciation and amortisation of tangible and intangible assets in the income statement, and interest expense on lease liabilities is included in the line item Other interest and similar expense. Sale and leaseback transactions In a sale and leaseback transaction, the seller-lessee transfers an underlying asset to the buyer-lessor and leases that asset back from the buyer-lessor. Seller-lessee accounting If the bank is involved in a sale and leaseback transaction as a seller-lessee, the accounting policy described below is from the perspective of a seller-lessee. To determine how to account for a sale and leaseback transaction, the bank first considers whether the initial transfer of the underlying asset from the seller-lessee to the buyer-lessor is a sale in accordance with IFRS 15. If a sale and leaseback transaction results in a sale in accordance with IFRS 15, the underlying asset is derecognised and the lessee accounting model is applied to the leaseback. The ROU asset arising from the leaseback is measured based on the proportion of the previous carrying amount of the asset that relates to the rights of use retained by the seller-lessee. Accordingly, any gain or loss that relates to the rights transferred to the buyer-lessor is recognised. The proportion of the rights of use retained is the ratio between the present value of lease payments at market rates (excluding any future index changes) and the fair value of the consideration for the sale proceeds. The residual proportion is the proportion of the rights transferred. The fair value of the consideration for the sale proceeds is equal to the fair value of the underlying asset in the sale-and-leaseback transaction. If this does not equal the fair value of the underlying asset, or if the payments for the lease are not at market rates, the bank makes adjustments to recognise the sale proceeds at the fair value. Any below-market terms are recognised as a prepayment of lease payments and any above-market terms are recognised as additional financing provided by the buyer-lessor to the seller-lessee. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForLeasesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-19": { "value": "24 Property and equipment, leases, goodwill and other intangible assets At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Accounting policy for intangible assets Goodwill Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value of ABN AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and contingent liabilities are determined by reference to market values or by discounting expected future cash flows to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense and are irreversible. Software and other intangible assets The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets. Software is amortised over a period of three years, unless it is classified as core application software, which is depreciated over its estimated useful life, set at a maximum of seven years. Only the development phase is capitalised for own-developed software. Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as customer relationships, and certain purchased trademarks and similar items. In general, the estimated useful life does not exceed ten years. Amortisation rates and residual values are reviewed at least annually to take into account any change in circumstances. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsAndGoodwillExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-20": { "value": "24 Property and equipment, leases, goodwill and other intangible assets At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Accounting policy for intangible assets Goodwill Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value of ABN AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and contingent liabilities are determined by reference to market values or by discounting expected future cash flows to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense and are irreversible. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForGoodwillExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-534-21": { "value": "24 Property and equipment, leases, goodwill and other intangible assets At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment. For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of cash-generating units that are expected to benefit from the synergies of the combination. The recoverable amount of an asset or cash-generating unit is the greater of its value in use and its fair value less costs to sell.Value in use is based on the estimated future cash flows, discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset or cash-generating unit. An impairment loss is recognised if the carrying amount of an asset or cash-generating unit exceeds its recoverable amount. In general, ABN AMRO\u2019s corporate assets do not generate separate cash inflows and are used by more than one cash-generating unit. Corporate assets are allocated to cash-generating units on a reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to which the corporate assets are allocated. Impairment losses are recognised in profit or loss under depreciation and amortisation expenses. They are allocated first to reduce the carrying amount of any goodwill allocated to the cash-generating unit, and then to reduce the carrying amounts of the other assets in the cash-generating unit on a pro rata basis. An impairment loss in respect of goodwill is not reversed. For other assets, an impairment loss is reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined, net of depreciation or amortisation, if no impairment loss had been recognised. Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. Impairment losses are reversed only to the extent that the asset\u2019s carrying amount does not exceed the carrying amount that would have been determined if no impairment loss had previously been recognised. Accounting policy for intangible assets Software and other intangible assets The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets. Software is amortised over a period of three years, unless it is classified as core application software, which is depreciated over its estimated useful life, set at a maximum of seven years. Only the development phase is capitalised for own-developed software. Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as customer relationships, and certain purchased trademarks and similar items. In general, the estimated useful life does not exceed ten years. Amortisation rates and residual values are reviewed at least annually to take into account any change in circumstances. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsOtherThanGoodwillExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-618-5": { "value": "25 Non-current assets and disposal groups held for sale Accounting policy for non-current assets and disposal groups held for sale Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value, less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated statement of financial position. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleAndDiscontinuedOperationsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-616-2": { "value": "(in millions) 31 December 2022 31 December 2021 Financial investments 86 Property and equipment 13 3 Assets of businesses held for sale 13 89 Liabilities of businesses held for sale 25 Non-current assets and disposal groups held for sale Accounting policy for non-current assets and disposal groups held for sale Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value, less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated statement of financial position. The 2022 held for sale position of EUR 13 million relates mainly to the office building held for own use in Rotterdam, currently presented in Group Functions, and which will be sold in Q3 2023. The sale will be part of a sale and leaseback transaction with the buyer-lessor of the office building. The property is shown at the carrying amount, which is significantly lower than the current fair value less cost to sell. ", "dimensions": { "concept": "ifrs-full:DisclosureOfNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-616-3": { "value": "(in millions) 31 December 2022 31 December 2021 Financial investments 86 Property and equipment 13 3 Assets of businesses held for sale 13 89 Liabilities of businesses held for sale 25 Non-current assets and disposal groups held for sale Accounting policy for non-current assets and disposal groups held for sale Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value, less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated statement of financial position. The 2022 held for sale position of EUR 13 million relates mainly to the office building held for own use in Rotterdam, currently presented in Group Functions, and which will be sold in Q3 2023. The sale will be part of a sale and leaseback transaction with the buyer-lessor of the office building. The property is shown at the carrying amount, which is significantly lower than the current fair value less cost to sell. ", "dimensions": { "concept": "ifrs-full:DisclosureOfNoncurrentAssetsHeldForSaleAndDiscontinuedOperationsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-630-2": { "value": "26 Other assets (in millions) 31 December 2022 31 December 2021 Accrued other income 496 564 Prepaid expenses 20 25 Unsettled securities transactions 1,313 1,046 Trade and other receivables 2,218 2,284 Other 425 345 Total other assets 4,473 4,263 Unsettled securities transactions relate to reversed repurchase and securities borrowing transactions that have been delivered but not settled. At 31 December 2022, other assets included a net receivable of EUR 0.1 billion related to the bankruptcy of DSB Bank (31 December 2021: EUR 0.1 billion). ", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-630-3": { "value": "26 Other assets (in millions) 31 December 2022 31 December 2021 Accrued other income 496 564 Prepaid expenses 20 25 Unsettled securities transactions 1,313 1,046 Trade and other receivables 2,218 2,284 Other 425 345 Total other assets 4,473 4,263 Unsettled securities transactions relate to reversed repurchase and securities borrowing transactions that have been delivered but not settled. At 31 December 2022, other assets included a net receivable of EUR 0.1 billion related to the bankruptcy of DSB Bank (31 December 2021: EUR 0.1 billion). ", "dimensions": { "concept": "ifrs-full:DisclosureOfPrepaymentsAndOtherAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-624-3": { "value": "(in millions) 31 December 2022 31 December 2021 Current accounts 1,977 1,525 Demand deposits 1 3 Time deposits 14,895 36,070 Cash collateral on securities lent 625 467 Other 10 10 Total due to banks 17,509 38,076 On 23 November and 21 December 2022, ABN AMRO partly repaid the TLTRO III funding in the amounts of EUR 8.0 billion and EUR 13.0 billion, respectively. On 31 December 2022, an amount of EUR 14.0 billion remained outstanding, of which EUR 11.0 billion matures in June 2023 and EUR 3.0 billion matures in June 2024. The repayments followed the change made by the ECB in the TLTRO III interest rate terms and conditions. 27 Due to banks Accounting policy for due to banks and due to customers Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition, adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate of the instrument. ", "dimensions": { "concept": "ifrs-full:DisclosureOfDepositsFromBanksExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-629-3": { "value": "(in millions) 31 December 2022 31 December 2021 Current accounts 122,030 132,983 Demand deposits 100,397 98,790 Time deposits 30,096 18,780 Other 2,491 665 Total due to customers 255,015 251,218 28 Due to customers Accounting policy for due to customers The accounting policy for amounts due to customers is included in Note 27 Due to banks. ", "dimensions": { "concept": "ifrs-full:DisclosureOfDepositsFromCustomersExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-633-4": { "value": "29 Issued debt and subordinated liabilities Accounting policy for issued debt and subordinated liabilities Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that qualify as an embedded derivative that cannot be separated. ABN AMRO applies IAS 32 Financial Instruments: Presentation to determine whether funding is a financial liability or equity. Issued financial instruments or their components are classified as financial liabilities where the substance of the contractual arrangement results in ABN AMRO having a present obligation to deliver either cash or another financial asset or to satisfy the obligation other than by the exchange of a fixed number of equity shares. Issued liabilities qualify as subordinated debt if claims by the holders are subordinated to all other current and future liabilities of ABN AMRO and its subsidiaries. The valuation of liabilities measured at fair value includes the effect of changes in the bank\u2019s own credit spreads. The change in fair value applies to those financial liabilities designated at fair value where own value credit risk would be considered by market participants. The cumulative amount of changes in fair value attributable to credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt measured at fair value through profit or loss is valued at market prices. Fair value changes are calculated based on a yield curve generated from observed external pricing for funding and quoted CDS spreads The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December 2022. Movements in these debt instruments involve a continual process of redemption and issuance of long-term and short-term funding. Issued debt (in millions) 31 December 2022 31 December 2021 Bonds and notes issued 41,313 49,619 Certificates of deposit and commercial paper 14,723 9,177 Total at amortised cost 56,036 58,796 Designated at fair value through profit or loss 223 892 Total issued debt 56,259 59,688 - of which matures within one year 19,053 16,734 2022 2021 (in millions) Carrying amount Carrying amount Balance as at 1 January 59,688 66,949 Cash flows Issuance 35,231 30,226 Redemption -30,668 -36,180 Non-cash changes Foreign exchange differences 11 8 1,130 Fair value changes own credit risk -8 -20 Unrealised gains/(losses) -8,451 -2,335 Other 350 -83 Balance as at 31 December 56,259 59,688 The amounts of debt issued and redeemed during the period are shown in the Consolidated statement of cash flows. Non-cash changes consist mainly of unrealised gains and losses and foreign exchange differences. Further details of the funding programmes are provided in Funding in the Risk, funding & capital chapter. Financial liabilities designated at fair value through profit or loss (in millions) 31 December 2022 31 December 2021 Cumulative change in fair value of the structured notes attributable to changes in credit risk 4 12 Change during the year in fair value of the structured notes attributable to changes in credit risk -8 -20 Difference between amount contractually required to pay at maturity and the carrying amount 6 -63 The change in fair value of the structured notes attributable to changes in credit risk is determined using the credit spread implicit in the fair value of similar bonds traded in active markets and issued by ABN AMRO. Subordinated liabilities The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December. Movements in these debt instruments involve a continual process of redemption and issuance of long-term and short-term funding. (in millions) 31 December 2022 31 December 2021 Subordinated liabilities 7,290 7,549 2022 2021 (in millions) Carrying amount Carrying amount Balance as at 1 January 7,549 8,069 Cash flows Issuance 1,540 910 Redemption -1,602 -1,514 Non-cash changes Foreign exchange differences 360 367 Other -556 -283 Balance as at 31 December 7,290 7,549 No perpetual loans were recorded at the reporting date. The issued and outstanding loans qualifying as subordinated liabilities are subordinated to all other current and future liabilities. ", "dimensions": { "concept": "ifrs-full:DisclosureOfDebtSecuritiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-635-2": { "value": "30 Provisions Accounting policy for provisions A provision is recognised in the balance sheet when ABN AMRO has a legal or constructive obligation as a result of a past event, and it is more likely than not that an outflow of economic benefits will be required to settle the obligation, and a reliable estimate of the amount of the obligation can be made. If the effect of time value is material, provisions are determined by discounting the expected future cash flows at a pre-tax rate that reflects current market rates and, where appropriate, the risks specific to the liability. A provision for restructuring is recognised when an obligation exists. An obligation exists when ABN AMRO has approved a detailed plan and has raised a valid expectation in those affected by the plan by starting to implement the plan or by announcing its main features. Future operating costs are not provided for. Provisions for insurance risks are determined by actuarial methods, which include the use of statistics, interest rate data and settlement cost expectations. Provisions are established for certain guarantee contracts for which ABN AMRO is liable to pay upon default of payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as provisions under IFRS 9. (in millions) 31 December 2022 31 December 2021 Legal provisions 447 398 Credit commitments provisions 154 222 Restructuring provision 105 178 Other staff provision 128 137 Provision for pension commitments 75 79 Insurance fund liabilities 8 5 Other provisions 128 181 Total provisions 1,044 1,201 Legal provisions Interest rate derivatives for SME clients In 2015, ABN AMRO started a review, at the request of the Netherlands Authority for the Financial Markets (AFM) and the Dutch Ministry of Finance, to determine whether the bank had acted in accordance with its duty of care obligations in respect of the sale of interest rate derivatives to SME clients. In the second quarter of 2015, ABN AMRO first recognised a provision for compensating clients who had been disadvantaged in this respect and suffered loss or damage. ABN AMRO has set up its own client reassessment process and the related checks and balances with respect to the Uniform Recovery Framework devised by a committee of independent experts (\u2018the Committee\u2019) appointed by the Dutch Minister of Finance. Except for a limited number of proceedings relating to the Uniform Recovery Framework before the Dutch courts, ABN AMRO has completed the execution of the Uniform Recovery Framework. The total provision for SME derivatives-related issues consisted of client compensation (EUR 0.6 billion) and project costs (EUR 0.3 billion). The remaining provision amounted to EUR 3 million at 31 December 2022. EURIBOR-based mortgages ABN AMRO has sold mortgage loans with floating, often Euribor-based, interest rates to consumers. These rates include a margin charge. Under the applicable terms and conditions, ABN AMRO has the right to unilaterally adjust the margin charge. ABN AMRO\u2019s decision to increase the margin charge in 2012 resulted in two class actions, on top of multiple individual cases, being instigated. The central question in these cases was whether ABN AMRO\u2019s right in the terms and conditions to unilaterally adjust the margin charge was an unfair contractual clause. On 22 November 2019, the Supreme Court quashed the ruling of the Amsterdam Court of Appeal in the Euribor collective cases. The case was referred to another Court of Appeal (The Hague) in order to be dealt with further. In the meantime ABN AMRO and the foundation Stichting Euribar reached agreement on a settlement for clients with Euribor-Woninghypotheek mortgages. All clients who were eligible for the settlement received a personal offer from ABN AMRO and 81% of this group accepted the proposed settlement. Meanwhile, the other foundation, Stichting Stop de Banken, broke off the negotiations aimed at reaching agreement and proceeded with the class action. The hearing at the Court of Appeal in The Hague took place on 9 November 2021. On 11 October 2022, the Court of Appeal in The Hague ruled that the amendment clauses were valid and that ABN AMRO was entitled to exercise its power of amendment. The Court of Appeal also deemed the manner in which ABN AMRO exercised its power of amendment to be within the law. This means that ABN AMRO was within its rights to amend the charge and that the increase in the charge was not excessive. The Court of Appeal also rejected all the other complaints made by Stichting Stop de Banken. The ruling applies to clients who did not accept the personal settlement offer made to them by the bank in 2020 or 2021. Stichting Stop de Banken subsequently announced that it would appeal against the ruling and, on 22 December 2022, filed the documents for the Supreme Court appeal. ABN AMRO is currently studying the arguments raised and will respond to this action by the end of Q2 2023. Variable interest rates for consumer loans On 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about recalculating the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that ABN AMRO should have followed the market rate when establishing the variable interest rate for certain revolving consumer credits. Provision for Insurance Legal Credit Restructuring Other staff pension fund (in millions) provisions commitments provision provision commitments liabilities Other Total At 1 January 2021 98 92 226 136 106 11 258 926 Increase of provisions 340 173 35 49 597 Reversal of unused provisions -23 -51 -22 -61 -157 Utilised during the year -16 -3 -67 -66 -152 Transfer between stages 6 6 Foreign exchange differences 6 6 1 12 Other -1 -1 2 -27 -6 1 -32 At 31 December 2021 398 222 178 137 79 5 181 1,201 Increase of provisions 156 151 26 107 440 Reversal of unused provisions -37 -189 -35 -13 -274 Utilised during the year -70 -49 -70 -149 -338 Transfer between stages 2 2 Foreign exchange differences 8 5 14 Other 9 -10 -4 3 2 -1 At 31 December 2022 447 154 105 128 75 8 128 1,044 In light of the Kifid ruling, ABN AMRO reached agreement with the Dutch Consumers\u2019 Association (Consumentenbond Claimservice) on 5 September 2021 regarding a compensation scheme for affected clients. In Q3 2022, following a ruling in August 2022 by the Kifid Appeals Committee, ABN AMRO amended the compensation scheme to include interest on interest. ABN AMRO has provisioned around EUR 481 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 70 million of this provision has been used, with a remaining provision as at 31 December 2022 of EUR 411 million. It is unclear what the exact scope and application of the Kifid ruling is and whether it will have any knock-on effect on other products with variable interest rates, beyond the range of products covered by the compensation scheme. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities not provided for. Other provisions AML remediation programme To address shortcomings, as well as increasingly strict regulations and continuously evolving forms of financial crime, ABN AMRO had already started an extensive, bank-wide AML remediation programme. In 2022, remediation of client files progressed at full speed. The AML remediation programme is expected to be finalised in 2023. The total provision for the AML programme amounted to EUR 50 million at 31 December 2022. 31 Pension and other employee benefits Accounting policy for pension and other employee benefits ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands. Defined contribution plans For defined contribution plans, ABN AMRO pays annual contributions determined by a fixed method and has no legal or constructive obligation to pay any further contributions. Contributions are recognised directly in the income statement in the year to which they relate. Actuarial and investment risk are for the account of the participants in the plan. Defined benefit plans For defined benefit plans, the net obligation of each plan is the difference between the present value of the defined benefit obligations and the fair value of the plan\u2019s assets. The actuarial assumptions used for calculating the present value of the defined benefit obligations include discount rates based on high-quality corporate bonds, the inflation rate, future salary increases, employee contributions, mortality assumptions and rates of employee turnover. The assumptions are based on available market data and management expectations at the end of the reporting period. Plan assets are measured at fair value at balance sheet date and are netted against the defined benefit obligations. Pension costs recognised in the income statement for defined benefit plans consist of: \u00c5 service costs; \u00c5 net interest costs determined by multiplying the net defined benefit liability (asset) by the discount rate, both as at the start of the annual reporting period, taking into account any changes in the net defined benefit liability (asset) during the period as a result of contributions and benefit payments; and \u00c5 curtailments or plan amendments. Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments. Remeasurement Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover). They are recognised in other comprehensive income and are not recycled to profit or loss in later periods. The actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets and any tax payable by the pension plan itself. Other employee benefits Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining in service up to retirement age and the completion of a minimum service period. The expected costs of these benefits are accrued over the period of employment, using the same accounting methodology as used for defined benefit pension plans. These obligations are calculated annually. Plans in all countries comply with applicable local regulations concerning investments and minimum funding levels. Pension and other employee benefits Amounts recognised in the income statement for pensions and other employee benefits 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Current service cost 5 3 8 7 11 18 Interest cost 2 2 1 2 Interest income -1 -1 -1 -1 Other 12 -4 8 -3 -3 Total defined benefit expenses in actuarial report 18 -1 17 7 8 15 Other expenses -4 -4 -4 -4 Total defined benefit expenses 14 -1 12 3 8 11 Defined contribution plans 321 321 291 291 Total pension expenses and other post retirement employee benefits 334 -1 333 294 8 302 Pension expenses for defined contribution plans consist mainly of the cash contributions to the Dutch collective defined contribution plan. Dutch defined contribution plan The Dutch defined contribution plan is a collective defined contribution plan, based on an average salary plan. The target retirement age is set at 68 years. The contribution payable by pension fund participants is 5.5% (2021: 5.5%). Participants\u2019 contributions to the defined contribution plan in 2022 amounted to EUR 50 million (2021: EUR 47 million) and are included in the pension expenses. Reconciliation to the statement of financial position and other comprehensive income 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Present value of defined benefit obligations - funded with plan assets 197 3 200 242 3 246 Fair value of plan assets 157 157 189 189 40 3 43 54 3 57 Present value of defined benefit obligations - unfunded 30 125 155 24 134 158 Net liabilities/(assets) balance sheet at 31 December 70 128 198 78 137 215 - of which assets 5 5 1 1 - of which liabilities 75 128 202 79 137 216 Experience adjustments -4 -1 -4 14 13 Remeasurements arising from changes in demographic assumptions DBO 1 1 1 1 Remeasurements arising from changes in financial assumptions DBO 36 4 40 6 1 7 Remeasurements arising from changes in financial assumptions plan assets -20 -20 3 3 Remeasurements in other comprehensive income 13 3 16 23 24 Change in defined benefit obligation (DBO) 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Defined benefit obligation as at 1 January 266 137 404 300 136 435 Current service cost 5 3 8 7 11 18 Interest cost 2 2 1 2 Benefits paid in from employer -9 -4 -13 -9 -3 -12 Remeasurements arising from changes in demographic assumptions -1 -1 -1 -1 Experience adjustments 4 1 4 -14 -13 Remeasurements arising from changes in financial assumptions -36 -4 -40 -6 -1 -7 Other -5 -5 -10 -12 -6 -18 Defined benefit obligation as at 31 December 227 128 355 266 137 404 The net defined benefit liabilities/(assets) balance as at 31 December 2022 consisted of pensioners with a profit share, the indexation of benefits insured with an insurance company and several small defined benefit plans outside the Netherlands. Change in fair value of plan assets 2022 2021 Defined post Other Defined post Other employment employee employment employee (in millions) benefit benefits Total benefit benefits Total Fair value of plan assets as at 1 January 189 189 194 194 Interest income 1 1 1 1 Return on plan assets excluding interest -20 -20 3 3 Employer's contributions 1 1 Other -12 -12 -10 -10 Fair value of plan assets as at 31 December 157 157 189 189 Principal actuarial assumptions 2022 2021 Discount rate 3.4% 0.8% Indexation rate 2.0% 1.7% Future salary increases 2.2% 2.2% The above assumptions are weighted by defined benefit obligations. The discount rate consists of a risk-free rate and a credit spread on AA-rated corporate bonds. ", "dimensions": { "concept": "ifrs-full:DisclosureOfProvisionsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-635-3": { "value": "30 Provisions Legal provisions Interest rate derivatives for SME clients In 2015, ABN AMRO started a review, at the request of the Netherlands Authority for the Financial Markets (AFM) and the Dutch Ministry of Finance, to determine whether the bank had acted in accordance with its duty of care obligations in respect of the sale of interest rate derivatives to SME clients. In the second quarter of 2015, ABN AMRO first recognised a provision for compensating clients who had been disadvantaged in this respect and suffered loss or damage. ABN AMRO has set up its own client reassessment process and the related checks and balances with respect to the Uniform Recovery Framework devised by a committee of independent experts (\u2018the Committee\u2019) appointed by the Dutch Minister of Finance. Except for a limited number of proceedings relating to the Uniform Recovery Framework before the Dutch courts, ABN AMRO has completed the execution of the Uniform Recovery Framework. The total provision for SME derivatives-related issues consisted of client compensation (EUR 0.6 billion) and project costs (EUR 0.3 billion). The remaining provision amounted to EUR 3 million at 31 December 2022. EURIBOR-based mortgages ABN AMRO has sold mortgage loans with floating, often Euribor-based, interest rates to consumers. These rates include a margin charge. Under the applicable terms and conditions, ABN AMRO has the right to unilaterally adjust the margin charge. ABN AMRO\u2019s decision to increase the margin charge in 2012 resulted in two class actions, on top of multiple individual cases, being instigated. The central question in these cases was whether ABN AMRO\u2019s right in the terms and conditions to unilaterally adjust the margin charge was an unfair contractual clause. On 22 November 2019, the Supreme Court quashed the ruling of the Amsterdam Court of Appeal in the Euribor collective cases. The case was referred to another Court of Appeal (The Hague) in order to be dealt with further. In the meantime ABN AMRO and the foundation Stichting Euribar reached agreement on a settlement for clients with Euribor-Woninghypotheek mortgages. All clients who were eligible for the settlement received a personal offer from ABN AMRO and 81% of this group accepted the proposed settlement. Meanwhile, the other foundation, Stichting Stop de Banken, broke off the negotiations aimed at reaching agreement and proceeded with the class action. The hearing at the Court of Appeal in The Hague took place on 9 November 2021. On 11 October 2022, the Court of Appeal in The Hague ruled that the amendment clauses were valid and that ABN AMRO was entitled to exercise its power of amendment. The Court of Appeal also deemed the manner in which ABN AMRO exercised its power of amendment to be within the law. This means that ABN AMRO was within its rights to amend the charge and that the increase in the charge was not excessive. The Court of Appeal also rejected all the other complaints made by Stichting Stop de Banken. The ruling applies to clients who did not accept the personal settlement offer made to them by the bank in 2020 or 2021. Stichting Stop de Banken subsequently announced that it would appeal against the ruling and, on 22 December 2022, filed the documents for the Supreme Court appeal. ABN AMRO is currently studying the arguments raised and will respond to this action by the end of Q2 2023. Variable interest rates for consumer loans On 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about recalculating the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that ABN AMRO should have followed the market rate when establishing the variable interest rate for certain revolving consumer credits. In light of the Kifid ruling, ABN AMRO reached agreement with the Dutch Consumers\u2019 Association (Consumentenbond Claimservice) on 5 September 2021 regarding a compensation scheme for affected clients. In Q3 2022, following a ruling in August 2022 by the Kifid Appeals Committee, ABN AMRO amended the compensation scheme to include interest on interest. ABN AMRO has provisioned around EUR 481 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 70 million of this provision has been used, with a remaining provision as at 31 December 2022 of EUR 411 million. It is unclear what the exact scope and application of the Kifid ruling is and whether it will have any knock-on effect on other products with variable interest rates, beyond the range of products covered by the compensation scheme. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities not provided for. Other provisions AML remediation programme To address shortcomings, as well as increasingly strict regulations and continuously evolving forms of financial crime, ABN AMRO had already started an extensive, bank-wide AML remediation programme. In 2022, remediation of client files progressed at full speed. The AML remediation programme is expected to be finalised in 2023. The total provision for the AML programme amounted to EUR 50 million at 31 December 2022. 35 Commitments and contingent liabilities Equity trading German authorities are conducting investigations into the involvement of individuals from various banks and other parties in equity trading extending over dividend record dates in Germany, including several forms of tainted dividend arbitrage (i.e. tainted dividend stripping, including cum/ex and cum/cum) for the purpose of obtaining German tax credits or refunds in relation to withholding tax levied on dividend payments, including, in particular, transaction structures that resulted in more than one market participant claiming such credit or refund with respect to the same dividend payment. ABN AMRO\u2019s legal predecessor, Fortis Bank (Nederland) N.V., ABN AMRO and several former subsidiaries were directly or indirectly involved in these transactions in the past in various capacities. Criminal investigation proceedings relating to the activities of these entities and individuals involved at the time were instigated. These proceedings also resulted in search warrants being issued against ABN AMRO. ABN AMRO is cooperating with these investigations, but has no knowledge of the results of any such investigations. ABN AMRO also frequently receives information requests from German authorities in relation to criminal and other investigations of individuals from other banks and other parties relating to equity trading extending over dividend record dates in Germany. ABN AMRO cooperates and provides the requested information to the extent possible. Although a number of subsidiaries associated with these transactions have been sold by means of a management buy-out, legal risks remain for ABN AMRO, in particular relating to administrative offences and criminal and civil law. All material tax issues with respect to ABN AMRO\u2019s tax reclaims relating to cum/ex transactions have been settled with the German tax authorities. With respect to cum/cum transactions, the German Federal Ministry of Finance released two circular rulings dated 9 July 2021 (published 15 July 2021); these contain a change in interpretation of tax legislation compared to previous circular rulings. While these circular rulings, in ABN AMRO\u2019s view, contradict case law of the German Federal Tax Court after the circulars were published, the German Federal Ministry of Finance has not withdrawn or amended the rulings, and the German local tax authorities are therefore expected to re-collect dividend withholding tax credited to taxpayers where such credits related to cum/cum strategies. ABN AMRO has received dividend withholding tax refunds that relate to transactions that could be considered to be cum/cum transactions under the new circular rulings. In anticipation of a decision by the German tax authorities, ABN AMRO has, as a precaution, repaid the relevant dividend withholding tax amounts, while retaining its rights to contest any such future decision. Some counterparties of ABN AMRO have initiated civil law claims against ABN AMRO with respect to cum/cum securities lending transactions (some of which are pending before German courts), arguing that ABN AMRO failed to deliver beneficial ownership of the loaned securities to these counterparties and that this resulted in a denial of tax credit entitlement by the relevant German tax authorities. Although ABN AMRO considers it not probable that any such claims will be successful, the possibility that they will succeed cannot be ruled out. It cannot be excluded that ABN AMRO or subsidiaries will face financial consequences as a result of their involvement in tainted dividend stripping transactions, in particular corporate administrative fines, forfeiture orders and civil law claims. It is currently unclear, however, as to how and when the German prosecution authorities\u2019 investigations will impact on ABN AMRO and its subsidiaries and if, and to what extent, corporate administrative fines or forfeiture orders will be imposed. It is also uncertain whether tax authorities or third parties will successfully claim amounts from ABN AMRO in secondary tax liability or civil law cases. Therefore, the financial impact cannot currently be reliably estimated and no provision has been recorded in this respect. Netherlands Public Prosecution Service investigation into Dutch tax matter The Netherlands Public Prosecution Service (NPPS) is conducting an investigation regarding transactions that ultimately led to a set-off by a third party of dividend withholding tax credits against its corporate tax liabilities in the Netherlands during the period 2009-2013. The NPPS investigation relates to ongoing tax proceedings in the Dutch courts between the third party and the Dutch tax authority regarding the third party\u2019s set-off of dividend withholding tax credits against its corporate tax liabilities. The District Court ruled in favour of this third party in 2018. In 2020, the Court of Appeal overturned the ruling of the District Court and ruled in favour of the Netherlands tax authority. An appeal with the Supreme Court has been filed against the ruling of the Court of Appeal and is currently pending. The NPPS has informed ABN AMRO that it is a suspect in the investigation, due to its involvement in some of these transactions. The NPPS is gathering information for its investigation and ABN AMRO is cooperating with the investigation. The timing of the completion of the investigation and the outcome are uncertain. The possibility cannot be excluded that ABN AMRO will face financial consequences as a result of the investigation. However, the potential financial impact of the investigation cannot currently be reliably estimated and no provision has been made. Duty of care matters A number of proceedings have been initiated against ABN AMRO for alleged breach of its duty of care in transparency-related standards. Where applicable, provisions for these matters have been made. There can be no assurance that additional proceedings will not be instigated or that amounts demanded in claims brought to date will not rise. Current proceedings are pending and their outcome, as well as the outcome of any threatened proceedings, is uncertain, as is the timing of reaching any finality on these legal claims and proceedings. Although the consequences could be substantial for ABN AMRO and potentially affect its reputation, results of operations, financial condition and prospects, it is not possible to reliably estimate or quantify ABN AMRO\u2019s exposure at this time. These uncertainties are likely to continue for some time. Cross-liability On 6 February 2010, the former ABN AMRO Bank N.V. demerged into two entities: NatWest Markets N.V. (formerly known as RBS N.V.) and ABN AMRO Bank N.V. On the division of an entity by demerger, Dutch law establishes a cross-liability between surviving entities for the benefit of the creditors at the time of the demerger. ABN AMRO\u2019s cross-liability 1amounts to EUR 298 million (31 December 2021: EUR 1.2 billion), for which NatWest Markets N.V. has posted collateral of EUR 150 million (31 December 2021: EUR 0.4 billion).1 The outcome of the cross liability analysis for 2022 is still to be discussed with DNB.Other contingent liabilities ABN AMRO is involved in a number of legal proceedings in the ordinary course of business in various jurisdictions. In presenting the Consolidated Annual Financial Statements, management estimates the outcome of legal, regulatory and arbitration matters, and takes provisions to the income statement when losses with respect to such matters are more likely than not. Provisions are not recognised for matters for which an expected cash outflow cannot be reasonably estimated or that are not more likely than not to lead to a cash outflow. Some of these matters may be regarded as a contingency. In particular, the following matters are regarded as contingent liabilities: \u00c5 ABN AMRO, some of its subsidiaries and some of their client funds had exposure to funds that suffered losses (in some cases, significant losses) as a result of the Madoff fraud. The provision of custodial services resulted in several legal claims, including by the Bernard L. Madoff Investment Securities trustee in bankruptcy (Irving Picard) and the liquidators of certain funds, who are pursuing legal action in an attempt to recover payments made as a result of the fraud and/or to compensate their alleged losses. ABN AMRO and certain ABN AMRO subsidiaries are defendants in these proceedings. Even though these proceedings have been ongoing for several years, they are still in a preliminary stage. Hence, it is not possible to estimate the total amount of ABN AMRO\u2019s potential liability, if any. \u00c5 The Imtech Group was declared bankrupt in August 2015. ABN AMRO was one of the banks that extended financing to this group and participated in the second rights offering of October 2014. By letter of 20 January 2018, Stichting Imtechclaim and Imtech Shareholders Action Group B.V. held ING, Rabobank, Commerzbank and ABN AMRO liable for alleged misstatements in the prospectuses and for alleged actio pauliana (fraudulent preference). By letter of 28 March 2018, the VEB held parties, including ABN AMRO, liable for damage allegedly suffered by the Imtech investors. On 10 August 2018, ABN AMRO received formal notification from Imtech\u2019s trustees that they were seeking to nullify a large number of transactions and claim various damages. The letter aimed to interrupt limitation periods in view of the possible claims against Imtech\u2019s lenders, bondholders and underwriting banks. It appears likely that litigation will be started by the trustees in view of this letter and subsequent communications, although the exact timing of this litigation, the amount of the claim and the parties to be summoned are unclear. \u00c5 On 18 October 2018, Eurostar Diamond Traders N.V. (EDT) filed a civil law complaint against ABN AMRO in the Antwerp Court, claiming a provisional amount of EUR 673 million. The amount claimed included an unsubstantiated claim for damages of EUR 600 million on the ground that ABN AMRO and Standard Chartered Bank (SCB) allegedly deliberately caused EDT\u2019s demise. Damages of USD 73 million were also claimed for the alleged sale of unsuitable derivatives. EDT and Eurostar Diamond Traders International N.V., EDT\u2019s parent company, were both declared bankrupt in a final decision in 2020. EDT\u2019s trustees have continued the proceedings against ABN AMRO but have dropped material parts of the original claims and have lowered the claim amount to a provisional amount of EUR 1. The former directors of Eurostar are attempting to become formally involved in these proceedings. \u00c5 First Data Holding (FDH) and some of its group companies have indicated that they believe that one of FDH\u2019s subsidiaries, European Merchant Services B.V (EMS), has a claim against International Card Services B.V. (ICS). In spring 2016, FDH claimed for the first time that EMS was entitled to 51% of the proceeds of the sale of Visa Europe in 2015. The alleged claim amounted to approximately EUR 37 million plus interest. In August 2016, ICS refuted this claim. In September 2020, FDH repeated its alleged claim. In October 2020, EMS and FDH (now Fiserv) interrupted the limitation periods relating to EMS\u2019s alleged claim. In December 2020, ICS responded by rejecting this alleged claim again. As yet, however, EMS itself has not filed any claim against ICS. As a result, it has to be awaited whether and, if so, when EMS will file such claim. \u00c5 In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by a Luxembourg fund, LFP I SICAV SIF (LFP), which alleges that the Luxembourg subsidiary, in its capacity as custodian of a sub-fund of LFP (Columna), should have prevented an investment of USD 10 million from being made. LFP is claiming restitution of this amount from BGL in proceedings before the District Court of Luxembourg. BGL notified ABN AMRO of this claim in January 2020 and, in June 2020, summoned it to appear in these proceedings in an intervention procedure. In July 2020, LFP and its Hong Kong subsidiary issued an additional claim against BGL. This claim amounts to USD 38 million and also seems to be in respect of investments relating to Columna. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and ABN AMRO. In August 2020, BGL reserved its (alleged) rights to file possible further claims against ABN AMRO, also in relation to LFP. As a result, it has to be awaited whether BGL will institute any further additional claims in this matter. H In addition, on 2 April 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by a fund (SIF A) and the liquidator of SIF A. In brief, it is alleged that a sub-fund of SIF A invested for a period of time in allegedly fictitious loan instruments. ABN AMRO Bank (Luxembourg) S.A. acted as the custodian bank for SIF A for a while within this time period. SIF A alleges that it did not perform its duties properly and therefore considers that BGL, as the legal successor of the Luxembourg subsidiary, should be held liable, together with three other defendants, for EUR 4 million in damages. BGL notified ABN AMRO of this claim in May 2021. In brief, BGL is claiming that any sentence that could be pronounced against it in the proceedings against the fund and its liquidator should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. Finally, on 31 May 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by an alternative investment fund (AIF SIF). AIF SIF was originally a client of the subsidiary. AIF SIF accuses BGL, in its capacity as the former depositary bank of AIF SIF, of having caused AIF SIF\u2019s removal from the list of specialised investment funds by the Luxembourg financial regulator (CSSF). The fund claims damages from BGL in the amount of EUR 126 million. BGL notified ABN AMRO of this claim in October 2019 and July 2021. In brief, BGL is claiming that any sentence that could be pronounced against it in the proceedings against the fund should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. ", "dimensions": { "concept": "ifrs-full:ExplanationOfAssumptionAboutFutureWithSignificantRiskOfResultingInMaterialAdjustments", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-635-4": { "value": "30 Provisions Legal provisions Interest rate derivatives for SME clients In 2015, ABN AMRO started a review, at the request of the Netherlands Authority for the Financial Markets (AFM) and the Dutch Ministry of Finance, to determine whether the bank had acted in accordance with its duty of care obligations in respect of the sale of interest rate derivatives to SME clients. In the second quarter of 2015, ABN AMRO first recognised a provision for compensating clients who had been disadvantaged in this respect and suffered loss or damage. ABN AMRO has set up its own client reassessment process and the related checks and balances with respect to the Uniform Recovery Framework devised by a committee of independent experts (\u2018the Committee\u2019) appointed by the Dutch Minister of Finance. Except for a limited number of proceedings relating to the Uniform Recovery Framework before the Dutch courts, ABN AMRO has completed the execution of the Uniform Recovery Framework. The total provision for SME derivatives-related issues consisted of client compensation (EUR 0.6 billion) and project costs (EUR 0.3 billion). The remaining provision amounted to EUR 3 million at 31 December 2022. EURIBOR-based mortgages ABN AMRO has sold mortgage loans with floating, often Euribor-based, interest rates to consumers. These rates include a margin charge. Under the applicable terms and conditions, ABN AMRO has the right to unilaterally adjust the margin charge. ABN AMRO\u2019s decision to increase the margin charge in 2012 resulted in two class actions, on top of multiple individual cases, being instigated. The central question in these cases was whether ABN AMRO\u2019s right in the terms and conditions to unilaterally adjust the margin charge was an unfair contractual clause. On 22 November 2019, the Supreme Court quashed the ruling of the Amsterdam Court of Appeal in the Euribor collective cases. The case was referred to another Court of Appeal (The Hague) in order to be dealt with further. In the meantime ABN AMRO and the foundation Stichting Euribar reached agreement on a settlement for clients with Euribor-Woninghypotheek mortgages. All clients who were eligible for the settlement received a personal offer from ABN AMRO and 81% of this group accepted the proposed settlement. Meanwhile, the other foundation, Stichting Stop de Banken, broke off the negotiations aimed at reaching agreement and proceeded with the class action. The hearing at the Court of Appeal in The Hague took place on 9 November 2021. On 11 October 2022, the Court of Appeal in The Hague ruled that the amendment clauses were valid and that ABN AMRO was entitled to exercise its power of amendment. The Court of Appeal also deemed the manner in which ABN AMRO exercised its power of amendment to be within the law. This means that ABN AMRO was within its rights to amend the charge and that the increase in the charge was not excessive. The Court of Appeal also rejected all the other complaints made by Stichting Stop de Banken. The ruling applies to clients who did not accept the personal settlement offer made to them by the bank in 2020 or 2021. Stichting Stop de Banken subsequently announced that it would appeal against the ruling and, on 22 December 2022, filed the documents for the Supreme Court appeal. ABN AMRO is currently studying the arguments raised and will respond to this action by the end of Q2 2023. Variable interest rates for consumer loans On 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about recalculating the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that ABN AMRO should have followed the market rate when establishing the variable interest rate for certain revolving consumer credits. In light of the Kifid ruling, ABN AMRO reached agreement with the Dutch Consumers\u2019 Association (Consumentenbond Claimservice) on 5 September 2021 regarding a compensation scheme for affected clients. In Q3 2022, following a ruling in August 2022 by the Kifid Appeals Committee, ABN AMRO amended the compensation scheme to include interest on interest. ABN AMRO has provisioned around EUR 481 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 70 million of this provision has been used, with a remaining provision as at 31 December 2022 of EUR 411 million. It is unclear what the exact scope and application of the Kifid ruling is and whether it will have any knock-on effect on other products with variable interest rates, beyond the range of products covered by the compensation scheme. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities not provided for. Other provisions AML remediation programme To address shortcomings, as well as increasingly strict regulations and continuously evolving forms of financial crime, ABN AMRO had already started an extensive, bank-wide AML remediation programme. In 2022, remediation of client files progressed at full speed. The AML remediation programme is expected to be finalised in 2023. The total provision for the AML programme amounted to EUR 50 million at 31 December 2022. 35 Commitments and contingent liabilities Equity trading German authorities are conducting investigations into the involvement of individuals from various banks and other parties in equity trading extending over dividend record dates in Germany, including several forms of tainted dividend arbitrage (i.e. tainted dividend stripping, including cum/ex and cum/cum) for the purpose of obtaining German tax credits or refunds in relation to withholding tax levied on dividend payments, including, in particular, transaction structures that resulted in more than one market participant claiming such credit or refund with respect to the same dividend payment. ABN AMRO\u2019s legal predecessor, Fortis Bank (Nederland) N.V., ABN AMRO and several former subsidiaries were directly or indirectly involved in these transactions in the past in various capacities. Criminal investigation proceedings relating to the activities of these entities and individuals involved at the time were instigated. These proceedings also resulted in search warrants being issued against ABN AMRO. ABN AMRO is cooperating with these investigations, but has no knowledge of the results of any such investigations. ABN AMRO also frequently receives information requests from German authorities in relation to criminal and other investigations of individuals from other banks and other parties relating to equity trading extending over dividend record dates in Germany. ABN AMRO cooperates and provides the requested information to the extent possible. Although a number of subsidiaries associated with these transactions have been sold by means of a management buy-out, legal risks remain for ABN AMRO, in particular relating to administrative offences and criminal and civil law. All material tax issues with respect to ABN AMRO\u2019s tax reclaims relating to cum/ex transactions have been settled with the German tax authorities. With respect to cum/cum transactions, the German Federal Ministry of Finance released two circular rulings dated 9 July 2021 (published 15 July 2021); these contain a change in interpretation of tax legislation compared to previous circular rulings. While these circular rulings, in ABN AMRO\u2019s view, contradict case law of the German Federal Tax Court after the circulars were published, the German Federal Ministry of Finance has not withdrawn or amended the rulings, and the German local tax authorities are therefore expected to re-collect dividend withholding tax credited to taxpayers where such credits related to cum/cum strategies. ABN AMRO has received dividend withholding tax refunds that relate to transactions that could be considered to be cum/cum transactions under the new circular rulings. In anticipation of a decision by the German tax authorities, ABN AMRO has, as a precaution, repaid the relevant dividend withholding tax amounts, while retaining its rights to contest any such future decision. Some counterparties of ABN AMRO have initiated civil law claims against ABN AMRO with respect to cum/cum securities lending transactions (some of which are pending before German courts), arguing that ABN AMRO failed to deliver beneficial ownership of the loaned securities to these counterparties and that this resulted in a denial of tax credit entitlement by the relevant German tax authorities. Although ABN AMRO considers it not probable that any such claims will be successful, the possibility that they will succeed cannot be ruled out. It cannot be excluded that ABN AMRO or subsidiaries will face financial consequences as a result of their involvement in tainted dividend stripping transactions, in particular corporate administrative fines, forfeiture orders and civil law claims. It is currently unclear, however, as to how and when the German prosecution authorities\u2019 investigations will impact on ABN AMRO and its subsidiaries and if, and to what extent, corporate administrative fines or forfeiture orders will be imposed. It is also uncertain whether tax authorities or third parties will successfully claim amounts from ABN AMRO in secondary tax liability or civil law cases. Therefore, the financial impact cannot currently be reliably estimated and no provision has been recorded in this respect. Netherlands Public Prosecution Service investigation into Dutch tax matter The Netherlands Public Prosecution Service (NPPS) is conducting an investigation regarding transactions that ultimately led to a set-off by a third party of dividend withholding tax credits against its corporate tax liabilities in the Netherlands during the period 2009-2013. The NPPS investigation relates to ongoing tax proceedings in the Dutch courts between the third party and the Dutch tax authority regarding the third party\u2019s set-off of dividend withholding tax credits against its corporate tax liabilities. The District Court ruled in favour of this third party in 2018. In 2020, the Court of Appeal overturned the ruling of the District Court and ruled in favour of the Netherlands tax authority. An appeal with the Supreme Court has been filed against the ruling of the Court of Appeal and is currently pending. The NPPS has informed ABN AMRO that it is a suspect in the investigation, due to its involvement in some of these transactions. The NPPS is gathering information for its investigation and ABN AMRO is cooperating with the investigation. The timing of the completion of the investigation and the outcome are uncertain. The possibility cannot be excluded that ABN AMRO will face financial consequences as a result of the investigation. However, the potential financial impact of the investigation cannot currently be reliably estimated and no provision has been made. Duty of care matters A number of proceedings have been initiated against ABN AMRO for alleged breach of its duty of care in transparency-related standards. Where applicable, provisions for these matters have been made. There can be no assurance that additional proceedings will not be instigated or that amounts demanded in claims brought to date will not rise. Current proceedings are pending and their outcome, as well as the outcome of any threatened proceedings, is uncertain, as is the timing of reaching any finality on these legal claims and proceedings. Although the consequences could be substantial for ABN AMRO and potentially affect its reputation, results of operations, financial condition and prospects, it is not possible to reliably estimate or quantify ABN AMRO\u2019s exposure at this time. These uncertainties are likely to continue for some time. Cross-liability On 6 February 2010, the former ABN AMRO Bank N.V. demerged into two entities: NatWest Markets N.V. (formerly known as RBS N.V.) and ABN AMRO Bank N.V. On the division of an entity by demerger, Dutch law establishes a cross-liability between surviving entities for the benefit of the creditors at the time of the demerger. ABN AMRO\u2019s cross-liability 1amounts to EUR 298 million (31 December 2021: EUR 1.2 billion), for which NatWest Markets N.V. has posted collateral of EUR 150 million (31 December 2021: EUR 0.4 billion).1 The outcome of the cross liability analysis for 2022 is still to be discussed with DNB.Other contingent liabilities ABN AMRO is involved in a number of legal proceedings in the ordinary course of business in various jurisdictions. In presenting the Consolidated Annual Financial Statements, management estimates the outcome of legal, regulatory and arbitration matters, and takes provisions to the income statement when losses with respect to such matters are more likely than not. Provisions are not recognised for matters for which an expected cash outflow cannot be reasonably estimated or that are not more likely than not to lead to a cash outflow. Some of these matters may be regarded as a contingency. In particular, the following matters are regarded as contingent liabilities: \u00c5 ABN AMRO, some of its subsidiaries and some of their client funds had exposure to funds that suffered losses (in some cases, significant losses) as a result of the Madoff fraud. The provision of custodial services resulted in several legal claims, including by the Bernard L. Madoff Investment Securities trustee in bankruptcy (Irving Picard) and the liquidators of certain funds, who are pursuing legal action in an attempt to recover payments made as a result of the fraud and/or to compensate their alleged losses. ABN AMRO and certain ABN AMRO subsidiaries are defendants in these proceedings. Even though these proceedings have been ongoing for several years, they are still in a preliminary stage. Hence, it is not possible to estimate the total amount of ABN AMRO\u2019s potential liability, if any. \u00c5 The Imtech Group was declared bankrupt in August 2015. ABN AMRO was one of the banks that extended financing to this group and participated in the second rights offering of October 2014. By letter of 20 January 2018, Stichting Imtechclaim and Imtech Shareholders Action Group B.V. held ING, Rabobank, Commerzbank and ABN AMRO liable for alleged misstatements in the prospectuses and for alleged actio pauliana (fraudulent preference). By letter of 28 March 2018, the VEB held parties, including ABN AMRO, liable for damage allegedly suffered by the Imtech investors. On 10 August 2018, ABN AMRO received formal notification from Imtech\u2019s trustees that they were seeking to nullify a large number of transactions and claim various damages. The letter aimed to interrupt limitation periods in view of the possible claims against Imtech\u2019s lenders, bondholders and underwriting banks. It appears likely that litigation will be started by the trustees in view of this letter and subsequent communications, although the exact timing of this litigation, the amount of the claim and the parties to be summoned are unclear. \u00c5 On 18 October 2018, Eurostar Diamond Traders N.V. (EDT) filed a civil law complaint against ABN AMRO in the Antwerp Court, claiming a provisional amount of EUR 673 million. The amount claimed included an unsubstantiated claim for damages of EUR 600 million on the ground that ABN AMRO and Standard Chartered Bank (SCB) allegedly deliberately caused EDT\u2019s demise. Damages of USD 73 million were also claimed for the alleged sale of unsuitable derivatives. EDT and Eurostar Diamond Traders International N.V., EDT\u2019s parent company, were both declared bankrupt in a final decision in 2020. EDT\u2019s trustees have continued the proceedings against ABN AMRO but have dropped material parts of the original claims and have lowered the claim amount to a provisional amount of EUR 1. The former directors of Eurostar are attempting to become formally involved in these proceedings. \u00c5 First Data Holding (FDH) and some of its group companies have indicated that they believe that one of FDH\u2019s subsidiaries, European Merchant Services B.V (EMS), has a claim against International Card Services B.V. (ICS). In spring 2016, FDH claimed for the first time that EMS was entitled to 51% of the proceeds of the sale of Visa Europe in 2015. The alleged claim amounted to approximately EUR 37 million plus interest. In August 2016, ICS refuted this claim. In September 2020, FDH repeated its alleged claim. In October 2020, EMS and FDH (now Fiserv) interrupted the limitation periods relating to EMS\u2019s alleged claim. In December 2020, ICS responded by rejecting this alleged claim again. As yet, however, EMS itself has not filed any claim against ICS. As a result, it has to be awaited whether and, if so, when EMS will file such claim. \u00c5 In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by a Luxembourg fund, LFP I SICAV SIF (LFP), which alleges that the Luxembourg subsidiary, in its capacity as custodian of a sub-fund of LFP (Columna), should have prevented an investment of USD 10 million from being made. LFP is claiming restitution of this amount from BGL in proceedings before the District Court of Luxembourg. BGL notified ABN AMRO of this claim in January 2020 and, in June 2020, summoned it to appear in these proceedings in an intervention procedure. In July 2020, LFP and its Hong Kong subsidiary issued an additional claim against BGL. This claim amounts to USD 38 million and also seems to be in respect of investments relating to Columna. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and ABN AMRO. In August 2020, BGL reserved its (alleged) rights to file possible further claims against ABN AMRO, also in relation to LFP. As a result, it has to be awaited whether BGL will institute any further additional claims in this matter. H In addition, on 2 April 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by a fund (SIF A) and the liquidator of SIF A. In brief, it is alleged that a sub-fund of SIF A invested for a period of time in allegedly fictitious loan instruments. ABN AMRO Bank (Luxembourg) S.A. acted as the custodian bank for SIF A for a while within this time period. SIF A alleges that it did not perform its duties properly and therefore considers that BGL, as the legal successor of the Luxembourg subsidiary, should be held liable, together with three other defendants, for EUR 4 million in damages. BGL notified ABN AMRO of this claim in May 2021. In brief, BGL is claiming that any sentence that could be pronounced against it in the proceedings against the fund and its liquidator should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. Finally, on 31 May 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by an alternative investment fund (AIF SIF). AIF SIF was originally a client of the subsidiary. AIF SIF accuses BGL, in its capacity as the former depositary bank of AIF SIF, of having caused AIF SIF\u2019s removal from the list of specialised investment funds by the Luxembourg financial regulator (CSSF). The fund claims damages from BGL in the amount of EUR 126 million. BGL notified ABN AMRO of this claim in October 2019 and July 2021. In brief, BGL is claiming that any sentence that could be pronounced against it in the proceedings against the fund should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. ", "dimensions": { "concept": "ifrs-full:DisclosureOfAssetsAndLiabilitiesWithSignificantRiskOfMaterialAdjustmentExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-662-2": { "value": "32 Other liabilities The following table shows the components of accrued expenses and other liabilities. (in millions) 31 December 2022 31 December 2021 Accrued other expenses 939 876 Lease liabilities 413 485 Unsettled securities transactions 2,019 1,575 Sundry liabilities and other payables 1,816 1,821 Total other liabilities 5,187 4,757 ", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-662-3": { "value": "32 Other liabilities The following table shows the components of accrued expenses and other liabilities. (in millions) 31 December 2022 31 December 2021 Accrued other expenses 939 876 Lease liabilities 413 485 Unsettled securities transactions 2,019 1,575 Sundry liabilities and other payables 1,816 1,821 Total other liabilities 5,187 4,757 ", "dimensions": { "concept": "ifrs-full:DisclosureOfAccruedExpensesAndOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-660-5": { "value": "33 Equity Share capital and other components of equity Ordinary shares As at 31 December 2022, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. Compound financial instruments Components of compound financial instruments (liability and equity parts) are classified in their respective areas of the statement of financial position. Currency translation reserve The currency translation reserve represents the cumulative gains and losses on the translation of the net investment in foreign operations, net of the effect of hedging. Fair value reserve Under IFRS 9, the fair value reserve includes the gains and losses, net of tax, resulting from a change in the fair value of debt instruments measured at FVOCI. When the instruments are sold or otherwise disposed of, the related cumulative gain or loss recognised in equity is recycled to the income statement. Cash flow hedging reserve The cash flow hedging reserve comprises the effective portion of the cumulative net change in the fair value of cash flow hedging instruments, net of taxes, that are recycled to the income statement if the hedged transactions have an impact on profit or loss. Net investment hedging reserve The net investment hedging reserve comprises the currency translation differences arising when the currencies of these instruments are translated to euros, to the extent they are effective. Liability own credit risk reserve Under IFRS 9, the changes in fair value attributable to changes in the own credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Other reserves Other reserves mainly comprise retained earnings and profit for the period. The following table shows the equity of ABN AMRO Bank N.V. and the outstanding and issued share capital. (in millions) 31 December 2022 31 December 2021 Share capital 898 940 Share premium 12,529 12,970 Accumulated other comprehensive income -842 -1,227 Other reserves (incl. retained earnings/profit for the period) 8,243 7,324 AT1 capital securities 1,985 1,987 Equity attributable to owners of the parent company 22,812 21,994 Equity attributable to non-controlling interests 2 5 Total equity 22,814 21,999 Accumulated other comprehensive income is specified in the following table. Accumulated Remeasurements Currency Cash flow share of OCI of Liability own on post-retirement translation Fair value hedge associates and credit risk (in millions) benefit plans reserve reserve reserve joint ventures reserve Total Balance at 1 January 2021 -24 -29 162 -1,854 36 -24 -1,733 Net gains/(losses) arising during the period 24 66 107 451 16 20 684 Less: Net realised gains/(losses) included in income statement 54 55 Net gains/(losses) in equity 24 66 108 396 16 20 629 Related income tax 6 30 82 5 123 Balance at 31 December 2021 -6 38 239 -1,540 51 -9 -1,227 Net gains/(losses) arising during the period 16 48 -287 762 -51 8 496 Less: Net realised gains/(losses) included in income statement 4 1 -39 7 -26 Net gains/(losses) in equity 16 44 -288 801 -58 8 522 Related income tax 3 -75 207 2 137 Balance at 31 December 2022 7 81 26 -946 -7 -3 -842 Accumulated other comprehensive income increased by EUR 385 million, driven mainly by the increase in the cash flow hedge reserve, which was the result of the current market interest rate environment. The decrease of the fair value reserve was attributable to the increased credit spread on financial investments. ", "dimensions": { "concept": "ifrs-full:DisclosureOfReservesAndOtherEquityInterestExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-660-6": { "value": "33 Equity The following table shows the equity of ABN AMRO Bank N.V. and the outstanding and issued share capital. (in millions) 31 December 2022 31 December 2021 Share capital 898 940 Share premium 12,529 12,970 Accumulated other comprehensive income -842 -1,227 Other reserves (incl. retained earnings/profit for the period) 8,243 7,324 AT1 capital securities 1,985 1,987 Equity attributable to owners of the parent company 22,812 21,994 Equity attributable to non-controlling interests 2 5 Total equity 22,814 21,999 ", "dimensions": { "concept": "ifrs-full:DisclosureOfNoncontrollingInterestsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-660-8": { "value": "33 Equity Share capital and other components of equity Ordinary shares As at 31 December 2022, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. Compound financial instruments Components of compound financial instruments (liability and equity parts) are classified in their respective areas of the statement of financial position. Currency translation reserve The currency translation reserve represents the cumulative gains and losses on the translation of the net investment in foreign operations, net of the effect of hedging. Fair value reserve Under IFRS 9, the fair value reserve includes the gains and losses, net of tax, resulting from a change in the fair value of debt instruments measured at FVOCI. When the instruments are sold or otherwise disposed of, the related cumulative gain or loss recognised in equity is recycled to the income statement. Cash flow hedging reserve The cash flow hedging reserve comprises the effective portion of the cumulative net change in the fair value of cash flow hedging instruments, net of taxes, that are recycled to the income statement if the hedged transactions have an impact on profit or loss. Net investment hedging reserve The net investment hedging reserve comprises the currency translation differences arising when the currencies of these instruments are translated to euros, to the extent they are effective. Liability own credit risk reserve Under IFRS 9, the changes in fair value attributable to changes in the own credit risk of financial liabilities designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity. Other reserves Other reserves mainly comprise retained earnings and profit for the period. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIssuedCapitalExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-688-5": { "value": "35 Commitments and contingent liabilities Accounting policy for off-balance sheet items Commitments Loan commitments that allow for draw-down of a loan within the timeframe generally established by regulation or convention in the marketplace are not recognised as derivative financial instruments. Acceptances comprise undertakings by ABN AMRO to pay bills of exchange drawn on clients. ABN AMRO expects most acceptances to be settled simultaneously with the reimbursement from clients. Acceptances are not recognised in the balance sheet and are disclosed as commitments. Financial guarantee contracts A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when appropriate \u2013 the cumulative amount of income recognised in the income statement. Contingent liabilities Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events, and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured. Contingent liabilities are not recognised in the balance sheet, but disclosed if the likelihood of an outflow of economic resources is not more likely than not or if the likelihood of an outflow of economic resources is more likely than not, however cannot be reliably estimated. Committed credit facilities Commitments to provide credit take the form of approved but undrawn loans, revolving and underwriting facilities. New loan offers have a commitment period that does not extend beyond the normal underwriting and settlement period. Guarantees and other commitments ABN AMRO provides financial guarantees and letters of credit to guarantee the performance of customers to third parties. These transactions have fixed limits and generally extend for periods of up to 5 years. Expirations are not concentrated in any particular period. ABN AMRO also provides guarantees by acting as a settlement agent in securities borrowing and lending transactions. Many of the contingent liabilities and commitments are expected to expire without being paid out in whole or in part. This means that the amounts stated do not represent expected future cash flows. Additionally, guarantees and letters of credit are supported by varying levels of collateral. Furthermore, statements of liability within the meaning of Article 403, Book 2 of the Dutch Civil Code have been issued for a number of ABN AMRO\u2019s affiliated companies (see also the chapter on Other information). The committed credit facilities, guarantees and other commitments are summarised in the following table. The amounts stated in the table for commitments assume that amounts are fully paid out. The amounts shown in the table for guarantees and letters of credit represent the maximum amount ABN AMRO is exposed to if the contract parties completely fail to perform as contracted. Payments due by period Less than Between one and Between three After (in millions) one year three years and five years five years Total 31 December 2022 Committed credit facilities 29,349 9,585 8,268 6,671 53,873 Guarantees and other commitments Guarantees granted 177 83 96 985 1,342 Irrevocable letters of credit 3,062 699 489 179 4,429 Recourse risks arising from discounted bills 1,566 312 1 1,880 Total guarantees and other commitments 4,806 1,094 586 1,164 7,651 Total 34,155 10,679 8,854 7,836 61,524 31 December 2021 Committed credit facilities 35,134 10,395 5,965 3,147 54,642 Guarantees and other commitments Guarantees granted 142 83 96 1,222 1,544 Irrevocable letters of credit 3,084 1,111 336 221 4,752 Recourse risks arising from discounted bills 1,159 11 3 31 1 1,303 Total guarantees and other commitments 4,385 1,307 463 1,443 7,598 Total 39,520 11,702 6,428 4,590 62,240 Equity trading German authorities are conducting investigations into the involvement of individuals from various banks and other parties in equity trading extending over dividend record dates in Germany, including several forms of tainted dividend arbitrage (i.e. tainted dividend stripping, including cum/ex and cum/cum) for the purpose of obtaining German tax credits or refunds in relation to withholding tax levied on dividend payments, including, in particular, transaction structures that resulted in more than one market participant claiming such credit or refund with respect to the same dividend payment. ABN AMRO\u2019s legal predecessor, Fortis Bank (Nederland) N.V., ABN AMRO and several former subsidiaries were directly or indirectly involved in these transactions in the past in various capacities. Criminal investigation proceedings relating to the activities of these entities and individuals involved at the time were instigated. These proceedings also resulted in search warrants being issued against ABN AMRO. ABN AMRO is cooperating with these investigations, but has no knowledge of the results of any such investigations. ABN AMRO also frequently receives information requests from German authorities in relation to criminal and other investigations of individuals from other banks and other parties relating to equity trading extending over dividend record dates in Germany. ABN AMRO cooperates and provides the requested information to the extent possible. Although a number of subsidiaries associated with these transactions have been sold by means of a management buy-out, legal risks remain for ABN AMRO, in particular relating to administrative offences and criminal and civil law. All material tax issues with respect to ABN AMRO\u2019s tax reclaims relating to cum/ex transactions have been settled with the German tax authorities. With Discussion with regulator on regulatory levies ABN AMRO is in discussion with the Single Resolution Board (SRB) about the calculation method applied for annual Single Resolution Fund (SRF) contributions paid in the past. At this time, the outcome of these discussions are still uncertain. The annual SRF contribution is a levy introduced by the European Union in 2016. The SRB calculates the SRF contribution based on the information annually provided by the credit institutions within the European Banking Union in scope of SRF. The SRB is of the opinion that ABN AMRO has reported variables to calculate the annual SRF contribution incorrectly over the 2016-2022 period. ABN AMRO disagrees with the SRB\u2019s point of view and, as from 2016, has repeatedly and extensively communicated its position with regard to the adjusted amount to the SRB. The different points of view held by the SRB and ABN AMRO are due to a differing interpretation of the regulation with regard to the annual SRF contribution. If the SRB continues to disagree with ABN AMRO\u2019s position, this could result in an additional contribution of approximately EUR 110 million (before tax) being declared payable in the first half of 2023. In that event, ABN AMRO will challenge the SRB\u2019s decision. The outcome of any such challenge is uncertain because the SRF regulation is relatively new and there is little to no case law on the subject. ABN AMRO nevertheless considers it more likely than not that such challenge will be successful. Therefore no provision has been recognised. respect to cum/cum transactions, the German Federal Ministry of Finance released two circular rulings dated 9 July 2021 (published 15 July 2021); these contain a change in interpretation of tax legislation compared to previous circular rulings. While these circular rulings, in ABN AMRO\u2019s view, contradict case law of the German Federal Tax Court after the circulars were published, the German Federal Ministry of Finance has not withdrawn or amended the rulings, and the German local tax authorities are therefore expected to re-collect dividend withholding tax credited to taxpayers where such credits related to cum/cum strategies. ABN AMRO has received dividend withholding tax refunds that relate to transactions that could be considered to be cum/cum transactions under the new circular rulings. In anticipation of a decision by the German tax authorities, ABN AMRO has, as a precaution, repaid the relevant dividend withholding tax amounts, while retaining its rights to contest any such future decision. Some counterparties of ABN AMRO have initiated civil law claims against ABN AMRO with respect to cum/cum securities lending transactions (some of which are pending before German courts), arguing that ABN AMRO failed to deliver beneficial ownership of the loaned securities to these counterparties and that this resulted in a denial of tax credit entitlement by the relevant German tax authorities. Although ABN AMRO considers it not probable that any such claims will be successful, the possibility that they will succeed cannot be ruled out. It cannot be excluded that ABN AMRO or subsidiaries will face financial consequences as a result of their involvement in tainted dividend stripping transactions, in particular corporate administrative fines, forfeiture orders and civil law claims. It is currently unclear, however, as to how and when the German prosecution authorities\u2019 investigations will impact on ABN AMRO and its subsidiaries and if, and to what extent, corporate administrative fines or forfeiture orders will be imposed. It is also uncertain whether tax authorities or third parties will successfully claim amounts from ABN AMRO in secondary tax liability or civil law cases. Therefore, the financial impact cannot currently be reliably estimated and no provision has been recorded in this respect. Netherlands Public Prosecution Service investigation into Dutch tax matter The Netherlands Public Prosecution Service (NPPS) is conducting an investigation regarding transactions that ultimately led to a set-off by a third party of dividend withholding tax credits against its corporate tax liabilities in the Netherlands during the period 2009-2013. The NPPS investigation relates to ongoing tax proceedings in the Dutch courts between the third party and the Dutch tax authority regarding the third party\u2019s set-off of dividend withholding tax credits against its corporate tax liabilities. The District Court ruled in favour of this third party in 2018. In 2020, the Court of Appeal overturned the ruling of the District Court and ruled in favour of the Netherlands tax authority. An appeal with the Supreme Court has been filed against the ruling of the Court of Appeal and is currently pending. The NPPS has informed ABN AMRO that it is a suspect in the investigation, due to its involvement in some of these transactions. The NPPS is gathering information for its investigation and ABN AMRO is cooperating with the investigation. The timing of the completion of the investigation and the outcome are uncertain. The possibility cannot be excluded that ABN AMRO will face financial consequences as a result of the investigation. However, the potential financial impact of the investigation cannot currently be reliably estimated and no provision has been made. Duty of care matters A number of proceedings have been initiated against ABN AMRO for alleged breach of its duty of care in transparency-related standards. Where applicable, provisions for these matters have been made. There can be no assurance that additional proceedings will not be instigated or that amounts demanded in claims brought to date will not rise. Current proceedings are pending and their outcome, as well as the outcome of any threatened proceedings, is uncertain, as is the timing of reaching any finality on these legal claims and proceedings. Although the consequences could be substantial for ABN AMRO and potentially affect its reputation, results of operations, financial condition and prospects, it is not possible to reliably estimate or quantify ABN AMRO\u2019s exposure at this time. These uncertainties are likely to continue for some time. Cross-liability On 6 February 2010, the former ABN AMRO Bank N.V. demerged into two entities: NatWest Markets N.V. (formerly known as RBS N.V.) and ABN AMRO Bank N.V. On the division of an entity by demerger, Dutch law establishes a cross-liability between surviving entities for the benefit of the creditors at the time of the demerger. ABN AMRO\u2019s cross-liability 1amounts to EUR 298 million (31 December 2021: EUR 1.2 billion), for which NatWest Markets N.V. has posted collateral of EUR 150 million (31 December 2021: EUR 0.4 billion).1 The outcome of the cross liability analysis for 2022 is still to be discussed with DNB.Other contingent liabilities ABN AMRO is involved in a number of legal proceedings in the ordinary course of business in various jurisdictions. In presenting the Consolidated Annual Financial Statements, management estimates the outcome of legal, regulatory and arbitration matters, and takes provisions to the income statement when losses with respect to such matters are more likely than not. Provisions are not recognised for matters for which an expected cash outflow cannot be reasonably estimated or that are not more likely than not to lead to a cash outflow. Some of these matters may be regarded as a contingency. In particular, the following matters are regarded as contingent liabilities: \u00c5 ABN AMRO, some of its subsidiaries and some of their client funds had exposure to funds that suffered losses (in some cases, significant losses) as a result of the Madoff fraud. The provision of custodial services resulted in several legal claims, including by the Bernard L. Madoff Investment Securities trustee in bankruptcy (Irving Picard) and the liquidators of certain funds, who are pursuing legal action in an attempt to recover payments made as a result of the fraud and/or to compensate their alleged losses. ABN AMRO and certain ABN AMRO subsidiaries are defendants in these proceedings. Even though these proceedings have been ongoing for several years, they are still in a preliminary stage. Hence, it is not possible to estimate the total amount of ABN AMRO\u2019s potential liability, if any. \u00c5 The Imtech Group was declared bankrupt in August 2015. ABN AMRO was one of the banks that extended financing to this group and participated in the second rights offering of October 2014. By letter of 20 January 2018, Stichting Imtechclaim and Imtech Shareholders Action Group B.V. held ING, Rabobank, Commerzbank and ABN AMRO liable for alleged misstatements in the prospectuses and for alleged actio pauliana (fraudulent preference). By letter of 28 March 2018, the VEB held parties, including ABN AMRO, liable for damage allegedly suffered by the Imtech investors. On 10 August 2018, ABN AMRO received formal notification from Imtech\u2019s trustees that they were seeking to nullify a large number of transactions and claim various damages. The letter aimed to interrupt limitation periods in view of the possible claims against Imtech\u2019s lenders, bondholders and underwriting banks. It appears likely that litigation will be started by the trustees in view of this letter and subsequent communications, although the exact timing of this litigation, the amount of the claim and the parties to be summoned are unclear. \u00c5 On 18 October 2018, Eurostar Diamond Traders N.V. (EDT) filed a civil law complaint against ABN AMRO in the Antwerp Court, claiming a provisional amount of EUR 673 million. The amount claimed included an unsubstantiated claim for damages of EUR 600 million on the ground that ABN AMRO and Standard Chartered Bank (SCB) allegedly deliberately caused EDT\u2019s demise. Damages of USD 73 million were also claimed for the alleged sale of unsuitable derivatives. EDT and Eurostar Diamond Traders International N.V., EDT\u2019s parent company, were both declared bankrupt in a final decision in 2020. EDT\u2019s trustees have continued the proceedings against ABN AMRO but have dropped material parts of the original claims and have lowered the claim amount to a provisional amount of EUR 1. The former directors of Eurostar are attempting to become formally involved in these proceedings. \u00c5 First Data Holding (FDH) and some of its group companies have indicated that they believe that one of FDH\u2019s subsidiaries, European Merchant Services B.V (EMS), has a claim against International Card Services B.V. (ICS). In spring 2016, FDH claimed for the first time that EMS was entitled to 51% of the proceeds of the sale of Visa Europe in 2015. The alleged claim amounted to approximately EUR 37 million plus interest. In August 2016, ICS refuted this claim. In September 2020, FDH repeated its alleged claim. In October 2020, EMS and FDH (now Fiserv) interrupted the limitation periods relating to EMS\u2019s alleged claim. In December 2020, ICS responded by rejecting this alleged claim again. As yet, however, EMS itself has not filed any claim against ICS. As a result, it has to be awaited whether and, if so, when EMS will file such claim. \u00c5 In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by a Luxembourg fund, LFP I SICAV SIF (LFP), which alleges that the Luxembourg subsidiary, in its capacity as custodian of a sub-fund of LFP (Columna), should have prevented an investment of USD 10 million from being made. LFP is claiming restitution of this amount from BGL in proceedings before the District Court of Luxembourg. BGL notified ABN AMRO of this claim in January 2020 and, in June 2020, summoned it to appear in these proceedings in an intervention procedure. In July 2020, LFP and its Hong Kong subsidiary issued an additional claim against BGL. This claim amounts to USD 38 million and also seems to be in respect of investments relating to Columna. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and ABN AMRO. In August 2020, BGL reserved its (alleged) rights to file possible further claims against ABN AMRO, also in relation to LFP. As a result, it has to be awaited whether BGL will institute any further additional claims in this matter. H In addition, on 2 April 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by a fund (SIF A) and the liquidator of SIF A. In brief, it is alleged that a sub-fund of SIF A invested for a period of time in allegedly fictitious loan instruments. ABN AMRO Bank (Luxembourg) S.A. acted as the custodian bank for SIF A for a while within this time period. SIF A alleges that it did not perform its duties properly and therefore considers that BGL, as the legal successor of the Luxembourg subsidiary, should be held liable, together with three other defendants, for EUR 4 million in damages. BGL notified ABN AMRO of this claim in May 2021. In brief, BGL is claiming that any sentence that could be pronounced against it in the proceedings against the fund and its liquidator should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. Finally, on 31 May 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by an alternative investment fund (AIF SIF). AIF SIF was originally a client of the subsidiary. AIF SIF accuses BGL, in its capacity as the former depositary bank of AIF SIF, of having caused AIF SIF\u2019s removal from the list of specialised investment funds by the Luxembourg financial regulator (CSSF). The fund claims damages from BGL in the amount of EUR 126 million. BGL notified ABN AMRO of this claim in October 2019 and July 2021. In brief, BGL is claiming that any sentence that could be pronounced against it in the proceedings against the fund should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. ", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsAndContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-688-6": { "value": "35 Commitments and contingent liabilities Accounting policy for off-balance sheet items Commitments Loan commitments that allow for draw-down of a loan within the timeframe generally established by regulation or convention in the marketplace are not recognised as derivative financial instruments. Acceptances comprise undertakings by ABN AMRO to pay bills of exchange drawn on clients. ABN AMRO expects most acceptances to be settled simultaneously with the reimbursement from clients. Acceptances are not recognised in the balance sheet and are disclosed as commitments. Financial guarantee contracts A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when appropriate \u2013 the cumulative amount of income recognised in the income statement. Committed credit facilities Commitments to provide credit take the form of approved but undrawn loans, revolving and underwriting facilities. New loan offers have a commitment period that does not extend beyond the normal underwriting and settlement period. Guarantees and other commitments ABN AMRO provides financial guarantees and letters of credit to guarantee the performance of customers to third parties. These transactions have fixed limits and generally extend for periods of up to 5 years. Expirations are not concentrated in any particular period. ABN AMRO also provides guarantees by acting as a settlement agent in securities borrowing and lending transactions. Many of the contingent liabilities and commitments are expected to expire without being paid out in whole or in part. This means that the amounts stated do not represent expected future cash flows. Additionally, guarantees and letters of credit are supported by varying levels of collateral. Furthermore, statements of liability within the meaning of Article 403, Book 2 of the Dutch Civil Code have been issued for a number of ABN AMRO\u2019s affiliated companies (see also the chapter on Other information). The committed credit facilities, guarantees and other commitments are summarised in the following table. The amounts stated in the table for commitments assume that amounts are fully paid out. The amounts shown in the table for guarantees and letters of credit represent the maximum amount ABN AMRO is exposed to if the contract parties completely fail to perform as contracted. Payments due by period Less than Between one and Between three After (in millions) one year three years and five years five years Total 31 December 2022 Committed credit facilities 29,349 9,585 8,268 6,671 53,873 Guarantees and other commitments Guarantees granted 177 83 96 985 1,342 Irrevocable letters of credit 3,062 699 489 179 4,429 Recourse risks arising from discounted bills 1,566 312 1 1,880 Total guarantees and other commitments 4,806 1,094 586 1,164 7,651 Total 34,155 10,679 8,854 7,836 61,524 31 December 2021 Committed credit facilities 35,134 10,395 5,965 3,147 54,642 Guarantees and other commitments Guarantees granted 142 83 96 1,222 1,544 Irrevocable letters of credit 3,084 1,111 336 221 4,752 Recourse risks arising from discounted bills 1,159 11 3 31 1 1,303 Total guarantees and other commitments 4,385 1,307 463 1,443 7,598 Total 39,520 11,702 6,428 4,590 62,240 ", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-688-7": { "value": "35 Commitments and contingent liabilities Accounting policy for off-balance sheet items Contingent liabilities Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events, and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured. Contingent liabilities are not recognised in the balance sheet, but disclosed if the likelihood of an outflow of economic resources is not more likely than not or if the likelihood of an outflow of economic resources is more likely than not, however cannot be reliably estimated. Equity trading German authorities are conducting investigations into the involvement of individuals from various banks and other parties in equity trading extending over dividend record dates in Germany, including several forms of tainted dividend arbitrage (i.e. tainted dividend stripping, including cum/ex and cum/cum) for the purpose of obtaining German tax credits or refunds in relation to withholding tax levied on dividend payments, including, in particular, transaction structures that resulted in more than one market participant claiming such credit or refund with respect to the same dividend payment. ABN AMRO\u2019s legal predecessor, Fortis Bank (Nederland) N.V., ABN AMRO and several former subsidiaries were directly or indirectly involved in these transactions in the past in various capacities. Criminal investigation proceedings relating to the activities of these entities and individuals involved at the time were instigated. These proceedings also resulted in search warrants being issued against ABN AMRO. ABN AMRO is cooperating with these investigations, but has no knowledge of the results of any such investigations. ABN AMRO also frequently receives information requests from German authorities in relation to criminal and other investigations of individuals from other banks and other parties relating to equity trading extending over dividend record dates in Germany. ABN AMRO cooperates and provides the requested information to the extent possible. Although a number of subsidiaries associated with these transactions have been sold by means of a management buy-out, legal risks remain for ABN AMRO, in particular relating to administrative offences and criminal and civil law. All material tax issues with respect to ABN AMRO\u2019s tax reclaims relating to cum/ex transactions have been settled with the German tax authorities. With Discussion with regulator on regulatory levies ABN AMRO is in discussion with the Single Resolution Board (SRB) about the calculation method applied for annual Single Resolution Fund (SRF) contributions paid in the past. At this time, the outcome of these discussions are still uncertain. The annual SRF contribution is a levy introduced by the European Union in 2016. The SRB calculates the SRF contribution based on the information annually provided by the credit institutions within the European Banking Union in scope of SRF. The SRB is of the opinion that ABN AMRO has reported variables to calculate the annual SRF contribution incorrectly over the 2016-2022 period. ABN AMRO disagrees with the SRB\u2019s point of view and, as from 2016, has repeatedly and extensively communicated its position with regard to the adjusted amount to the SRB. The different points of view held by the SRB and ABN AMRO are due to a differing interpretation of the regulation with regard to the annual SRF contribution. If the SRB continues to disagree with ABN AMRO\u2019s position, this could result in an additional contribution of approximately EUR 110 million (before tax) being declared payable in the first half of 2023. In that event, ABN AMRO will challenge the SRB\u2019s decision. The outcome of any such challenge is uncertain because the SRF regulation is relatively new and there is little to no case law on the subject. ABN AMRO nevertheless considers it more likely than not that such challenge will be successful. Therefore no provision has been recognised. respect to cum/cum transactions, the German Federal Ministry of Finance released two circular rulings dated 9 July 2021 (published 15 July 2021); these contain a change in interpretation of tax legislation compared to previous circular rulings. While these circular rulings, in ABN AMRO\u2019s view, contradict case law of the German Federal Tax Court after the circulars were published, the German Federal Ministry of Finance has not withdrawn or amended the rulings, and the German local tax authorities are therefore expected to re-collect dividend withholding tax credited to taxpayers where such credits related to cum/cum strategies. ABN AMRO has received dividend withholding tax refunds that relate to transactions that could be considered to be cum/cum transactions under the new circular rulings. In anticipation of a decision by the German tax authorities, ABN AMRO has, as a precaution, repaid the relevant dividend withholding tax amounts, while retaining its rights to contest any such future decision. Some counterparties of ABN AMRO have initiated civil law claims against ABN AMRO with respect to cum/cum securities lending transactions (some of which are pending before German courts), arguing that ABN AMRO failed to deliver beneficial ownership of the loaned securities to these counterparties and that this resulted in a denial of tax credit entitlement by the relevant German tax authorities. Although ABN AMRO considers it not probable that any such claims will be successful, the possibility that they will succeed cannot be ruled out. It cannot be excluded that ABN AMRO or subsidiaries will face financial consequences as a result of their involvement in tainted dividend stripping transactions, in particular corporate administrative fines, forfeiture orders and civil law claims. It is currently unclear, however, as to how and when the German prosecution authorities\u2019 investigations will impact on ABN AMRO and its subsidiaries and if, and to what extent, corporate administrative fines or forfeiture orders will be imposed. It is also uncertain whether tax authorities or third parties will successfully claim amounts from ABN AMRO in secondary tax liability or civil law cases. Therefore, the financial impact cannot currently be reliably estimated and no provision has been recorded in this respect. Netherlands Public Prosecution Service investigation into Dutch tax matter The Netherlands Public Prosecution Service (NPPS) is conducting an investigation regarding transactions that ultimately led to a set-off by a third party of dividend withholding tax credits against its corporate tax liabilities in the Netherlands during the period 2009-2013. The NPPS investigation relates to ongoing tax proceedings in the Dutch courts between the third party and the Dutch tax authority regarding the third party\u2019s set-off of dividend withholding tax credits against its corporate tax liabilities. The District Court ruled in favour of this third party in 2018. In 2020, the Court of Appeal overturned the ruling of the District Court and ruled in favour of the Netherlands tax authority. An appeal with the Supreme Court has been filed against the ruling of the Court of Appeal and is currently pending. The NPPS has informed ABN AMRO that it is a suspect in the investigation, due to its involvement in some of these transactions. The NPPS is gathering information for its investigation and ABN AMRO is cooperating with the investigation. The timing of the completion of the investigation and the outcome are uncertain. The possibility cannot be excluded that ABN AMRO will face financial consequences as a result of the investigation. However, the potential financial impact of the investigation cannot currently be reliably estimated and no provision has been made. Duty of care matters A number of proceedings have been initiated against ABN AMRO for alleged breach of its duty of care in transparency-related standards. Where applicable, provisions for these matters have been made. There can be no assurance that additional proceedings will not be instigated or that amounts demanded in claims brought to date will not rise. Current proceedings are pending and their outcome, as well as the outcome of any threatened proceedings, is uncertain, as is the timing of reaching any finality on these legal claims and proceedings. Although the consequences could be substantial for ABN AMRO and potentially affect its reputation, results of operations, financial condition and prospects, it is not possible to reliably estimate or quantify ABN AMRO\u2019s exposure at this time. These uncertainties are likely to continue for some time. Cross-liability On 6 February 2010, the former ABN AMRO Bank N.V. demerged into two entities: NatWest Markets N.V. (formerly known as RBS N.V.) and ABN AMRO Bank N.V. On the division of an entity by demerger, Dutch law establishes a cross-liability between surviving entities for the benefit of the creditors at the time of the demerger. ABN AMRO\u2019s cross-liability 1amounts to EUR 298 million (31 December 2021: EUR 1.2 billion), for which NatWest Markets N.V. has posted collateral of EUR 150 million (31 December 2021: EUR 0.4 billion).1 The outcome of the cross liability analysis for 2022 is still to be discussed with DNB.Other contingent liabilities ABN AMRO is involved in a number of legal proceedings in the ordinary course of business in various jurisdictions. In presenting the Consolidated Annual Financial Statements, management estimates the outcome of legal, regulatory and arbitration matters, and takes provisions to the income statement when losses with respect to such matters are more likely than not. Provisions are not recognised for matters for which an expected cash outflow cannot be reasonably estimated or that are not more likely than not to lead to a cash outflow. Some of these matters may be regarded as a contingency. In particular, the following matters are regarded as contingent liabilities: \u00c5 ABN AMRO, some of its subsidiaries and some of their client funds had exposure to funds that suffered losses (in some cases, significant losses) as a result of the Madoff fraud. The provision of custodial services resulted in several legal claims, including by the Bernard L. Madoff Investment Securities trustee in bankruptcy (Irving Picard) and the liquidators of certain funds, who are pursuing legal action in an attempt to recover payments made as a result of the fraud and/or to compensate their alleged losses. ABN AMRO and certain ABN AMRO subsidiaries are defendants in these proceedings. Even though these proceedings have been ongoing for several years, they are still in a preliminary stage. Hence, it is not possible to estimate the total amount of ABN AMRO\u2019s potential liability, if any. \u00c5 The Imtech Group was declared bankrupt in August 2015. ABN AMRO was one of the banks that extended financing to this group and participated in the second rights offering of October 2014. By letter of 20 January 2018, Stichting Imtechclaim and Imtech Shareholders Action Group B.V. held ING, Rabobank, Commerzbank and ABN AMRO liable for alleged misstatements in the prospectuses and for alleged actio pauliana (fraudulent preference). By letter of 28 March 2018, the VEB held parties, including ABN AMRO, liable for damage allegedly suffered by the Imtech investors. On 10 August 2018, ABN AMRO received formal notification from Imtech\u2019s trustees that they were seeking to nullify a large number of transactions and claim various damages. The letter aimed to interrupt limitation periods in view of the possible claims against Imtech\u2019s lenders, bondholders and underwriting banks. It appears likely that litigation will be started by the trustees in view of this letter and subsequent communications, although the exact timing of this litigation, the amount of the claim and the parties to be summoned are unclear. \u00c5 On 18 October 2018, Eurostar Diamond Traders N.V. (EDT) filed a civil law complaint against ABN AMRO in the Antwerp Court, claiming a provisional amount of EUR 673 million. The amount claimed included an unsubstantiated claim for damages of EUR 600 million on the ground that ABN AMRO and Standard Chartered Bank (SCB) allegedly deliberately caused EDT\u2019s demise. Damages of USD 73 million were also claimed for the alleged sale of unsuitable derivatives. EDT and Eurostar Diamond Traders International N.V., EDT\u2019s parent company, were both declared bankrupt in a final decision in 2020. EDT\u2019s trustees have continued the proceedings against ABN AMRO but have dropped material parts of the original claims and have lowered the claim amount to a provisional amount of EUR 1. The former directors of Eurostar are attempting to become formally involved in these proceedings. \u00c5 First Data Holding (FDH) and some of its group companies have indicated that they believe that one of FDH\u2019s subsidiaries, European Merchant Services B.V (EMS), has a claim against International Card Services B.V. (ICS). In spring 2016, FDH claimed for the first time that EMS was entitled to 51% of the proceeds of the sale of Visa Europe in 2015. The alleged claim amounted to approximately EUR 37 million plus interest. In August 2016, ICS refuted this claim. In September 2020, FDH repeated its alleged claim. In October 2020, EMS and FDH (now Fiserv) interrupted the limitation periods relating to EMS\u2019s alleged claim. In December 2020, ICS responded by rejecting this alleged claim again. As yet, however, EMS itself has not filed any claim against ICS. As a result, it has to be awaited whether and, if so, when EMS will file such claim. \u00c5 In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by a Luxembourg fund, LFP I SICAV SIF (LFP), which alleges that the Luxembourg subsidiary, in its capacity as custodian of a sub-fund of LFP (Columna), should have prevented an investment of USD 10 million from being made. LFP is claiming restitution of this amount from BGL in proceedings before the District Court of Luxembourg. BGL notified ABN AMRO of this claim in January 2020 and, in June 2020, summoned it to appear in these proceedings in an intervention procedure. In July 2020, LFP and its Hong Kong subsidiary issued an additional claim against BGL. This claim amounts to USD 38 million and also seems to be in respect of investments relating to Columna. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and ABN AMRO. In August 2020, BGL reserved its (alleged) rights to file possible further claims against ABN AMRO, also in relation to LFP. As a result, it has to be awaited whether BGL will institute any further additional claims in this matter. H In addition, on 2 April 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by a fund (SIF A) and the liquidator of SIF A. In brief, it is alleged that a sub-fund of SIF A invested for a period of time in allegedly fictitious loan instruments. ABN AMRO Bank (Luxembourg) S.A. acted as the custodian bank for SIF A for a while within this time period. SIF A alleges that it did not perform its duties properly and therefore considers that BGL, as the legal successor of the Luxembourg subsidiary, should be held liable, together with three other defendants, for EUR 4 million in damages. BGL notified ABN AMRO of this claim in May 2021. In brief, BGL is claiming that any sentence that could be pronounced against it in the proceedings against the fund and its liquidator should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. Finally, on 31 May 2021, BGL, as the legal successor of the Luxembourg subsidiary, was sued by an alternative investment fund (AIF SIF). AIF SIF was originally a client of the subsidiary. AIF SIF accuses BGL, in its capacity as the former depositary bank of AIF SIF, of having caused AIF SIF\u2019s removal from the list of specialised investment funds by the Luxembourg financial regulator (CSSF). The fund claims damages from BGL in the amount of EUR 126 million. BGL notified ABN AMRO of this claim in October 2019 and July 2021. In brief, BGL is claiming that any sentence that could be pronounced against it in the proceedings against the fund should be borne by ABN AMRO. ABN AMRO rejects the alleged claim by BGL. ", "dimensions": { "concept": "ifrs-full:DisclosureOfContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-688-10": { "value": "35 Commitments and contingent liabilities Accounting policy for off-balance sheet items Financial guarantee contracts A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when appropriate \u2013 the cumulative amount of income recognised in the income statement. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialGuaranteesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-699-2": { "value": "36 Remuneration of Executive Board and Supervisory Board Remuneration of Executive Board 2022 Other Total Base Variable short-term short term Severance Total pension-related 4 5 6 salary remunerationbenefitsbenefits payments contributionsTotal Post-Short-term employment allowances 66(In thousands) pension (a)(b)R.A.J. Swaak 771 771 32 197 999 1 C.M. Bornfeld218 45 263 11 54 327 T.J.A.M. Cuppen 654 34 688 32 162 881 2 D. Dorner654 32 686 32 162 879 2 C. van der Hooft - Cheong654 27 682 32 162 875 2 L. Kramer654 133 787 32 162 981 1,2 G.R. Penning927 927 164 46 227 1,364 2 A.M. Vreugdenhil545 18 563 26 135 724 Total 5,077 289 5,366 164 241 1,260 7,031 2021 R.A.J. Swaak 765 765 31 196 992 1 C.M. Bornfeld650 162 812 31 161 1,004 1 C.J. Abrahams108 20 128 5 27 159 T.J.A.M. Cuppen 650 34 684 31 161 876 2 D. Dorner67 4 70 3 17 90 2 C. van der Hooft - Cheong67 3 69 3 17 89 2 L. Kramer381 65 446 18 95 558 1,2 G.R. Penning67 67 3 17 87 3 A. Roest161 11 172 8 40 220 Total 2,915 298 3,213 133 730 4,075 1 The following members left ABN AMRO: C.J. Abrahams (1 March 2021) and C.M. Bornfeld (1 May 2022). G.R. Penning stepped down as Executive Board member on 1 December 2022 and will leave ABN AMRO as per 1 June 2023. For G.R. Penning, all remuneration components (including severance, which is awarded in 2022 and paid in 2023) for the period until the end of his employment contract on 1 June 2023 are included above. 2 The following members were appointed as an Executive Board member: L. Kramer (1 June 2021), D. Dorner (24 November 2021), C. van der Hooft - Cheong (24 November 2021), G.R. Penning (24 November 2021) and A.M. Vreugdenhil (1 March 2022). 3 The remuneration components for A. Roest relate to her interim Executive Board appointment from 1 March 2021 until 1 June 2021. 4 Owing to the Bonus Prohibition Act, the Executive Board members are not entitled to receive variable compensation. This prohibition has applied since the 2011 performance. 5 Other short-term benefits consists of flight tickets, a housing allowance, compensation for lease car expenses, mortgage interest rate benefit and international schooling costs for Executive Board members\u2019 children when applicable. 6 The Executive Board members participate in ABN AMRO Bank\u2019s pension plans for employees in the Netherlands. Total pension-related contributions refer to (a) the employer contribution to the pension fund (for the CDC pension scheme for pensionable income up to EUR 114.866 (2021: EUR 112,189) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement (\u2018ABN AMRO CAO\u2019). Loans from ABN AMRO to Executive Board members 2022 2021 Outstanding Outstanding (In thousands) 31 December Redemptions Interest rate 31 December Redemptions Interest rate 1 D. Dorner463 21 2.2% 484 1.4% 1 C. van der Hooft - Cheong1,559 32 1.5% 1,591 1.5% 1,2 G.R. Penning225 40 2.9% 265 0.7% 3 A. Roest 3,158 1.8% 1 The following members were appointed: D. Dorner (24 November 2021), C. van der Hooft-Cheong (24 November 2021) and G.R. Penning (24 November 2021). 2 G.R. Penning stepped down as Executive Board member on 1 December 2022 and will leave ABN AMRO as per 1 June 2023. 3 A. Roest was an interim ExBo member from 1 March 2021 until 1 June 2021. Remuneration of the Supervisory Board 4 4 (In thousands) 20222021T. de Swaan 103 98 A.C. Dorland 86 82 L.J. Griffith 83 80 M.P. Lap 83 80 1 S.A.C. Russell60 A.M. Stor\u00e5kers 86 80 M.L. Tannemaat 83 80 2 J.S.T. Tiemstra26 82 3 J.B.J. Stegmann 72 Total 610 654 1 S.A.C. Russell was appointed as a member of the Supervisory Board with effect from 20 april 2022 2 J.S.T. Tiemstra stepped down as a member of the Supervisory Board with effect from 20 april 2022. 3 J.B.J. Stegmann stepped down as a member of the Supervisory Board with effect from 14 November 2021. 4 Remuneration amounts excluding VAT. Loans from ABN AMRO to Supervisory Board members 2022 2021 Outstanding Outstanding (In thousands) 31 December Redemptions Interest rate 31 December Redemptions Interest rate T. de Swaan 1,586 5 1.0% 1,591 6 1.0% L.J. Griffith 339 1.8% 339 89 1.8% S.A.C. Russell 370 2.1% M.L. Tannemaat 715 57 1.7% 772 1.7% 38 Related parties Parties related to ABN AMRO Bank include NLFI with control, the Dutch State with significant influence, associates, pension funds, joint ventures, the Executive Board, the Supervisory Board, close family members of any person referred to above, entities controlled or significantly influenced by any person referred to above and any other related entities. ABN AMRO has applied the partial exemption for government-related entities as described in IAS 24 paragraphs 25-27. As part of its business operations, ABN AMRO frequently enters into transactions with related parties. Transactions conducted with the Dutch State are limited to normal banking transactions, taxation and other administrative relationships, with the exception of items specifically disclosed in this note. Normal banking transactions relate to loans and deposits and are entered into on the same commercial and market terms that apply to non-related parties. Loans and advances to the Executive Board members and close family members, where applicable, consist mainly of residential mortgages granted under standard personnel conditions. For further information, please refer to Note 36 Remuneration of Executive Board and Supervisory Board in the Consolidated Annual Financial Statements 2022. Key management personnel compensation Other Total Base Variable short-term short term Severance 4 5 6 salary remunerationbenefitsbenefits payments Total pension-related contributionsTotal Post-employment Short-term (In thousands) pension (a) allowances (b) 2022 Members ExBo 5,077 289 5,366 164 241 1,260 7,031 Total 5,077 289 5,366 164 241 1,260 7,031 2021 Members ExBo 2,915 298 3,213 133 730 4,075 1,2 D. Dorner77 7 84 4 19 107 3 F.M.R. van der Horst1,054 67 1,121 558 52 260 1,991 3 D.C. de Kluis401 32 433 21 98 552 3 P.H. van Mierlo1,002 63 1,065 598 53 244 1,960 3 R.F. van Nouhuijs693 36 729 34 171 934 2 G.R. Penning574 30 604 28 142 774 1 P. Pfaff139 8 147 7 34 188 Total 6,855 541 7,396 1,156 332 1,698 10,581 1 The following members were appointed as an ExCo member: P. Pfaff (interim from 1 September 2021 until 24 November 2021) and D. Dorner (interim ExCo member from 12 October 2021 until 24 November 2021). 2 The following members were appointed as an Excecutive Board member: D. Dorner (24 November 2021) and G.R. Penning (24 November 2021). 3 The following members left ABN AMRO: D.C. de Kluis (1 September 2021), R.F. van Nouhuijs (1 February 2022), P.H. van Mierlo (1 September 2022), F.M.R. van der Horst (1 December 2022), 4 Due to ABN AMRO restrictions, no variable remuneration will be paid. Therefore the fixed remuneration is 100% of total remuneration. 5 Other short-term benefits consists of flight tickets, a housing allowance, compensation for lease car expenses, mortgage interest rate benefit and international schooling costs for Executive Board members\u2019 children when applicable. 6 The Executive Committee members participate in ABN AMRO Bank\u2019s pension plans as applicable to the employees in the Netherlands. Total pension-related contributions as of 2021 refer to (a) the employer contribution to the pension fund (for the CDC pension scheme for pensionable income up to EUR 112,189 (2020: EUR 110,111) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement (\u2018ABN AMRO CAO\u2019). Key management loans and advances 2022 2021 Outstanding Average Outstanding Average (In thousands) 31 December Redemptions interest rate 31 December Redemptions interest rate Executive Board 2,247 93 1.8% 5,498 1.6% Other ExCo members 2,539 1,174 2.5% ", "dimensions": { "concept": "ifrs-full:DisclosureOfInformationAboutKeyManagementPersonnelExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-699-3": { "value": "36 Remuneration of Executive Board and Supervisory Board Remuneration of Executive Board 2022 Other Total Base Variable short-term short term Severance Total pension-related 4 5 6 salary remunerationbenefitsbenefits payments contributionsTotal Post-Short-term employment allowances 66(In thousands) pension (a)(b)R.A.J. Swaak 771 771 32 197 999 1 C.M. Bornfeld218 45 263 11 54 327 T.J.A.M. Cuppen 654 34 688 32 162 881 2 D. Dorner654 32 686 32 162 879 2 C. van der Hooft - Cheong654 27 682 32 162 875 2 L. Kramer654 133 787 32 162 981 1,2 G.R. Penning927 927 164 46 227 1,364 2 A.M. Vreugdenhil545 18 563 26 135 724 Total 5,077 289 5,366 164 241 1,260 7,031 2021 R.A.J. Swaak 765 765 31 196 992 1 C.M. Bornfeld650 162 812 31 161 1,004 1 C.J. Abrahams108 20 128 5 27 159 T.J.A.M. Cuppen 650 34 684 31 161 876 2 D. Dorner67 4 70 3 17 90 2 C. van der Hooft - Cheong67 3 69 3 17 89 2 L. Kramer381 65 446 18 95 558 1,2 G.R. Penning67 67 3 17 87 3 A. Roest161 11 172 8 40 220 Total 2,915 298 3,213 133 730 4,075 1 The following members left ABN AMRO: C.J. Abrahams (1 March 2021) and C.M. Bornfeld (1 May 2022). G.R. Penning stepped down as Executive Board member on 1 December 2022 and will leave ABN AMRO as per 1 June 2023. For G.R. Penning, all remuneration components (including severance, which is awarded in 2022 and paid in 2023) for the period until the end of his employment contract on 1 June 2023 are included above. 2 The following members were appointed as an Executive Board member: L. Kramer (1 June 2021), D. Dorner (24 November 2021), C. van der Hooft - Cheong (24 November 2021), G.R. Penning (24 November 2021) and A.M. Vreugdenhil (1 March 2022). 3 The remuneration components for A. Roest relate to her interim Executive Board appointment from 1 March 2021 until 1 June 2021. 4 Owing to the Bonus Prohibition Act, the Executive Board members are not entitled to receive variable compensation. This prohibition has applied since the 2011 performance. 5 Other short-term benefits consists of flight tickets, a housing allowance, compensation for lease car expenses, mortgage interest rate benefit and international schooling costs for Executive Board members\u2019 children when applicable. 6 The Executive Board members participate in ABN AMRO Bank\u2019s pension plans for employees in the Netherlands. Total pension-related contributions refer to (a) the employer contribution to the pension fund (for the CDC pension scheme for pensionable income up to EUR 114.866 (2021: EUR 112,189) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement (\u2018ABN AMRO CAO\u2019). Loans from ABN AMRO to Executive Board members 2022 2021 Outstanding Outstanding (In thousands) 31 December Redemptions Interest rate 31 December Redemptions Interest rate 1 D. Dorner463 21 2.2% 484 1.4% 1 C. van der Hooft - Cheong1,559 32 1.5% 1,591 1.5% 1,2 G.R. Penning225 40 2.9% 265 0.7% 3 A. Roest 3,158 1.8% 1 The following members were appointed: D. Dorner (24 November 2021), C. van der Hooft-Cheong (24 November 2021) and G.R. Penning (24 November 2021). 2 G.R. Penning stepped down as Executive Board member on 1 December 2022 and will leave ABN AMRO as per 1 June 2023. 3 A. Roest was an interim ExBo member from 1 March 2021 until 1 June 2021. Remuneration of the Supervisory Board 4 4 (In thousands) 20222021T. de Swaan 103 98 A.C. Dorland 86 82 L.J. Griffith 83 80 M.P. Lap 83 80 1 S.A.C. Russell60 A.M. Stor\u00e5kers 86 80 M.L. Tannemaat 83 80 2 J.S.T. Tiemstra26 82 3 J.B.J. Stegmann 72 Total 610 654 1 S.A.C. Russell was appointed as a member of the Supervisory Board with effect from 20 april 2022 2 J.S.T. Tiemstra stepped down as a member of the Supervisory Board with effect from 20 april 2022. 3 J.B.J. Stegmann stepped down as a member of the Supervisory Board with effect from 14 November 2021. 4 Remuneration amounts excluding VAT. Loans from ABN AMRO to Supervisory Board members 2022 2021 Outstanding Outstanding (In thousands) 31 December Redemptions Interest rate 31 December Redemptions Interest rate T. de Swaan 1,586 5 1.0% 1,591 6 1.0% L.J. Griffith 339 1.8% 339 89 1.8% S.A.C. Russell 370 2.1% M.L. Tannemaat 715 57 1.7% 772 1.7% 38 Related parties Parties related to ABN AMRO Bank include NLFI with control, the Dutch State with significant influence, associates, pension funds, joint ventures, the Executive Board, the Supervisory Board, close family members of any person referred to above, entities controlled or significantly influenced by any person referred to above and any other related entities. ABN AMRO has applied the partial exemption for government-related entities as described in IAS 24 paragraphs 25-27. As part of its business operations, ABN AMRO frequently enters into transactions with related parties. Transactions conducted with the Dutch State are limited to normal banking transactions, taxation and other administrative relationships, with the exception of items specifically disclosed in this note. Normal banking transactions relate to loans and deposits and are entered into on the same commercial and market terms that apply to non-related parties. Loans and advances to the Executive Board members and close family members, where applicable, consist mainly of residential mortgages granted under standard personnel conditions. For further information, please refer to Note 36 Remuneration of Executive Board and Supervisory Board in the Consolidated Annual Financial Statements 2022. Balances with joint ventures, associates and other (in millions) Joint ventures Associates Other Total 31 December 2022 Assets 14 50 63 Liabilities 24 125 149 Guarantees given 20 20 Irrevocable facilities 2 2 2022 Income received 40 2 42 Expenses paid 8 97 332 438 31 December 2021 Assets 15 180 195 Liabilities 88 359 447 Guarantees given 15 15 Irrevocable facilities 21 21 2021 Income received 39 3 42 Expenses paid 8 80 317 405 The EUR 130 million decrease in assets held in associates was mainly attributable to a decline in term loans held by financial corporations as a result of the divestment of Cofiloisirs S.A. in France. The EUR 64 million decrease in liabilities with joint ventures was mainly attributable to lower client deposits held with other financial corporations. The EUR 234 million decrease in liabilities with associates was mainly attributable to lower customer balances held with other financial corporations as a result of the divestment of ABN AMRO Levensverzekering N.V., offset by higher balances with non-financial corporations and other financial corporations. The EUR 17 million increase in expenses paid with associates was mainly due to higher expenses in non-financial corporations. Expenses paid in the column Other reflects pension contributions paid to the ABN AMRO pension fund. Balances with the Dutch State (in millions) 31 December 2022 31 December 2021 Assets Financial assets held for trading 144 195 Derivatives 18 Financial investments 2,465 4,028 Loans and advances customers 189 168 Liabilities Financial liabilities held for trading 299 192 Derivatives 17 125 Due to customers 477 466 Other liabilities 1 2022 2021 Income statement Interest income 51 64 Interest expense 23 27 Net trading income 66 110 Net fee and commission income On 1 April 2010, ABN AMRO signed an indemnity agreement with the Dutch State (currently represented by NLFI) for a shortfall in capital above a certain amount and related to specific assets and liabilities of RFS Holdings B.V. In 2019, Royal Bank of Scotland (RBS) acquired all shares in RFS Holdings. However, NLFI has given certain warranties related to its previously owned shares in RFS Holdings and the indemnity agreement continues to exist. RFS Holdings is sufficiently capitalised. Consequently, ABN AMRO has assessed the risk of any shortfall as remote. Transactions conducted with the Dutch State are limited to normal banking transactions, taxation and other administrative relationships. Normal banking transactions relate to loans and deposits, financial assets held for trading and financial investments, and are entered into on the same commercial and market terms that apply to non-related parties. Transactions and balances related to taxation, levies and fines in the Netherlands are excluded from the table above. The EUR 1.6 billion decrease in financial investments was mainly due to lower Dutch government bonds held. This is part of the liquidity buffer and is held for liquidity contingency purposes. The EUR 0.1 billion increase in financial liabilities held for trading is mainly related to higher amounts of Dutch government bonds as a result of primary dealership in the Netherlands and client facilitation. Most of these contracts are hedged with short positions in government bonds. The EUR 0.1 billion decrease in derivatives related to liabilities was mainly due to lower lending positions with the Dutch State. Derivatives transactions with the Dutch State relate to the normal course of business. ", "dimensions": { "concept": "ifrs-full:DisclosureOfRelatedPartyExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-702-2": { "value": "37 Share-based payment Accounting policy for share-based payment Identified staff as defined by CRD V are entitled to receive variable compensation. The variable compensation consists of a cash element and a share-based element settled in cash. The cash element in the variable compensation plan is recognised in accordance with IAS 19 and the other element qualifies as a cash-settled share-based payment in accordance with IFRS 2. The compensation is granted for a certain performance year for 50% in cash and for 50% in share-based compensation settled in cash. The vesting conditions include bad leaver conditions and consist of a deferral period and a retention period until the share-based compensation is settled in cash. Up to and including the performance year 2019, the share-based compensation settled in cash (depositary receipt) vests for 30% two years after the performance year. The remaining 20% vests in three equal tranches in the third, fourth and fifth year following the performance year. At the end of the vesting period, participants receive the cash value of the five-day average of an ABN AMRO listed depositary receipt (DR). The share-based compensation settled in cash granted for 2019 and the years before gives the option to request DRs rather than cash. This choice can be made during the quarter in which settlement takes place and is subject to Supervisory Board approval. This equity component in the plan is valued at nil until the request is approved. Participants receive the same amount of fair value, regardless of whether they choose cash or DRs. If participants choose DRs, the value of the DRs is transferred in its entirety from the liability to an equity account. The actual delivery to the participant is expected to take place in the same quarter as the choice is made. ABN AMRO will not issue additional shares for the compensation granted for 2019 and before, but will buy shares in the market when needed. As the purchase of shares is expected to take place in the quarter during which the DRs are delivered, there is no impact on (diluted) earnings per share. As from performance year 2020, the DRs were replaced by performance certificates (PCs) as share-based compensation settled in cash. The share-based compensation settled in cash vests for 30% in the first year. The remaining 20% vests in four equal tranches in the second, third, fourth and fifth year following the performance year. At the end of the vesting period, participants receive the cash value of the five-day average of ABN AMRO\u2019s share price. Share-based compensation settled in cash granted from performance year 2020 onwards does not include the option to request DRs. A liability is recognised for the fair value of cash-settled transactions. The fair value is measured initially and at each reporting date up to and including the settlement date, with changes in fair value recognised in employee benefits expense. The fair value is determined using an internally developed model based on the share price and market expectations of future dividends. The carrying amount of the liability relating to share-based compensation settled in cash at 31 December 2022 was EUR 7 million (31 December 2021: EUR 9 million). The expense recognised for the DRs and PCs awards during 2022 was EUR 1 million, including retention bonus (2021: EUR 6 million). The following table shows the total number of DRs and PCs awarded, forfeited and paid out. (In thousands of DRs) 2022 2021 Outstanding at 1 January 854 859 Granted during the year 385 313 Forfeited during the year 11 12 Paid out during the year cash 444 279 Paid out during the year DRs 38 27 Less: total paid out/forfeited -493 -318 Outstanding at 31 December 746 854 The following table shows the total number of DRs and PCs granted, segmented by the respective vesting period after which the award will be paid out. Up to Between one Between two Between three Between four (In thousands of DRs) one year and two years and three years and four years and five years Total 31 December 2022 Number of granted DRs by vesting period 379 151 11 7 58 42 746 31 December 2021 Number of granted DRs by vesting period 382 231 11 6 79 47 854 ", "dimensions": { "concept": "ifrs-full:DisclosureOfSharebasedPaymentArrangementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-705-5": { "value": "38 Related parties Parties related to ABN AMRO Bank include NLFI with control, the Dutch State with significant influence, associates, pension funds, joint ventures, the Executive Board, the Supervisory Board, close family members of any person referred to above, entities controlled or significantly influenced by any person referred to above and any other related entities. ABN AMRO has applied the partial exemption for government-related entities as described in IAS 24 paragraphs 25-27. As part of its business operations, ABN AMRO frequently enters into transactions with related parties. Transactions conducted with the Dutch State are limited to normal banking transactions, taxation and other administrative relationships, with the exception of items specifically disclosed in this note. Normal banking transactions relate to loans and deposits and are entered into on the same commercial and market terms that apply to non-related parties. Loans and advances to the Executive Board members and close family members, where applicable, consist mainly of residential mortgages granted under standard personnel conditions. For further information, please refer to Note 36 Remuneration of Executive Board and Supervisory Board in the Consolidated Annual Financial Statements 2022. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForTransactionsWithRelatedPartiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } }, "pp-value-710-2": { "value": "39 Post balance sheet events ABN AMRO EUR 500 million share buyback programme In February 2023 ABN AMRO announced the start of a share buyback programme under which it plans to repurchase depositary receipts and ordinary shares of ABN AMRO Bank N.V. for a maximum total value of EUR 500 million and for a number of shares not exceeding the authority granted by the general meeting of shareholders on 20 April 2022 (10% of the issued shares). The share buyback programme will commence on 9 February 2023 and is expected to end no later than June 2023. ", "dimensions": { "concept": "ifrs-full:DisclosureOfEventsAfterReportingPeriodExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2022-01-01T00:00:00/2023-01-01T00:00:00" } } } }