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"value": "Risk taxonomybThe 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.The risk, funding & capital section has chapters dedicated to the traditional risk types. Insofar as climate and environmental risk is material for these risk types, this is described in the chapter of the risk type. For general disclosures on the bank\u2019s sustainability risk management framework, and specific information on management of environmental, social and governance risks and opportunities, please refer to the Sustainability Statements.Risk taxonomy bExternal causal factorsInternal causal factorsPolitics, (macro-)economy, society, technology, People, processes, systems, environmental, social and governance (ESG e.g. physical - balance sheet, products, clients, and transition risk), legislation and regulationreputation and behaviourEnterprise riskFinancial risk Operational (non-financial) riskInformationCredit risk Liquidity riskHR riskFraud riskData riskriskOutsourcing & Market risk in Business riskChange risk Compliance riskModel riskPhysical the Banking BookSecurity riskMarket risk in SustainabilityLegal risk Tax risk Behavioural riskthe Trading BookriskValue of the bank\u2022 Reputational\u2022 FinancialRisk appetite frameworkbOur risk appetite determines the level of risk that the bank is willing to take in order to pursue its strategy, and safeguards our strict focus. It is regularly evaluated and updated to ensure continuous alignment with our strategy.Strategic Risk Appetite StatementStrategic Risk Indicators Bank Risk Appetite StatementKey Risk IndicatorsClient Units RASLocal & Entities RASThe Strategic Risk Appetite Statement entails three focus areas, each of which is substantiated by a qualitative statement and concrete Strategic Risk Indicators (SRIs). The Strategic Risk Appetite Statement SRIs are further articulated in the bank-wide (BRAS) and Key Risk Indicators (KRIs), which are cascaded to client unit level risk appetite statement (RAS), local level (LRAS) and entity level (ERAS).The risk indicator framework consists of quantitative and/or qualitative SRIs and KRIs. A limit and checkpoint is set for every SRI and KRI, against which the actual risk profile is monitored. Examples of SRIs and KRIs in our risk appetite include: \u2022 Regulatory and internal capital ratios; \u2022 Risk-adjusted return measures; \u2022 Concentration limits for single counterparties, sectors and countries; \u2022 Economic capital and risk-weighted asset limits for various risk types; \u2022 Liquidity ratios (LtD, LCR, NSFR); \u2022 Market risk parameters (Supervisory Outlier Test on Net Interest Income and Supervisory Outlier Test on Economic Value of Equity); \u2022 Operational (non-financial) risk parameters (effectiveness of internal control environment); \u2022 Reputational risk parameter (NPS); \u2022 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 StatementbSustainable Financial business Soundnessmodel & Banking value creationfor better for generations to comeSound operatingenvironmentRisk governancebEffective risk management requires organisation-wide risk governance. Our risk and control structure is based on the \u2018three lines of defence\u2019 governance model, which has been designed to ensure risk is managed in line with the risk appetite approved by the Executive Board and Supervisory Board.Three lines of defenceThe three lines of defence (3LoD) model aims to clarify the relationship between risk takers and the internal control functions, and provides all employees within the bank with clarity regarding 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 defenceb1st Line 1 of Defence Risk Ownership Responsible for\u2022 Delivers value-added services to our clients\u2022 Takes primary ownership to identify and assess, measure, mitigate, monitor and report the risk that it incurs\u2022 Proposes the business line risk appetite and operates within it\u2022 Strikes the right balance between return and risk in its decisions\u2022 Seeks outside-in views and advice, where necessary\u2022 Ensure systems, processes and reporting capabilities are commensurate to its activities and risk appetite2nd Line 2of DefenceRisk Control & OversightResponsible for\u2022 Sets the bank-wide risk management framework\u2022 Sets risk policies and ensures regulations are translated into policies\u2022 Maintains risk control and oversight through monitoring, reporting and escalating, where necessary\u2022 Provides independent challenge and expertise to the First Line\u2022 Proactively opines on how to identify and mitigate risks\u2022 Provides outside-in views and ensures consistency in risk management practices across First Line3rd Line 3of DefenceRisk AssuranceResponsible for\u2022 Protects and enhances organisational value by providing risk-based and objective assurance, insight and added value to support the achievement of our objectives\u2022 Evaluates the design and effectiveness of Governance, Risk Management & Control processes, agrees with management on remediation and monitors follow-up \u2022 The first line of defence comprises 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 designing and executing effective and efficient controls. \u2022 The second line of defence consists of dedicated departments in the Risk Management organisation, which are responsible for setting the risk management framework within which the first line must operate. These dedicated departments are headed by risk type owners. \u2022 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.Board level oversightThe 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: \u2022 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; \u2022 the three lines of defence model at all levels of the bank; \u2022 a risk culture that addresses risk awareness and risk-taking behaviour in the bank; \u2022 key policies of the bank within the applicable legal and regulatory framework; \u2022 the bank\u2019s overall strategy, risk strategy and risk appetite; \u2022 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; \u2022 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 committeesThe Executive Board is responsible for setting, monitoring, reviewing and realising the bank\u2019s mission, vision, strategy, risk appetite and risk framework, 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 CommitteeThe 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 CommitteeThe 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 that have been set by the Executive Board. In addition, the CCC is also responsible for approving and monitoring large intercompany credit facilities.Group Regulatory CommitteeThe Group Regulatory Committee is mandated by the Executive Board to ensure there is a thorough 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.Stress testing and scenario analysis bABN AMRO uses stress testing and scenario analysis as an important risk management instrument, which entails 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 purposesABN AMRO applies stress testing for several purposes, including: \u2022 Business planning: various macroeconomic scenarios for budget purposes; \u2022 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; \u2022 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; \u2022 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; \u2022 Risk type-specific and client unit stress testing, such as market risk trading and banking book and mortgage stress testing; \u2022 Supervisory stress testing, based on prescribed scenarios and assumptions. This includes the stress test programme of the European Banking Authority (EBA), which is designed to assess banks\u2019 resilience to adverse economic or financial developments, and the ECB economy-wide climate stress test, which aims to evaluate the impact of alternative climate scenarios on the resilience of the bank.The figure below shows the stress testing and scenario analysis cycle.Stress test & scenario analysis cycleRiskidentificationScenario Management & scope actionselectionStress testing & scenario analysisSimulation Data sourcing, & impact models and analysis on methodologiesABN AMROCoknrdoucewt,goamverlfrnance&controScenario 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 and environmental-related risks are incorporated into our bank-wide stress testing framework by including specific events related to physical risks and drivers of transition risk, such as carbon prices (for definitions of physical and transition risks, please refer to the Risk chapter in the Sustainability Statements).Credit risk management approachbCredit 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. In addition, climate risks are also integrated into our risk management practices.Credit risk management processbThe following figure presents a simplified overview of the credit risk management process.Credit acceptanceCredit risk monitoring Restructuring Loan approval andBusiness and risk and Recovery disbursement control functions High-risk monitoringjointly responsibleNon-programme Risk assessment 1Regular monitoringlendingby client unitRestructuringCustomised loans, Continual update of mostly Wealth risk governance, Analysis and credit Increased riskManagement, management and decision by credit risk Corporate Banking policiesfunctionand Business Recovery Intensive monitoringBanking Processes reflect 2(\u2018Watch\u2019)guidelines for credit (within P&BB) Loan disbursement risk managementFor programme lending, Product-specific standards are establishedProgramme Credit decision lendingbased on credit Account maintenanceRestructuringSustainability risk score and policy rulesStandardised assessment for larger loans, mostly OOEs and/or Personal Banking periodically on (within P&BB)portfolio levelLoan disbursement Default prevention Recovery 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.PlanningWithin 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 acceptanceFor 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.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 monitoringConsistent 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 has been fully repaid and/or the limit has been cancelled.Depending on whether a facility is considered programme or non-programme lending, a time-based or event-based review applies. 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 on the basis of pre-defined triggers for risk based credit reviews. For non-programme lending, all counterparties are subject to at least an annual review. The review takes into consideration not only changes in risk profile, financial position, creditworthiness compared to the criteria and the assessment at the point of loan origination, but also climate and environmental risk.If a situation arises in which an individual counterparty shows signs of credit risk deterioration and an 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 & RecoveryNon-programme lending credit facilities that are subject to a default event are mandatorily transferred to the Financial Restructuring & Recovery department (FR&R). 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 will devise a plan aimed either at rehabilitation or enhancement of the likelihood of full repayment. If a \u2018gone concern\u2019 approach is applicable and the Bank does not expect that the restructuring will result in the counterparty returning to a performing classification, the credit facility is transferred to the Recovery team.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.Programme lending contracts are transferred to the Late Collections 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 Flanderijijn) for debt collection.Through its restructuring and recovery activities, FR&R plays a significant role in the execution of the bank\u2019s non-performing exposure (NPE) strategy. In line with regulatory expectations, the NPE Strategy sets targets for reducing non-performing exposure in each business segment and for specific sectors with increased levels of non-performing loans.Credit concentration riskbCredit 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: \u2022 Single counterparty and groups of related counterparties (counterparty concentration); \u2022 Countries (geographic concentration); \u2022 Industries (industry concentration); \u2022 Products (product concentration). \u2022 Climate risk (physical and/or transition risk concentration).Counterparty concentrationCounterparty 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 interdependency due to a control relationship. This control relationship may be due 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.Geographic concentrationGeographic concentration risk is the risk of credit losses arising from events or circumstances specifically related to a country or location. 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.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 credit limits. Given that our strategic focus is on Northwest Europe, our country risk exposure has declined significantly in recent years.Industry concentrationIndustry 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 concentrationProduct 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 in residential mortgages, commercial real estate and leveraged loans, among others. In line with our risk appetite, ceilings are defined per product type.Climate risk concentrationConcentration of corporate exposures highly susceptible to climate transition risk is monitored. For managing climate risk in the residential mortgages book, the bank monitors the percentage of properties that have relatively high climate transition risks and are located in an area sensitive to climate physical risk. Please refer to the Sustainability Statements- Environment section for GHG financed emissions and climate risks in our real estate portfolios.Credit risk quality and impairmentbWe 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.ForbearanceForbearance 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.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: \u2022 The contract is considered performing; \u2022 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); \u2022 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; \u2022 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 exposuresA 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 on the first day that a counterparty is past due on any financial obligation.Forbearance life cyclebNon-forborneForborne Non-forborneDefaulted forbearance clientsremain defaulted for at least a year Cure Probation period Cease to be Performing\u2265 1 year\u2265 2 yearforborneForbearance measureEnd cure period End forbearance periodPerformingPerformingNon-performingAccounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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 measurementbThe 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.Probability of defaultThe Probability of Default (PD) indicates the likelihood that a counterparty or exposure defaults within a one-year time horizon. 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.Internal rating scale mapped to external ratingsUCR Low Mid High Standard & Poor\u2019s Moody\u2019s Fitch Grade Category(internal rating)PD%PD%PD%equivalentequivalentequivalentInvestment grade UCR 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 A+UCR 2 0.045 0.05 0.071 A 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 BBBUCR 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 Ba3 BBUCR 4- 1.285 1.65 2.225 BB- B1 B+UCR 5+ 2.225 3.00 4.243 B B2 BUCR 5 4.243 6.00 8.485 B- Caa B-UCR 5- 8.485 12.00 16.971 CCC/C Caa CCC/CUCR 6+ 16.971 24.00 99.999 CCC/C Ca CCC/CDefault UCR 6-8 100 D C-D DRating assignmentFor non-programme lending, the ratings are individually assigned to each obligor (PD) and facility (LGD) by the business account manager (first line of defence) and approved by credit risk (second line of defence). 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 defaultLoss 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.Exposure at defaultExposure 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 riskRegulatory capitalFor 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 the financial institutions and project finance portfolios the Foundation Internal Rating Based (F-IRB) approach is applied, meaning that only internal estimates of PD are used to calculate credit risk RWA. The LGD and EAD models for these portfolios are still used for internal purposes such as origination, pricing, monitoring and reporting. 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 uses standard risk weights to be applied to the exposure value in order to calculate RWA.Economic capitalThe 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 liabilitiesbFinancial 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 instrumentsbEnforceable 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 overviewb(in millions) 31 December 2023 31 December 2022Cash and balances at central banks 53,656 60,865Financial assets held for trading 1,371 907Derivatives 4,403 5,2121Financial investments41,501 39,034Securities financing 21,503 20,032Loans and advances banks2,324 2,982Loans and advances customers245,935 243,927Other assets 5,351 4,4731Less: Other546 425Other assets4,805 4,047On-balance sheet maximum exposure to credit risk 375,496 377,007Off-balance sheetCommitted credit facilities53,968 53,873Guarantees and other commitments 6,289 7,651Revocable credit facilities 31,710 34,347Off-balance sheet credit facilities and guarantees91,967 95,8722Maximum exposure to credit risk467,463 472,8792, 3Adjustments on assets2,680 4,7054Valuation adjustments7,226 9,797Offsetting and netting-28,194 -26,557Off-balance sheet credit facilities and guarantees -91,967 -95,872Off-balance sheet exposure fraction expected to be drawn prior to default (credit conversion factors) 28,816 26,112Total Exposure at Default 386,024 391,065Credit risk RWA / Total Exposure at Default 31.7% 28.3%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.The above table shows the maximum exposure to credit risk and reconciliation with the total exposure at default. Exposure at default is predominantly used for the determination of regulatory and economic capital.Overall credit risk EAD and RWAb31 December 2023Original Less: Netting/3EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions) DerivativestransactionsCredit risk IRB1Institutions9,875 702 9,173 716 1,593 2,180 23.8%Corporates 134,326 34,514 99,812 1,982 1,577 55,693 55.8%Retail 167,328 4,981 162,347 17,563 10.8%- of which secured by immovable property 157,349 505 156,844 15,917 10.1%- of which qualifying revolving exposures5,352 3,955 1,397 139 9.9%- of which other retail 4,627 521 4,106 1,507 36.7%Securitisation positions 2,205 2,205 277 12.6%Subtotal 313,734 40,197 273,537 2,698 3,171 75,714 27.7%Equities not held for trading 1,064 1,064 3,549 333.6%2Other2,063 2,063 33,883 1642.1%Total IRB 316,861 40,197 276,664 2,698 3,171 113,146 40.9%Credit risk SACentral governments and central banks84,348 -327 84,675 56 190 347 0.4%1Institutions25,703 10,199 15,503 3,764 4,595 1,304 8.4%Corporates 19,030 12,978 6,053 1,167 1,078 5,278 87.2%Retail 4,708 2,439 2,269 1,703 75.1%Secured by mortgages on immovable property 656 15 642 233 36.3%Exposures in default 511 349 162 1 219 134.7%Credit valuation adjustment 261Subtotal 134,956 25,652 109,304 4,988 5,863 9,344 8.5%2Other56 56 57 102.2%Total SA 135,012 25,652 109,360 4,988 5,863 9,402 8.6%Total 451,874 65,849 386,024 7,686 9,034 122,548 31.7%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 2022Less: Netting/3Original EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions) DerivativestransactionsCredit risk IRB1Institutions8,900 917 7,983 695 1,618 1,847 23.1%Corporates 134,776 33,693 101,083 1,709 1,471 53,501 52.9%Retail 165,991 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 retail 4,696 673 4,023 1,323 32.9%Securitisation positions 2,043 2,043 253 12.4%Subtotal 311,711 40,077 271,634 2,404 3,089 72,492 26.7%Equities not held for trading 824 824 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%Corporates 21,583 14,790 6,793 1,233 827 5,854 86.2%Retail 5,787 2,697 3,090 2,272 73.5%Secured by mortgages on immovable property 438 4 434 152 35.1%Exposures in default 467 344 123 158 128.4%Credit valuation adjustment 274Subtotal 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.Credit quality by exposure classb31 December 2023Investment Sub-investment (in millions, Exposure at Default)gradegrade Impaired TotalCentral governments and central banks1Institutions8,890 283 9,173Corporates 48,964 47,861 2,987 99,8122Retail133,993 26,773 1,582 162,347- of which secured by immovable property131,115 24,300 1,429 156,844- of which qualifying revolving exposures 1,231 142 24 1,397- of which other retail1,647 2,331 129 4,106Securitisation positions 2,205 2,2053Total IRB194,052 74,916 4,569 273,5374Total SA109,3043, 4Total IRB and SA382,84131 December 2022Sub-investment Investment gradegrade Impaired TotalCentral governments and central banks1Institutions7,813 170 7,983Corporates48,776 48,823 3,483 101,0832Retail132,134 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 2,0433Total IRB190,767 75,927 4,940 271,6344Total SA116,5823, 4Total IRB and SA388,2161 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 For Retail exposures a probability of default is estimated and mapped to investment grade or sub-investment grade, according to our internal rating scale, which can be found in the Credit Management section.3 Total Exposure at Default does not include EAD calculated for equities not held for trading and other non-credit obligations.4 Exposure at Default does not include EAD calculated for other non-credit obligations.EAD decreased to EUR 386.0 billion (31 December 2022: EUR 391.1 billion), largely caused by the decrease in loans and advances and partly offset by a lower fair value adjustment from hedge accounting on residential mortgages.Total RWA rose to EUR 140.2 billion (31 December 2022: EUR 128.6 billion), predominantly driven by credit risk RWA. Credit risk RWA was up because of a new model risk add-on, the migration of specific portfolios from the Advanced IRB approach (A-IRB) to the Foundation IRB (F-IRB) and Standardised Approach (SA), partly offset by a decline in EAD. Market risk RWA increased by roughly EUR 175 million over the year. CVA risk RWA (counterparty credit risk) declined slightly over the year, while operational risk RWA declined by EUR 0.5 billion. At 31 December 2023, RWA add-ons for regulatory matters amounted to approximately EUR 23 billion (31 December 2022: approximately EUR 15.7 billion).Credit quality by internal rating scale mapped to stagesbThe 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. Reference is made to the Credit risk management section for more information on internal ratings and stage determination.31 December 2023 31 December 202244(in millions) PD scale UCR range Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalResidential mortgages0.000 - < 0.035 1 31 31 43 430.035 - < 0.127 2 63,726 1,583 65,309 64,113 1,438 65,5510.127 - < 0.465 3 51,973 2,824 54,797 50,689 2,286 52,9750.465 - < 2.225 4 22,404 3,808 26,212 24,677 2,442 27,1192.225 - < 16.971 5 457 2,366 2,823 889 2,518 3,40716.971 - < 100 6+ 79 535 613 38 486 524100 6-8 1,292 1,292 1,143 1,1431No ratingTotal residential mortgages138,671 11,115 1,292 151,078 140,450 9,169 1,143 150,762Consumer loans0.000 - < 0.035 1 625 2 628 661 4 6650.035 - < 0.127 2 797 5 802 1,492 6 1,4980.127 - < 0.465 3 2,708 43 2,751 2,748 130 2,8780.465 - < 2.225 4 2,728 185 2,914 3,444 223 3,6672.225 - < 16.971 5 118 158 276 280 290 57016.971 - < 100 6+ 681 73 755 496 96 591100 6-8 255 255 363 3631No ratingTotal consumer loans 7,658 467 255 8,380 9,121 749 363 10,232Corporate loans0.000 - < 0.035 1 11,791 77 11,867 8,964 122 9,0860.035 - < 0.127 2 8,429 140 8,569 9,677 253 9,9310.127 - < 0.465 3 19,018 1,565 20,583 16,678 2,499 19,1780.465 - < 2.225 4 27,152 4,460 31,612 27,925 7,042 34,9672.225 - < 16.971 5 1,990 3,004 4,994 3,137 3,478 6,61516.971 - < 100 6+ 4,935 1,062 5,997 2,709 559 3,267100 6-8 3,152 3,152 3,666 3,6661No rating8 8 13 9 22Total corporate loans73,324 10,308 3,152 86,784 69,103 13,963 3,666 86,731Other loans0.000 - < 0.035 1 15,339 37 15,376 14,776 37 14,8130.035 - < 0.127 2 8,205 8,205 8,988 8,9880.127 - < 0.465 3 3,586 3,586 4,607 4,6070.465 - < 2.225 4 2,996 2,996 1,946 1,9462.225 - < 16.971 5 71 7116.971 - < 100 6+ 26 14 40 46 36 82100 6-8 8 8 4 41No rating117 117 7 72Total other loans30,268 51 8 30,327 30,442 73 4 30,519Loan commitments and financial guarantee contracts0.000 - < 0.035 1 4,328 4 4,332 5,232 5,2330.035 - < 0.127 2 15,934 117 16,051 13,299 254 13,5530.127 - < 0.465 3 14,317 657 14,974 14,156 1,691 15,8470.465 - < 2.225 4 15,073 1,644 16,717 15,582 3,333 18,9152.225 - < 16.971 5 608 867 1,475 1,136 816 1,95216.971 - < 100 6+ 1,823 217 2,040 765 114 880100 6-8 965 965 700 7001No rating58 58 15 15Total loan commitments and financial 3guarantee contracts52,141 3,507 965 56,613 50,187 6,209 700 57,095Total0.000 - < 0.035 1 32,114 121 32,235 29,677 163 29,8400.035 - < 0.127 2 95,958 1,844 97,801 97,570 1,951 99,5210.127 - < 0.465 3 91,602 5,089 96,691 88,879 6,606 95,4860.465 - < 2.225 4 70,353 10,098 80,451 73,575 13,040 86,6152.225 - < 16.971 5 3,174 6,395 9,569 5,513 7,102 12,61516.971 - < 100 6+ 8,678 1,901 10,579 4,054 1,291 5,344100 6-8 5,672 5,672 5,874 5,8741No rating183 183 35 9 44Total 302,062 25,447 5,672 333,181 299,303 30,162 5,874 335,3391 Up till 31 December 2022 clients with a missing UCR-rating were reported under UCR6+, in line with treatment under Basel framework. From 31 December 2023 onwards they are reported in a separate category. Comparative figures have been adjusted.2 Total other loans includes Banks, Securities Financing and Government and official institutions.3 Total loan commitments and financial guarantee contracts exclude performance letters of credit.4 Including POCI.Compared to year-end 2022, the largest part of ABN AMRO\u2019s portfolio continues to be classified in the highest and medium internal ratings of stage 1. Stage 2 clients are primarily in the medium internal UCRs, primarily visible for corporate- and mortgage loans. Furthermore, the share of the portfolio with an investment grade (UCR 1 to UCR 3 bucket) increased marginally, mainly due to higher investment grade in corporate- and mortgage loans; the former resulting from higher trading positions of Clearing clients and the latter from new loan originations and overall improved client ratings.Approximately 3% 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 calculation purposes.Credit risk concentrationbGeographic concentrationThe 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.Geographic concentration by EADb31 December 2023Rest of (in millions, Exposure at Default) The Netherlands Rest of Europe USA Asiathe world Total1Institutions1,173 6,517 765 188 531 9,173Corporates 60,206 32,906 1,533 591 4,576 99,812Retail 161,714 469 54 71 39 162,347- of which secured by immovable property156,242 444 53 68 37 156,844- of which qualifying revolving exposures 1,397 1,397- of which other retail 4,076 25 1 3 2 4,106Securitisation positions 2,205 2,2052Total IRB225,297 39,892 2,352 850 5,145 273,5373Total SA61,173 32,830 10,307 2,934 2,060 109,3042, 3Total IRB and SA286,471 72,722 12,659 3,785 7,205 382,8412, 3Percentage of total IRB and SA74.8% 19.0% 3.3% 1.0% 1.9% 100.0%31 December 2022Rest of the The Netherlands Rest of Europe USA Asiaworld Total1Institutions1,151 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 property 154,613 426 45 61 29 155,174- of which qualifying revolving exposures 1,328 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 1,906 116,5822, 3Total IRB and SA297,817 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%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.Our exposure in the Netherlands decreased to 74.8% of the bank\u2019s portfolio (2022: 76.7%), as a result of lower exposure to the central bank (treated under the standardised approach) and the expansion of our activities in the rest of Europe. Clients in the rest of Europe are primarily located in neighbouring countries like Belgium, France and Germany. As the wind-down of the non-core CB portfolio has been finalized, our exposure in countries outside Europe remained approximately at the same level. Exposure in the USA is largely related to our clearing activities.Industry concentrationb31 December 2023 31 December 2022Gross carrying Percentage Gross carrying Percentage 3, 43, 4(in millions)amountof totalamountof totalLoans and advances banks 2,327 0.9% 2,990 1.2%1Financial services22,673 8.9% 21,734 8.4%Industrial goods and services 15,482 6.1% 16,763 6.5%Real estate15,896 6.2% 16,953 6.6%Oil and gas2,059 0.8% 2,565 1.0%Food and beverage 10,473 4.1% 9,953 3.9%Retail 4,347 1.7% 4,478 1.7%Healthcare 3,557 1.4% 3,736 1.4%Construction and materials 2,487 1.0% 3,010 1.2%Travel and leisure 2,902 1.1% 3,012 1.2%Utilities 2,777 1.1% 2,214 0.9%Automobiles and parts 1,949 0.8% 1,525 0.6%Technology2,348 0.9% 1,709 0.7%2Other7,249 2.8% 7,292 2.8%Total industry classification benchmark 94,199 36.9% 94,943 36.8%Private individuals (non-industry classification benchmark)158,255 62.0% 159,650 61.8%Public administration (non-industry classification benchmark) 285 0.1% 629 0.2%Total non-industry classification benchmark 158,540 62.2% 160,279 62.1%Total loans and advances customers 252,739 99.1% 255,222 98.8%3Total loans and advances255,066 100.0% 258,212 100.0%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.Compared to 2022, loans and advances to industry marginally declined. The movements in the industries were broadly in line with our strategy, visible in increased exposures to technology and utilities sectors and decline in the oil and gas sector.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 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.Management of forborne, past due and credit-impaired loansbCredit risk reporting scopeAlthough 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 are 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.Total loans and advances customersb31 December 2023 31 December 2022Fair value Less: Fair value Less: Gross adjustment Less: loan amortisation Gross adjustment Less: loan amortisation carrying from hedge impairment and depre-Carrying carrying from hedge impairment and depre-Carrying 33(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks 2,327 3 2,324 2,990 8 2,982Residential mortgages 151,078 -6,005 198 144,875 150,762 -9,489 153 141,1211Consumer loans8,380 147 8,233 10,232 277 9,9551Corporate loans86,784 96 1,254 85,626 86,731 154 1,590 85,295Other loans and advances 1customers6,497 3 6,494 7,497 5 7,491Total loans and 1advances customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Total loans and 1advances255,066 -5,909 1,605 247,551 258,212 -9,335 2,034 246,844Other 134,409 -1,640 187 2,224 130,358 138,201 -3,119 123 2,222 132,738Total assets 389,474 -7,549 1,792 2,224 377,909 396,414 -12,454 2,157 2,222 379,581Loans and advances 1customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Consumer loans at 2fair value through P&L648 648Corporate loans at fair value through P&L 59 59 66 66Total loans and advances customers 253,446 -5,909 1,602 245,935 255,288 -9,335 2,026 243,9271 Excluding loans at fair value through P&L.2 As a result of the implementation of IFRS 17 Insurance contracts, residential mortgages with an insurance feature and consumer loans with a death waiver have to be recorded at fair value through profit and loss.3 Excluding fair value adjustments from hedge accounting.Fair value adjustments from hedge accounting for residential mortgages and corporate loans result from entering into interest rate swaps to protect against changes in the fair value of fixed-rate assets due to changes in market interest rates. The fair value adjustment for mortgages decreased due to lower market interest rates.Forborne exposuresClients 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 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.Overview of forborne assetsb31 December 2023Performing assetsNon-performing assetsTotal Tem-Perma-Total per-Tem-Perma-non-per-Gross porary nent forming porary nent forming Total Forbe-carrying modifi-modifi-Refi-forborne modifi-modifi-Refi-forborne forborne arance 2amountcationcationnancingassetscationcationnancingassetsassetsratio(in millions)Loans and advances banks 2,327 0.0%Residential mortgages 151,078 516 14 531 506 10 1 517 1,048 0.7%1Consumer loans8,380 20 27 47 11 40 6 56 103 1.2%1Corporate loans86,784 564 1,548 370 2,482 294 1,303 288 1,884 4,367 5.0%Other loans and advances 1customers6,497 2 2 2 0.0%Total loans and advances 1customers252,739 1,101 1,589 371 3,060 810 1,352 296 2,459 5,519 2.2%1Total loans and advances255,066 1,101 1,589 371 3,060 810 1,352 296 2,459 5,519 2.2%Loans at FV through P&L 707 1 1 2 12 2 14 16 2.2%Total loans and advances 255,773 1,102 1,590 371 3,062 822 1,354 296 2,472 5,535 2.2%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.31 December 2022Performing assetsNon-performing assetsTotal Tem-Perma-Total per-Tem-Perma-non-per-Gross porary nent forming porary nent forming Total Forbear-carrying modifi-modifi-Refi-forborne modifi-modifi-Refi-forborne forborne ance 3amountcationcationnancingassetscationcationnancingassetsassetsratio(in millions)Loans and advances banks 2,990 0.0%Residential mortgages 150,762 545 22 2 569 489 15 503 1,072 0.7%1Consumer 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%Other loans and advances 1customers7,497 0.0%Total loans and advances 1, 2customers255,222 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1, 2Total loans and advances258,212 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%Loans at FV through P&L 66Total loans and advances 258,278 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.In 2023 the forbearance ratio improved to 2.2% (31 December 2022: 2.7%). Corporate loans and consumer loans with forbearance measures declined significantly as many clients that had received forbearance measures during the Covid pandemic came to the end of their minimum two-year probation period. Assets for mortgages remained largely unchanged. After three years of increased forbearance, forborne assets are back at their pre-Covid-19 level. Most of the recently applied forbearance measures are temporary. Approximately 35% of the total forborne exposures are now subject to a temporary measure (31 December 2022:approximately 30%), with the remainder relating to permanent measures such as covenant waivers and refinancing.Past due not classified as stage 3b31 December 2023Days 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 2,327 2,327 0.0%Residential mortgages 151,078 149,786 1,204 6 2 1,211 0.8%1Consumer loans8,380 8,125 90 17 37 143 1.7%1Corporate loans86,784 83,631 359 205 76 640 0.7%1Other loans and advances customers6,497 6,489 4 4 0.1%1Total loans and advances customers252,739 248,031 1,657 227 114 1,999 0.8%1Total loans and advances255,066 250,358 1,657 227 114 1,999 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.31 December 2022Days 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 2,990 2,990 0.0%Residential mortgages 150,762 149,619 879 52 7 939 0.6%1Consumer 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%1, 2Total loans and advances customers255,222 250,047 1,623 284 131 2,038 0.8%1, 2Total 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 which are transferred to impaired. Below these thresholds, amounts are reported on > 90 days past due.Past due exposuresWhen 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.Total arrears remained stable at EUR 2.0 billion, or 0.8% of total loans and advances, comparable to the position at 31 December 2022. Residential mortgages in arrears rose by EUR 0.3 billion, from 0.6% to 0.8%. The increase was particularly in the short-term bucket. Corporate loans in arrears registered a strong decline of EUR 0.3 billion, thus improving the past due ratio from 1% to 0.7%. This result was helped by increased efforts to monitor arrears.Coverage and stage ratiosb31 December 2023 31 December 2022Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 2323(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,290 3 0.1% 98.4% 2,953 8 0.3% 98.8%Residential mortgages 138,671 24 0.0% 91.8% 140,450 21 0.0% 93.2%1Consumer loans7,658 18 0.2% 91.4% 9,121 30 0.3% 89.1%1Corporate loans73,324 192 0.3% 84.5% 69,103 256 0.4% 79.7%1Other loans and advances customers6,475 0.0% 99.7% 7,457 0.0% 99.5%1Total loans and advances customers226,128 234 0.1% 89.5% 226,130 308 0.1% 88.6%Stage 2Loans and advances banks 37 0.0% 1.6% 37 0.0% 1.2%Residential mortgages 11,115 49 0.4% 7.4% 9,169 57 0.6% 6.1%1Consumer loans467 11 2.4% 5.6% 749 36 4.8% 7.3%1Corporate loans10,308 228 2.2% 11.9% 13,963 301 2.2% 16.1%1Other loans and advances customers14 1 7.9% 0.2% 36 2 5.6% 0.5%1Total loans and advances customers21,903 289 1.3% 8.7% 23,917 396 1.7% 9.4%Stage 3 and POCILoans and advances banksResidential mortgages 1,292 125 9.7% 0.9% 1,143 75 6.6% 0.8%1Consumer loans255 118 46.3% 3.0% 363 211 58.2% 3.5%1Corporate loans3,152 833 26.4% 3.6% 3,666 1,033 28.2% 4.2%1Other loans and advances customers8 2 27.1% 0.1% 4 3 83.9% 0.0%1Total loans and advances customers4,707 1,079 22.9% 1.9% 5,175 1,322 25.6% 2.0%Total of stages 1, 2, 3 and POCITotal loans and advances banks 2,327 3 0.1% 2,990 8 0.3%Residential mortgages 151,078 198 0.1% 150,762 153 0.1%1Consumer loans8,380 147 1.8% 10,232 277 2.7%1Corporate loans86,784 1,254 1.4% 86,731 1,590 1.8%1Other loans and advances customers6,497 3 0.1% 7,497 5 0.1%1Total loans and advances customers252,739 1,602 0.6% 255,222 2,026 0.8%1Total loans and advances255,066 1,605 0.6% 258,212 2,034 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2023: EUR 1 million; 31 December 2022: EUR 1 million).The stage 1 ratio improved to 89.5% (31 December 2022: 88.6%), partly due to the positive impact of macroeconomic scenarios used to calculate the provision. As the macroeconomic outlook improved, fewer clients showed a significant increase in credit risk (SICR), as measured by their life-time probability of default. Particularly in residential mortgages, a relatively improved outlook for the housing market supported the shift from stage 2 to stage 1. The stage 3 ratio increased only marginally from 0.8% to 0.9% due to portfolio changes. The decline in the coverage ratios of both stage 2 and stage 3 loans was largely attributable to the releases of management overlays.Purchased or Originated Credit Impaired (POCI)At 31 December 2023, loans classified as POCI amounted to EUR 5 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report.Exposure and impairment flowsThis 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 advancesb2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,421Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 228,023 23,851 5,091 256,965 233,537 21,183 6,701 261,421Transfer to stage 1 8,542 -8,417 -125 7,771 -7,662 -110Transfer to stage 2 -11,135 12,130 -996 -14,007 15,050 -1,044Transfer to stage 3 -1,131 -1,116 2,247 -864 -932 1,796Additional drawdowns and partial repayments -11,950 199 -8 -11,759 -25,287 -73 -71 -25,430Originated or purchased 37,428 37,428 48,595 48,595Matured or repaid -20,909 -4,609 -1,198 -26,715 -21,365 -3,728 -1,515 -26,608Write-offs -334 -334 -622 -623Foreign exchange -484 -92 -18 -594 826 44 38 908Other movements 33 -7 48 74 -123 71 1 -51Balance at 31 December 228,418 21,940 4,707 255,066 229,084 23,954 5,175 258,2121 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 marginally compared to 31 December 2022. The largest decrease was recorded for consumer loans, due to some of the loans being sold to a third party and also to the change in accounting treatment to IFRS17 for consumer loans with contingent elements. Other loans, too, showed a significant fall, primarily driven by seasonal business movements within Clearing Bank.The decrease in consumer and other loans was partly off-set by a marginal increase in residential mortgages.The amount of total stage 2 and stage 3 loans decreased markedly, due to a large amount of matured or repaid loans. In addition, stage transfers and write-offs for stage 3 also contributed to the overall decrease.Exposure flows per product class are presented in the Additional risk, funding & capital disclosures section.Loan impairment charges and allowancesb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2022 8 153 277 1,590 5 2,034 51Impact adopting IFRS 17 -100 -100Balance at 1 January 2023 8 153 177 1,590 5 1,934 51Transfer to stage 1 -4 -5 -20 -28 -1Transfer to stage 2 7 -1 -14 -9 2Transfer to stage 3 24 30 133 2 188 171Remeasurements-5 35 -15 -112 -4 -101 47Changes in risk parameters 3 6 -35 -26 -4Originated or purchased 4 3 32 39 8Matured or repaid -17 -8 -54 -79 -9Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Write-offs -1 -58 -274 -334Unwind discount / unearned interest accrued 2 3 29 1 34Foreign exchange and other movements -7 15 -20 -12 -1Balance at 31 December 2023 3 198 147 1,254 3 1,605 1092023Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Recoveries and other charges (releases) -14 -29 -67 -111 -902Total impairment charges for the period-5 37 -19 -139 -3 -128 -301 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 but also affected due to reclassification to IFRS17.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2021 10 82 276 2,053 4 2,426 153Transfer to stage 1 -3 -9 -21 -33 -2Transfer to stage 2 4 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters 57 12 61 130 2Originated or purchased 7 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 accrued 1 5 25 32Foreign exchange and other movements 3 27 29 8Balance at 31 December 2022 8 153 277 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 822Total 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.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2022: EUR 0 million.Loan impairment charges and allowances per stageb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 316 396 1,322 2,034 172 360 1,894 2,426Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 310 376 1,247 1,934 172 360 1,894 2,426Transfer to stage 1 109 -128 -10 -28 57 -74 -16 -33Transfer to stage 2 -41 90 -58 -9 -31 153 -107 15Transfer to stage 3 -15 -59 261 188 -17 -40 209 1521Remeasurements-125 44 -20 -101 50 23 -103 -30Changes in modelsChanges in risk parameters-31 -1 6 -26 44 56 30 130Originated or purchased 39 39 55 55Matured or repaid-11 -16 -53 -79 -14 -26 -79 -119Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Write-offs -334 -334 -622 -623Unwind discount / unearned interest accrued 34 34 32 32Foreign exchange and other movements 2 -18 4 -12 -1 -55 84 29Balance at 31 December 237 289 1,079 1,605 316 396 1,322 2,034Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Recoveries and other charges (releases) -111 -111 -103 -103Total impairment charges for the period -75 -69 16 -128 145 91 -169 671 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 but also affected by reclassification to IFRS17.2 Including POCI.An impairments release of EUR 158 million (EUR 128 million on balance and EUR 30 million off balance) was recorded for 2023 (2022: additions of EUR 39 million). Releases were attributable to a reduction of management overlays and other adjustments, partly offset by new and existing individually provisioned files.For corporate loans, releases of EUR 139 million were recorded in 2023 (2022: addition of EUR 39 million). This was caused by a decrease in adjustments due to recalibration and review of the IFRS9 models. In addition, the management overlays related to Covid-19 were terminated and the management overlay related to the geopolitical and market sensitivity was lowered. A further wind-down of our corporate portfolio also contributed to the release of impairments. This was partly offset by the introduction of a management overlay of EUR 25 million for climate transition risk, following the update of the climate and environmental risk materiality assessment.For residential mortgages, charges of EUR 37 million were recorded (2022: EUR 56 million). This was caused by the increase of management overlay for interest only mortgages, due to inherent credit risk not fully captured in our models.Individual and collective loan impairment allowances and management overlaysb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 352 695 2 750 78Total individual impairments 52 695 2 750 78Collective impairmentsStage 13 24 18 192 237 16Stage 2 49 11 228 1 289 121Stage 3125 66 138 329 3Total collective impairments3 198 95 558 1 855 31- of which management overlay 83 177 260Total impairments 3 198 147 1,254 3 1,605 109Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance 1,292 255 3,152 8 4,70731 December 2022Individual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 1 8 21 30 256 316 25Stage 2 57 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay 26 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 allowance 1,143 363 3,666 4 5,1751 Including POCI.During 2023, management overlays decreased to a total of EUR 260 million (31 December 2021: EUR 328 million). Overlays were mainly in place for risks in the corporate loans portfolio and comprised the following items: \u2022 A management overlay of EUR 86 million (31 December 2022: EUR 123 million) that is applied for the geopolitical effects that are not fully captured by the latest projections in our macroeconomic scenarios (previously: overlay for the war in Ukraine) \u2022 To cover anticipated additional risk costs relating to the wind-down of portfolios an overlay of EUR 31 million is in place. As the wind-down of the CIB non-core portfolio was completed this overlay was lowered in 2023 (31 December 2022: EUR 61 million) \u2022 A new overlay of EUR 25 million was introduced for climate transition risk, following an update of the climate and environmental risk materiality assessment \u2022 The overlay that was formed for the potential impact of the government\u2019s nitrogen reducing measures on clients in livestock farming businesses in the Netherlands amounting to EUR 35 million (31 December 2022: EUR 34 million)Management overlays to reflect the impact of covid-19 were ended, which led to a release of EUR 30 million. Furthermore a management overlay amounting to EUR 55 million at the end of 2022 that was introduced to capture potential differences between coverage ratios for collective provisions (MPS) and individual provisions (IPS) was also discontinued.Compared to 31 December 2022, management overlays for our mortgage portfolio increased as the overlay that covers the refinancing risk of interest-only mortgages was raised by EUR 57 million, to EUR 83 million.Macroeconomic scenarios in 2023bUnweighted Weighted 44(in millions) Weight Macroeconomic variable 2024 2025 2026 2027ECLECL1Real GDP Netherlands2.0% 2.0% 1.4% 1.2%Positive15% Unemployment23.7% 3.6% 3.5% 3.6% 7633House price index4.5% 2.0% 1.5% 2.5%Real GDP Netherlands 0.6% 1.1% 1.3% 1.2%Baseline60% Unemployment 4.1% 4.0% 4.0% 4.1% 822 855House price index 2.5% 0.5% 1.5% 2.0%Real GDP Netherlands -1.0% 1.0% 1.6% 1.4%Negative25% Unemployment 6.1% 5.6% 5.3% 5.1% 990House price index -7.5% -5.0% 1.3% 2.1%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.Macroeconomic scenarios in 2022bUnweighted Weighted 44(in millions) Weight Macroeconomic variable 2023 2024 2025 2026ECLECL1Real GDP Netherlands2.8% 2.6% 2.3% 1.6%Positive5% Unemployment23.9% 3.8% 3.7% 3.6% 1,0353House 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 1,138House 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% 1,240House 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.Credit risk mitigationbCollateral 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 guaranteesb31 December 2023Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureCarrying Less: Master Financial Other amount before balance-sheet netting instru-Property collateral - of which balance-sheet netting with Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettinggross liabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading 1,371 1,371 1,371Derivatives4,403 4,403 3,151 3,151 1,252Financial investments 41,501 41,501 41,501Securities financing 29,876 8,374 21,503 1,130 29,213 30,343 9,279 438Interest-bearing deposits 1,729 328 1,401 39 39 1,362Loans and advances729 729 490 489 980 487 236Other 194 194 194Total loans and advances banks 2,651 328 2,324 529 489 1,019 487 1,792Residential mortgages 150,880 150,880 2,567 271,233 613 274,413 128,748 5,216Consumer loans 8,233 8,233 3,444 4,501 55 8,000 2,874 3,107Corporate loans 86,413 883 85,530 1,812 36,311 52,909 3,717 94,749 39,523 30,304Other loans and advances customers6,494 6,494 203 36 5 244 15 6,264Fair value adjustment from hedge accounting -5,909 -5,909 -5,909Total loans and advances 1customers246,111 883 245,228 2,015 42,322 328,679 4,390 377,406 171,159 38,981Loans at fair value through P&L 707 707 1,385 1,385 988 309Total loans and advances customers 246,818 883 245,935 2,015 42,322 330,064 4,390 378,791 172,147 39,290Other assets 4,295 4,295 17 460 1,121 1,597 460 3,158Total on-balance sheet subject to netting and pledged agreements330,916 9,584 321,331 6,843 72,484 330,064 5,510 414,901 182,373 88,803Assets not subject to netting and pledged agreements 56,578 56,578 56,578Total assets 387,493 9,584 377,909 6,843 72,484 330,064 5,510 414,901 182,373 145,381Total off-balance sheet 91,967 91,967 2,640 10,739 807 14,186 4,963 82,745Total on- and off-balance sheet 479,461 9,584 469,876 6,843 75,124 340,803 6,317 429,087 187,336 228,1261 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 2022Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureCarrying Less: Master Financial Other amount before balance-sheet netting instru-Property collateral - of which balance-sheet netting with Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettinggross liabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading 907 907 907Derivatives 5,212 5,212 4,136 4,136 1,077Financial investments 39,034 39,034 39,034Securities financing 25,218 5,186 20,032 820 24,847 25,667 5,881 246Interest-bearing deposits 2,088 317 1,771 44 317 361 1,410Loans and advances 934 934 537 1,793 2,330 1,793 396Other 277 277 277Total loans and advances banks 3,300 317 2,982 582 1,793 317 2,692 1,793 2,083Residential mortgages 150,609 150,609 2,778 288,267 258 291,303 144,617 3,923Consumer loans 9,959 4 9,955 3,741 6,787 386 10,913 4,387 3,428Corporate loans 86,242 1,101 85,141 2,047 30,432 51,330 3,920 87,730 33,471 30,882Other loans and advances customers 7,491 7,491 377 50 19 446 18 7,064Fair value adjustment from hedge accounting -9,335 -9,335 -9,335Total loans and advances 1customers244,966 1,105 243,861 2,424 36,951 346,434 4,583 390,392 182,492 35,962Loans at fair value through P&L 66 66 66Total loans and advances customers 245,032 1,105 243,927 2,424 36,951 346,434 4,583 390,392 182,492 36,028Other assets 3,532 1 3,531 52 520 842 1,414 427 2,544Total on-balance sheet subject to netting and pledged agreements 322,235 6,609 315,626 8,013 64,110 346,434 5,742 424,300 190,593 81,919Assets not subject to netting and pledged agreements 63,955 63,955 63,955Total assets 386,190 6,609 379,581 8,013 64,110 346,434 5,742 424,300 190,593 145,875Total off-balance sheet 95,872 95,872 4,095 8,576 1,279 13,951 5,471 87,392Total on- and off-balance sheet 482,062 6,609 475,453 8,013 68,205 355,011 7,021 438,251 196,064 233,2671 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 decreased due to a reduction in property and equipment for residential mortgages, mainly due to falling house prices. As a result, surplus collateral also decreased. In the case of consumer loans, total risk mitigation and net exposure declined slightly. Financial instruments collateral increased alongside total risk mitigation for corporate loans. 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 increased to EUR 39.3 billion in 2023 (31 December 2022: EUR 36.0 billion). This was primarily driven by a lower fair value adjustment from hedge accounting, due to declining interest rates.Financial assets: offsetting, netting, collateral and guarantees for credit-impaired assetsbCollateral 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 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.31 December 2023Offset in the statement Not offset in the statement Net 4of financial positionof financial positionexposureCarrying Less: balance- Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and gua-Total risk surplus 123(in millions)nettingliabilitiesamountmentcollateralmentranteesmitigationcollateralLoans and advances banksResidential mortgages 1,167 1,167 11 2,015 2 2,028 862 1Consumer loans 137 137 11 67 4 82 23 78Corporate loans 2,319 2,319 762 1,674 156 2,592 711 438Other loans and advances customers 6 6 5 5 1Total loans and advances customers 3,629 3,629 784 3,756 167 4,707 1,596 518Total loans and advances 3,629 3,629 784 3,756 167 4,707 1,596 51831 December 2022Loans and advances banksResidential mortgages1,068 1,068 11 1,854 1 1,865 799 2Consumer loans151 151 23 71 11 105 32 79Corporate loans2,632 2,632 4 608 1,734 324 2,670 617 579Other loans and advances customers 1 1 1Total loans and advances customers 3,852 3,852 4 641 3,659 336 4,640 1,449 661Total loans and advances 3,852 3,852 4 641 3,659 336 4,640 1,449 6611 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.In line with the decrease in the stage 3 carrying amount (including POCI) to EUR 3.6 billion (31 December 2022: EUR 3.9 billion), total risk mitigation increased slightly to EUR 4.7 billion in 2023 (31 December 2022: EUR 4.6 billion). This increase was mainly observed in financial instruments and, to a lesser extent, property and equipment. The increase in property and equipment was caused by an increase for residential mortgages due to indexation. As the carrying amount of the stage 3 portfolio (including POCI) decreased, and the total risk mitigation increased, net exposure decreased by EUR 142 million to EUR 516 million at 31 December 2023.During 2023 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 at 31 December 2023 amounted to EUR 4 million (31 December 2022: 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 guaranteesb31 December 2023Offset 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 917 917 917Derivatives 2,856 2,856 1,994 1,994 861Securities financing 20,084 8,373 11,710 1,130 10,084 11,214 9,126 9,621Deposits 5,351 5,351 544 544 4,807OtherDue to banks 5,352 5,352 544 544 4,808Deposits 253,831 1,211 252,620 1,424 1,424 251,196Other borrowings 1,846 1,846 1,750 1,750 96Due to customers 255,677 1,211 254,466 3,174 3,174 251,292Other liabilities 5,741 5,741 2 5,743Total liabilities subject to netting arrangements 290,626 9,584 281,041 6,843 10,084 16,927 9,128 273,242Remaining liabilities not subject to netting 72,700 72,700 72,700Total liabilities 363,326 9,584 353,741 6,843 10,084 16,927 9,128 345,94231 December 2022Financial liabilities held for trading 641 641 641Derivatives 4,148 4,148 2,480 2,480 1,668Securities financing 14,839 5,186 9,652 820 13,798 14,618 6,478 1,512Deposits 17,531 32 17,499 688 688 16,811Other 10 10 10Due to banks 17,541 32 17,509 688 688 16,821Deposits 253,913 1,390 252,523 1,659 1,659 250,864Other borrowings 2,491 2,491 2,367 2,367 124Due to customers 256,405 1,390 255,015 4,026 4,026 250,989Other liabilities 5,187 1 5,187 5,187Total liabilities subject to netting arrangements 298,761 6,609 292,152 8,013 13,798 21,812 6,478 276,818Remaining liabilities not subject to netting 64,616 64,616 64,616Total liabilities 363,376 6,609 356,767 8,013 13,798 21,812 6,478 341,4341 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 bookbPositions 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: \u2022 Interest rate risk, arising from adverse changes in interest rate risk curves and/or interest rate volatilities; \u2022 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; \u2022 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 amount 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 bookbABN 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 procedureFor 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 capitalThe calculation of economic capital for market risk in the trading book is based on the daily VaR, SVaR and IRC at a 99.95% confidence level.Stress testing and scenario analysisStress 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 impact 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 positionsbABN 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).Internal aggregated diversified and undiversified VaR for all trading positionsb31 December 2023Foreign Total undiversified (in millions)exchange Interest rateVaR Diversified VaRVaR at last trading day of the period 0.1 3.0 3.1 3.1Highest VaR 0.4 8.2 8.3 8.3Lowest VaR 1.7 1.8 1.7Average VaR 0.1 3.9 4.0 3.931 December 2022VaR at last trading day of the period 0.2 4.1 4.3 4.2Highest VaR0.7 7.7 8.0 7.6Lowest VaR 7.5 0.8 0.8Average VaR 0.1 2.9 3.0 2.6Market risk management for the banking bookbABN 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.Interest rate risk in the banking bookInterest rate risk is the risk of losses in the economic value of equity or the bank\u2019s net interest income (NII) due to yield curve developments. In order to measure interest rate risk, models are used and assumptions on client behaviour are made, most importantly with respect to the maturity of savings and the prepayment of mortgages. These assumptions influence the anticipated interest cash flow pattern. Interest rate risk is continuously managed in line with the risk appetite, as the profile of assets and liabilities on the balance sheet can change if client behaviour changes.The main sources of interest rate risk are: \u2022 The maturity mismatch between assets and liabilities. ABN AMRO provides mortgages and commercial loans with fixed interest terms. These assets are funded by non-maturing deposits and wholesale funding with a shorter average interest maturity than the assets; \u2022 Client behaviour, which determines the maturity profile of some of our products. As we use models to predict this behaviour, we are exposed to model risk.ABN AMRO uses a combination of portfolio (macro) hedges and specific asset or liability (micro) hedges to manage the interest rate sensitivity in the banking book and keep it in line with the bank\u2019s strategy and risk appetite. Micro hedges are used to swap fixed funding transactions and fixed investments in the liquidity buffer for floating interest rate positions. In addition, macro hedging is applied in order to align with the bank\u2019s strategy to contribute to a stable NII while protecting the economic value of equity.Key assumptions for modelling client behaviourFrom an interest rate risk perspective, the following aspects of client behaviour are the most important: \u2022 Client behaviour with respect to early redemption of residential mortgages. This has a significant impact on the average interest maturity of the mortgage portfolio. Clients have the option to fully or partially prepay mortgages before maturity. Prepayments may be triggered by, for example, relocation, redemption or curtailment. An important driver of prepayments is the interest rate incentive, i.e. the difference between a client\u2019s current mortgage rate and prevailing mortgage rates. Future mortgage rates are simulated using a Monte Carlo approach. In addition to the interest rate incentive, other drivers such as loan age, seasonality and house price developments are also taken into account; \u2022 Client acceptance of the residential mortgage volume offered and the deviation between the offered rate and the actual coupon; \u2022 Client behaviour with respect to non-maturing deposits that are callable on demand. Future client rates for savings and current accounts are modelled using a replicating portfolio model. Modelled client rates depend on current or lagged yield curves and funding costs. A maximum maturity of 10 years is assumed. The resulting duration depends on product type and client behaviour.The metrics used for market risk in the banking book are dependent upon the assumptions made in the behavioural models. Models must therefore be based on extensive research, including historical data regarding observed client behaviour, and must be independently validated and approved by the mandated risk committees. Models are periodically assessed to determine whether they behave appropriately and are statistically sound; if required, they are adjusted.Risk measurement for interest rate riskInterest rate risk is measured by NII at risk, the present value of one basis point (PV01), and the economic value of equity (EVE) at risk. To ensure a comprehensive approach to risk management and identify potential weaknesses, the metrics are complemented by stress testing and scenario analysis. Stress testing and scenario analyses go beyond determining the impact of alternative developments of interest rates and include testing assumptions with respect to modelling and client behaviour. A combination of market and product floors is applied. These floors are reviewed periodically.For management purposes, the interest rate risk position is monitored by the Asset & Liability Committee (ALCO) on a monthly basis. The above metrics are also regularly reported to the Executive Board.Credit spread risk in the banking bookCredit spread risk is the risk of losses due to adverse movements in the credit spread of assets. The main source is from bonds held for liquidity purposes. It is measured as the impact on economic value of a 1bp change in spreads to a swap rate. The sensitivity is measured for individual term points, as well as for a parallel shift of the curve.Funding spread riskFunding spread risk is the risk of losses due to adverse movements in the term structure of rates at which ABN AMRO can fund itself \u2013 expressed as a spread to a benchmark such as EURIBOR. Funding spread movements can arise due to changes in, for example, the perceived credit quality of ABN AMRO, changes in the competitive environment or changes in liquidity premiums. They may be entity-specific or systemic by nature. If funding spreads widen, it costs more to fund assets on the balance sheet. Unless this increased spread is passed on to clients by increasing client rates, the projected net interest income will decrease. The funding spread risk is measured using an NII-at-risk approach whereby the funding spread increases.Foreign exchange riskForeign 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 euros. 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 euro.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.Risk management approachbThe 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 liquidity buffer consisting of a considerable amount of cash to survive the initial period of stress, and a portfolio of highly liquid assets that can swiftly 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 is managed centrally within ALM/Treasury. We incorporate liquidity costs into the pricing of our day-to-day business activities. In managing funding and liquidity risk, 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: \u2022 Stress testing: in monthly and ad-hoc stress tests we evaluate the impact of cash inflows and outflows under plausible stress scenarios, based on actual stress events. 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 liquidity risk management 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; \u2022 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; \u2022 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; \u2022 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; \u2022 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 risk 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 longer-term liquidity crisis. Contingency risk management entails: \u2022 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 position without unnecessarily jeopardising commercial activities, while limiting excessive funding costs in severe market circumstances; \u2022 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 our liquidity risk management framework; \u2022 Collateral posting to guarantee access to critical Financial Market Infrastructures (FMI): access to critical FMI is essential in conducting our business and collateral requirements may increase in times of stress. We monitor these potential additional collateral postings in our liquidity risk management framework; \u2022 Liquidity buffer: 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 covered bonds and cash.Liquidity buffer compositionb31 December 2023 31 December 2022Liquidity LCR Liquidity LCR buffereligiblebuffereligible(in billions, liquidity value) Level 1 Level 2 Level 1 Level 21Cash & central bank deposits51.4 51.4 58.6 58.6Government bonds 26.9 27.0 0.5 27.3 25.1 2.4Supra national & Agency bonds 10.1 10.5 9.1 9.5Covered bonds 5.0 4.6 0.1 2.9 2.5 0.2Retained covered bonds 16.1 5.5Other0.2 0.2 0.1 0.1Total liquidity buffer 109.7 93.5 0.8 103.6 95.7 2.7- of which ESG bonds 4.4 4.5 3.2 3.4- of which in EUR 90.7% 89.5%- of which in other currencies 9.3% 10.5%1 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.The 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.Our aim for the end of 2023 was to increase the green, social and sustainable (ESG) investments in the liquidity portfolio to EUR 3.5 billion. The liquidity value of our ESG bond holdings at 31 December 2023 amounted to EUR 4.4 billion (31 December 2022: EUR 3.2 billion), which represented 8% of total bonds in the liquidity buffer. Targeted investments are bonds where the proceeds are invested in a sustainability instrument in line with the Green Bond Principles, the Social Bond Principles or a combination of the two. Such bonds\u2019 inclusion in the liquidity portfolio is subject to availability of ESG Reporting, a thorough project selection process and sound management of proceeds. To preserve the portfolio\u2019s high quality and liquidity value, 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, we aim to support the growth of this market.Liquidity buffer currency diversificationb(in billions, liquidity value) 31 December 2023 31 December 2022EUR 99.5 92.7USD 8.0 8.2JPY 0.6 2.5GBP0.2 0.2SGD 1.4Total 109.7 103.6The previous table shows the breakdown per currency in the liquidity buffer. The currency composition reflects the composition of the balance sheet, which mainlyconsists of EUR and USD exposures. The monthly averages of the liquidity buffer are shown in the following table.Liquidity buffer composition - monthly averageb(in billions, liquidity value) 2023 20221Cash & central bank deposits60.2 67.6Government bonds 23.3 20.2Supra national & Agency bonds 8.1 6.5Covered bonds 3.9 2.5Retained covered bonds 11.1 0.5Other 0.8 0.3Total 107.6 97.51 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 breakdownb(in billions)300255.0254.524018012071.863.56017. 522.824 .25.49.711.711.010.4Due to Issued debt & Due to banks Securities Equity OthercustomersSubordinated liabilitiesfinancing31 December 202331 December 2022Liability and equity breakdownbClient deposits are our main source of funding, complemented by a well-diversified book of wholesale funding. The graph below shows the liability and equity breakdown for the full balance sheet. Client deposit volume remained stable in 2023.The graph below shows the breakdown of client deposits by segment.Breakdown of client depositsb(in billions)150122.9124.41251007564.666.260.658.050257.05.8Personal & Business Banking Wealth Management Corporate Banking Group Functions depositsdepositsdepositsdeposits31 December 202331 December 2022Available funding instrumentsbA 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 diversification in our investor base. The following table shows a breakdown of total funding instruments.Overview of funding instrumentsb(in millions) 31 December 2023 31 December 2022Commercial Paper/Certificates of Deposit 13,741 14,723Covered bonds 23,853 23,781Secured funding (long-term)23,853 23,781Senior preferred 12,726 8,219- of which green bonds2,832 1,385Senior non-preferred 15,907 9,536- of which green bonds 6,481 4,181Unsecured funding (long-term) 28,633 17,755Total issued debt 66,227 56,259Subordinated liabilities 5,572 7,290Wholesale funding 71,800 63,5501Other long-term funding3,538 14,2742Total funding instruments75,338 77,823- of which matures within one year 20,481 32,4201 Includes TLTRO funding (recorded in due to banks) and funding with the Dutch State as counterparty (recorded in due to customers).2 Includes FX effects, fair value adjustments and interest movements.Total funding instruments decreased to EUR 75.3 billion at 31 December 2023 (31 December 2022: EUR 77.8 billion), mainly driven by the partial repayment of TLTRO III borrowings and offset by an increase in issued debt. Total issued debt increased to EUR 66.2 billion at 31 December 2023 (31 December 2022: EUR 56.3 billion), reflecting the increase in unsecured funding instruments. Senior non-preferred funding increased to EUR 15.9 billion at 31 December 2023 (31 December 2022: EUR 9.5 billion) in order to meet MREL requirements. Subordinated liabilities decreased to EUR 5.6 billion at 31 December 2023 (31 December 2022: EUR 7.3 billion) in favour of senior non-preferred funding. Other long-term funding decreased to EUR 3.5 billion at 31 December 2023 (31 December 2022: EUR 14.3 billion) due to the repayment of EUR 11.0 billion of TLTRO III.Funding issuance in 2023bTotal long-term funding raised in 2023 amounted to EUR 13.4 billion. This included EUR 0.6 billion of ultra-long covered bonds, EUR 6.5 billion of senior preferred funding, EUR 5.6 billion of senior non-preferred funding and EUR 0.8 billion of subordinated liabilities. Deeply subordinated capital instruments (AT1 instruments) have been excluded from the long-term funding overview and are presented in the capital section, which provides a complete overview of all outstanding capital instruments.Long-term funding raised in 2023 and 2022b (notional amounts at issuance, in billions)1513.40.81298.06.50.11.561.60.634.85.620222023Senior non-preferredCovered bondsSenior preferred Subordinated liabilitiesOther fundingLong-term wholesale funding in non-euro currencies increased to 17.7% of total outstanding long-term wholesale funding, compared with 15.7% at 31 December 2022. In 2023, the bank raised its long-term wholesale funding mainly 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 diversification of total outstanding long-term fundingb(in billions)1511 .6120.98.72.090.80.61.30.766.77.3320222023USD CHF GBP OtherMaturity calendarb31 December 2023(notional amounts, in billions) 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 \u2265 2034 TotalCovered bonds 1.8 0.5 1.6 0.6 0.7 0.4 1.9 3.1 2.3 2.3 11.7 26.9Senior preferred 1.8 6.4 3.6 0.3 0.3 0.1 0.2 0.1 12.7Senior non-preferred 1.9 2.3 2.0 4.2 1.0 1.3 0.8 1.0 2.1 16.5Subordinated liabilities1.4 0.9 1.5 0.8 1.2 5.71,2Other long-term funding3.0 0.3 0.2 3.5Total long-term funding 6.6 10.2 8.6 4.6 5.9 1.4 3.2 4.4 3.0 3.3 13.9 65.231 December 20222023 2024 2025 2026 2027 2028 2029 2030 2031 2032 \u2265 2033 TotalTotal long-term funding 17.9 6.6 6.1 4.4 4.5 1.6 1.4 3.2 4.5 3.0 16.6 69.81 Other long-term funding includes TLTRO III and funding with the Dutch State as counterparty.2 The TLTRO III of EUR 3.0 billion is reported at the original legal maturity of three years.We target a maturity profile where redemptions of funding instruments are well spread over time. The average remaining maturity of outstanding long-term funding remained stable at 5.8 years at year-end 2023 (5.7 years at year-end 2022). The average remaining maturity of newly issued wholesale funding decreased to 3.3 years at year-end 2023 (down from 9.4 years at year-end 2022). This was mainly due to the reduced issuance of covered bonds with longer tenors (15-20 years), reflecting the shorter fixed-interest rate periods of new mortgage production. The maturity calendar assumes redemption on the earliest possible call date or the legal maturity date, which does not mean that the instruments will actually be called on the earliest possible call date. Early redemption of subordinated liabilities is subject to approval by the regulator.Gross carrying amount \u2013 residential mortgagesb2023 20221, 21, 21, 2, 31, 2, 31, 21, 21, 2, 31, 2, 3(in millions) Stage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3TotalBalance at 1 January 140,450 9,169 1,143 150,762 137,063 8,025 1,264 146,351Transfer to stage 12,927 -2,922 -5 3,838 -3,823 -15Transfer to stage 2-6,111 6,435 -324 -6,587 7,023 -436Transfer to stage 3-306 -383 689 -257 -338 595Additional drawdowns and partial repayments-10,497 -904 -7 -11,408 -14,064 -1,509 -232 -15,805Originated or purchased13,824 13,824 22,879 22,879Matured or repaid-1,605 -280 -202 -2,088 -2,421 -208 -31 -2,660Write-offs-1 -1 -3 -3Foreign exchange1 1 1Other movements-11 -11Balance at 31 December 138,671 11,115 1,292 151,078 140,450 9,169 1,143 150,7621 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 \u2013 consumer loansb2023 20221, 21, 21, 2, 31, 21, 21, 2, 3(in millions) Stage 1Stage 2Stage 3Total Stage 1Stage 2Stage 3TotalClosing balance of the previous year 9,121 749 363 10,232 9,348 1,037 409 10,794Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 8,060 646 279 8,985 9,348 1,037 409 10,794Transfer to stage 1 298 -285 -13 443 -433 -11Transfer to stage 2 -259 274 -15 -343 360 -17Transfer to stage 3 -52 -34 86 -50 -58 108Additional drawdowns and partial repayments -452 9 19 -424 -340 -24 -11 -375Originated or purchased 1,433 1,433 1,911 1,911Matured or repaid -1,430 -144 -42 -1,617 -1,852 -134 -51 -2,037Write-offs -58 -58 -65 -65Foreign exchange1 3 4Other movements 60 60Balance at 31 December 7,658 467 255 8,380 9,121 749 363 10,2321 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 \u2013 corporate loansb2023 20221, 21, 21, 2, 31, 21, 21, 2, 3(in millions) Stage 1Stage 2Stage 3Total Stage 1Stage 2Stage 3TotalBalance at 1 January 69,103 13,963 3,666 86,731 69,364 12,075 5,019 86,458Transfer to stage 15,317 -5,210 -107 3,472 -3,388 -84Transfer to stage 2 -4,764 5,420 -657 -7,040 7,631 -591Transfer to stage 3 -773 -695 1,467 -557 -536 1,093Additional drawdowns and partial repayments302 1,098 -19 1,381 -3,391 1,449 175 -1,767Originated or purchased 21,897 21,897 23,683 23,683Matured or repaid -17,389 -4,170 -954 -22,513 -16,920 -3,381 -1,431 -21,732Write-offs -274 -274 -555 -556Foreign exchange -350 -92 -18 -461 577 43 37 657Other movements -19 -7 48 22 -84 71 1 -131, 2Balance at 31 December73,324 10,308 3,152 86,784 69,103 13,963 3,666 86,7311 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 \u2013 off-balanceb2023 202211(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January50,187 6,209 700 57,095 50,199 6,019 1,271 57,488Transfer to stage 1 2,543 -2,505 -38 1,960 -1,923 -37Transfer to stage 2 -1,564 1,632 -68 -2,801 2,958 -157Transfer to stage 3 -139 -90 230 -81 -82 164Additional drawdowns and partial repayments -8,615 -1,421 165 -9,872 -9,513 -668 -547 -10,728Originated or purchased 10,341 10,341 10,701 10,701Matured or repaid -519 -302 -22 -844 -549 -138 -687Foreign exchange -91 -15 -2 -108 271 42 7 320Balance at 31 December 52,141 3,507 965 56,613 50,187 6,209 700 57,0951 Including POCI.Loan impairment charges and allowances \u2013 residential mortgagesb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 21 57 75 153 8 22 52 82Transfer to stage 1 14 -18 -1 -4 6 -8 -1 -3Transfer to stage 2 -2 28 -19 7 -2 20 -14 4Transfer to stage 3-1 -5 30 24 -1 -2 21 171Remeasurements-13 -6 54 35 -12 5 16 9Changes in modelsChanges in risk parameters 4 -1 3 17 28 12 57Originated or purchased 4 4 7 7Matured or repaid -1 -6 -10 -17 -1 -7 -10 -18Impairment charges (releases) on loans and advances4 -7 54 51 13 35 25 73Write-offs-1 -1 -3 -3Unwind discount / unearned interest accrued 2 2 1 1Foreign exchange and other movements-1 -2 -4 -7Balance at 31 December 24 49 125 198 21 57 75 153Impairment charges (releases) on loans and advances 4 -7 54 51 13 35 25 73Recoveries and other charges (releases) -14 -14 -17 -17Total impairment charges for the period 4 -7 39 37 13 35 8 561 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loansb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 30 36 211 277 23 45 208 276Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 25 16 136 177 23 45 208 276Transfer to stage 1 7 -7 -4 -5 13 -17 -5 -9Transfer to stage 2 -3 8 -6 -1 -2 11 -9Transfer to stage 3 -3 -2 35 30 -5 42 371Remeasurements-11 -4 -15 -9 -1 37 27Changes in modelsChanges in risk parameters6 6 3 3 6 12Originated or purchased 3 3 4 4Matured or repaid-2 -1 -6 -8 -2 -1 -9 -12Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Write-offs -58 -58 -65 -65Unwind discount / unearned interest accrued 3 3 5 5Foreign exchange and other movements 2 1 11 15 2 3Balance at 31 December 18 11 118 147 30 36 211 277Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Recoveries and other charges (releases) -29 -29 -45 -45Total impairment charges for the period -9 -6 -4 -19 7 -10 16 141 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 256 301 1,033 1,590 130 291 1,632 2,053Transfer to stage 1 88 -103 -5 -20 38 -49 -10 -21Transfer to stage 2 -36 55 -33 -14 -27 123 -84 11Transfer to stage 3-10 -51 194 133 -15 -34 147 981Remeasurements-96 54 -71 -112 74 18 -156 -64Changes in risk parameters -34 -1 -35 24 25 12 61Originated or purchased 32 32 44 44Matured or repaid -9 -9 -37 -54 -10 -18 -60 -88Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Write-offs -274 -274 -555 -556Unwind discount / unearned interest accrued29 29 25 25Foreign exchange and other movements 1 -17 -3 -20 -1 -55 82 27Balance at 31 December 192 228 833 1,254 256 301 1,033 1,590Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Recoveries and other charges (releases) -67 -67 -42 -42Total impairment charges for the period -65 -55 -19 -139 127 65 -194 -11 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 25 16 10 51 17 20 116 153Transfer to stage 14 -5 -1 6 -8 -2Transfer to stage 2 -4 5 2 -2 5 4Transfer to stage 3 17 17 -1 11Remeasurements-7 -1 55 47 -4 -115 -120Changes in risk parameters -4 -4 1 1 2Originated or purchased 8 8 12 12Matured or repaid -7 -2 -9 -4 -3 -7Impairment charges (releases) -10 -3 72 60 9 -4 -114 -110Foreign exchange and other movements 1 -1 -1 -1 8 8Balance at 31 December16 12 81 109 25 16 10 51Impairment charges (releases) on off-balance -10 -3 72 60 9 -4 -114 -1102Other charges (releases)-90 -90 82 82Total impairment charges for the period -10 -3 -18 -30 9 -4 -32 -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 but also affected by reclassification to IFRS17.2 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 qualityb31 December 2023Forborne assets Forborne assets Total not past due and past due, but Impaired forborne not stage 3 not stage 3 forborne Specific Collective Total (in millions)assetsor POCIor POCIassetsallowanceallowanceallowanceLoans and advances banksResidential mortgages 1,048 639 8 400 47 47Consumer loans 103 32 16 56 5 14 20Corporate loans 4,367 2,471 12 1,884 404 95 499Other loans and advances customers 2 2 1 1Total loans and advances customers 5,519 3,142 35 2,342 410 156 566Total loans and advances 5,519 3,142 35 2,342 410 156 566Loans at FV through P&L 16 15Total loans and advances 5,535 3,157 36 2,342 410 156 56631 December 2022Loans and advances banksResidential mortgages 1,072 622 69 382 34 341Consumer loans181 87 5 88 4 54 581Corporate loans5,655 3,12988 2,439515154 6691Total loans and advances customers6,909 3,838 162 2,909 519 242 7601Total loans and advances6,909 3,838 162 2,909 519 242 760Loans at FV through P<otal loans and advances 6,909 3,838 162 2,909 519 242 7601 Excluding loans at fair value through P&L.Forborne assets by geographyb31 December 2023(in millions) The Netherlands Rest of Europe USA Asia Rest of the world TotalLoans and advances banksResidential mortgages 1,046 1 1,0481Consumer loans82 21 1031Corporate loans3,400 784 99 2 82 4,3671Other loans and advances customers2 21Total loans and advances customers4,528 807 99 2 83 5,5191Total loans and advances4,528 807 99 2 83 5,519Loans at FV through P&L 16 16Total loans and advances 4,544 807 99 2 83 5,53531 December 2022Loans and advances banksResidential mortgages 1,064 8 1,0721Consumer loans147 34 1811Consumer loans4,513 930 78 2 132 5,6551Other loans and advances customers1Total loans and advances customers5,725 972 78 3 132 6,9091Total loans and advances5,725 972 78 3 132 6,909Loans at FV through P<otal loans and advances 5,725 972 78 3 132 6,9091 Excluding loans at fair value through P&L.Forborne assets by business segmentb(in millions) 31 December 2023 31 December 2022Personal & Business Banking 1,984 2,358Wealth Management 272 243Corporate Banking 3,278 4,307Total forborne assets 5,535 6,909Maturity overview of assets and liabilitiesbThe following table shows financial assets and liabilities arranged by the earliest possible contractual maturity.Contractual maturity of assets and liabilitiesb31 December 2023Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssetsCash and balances at central banks 53,656 53,656Financial assets held for trading 13 18 57 35 72 178 495 504 1,371Derivatives4,038 15 7 1 17 6 62 259 4,403Financial investments814 1,188 1,865 2,549 2,104 4,707 12,115 15,320 838 41,501Securities financing 1,098 18,141 1,265 996 2 21,503Loans and advances banks 814 561 26 223 22 22 182 473 2,324Loans and advances customers 8,498 9,836 4,986 3,321 7,834 13,814 34,399 163,246 245,935Other assets 3,001 2,647 724 63 146 14 534 89 7,218Total assets 67,895 4,038 32,404 8,931 7,188 10,197 18,741 47,787 179,891 838 377,909LiabilitiesFinancial liabilities held for trading 3 79 22 95 25 89 233 370 917Derivatives 2,422 39 7 6 2 24 82 274 2,856Securities financing 301 10,653 753 2 11,710Due to banks 870 806 180 3,159 45 76 53 163 5,352Due to customers203,764 25,275 7,022 5,638 4,382 595 1,665 6,124 254,466Issued debt 16 7,169 6,997 2,167 1,014 8,858 15,347 24,660 66,227- of which senior secured 1,531 116 30 166 497 2,868 18,645 23,853- of which senior unsecured1,557 121 31 116 8,294 12,479 5,993 28,590- of which other 16 4,081 6,761 2,106 732 67 22 13,784Subordinated liabilities 1,342 3,210 1,020 5,572Other liabilities 1,987 3,593 426 64 24 538 5 6 6,641Total liabilities 206,942 2,422 47,614 15,407 11,129 5,493 11,523 20,595 32,617 353,741Total equity24,168 24,168Total liabilities and equity 206,942 2,422 47,614 15,407 11,129 5,493 11,523 20,595 32,617 24,168 377,909Off-balance sheet liabilitiesCommitted credit facilities53,968 53,968Guarantees and other commitments 6,289 6,289Total off-balance sheet liabilities 60,257 60,25731 December 2022Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssetsCash and balances at central banks 60,865 60,865Financial assets held for trading 28 32 90 49 64 56 251 337 907Derivatives1 4,831 6 36 14 32 292 5,212Financial investments594 1,204 1,232 3,024 3,903 5,367 12,437 10,647 626 39,034Securities financing 548 15,293 3,146 1,045 20,032Loans and advances banks 1,296 864 78 31 714 2,982Loans and advances customers 17,949 7,258 5,659 3,694 8,851 14,580 32,588 153,348 243,927Other assets 2,688 2,107 1,242 94 30 386 73 6,622Total assets 83,968 4,831 26,765 11,369 7,907 12,884 20,096 45,725 165,411 626 379,581LiabilitiesFinancial liabilities held for trading 2 92 1 55 7 23 209 252 641Derivatives 1 3,671 24 1 2 19 22 63 346 4,148Securities financing 419 9,034 200 9,652Due to banks 1,568 912 235 11,327 130 3,070 115 152 17,509Due to customers223,772 15,755 3,747 1,657 1,670 422 1,484 6,507 255,015Issued debt 3,665 10,261 1,052 4,074 3,585 9,913 23,709 56,259- of which senior secured20 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 14,723Subordinated liabilities 1,027 1,401 103 3,731 1,028 7,290Other liabilities 2,810 2,620 430 27 18 330 18 6,253Total liabilities 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 356,767Total equity22,814 22,814Total liabilities and equity 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 22,814 379,581Off-balance sheet liabilitiesCommitted credit facilities53,873 53,873Guarantees and other commitments 7,651 7,651Total off-balance sheet liabilities 61,524 61,524Maturity based on contractual undiscounted cash flowsbThe following tables show financial assets and liabilities arranged by the earliest possible contractual maturity.31 December 2023Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssets:Cash and balances at central banks 53,656 53,656Financial assets held for trading 13 19 60 42 85 198 522 528 1,468Derivatives4,038 53 155 366 683 1,235 2,476 2,524 11,531Financial investments814 1,216 1,973 2,799 2,541 5,410 13,141 16,239 838 44,970Securities financing 1,098 18,179 1,280 1,006 2 21,565Loans and advances banks 814 604 136 459 398 711 1,415 1,658 6,195Loans and advances customers 8,498 10,196 6,362 6,679 13,988 24,670 55,972 184,582 310,948Other assets 3,001 2,647 725 65 149 19 537 90 7,234Total undiscounted assets67,895 4,038 32,915 10,692 11,417 17,845 32,243 74,063 205,622 838 457,567Of which:Gross settled derivatives not held for trading:Contractual amounts receivable 273 100 108 117 211 457 160 1,426Contractual amounts payable 269 94 131 104 191 383 119 1,289Total undiscounted gross settled derivatives not held for trading 5 6 -23 13 20 75 41 137Net settled derivatives not held for trading160 355 89 282 746 1,554 2,481 5,667Liabilities:Financial liabilities held for trading 3 80 23 98 29 96 243 379 951Derivatives 2,422 101 234 563 1,047 1,883 3,571 3,682 13,503Securities financing 301 10,676 758 2 11,737Due to banks870 814 205 3,192 55 90 78 188 5,491Due to customers 203,764 25,308 7,083 5,740 4,497 779 2,016 6,468 255,657Issued debt 16 7,249 7,273 2,781 2,137 10,615 18,099 27,187 75,356Subordinated liabilities 12 49 123 233 1,683 3,496 1,211 6,808Other liabilities 1,987 3,583 417 51 2 535 4 4 6,583Total liabilities 206,942 2,422 47,822 16,044 12,546 8,002 15,681 27,506 39,119 376,085- of which:Gross settled derivatives not held for trading:Contractual amounts receivable 297 158 70 36 21 13 22 618Contractual amounts payable 150 102 47 30 24 14 15 383Total undiscounted gross settled derivatives not held for trading -147 -56 -23 -6 3 1 -8 -235Net settled derivatives not held for trading 418 -42 121 266 117 211 1,075 2,167Net liquidity gap -139,047 1,616 -14,907 -5,352 -1,130 9,843 16,562 46,557 166,503 838 81,482Off-balance sheet liabilitiesCommitted credit facilities 53,968 53,968Guarantees and other commitments 6,289 6,289Total off-balance sheet liabilities 60,257 60,25731 December 2022Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssetsCash and balances at central banks 60,865 60,865Financial assets held for trading 28 32 91 51 68 64 262 347 944Derivatives1 4,831 28 84 210 404 670 1,434 1,663 9,325Financial investments594 1,224 1,309 3,203 4,197 5,812 13,001 11,127 626 41,092Securities financing 548 15,305 3,155 1,049 20,056Loans and advances banks 1,296 868 9 22 41 150 191 877 3,453Loans and advances customers 17,949 7,492 6,558 5,879 12,829 21,534 46,385 166,989 285,614Other assets 2,688 2,108 1,242 95 31 2 388 74 6,627Total undiscounted assets83,968 4,831 27,057 12,448 10,508 17,571 28,231 61,660 181,077 626 427,978Of which:Gross settled derivatives not held for trading:Contractual amounts receivable17 42 31 87 142 411 282 1,012Contractual amounts payable 10 17 34 66 127 354 230 837Total undiscounted gross settled derivatives not held for trading 7 25 -3 21 15 57 52 175Net settled derivatives not held for trading52 160 80 392 940 2,529 4,247 8,401LiabilitiesFinancial liabilities held for trading 2 92 1 57 11 29 219 261 674Derivatives 1 3,671 60 135 337 633 1,120 2,292 2,596 10,844Securities financing 419 9,038 200 9,657Due to banks1,568 911 230 11,320 125 3,068 113 151 17,488Due to customers 223,772 15,757 3,752 1,666 1,684 446 1,531 6,553 255,161Issued debt 3,707 10,407 1,358 4,603 4,474 11,468 25,183 61,198Subordinated liabilities 1,041 1,449 200 181 343 4,007 1,202 8,424Other liabilities 2,810 2,616 427 23 11 329 17 6,234Total 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 receivable677 247 53 82 29 7 1,096Contractual amounts payable165 133 69 110 64 16 558Total undiscounted gross settled derivatives not held for trading -512 -114 16 28 36 9 -537Net settled derivatives not held for trading 54 120 273 480 271 213 809 2,222Net liquidity gap -144,604 1,161 -6,165 -4,154 -4,453 10,321 18,422 42,013 145,131 626 58,297Off-balance sheet liabilitiesCommitted credit facilities 53,873 53,873Guarantees and other commitments 7,651 7,651Total off-balance sheet liabilities 61,524 61,52431 December 2023 31 December 2022Up to More than Up to More than (in millions)one yearone year Totalone yearone year TotalAssetsCash and balances at central banks 53,656 53,656 60,865 60,865Financial assets held for trading 1,371 1,371 907 907Derivatives4,038 365 4,403 4,831 381 5,212Financial investments8,440 33,061 41,501 9,848 29,186 39,034Securities financing 20,830 673 21,503 19,117 916 20,032Loans and advances banks 1,494 829 2,324 1,732 1,250 2,982Residential mortgages 10,591 134,284 144,875 14,377 126,744 141,121Consumer loans at amortised cost 2,261 5,972 8,233 2,305 7,650 9,955Consumer loans at fair value through P&L 178 470 648Corporate loans at amortised cost 33,731 51,895 85,626 36,896 48,398 85,295Corporate loans at fair value through P&L 23 36 59 28 37 66Other loans and advances customers5,975 519 6,494 6,789 703 7,491Equity-accounted investments 333 333 474 474Property and equipment713 264 978 673 315 988Goodwill and other intangible assets 99 99 108 108Assets held for sale 130 130 13 13Tax assets 327 327 565 565Other assets 4,848 503 5,351 323 4,150 4,473Total assets 148,706 229,203 377,909 159,377 220,204 379,581LiabilitiesFinancial liabilities held for trading 917 917 641 641Derivatives2,422 434 2,856 3,671 477 4,148Securities financing 11,448 262 11,710 8,822 830 9,652Due to banks 5,008 344 5,352 13,847 3,662 17,509Current accounts 21,862 78,086 99,948 15,126 106,905 122,030Demand deposits 5,846 95,097 100,943 100,397 100,397Time deposits 45,068 6,660 51,728 21,611 8,485 30,096Other due to customers 72 1,775 1,846 198 2,293 2,491Issued debt 17,517 48,711 66,227 19,298 36,961 56,259Subordinated liabilities5,572 5,572 2,520 4,770 7,290Provisions 734 7 742 1,030 13 1,044Tax liabilities 159 159 22 22Other liabilities 5,726 15 5,741 5,187 5,187Total liabilities 116,779 236,962 353,741 86,787 269,980 356,767Expected maturity based on behavioural modelsbThe 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.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:DisclosureOfFinancialRiskManagementExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-1-2": {
"value": "Risk taxonomybThe 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.The risk, funding & capital section has chapters dedicated to the traditional risk types. Insofar as climate and environmental risk is material for these risk types, this is described in the chapter of the risk type. For general disclosures on the bank\u2019s sustainability risk management framework, and specific information on management of environmental, social and governance risks and opportunities, please refer to the Sustainability Statements.Risk taxonomy bExternal causal factorsInternal causal factorsPolitics, (macro-)economy, society, technology, People, processes, systems, environmental, social and governance (ESG e.g. physical - balance sheet, products, clients, and transition risk), legislation and regulationreputation and behaviourEnterprise riskFinancial risk Operational (non-financial) riskInformationCredit risk Liquidity riskHR riskFraud riskData riskriskOutsourcing & Market risk in Business riskChange risk Compliance riskModel riskPhysical the Banking BookSecurity riskMarket risk in SustainabilityLegal risk Tax risk Behavioural riskthe Trading BookriskValue of the bank\u2022 Reputational\u2022 FinancialRisk appetite frameworkbOur risk appetite determines the level of risk that the bank is willing to take in order to pursue its strategy, and safeguards our strict focus. It is regularly evaluated and updated to ensure continuous alignment with our strategy.Strategic Risk Appetite StatementStrategic Risk Indicators Bank Risk Appetite StatementKey Risk IndicatorsClient Units RASLocal & Entities RASThe Strategic Risk Appetite Statement entails three focus areas, each of which is substantiated by a qualitative statement and concrete Strategic Risk Indicators (SRIs). The Strategic Risk Appetite Statement SRIs are further articulated in the bank-wide (BRAS) and Key Risk Indicators (KRIs), which are cascaded to client unit level risk appetite statement (RAS), local level (LRAS) and entity level (ERAS).The risk indicator framework consists of quantitative and/or qualitative SRIs and KRIs. A limit and checkpoint is set for every SRI and KRI, against which the actual risk profile is monitored. Examples of SRIs and KRIs in our risk appetite include: \u2022 Regulatory and internal capital ratios; \u2022 Risk-adjusted return measures; \u2022 Concentration limits for single counterparties, sectors and countries; \u2022 Economic capital and risk-weighted asset limits for various risk types; \u2022 Liquidity ratios (LtD, LCR, NSFR); \u2022 Market risk parameters (Supervisory Outlier Test on Net Interest Income and Supervisory Outlier Test on Economic Value of Equity); \u2022 Operational (non-financial) risk parameters (effectiveness of internal control environment); \u2022 Reputational risk parameter (NPS); \u2022 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 StatementbSustainable Financial business Soundnessmodel & Banking value creationfor better for generations to comeSound operatingenvironmentRisk governancebEffective risk management requires organisation-wide risk governance. Our risk and control structure is based on the \u2018three lines of defence\u2019 governance model, which has been designed to ensure risk is managed in line with the risk appetite approved by the Executive Board and Supervisory Board.Three lines of defenceThe three lines of defence (3LoD) model aims to clarify the relationship between risk takers and the internal control functions, and provides all employees within the bank with clarity regarding 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 defenceb1st Line 1 of Defence Risk Ownership Responsible for\u2022 Delivers value-added services to our clients\u2022 Takes primary ownership to identify and assess, measure, mitigate, monitor and report the risk that it incurs\u2022 Proposes the business line risk appetite and operates within it\u2022 Strikes the right balance between return and risk in its decisions\u2022 Seeks outside-in views and advice, where necessary\u2022 Ensure systems, processes and reporting capabilities are commensurate to its activities and risk appetite2nd Line 2of DefenceRisk Control & OversightResponsible for\u2022 Sets the bank-wide risk management framework\u2022 Sets risk policies and ensures regulations are translated into policies\u2022 Maintains risk control and oversight through monitoring, reporting and escalating, where necessary\u2022 Provides independent challenge and expertise to the First Line\u2022 Proactively opines on how to identify and mitigate risks\u2022 Provides outside-in views and ensures consistency in risk management practices across First Line3rd Line 3of DefenceRisk AssuranceResponsible for\u2022 Protects and enhances organisational value by providing risk-based and objective assurance, insight and added value to support the achievement of our objectives\u2022 Evaluates the design and effectiveness of Governance, Risk Management & Control processes, agrees with management on remediation and monitors follow-up \u2022 The first line of defence comprises 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 designing and executing effective and efficient controls. \u2022 The second line of defence consists of dedicated departments in the Risk Management organisation, which are responsible for setting the risk management framework within which the first line must operate. These dedicated departments are headed by risk type owners. \u2022 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.Board level oversightThe 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: \u2022 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; \u2022 the three lines of defence model at all levels of the bank; \u2022 a risk culture that addresses risk awareness and risk-taking behaviour in the bank; \u2022 key policies of the bank within the applicable legal and regulatory framework; \u2022 the bank\u2019s overall strategy, risk strategy and risk appetite; \u2022 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; \u2022 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 committeesThe Executive Board is responsible for setting, monitoring, reviewing and realising the bank\u2019s mission, vision, strategy, risk appetite and risk framework, 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 CommitteeThe 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 CommitteeThe 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 that have been set by the Executive Board. In addition, the CCC is also responsible for approving and monitoring large intercompany credit facilities.Group Regulatory CommitteeThe Group Regulatory Committee is mandated by the Executive Board to ensure there is a thorough 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.Stress testing and scenario analysis bABN AMRO uses stress testing and scenario analysis as an important risk management instrument, which entails 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 purposesABN AMRO applies stress testing for several purposes, including: \u2022 Business planning: various macroeconomic scenarios for budget purposes; \u2022 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; \u2022 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; \u2022 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; \u2022 Risk type-specific and client unit stress testing, such as market risk trading and banking book and mortgage stress testing; \u2022 Supervisory stress testing, based on prescribed scenarios and assumptions. This includes the stress test programme of the European Banking Authority (EBA), which is designed to assess banks\u2019 resilience to adverse economic or financial developments, and the ECB economy-wide climate stress test, which aims to evaluate the impact of alternative climate scenarios on the resilience of the bank.The figure below shows the stress testing and scenario analysis cycle.Stress test & scenario analysis cycleRiskidentificationScenario Management & scope actionselectionStress testing & scenario analysisSimulation Data sourcing, & impact models and analysis on methodologiesABN AMROCoknrdoucewt,goamverlfrnance&controScenario 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 and environmental-related risks are incorporated into our bank-wide stress testing framework by including specific events related to physical risks and drivers of transition risk, such as carbon prices (for definitions of physical and transition risks, please refer to the Risk chapter in the Sustainability Statements).Credit risk management approachbCredit 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. In addition, climate risks are also integrated into our risk management practices.Credit risk management processbThe following figure presents a simplified overview of the credit risk management process.Credit acceptanceCredit risk monitoring Restructuring Loan approval andBusiness and risk and Recovery disbursement control functions High-risk monitoringjointly responsibleNon-programme Risk assessment 1Regular monitoringlendingby client unitRestructuringCustomised loans, Continual update of mostly Wealth risk governance, Analysis and credit Increased riskManagement, management and decision by credit risk Corporate Banking policiesfunctionand Business Recovery Intensive monitoringBanking Processes reflect 2(\u2018Watch\u2019)guidelines for credit (within P&BB) Loan disbursement risk managementFor programme lending, Product-specific standards are establishedProgramme Credit decision lendingbased on credit Account maintenanceRestructuringSustainability risk score and policy rulesStandardised assessment for larger loans, mostly OOEs and/or Personal Banking periodically on (within P&BB)portfolio levelLoan disbursement Default prevention Recovery 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.PlanningWithin 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 acceptanceFor 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.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 monitoringConsistent 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 has been fully repaid and/or the limit has been cancelled.Depending on whether a facility is considered programme or non-programme lending, a time-based or event-based review applies. 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 on the basis of pre-defined triggers for risk based credit reviews. For non-programme lending, all counterparties are subject to at least an annual review. The review takes into consideration not only changes in risk profile, financial position, creditworthiness compared to the criteria and the assessment at the point of loan origination, but also climate and environmental risk.If a situation arises in which an individual counterparty shows signs of credit risk deterioration and an 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 & RecoveryNon-programme lending credit facilities that are subject to a default event are mandatorily transferred to the Financial Restructuring & Recovery department (FR&R). 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 will devise a plan aimed either at rehabilitation or enhancement of the likelihood of full repayment. If a \u2018gone concern\u2019 approach is applicable and the Bank does not expect that the restructuring will result in the counterparty returning to a performing classification, the credit facility is transferred to the Recovery team.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.Programme lending contracts are transferred to the Late Collections 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 Flanderijijn) for debt collection.Through its restructuring and recovery activities, FR&R plays a significant role in the execution of the bank\u2019s non-performing exposure (NPE) strategy. In line with regulatory expectations, the NPE Strategy sets targets for reducing non-performing exposure in each business segment and for specific sectors with increased levels of non-performing loans.Credit concentration riskbCredit 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: \u2022 Single counterparty and groups of related counterparties (counterparty concentration); \u2022 Countries (geographic concentration); \u2022 Industries (industry concentration); \u2022 Products (product concentration). \u2022 Climate risk (physical and/or transition risk concentration).Counterparty concentrationCounterparty 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 interdependency due to a control relationship. This control relationship may be due 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.Geographic concentrationGeographic concentration risk is the risk of credit losses arising from events or circumstances specifically related to a country or location. 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.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 credit limits. Given that our strategic focus is on Northwest Europe, our country risk exposure has declined significantly in recent years.Industry concentrationIndustry 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 concentrationProduct 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 in residential mortgages, commercial real estate and leveraged loans, among others. In line with our risk appetite, ceilings are defined per product type.Climate risk concentrationConcentration of corporate exposures highly susceptible to climate transition risk is monitored. For managing climate risk in the residential mortgages book, the bank monitors the percentage of properties that have relatively high climate transition risks and are located in an area sensitive to climate physical risk. Please refer to the Sustainability Statements- Environment section for GHG financed emissions and climate risks in our real estate portfolios.Credit risk quality and impairmentbWe 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.ForbearanceForbearance 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.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: \u2022 The contract is considered performing; \u2022 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); \u2022 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; \u2022 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 exposuresA 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 on the first day that a counterparty is past due on any financial obligation.Forbearance life cyclebNon-forborneForborne Non-forborneDefaulted forbearance clientsremain defaulted for at least a year Cure Probation period Cease to be Performing\u2265 1 year\u2265 2 yearforborneForbearance measureEnd cure period End forbearance periodPerformingPerformingNon-performingAccounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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 measurementbThe 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.Probability of defaultThe Probability of Default (PD) indicates the likelihood that a counterparty or exposure defaults within a one-year time horizon. 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.Internal rating scale mapped to external ratingsUCR Low Mid High Standard & Poor\u2019s Moody\u2019s Fitch Grade Category(internal rating)PD%PD%PD%equivalentequivalentequivalentInvestment grade UCR 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 A+UCR 2 0.045 0.05 0.071 A 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 BBBUCR 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 Ba3 BBUCR 4- 1.285 1.65 2.225 BB- B1 B+UCR 5+ 2.225 3.00 4.243 B B2 BUCR 5 4.243 6.00 8.485 B- Caa B-UCR 5- 8.485 12.00 16.971 CCC/C Caa CCC/CUCR 6+ 16.971 24.00 99.999 CCC/C Ca CCC/CDefault UCR 6-8 100 D C-D DRating assignmentFor non-programme lending, the ratings are individually assigned to each obligor (PD) and facility (LGD) by the business account manager (first line of defence) and approved by credit risk (second line of defence). 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 defaultLoss 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.Exposure at defaultExposure 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 riskRegulatory capitalFor 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 the financial institutions and project finance portfolios the Foundation Internal Rating Based (F-IRB) approach is applied, meaning that only internal estimates of PD are used to calculate credit risk RWA. The LGD and EAD models for these portfolios are still used for internal purposes such as origination, pricing, monitoring and reporting. 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 uses standard risk weights to be applied to the exposure value in order to calculate RWA.Economic capitalThe 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 liabilitiesbFinancial 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 instrumentsbEnforceable 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 overviewb(in millions) 31 December 2023 31 December 2022Cash and balances at central banks 53,656 60,865Financial assets held for trading 1,371 907Derivatives 4,403 5,2121Financial investments41,501 39,034Securities financing 21,503 20,032Loans and advances banks2,324 2,982Loans and advances customers245,935 243,927Other assets 5,351 4,4731Less: Other546 425Other assets4,805 4,047On-balance sheet maximum exposure to credit risk 375,496 377,007Off-balance sheetCommitted credit facilities53,968 53,873Guarantees and other commitments 6,289 7,651Revocable credit facilities 31,710 34,347Off-balance sheet credit facilities and guarantees91,967 95,8722Maximum exposure to credit risk467,463 472,8792, 3Adjustments on assets2,680 4,7054Valuation adjustments7,226 9,797Offsetting and netting-28,194 -26,557Off-balance sheet credit facilities and guarantees -91,967 -95,872Off-balance sheet exposure fraction expected to be drawn prior to default (credit conversion factors) 28,816 26,112Total Exposure at Default 386,024 391,065Credit risk RWA / Total Exposure at Default 31.7% 28.3%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.The above table shows the maximum exposure to credit risk and reconciliation with the total exposure at default. Exposure at default is predominantly used for the determination of regulatory and economic capital.Overall credit risk EAD and RWAb31 December 2023Original Less: Netting/3EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions) DerivativestransactionsCredit risk IRB1Institutions9,875 702 9,173 716 1,593 2,180 23.8%Corporates 134,326 34,514 99,812 1,982 1,577 55,693 55.8%Retail 167,328 4,981 162,347 17,563 10.8%- of which secured by immovable property 157,349 505 156,844 15,917 10.1%- of which qualifying revolving exposures5,352 3,955 1,397 139 9.9%- of which other retail 4,627 521 4,106 1,507 36.7%Securitisation positions 2,205 2,205 277 12.6%Subtotal 313,734 40,197 273,537 2,698 3,171 75,714 27.7%Equities not held for trading 1,064 1,064 3,549 333.6%2Other2,063 2,063 33,883 1642.1%Total IRB 316,861 40,197 276,664 2,698 3,171 113,146 40.9%Credit risk SACentral governments and central banks84,348 -327 84,675 56 190 347 0.4%1Institutions25,703 10,199 15,503 3,764 4,595 1,304 8.4%Corporates 19,030 12,978 6,053 1,167 1,078 5,278 87.2%Retail 4,708 2,439 2,269 1,703 75.1%Secured by mortgages on immovable property 656 15 642 233 36.3%Exposures in default 511 349 162 1 219 134.7%Credit valuation adjustment 261Subtotal 134,956 25,652 109,304 4,988 5,863 9,344 8.5%2Other56 56 57 102.2%Total SA 135,012 25,652 109,360 4,988 5,863 9,402 8.6%Total 451,874 65,849 386,024 7,686 9,034 122,548 31.7%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 2022Less: Netting/3Original EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions) DerivativestransactionsCredit risk IRB1Institutions8,900 917 7,983 695 1,618 1,847 23.1%Corporates 134,776 33,693 101,083 1,709 1,471 53,501 52.9%Retail 165,991 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 retail 4,696 673 4,023 1,323 32.9%Securitisation positions 2,043 2,043 253 12.4%Subtotal 311,711 40,077 271,634 2,404 3,089 72,492 26.7%Equities not held for trading 824 824 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%Corporates 21,583 14,790 6,793 1,233 827 5,854 86.2%Retail 5,787 2,697 3,090 2,272 73.5%Secured by mortgages on immovable property 438 4 434 152 35.1%Exposures in default 467 344 123 158 128.4%Credit valuation adjustment 274Subtotal 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.Credit quality by exposure classb31 December 2023Investment Sub-investment (in millions, Exposure at Default)gradegrade Impaired TotalCentral governments and central banks1Institutions8,890 283 9,173Corporates 48,964 47,861 2,987 99,8122Retail133,993 26,773 1,582 162,347- of which secured by immovable property131,115 24,300 1,429 156,844- of which qualifying revolving exposures 1,231 142 24 1,397- of which other retail1,647 2,331 129 4,106Securitisation positions 2,205 2,2053Total IRB194,052 74,916 4,569 273,5374Total SA109,3043, 4Total IRB and SA382,84131 December 2022Sub-investment Investment gradegrade Impaired TotalCentral governments and central banks1Institutions7,813 170 7,983Corporates48,776 48,823 3,483 101,0832Retail132,134 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 2,0433Total IRB190,767 75,927 4,940 271,6344Total SA116,5823, 4Total IRB and SA388,2161 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 For Retail exposures a probability of default is estimated and mapped to investment grade or sub-investment grade, according to our internal rating scale, which can be found in the Credit Management section.3 Total Exposure at Default does not include EAD calculated for equities not held for trading and other non-credit obligations.4 Exposure at Default does not include EAD calculated for other non-credit obligations.EAD decreased to EUR 386.0 billion (31 December 2022: EUR 391.1 billion), largely caused by the decrease in loans and advances and partly offset by a lower fair value adjustment from hedge accounting on residential mortgages.Total RWA rose to EUR 140.2 billion (31 December 2022: EUR 128.6 billion), predominantly driven by credit risk RWA. Credit risk RWA was up because of a new model risk add-on, the migration of specific portfolios from the Advanced IRB approach (A-IRB) to the Foundation IRB (F-IRB) and Standardised Approach (SA), partly offset by a decline in EAD. Market risk RWA increased by roughly EUR 175 million over the year. CVA risk RWA (counterparty credit risk) declined slightly over the year, while operational risk RWA declined by EUR 0.5 billion. At 31 December 2023, RWA add-ons for regulatory matters amounted to approximately EUR 23 billion (31 December 2022: approximately EUR 15.7 billion).Credit quality by internal rating scale mapped to stagesbThe 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. Reference is made to the Credit risk management section for more information on internal ratings and stage determination.31 December 2023 31 December 202244(in millions) PD scale UCR range Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalResidential mortgages0.000 - < 0.035 1 31 31 43 430.035 - < 0.127 2 63,726 1,583 65,309 64,113 1,438 65,5510.127 - < 0.465 3 51,973 2,824 54,797 50,689 2,286 52,9750.465 - < 2.225 4 22,404 3,808 26,212 24,677 2,442 27,1192.225 - < 16.971 5 457 2,366 2,823 889 2,518 3,40716.971 - < 100 6+ 79 535 613 38 486 524100 6-8 1,292 1,292 1,143 1,1431No ratingTotal residential mortgages138,671 11,115 1,292 151,078 140,450 9,169 1,143 150,762Consumer loans0.000 - < 0.035 1 625 2 628 661 4 6650.035 - < 0.127 2 797 5 802 1,492 6 1,4980.127 - < 0.465 3 2,708 43 2,751 2,748 130 2,8780.465 - < 2.225 4 2,728 185 2,914 3,444 223 3,6672.225 - < 16.971 5 118 158 276 280 290 57016.971 - < 100 6+ 681 73 755 496 96 591100 6-8 255 255 363 3631No ratingTotal consumer loans 7,658 467 255 8,380 9,121 749 363 10,232Corporate loans0.000 - < 0.035 1 11,791 77 11,867 8,964 122 9,0860.035 - < 0.127 2 8,429 140 8,569 9,677 253 9,9310.127 - < 0.465 3 19,018 1,565 20,583 16,678 2,499 19,1780.465 - < 2.225 4 27,152 4,460 31,612 27,925 7,042 34,9672.225 - < 16.971 5 1,990 3,004 4,994 3,137 3,478 6,61516.971 - < 100 6+ 4,935 1,062 5,997 2,709 559 3,267100 6-8 3,152 3,152 3,666 3,6661No rating8 8 13 9 22Total corporate loans73,324 10,308 3,152 86,784 69,103 13,963 3,666 86,731Other loans0.000 - < 0.035 1 15,339 37 15,376 14,776 37 14,8130.035 - < 0.127 2 8,205 8,205 8,988 8,9880.127 - < 0.465 3 3,586 3,586 4,607 4,6070.465 - < 2.225 4 2,996 2,996 1,946 1,9462.225 - < 16.971 5 71 7116.971 - < 100 6+ 26 14 40 46 36 82100 6-8 8 8 4 41No rating117 117 7 72Total other loans30,268 51 8 30,327 30,442 73 4 30,519Loan commitments and financial guarantee contracts0.000 - < 0.035 1 4,328 4 4,332 5,232 5,2330.035 - < 0.127 2 15,934 117 16,051 13,299 254 13,5530.127 - < 0.465 3 14,317 657 14,974 14,156 1,691 15,8470.465 - < 2.225 4 15,073 1,644 16,717 15,582 3,333 18,9152.225 - < 16.971 5 608 867 1,475 1,136 816 1,95216.971 - < 100 6+ 1,823 217 2,040 765 114 880100 6-8 965 965 700 7001No rating58 58 15 15Total loan commitments and financial 3guarantee contracts52,141 3,507 965 56,613 50,187 6,209 700 57,095Total0.000 - < 0.035 1 32,114 121 32,235 29,677 163 29,8400.035 - < 0.127 2 95,958 1,844 97,801 97,570 1,951 99,5210.127 - < 0.465 3 91,602 5,089 96,691 88,879 6,606 95,4860.465 - < 2.225 4 70,353 10,098 80,451 73,575 13,040 86,6152.225 - < 16.971 5 3,174 6,395 9,569 5,513 7,102 12,61516.971 - < 100 6+ 8,678 1,901 10,579 4,054 1,291 5,344100 6-8 5,672 5,672 5,874 5,8741No rating183 183 35 9 44Total 302,062 25,447 5,672 333,181 299,303 30,162 5,874 335,3391 Up till 31 December 2022 clients with a missing UCR-rating were reported under UCR6+, in line with treatment under Basel framework. From 31 December 2023 onwards they are reported in a separate category. Comparative figures have been adjusted.2 Total other loans includes Banks, Securities Financing and Government and official institutions.3 Total loan commitments and financial guarantee contracts exclude performance letters of credit.4 Including POCI.Compared to year-end 2022, the largest part of ABN AMRO\u2019s portfolio continues to be classified in the highest and medium internal ratings of stage 1. Stage 2 clients are primarily in the medium internal UCRs, primarily visible for corporate- and mortgage loans. Furthermore, the share of the portfolio with an investment grade (UCR 1 to UCR 3 bucket) increased marginally, mainly due to higher investment grade in corporate- and mortgage loans; the former resulting from higher trading positions of Clearing clients and the latter from new loan originations and overall improved client ratings.Approximately 3% 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 calculation purposes.Credit risk concentrationbGeographic concentrationThe 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.Geographic concentration by EADb31 December 2023Rest of (in millions, Exposure at Default) The Netherlands Rest of Europe USA Asiathe world Total1Institutions1,173 6,517 765 188 531 9,173Corporates 60,206 32,906 1,533 591 4,576 99,812Retail 161,714 469 54 71 39 162,347- of which secured by immovable property156,242 444 53 68 37 156,844- of which qualifying revolving exposures 1,397 1,397- of which other retail 4,076 25 1 3 2 4,106Securitisation positions 2,205 2,2052Total IRB225,297 39,892 2,352 850 5,145 273,5373Total SA61,173 32,830 10,307 2,934 2,060 109,3042, 3Total IRB and SA286,471 72,722 12,659 3,785 7,205 382,8412, 3Percentage of total IRB and SA74.8% 19.0% 3.3% 1.0% 1.9% 100.0%31 December 2022Rest of the The Netherlands Rest of Europe USA Asiaworld Total1Institutions1,151 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 property 154,613 426 45 61 29 155,174- of which qualifying revolving exposures 1,328 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 1,906 116,5822, 3Total IRB and SA297,817 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%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.Our exposure in the Netherlands decreased to 74.8% of the bank\u2019s portfolio (2022: 76.7%), as a result of lower exposure to the central bank (treated under the standardised approach) and the expansion of our activities in the rest of Europe. Clients in the rest of Europe are primarily located in neighbouring countries like Belgium, France and Germany. As the wind-down of the non-core CB portfolio has been finalized, our exposure in countries outside Europe remained approximately at the same level. Exposure in the USA is largely related to our clearing activities.Industry concentrationb31 December 2023 31 December 2022Gross carrying Percentage Gross carrying Percentage 3, 43, 4(in millions)amountof totalamountof totalLoans and advances banks 2,327 0.9% 2,990 1.2%1Financial services22,673 8.9% 21,734 8.4%Industrial goods and services 15,482 6.1% 16,763 6.5%Real estate15,896 6.2% 16,953 6.6%Oil and gas2,059 0.8% 2,565 1.0%Food and beverage 10,473 4.1% 9,953 3.9%Retail 4,347 1.7% 4,478 1.7%Healthcare 3,557 1.4% 3,736 1.4%Construction and materials 2,487 1.0% 3,010 1.2%Travel and leisure 2,902 1.1% 3,012 1.2%Utilities 2,777 1.1% 2,214 0.9%Automobiles and parts 1,949 0.8% 1,525 0.6%Technology2,348 0.9% 1,709 0.7%2Other7,249 2.8% 7,292 2.8%Total industry classification benchmark 94,199 36.9% 94,943 36.8%Private individuals (non-industry classification benchmark)158,255 62.0% 159,650 61.8%Public administration (non-industry classification benchmark) 285 0.1% 629 0.2%Total non-industry classification benchmark 158,540 62.2% 160,279 62.1%Total loans and advances customers 252,739 99.1% 255,222 98.8%3Total loans and advances255,066 100.0% 258,212 100.0%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.Compared to 2022, loans and advances to industry marginally declined. The movements in the industries were broadly in line with our strategy, visible in increased exposures to technology and utilities sectors and decline in the oil and gas sector.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 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.Management of forborne, past due and credit-impaired loansbCredit risk reporting scopeAlthough 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 are 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.Total loans and advances customersb31 December 2023 31 December 2022Fair value Less: Fair value Less: Gross adjustment Less: loan amortisation Gross adjustment Less: loan amortisation carrying from hedge impairment and depre-Carrying carrying from hedge impairment and depre-Carrying 33(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks 2,327 3 2,324 2,990 8 2,982Residential mortgages 151,078 -6,005 198 144,875 150,762 -9,489 153 141,1211Consumer loans8,380 147 8,233 10,232 277 9,9551Corporate loans86,784 96 1,254 85,626 86,731 154 1,590 85,295Other loans and advances 1customers6,497 3 6,494 7,497 5 7,491Total loans and 1advances customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Total loans and 1advances255,066 -5,909 1,605 247,551 258,212 -9,335 2,034 246,844Other 134,409 -1,640 187 2,224 130,358 138,201 -3,119 123 2,222 132,738Total assets 389,474 -7,549 1,792 2,224 377,909 396,414 -12,454 2,157 2,222 379,581Loans and advances 1customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Consumer loans at 2fair value through P&L648 648Corporate loans at fair value through P&L 59 59 66 66Total loans and advances customers 253,446 -5,909 1,602 245,935 255,288 -9,335 2,026 243,9271 Excluding loans at fair value through P&L.2 As a result of the implementation of IFRS 17 Insurance contracts, residential mortgages with an insurance feature and consumer loans with a death waiver have to be recorded at fair value through profit and loss.3 Excluding fair value adjustments from hedge accounting.Fair value adjustments from hedge accounting for residential mortgages and corporate loans result from entering into interest rate swaps to protect against changes in the fair value of fixed-rate assets due to changes in market interest rates. The fair value adjustment for mortgages decreased due to lower market interest rates.Forborne exposuresClients 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 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.Overview of forborne assetsb31 December 2023Performing assetsNon-performing assetsTotal Tem-Perma-Total per-Tem-Perma-non-per-Gross porary nent forming porary nent forming Total Forbe-carrying modifi-modifi-Refi-forborne modifi-modifi-Refi-forborne forborne arance 2amountcationcationnancingassetscationcationnancingassetsassetsratio(in millions)Loans and advances banks 2,327 0.0%Residential mortgages 151,078 516 14 531 506 10 1 517 1,048 0.7%1Consumer loans8,380 20 27 47 11 40 6 56 103 1.2%1Corporate loans86,784 564 1,548 370 2,482 294 1,303 288 1,884 4,367 5.0%Other loans and advances 1customers6,497 2 2 2 0.0%Total loans and advances 1customers252,739 1,101 1,589 371 3,060 810 1,352 296 2,459 5,519 2.2%1Total loans and advances255,066 1,101 1,589 371 3,060 810 1,352 296 2,459 5,519 2.2%Loans at FV through P&L 707 1 1 2 12 2 14 16 2.2%Total loans and advances 255,773 1,102 1,590 371 3,062 822 1,354 296 2,472 5,535 2.2%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.31 December 2022Performing assetsNon-performing assetsTotal Tem-Perma-Total per-Tem-Perma-non-per-Gross porary nent forming porary nent forming Total Forbear-carrying modifi-modifi-Refi-forborne modifi-modifi-Refi-forborne forborne ance 3amountcationcationnancingassetscationcationnancingassetsassetsratio(in millions)Loans and advances banks 2,990 0.0%Residential mortgages 150,762 545 22 2 569 489 15 503 1,072 0.7%1Consumer 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%Other loans and advances 1customers7,497 0.0%Total loans and advances 1, 2customers255,222 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1, 2Total loans and advances258,212 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%Loans at FV through P&L 66Total loans and advances 258,278 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.In 2023 the forbearance ratio improved to 2.2% (31 December 2022: 2.7%). Corporate loans and consumer loans with forbearance measures declined significantly as many clients that had received forbearance measures during the Covid pandemic came to the end of their minimum two-year probation period. Assets for mortgages remained largely unchanged. After three years of increased forbearance, forborne assets are back at their pre-Covid-19 level. Most of the recently applied forbearance measures are temporary. Approximately 35% of the total forborne exposures are now subject to a temporary measure (31 December 2022:approximately 30%), with the remainder relating to permanent measures such as covenant waivers and refinancing.Past due not classified as stage 3b31 December 2023Days 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 2,327 2,327 0.0%Residential mortgages 151,078 149,786 1,204 6 2 1,211 0.8%1Consumer loans8,380 8,125 90 17 37 143 1.7%1Corporate loans86,784 83,631 359 205 76 640 0.7%1Other loans and advances customers6,497 6,489 4 4 0.1%1Total loans and advances customers252,739 248,031 1,657 227 114 1,999 0.8%1Total loans and advances255,066 250,358 1,657 227 114 1,999 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.31 December 2022Days 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 2,990 2,990 0.0%Residential mortgages 150,762 149,619 879 52 7 939 0.6%1Consumer 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%1, 2Total loans and advances customers255,222 250,047 1,623 284 131 2,038 0.8%1, 2Total 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 which are transferred to impaired. Below these thresholds, amounts are reported on > 90 days past due.Past due exposuresWhen 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.Total arrears remained stable at EUR 2.0 billion, or 0.8% of total loans and advances, comparable to the position at 31 December 2022. Residential mortgages in arrears rose by EUR 0.3 billion, from 0.6% to 0.8%. The increase was particularly in the short-term bucket. Corporate loans in arrears registered a strong decline of EUR 0.3 billion, thus improving the past due ratio from 1% to 0.7%. This result was helped by increased efforts to monitor arrears.Coverage and stage ratiosb31 December 2023 31 December 2022Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 2323(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,290 3 0.1% 98.4% 2,953 8 0.3% 98.8%Residential mortgages 138,671 24 0.0% 91.8% 140,450 21 0.0% 93.2%1Consumer loans7,658 18 0.2% 91.4% 9,121 30 0.3% 89.1%1Corporate loans73,324 192 0.3% 84.5% 69,103 256 0.4% 79.7%1Other loans and advances customers6,475 0.0% 99.7% 7,457 0.0% 99.5%1Total loans and advances customers226,128 234 0.1% 89.5% 226,130 308 0.1% 88.6%Stage 2Loans and advances banks 37 0.0% 1.6% 37 0.0% 1.2%Residential mortgages 11,115 49 0.4% 7.4% 9,169 57 0.6% 6.1%1Consumer loans467 11 2.4% 5.6% 749 36 4.8% 7.3%1Corporate loans10,308 228 2.2% 11.9% 13,963 301 2.2% 16.1%1Other loans and advances customers14 1 7.9% 0.2% 36 2 5.6% 0.5%1Total loans and advances customers21,903 289 1.3% 8.7% 23,917 396 1.7% 9.4%Stage 3 and POCILoans and advances banksResidential mortgages 1,292 125 9.7% 0.9% 1,143 75 6.6% 0.8%1Consumer loans255 118 46.3% 3.0% 363 211 58.2% 3.5%1Corporate loans3,152 833 26.4% 3.6% 3,666 1,033 28.2% 4.2%1Other loans and advances customers8 2 27.1% 0.1% 4 3 83.9% 0.0%1Total loans and advances customers4,707 1,079 22.9% 1.9% 5,175 1,322 25.6% 2.0%Total of stages 1, 2, 3 and POCITotal loans and advances banks 2,327 3 0.1% 2,990 8 0.3%Residential mortgages 151,078 198 0.1% 150,762 153 0.1%1Consumer loans8,380 147 1.8% 10,232 277 2.7%1Corporate loans86,784 1,254 1.4% 86,731 1,590 1.8%1Other loans and advances customers6,497 3 0.1% 7,497 5 0.1%1Total loans and advances customers252,739 1,602 0.6% 255,222 2,026 0.8%1Total loans and advances255,066 1,605 0.6% 258,212 2,034 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2023: EUR 1 million; 31 December 2022: EUR 1 million).The stage 1 ratio improved to 89.5% (31 December 2022: 88.6%), partly due to the positive impact of macroeconomic scenarios used to calculate the provision. As the macroeconomic outlook improved, fewer clients showed a significant increase in credit risk (SICR), as measured by their life-time probability of default. Particularly in residential mortgages, a relatively improved outlook for the housing market supported the shift from stage 2 to stage 1. The stage 3 ratio increased only marginally from 0.8% to 0.9% due to portfolio changes. The decline in the coverage ratios of both stage 2 and stage 3 loans was largely attributable to the releases of management overlays.Purchased or Originated Credit Impaired (POCI)At 31 December 2023, loans classified as POCI amounted to EUR 5 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report.Exposure and impairment flowsThis 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 advancesb2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,421Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 228,023 23,851 5,091 256,965 233,537 21,183 6,701 261,421Transfer to stage 1 8,542 -8,417 -125 7,771 -7,662 -110Transfer to stage 2 -11,135 12,130 -996 -14,007 15,050 -1,044Transfer to stage 3 -1,131 -1,116 2,247 -864 -932 1,796Additional drawdowns and partial repayments -11,950 199 -8 -11,759 -25,287 -73 -71 -25,430Originated or purchased 37,428 37,428 48,595 48,595Matured or repaid -20,909 -4,609 -1,198 -26,715 -21,365 -3,728 -1,515 -26,608Write-offs -334 -334 -622 -623Foreign exchange -484 -92 -18 -594 826 44 38 908Other movements 33 -7 48 74 -123 71 1 -51Balance at 31 December 228,418 21,940 4,707 255,066 229,084 23,954 5,175 258,2121 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 marginally compared to 31 December 2022. The largest decrease was recorded for consumer loans, due to some of the loans being sold to a third party and also to the change in accounting treatment to IFRS17 for consumer loans with contingent elements. Other loans, too, showed a significant fall, primarily driven by seasonal business movements within Clearing Bank.The decrease in consumer and other loans was partly off-set by a marginal increase in residential mortgages.The amount of total stage 2 and stage 3 loans decreased markedly, due to a large amount of matured or repaid loans. In addition, stage transfers and write-offs for stage 3 also contributed to the overall decrease.Exposure flows per product class are presented in the Additional risk, funding & capital disclosures section.Loan impairment charges and allowancesb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2022 8 153 277 1,590 5 2,034 51Impact adopting IFRS 17 -100 -100Balance at 1 January 2023 8 153 177 1,590 5 1,934 51Transfer to stage 1 -4 -5 -20 -28 -1Transfer to stage 2 7 -1 -14 -9 2Transfer to stage 3 24 30 133 2 188 171Remeasurements-5 35 -15 -112 -4 -101 47Changes in risk parameters 3 6 -35 -26 -4Originated or purchased 4 3 32 39 8Matured or repaid -17 -8 -54 -79 -9Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Write-offs -1 -58 -274 -334Unwind discount / unearned interest accrued 2 3 29 1 34Foreign exchange and other movements -7 15 -20 -12 -1Balance at 31 December 2023 3 198 147 1,254 3 1,605 1092023Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Recoveries and other charges (releases) -14 -29 -67 -111 -902Total impairment charges for the period-5 37 -19 -139 -3 -128 -301 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 but also affected due to reclassification to IFRS17.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2021 10 82 276 2,053 4 2,426 153Transfer to stage 1 -3 -9 -21 -33 -2Transfer to stage 2 4 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters 57 12 61 130 2Originated or purchased 7 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 accrued 1 5 25 32Foreign exchange and other movements 3 27 29 8Balance at 31 December 2022 8 153 277 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 822Total 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.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2022: EUR 0 million.Loan impairment charges and allowances per stageb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 316 396 1,322 2,034 172 360 1,894 2,426Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 310 376 1,247 1,934 172 360 1,894 2,426Transfer to stage 1 109 -128 -10 -28 57 -74 -16 -33Transfer to stage 2 -41 90 -58 -9 -31 153 -107 15Transfer to stage 3 -15 -59 261 188 -17 -40 209 1521Remeasurements-125 44 -20 -101 50 23 -103 -30Changes in modelsChanges in risk parameters-31 -1 6 -26 44 56 30 130Originated or purchased 39 39 55 55Matured or repaid-11 -16 -53 -79 -14 -26 -79 -119Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Write-offs -334 -334 -622 -623Unwind discount / unearned interest accrued 34 34 32 32Foreign exchange and other movements 2 -18 4 -12 -1 -55 84 29Balance at 31 December 237 289 1,079 1,605 316 396 1,322 2,034Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Recoveries and other charges (releases) -111 -111 -103 -103Total impairment charges for the period -75 -69 16 -128 145 91 -169 671 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 but also affected by reclassification to IFRS17.2 Including POCI.An impairments release of EUR 158 million (EUR 128 million on balance and EUR 30 million off balance) was recorded for 2023 (2022: additions of EUR 39 million). Releases were attributable to a reduction of management overlays and other adjustments, partly offset by new and existing individually provisioned files.For corporate loans, releases of EUR 139 million were recorded in 2023 (2022: addition of EUR 39 million). This was caused by a decrease in adjustments due to recalibration and review of the IFRS9 models. In addition, the management overlays related to Covid-19 were terminated and the management overlay related to the geopolitical and market sensitivity was lowered. A further wind-down of our corporate portfolio also contributed to the release of impairments. This was partly offset by the introduction of a management overlay of EUR 25 million for climate transition risk, following the update of the climate and environmental risk materiality assessment.For residential mortgages, charges of EUR 37 million were recorded (2022: EUR 56 million). This was caused by the increase of management overlay for interest only mortgages, due to inherent credit risk not fully captured in our models.Individual and collective loan impairment allowances and management overlaysb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 352 695 2 750 78Total individual impairments 52 695 2 750 78Collective impairmentsStage 13 24 18 192 237 16Stage 2 49 11 228 1 289 121Stage 3125 66 138 329 3Total collective impairments3 198 95 558 1 855 31- of which management overlay 83 177 260Total impairments 3 198 147 1,254 3 1,605 109Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance 1,292 255 3,152 8 4,70731 December 2022Individual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 1 8 21 30 256 316 25Stage 2 57 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay 26 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 allowance 1,143 363 3,666 4 5,1751 Including POCI.During 2023, management overlays decreased to a total of EUR 260 million (31 December 2021: EUR 328 million). Overlays were mainly in place for risks in the corporate loans portfolio and comprised the following items: \u2022 A management overlay of EUR 86 million (31 December 2022: EUR 123 million) that is applied for the geopolitical effects that are not fully captured by the latest projections in our macroeconomic scenarios (previously: overlay for the war in Ukraine) \u2022 To cover anticipated additional risk costs relating to the wind-down of portfolios an overlay of EUR 31 million is in place. As the wind-down of the CIB non-core portfolio was completed this overlay was lowered in 2023 (31 December 2022: EUR 61 million) \u2022 A new overlay of EUR 25 million was introduced for climate transition risk, following an update of the climate and environmental risk materiality assessment \u2022 The overlay that was formed for the potential impact of the government\u2019s nitrogen reducing measures on clients in livestock farming businesses in the Netherlands amounting to EUR 35 million (31 December 2022: EUR 34 million)Management overlays to reflect the impact of covid-19 were ended, which led to a release of EUR 30 million. Furthermore a management overlay amounting to EUR 55 million at the end of 2022 that was introduced to capture potential differences between coverage ratios for collective provisions (MPS) and individual provisions (IPS) was also discontinued.Compared to 31 December 2022, management overlays for our mortgage portfolio increased as the overlay that covers the refinancing risk of interest-only mortgages was raised by EUR 57 million, to EUR 83 million.Macroeconomic scenarios in 2023bUnweighted Weighted 44(in millions) Weight Macroeconomic variable 2024 2025 2026 2027ECLECL1Real GDP Netherlands2.0% 2.0% 1.4% 1.2%Positive15% Unemployment23.7% 3.6% 3.5% 3.6% 7633House price index4.5% 2.0% 1.5% 2.5%Real GDP Netherlands 0.6% 1.1% 1.3% 1.2%Baseline60% Unemployment 4.1% 4.0% 4.0% 4.1% 822 855House price index 2.5% 0.5% 1.5% 2.0%Real GDP Netherlands -1.0% 1.0% 1.6% 1.4%Negative25% Unemployment 6.1% 5.6% 5.3% 5.1% 990House price index -7.5% -5.0% 1.3% 2.1%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.Macroeconomic scenarios in 2022bUnweighted Weighted 44(in millions) Weight Macroeconomic variable 2023 2024 2025 2026ECLECL1Real GDP Netherlands2.8% 2.6% 2.3% 1.6%Positive5% Unemployment23.9% 3.8% 3.7% 3.6% 1,0353House 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 1,138House 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% 1,240House 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.Credit risk mitigationbCollateral 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 guaranteesb31 December 2023Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureCarrying Less: Master Financial Other amount before balance-sheet netting instru-Property collateral - of which balance-sheet netting with Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettinggross liabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading 1,371 1,371 1,371Derivatives4,403 4,403 3,151 3,151 1,252Financial investments 41,501 41,501 41,501Securities financing 29,876 8,374 21,503 1,130 29,213 30,343 9,279 438Interest-bearing deposits 1,729 328 1,401 39 39 1,362Loans and advances729 729 490 489 980 487 236Other 194 194 194Total loans and advances banks 2,651 328 2,324 529 489 1,019 487 1,792Residential mortgages 150,880 150,880 2,567 271,233 613 274,413 128,748 5,216Consumer loans 8,233 8,233 3,444 4,501 55 8,000 2,874 3,107Corporate loans 86,413 883 85,530 1,812 36,311 52,909 3,717 94,749 39,523 30,304Other loans and advances customers6,494 6,494 203 36 5 244 15 6,264Fair value adjustment from hedge accounting -5,909 -5,909 -5,909Total loans and advances 1customers246,111 883 245,228 2,015 42,322 328,679 4,390 377,406 171,159 38,981Loans at fair value through P&L 707 707 1,385 1,385 988 309Total loans and advances customers 246,818 883 245,935 2,015 42,322 330,064 4,390 378,791 172,147 39,290Other assets 4,295 4,295 17 460 1,121 1,597 460 3,158Total on-balance sheet subject to netting and pledged agreements330,916 9,584 321,331 6,843 72,484 330,064 5,510 414,901 182,373 88,803Assets not subject to netting and pledged agreements 56,578 56,578 56,578Total assets 387,493 9,584 377,909 6,843 72,484 330,064 5,510 414,901 182,373 145,381Total off-balance sheet 91,967 91,967 2,640 10,739 807 14,186 4,963 82,745Total on- and off-balance sheet 479,461 9,584 469,876 6,843 75,124 340,803 6,317 429,087 187,336 228,1261 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 2022Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureCarrying Less: Master Financial Other amount before balance-sheet netting instru-Property collateral - of which balance-sheet netting with Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettinggross liabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading 907 907 907Derivatives 5,212 5,212 4,136 4,136 1,077Financial investments 39,034 39,034 39,034Securities financing 25,218 5,186 20,032 820 24,847 25,667 5,881 246Interest-bearing deposits 2,088 317 1,771 44 317 361 1,410Loans and advances 934 934 537 1,793 2,330 1,793 396Other 277 277 277Total loans and advances banks 3,300 317 2,982 582 1,793 317 2,692 1,793 2,083Residential mortgages 150,609 150,609 2,778 288,267 258 291,303 144,617 3,923Consumer loans 9,959 4 9,955 3,741 6,787 386 10,913 4,387 3,428Corporate loans 86,242 1,101 85,141 2,047 30,432 51,330 3,920 87,730 33,471 30,882Other loans and advances customers 7,491 7,491 377 50 19 446 18 7,064Fair value adjustment from hedge accounting -9,335 -9,335 -9,335Total loans and advances 1customers244,966 1,105 243,861 2,424 36,951 346,434 4,583 390,392 182,492 35,962Loans at fair value through P&L 66 66 66Total loans and advances customers 245,032 1,105 243,927 2,424 36,951 346,434 4,583 390,392 182,492 36,028Other assets 3,532 1 3,531 52 520 842 1,414 427 2,544Total on-balance sheet subject to netting and pledged agreements 322,235 6,609 315,626 8,013 64,110 346,434 5,742 424,300 190,593 81,919Assets not subject to netting and pledged agreements 63,955 63,955 63,955Total assets 386,190 6,609 379,581 8,013 64,110 346,434 5,742 424,300 190,593 145,875Total off-balance sheet 95,872 95,872 4,095 8,576 1,279 13,951 5,471 87,392Total on- and off-balance sheet 482,062 6,609 475,453 8,013 68,205 355,011 7,021 438,251 196,064 233,2671 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 decreased due to a reduction in property and equipment for residential mortgages, mainly due to falling house prices. As a result, surplus collateral also decreased. In the case of consumer loans, total risk mitigation and net exposure declined slightly. Financial instruments collateral increased alongside total risk mitigation for corporate loans. 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 increased to EUR 39.3 billion in 2023 (31 December 2022: EUR 36.0 billion). This was primarily driven by a lower fair value adjustment from hedge accounting, due to declining interest rates.Financial assets: offsetting, netting, collateral and guarantees for credit-impaired assetsbCollateral 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 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.31 December 2023Offset in the statement Not offset in the statement Net 4of financial positionof financial positionexposureCarrying Less: balance- Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and gua-Total risk surplus 123(in millions)nettingliabilitiesamountmentcollateralmentranteesmitigationcollateralLoans and advances banksResidential mortgages 1,167 1,167 11 2,015 2 2,028 862 1Consumer loans 137 137 11 67 4 82 23 78Corporate loans 2,319 2,319 762 1,674 156 2,592 711 438Other loans and advances customers 6 6 5 5 1Total loans and advances customers 3,629 3,629 784 3,756 167 4,707 1,596 518Total loans and advances 3,629 3,629 784 3,756 167 4,707 1,596 51831 December 2022Loans and advances banksResidential mortgages1,068 1,068 11 1,854 1 1,865 799 2Consumer loans151 151 23 71 11 105 32 79Corporate loans2,632 2,632 4 608 1,734 324 2,670 617 579Other loans and advances customers 1 1 1Total loans and advances customers 3,852 3,852 4 641 3,659 336 4,640 1,449 661Total loans and advances 3,852 3,852 4 641 3,659 336 4,640 1,449 6611 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.In line with the decrease in the stage 3 carrying amount (including POCI) to EUR 3.6 billion (31 December 2022: EUR 3.9 billion), total risk mitigation increased slightly to EUR 4.7 billion in 2023 (31 December 2022: EUR 4.6 billion). This increase was mainly observed in financial instruments and, to a lesser extent, property and equipment. The increase in property and equipment was caused by an increase for residential mortgages due to indexation. As the carrying amount of the stage 3 portfolio (including POCI) decreased, and the total risk mitigation increased, net exposure decreased by EUR 142 million to EUR 516 million at 31 December 2023.During 2023 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 at 31 December 2023 amounted to EUR 4 million (31 December 2022: 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 guaranteesb31 December 2023Offset 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 917 917 917Derivatives 2,856 2,856 1,994 1,994 861Securities financing 20,084 8,373 11,710 1,130 10,084 11,214 9,126 9,621Deposits 5,351 5,351 544 544 4,807OtherDue to banks 5,352 5,352 544 544 4,808Deposits 253,831 1,211 252,620 1,424 1,424 251,196Other borrowings 1,846 1,846 1,750 1,750 96Due to customers 255,677 1,211 254,466 3,174 3,174 251,292Other liabilities 5,741 5,741 2 5,743Total liabilities subject to netting arrangements 290,626 9,584 281,041 6,843 10,084 16,927 9,128 273,242Remaining liabilities not subject to netting 72,700 72,700 72,700Total liabilities 363,326 9,584 353,741 6,843 10,084 16,927 9,128 345,94231 December 2022Financial liabilities held for trading 641 641 641Derivatives 4,148 4,148 2,480 2,480 1,668Securities financing 14,839 5,186 9,652 820 13,798 14,618 6,478 1,512Deposits 17,531 32 17,499 688 688 16,811Other 10 10 10Due to banks 17,541 32 17,509 688 688 16,821Deposits 253,913 1,390 252,523 1,659 1,659 250,864Other borrowings 2,491 2,491 2,367 2,367 124Due to customers 256,405 1,390 255,015 4,026 4,026 250,989Other liabilities 5,187 1 5,187 5,187Total liabilities subject to netting arrangements 298,761 6,609 292,152 8,013 13,798 21,812 6,478 276,818Remaining liabilities not subject to netting 64,616 64,616 64,616Total liabilities 363,376 6,609 356,767 8,013 13,798 21,812 6,478 341,4341 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 bookbPositions 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: \u2022 Interest rate risk, arising from adverse changes in interest rate risk curves and/or interest rate volatilities; \u2022 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; \u2022 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 amount 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 bookbABN 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 procedureFor 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 capitalThe calculation of economic capital for market risk in the trading book is based on the daily VaR, SVaR and IRC at a 99.95% confidence level.Stress testing and scenario analysisStress 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 impact 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 positionsbABN 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).Internal aggregated diversified and undiversified VaR for all trading positionsb31 December 2023Foreign Total undiversified (in millions)exchange Interest rateVaR Diversified VaRVaR at last trading day of the period 0.1 3.0 3.1 3.1Highest VaR 0.4 8.2 8.3 8.3Lowest VaR 1.7 1.8 1.7Average VaR 0.1 3.9 4.0 3.931 December 2022VaR at last trading day of the period 0.2 4.1 4.3 4.2Highest VaR0.7 7.7 8.0 7.6Lowest VaR 7.5 0.8 0.8Average VaR 0.1 2.9 3.0 2.6Market risk management for the banking bookbABN 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.Interest rate risk in the banking bookInterest rate risk is the risk of losses in the economic value of equity or the bank\u2019s net interest income (NII) due to yield curve developments. In order to measure interest rate risk, models are used and assumptions on client behaviour are made, most importantly with respect to the maturity of savings and the prepayment of mortgages. These assumptions influence the anticipated interest cash flow pattern. Interest rate risk is continuously managed in line with the risk appetite, as the profile of assets and liabilities on the balance sheet can change if client behaviour changes.The main sources of interest rate risk are: \u2022 The maturity mismatch between assets and liabilities. ABN AMRO provides mortgages and commercial loans with fixed interest terms. These assets are funded by non-maturing deposits and wholesale funding with a shorter average interest maturity than the assets; \u2022 Client behaviour, which determines the maturity profile of some of our products. As we use models to predict this behaviour, we are exposed to model risk.ABN AMRO uses a combination of portfolio (macro) hedges and specific asset or liability (micro) hedges to manage the interest rate sensitivity in the banking book and keep it in line with the bank\u2019s strategy and risk appetite. Micro hedges are used to swap fixed funding transactions and fixed investments in the liquidity buffer for floating interest rate positions. In addition, macro hedging is applied in order to align with the bank\u2019s strategy to contribute to a stable NII while protecting the economic value of equity.Key assumptions for modelling client behaviourFrom an interest rate risk perspective, the following aspects of client behaviour are the most important: \u2022 Client behaviour with respect to early redemption of residential mortgages. This has a significant impact on the average interest maturity of the mortgage portfolio. Clients have the option to fully or partially prepay mortgages before maturity. Prepayments may be triggered by, for example, relocation, redemption or curtailment. An important driver of prepayments is the interest rate incentive, i.e. the difference between a client\u2019s current mortgage rate and prevailing mortgage rates. Future mortgage rates are simulated using a Monte Carlo approach. In addition to the interest rate incentive, other drivers such as loan age, seasonality and house price developments are also taken into account; \u2022 Client acceptance of the residential mortgage volume offered and the deviation between the offered rate and the actual coupon; \u2022 Client behaviour with respect to non-maturing deposits that are callable on demand. Future client rates for savings and current accounts are modelled using a replicating portfolio model. Modelled client rates depend on current or lagged yield curves and funding costs. A maximum maturity of 10 years is assumed. The resulting duration depends on product type and client behaviour.The metrics used for market risk in the banking book are dependent upon the assumptions made in the behavioural models. Models must therefore be based on extensive research, including historical data regarding observed client behaviour, and must be independently validated and approved by the mandated risk committees. Models are periodically assessed to determine whether they behave appropriately and are statistically sound; if required, they are adjusted.Risk measurement for interest rate riskInterest rate risk is measured by NII at risk, the present value of one basis point (PV01), and the economic value of equity (EVE) at risk. To ensure a comprehensive approach to risk management and identify potential weaknesses, the metrics are complemented by stress testing and scenario analysis. Stress testing and scenario analyses go beyond determining the impact of alternative developments of interest rates and include testing assumptions with respect to modelling and client behaviour. A combination of market and product floors is applied. These floors are reviewed periodically.For management purposes, the interest rate risk position is monitored by the Asset & Liability Committee (ALCO) on a monthly basis. The above metrics are also regularly reported to the Executive Board.Credit spread risk in the banking bookCredit spread risk is the risk of losses due to adverse movements in the credit spread of assets. The main source is from bonds held for liquidity purposes. It is measured as the impact on economic value of a 1bp change in spreads to a swap rate. The sensitivity is measured for individual term points, as well as for a parallel shift of the curve.Funding spread riskFunding spread risk is the risk of losses due to adverse movements in the term structure of rates at which ABN AMRO can fund itself \u2013 expressed as a spread to a benchmark such as EURIBOR. Funding spread movements can arise due to changes in, for example, the perceived credit quality of ABN AMRO, changes in the competitive environment or changes in liquidity premiums. They may be entity-specific or systemic by nature. If funding spreads widen, it costs more to fund assets on the balance sheet. Unless this increased spread is passed on to clients by increasing client rates, the projected net interest income will decrease. The funding spread risk is measured using an NII-at-risk approach whereby the funding spread increases.Foreign exchange riskForeign 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 euros. 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 euro.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.Risk management approachbThe 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 liquidity buffer consisting of a considerable amount of cash to survive the initial period of stress, and a portfolio of highly liquid assets that can swiftly 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 is managed centrally within ALM/Treasury. We incorporate liquidity costs into the pricing of our day-to-day business activities. In managing funding and liquidity risk, 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: \u2022 Stress testing: in monthly and ad-hoc stress tests we evaluate the impact of cash inflows and outflows under plausible stress scenarios, based on actual stress events. 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 liquidity risk management 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; \u2022 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; \u2022 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; \u2022 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; \u2022 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 risk 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 longer-term liquidity crisis. Contingency risk management entails: \u2022 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 position without unnecessarily jeopardising commercial activities, while limiting excessive funding costs in severe market circumstances; \u2022 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 our liquidity risk management framework; \u2022 Collateral posting to guarantee access to critical Financial Market Infrastructures (FMI): access to critical FMI is essential in conducting our business and collateral requirements may increase in times of stress. We monitor these potential additional collateral postings in our liquidity risk management framework; \u2022 Liquidity buffer: 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 covered bonds and cash.Liquidity buffer compositionb31 December 2023 31 December 2022Liquidity LCR Liquidity LCR buffereligiblebuffereligible(in billions, liquidity value) Level 1 Level 2 Level 1 Level 21Cash & central bank deposits51.4 51.4 58.6 58.6Government bonds 26.9 27.0 0.5 27.3 25.1 2.4Supra national & Agency bonds 10.1 10.5 9.1 9.5Covered bonds 5.0 4.6 0.1 2.9 2.5 0.2Retained covered bonds 16.1 5.5Other0.2 0.2 0.1 0.1Total liquidity buffer 109.7 93.5 0.8 103.6 95.7 2.7- of which ESG bonds 4.4 4.5 3.2 3.4- of which in EUR 90.7% 89.5%- of which in other currencies 9.3% 10.5%1 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.The 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.Our aim for the end of 2023 was to increase the green, social and sustainable (ESG) investments in the liquidity portfolio to EUR 3.5 billion. The liquidity value of our ESG bond holdings at 31 December 2023 amounted to EUR 4.4 billion (31 December 2022: EUR 3.2 billion), which represented 8% of total bonds in the liquidity buffer. Targeted investments are bonds where the proceeds are invested in a sustainability instrument in line with the Green Bond Principles, the Social Bond Principles or a combination of the two. Such bonds\u2019 inclusion in the liquidity portfolio is subject to availability of ESG Reporting, a thorough project selection process and sound management of proceeds. To preserve the portfolio\u2019s high quality and liquidity value, 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, we aim to support the growth of this market.Liquidity buffer currency diversificationb(in billions, liquidity value) 31 December 2023 31 December 2022EUR 99.5 92.7USD 8.0 8.2JPY 0.6 2.5GBP0.2 0.2SGD 1.4Total 109.7 103.6The previous table shows the breakdown per currency in the liquidity buffer. The currency composition reflects the composition of the balance sheet, which mainlyconsists of EUR and USD exposures. The monthly averages of the liquidity buffer are shown in the following table.Liquidity buffer composition - monthly averageb(in billions, liquidity value) 2023 20221Cash & central bank deposits60.2 67.6Government bonds 23.3 20.2Supra national & Agency bonds 8.1 6.5Covered bonds 3.9 2.5Retained covered bonds 11.1 0.5Other 0.8 0.3Total 107.6 97.51 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 breakdownb(in billions)300255.0254.524018012071.863.56017. 522.824 .25.49.711.711.010.4Due to Issued debt & Due to banks Securities Equity OthercustomersSubordinated liabilitiesfinancing31 December 202331 December 2022Liability and equity breakdownbClient deposits are our main source of funding, complemented by a well-diversified book of wholesale funding. The graph below shows the liability and equity breakdown for the full balance sheet. Client deposit volume remained stable in 2023.The graph below shows the breakdown of client deposits by segment.Breakdown of client depositsb(in billions)150122.9124.41251007564.666.260.658.050257.05.8Personal & Business Banking Wealth Management Corporate Banking Group Functions depositsdepositsdepositsdeposits31 December 202331 December 2022Available funding instrumentsbA 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 diversification in our investor base. The following table shows a breakdown of total funding instruments.Overview of funding instrumentsb(in millions) 31 December 2023 31 December 2022Commercial Paper/Certificates of Deposit 13,741 14,723Covered bonds 23,853 23,781Secured funding (long-term)23,853 23,781Senior preferred 12,726 8,219- of which green bonds2,832 1,385Senior non-preferred 15,907 9,536- of which green bonds 6,481 4,181Unsecured funding (long-term) 28,633 17,755Total issued debt 66,227 56,259Subordinated liabilities 5,572 7,290Wholesale funding 71,800 63,5501Other long-term funding3,538 14,2742Total funding instruments75,338 77,823- of which matures within one year 20,481 32,4201 Includes TLTRO funding (recorded in due to banks) and funding with the Dutch State as counterparty (recorded in due to customers).2 Includes FX effects, fair value adjustments and interest movements.Total funding instruments decreased to EUR 75.3 billion at 31 December 2023 (31 December 2022: EUR 77.8 billion), mainly driven by the partial repayment of TLTRO III borrowings and offset by an increase in issued debt. Total issued debt increased to EUR 66.2 billion at 31 December 2023 (31 December 2022: EUR 56.3 billion), reflecting the increase in unsecured funding instruments. Senior non-preferred funding increased to EUR 15.9 billion at 31 December 2023 (31 December 2022: EUR 9.5 billion) in order to meet MREL requirements. Subordinated liabilities decreased to EUR 5.6 billion at 31 December 2023 (31 December 2022: EUR 7.3 billion) in favour of senior non-preferred funding. Other long-term funding decreased to EUR 3.5 billion at 31 December 2023 (31 December 2022: EUR 14.3 billion) due to the repayment of EUR 11.0 billion of TLTRO III.Funding issuance in 2023bTotal long-term funding raised in 2023 amounted to EUR 13.4 billion. This included EUR 0.6 billion of ultra-long covered bonds, EUR 6.5 billion of senior preferred funding, EUR 5.6 billion of senior non-preferred funding and EUR 0.8 billion of subordinated liabilities. Deeply subordinated capital instruments (AT1 instruments) have been excluded from the long-term funding overview and are presented in the capital section, which provides a complete overview of all outstanding capital instruments.Long-term funding raised in 2023 and 2022b (notional amounts at issuance, in billions)1513.40.81298.06.50.11.561.60.634.85.620222023Senior non-preferredCovered bondsSenior preferred Subordinated liabilitiesOther fundingLong-term wholesale funding in non-euro currencies increased to 17.7% of total outstanding long-term wholesale funding, compared with 15.7% at 31 December 2022. In 2023, the bank raised its long-term wholesale funding mainly 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 diversification of total outstanding long-term fundingb(in billions)1511 .6120.98.72.090.80.61.30.766.77.3320222023USD CHF GBP OtherMaturity calendarb31 December 2023(notional amounts, in billions) 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 \u2265 2034 TotalCovered bonds 1.8 0.5 1.6 0.6 0.7 0.4 1.9 3.1 2.3 2.3 11.7 26.9Senior preferred 1.8 6.4 3.6 0.3 0.3 0.1 0.2 0.1 12.7Senior non-preferred 1.9 2.3 2.0 4.2 1.0 1.3 0.8 1.0 2.1 16.5Subordinated liabilities1.4 0.9 1.5 0.8 1.2 5.71,2Other long-term funding3.0 0.3 0.2 3.5Total long-term funding 6.6 10.2 8.6 4.6 5.9 1.4 3.2 4.4 3.0 3.3 13.9 65.231 December 20222023 2024 2025 2026 2027 2028 2029 2030 2031 2032 \u2265 2033 TotalTotal long-term funding 17.9 6.6 6.1 4.4 4.5 1.6 1.4 3.2 4.5 3.0 16.6 69.81 Other long-term funding includes TLTRO III and funding with the Dutch State as counterparty.2 The TLTRO III of EUR 3.0 billion is reported at the original legal maturity of three years.We target a maturity profile where redemptions of funding instruments are well spread over time. The average remaining maturity of outstanding long-term funding remained stable at 5.8 years at year-end 2023 (5.7 years at year-end 2022). The average remaining maturity of newly issued wholesale funding decreased to 3.3 years at year-end 2023 (down from 9.4 years at year-end 2022). This was mainly due to the reduced issuance of covered bonds with longer tenors (15-20 years), reflecting the shorter fixed-interest rate periods of new mortgage production. The maturity calendar assumes redemption on the earliest possible call date or the legal maturity date, which does not mean that the instruments will actually be called on the earliest possible call date. Early redemption of subordinated liabilities is subject to approval by the regulator.Gross carrying amount \u2013 residential mortgagesb2023 20221, 21, 21, 2, 31, 2, 31, 21, 21, 2, 31, 2, 3(in millions) Stage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3TotalBalance at 1 January 140,450 9,169 1,143 150,762 137,063 8,025 1,264 146,351Transfer to stage 12,927 -2,922 -5 3,838 -3,823 -15Transfer to stage 2-6,111 6,435 -324 -6,587 7,023 -436Transfer to stage 3-306 -383 689 -257 -338 595Additional drawdowns and partial repayments-10,497 -904 -7 -11,408 -14,064 -1,509 -232 -15,805Originated or purchased13,824 13,824 22,879 22,879Matured or repaid-1,605 -280 -202 -2,088 -2,421 -208 -31 -2,660Write-offs-1 -1 -3 -3Foreign exchange1 1 1Other movements-11 -11Balance at 31 December 138,671 11,115 1,292 151,078 140,450 9,169 1,143 150,7621 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 \u2013 consumer loansb2023 20221, 21, 21, 2, 31, 21, 21, 2, 3(in millions) Stage 1Stage 2Stage 3Total Stage 1Stage 2Stage 3TotalClosing balance of the previous year 9,121 749 363 10,232 9,348 1,037 409 10,794Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 8,060 646 279 8,985 9,348 1,037 409 10,794Transfer to stage 1 298 -285 -13 443 -433 -11Transfer to stage 2 -259 274 -15 -343 360 -17Transfer to stage 3 -52 -34 86 -50 -58 108Additional drawdowns and partial repayments -452 9 19 -424 -340 -24 -11 -375Originated or purchased 1,433 1,433 1,911 1,911Matured or repaid -1,430 -144 -42 -1,617 -1,852 -134 -51 -2,037Write-offs -58 -58 -65 -65Foreign exchange1 3 4Other movements 60 60Balance at 31 December 7,658 467 255 8,380 9,121 749 363 10,2321 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 \u2013 corporate loansb2023 20221, 21, 21, 2, 31, 21, 21, 2, 3(in millions) Stage 1Stage 2Stage 3Total Stage 1Stage 2Stage 3TotalBalance at 1 January 69,103 13,963 3,666 86,731 69,364 12,075 5,019 86,458Transfer to stage 15,317 -5,210 -107 3,472 -3,388 -84Transfer to stage 2 -4,764 5,420 -657 -7,040 7,631 -591Transfer to stage 3 -773 -695 1,467 -557 -536 1,093Additional drawdowns and partial repayments302 1,098 -19 1,381 -3,391 1,449 175 -1,767Originated or purchased 21,897 21,897 23,683 23,683Matured or repaid -17,389 -4,170 -954 -22,513 -16,920 -3,381 -1,431 -21,732Write-offs -274 -274 -555 -556Foreign exchange -350 -92 -18 -461 577 43 37 657Other movements -19 -7 48 22 -84 71 1 -131, 2Balance at 31 December73,324 10,308 3,152 86,784 69,103 13,963 3,666 86,7311 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 \u2013 off-balanceb2023 202211(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January50,187 6,209 700 57,095 50,199 6,019 1,271 57,488Transfer to stage 1 2,543 -2,505 -38 1,960 -1,923 -37Transfer to stage 2 -1,564 1,632 -68 -2,801 2,958 -157Transfer to stage 3 -139 -90 230 -81 -82 164Additional drawdowns and partial repayments -8,615 -1,421 165 -9,872 -9,513 -668 -547 -10,728Originated or purchased 10,341 10,341 10,701 10,701Matured or repaid -519 -302 -22 -844 -549 -138 -687Foreign exchange -91 -15 -2 -108 271 42 7 320Balance at 31 December 52,141 3,507 965 56,613 50,187 6,209 700 57,0951 Including POCI.Loan impairment charges and allowances \u2013 residential mortgagesb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 21 57 75 153 8 22 52 82Transfer to stage 1 14 -18 -1 -4 6 -8 -1 -3Transfer to stage 2 -2 28 -19 7 -2 20 -14 4Transfer to stage 3-1 -5 30 24 -1 -2 21 171Remeasurements-13 -6 54 35 -12 5 16 9Changes in modelsChanges in risk parameters 4 -1 3 17 28 12 57Originated or purchased 4 4 7 7Matured or repaid -1 -6 -10 -17 -1 -7 -10 -18Impairment charges (releases) on loans and advances4 -7 54 51 13 35 25 73Write-offs-1 -1 -3 -3Unwind discount / unearned interest accrued 2 2 1 1Foreign exchange and other movements-1 -2 -4 -7Balance at 31 December 24 49 125 198 21 57 75 153Impairment charges (releases) on loans and advances 4 -7 54 51 13 35 25 73Recoveries and other charges (releases) -14 -14 -17 -17Total impairment charges for the period 4 -7 39 37 13 35 8 561 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loansb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 30 36 211 277 23 45 208 276Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 25 16 136 177 23 45 208 276Transfer to stage 1 7 -7 -4 -5 13 -17 -5 -9Transfer to stage 2 -3 8 -6 -1 -2 11 -9Transfer to stage 3 -3 -2 35 30 -5 42 371Remeasurements-11 -4 -15 -9 -1 37 27Changes in modelsChanges in risk parameters6 6 3 3 6 12Originated or purchased 3 3 4 4Matured or repaid-2 -1 -6 -8 -2 -1 -9 -12Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Write-offs -58 -58 -65 -65Unwind discount / unearned interest accrued 3 3 5 5Foreign exchange and other movements 2 1 11 15 2 3Balance at 31 December 18 11 118 147 30 36 211 277Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Recoveries and other charges (releases) -29 -29 -45 -45Total impairment charges for the period -9 -6 -4 -19 7 -10 16 141 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 256 301 1,033 1,590 130 291 1,632 2,053Transfer to stage 1 88 -103 -5 -20 38 -49 -10 -21Transfer to stage 2 -36 55 -33 -14 -27 123 -84 11Transfer to stage 3-10 -51 194 133 -15 -34 147 981Remeasurements-96 54 -71 -112 74 18 -156 -64Changes in risk parameters -34 -1 -35 24 25 12 61Originated or purchased 32 32 44 44Matured or repaid -9 -9 -37 -54 -10 -18 -60 -88Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Write-offs -274 -274 -555 -556Unwind discount / unearned interest accrued29 29 25 25Foreign exchange and other movements 1 -17 -3 -20 -1 -55 82 27Balance at 31 December 192 228 833 1,254 256 301 1,033 1,590Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Recoveries and other charges (releases) -67 -67 -42 -42Total impairment charges for the period -65 -55 -19 -139 127 65 -194 -11 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 25 16 10 51 17 20 116 153Transfer to stage 14 -5 -1 6 -8 -2Transfer to stage 2 -4 5 2 -2 5 4Transfer to stage 3 17 17 -1 11Remeasurements-7 -1 55 47 -4 -115 -120Changes in risk parameters -4 -4 1 1 2Originated or purchased 8 8 12 12Matured or repaid -7 -2 -9 -4 -3 -7Impairment charges (releases) -10 -3 72 60 9 -4 -114 -110Foreign exchange and other movements 1 -1 -1 -1 8 8Balance at 31 December16 12 81 109 25 16 10 51Impairment charges (releases) on off-balance -10 -3 72 60 9 -4 -114 -1102Other charges (releases)-90 -90 82 82Total impairment charges for the period -10 -3 -18 -30 9 -4 -32 -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 but also affected by reclassification to IFRS17.2 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 qualityb31 December 2023Forborne assets Forborne assets Total not past due and past due, but Impaired forborne not stage 3 not stage 3 forborne Specific Collective Total (in millions)assetsor POCIor POCIassetsallowanceallowanceallowanceLoans and advances banksResidential mortgages 1,048 639 8 400 47 47Consumer loans 103 32 16 56 5 14 20Corporate loans 4,367 2,471 12 1,884 404 95 499Other loans and advances customers 2 2 1 1Total loans and advances customers 5,519 3,142 35 2,342 410 156 566Total loans and advances 5,519 3,142 35 2,342 410 156 566Loans at FV through P&L 16 15Total loans and advances 5,535 3,157 36 2,342 410 156 56631 December 2022Loans and advances banksResidential mortgages 1,072 622 69 382 34 341Consumer loans181 87 5 88 4 54 581Corporate loans5,655 3,12988 2,439515154 6691Total loans and advances customers6,909 3,838 162 2,909 519 242 7601Total loans and advances6,909 3,838 162 2,909 519 242 760Loans at FV through P<otal loans and advances 6,909 3,838 162 2,909 519 242 7601 Excluding loans at fair value through P&L.Forborne assets by geographyb31 December 2023(in millions) The Netherlands Rest of Europe USA Asia Rest of the world TotalLoans and advances banksResidential mortgages 1,046 1 1,0481Consumer loans82 21 1031Corporate loans3,400 784 99 2 82 4,3671Other loans and advances customers2 21Total loans and advances customers4,528 807 99 2 83 5,5191Total loans and advances4,528 807 99 2 83 5,519Loans at FV through P&L 16 16Total loans and advances 4,544 807 99 2 83 5,53531 December 2022Loans and advances banksResidential mortgages 1,064 8 1,0721Consumer loans147 34 1811Consumer loans4,513 930 78 2 132 5,6551Other loans and advances customers1Total loans and advances customers5,725 972 78 3 132 6,9091Total loans and advances5,725 972 78 3 132 6,909Loans at FV through P<otal loans and advances 5,725 972 78 3 132 6,9091 Excluding loans at fair value through P&L.Forborne assets by business segmentb(in millions) 31 December 2023 31 December 2022Personal & Business Banking 1,984 2,358Wealth Management 272 243Corporate Banking 3,278 4,307Total forborne assets 5,535 6,909Maturity overview of assets and liabilitiesbThe following table shows financial assets and liabilities arranged by the earliest possible contractual maturity.Contractual maturity of assets and liabilitiesb31 December 2023Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssetsCash and balances at central banks 53,656 53,656Financial assets held for trading 13 18 57 35 72 178 495 504 1,371Derivatives4,038 15 7 1 17 6 62 259 4,403Financial investments814 1,188 1,865 2,549 2,104 4,707 12,115 15,320 838 41,501Securities financing 1,098 18,141 1,265 996 2 21,503Loans and advances banks 814 561 26 223 22 22 182 473 2,324Loans and advances customers 8,498 9,836 4,986 3,321 7,834 13,814 34,399 163,246 245,935Other assets 3,001 2,647 724 63 146 14 534 89 7,218Total assets 67,895 4,038 32,404 8,931 7,188 10,197 18,741 47,787 179,891 838 377,909LiabilitiesFinancial liabilities held for trading 3 79 22 95 25 89 233 370 917Derivatives 2,422 39 7 6 2 24 82 274 2,856Securities financing 301 10,653 753 2 11,710Due to banks 870 806 180 3,159 45 76 53 163 5,352Due to customers203,764 25,275 7,022 5,638 4,382 595 1,665 6,124 254,466Issued debt 16 7,169 6,997 2,167 1,014 8,858 15,347 24,660 66,227- of which senior secured 1,531 116 30 166 497 2,868 18,645 23,853- of which senior unsecured1,557 121 31 116 8,294 12,479 5,993 28,590- of which other 16 4,081 6,761 2,106 732 67 22 13,784Subordinated liabilities 1,342 3,210 1,020 5,572Other liabilities 1,987 3,593 426 64 24 538 5 6 6,641Total liabilities 206,942 2,422 47,614 15,407 11,129 5,493 11,523 20,595 32,617 353,741Total equity24,168 24,168Total liabilities and equity 206,942 2,422 47,614 15,407 11,129 5,493 11,523 20,595 32,617 24,168 377,909Off-balance sheet liabilitiesCommitted credit facilities53,968 53,968Guarantees and other commitments 6,289 6,289Total off-balance sheet liabilities 60,257 60,25731 December 2022Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssetsCash and balances at central banks 60,865 60,865Financial assets held for trading 28 32 90 49 64 56 251 337 907Derivatives1 4,831 6 36 14 32 292 5,212Financial investments594 1,204 1,232 3,024 3,903 5,367 12,437 10,647 626 39,034Securities financing 548 15,293 3,146 1,045 20,032Loans and advances banks 1,296 864 78 31 714 2,982Loans and advances customers 17,949 7,258 5,659 3,694 8,851 14,580 32,588 153,348 243,927Other assets 2,688 2,107 1,242 94 30 386 73 6,622Total assets 83,968 4,831 26,765 11,369 7,907 12,884 20,096 45,725 165,411 626 379,581LiabilitiesFinancial liabilities held for trading 2 92 1 55 7 23 209 252 641Derivatives 1 3,671 24 1 2 19 22 63 346 4,148Securities financing 419 9,034 200 9,652Due to banks 1,568 912 235 11,327 130 3,070 115 152 17,509Due to customers223,772 15,755 3,747 1,657 1,670 422 1,484 6,507 255,015Issued debt 3,665 10,261 1,052 4,074 3,585 9,913 23,709 56,259- of which senior secured20 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 14,723Subordinated liabilities 1,027 1,401 103 3,731 1,028 7,290Other liabilities 2,810 2,620 430 27 18 330 18 6,253Total liabilities 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 356,767Total equity22,814 22,814Total liabilities and equity 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 22,814 379,581Off-balance sheet liabilitiesCommitted credit facilities53,873 53,873Guarantees and other commitments 7,651 7,651Total off-balance sheet liabilities 61,524 61,524Maturity based on contractual undiscounted cash flowsbThe following tables show financial assets and liabilities arranged by the earliest possible contractual maturity.31 December 2023Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssets:Cash and balances at central banks 53,656 53,656Financial assets held for trading 13 19 60 42 85 198 522 528 1,468Derivatives4,038 53 155 366 683 1,235 2,476 2,524 11,531Financial investments814 1,216 1,973 2,799 2,541 5,410 13,141 16,239 838 44,970Securities financing 1,098 18,179 1,280 1,006 2 21,565Loans and advances banks 814 604 136 459 398 711 1,415 1,658 6,195Loans and advances customers 8,498 10,196 6,362 6,679 13,988 24,670 55,972 184,582 310,948Other assets 3,001 2,647 725 65 149 19 537 90 7,234Total undiscounted assets67,895 4,038 32,915 10,692 11,417 17,845 32,243 74,063 205,622 838 457,567Of which:Gross settled derivatives not held for trading:Contractual amounts receivable 273 100 108 117 211 457 160 1,426Contractual amounts payable 269 94 131 104 191 383 119 1,289Total undiscounted gross settled derivatives not held for trading 5 6 -23 13 20 75 41 137Net settled derivatives not held for trading160 355 89 282 746 1,554 2,481 5,667Liabilities:Financial liabilities held for trading 3 80 23 98 29 96 243 379 951Derivatives 2,422 101 234 563 1,047 1,883 3,571 3,682 13,503Securities financing 301 10,676 758 2 11,737Due to banks870 814 205 3,192 55 90 78 188 5,491Due to customers 203,764 25,308 7,083 5,740 4,497 779 2,016 6,468 255,657Issued debt 16 7,249 7,273 2,781 2,137 10,615 18,099 27,187 75,356Subordinated liabilities 12 49 123 233 1,683 3,496 1,211 6,808Other liabilities 1,987 3,583 417 51 2 535 4 4 6,583Total liabilities 206,942 2,422 47,822 16,044 12,546 8,002 15,681 27,506 39,119 376,085- of which:Gross settled derivatives not held for trading:Contractual amounts receivable 297 158 70 36 21 13 22 618Contractual amounts payable 150 102 47 30 24 14 15 383Total undiscounted gross settled derivatives not held for trading -147 -56 -23 -6 3 1 -8 -235Net settled derivatives not held for trading 418 -42 121 266 117 211 1,075 2,167Net liquidity gap -139,047 1,616 -14,907 -5,352 -1,130 9,843 16,562 46,557 166,503 838 81,482Off-balance sheet liabilitiesCommitted credit facilities 53,968 53,968Guarantees and other commitments 6,289 6,289Total off-balance sheet liabilities 60,257 60,25731 December 2022Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssetsCash and balances at central banks 60,865 60,865Financial assets held for trading 28 32 91 51 68 64 262 347 944Derivatives1 4,831 28 84 210 404 670 1,434 1,663 9,325Financial investments594 1,224 1,309 3,203 4,197 5,812 13,001 11,127 626 41,092Securities financing 548 15,305 3,155 1,049 20,056Loans and advances banks 1,296 868 9 22 41 150 191 877 3,453Loans and advances customers 17,949 7,492 6,558 5,879 12,829 21,534 46,385 166,989 285,614Other assets 2,688 2,108 1,242 95 31 2 388 74 6,627Total undiscounted assets83,968 4,831 27,057 12,448 10,508 17,571 28,231 61,660 181,077 626 427,978Of which:Gross settled derivatives not held for trading:Contractual amounts receivable17 42 31 87 142 411 282 1,012Contractual amounts payable 10 17 34 66 127 354 230 837Total undiscounted gross settled derivatives not held for trading 7 25 -3 21 15 57 52 175Net settled derivatives not held for trading52 160 80 392 940 2,529 4,247 8,401LiabilitiesFinancial liabilities held for trading 2 92 1 57 11 29 219 261 674Derivatives 1 3,671 60 135 337 633 1,120 2,292 2,596 10,844Securities financing 419 9,038 200 9,657Due to banks1,568 911 230 11,320 125 3,068 113 151 17,488Due to customers 223,772 15,757 3,752 1,666 1,684 446 1,531 6,553 255,161Issued debt 3,707 10,407 1,358 4,603 4,474 11,468 25,183 61,198Subordinated liabilities 1,041 1,449 200 181 343 4,007 1,202 8,424Other liabilities 2,810 2,616 427 23 11 329 17 6,234Total 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 receivable677 247 53 82 29 7 1,096Contractual amounts payable165 133 69 110 64 16 558Total undiscounted gross settled derivatives not held for trading -512 -114 16 28 36 9 -537Net settled derivatives not held for trading 54 120 273 480 271 213 809 2,222Net liquidity gap -144,604 1,161 -6,165 -4,154 -4,453 10,321 18,422 42,013 145,131 626 58,297Off-balance sheet liabilitiesCommitted credit facilities 53,873 53,873Guarantees and other commitments 7,651 7,651Total off-balance sheet liabilities 61,524 61,52431 December 2023 31 December 2022Up to More than Up to More than (in millions)one yearone year Totalone yearone year TotalAssetsCash and balances at central banks 53,656 53,656 60,865 60,865Financial assets held for trading 1,371 1,371 907 907Derivatives4,038 365 4,403 4,831 381 5,212Financial investments8,440 33,061 41,501 9,848 29,186 39,034Securities financing 20,830 673 21,503 19,117 916 20,032Loans and advances banks 1,494 829 2,324 1,732 1,250 2,982Residential mortgages 10,591 134,284 144,875 14,377 126,744 141,121Consumer loans at amortised cost 2,261 5,972 8,233 2,305 7,650 9,955Consumer loans at fair value through P&L 178 470 648Corporate loans at amortised cost 33,731 51,895 85,626 36,896 48,398 85,295Corporate loans at fair value through P&L 23 36 59 28 37 66Other loans and advances customers5,975 519 6,494 6,789 703 7,491Equity-accounted investments 333 333 474 474Property and equipment713 264 978 673 315 988Goodwill and other intangible assets 99 99 108 108Assets held for sale 130 130 13 13Tax assets 327 327 565 565Other assets 4,848 503 5,351 323 4,150 4,473Total assets 148,706 229,203 377,909 159,377 220,204 379,581LiabilitiesFinancial liabilities held for trading 917 917 641 641Derivatives2,422 434 2,856 3,671 477 4,148Securities financing 11,448 262 11,710 8,822 830 9,652Due to banks 5,008 344 5,352 13,847 3,662 17,509Current accounts 21,862 78,086 99,948 15,126 106,905 122,030Demand deposits 5,846 95,097 100,943 100,397 100,397Time deposits 45,068 6,660 51,728 21,611 8,485 30,096Other due to customers 72 1,775 1,846 198 2,293 2,491Issued debt 17,517 48,711 66,227 19,298 36,961 56,259Subordinated liabilities5,572 5,572 2,520 4,770 7,290Provisions 734 7 742 1,030 13 1,044Tax liabilities 159 159 22 22Other liabilities 5,726 15 5,741 5,187 5,187Total liabilities 116,779 236,962 353,741 86,787 269,980 356,767Expected maturity based on behavioural modelsbThe 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.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.3 Overview of financial assets and liabilities by measurement base31 December 2023Fair value through Fair value through Fair value through Amortised profit or loss - profit or loss - other comprehensive (in millions)costtradingotherincome TotalFinancial assetsCash and balances at central banks 53,656 53,656Financial assets held for trading 1,371 1,371Derivatives4,038 365 4,403Financial investments838 40,663 41,501Securities financing 21,503 21,503Loans and advances banks 2,324 2,3241Loans and advances customers245,228 707 245,935Other financial assets 4,217 4,217Total financial assets 326,927 5,409 1,910 40,663 374,909Financial liabilitiesFinancial liabilities held for trading 917 917Derivatives 2,422 434 2,856Securities financing 11,710 11,710Due to banks 5,352 5,352Due to customers254,466 254,466Issued debt 66,005 222 66,227Subordinated liabilities 5,572 5,572Other financial liabilities 3,510 3,510Total financial liabilities 346,616 3,339 656 350,6101 Loans and advances customers includes the impact of the implementation of IFRS 17 Insurance contracts. Residential mortgages with an insurance feature and consumer loans with a death waiver have been recorded at Fair value through Profit or Loss \u2013 Other.31 December 2022Fair value through Fair value through Fair value through Amortised profit or loss - profit or loss - other comprehensive (in millions)costtradingotherincome TotalFinancial assetsCash and balances at central banks60,865 60,865Financial assets held for trading 907 907Derivatives 4,831 381 5,212Financial investments 626 38,408 39,034Securities financing20,032 20,032Loans and advances banks 2,982 2,982Loans and advances customers 243,861 66 243,927Other financial assets 3,457 3,457Total financial assets 331,198 5,739 1,072 38,408 376,417Financial liabilitiesFinancial liabilities held for trading 641 641Derivatives 3,671 477 4,148Securities financing 9,652 9,652Due to banks17,509 17,509Due to customers 255,015 255,015Issued debt 56,036 223 56,259Subordinated liabilities 7,290 7,290Other financial liabilities 3,127 3,127Total financial liabilities 348,629 4,312 700 353,6414 Net interest incomeAccounting policy for net interest incomeInterest income and expenses on financial instruments are recognised in the income statement on an accrual basis using the effective interest rate method, except where financial instruments are 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 with 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 expenses on trading balances are 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.(in millions) 2023 2022Interest income calculated using the effective interest method 15,849 7,698Other interest and similar income334 236Interest income 16,183 7,934Interest expense calculated using the effective interest method9,812 2,455Other interest and similar expense92 57Interest expense 9,904 2,512Net interest income 6,278 5,422Interest income(in millions) 2023 2022Interest income from:Financial investments at fair value through other comprehensive income 657 525Securities financing1,417 454Loans and advances banks 2,350 388Loans and advances customers 8,822 6,308Non-trading derivatives - hedge accounting - Cash flow hedges 267 322Non-trading derivatives - hedge accounting - Fair value hedges2,078 -897Other258 598Interest income calculated using the effective interest method 15,849 7,698Financial assets at fair value through profit or loss 46 2Non-trading derivatives - no hedge accounting 83 78Other 205 156Other interest and similar income 334 236Total interest income 16,183 7,934Interest expense(in millions) 2023 2022Interest expenses from:Securities financing 961 262Due to banks 524 119Due to customers 4,043 833Issued debt1,871 932Subordinated liabilities282 337Non-trading derivatives - hedge accounting - Cash flow hedges 1,343 472Non-trading derivatives - hedge accounting - Fair value hedges 1,137 -498Other -348 -2Interest expense calculated using the effective interest method 9,812 2,455Financial liabilities at fair value through profit or loss9 13Non-trading derivatives - no hedge accounting 58 22Other 24 22Other interest and similar expense 92 57Total interest expense 9,904 2,5127 Net trading incomeAccounting policy for net trading incomeIn 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 affect 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.(in millions) 2023 2022Interest instruments trading69 155Equity and commodity trading 1Foreign exchange transaction results 143 127Total net trading income 213 2828 Net gains/(losses) on derecognition of financial assets measured at amortised costAccounting policy derecognition of financial assetsThe 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.The net losses on derecognition of financial assets measured at amortised cost comprise EUR 50 million gains and EUR 125 million losses and relate to several smaller portfolio sales.13 Cash and balances at central banksAccounting policy for cash and balances at central banksCash 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.(in millions) 31 December 2023 31 December 2022AssetsCash on hand and other cash equivalents299 342Balances with central banks readily convertible in cash other than mandatory reserve deposits53,357 60,523Total cash and balances at central banks 53,656 60,86514 Financial assets and liabilities held for tradingAccounting policy for financial assets and liabilities held for tradingIn 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 2023 31 December 2022Trading securitiesGovernment bonds341 214Corporate debt securities1,019 681Equity securities1 10Total trading securities 1,361 906Other trading assets10 1Total financial assets held for trading 1,371 907These portfolios consist of primary dealership positions held by ABN AMRO Bank N.V. in the respective countries and positions held for the purpose of client facilitation.Financial liabilities held for trading(in millions) 31 December 2023 31 December 2022Bonds814 609Equity securities7 1Total short security positions 821 610Other liabilities held for trading96 32Total financial liabilities held for trading 917 64115 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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 2023Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets4 4Fair value liabilities1 1Notionals3,273 30 3,303Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,428,191 1,049 112,795 1,542,035Other bilateralFair value assets3,527 505 2 41 271 53 4,399Fair value liabilities1,946 470 5 66 82 286 2,855Notionals255,738 36,794 286 597 24,873 85,602 403,889TotalFair value assets3,531 505 2 41 271 53 4,403Fair value liabilities1,946 470 5 66 82 286 2,856Notionals 1,687,201 36,824 286 1,645 24,873 198,398 1,949,22731 December 2022Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets51 51Fair value liabilities10 10Notionals15,853 5 15,858Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,331,761 886 101,439 1,434,086Other bilateralFair value assets4,035 742 3 46 312 23 5,161Fair value liabilities2,841 817 3 95 48 334 4,138Notionals206,343 54,289 241 661 17,468 89,813 368,814TotalFair value assets4,086 742 3 46 312 23 5,212Fair value liabilities2,851 817 3 95 48 334 4,148Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,75816 Hedge accountingAccounting policy for hedge accountingABN 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 chapter.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:\u2022 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and\u2022 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 UnionAs 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 hedgesABN 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 accountingHedging 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:\u2022 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;\u2022 The difference in discounting between the hedged item and the hedging instrument; and\u2022 Potential differences in maturities of the interest rate swap and the loans or notes.Macro fair value hedge accountingABN 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:\u2022 denominated in local currency (euros);\u2022 fixed term to maturity or repricing;\u2022 pre-payable amortising or fixed principal amounts;\u2022 fixed interest payment dates;\u2022 no interest rate options;\u2022 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:\u2022 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent that the difference would lead to over-hedging; and \u2022 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages).Cash flow hedgesABN 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 immediately recognised in other operating income. 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:\u2022 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\u2022 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 until their maturity.The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped by 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 cash flows projected for the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If no projected cash flows are available in the corresponding bucket with 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 operationsABN 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 accountingThe 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 instrumentsChanges in fair value used for Line item in the calculation hedge Notional Carrying statement of ineffectiveness amountamountfinancial positionfor the year(in millions) Assets Liabilities31 December 2023Cash flow hedges - macroInterest rate 53,217 Derivatives 815Fair value hedges - macroInterest rate 45,782 Derivatives -3,151Fair value hedges - microInterest rate99,279 53 286 Derivatives 1,292Economic hedgesTotal economic hedges 26,518 312 148 Derivatives n/a31 December 2022Cash flow hedges - macroInterest rate50,106 Derivatives 777Fair value hedges - macroInterest rate47,759 Derivatives 11,020Fair value hedges - microInterest rate93,387 23 334 Derivatives -4,007Economic hedgesTotal economic hedges 19,014 358 143 Derivatives n/aThe deltas in the hedge accounting numbers are largely caused by interest rate developments in 2023. Please refer to Note 6 - Net income from other operating activities, for further details.Effect on financial position and performance - hedged itemChange in value Accumulated amount Line item in used for Cash flow of fair value hedge the statement calculating hedge hedge reserve/ Carrying amount adjustments on the of financial ineffectiveness Foreign currency of the hedged itemhedged itempositionfor the yeartranslation reserveContinuing Discontinued Assets Liabilities Assets Liabilitieshedgeshedgesactive and active and active and active and (in millions)discontinueddiscontinueddiscontinueddiscontinued31 December 2023Cash flow hedges - macroInterest rate -790 903 -1,240Fair value hedges - macroInterest rate - Financial assets Residential at AC 39,777 -6,005mortgages 3,128Fair value hedges - microInterest rate - Financial assets Financial at FVOCI 37,512 -1,640investments 1,464Interest rate - Financial assets Corporate & at AC 485 96Other loans -58Issued debt & Interest rate - Financial Subordinated liabilities at AC 55,462 -4,021liabilities -2,653Net investment hedgesCurrency -4131 December 2022Cash flow hedges - macroInterest rate -763 113 -1,388Fair value hedges - macroInterest rate - Financial assets Residential at AC 38,270 -9,489mortgages -10,873Fair value hedges - microInterest rate - Financial assets Financial at FVOCI 34,276 -3,119investments -4,778Interest rate - Financial assets Corporate & at AC 762 154Other loans -357Issued debt & Interest rate - Financial Subordinated liabilities at AC48,473 -6,700liabilities 9,025Net investment hedgesCurrency -42The accumulated amount of fair value hedge adjustments remaining in the statement of financial positions for hedged items that have ceased to be adjusted for hedging gains and losses amounted to negative EUR 0.9 billion at 31 December 2023 (31 December 2022: negative EUR 0.9 billion).Effect on financial position and performance - hedge ineffectiveness and hedging gains or lossesAmount Amount Change in reclassified reclassified Changes in value used for from the cash from the fair value used calculating Change in flow hedge foreign for calculation hedge Line item the value of reserve to currency Line item hedge ineffectiveness Hedge in profit or the hedging profit or translation affected in ineffectiveness for the ineffectivenes loss (that instrument loss - hedges reserve to profit or loss for the year - year - hedging recognised in includes hedge recognised item affected profit or because of the 12(in millions)hedged iteminstrumentprofit or lossineffectiveness)in OCIprofit or losslossreclassification31 December 2023Cash flow hedges - macroOther operating Net interest Interest rate -790 815 25income 790 147incomeFair value hedges - macroOther operating Interest rate 3,128 -3,151 -23incomeFair value hedges - microOther operating Interest rate-1,248 1,292 44incomeNet investment hedgesOther operating Currency 1income31 December 2022Cash flow hedges - macroOther Interest rateoperating Net interest -763 777 14income 762 39incomeFair value hedges - macroOther Interest rateoperating -10,873 11,020 147incomeFair value hedges - microOther Interest rateoperating 3,891 -4,007 -116incomeNet investment hedgesOther operating Currencyincome1 The amount reconciles to \u2018Net gains/(losses)\u2019 in the \u2018Consolidated statement of comprehensive income\u2019.2 The amount reconciles to \u2018Less: Reclassification through the income statement\u2019 in the \u2018Consolidated statement of comprehensive income\u2019.Amount, timing and uncertainty of future cash flows - hedging instrumentsMore than More than More than Within 3 months but 1 year but 5 years but More than (in millions, nominal amounts)3 monthswithin 1 yearwithin 5 yearswithin 10 years10 years Total31 December 2023Fair value hedges - microPayers - Interest rate 1,014 4,023 16,964 11,907 5,805 39,712Receivers - Interest rate 3,420 263 25,843 14,857 15,183 59,56631 December 2022Fair value hedges - microPayers - Interest rate1,613 4,368 18,106 8,437 5,388 37,913Receivers - Interest rate 2,658 4,258 17,772 13,041 17,746 55,475The weighted average fixed rate of the interest rate swaps included in micro hedge relationships varied between 1.7% and 2.4% as at 31 December 2023 (1.4% and 2.0% as at 31 December 2022), depending on the origination date, currency, product type and original maturity.17 Financial investmentsAccounting policy for financial investmentsFinancial 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 incomeUnrealised 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 lossFinancial 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 2023 31 December 2022Financial investmentsDebt securities held at fair value through other comprehensive income40,663 38,408Held at fair value through profit or loss838 626Total financial investments 41,501 39,034Financial investments measured at fair value through other comprehensive income(in millions) 31 December 2023 31 December 2022Interest-earning securitiesDutch government2,642 2,465US Treasury and US government6,861 7,238Other OECD government15,761 18,158Non-OECD government150 142International bonds issued by the European Union2,962 2,415European Stability Mechanism2,349 1,704Mortgage- and other asset-backed securities5,046 3,274Financial institutions3,477 2,998Non-financial institutions1,414 15Total investments held at fair value through other comprehensive income 40,663 38,408Most of these instruments are part of the liquidity buffer and are held for liquidity contingency purposes.Government bonds by country of origin31 December 2023 31 December 2022Accumulated unrealised Accumulated unrealised gains/(losses) and gains/(losses) and fair value hedges Fair fair value hedges Fair (in millions)gains/(losses) Impairmentsvaluegains/(losses) ImpairmentsvalueDutch national government-23 2,642 -148 2,465USA national government-265 6,861 -317 7,238German national government-161 4,924 -310 5,145French national government-77 1,781 -190 1,855Belgian national government-164 -1 2,861 -268 -1 2,567Austrian national government-11 1,774 -75 1,481Finnish national government-20 1,040 -61 1,116Luxembourg national government-22 245 -101 1,238Canadian national government-64 1,142 -104 1,126Japanese national government568 -1 2,464Polish national government35 330 25 320Spanish national government-9 268 63United Kingdom national government9 183 10 180Danish national government-10 183 -19 260Italian national government-42 370 -91 340Irish national government3 94Swedish national government4Brazilian national government82 72Singapore national government68 70European Union bonds (excl. European Financial Stability Facility) -530 2,962 -695 2,415Total government bonds -1,351 -1 28,377 -2,345 -1 30,418Critical accounting estimates and judgementsInterest-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. These are explained in more detail in the Risk, funding & capital management chapter. Impairment charges on FVOCI instruments are recorded in realised/unrealised gains/losses at fair value through OCI in the statement of comprehensive income.Financial investments measured at fair value through profit or loss(in millions) 31 December 2023 31 December 2022Private equities and venture capital559 418Equity securities279 207Total investments held at fair value through profit or loss 838 62618 Securities financingAccounting policy for securities financingSecurities 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 2023 31 December 2022(in millions) Banks Customers Total Banks Customers TotalAssetsReverse repurchase agreements3,536 11,473 15,009 2,649 11,591 14,239Securities borrowing transactions3,075 3,419 6,494 2,900 2,893 5,793Total 6,611 14,892 21,503 5,548 14,484 20,032LiabilitiesRepurchase agreements319 10,453 10,772 219 8,359 8,578Securities lending transactions185 753 938 474 600 1,074Total 504 11,206 11,710 692 8,960 9,652Securities 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 repurchase agreements increased by EUR 2.2 billion during the year, due to agreements with several large clients. Details on 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 valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 frameworkABN AMRO has in place designated controls and processes to determine the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols to independently review and validate fair values, separately from the business departments 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 department entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. Controls of the profit or loss are recorded on a daily basis by trading and treasury front-office staff. The independent price-verification process, a key element of the control environment, is segregated from the recording of the transaction\u2019s valuation. Valuations are first calculated by the department. 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 that operates independently from the team trading the financial instruments and performs a review of valuations in light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The reviews are performed at least once a month, 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 the defined thresholds. When models are used to value products, these 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 techniquesA 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 the valuation model and the underlying assumptions made for factors such as the amount and timing of cash flows, discount rates and credit risk.Interest rate derivativesThis category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting these 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 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 contractsForeign 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 for spot and forward contracts as well as for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2.Government debt securitiesGovernment debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. As these instruments are generally traded in active markets and prices can be derived directly from those markets, they 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 is applied 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 securitiesCorporate debt securities consist primarily 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 are made to any of the main inputs based on significant unobservable inputs, the instrument is classified as level 3.Equity instrumentsEquity instruments that are actively traded on public stock exchanges are valued using 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 lossLoans and advances at fair value through profit or loss consist primarily 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 of generating 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 debtIssued 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 prices 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 hierarchyABN 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 prices quoted 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 prices quoted for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all 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.The following table presents the valuation methods used in determining the fair values of financial instruments carried at fair value.31 December 2023 31 December 2022Quoted Valuation Valuation market Valuation techniques Quoted Valuation techniques prices techniques - significant market prices techniques - significant in active - observable unobservable Total fair in active - observable unobservable Total fair (in millions)marketsinputsinputsvaluemarketsinputsinputsvalueAssetsGovernment debt securities341 341 212 3 214Corporate debt securities780 240 1,019 495 186 681Equity securities1 1 10 10Other financial assets held for trading10 10 1 1Financial assets held for trading 1,121 250 1,371 718 190 907Interest rate derivatives4 3,606 15 3,625 51 4,067 36 4,155Foreign exchange contracts765 12 776 1,045 9 1,054Other derivatives2 2 3 3Derivatives 4 4,372 26 4,403 51 5,115 46 5,212Equity instruments130 52 656 838 79 65 481 626Financial investments at fair value through profit or loss 130 52 656 838 79 65 481 626Government debt securities30,396 330 30,726 31,801 320 32,121Corporate debt securities4,890 1 4,891 2,973 1 38 3,013Other debt securities5,046 5,046 3,274 3,274Financial assets held at fair value through other comprehensive income 40,332 1 330 40,663 38,049 1 358 38,408Loans and advances at fair value through profit or loss 31 676 707 36 30 66Total financial assets 41,587 4,706 1,689 47,982 38,897 5,407 915 45,219LiabilitiesShort positions in government debt securities 303 303 341 341Corporate debt securities376 135 511 205 62 267Equity securities7 7 1 1Other financial liabilities held for trading96 96 32 32Financial liabilities held for trading 686 231 917 548 93 641Interest rate derivatives1 2,297 2,298 10 3,270 3,280Foreign exchange contracts553 553 865 865Other derivatives5 5 3 3Derivatives 1 2,855 2,856 10 4,138 4,148Issued debt222 222 223 223Total financial liabilities 687 3,308 3,994 557 4,455 5,012Transfers between fair value hierarchiesThere were no material transfers between the fair value hierarchies.Movements in level 3 financial instruments measured at fair valueThe following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value.Assets LiabilitiesFinancial Financial assets held Loans and investments at at fair value through advances at fair value through other comprehensive fair value through (in millions) Derivativesprofit or lossincomeprofit or loss Issued debtBalance at 1 January 2022 88 433 481Purchases55Sales-45Redemptions-31Gains/(losses) recorded in profit and loss13 12Unrealised gains/(losses)-49 31 -124Transfer between levels7Other movements-2 30Balance at 31 December 2022 46 481 358 30Change in accounting policy 982Purchases 145Sales -2 -243Issuance 24Redemptions -12 -38 -1751Gains/(losses) recorded in profit and loss6 1 12Unrealised gains/(losses)1 52 10 59Transfer between levels -21Other movements -14 -2Balance at 31 December 2023 26 656 330 6761 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 informationInterest-earning securities - government bondsABN AMRO has a position in a Polish bond, denominated in euros (see 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.Equity shares - preferred sharesEquities 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: \u2022 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; \u2022 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 - either the EVCA technique or NAV calculation - 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.DerivativesABN 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.Loans and advances \u2013 Equity release mortgagesABN AMRO offers equity release mortgages which provide a way to liquidate home equity and are designed for senior homeowners. These loans are valued using a discounted cash flow model for which the assumed prepayment rate is the most relevant input parameter. The prepayment rate is based on mortality rates and historical prepayment rates observed for equity release mortgages. The sensitivity range is based on the observed historical bandwidth in prepayment rates.Loans and advances - OtherABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease of clients. The loans are valued using a discounted cash flow model, in which expected future cashflows are discounted against actual interest rates, in combination with an adjustment for expected credit losses. The sensitivity range is based on a bandwidth in expected credit losses.Valuation Unobservable Carrying Possible alternative Unobservable Unobservable techniquedatavalueassumptionsdata rangedata baseApplying Applying Applying Applying (in millions)minimummaximumminimummaximum31 December 2023Equity shares Private equity EBITDA valuationmultiples136 -14 14Equity shares Private equity Net asset valuevaluation519 -52 52Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 330 -11 28 4bps 139bps 101bpsLoans and advances - Discounted Prepayment Equity release mortgagescash flowrate 398 -9 9 1.9% 3.2% 2.5%Loans and advances - Discounted Credit Othercash flowspread 250 -7 11Derivatives held for trading Discounted Probability cash flowof default 26 -3 4 0.0% 100.0% 12.7%31 December 2022Equity shares Private equity EBITDA valuationmultiples 140 -14 14Equity shares Private equity Net asset valuationvalue 342 -34 34Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 320 -9 18 14bps 102bps 73bpsInterest-earning securities - Discounted Liquidity and othercash flowcredit spread 38 -1 214bps 546bps 313bpsDerivatives held for trading Discounted Probability cash flowof default 46 -2 4 0.0% 100.0% 15.0%20 Loans and advances banksAccounting policy for loans and advances banks and customersLoans 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).(in millions) 31 December 2023 31 December 2022Interest-bearing deposits1,401 1,771Loans and advances729 934Mandatory reserve deposits with central banks181 200Other loans and advances banks16 85Subtotal 2,327 2,990Less: loan impairment allowances3 8Total loans and advances banks 2,324 2,982Mandatory 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 it meets the minimum reserve requirements for the period.21 Loans and advances customersAccounting policy for loans and advances customersThe 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 2023 31 December 2022Residential mortgages (excluding fair value adjustment)151,078 150,762Fair value adjustment from hedge accounting on residential mortgages-6,005 -9,489Residential mortgages, gross 145,073 141,274Less: loan impairment allowances - residential mortgage loans198 153Residential mortgages 144,875 141,121Consumer loans at amortised cost, gross 8,380 10,232Less: loan impairment allowances - consumer loans147 277Consumer loans at amortised cost 8,233 9,9551Consumer loans at fair value through P&L648Corporate loans (excluding fair value adjustment)78,387 78,178Fair value adjustment from hedge accounting on corporate loans96 154Financial lease receivables4,169 4,396Factoring4,227 4,157Corporate loans at amortised cost, gross 86,880 86,885Less: loan impairment allowances - corporate loans1,254 1,590Corporate loans at amortised cost 85,626 85,295Corporate loans at fair value through P&L59 66Government and official institutions455 629Other loans6,043 6,868Other loans and advances customers, gross 6,497 7,497Less: loan impairment allowances - other3 5Other loans and advances customers 6,494 7,491Total loans and advances customers 245,935 243,9271 Consumer loans at Fair Value through P&L is a new line item as a result of the implementation of IFRS 17 Insurance contracts. Residential mortgages with an insurance feature and consumer loans with a death waiver are mandatory recorded at Fair value through Profit or Loss.For information on loan impairment allowances, please refer to the Credit risk review section in the Risk, funding & capital chapter.22 Fair value of financial instruments not carried at fair valueAccounting policy for fair value of financial instruments not carried at fair valueThe 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 methodologiesThe 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 the 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 instrumentsThe 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 on the determination of their fair value.Cash and balances at central banksCash 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 financingSecurities 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, their carrying amounts (net of impairment allowances) are considered an approximation of the fair value. Securities financing amounts are classified as level 2.Loans and advances banks and customersThe fair value of loans and advances to 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 are used instead of contractual maturities 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 to banks and customers. Due to the short-term characteristics of these instruments, their carrying amounts are considered an approximation of the fair value. The related amounts are classified as level 2.Due to banks and customersThe fair value of instruments such as deposits and borrowings included in amounts 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 their 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 amounts due to banks and customers. Due to the short-term characteristics of these instruments, their carrying amounts are considered an approximation of the fair value. The related amounts are classified as level 2.Issued debt and subordinated liabilitiesThe 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 2023Carrying value Total fair value DifferenceValuation Valuation techniques Quoted market techniques -significant prices in -observable unobservable (in millions)active marketsinputsinputsAssetsCash and balances at central banks53,656 53,656 53,656Securities financing21,503 21,503 21,503Loans and advances banks2,324 2,120 208 2,328 4Loans and advances customers245,228 29,444 209,884 239,328 -5,900Total 322,709 53,656 53,066 210,092 316,814 -5,896LiabilitiesSecurities financing11,710 11,710 11,710Due to banks5,352 2,294 3,126 5,419 68Due to customers254,466 237,483 16,739 254,222 -245Issued debt66,005 46,178 19,936 66,115 109Subordinated liabilities5,572 1,875 3,833 5,708 136Total 343,105 48,053 275,256 19,865 343,174 6931 December 2022Carrying value Total fair value DifferenceValuation Valuation techniques Quoted market techniques -significant prices in -observable unobservable (in millions)active marketsinputsinputsAssetsCash and balances at central banks60,865 60,865 60,865Securities financing20,032 20,032 20,032Loans and advances banks2,982 2,645 340 2,986 31Loans and advances customers243,861 30,373 205,235 235,608 -8,2531Total327,741 60,865 53,051 205,575 319,492 -8,250LiabilitiesSecurities financing9,652 9,652 9,6521Due to banks17,509 3,174 14,232 17,406 -1031Due to customers255,015 245,755 8,609 254,364 -6501Issued debt56,036 35,185 21,365 56,549 5131Subordinated liabilities7,290 4,103 3,249 7,352 621Total345,502 39,288 283,195 22,842 345,325 -1781 ABN AMRO performed a detailed review on its disclosure of the fair value of financial instruments not carried at fair value. This resulted in changes in the calculations for the fair value estimation which were not determined correctly in the past. The changes in the fair value calculation did not have a material impact on the prior period figures, however these have been adjusted for comparison reasons.27 Due to banksAccounting policy for due to banks and due to customersAmounts 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.(in millions) 31 December 2023 31 December 2022Current accounts1,168 1,977Demand deposits1 1Time deposits3,731 14,895Cash collateral on securities lent451 625Other10Total due to banks 5,352 17,509On 28 June 2023, ABN AMRO partially repaid the TLTRO III funding for the amount of EUR 11.0 billion. On 31 December 2023, an amount of EUR 3.0 billion was outstanding, which matures in June 2024.28 Due to customersAccounting policy for due to customersThe accounting policy for amounts due to customers is set out in Note 27 - Due to banks.(in millions) 31 December 2023 31 December 2022Current accounts99,948 122,030Demand deposits100,943 100,397Time deposits51,728 30,096Other1,846 2,491Total due to customers254,466 255,01529 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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 spreadsThe following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December 2023. 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 2023 31 December 2022Bonds and notes issued52,264 41,313Certificates of deposit and commercial paper13,741 14,723Total at amortised cost 66,005 56,036Designated at fair value through profit or loss222 223Total issued debt 66,227 56,259- of which matures within one year 17,408 19,0532023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 56,259 59,688Cash flowsIssuance49,985 35,231Redemption-43,196 -30,668Non-cash changesForeign exchange differences-96 118Fair value changes own credit risk-2 -8Fair value changes hedge accounting2,514 -8,451Other762 350Balance as at 31 December 66,227 56,259The 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 2023 31 December 2022Cumulative change in fair value of the structured notes attributable to changes in credit risk2 4Change during the year in fair value of the structured notes attributable to changes in credit risk-2 -8Difference between amount contractually required to pay at maturity and the carrying amount 10 6The 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 liabilitiesThe 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 2023 31 December 2022Subordinated liabilities 5,572 7,2902023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 7,290 7,549Cash flowsIssuance776 1,540Redemption-2,504 -1,602Non-cash changesForeign exchange differences-143 360Fair value changes hedge accounting143 -533Other10 -23Balance as at 31 December 5,572 7,29034 Transferred, pledged, encumbered and restricted assetsAccounting policy for transferred, pledged, encumbered and restricted assetsTransferred financial assets are arrangements/transactions for which ABN AMRO has:\u2022 Transferred the contractual rights to receive the cash flows of the financial asset to a third party, or;\u2022 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.Depending on the circumstances, these transfers may either result in financial assets that are not derecognised in their entirety or in assets that are derecognised in their entirety. More detailed information on our recognition and derecognition policy is provided in the paragraph on material accounting policies under Note 1 - Accounting policies.Pledged assets are assets given as security (collateral) to guarantee the payment of a debt or fulfilment of an obligation by ABN AMRO to a third party. Encumbered assets are assets that have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed. The key difference between encumbered and pledged assets is that latter is based on the legal terms such as title transfer while the former is based on economic principles.The following differences apply to ABN AMRO:\u2022 Encumbered assets exclude retained mortgage-backed securities, unless these have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed.Significant restrictions on assets may arise from statutory, contractual or regulatory requirements such as:\u2022 Requirements 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;\u2022 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;\u2022 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.Transferred financial assetsThis 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 is still exposed to changes in the fair value of these assets.Transferred financial assets not derecognised in their entiretyThe following table shows transferred financial assets that have not been derecognised in their entirety.31 December 2023 31 December 2022Financial assets Financial assets Financial held for trading Financial held for trading investments (at fair value investments (at fair value (at fair value through profit (at fair value through profit (in millions)through OCI)and loss) Totalthrough OCI)and loss) TotalSecurities financingCarrying amount Transferred assets12,924 409 13,332 6,298 126 6,4231Carrying amount Associated liabilities2,043 409 2,451 1,968 126 2,094Fair value of assets12,924 409 13,332 6,298 126 6,4231Fair value of associated liabilities2,043 409 2,451 1,968 126 2,094Net position 10,881 10,881 4,330 4,3301 The figures for 2022 have been adjusted by EUR 7.6 billion to exclude liabilities associated with off-balance sheet items. The change did not have a material impact on the figures for the prior period. However, these have been adjusted for comparison reasons.SecuritisationsThe 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 does not have any transferred and associated securitisations at 31 December 2023.Continuing involvement in transferred financial assets derecognised in their entiretyThe bank does not have any material transferred assets that are derecognised in their entirety while ABN AMRO has continuing involvement.35 Commitments and contingent liabilitiesAccounting policy for off-balance sheet itemsFinancial guarantee contractsA 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 facilitiesCommitments to provide credit consist 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 commitmentsABN AMRO provides financial guarantees and letters of credit to guarantee the performance of its clients 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 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 periodLess than Between one Between three After (in millions)one yearand three yearsand five yearsfive years Total31 December 2023Committed credit facilities 27,566 10,359 10,024 6,019 53,968Guarantees and other commitmentsGuarantees granted178 175 5 200 558Irrevocable letters of credit 2,329 937 206 172 3,645Recourse risks arising from discounted bills1,407 288 371 20 2,086Total guarantees and other commitments 3,915 1,399 582 393 6,289Total 31,481 11,758 10,606 6,411 60,25731 December 2022Committed credit facilities 29,349 9,585 8,268 6,671 53,873Guarantees and other commitmentsGuarantees granted177 83 96 985 1,342Irrevocable letters of credit3,062 699 489 179 4,429Recourse risks arising from discounted bills 1,566 312 1 1,880Total guarantees and other commitments 4,806 1,094 586 1,164 7,651Total 34,155 10,679 8,854 7,836 61,524",
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"pp-value-15-1": {
"value": "Capital measurementRegulatory capital (CRD V/CRR2)bUnder the Basel framework as implemented in European legislation (CRD V and CRR2), banks are required to hold capital to cover their financial risks. As an intermediate step in determining the minimum level of capital, banks need to calculate their exposure to 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.Regulatory capital structureb(in millions) 31 December 2023 31 December 2022Total equity (EU IFRS) 24,168 22,814Cash flow hedge reserve 250 946Dividend reserve -770 -601AT1 capital securities (EU IFRS) -1,987 -1,985Share buyback reserve-500 -500Regulatory and other adjustments-1,157 -1,167Common Equity Tier 1 20,003 19,507AT1 capital securities (EU IFRS) 1,987 1,985Regulatory and other adjustments -5 -3Tier 1 capital 21,985 21,489Subordinated liabilities (EU IFRS) 5,572 7,290Regulatory and other adjustments -1,294 -1,842Tier 2 capital 4,279 5,449Total regulatory capital26,264 26,938Regulatory capital flow statementb(in millions) 2023 2022Common Equity Tier 1 capitalBalance at 1 January 19,507 19,206Addition of net profit attributable to owners of the parent company 2,697 1,868Reserved dividend -770 -601Interim dividend paid -537 -287Other, including regulatory adjustments-893 -678Balance at 31 December 20,003 19,507Additional Tier 1 capitalBalance at 1 January 1,982 1,982Newly issued Tier 1 eligible capital instrumentsRedeemed Tier 1 eligible capital instrumentsBalance at 31 December 1,982 1,982Tier 1 capital 21,985 21,489Tier 2 capitalBalance at 1 January 5,449 5,136New issued Tier 2 eligible capital instruments 746 1,524Redeemed Tier 2 ineligible capital instruments -1,385 -996Other, including regulatory adjustments -531 -216Balance at 31 December4,279 5,449Total regulatory capital 26,264 26,938RWAb(in millions) 31 December 2023 31 December 2022Credit risk 122,548 110,621- of which standardised 9,402 10,203- of which advanced 113,146 100,418Operational risk 15,465 15,967- of which standardised533- of which TSA approach 15,465- of which advanced 15,434Market risk 2,175 2,005- of which standardised 2 2- of which advanced 2,173 2,003Total RWA 140,187 128,593Capital instrumentsb31 December 31 December 20232022First possible Nominal Carrying Nominal Carrying (in millions) ISIN/CUSIP Maturity datecall dateamountamountamountamount1Tier 1EUR 1,000 million 4.375% per annum XS2131567138 Perpetual September 2025 1,000 993 1,000 991EUR 1,000 million 4.75% per annum XS1693822634 Perpetual September 2027 1,000 994 1,000 994Total Tier 1 capital instruments 2,000 1,987 2,000 1,985Tier 2USD 1,500 million 4.75% per annum US00080QAF28 / XS1264600310 July 2025 1,357 1,338 1,405 1,360USD 1,000 million 4.8% per annum US0008DAL47 / XS1392917784 April 2026 905 860 937 868EUR 1,000 million 2.875% per annum XS1346254573 January 2028 January 2023 1,000 1,027USD 300 million 5.6% per annum XS1385037558 April 2031 271 245 281 249SGD 750 million 5.5% per annum XS2498035455 October 2032 July 2027 514 522 524 520EUR 1,000 million 5.125% per annumXS2558022591 February 2033 November 2027 1,000 1,049 1,000 979USD 1,000 million 3.324% per annum US00084DAV29 / XS2415308761 March 2037 December 2031 905 774 937 778EUR 750 million 5.5% per annum XS2637967139 September 2033 June 2028 750 779US00080QAD79 / USD 113 million 7.75% per annumUSN0028HAP03 May 2023 106 103USD 1,500 million 4.4% per annum XS1586330604 March 2028 March 2023 1,405 1,392EUR various smaller instruments 2023 -2025 4 4 14 14Total Tier 2 capital instruments 5,706 5,572 7,609 7,290- of which eligible for regulatory capital:Basel III, Tier 1 (fully-loaded) 2,000 2,000Basel III, Tier 2 (fully-loaded)4,279 5,4491 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 2023 totals EUR 21.3 billion (31 December 2022: EUR 19.8 billion).Movements in subordinated liabilitiesb2023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 7,290 7,549Cash flowsIssuance 776 1,540Redemption -2,504 -1,602Non-cash changesForeign exchange differences -143 360Fair value changes hedge accounting 143 -533Other 10 -23Balance as at 31 December 5,572 7,290",
"dimensions": {
"concept": "ifrs-full:DisclosureOfObjectivesPoliciesAndProcessesForManagingCapitalExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-19-3": {
"value": "Credit risk management approachbCredit 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. In addition, climate risks are also integrated into our risk management practices.Credit risk management processbThe following figure presents a simplified overview of the credit risk management process.Credit acceptanceCredit risk monitoring Restructuring Loan approval andBusiness and risk and Recovery disbursement control functions High-risk monitoringjointly responsibleNon-programme Risk assessment 1Regular monitoringlendingby client unitRestructuringCustomised loans, Continual update of mostly Wealth risk governance, Analysis and credit Increased riskManagement, management and decision by credit risk Corporate Banking policiesfunctionand Business Recovery Intensive monitoringBanking Processes reflect 2(\u2018Watch\u2019)guidelines for credit (within P&BB) Loan disbursement risk managementFor programme lending, Product-specific standards are establishedProgramme Credit decision lendingbased on credit Account maintenanceRestructuringSustainability risk score and policy rulesStandardised assessment for larger loans, mostly OOEs and/or Personal Banking periodically on (within P&BB)portfolio levelLoan disbursement Default prevention Recovery 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.PlanningWithin 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 acceptanceFor 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.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 monitoringConsistent 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 has been fully repaid and/or the limit has been cancelled.Depending on whether a facility is considered programme or non-programme lending, a time-based or event-based review applies. 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 on the basis of pre-defined triggers for risk based credit reviews. For non-programme lending, all counterparties are subject to at least an annual review. The review takes into consideration not only changes in risk profile, financial position, creditworthiness compared to the criteria and the assessment at the point of loan origination, but also climate and environmental risk.If a situation arises in which an individual counterparty shows signs of credit risk deterioration and an 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 & RecoveryNon-programme lending credit facilities that are subject to a default event are mandatorily transferred to the Financial Restructuring & Recovery department (FR&R). 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 will devise a plan aimed either at rehabilitation or enhancement of the likelihood of full repayment. If a \u2018gone concern\u2019 approach is applicable and the Bank does not expect that the restructuring will result in the counterparty returning to a performing classification, the credit facility is transferred to the Recovery team.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.Programme lending contracts are transferred to the Late Collections 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 Flanderijijn) for debt collection.Through its restructuring and recovery activities, FR&R plays a significant role in the execution of the bank\u2019s non-performing exposure (NPE) strategy. In line with regulatory expectations, the NPE Strategy sets targets for reducing non-performing exposure in each business segment and for specific sectors with increased levels of non-performing loans.Credit concentration riskbCredit 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: \u2022 Single counterparty and groups of related counterparties (counterparty concentration); \u2022 Countries (geographic concentration); \u2022 Industries (industry concentration); \u2022 Products (product concentration). \u2022 Climate risk (physical and/or transition risk concentration).Counterparty concentrationCounterparty 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 interdependency due to a control relationship. This control relationship may be due 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.Geographic concentrationGeographic concentration risk is the risk of credit losses arising from events or circumstances specifically related to a country or location. 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.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 credit limits. Given that our strategic focus is on Northwest Europe, our country risk exposure has declined significantly in recent years.Industry concentrationIndustry 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 concentrationProduct 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 in residential mortgages, commercial real estate and leveraged loans, among others. In line with our risk appetite, ceilings are defined per product type.Climate risk concentrationConcentration of corporate exposures highly susceptible to climate transition risk is monitored. For managing climate risk in the residential mortgages book, the bank monitors the percentage of properties that have relatively high climate transition risks and are located in an area sensitive to climate physical risk. Please refer to the Sustainability Statements- Environment section for GHG financed emissions and climate risks in our real estate portfolios.Credit risk quality and impairmentbWe 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.ForbearanceForbearance 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.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: \u2022 The contract is considered performing; \u2022 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); \u2022 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; \u2022 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 exposuresA 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 on the first day that a counterparty is past due on any financial obligation.Forbearance life cyclebNon-forborneForborne Non-forborneDefaulted forbearance clientsremain defaulted for at least a year Cure Probation period Cease to be Performing\u2265 1 year\u2265 2 yearforborneForbearance measureEnd cure period End forbearance periodPerformingPerformingNon-performingAccounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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 measurementbThe 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.Probability of defaultThe Probability of Default (PD) indicates the likelihood that a counterparty or exposure defaults within a one-year time horizon. 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.Internal rating scale mapped to external ratingsUCR Low Mid High Standard & Poor\u2019s Moody\u2019s Fitch Grade Category(internal rating)PD%PD%PD%equivalentequivalentequivalentInvestment grade UCR 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 A+UCR 2 0.045 0.05 0.071 A 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 BBBUCR 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 Ba3 BBUCR 4- 1.285 1.65 2.225 BB- B1 B+UCR 5+ 2.225 3.00 4.243 B B2 BUCR 5 4.243 6.00 8.485 B- Caa B-UCR 5- 8.485 12.00 16.971 CCC/C Caa CCC/CUCR 6+ 16.971 24.00 99.999 CCC/C Ca CCC/CDefault UCR 6-8 100 D C-D DRating assignmentFor non-programme lending, the ratings are individually assigned to each obligor (PD) and facility (LGD) by the business account manager (first line of defence) and approved by credit risk (second line of defence). 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 defaultLoss 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.Exposure at defaultExposure 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 riskRegulatory capitalFor 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 the financial institutions and project finance portfolios the Foundation Internal Rating Based (F-IRB) approach is applied, meaning that only internal estimates of PD are used to calculate credit risk RWA. The LGD and EAD models for these portfolios are still used for internal purposes such as origination, pricing, monitoring and reporting. 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 uses standard risk weights to be applied to the exposure value in order to calculate RWA.Economic capitalThe 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 liabilitiesbFinancial 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 instrumentsbEnforceable 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 overviewb(in millions) 31 December 2023 31 December 2022Cash and balances at central banks 53,656 60,865Financial assets held for trading 1,371 907Derivatives 4,403 5,2121Financial investments41,501 39,034Securities financing 21,503 20,032Loans and advances banks2,324 2,982Loans and advances customers245,935 243,927Other assets 5,351 4,4731Less: Other546 425Other assets4,805 4,047On-balance sheet maximum exposure to credit risk 375,496 377,007Off-balance sheetCommitted credit facilities53,968 53,873Guarantees and other commitments 6,289 7,651Revocable credit facilities 31,710 34,347Off-balance sheet credit facilities and guarantees91,967 95,8722Maximum exposure to credit risk467,463 472,8792, 3Adjustments on assets2,680 4,7054Valuation adjustments7,226 9,797Offsetting and netting-28,194 -26,557Off-balance sheet credit facilities and guarantees -91,967 -95,872Off-balance sheet exposure fraction expected to be drawn prior to default (credit conversion factors) 28,816 26,112Total Exposure at Default 386,024 391,065Credit risk RWA / Total Exposure at Default 31.7% 28.3%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.The above table shows the maximum exposure to credit risk and reconciliation with the total exposure at default. Exposure at default is predominantly used for the determination of regulatory and economic capital.Overall credit risk EAD and RWAb31 December 2023Original Less: Netting/3EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions) DerivativestransactionsCredit risk IRB1Institutions9,875 702 9,173 716 1,593 2,180 23.8%Corporates 134,326 34,514 99,812 1,982 1,577 55,693 55.8%Retail 167,328 4,981 162,347 17,563 10.8%- of which secured by immovable property 157,349 505 156,844 15,917 10.1%- of which qualifying revolving exposures5,352 3,955 1,397 139 9.9%- of which other retail 4,627 521 4,106 1,507 36.7%Securitisation positions 2,205 2,205 277 12.6%Subtotal 313,734 40,197 273,537 2,698 3,171 75,714 27.7%Equities not held for trading 1,064 1,064 3,549 333.6%2Other2,063 2,063 33,883 1642.1%Total IRB 316,861 40,197 276,664 2,698 3,171 113,146 40.9%Credit risk SACentral governments and central banks84,348 -327 84,675 56 190 347 0.4%1Institutions25,703 10,199 15,503 3,764 4,595 1,304 8.4%Corporates 19,030 12,978 6,053 1,167 1,078 5,278 87.2%Retail 4,708 2,439 2,269 1,703 75.1%Secured by mortgages on immovable property 656 15 642 233 36.3%Exposures in default 511 349 162 1 219 134.7%Credit valuation adjustment 261Subtotal 134,956 25,652 109,304 4,988 5,863 9,344 8.5%2Other56 56 57 102.2%Total SA 135,012 25,652 109,360 4,988 5,863 9,402 8.6%Total 451,874 65,849 386,024 7,686 9,034 122,548 31.7%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 2022Less: Netting/3Original EADEAD mitigationEAD - of which: RWA RWA/EADSecurities financing (in millions) DerivativestransactionsCredit risk IRB1Institutions8,900 917 7,983 695 1,618 1,847 23.1%Corporates 134,776 33,693 101,083 1,709 1,471 53,501 52.9%Retail 165,991 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 retail 4,696 673 4,023 1,323 32.9%Securitisation positions 2,043 2,043 253 12.4%Subtotal 311,711 40,077 271,634 2,404 3,089 72,492 26.7%Equities not held for trading 824 824 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%Corporates 21,583 14,790 6,793 1,233 827 5,854 86.2%Retail 5,787 2,697 3,090 2,272 73.5%Secured by mortgages on immovable property 438 4 434 152 35.1%Exposures in default 467 344 123 158 128.4%Credit valuation adjustment 274Subtotal 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.Credit quality by exposure classb31 December 2023Investment Sub-investment (in millions, Exposure at Default)gradegrade Impaired TotalCentral governments and central banks1Institutions8,890 283 9,173Corporates 48,964 47,861 2,987 99,8122Retail133,993 26,773 1,582 162,347- of which secured by immovable property131,115 24,300 1,429 156,844- of which qualifying revolving exposures 1,231 142 24 1,397- of which other retail1,647 2,331 129 4,106Securitisation positions 2,205 2,2053Total IRB194,052 74,916 4,569 273,5374Total SA109,3043, 4Total IRB and SA382,84131 December 2022Sub-investment Investment gradegrade Impaired TotalCentral governments and central banks1Institutions7,813 170 7,983Corporates48,776 48,823 3,483 101,0832Retail132,134 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 2,0433Total IRB190,767 75,927 4,940 271,6344Total SA116,5823, 4Total IRB and SA388,2161 Institutions include exposures to banks and investment undertakings, regional governments and local authorities, and pension funds.2 For Retail exposures a probability of default is estimated and mapped to investment grade or sub-investment grade, according to our internal rating scale, which can be found in the Credit Management section.3 Total Exposure at Default does not include EAD calculated for equities not held for trading and other non-credit obligations.4 Exposure at Default does not include EAD calculated for other non-credit obligations.EAD decreased to EUR 386.0 billion (31 December 2022: EUR 391.1 billion), largely caused by the decrease in loans and advances and partly offset by a lower fair value adjustment from hedge accounting on residential mortgages.Total RWA rose to EUR 140.2 billion (31 December 2022: EUR 128.6 billion), predominantly driven by credit risk RWA. Credit risk RWA was up because of a new model risk add-on, the migration of specific portfolios from the Advanced IRB approach (A-IRB) to the Foundation IRB (F-IRB) and Standardised Approach (SA), partly offset by a decline in EAD. Market risk RWA increased by roughly EUR 175 million over the year. CVA risk RWA (counterparty credit risk) declined slightly over the year, while operational risk RWA declined by EUR 0.5 billion. At 31 December 2023, RWA add-ons for regulatory matters amounted to approximately EUR 23 billion (31 December 2022: approximately EUR 15.7 billion).Credit quality by internal rating scale mapped to stagesbThe 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. Reference is made to the Credit risk management section for more information on internal ratings and stage determination.31 December 2023 31 December 202244(in millions) PD scale UCR range Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalResidential mortgages0.000 - < 0.035 1 31 31 43 430.035 - < 0.127 2 63,726 1,583 65,309 64,113 1,438 65,5510.127 - < 0.465 3 51,973 2,824 54,797 50,689 2,286 52,9750.465 - < 2.225 4 22,404 3,808 26,212 24,677 2,442 27,1192.225 - < 16.971 5 457 2,366 2,823 889 2,518 3,40716.971 - < 100 6+ 79 535 613 38 486 524100 6-8 1,292 1,292 1,143 1,1431No ratingTotal residential mortgages138,671 11,115 1,292 151,078 140,450 9,169 1,143 150,762Consumer loans0.000 - < 0.035 1 625 2 628 661 4 6650.035 - < 0.127 2 797 5 802 1,492 6 1,4980.127 - < 0.465 3 2,708 43 2,751 2,748 130 2,8780.465 - < 2.225 4 2,728 185 2,914 3,444 223 3,6672.225 - < 16.971 5 118 158 276 280 290 57016.971 - < 100 6+ 681 73 755 496 96 591100 6-8 255 255 363 3631No ratingTotal consumer loans 7,658 467 255 8,380 9,121 749 363 10,232Corporate loans0.000 - < 0.035 1 11,791 77 11,867 8,964 122 9,0860.035 - < 0.127 2 8,429 140 8,569 9,677 253 9,9310.127 - < 0.465 3 19,018 1,565 20,583 16,678 2,499 19,1780.465 - < 2.225 4 27,152 4,460 31,612 27,925 7,042 34,9672.225 - < 16.971 5 1,990 3,004 4,994 3,137 3,478 6,61516.971 - < 100 6+ 4,935 1,062 5,997 2,709 559 3,267100 6-8 3,152 3,152 3,666 3,6661No rating8 8 13 9 22Total corporate loans73,324 10,308 3,152 86,784 69,103 13,963 3,666 86,731Other loans0.000 - < 0.035 1 15,339 37 15,376 14,776 37 14,8130.035 - < 0.127 2 8,205 8,205 8,988 8,9880.127 - < 0.465 3 3,586 3,586 4,607 4,6070.465 - < 2.225 4 2,996 2,996 1,946 1,9462.225 - < 16.971 5 71 7116.971 - < 100 6+ 26 14 40 46 36 82100 6-8 8 8 4 41No rating117 117 7 72Total other loans30,268 51 8 30,327 30,442 73 4 30,519Loan commitments and financial guarantee contracts0.000 - < 0.035 1 4,328 4 4,332 5,232 5,2330.035 - < 0.127 2 15,934 117 16,051 13,299 254 13,5530.127 - < 0.465 3 14,317 657 14,974 14,156 1,691 15,8470.465 - < 2.225 4 15,073 1,644 16,717 15,582 3,333 18,9152.225 - < 16.971 5 608 867 1,475 1,136 816 1,95216.971 - < 100 6+ 1,823 217 2,040 765 114 880100 6-8 965 965 700 7001No rating58 58 15 15Total loan commitments and financial 3guarantee contracts52,141 3,507 965 56,613 50,187 6,209 700 57,095Total0.000 - < 0.035 1 32,114 121 32,235 29,677 163 29,8400.035 - < 0.127 2 95,958 1,844 97,801 97,570 1,951 99,5210.127 - < 0.465 3 91,602 5,089 96,691 88,879 6,606 95,4860.465 - < 2.225 4 70,353 10,098 80,451 73,575 13,040 86,6152.225 - < 16.971 5 3,174 6,395 9,569 5,513 7,102 12,61516.971 - < 100 6+ 8,678 1,901 10,579 4,054 1,291 5,344100 6-8 5,672 5,672 5,874 5,8741No rating183 183 35 9 44Total 302,062 25,447 5,672 333,181 299,303 30,162 5,874 335,3391 Up till 31 December 2022 clients with a missing UCR-rating were reported under UCR6+, in line with treatment under Basel framework. From 31 December 2023 onwards they are reported in a separate category. Comparative figures have been adjusted.2 Total other loans includes Banks, Securities Financing and Government and official institutions.3 Total loan commitments and financial guarantee contracts exclude performance letters of credit.4 Including POCI.Compared to year-end 2022, the largest part of ABN AMRO\u2019s portfolio continues to be classified in the highest and medium internal ratings of stage 1. Stage 2 clients are primarily in the medium internal UCRs, primarily visible for corporate- and mortgage loans. Furthermore, the share of the portfolio with an investment grade (UCR 1 to UCR 3 bucket) increased marginally, mainly due to higher investment grade in corporate- and mortgage loans; the former resulting from higher trading positions of Clearing clients and the latter from new loan originations and overall improved client ratings.Approximately 3% 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 calculation purposes.Credit risk concentrationbGeographic concentrationThe 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.Geographic concentration by EADb31 December 2023Rest of (in millions, Exposure at Default) The Netherlands Rest of Europe USA Asiathe world Total1Institutions1,173 6,517 765 188 531 9,173Corporates 60,206 32,906 1,533 591 4,576 99,812Retail 161,714 469 54 71 39 162,347- of which secured by immovable property156,242 444 53 68 37 156,844- of which qualifying revolving exposures 1,397 1,397- of which other retail 4,076 25 1 3 2 4,106Securitisation positions 2,205 2,2052Total IRB225,297 39,892 2,352 850 5,145 273,5373Total SA61,173 32,830 10,307 2,934 2,060 109,3042, 3Total IRB and SA286,471 72,722 12,659 3,785 7,205 382,8412, 3Percentage of total IRB and SA74.8% 19.0% 3.3% 1.0% 1.9% 100.0%31 December 2022Rest of the The Netherlands Rest of Europe USA Asiaworld Total1Institutions1,151 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 property 154,613 426 45 61 29 155,174- of which qualifying revolving exposures 1,328 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 1,906 116,5822, 3Total IRB and SA297,817 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%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.Our exposure in the Netherlands decreased to 74.8% of the bank\u2019s portfolio (2022: 76.7%), as a result of lower exposure to the central bank (treated under the standardised approach) and the expansion of our activities in the rest of Europe. Clients in the rest of Europe are primarily located in neighbouring countries like Belgium, France and Germany. As the wind-down of the non-core CB portfolio has been finalized, our exposure in countries outside Europe remained approximately at the same level. Exposure in the USA is largely related to our clearing activities.Industry concentrationb31 December 2023 31 December 2022Gross carrying Percentage Gross carrying Percentage 3, 43, 4(in millions)amountof totalamountof totalLoans and advances banks 2,327 0.9% 2,990 1.2%1Financial services22,673 8.9% 21,734 8.4%Industrial goods and services 15,482 6.1% 16,763 6.5%Real estate15,896 6.2% 16,953 6.6%Oil and gas2,059 0.8% 2,565 1.0%Food and beverage 10,473 4.1% 9,953 3.9%Retail 4,347 1.7% 4,478 1.7%Healthcare 3,557 1.4% 3,736 1.4%Construction and materials 2,487 1.0% 3,010 1.2%Travel and leisure 2,902 1.1% 3,012 1.2%Utilities 2,777 1.1% 2,214 0.9%Automobiles and parts 1,949 0.8% 1,525 0.6%Technology2,348 0.9% 1,709 0.7%2Other7,249 2.8% 7,292 2.8%Total industry classification benchmark 94,199 36.9% 94,943 36.8%Private individuals (non-industry classification benchmark)158,255 62.0% 159,650 61.8%Public administration (non-industry classification benchmark) 285 0.1% 629 0.2%Total non-industry classification benchmark 158,540 62.2% 160,279 62.1%Total loans and advances customers 252,739 99.1% 255,222 98.8%3Total loans and advances255,066 100.0% 258,212 100.0%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.Compared to 2022, loans and advances to industry marginally declined. The movements in the industries were broadly in line with our strategy, visible in increased exposures to technology and utilities sectors and decline in the oil and gas sector.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 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.Management of forborne, past due and credit-impaired loansbCredit risk reporting scopeAlthough 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 are 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.Total loans and advances customersb31 December 2023 31 December 2022Fair value Less: Fair value Less: Gross adjustment Less: loan amortisation Gross adjustment Less: loan amortisation carrying from hedge impairment and depre-Carrying carrying from hedge impairment and depre-Carrying 33(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks 2,327 3 2,324 2,990 8 2,982Residential mortgages 151,078 -6,005 198 144,875 150,762 -9,489 153 141,1211Consumer loans8,380 147 8,233 10,232 277 9,9551Corporate loans86,784 96 1,254 85,626 86,731 154 1,590 85,295Other loans and advances 1customers6,497 3 6,494 7,497 5 7,491Total loans and 1advances customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Total loans and 1advances255,066 -5,909 1,605 247,551 258,212 -9,335 2,034 246,844Other 134,409 -1,640 187 2,224 130,358 138,201 -3,119 123 2,222 132,738Total assets 389,474 -7,549 1,792 2,224 377,909 396,414 -12,454 2,157 2,222 379,581Loans and advances 1customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Consumer loans at 2fair value through P&L648 648Corporate loans at fair value through P&L 59 59 66 66Total loans and advances customers 253,446 -5,909 1,602 245,935 255,288 -9,335 2,026 243,9271 Excluding loans at fair value through P&L.2 As a result of the implementation of IFRS 17 Insurance contracts, residential mortgages with an insurance feature and consumer loans with a death waiver have to be recorded at fair value through profit and loss.3 Excluding fair value adjustments from hedge accounting.Fair value adjustments from hedge accounting for residential mortgages and corporate loans result from entering into interest rate swaps to protect against changes in the fair value of fixed-rate assets due to changes in market interest rates. The fair value adjustment for mortgages decreased due to lower market interest rates.Forborne exposuresClients 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 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.Overview of forborne assetsb31 December 2023Performing assetsNon-performing assetsTotal Tem-Perma-Total per-Tem-Perma-non-per-Gross porary nent forming porary nent forming Total Forbe-carrying modifi-modifi-Refi-forborne modifi-modifi-Refi-forborne forborne arance 2amountcationcationnancingassetscationcationnancingassetsassetsratio(in millions)Loans and advances banks 2,327 0.0%Residential mortgages 151,078 516 14 531 506 10 1 517 1,048 0.7%1Consumer loans8,380 20 27 47 11 40 6 56 103 1.2%1Corporate loans86,784 564 1,548 370 2,482 294 1,303 288 1,884 4,367 5.0%Other loans and advances 1customers6,497 2 2 2 0.0%Total loans and advances 1customers252,739 1,101 1,589 371 3,060 810 1,352 296 2,459 5,519 2.2%1Total loans and advances255,066 1,101 1,589 371 3,060 810 1,352 296 2,459 5,519 2.2%Loans at FV through P&L 707 1 1 2 12 2 14 16 2.2%Total loans and advances 255,773 1,102 1,590 371 3,062 822 1,354 296 2,472 5,535 2.2%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.31 December 2022Performing assetsNon-performing assetsTotal Tem-Perma-Total per-Tem-Perma-non-per-Gross porary nent forming porary nent forming Total Forbear-carrying modifi-modifi-Refi-forborne modifi-modifi-Refi-forborne forborne ance 3amountcationcationnancingassetscationcationnancingassetsassetsratio(in millions)Loans and advances banks 2,990 0.0%Residential mortgages 150,762 545 22 2 569 489 15 503 1,072 0.7%1Consumer 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%Other loans and advances 1customers7,497 0.0%Total loans and advances 1, 2customers255,222 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1, 2Total loans and advances258,212 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%Loans at FV through P&L 66Total loans and advances 258,278 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.In 2023 the forbearance ratio improved to 2.2% (31 December 2022: 2.7%). Corporate loans and consumer loans with forbearance measures declined significantly as many clients that had received forbearance measures during the Covid pandemic came to the end of their minimum two-year probation period. Assets for mortgages remained largely unchanged. After three years of increased forbearance, forborne assets are back at their pre-Covid-19 level. Most of the recently applied forbearance measures are temporary. Approximately 35% of the total forborne exposures are now subject to a temporary measure (31 December 2022:approximately 30%), with the remainder relating to permanent measures such as covenant waivers and refinancing.Past due not classified as stage 3b31 December 2023Days 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 2,327 2,327 0.0%Residential mortgages 151,078 149,786 1,204 6 2 1,211 0.8%1Consumer loans8,380 8,125 90 17 37 143 1.7%1Corporate loans86,784 83,631 359 205 76 640 0.7%1Other loans and advances customers6,497 6,489 4 4 0.1%1Total loans and advances customers252,739 248,031 1,657 227 114 1,999 0.8%1Total loans and advances255,066 250,358 1,657 227 114 1,999 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.31 December 2022Days 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 2,990 2,990 0.0%Residential mortgages 150,762 149,619 879 52 7 939 0.6%1Consumer 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%1, 2Total loans and advances customers255,222 250,047 1,623 284 131 2,038 0.8%1, 2Total 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 which are transferred to impaired. Below these thresholds, amounts are reported on > 90 days past due.Past due exposuresWhen 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.Total arrears remained stable at EUR 2.0 billion, or 0.8% of total loans and advances, comparable to the position at 31 December 2022. Residential mortgages in arrears rose by EUR 0.3 billion, from 0.6% to 0.8%. The increase was particularly in the short-term bucket. Corporate loans in arrears registered a strong decline of EUR 0.3 billion, thus improving the past due ratio from 1% to 0.7%. This result was helped by increased efforts to monitor arrears.Coverage and stage ratiosb31 December 2023 31 December 2022Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 2323(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,290 3 0.1% 98.4% 2,953 8 0.3% 98.8%Residential mortgages 138,671 24 0.0% 91.8% 140,450 21 0.0% 93.2%1Consumer loans7,658 18 0.2% 91.4% 9,121 30 0.3% 89.1%1Corporate loans73,324 192 0.3% 84.5% 69,103 256 0.4% 79.7%1Other loans and advances customers6,475 0.0% 99.7% 7,457 0.0% 99.5%1Total loans and advances customers226,128 234 0.1% 89.5% 226,130 308 0.1% 88.6%Stage 2Loans and advances banks 37 0.0% 1.6% 37 0.0% 1.2%Residential mortgages 11,115 49 0.4% 7.4% 9,169 57 0.6% 6.1%1Consumer loans467 11 2.4% 5.6% 749 36 4.8% 7.3%1Corporate loans10,308 228 2.2% 11.9% 13,963 301 2.2% 16.1%1Other loans and advances customers14 1 7.9% 0.2% 36 2 5.6% 0.5%1Total loans and advances customers21,903 289 1.3% 8.7% 23,917 396 1.7% 9.4%Stage 3 and POCILoans and advances banksResidential mortgages 1,292 125 9.7% 0.9% 1,143 75 6.6% 0.8%1Consumer loans255 118 46.3% 3.0% 363 211 58.2% 3.5%1Corporate loans3,152 833 26.4% 3.6% 3,666 1,033 28.2% 4.2%1Other loans and advances customers8 2 27.1% 0.1% 4 3 83.9% 0.0%1Total loans and advances customers4,707 1,079 22.9% 1.9% 5,175 1,322 25.6% 2.0%Total of stages 1, 2, 3 and POCITotal loans and advances banks 2,327 3 0.1% 2,990 8 0.3%Residential mortgages 151,078 198 0.1% 150,762 153 0.1%1Consumer loans8,380 147 1.8% 10,232 277 2.7%1Corporate loans86,784 1,254 1.4% 86,731 1,590 1.8%1Other loans and advances customers6,497 3 0.1% 7,497 5 0.1%1Total loans and advances customers252,739 1,602 0.6% 255,222 2,026 0.8%1Total loans and advances255,066 1,605 0.6% 258,212 2,034 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2023: EUR 1 million; 31 December 2022: EUR 1 million).The stage 1 ratio improved to 89.5% (31 December 2022: 88.6%), partly due to the positive impact of macroeconomic scenarios used to calculate the provision. As the macroeconomic outlook improved, fewer clients showed a significant increase in credit risk (SICR), as measured by their life-time probability of default. Particularly in residential mortgages, a relatively improved outlook for the housing market supported the shift from stage 2 to stage 1. The stage 3 ratio increased only marginally from 0.8% to 0.9% due to portfolio changes. The decline in the coverage ratios of both stage 2 and stage 3 loans was largely attributable to the releases of management overlays.Purchased or Originated Credit Impaired (POCI)At 31 December 2023, loans classified as POCI amounted to EUR 5 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report.Exposure and impairment flowsThis 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 advancesb2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,421Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 228,023 23,851 5,091 256,965 233,537 21,183 6,701 261,421Transfer to stage 1 8,542 -8,417 -125 7,771 -7,662 -110Transfer to stage 2 -11,135 12,130 -996 -14,007 15,050 -1,044Transfer to stage 3 -1,131 -1,116 2,247 -864 -932 1,796Additional drawdowns and partial repayments -11,950 199 -8 -11,759 -25,287 -73 -71 -25,430Originated or purchased 37,428 37,428 48,595 48,595Matured or repaid -20,909 -4,609 -1,198 -26,715 -21,365 -3,728 -1,515 -26,608Write-offs -334 -334 -622 -623Foreign exchange -484 -92 -18 -594 826 44 38 908Other movements 33 -7 48 74 -123 71 1 -51Balance at 31 December 228,418 21,940 4,707 255,066 229,084 23,954 5,175 258,2121 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 marginally compared to 31 December 2022. The largest decrease was recorded for consumer loans, due to some of the loans being sold to a third party and also to the change in accounting treatment to IFRS17 for consumer loans with contingent elements. Other loans, too, showed a significant fall, primarily driven by seasonal business movements within Clearing Bank.The decrease in consumer and other loans was partly off-set by a marginal increase in residential mortgages.The amount of total stage 2 and stage 3 loans decreased markedly, due to a large amount of matured or repaid loans. In addition, stage transfers and write-offs for stage 3 also contributed to the overall decrease.Exposure flows per product class are presented in the Additional risk, funding & capital disclosures section.Loan impairment charges and allowancesb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2022 8 153 277 1,590 5 2,034 51Impact adopting IFRS 17 -100 -100Balance at 1 January 2023 8 153 177 1,590 5 1,934 51Transfer to stage 1 -4 -5 -20 -28 -1Transfer to stage 2 7 -1 -14 -9 2Transfer to stage 3 24 30 133 2 188 171Remeasurements-5 35 -15 -112 -4 -101 47Changes in risk parameters 3 6 -35 -26 -4Originated or purchased 4 3 32 39 8Matured or repaid -17 -8 -54 -79 -9Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Write-offs -1 -58 -274 -334Unwind discount / unearned interest accrued 2 3 29 1 34Foreign exchange and other movements -7 15 -20 -12 -1Balance at 31 December 2023 3 198 147 1,254 3 1,605 1092023Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Recoveries and other charges (releases) -14 -29 -67 -111 -902Total impairment charges for the period-5 37 -19 -139 -3 -128 -301 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 but also affected due to reclassification to IFRS17.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2021 10 82 276 2,053 4 2,426 153Transfer to stage 1 -3 -9 -21 -33 -2Transfer to stage 2 4 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters 57 12 61 130 2Originated or purchased 7 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 accrued 1 5 25 32Foreign exchange and other movements 3 27 29 8Balance at 31 December 2022 8 153 277 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 822Total 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.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2022: EUR 0 million.Loan impairment charges and allowances per stageb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 316 396 1,322 2,034 172 360 1,894 2,426Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 310 376 1,247 1,934 172 360 1,894 2,426Transfer to stage 1 109 -128 -10 -28 57 -74 -16 -33Transfer to stage 2 -41 90 -58 -9 -31 153 -107 15Transfer to stage 3 -15 -59 261 188 -17 -40 209 1521Remeasurements-125 44 -20 -101 50 23 -103 -30Changes in modelsChanges in risk parameters-31 -1 6 -26 44 56 30 130Originated or purchased 39 39 55 55Matured or repaid-11 -16 -53 -79 -14 -26 -79 -119Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Write-offs -334 -334 -622 -623Unwind discount / unearned interest accrued 34 34 32 32Foreign exchange and other movements 2 -18 4 -12 -1 -55 84 29Balance at 31 December 237 289 1,079 1,605 316 396 1,322 2,034Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Recoveries and other charges (releases) -111 -111 -103 -103Total impairment charges for the period -75 -69 16 -128 145 91 -169 671 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 but also affected by reclassification to IFRS17.2 Including POCI.An impairments release of EUR 158 million (EUR 128 million on balance and EUR 30 million off balance) was recorded for 2023 (2022: additions of EUR 39 million). Releases were attributable to a reduction of management overlays and other adjustments, partly offset by new and existing individually provisioned files.For corporate loans, releases of EUR 139 million were recorded in 2023 (2022: addition of EUR 39 million). This was caused by a decrease in adjustments due to recalibration and review of the IFRS9 models. In addition, the management overlays related to Covid-19 were terminated and the management overlay related to the geopolitical and market sensitivity was lowered. A further wind-down of our corporate portfolio also contributed to the release of impairments. This was partly offset by the introduction of a management overlay of EUR 25 million for climate transition risk, following the update of the climate and environmental risk materiality assessment.For residential mortgages, charges of EUR 37 million were recorded (2022: EUR 56 million). This was caused by the increase of management overlay for interest only mortgages, due to inherent credit risk not fully captured in our models.Individual and collective loan impairment allowances and management overlaysb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 352 695 2 750 78Total individual impairments 52 695 2 750 78Collective impairmentsStage 13 24 18 192 237 16Stage 2 49 11 228 1 289 121Stage 3125 66 138 329 3Total collective impairments3 198 95 558 1 855 31- of which management overlay 83 177 260Total impairments 3 198 147 1,254 3 1,605 109Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance 1,292 255 3,152 8 4,70731 December 2022Individual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 1 8 21 30 256 316 25Stage 2 57 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay 26 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 allowance 1,143 363 3,666 4 5,1751 Including POCI.During 2023, management overlays decreased to a total of EUR 260 million (31 December 2021: EUR 328 million). Overlays were mainly in place for risks in the corporate loans portfolio and comprised the following items: \u2022 A management overlay of EUR 86 million (31 December 2022: EUR 123 million) that is applied for the geopolitical effects that are not fully captured by the latest projections in our macroeconomic scenarios (previously: overlay for the war in Ukraine) \u2022 To cover anticipated additional risk costs relating to the wind-down of portfolios an overlay of EUR 31 million is in place. As the wind-down of the CIB non-core portfolio was completed this overlay was lowered in 2023 (31 December 2022: EUR 61 million) \u2022 A new overlay of EUR 25 million was introduced for climate transition risk, following an update of the climate and environmental risk materiality assessment \u2022 The overlay that was formed for the potential impact of the government\u2019s nitrogen reducing measures on clients in livestock farming businesses in the Netherlands amounting to EUR 35 million (31 December 2022: EUR 34 million)Management overlays to reflect the impact of covid-19 were ended, which led to a release of EUR 30 million. Furthermore a management overlay amounting to EUR 55 million at the end of 2022 that was introduced to capture potential differences between coverage ratios for collective provisions (MPS) and individual provisions (IPS) was also discontinued.Compared to 31 December 2022, management overlays for our mortgage portfolio increased as the overlay that covers the refinancing risk of interest-only mortgages was raised by EUR 57 million, to EUR 83 million.Macroeconomic scenarios in 2023bUnweighted Weighted 44(in millions) Weight Macroeconomic variable 2024 2025 2026 2027ECLECL1Real GDP Netherlands2.0% 2.0% 1.4% 1.2%Positive15% Unemployment23.7% 3.6% 3.5% 3.6% 7633House price index4.5% 2.0% 1.5% 2.5%Real GDP Netherlands 0.6% 1.1% 1.3% 1.2%Baseline60% Unemployment 4.1% 4.0% 4.0% 4.1% 822 855House price index 2.5% 0.5% 1.5% 2.0%Real GDP Netherlands -1.0% 1.0% 1.6% 1.4%Negative25% Unemployment 6.1% 5.6% 5.3% 5.1% 990House price index -7.5% -5.0% 1.3% 2.1%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.Macroeconomic scenarios in 2022bUnweighted Weighted 44(in millions) Weight Macroeconomic variable 2023 2024 2025 2026ECLECL1Real GDP Netherlands2.8% 2.6% 2.3% 1.6%Positive5% Unemployment23.9% 3.8% 3.7% 3.6% 1,0353House 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 1,138House 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% 1,240House 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.Credit risk mitigationbCollateral 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 guaranteesb31 December 2023Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureCarrying Less: Master Financial Other amount before balance-sheet netting instru-Property collateral - of which balance-sheet netting with Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettinggross liabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading 1,371 1,371 1,371Derivatives4,403 4,403 3,151 3,151 1,252Financial investments 41,501 41,501 41,501Securities financing 29,876 8,374 21,503 1,130 29,213 30,343 9,279 438Interest-bearing deposits 1,729 328 1,401 39 39 1,362Loans and advances729 729 490 489 980 487 236Other 194 194 194Total loans and advances banks 2,651 328 2,324 529 489 1,019 487 1,792Residential mortgages 150,880 150,880 2,567 271,233 613 274,413 128,748 5,216Consumer loans 8,233 8,233 3,444 4,501 55 8,000 2,874 3,107Corporate loans 86,413 883 85,530 1,812 36,311 52,909 3,717 94,749 39,523 30,304Other loans and advances customers6,494 6,494 203 36 5 244 15 6,264Fair value adjustment from hedge accounting -5,909 -5,909 -5,909Total loans and advances 1customers246,111 883 245,228 2,015 42,322 328,679 4,390 377,406 171,159 38,981Loans at fair value through P&L 707 707 1,385 1,385 988 309Total loans and advances customers 246,818 883 245,935 2,015 42,322 330,064 4,390 378,791 172,147 39,290Other assets 4,295 4,295 17 460 1,121 1,597 460 3,158Total on-balance sheet subject to netting and pledged agreements330,916 9,584 321,331 6,843 72,484 330,064 5,510 414,901 182,373 88,803Assets not subject to netting and pledged agreements 56,578 56,578 56,578Total assets 387,493 9,584 377,909 6,843 72,484 330,064 5,510 414,901 182,373 145,381Total off-balance sheet 91,967 91,967 2,640 10,739 807 14,186 4,963 82,745Total on- and off-balance sheet 479,461 9,584 469,876 6,843 75,124 340,803 6,317 429,087 187,336 228,1261 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 2022Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureCarrying Less: Master Financial Other amount before balance-sheet netting instru-Property collateral - of which balance-sheet netting with Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettinggross liabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading 907 907 907Derivatives 5,212 5,212 4,136 4,136 1,077Financial investments 39,034 39,034 39,034Securities financing 25,218 5,186 20,032 820 24,847 25,667 5,881 246Interest-bearing deposits 2,088 317 1,771 44 317 361 1,410Loans and advances 934 934 537 1,793 2,330 1,793 396Other 277 277 277Total loans and advances banks 3,300 317 2,982 582 1,793 317 2,692 1,793 2,083Residential mortgages 150,609 150,609 2,778 288,267 258 291,303 144,617 3,923Consumer loans 9,959 4 9,955 3,741 6,787 386 10,913 4,387 3,428Corporate loans 86,242 1,101 85,141 2,047 30,432 51,330 3,920 87,730 33,471 30,882Other loans and advances customers 7,491 7,491 377 50 19 446 18 7,064Fair value adjustment from hedge accounting -9,335 -9,335 -9,335Total loans and advances 1customers244,966 1,105 243,861 2,424 36,951 346,434 4,583 390,392 182,492 35,962Loans at fair value through P&L 66 66 66Total loans and advances customers 245,032 1,105 243,927 2,424 36,951 346,434 4,583 390,392 182,492 36,028Other assets 3,532 1 3,531 52 520 842 1,414 427 2,544Total on-balance sheet subject to netting and pledged agreements 322,235 6,609 315,626 8,013 64,110 346,434 5,742 424,300 190,593 81,919Assets not subject to netting and pledged agreements 63,955 63,955 63,955Total assets 386,190 6,609 379,581 8,013 64,110 346,434 5,742 424,300 190,593 145,875Total off-balance sheet 95,872 95,872 4,095 8,576 1,279 13,951 5,471 87,392Total on- and off-balance sheet 482,062 6,609 475,453 8,013 68,205 355,011 7,021 438,251 196,064 233,2671 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 decreased due to a reduction in property and equipment for residential mortgages, mainly due to falling house prices. As a result, surplus collateral also decreased. In the case of consumer loans, total risk mitigation and net exposure declined slightly. Financial instruments collateral increased alongside total risk mitigation for corporate loans. 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 increased to EUR 39.3 billion in 2023 (31 December 2022: EUR 36.0 billion). This was primarily driven by a lower fair value adjustment from hedge accounting, due to declining interest rates.Financial assets: offsetting, netting, collateral and guarantees for credit-impaired assetsbCollateral 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 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.31 December 2023Offset in the statement Not offset in the statement Net 4of financial positionof financial positionexposureCarrying Less: balance- Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and gua-Total risk surplus 123(in millions)nettingliabilitiesamountmentcollateralmentranteesmitigationcollateralLoans and advances banksResidential mortgages 1,167 1,167 11 2,015 2 2,028 862 1Consumer loans 137 137 11 67 4 82 23 78Corporate loans 2,319 2,319 762 1,674 156 2,592 711 438Other loans and advances customers 6 6 5 5 1Total loans and advances customers 3,629 3,629 784 3,756 167 4,707 1,596 518Total loans and advances 3,629 3,629 784 3,756 167 4,707 1,596 51831 December 2022Loans and advances banksResidential mortgages1,068 1,068 11 1,854 1 1,865 799 2Consumer loans151 151 23 71 11 105 32 79Corporate loans2,632 2,632 4 608 1,734 324 2,670 617 579Other loans and advances customers 1 1 1Total loans and advances customers 3,852 3,852 4 641 3,659 336 4,640 1,449 661Total loans and advances 3,852 3,852 4 641 3,659 336 4,640 1,449 6611 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.In line with the decrease in the stage 3 carrying amount (including POCI) to EUR 3.6 billion (31 December 2022: EUR 3.9 billion), total risk mitigation increased slightly to EUR 4.7 billion in 2023 (31 December 2022: EUR 4.6 billion). This increase was mainly observed in financial instruments and, to a lesser extent, property and equipment. The increase in property and equipment was caused by an increase for residential mortgages due to indexation. As the carrying amount of the stage 3 portfolio (including POCI) decreased, and the total risk mitigation increased, net exposure decreased by EUR 142 million to EUR 516 million at 31 December 2023.During 2023 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 at 31 December 2023 amounted to EUR 4 million (31 December 2022: 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 guaranteesb31 December 2023Offset 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 917 917 917Derivatives 2,856 2,856 1,994 1,994 861Securities financing 20,084 8,373 11,710 1,130 10,084 11,214 9,126 9,621Deposits 5,351 5,351 544 544 4,807OtherDue to banks 5,352 5,352 544 544 4,808Deposits 253,831 1,211 252,620 1,424 1,424 251,196Other borrowings 1,846 1,846 1,750 1,750 96Due to customers 255,677 1,211 254,466 3,174 3,174 251,292Other liabilities 5,741 5,741 2 5,743Total liabilities subject to netting arrangements 290,626 9,584 281,041 6,843 10,084 16,927 9,128 273,242Remaining liabilities not subject to netting 72,700 72,700 72,700Total liabilities 363,326 9,584 353,741 6,843 10,084 16,927 9,128 345,94231 December 2022Financial liabilities held for trading 641 641 641Derivatives 4,148 4,148 2,480 2,480 1,668Securities financing 14,839 5,186 9,652 820 13,798 14,618 6,478 1,512Deposits 17,531 32 17,499 688 688 16,811Other 10 10 10Due to banks 17,541 32 17,509 688 688 16,821Deposits 253,913 1,390 252,523 1,659 1,659 250,864Other borrowings 2,491 2,491 2,367 2,367 124Due to customers 256,405 1,390 255,015 4,026 4,026 250,989Other liabilities 5,187 1 5,187 5,187Total liabilities subject to netting arrangements 298,761 6,609 292,152 8,013 13,798 21,812 6,478 276,818Remaining liabilities not subject to netting 64,616 64,616 64,616Total liabilities 363,376 6,609 356,767 8,013 13,798 21,812 6,478 341,4341 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.Gross carrying amount \u2013 residential mortgagesb2023 20221, 21, 21, 2, 31, 2, 31, 21, 21, 2, 31, 2, 3(in millions) Stage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3TotalBalance at 1 January 140,450 9,169 1,143 150,762 137,063 8,025 1,264 146,351Transfer to stage 12,927 -2,922 -5 3,838 -3,823 -15Transfer to stage 2-6,111 6,435 -324 -6,587 7,023 -436Transfer to stage 3-306 -383 689 -257 -338 595Additional drawdowns and partial repayments-10,497 -904 -7 -11,408 -14,064 -1,509 -232 -15,805Originated or purchased13,824 13,824 22,879 22,879Matured or repaid-1,605 -280 -202 -2,088 -2,421 -208 -31 -2,660Write-offs-1 -1 -3 -3Foreign exchange1 1 1Other movements-11 -11Balance at 31 December 138,671 11,115 1,292 151,078 140,450 9,169 1,143 150,7621 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 \u2013 consumer loansb2023 20221, 21, 21, 2, 31, 21, 21, 2, 3(in millions) Stage 1Stage 2Stage 3Total Stage 1Stage 2Stage 3TotalClosing balance of the previous year 9,121 749 363 10,232 9,348 1,037 409 10,794Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 8,060 646 279 8,985 9,348 1,037 409 10,794Transfer to stage 1 298 -285 -13 443 -433 -11Transfer to stage 2 -259 274 -15 -343 360 -17Transfer to stage 3 -52 -34 86 -50 -58 108Additional drawdowns and partial repayments -452 9 19 -424 -340 -24 -11 -375Originated or purchased 1,433 1,433 1,911 1,911Matured or repaid -1,430 -144 -42 -1,617 -1,852 -134 -51 -2,037Write-offs -58 -58 -65 -65Foreign exchange1 3 4Other movements 60 60Balance at 31 December 7,658 467 255 8,380 9,121 749 363 10,2321 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 \u2013 corporate loansb2023 20221, 21, 21, 2, 31, 21, 21, 2, 3(in millions) Stage 1Stage 2Stage 3Total Stage 1Stage 2Stage 3TotalBalance at 1 January 69,103 13,963 3,666 86,731 69,364 12,075 5,019 86,458Transfer to stage 15,317 -5,210 -107 3,472 -3,388 -84Transfer to stage 2 -4,764 5,420 -657 -7,040 7,631 -591Transfer to stage 3 -773 -695 1,467 -557 -536 1,093Additional drawdowns and partial repayments302 1,098 -19 1,381 -3,391 1,449 175 -1,767Originated or purchased 21,897 21,897 23,683 23,683Matured or repaid -17,389 -4,170 -954 -22,513 -16,920 -3,381 -1,431 -21,732Write-offs -274 -274 -555 -556Foreign exchange -350 -92 -18 -461 577 43 37 657Other movements -19 -7 48 22 -84 71 1 -131, 2Balance at 31 December73,324 10,308 3,152 86,784 69,103 13,963 3,666 86,7311 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 \u2013 off-balanceb2023 202211(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January50,187 6,209 700 57,095 50,199 6,019 1,271 57,488Transfer to stage 1 2,543 -2,505 -38 1,960 -1,923 -37Transfer to stage 2 -1,564 1,632 -68 -2,801 2,958 -157Transfer to stage 3 -139 -90 230 -81 -82 164Additional drawdowns and partial repayments -8,615 -1,421 165 -9,872 -9,513 -668 -547 -10,728Originated or purchased 10,341 10,341 10,701 10,701Matured or repaid -519 -302 -22 -844 -549 -138 -687Foreign exchange -91 -15 -2 -108 271 42 7 320Balance at 31 December 52,141 3,507 965 56,613 50,187 6,209 700 57,0951 Including POCI.Loan impairment charges and allowances \u2013 residential mortgagesb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 21 57 75 153 8 22 52 82Transfer to stage 1 14 -18 -1 -4 6 -8 -1 -3Transfer to stage 2 -2 28 -19 7 -2 20 -14 4Transfer to stage 3-1 -5 30 24 -1 -2 21 171Remeasurements-13 -6 54 35 -12 5 16 9Changes in modelsChanges in risk parameters 4 -1 3 17 28 12 57Originated or purchased 4 4 7 7Matured or repaid -1 -6 -10 -17 -1 -7 -10 -18Impairment charges (releases) on loans and advances4 -7 54 51 13 35 25 73Write-offs-1 -1 -3 -3Unwind discount / unearned interest accrued 2 2 1 1Foreign exchange and other movements-1 -2 -4 -7Balance at 31 December 24 49 125 198 21 57 75 153Impairment charges (releases) on loans and advances 4 -7 54 51 13 35 25 73Recoveries and other charges (releases) -14 -14 -17 -17Total impairment charges for the period 4 -7 39 37 13 35 8 561 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loansb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 30 36 211 277 23 45 208 276Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 25 16 136 177 23 45 208 276Transfer to stage 1 7 -7 -4 -5 13 -17 -5 -9Transfer to stage 2 -3 8 -6 -1 -2 11 -9Transfer to stage 3 -3 -2 35 30 -5 42 371Remeasurements-11 -4 -15 -9 -1 37 27Changes in modelsChanges in risk parameters6 6 3 3 6 12Originated or purchased 3 3 4 4Matured or repaid-2 -1 -6 -8 -2 -1 -9 -12Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Write-offs -58 -58 -65 -65Unwind discount / unearned interest accrued 3 3 5 5Foreign exchange and other movements 2 1 11 15 2 3Balance at 31 December 18 11 118 147 30 36 211 277Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Recoveries and other charges (releases) -29 -29 -45 -45Total impairment charges for the period -9 -6 -4 -19 7 -10 16 141 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 256 301 1,033 1,590 130 291 1,632 2,053Transfer to stage 1 88 -103 -5 -20 38 -49 -10 -21Transfer to stage 2 -36 55 -33 -14 -27 123 -84 11Transfer to stage 3-10 -51 194 133 -15 -34 147 981Remeasurements-96 54 -71 -112 74 18 -156 -64Changes in risk parameters -34 -1 -35 24 25 12 61Originated or purchased 32 32 44 44Matured or repaid -9 -9 -37 -54 -10 -18 -60 -88Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Write-offs -274 -274 -555 -556Unwind discount / unearned interest accrued29 29 25 25Foreign exchange and other movements 1 -17 -3 -20 -1 -55 82 27Balance at 31 December 192 228 833 1,254 256 301 1,033 1,590Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Recoveries and other charges (releases) -67 -67 -42 -42Total impairment charges for the period -65 -55 -19 -139 127 65 -194 -11 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 25 16 10 51 17 20 116 153Transfer to stage 14 -5 -1 6 -8 -2Transfer to stage 2 -4 5 2 -2 5 4Transfer to stage 3 17 17 -1 11Remeasurements-7 -1 55 47 -4 -115 -120Changes in risk parameters -4 -4 1 1 2Originated or purchased 8 8 12 12Matured or repaid -7 -2 -9 -4 -3 -7Impairment charges (releases) -10 -3 72 60 9 -4 -114 -110Foreign exchange and other movements 1 -1 -1 -1 8 8Balance at 31 December16 12 81 109 25 16 10 51Impairment charges (releases) on off-balance -10 -3 72 60 9 -4 -114 -1102Other charges (releases)-90 -90 82 82Total impairment charges for the period -10 -3 -18 -30 9 -4 -32 -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 but also affected by reclassification to IFRS17.2 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 qualityb31 December 2023Forborne assets Forborne assets Total not past due and past due, but Impaired forborne not stage 3 not stage 3 forborne Specific Collective Total (in millions)assetsor POCIor POCIassetsallowanceallowanceallowanceLoans and advances banksResidential mortgages 1,048 639 8 400 47 47Consumer loans 103 32 16 56 5 14 20Corporate loans 4,367 2,471 12 1,884 404 95 499Other loans and advances customers 2 2 1 1Total loans and advances customers 5,519 3,142 35 2,342 410 156 566Total loans and advances 5,519 3,142 35 2,342 410 156 566Loans at FV through P&L 16 15Total loans and advances 5,535 3,157 36 2,342 410 156 56631 December 2022Loans and advances banksResidential mortgages 1,072 622 69 382 34 341Consumer loans181 87 5 88 4 54 581Corporate loans5,655 3,12988 2,439515154 6691Total loans and advances customers6,909 3,838 162 2,909 519 242 7601Total loans and advances6,909 3,838 162 2,909 519 242 760Loans at FV through P<otal loans and advances 6,909 3,838 162 2,909 519 242 7601 Excluding loans at fair value through P&L.Forborne assets by geographyb31 December 2023(in millions) The Netherlands Rest of Europe USA Asia Rest of the world TotalLoans and advances banksResidential mortgages 1,046 1 1,0481Consumer loans82 21 1031Corporate loans3,400 784 99 2 82 4,3671Other loans and advances customers2 21Total loans and advances customers4,528 807 99 2 83 5,5191Total loans and advances4,528 807 99 2 83 5,519Loans at FV through P&L 16 16Total loans and advances 4,544 807 99 2 83 5,53531 December 2022Loans and advances banksResidential mortgages 1,064 8 1,0721Consumer loans147 34 1811Consumer loans4,513 930 78 2 132 5,6551Other loans and advances customers1Total loans and advances customers5,725 972 78 3 132 6,9091Total loans and advances5,725 972 78 3 132 6,909Loans at FV through P<otal loans and advances 5,725 972 78 3 132 6,9091 Excluding loans at fair value through P&L.Forborne assets by business segmentb(in millions) 31 December 2023 31 December 2022Personal & Business Banking 1,984 2,358Wealth Management 272 243Corporate Banking 3,278 4,307Total forborne assets 5,535 6,909",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCreditRiskExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-33-4": {
"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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.Management of forborne, past due and credit-impaired loansbCredit risk reporting scopeAlthough 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 are 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.Total loans and advances customersb31 December 2023 31 December 2022Fair value Less: Fair value Less: Gross adjustment Less: loan amortisation Gross adjustment Less: loan amortisation carrying from hedge impairment and depre-Carrying carrying from hedge impairment and depre-Carrying 33(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks 2,327 3 2,324 2,990 8 2,982Residential mortgages 151,078 -6,005 198 144,875 150,762 -9,489 153 141,1211Consumer loans8,380 147 8,233 10,232 277 9,9551Corporate loans86,784 96 1,254 85,626 86,731 154 1,590 85,295Other loans and advances 1customers6,497 3 6,494 7,497 5 7,491Total loans and 1advances customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Total loans and 1advances255,066 -5,909 1,605 247,551 258,212 -9,335 2,034 246,844Other 134,409 -1,640 187 2,224 130,358 138,201 -3,119 123 2,222 132,738Total assets 389,474 -7,549 1,792 2,224 377,909 396,414 -12,454 2,157 2,222 379,581Loans and advances 1customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Consumer loans at 2fair value through P&L648 648Corporate loans at fair value through P&L 59 59 66 66Total loans and advances customers 253,446 -5,909 1,602 245,935 255,288 -9,335 2,026 243,9271 Excluding loans at fair value through P&L.2 As a result of the implementation of IFRS 17 Insurance contracts, residential mortgages with an insurance feature and consumer loans with a death waiver have to be recorded at fair value through profit and loss.3 Excluding fair value adjustments from hedge accounting.Fair value adjustments from hedge accounting for residential mortgages and corporate loans result from entering into interest rate swaps to protect against changes in the fair value of fixed-rate assets due to changes in market interest rates. The fair value adjustment for mortgages decreased due to lower market interest rates.Coverage and stage ratiosb31 December 2023 31 December 2022Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 2323(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,290 3 0.1% 98.4% 2,953 8 0.3% 98.8%Residential mortgages 138,671 24 0.0% 91.8% 140,450 21 0.0% 93.2%1Consumer loans7,658 18 0.2% 91.4% 9,121 30 0.3% 89.1%1Corporate loans73,324 192 0.3% 84.5% 69,103 256 0.4% 79.7%1Other loans and advances customers6,475 0.0% 99.7% 7,457 0.0% 99.5%1Total loans and advances customers226,128 234 0.1% 89.5% 226,130 308 0.1% 88.6%Stage 2Loans and advances banks 37 0.0% 1.6% 37 0.0% 1.2%Residential mortgages 11,115 49 0.4% 7.4% 9,169 57 0.6% 6.1%1Consumer loans467 11 2.4% 5.6% 749 36 4.8% 7.3%1Corporate loans10,308 228 2.2% 11.9% 13,963 301 2.2% 16.1%1Other loans and advances customers14 1 7.9% 0.2% 36 2 5.6% 0.5%1Total loans and advances customers21,903 289 1.3% 8.7% 23,917 396 1.7% 9.4%Stage 3 and POCILoans and advances banksResidential mortgages 1,292 125 9.7% 0.9% 1,143 75 6.6% 0.8%1Consumer loans255 118 46.3% 3.0% 363 211 58.2% 3.5%1Corporate loans3,152 833 26.4% 3.6% 3,666 1,033 28.2% 4.2%1Other loans and advances customers8 2 27.1% 0.1% 4 3 83.9% 0.0%1Total loans and advances customers4,707 1,079 22.9% 1.9% 5,175 1,322 25.6% 2.0%Total of stages 1, 2, 3 and POCITotal loans and advances banks 2,327 3 0.1% 2,990 8 0.3%Residential mortgages 151,078 198 0.1% 150,762 153 0.1%1Consumer loans8,380 147 1.8% 10,232 277 2.7%1Corporate loans86,784 1,254 1.4% 86,731 1,590 1.8%1Other loans and advances customers6,497 3 0.1% 7,497 5 0.1%1Total loans and advances customers252,739 1,602 0.6% 255,222 2,026 0.8%1Total loans and advances255,066 1,605 0.6% 258,212 2,034 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2023: EUR 1 million; 31 December 2022: EUR 1 million).The stage 1 ratio improved to 89.5% (31 December 2022: 88.6%), partly due to the positive impact of macroeconomic scenarios used to calculate the provision. As the macroeconomic outlook improved, fewer clients showed a significant increase in credit risk (SICR), as measured by their life-time probability of default. Particularly in residential mortgages, a relatively improved outlook for the housing market supported the shift from stage 2 to stage 1. The stage 3 ratio increased only marginally from 0.8% to 0.9% due to portfolio changes. The decline in the coverage ratios of both stage 2 and stage 3 loans was largely attributable to the releases of management overlays.Purchased or Originated Credit Impaired (POCI)At 31 December 2023, loans classified as POCI amounted to EUR 5 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report.Exposure and impairment flowsThis 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 advancesb2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,421Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 228,023 23,851 5,091 256,965 233,537 21,183 6,701 261,421Transfer to stage 1 8,542 -8,417 -125 7,771 -7,662 -110Transfer to stage 2 -11,135 12,130 -996 -14,007 15,050 -1,044Transfer to stage 3 -1,131 -1,116 2,247 -864 -932 1,796Additional drawdowns and partial repayments -11,950 199 -8 -11,759 -25,287 -73 -71 -25,430Originated or purchased 37,428 37,428 48,595 48,595Matured or repaid -20,909 -4,609 -1,198 -26,715 -21,365 -3,728 -1,515 -26,608Write-offs -334 -334 -622 -623Foreign exchange -484 -92 -18 -594 826 44 38 908Other movements 33 -7 48 74 -123 71 1 -51Balance at 31 December 228,418 21,940 4,707 255,066 229,084 23,954 5,175 258,2121 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 marginally compared to 31 December 2022. The largest decrease was recorded for consumer loans, due to some of the loans being sold to a third party and also to the change in accounting treatment to IFRS17 for consumer loans with contingent elements. Other loans, too, showed a significant fall, primarily driven by seasonal business movements within Clearing Bank.The decrease in consumer and other loans was partly off-set by a marginal increase in residential mortgages.The amount of total stage 2 and stage 3 loans decreased markedly, due to a large amount of matured or repaid loans. In addition, stage transfers and write-offs for stage 3 also contributed to the overall decrease.Exposure flows per product class are presented in the Additional risk, funding & capital disclosures section.Loan impairment charges and allowancesb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2022 8 153 277 1,590 5 2,034 51Impact adopting IFRS 17 -100 -100Balance at 1 January 2023 8 153 177 1,590 5 1,934 51Transfer to stage 1 -4 -5 -20 -28 -1Transfer to stage 2 7 -1 -14 -9 2Transfer to stage 3 24 30 133 2 188 171Remeasurements-5 35 -15 -112 -4 -101 47Changes in risk parameters 3 6 -35 -26 -4Originated or purchased 4 3 32 39 8Matured or repaid -17 -8 -54 -79 -9Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Write-offs -1 -58 -274 -334Unwind discount / unearned interest accrued 2 3 29 1 34Foreign exchange and other movements -7 15 -20 -12 -1Balance at 31 December 2023 3 198 147 1,254 3 1,605 1092023Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Recoveries and other charges (releases) -14 -29 -67 -111 -902Total impairment charges for the period-5 37 -19 -139 -3 -128 -301 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 but also affected due to reclassification to IFRS17.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2021 10 82 276 2,053 4 2,426 153Transfer to stage 1 -3 -9 -21 -33 -2Transfer to stage 2 4 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters 57 12 61 130 2Originated or purchased 7 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 accrued 1 5 25 32Foreign exchange and other movements 3 27 29 8Balance at 31 December 2022 8 153 277 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 822Total 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.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2022: EUR 0 million.Loan impairment charges and allowances per stageb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 316 396 1,322 2,034 172 360 1,894 2,426Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 310 376 1,247 1,934 172 360 1,894 2,426Transfer to stage 1 109 -128 -10 -28 57 -74 -16 -33Transfer to stage 2 -41 90 -58 -9 -31 153 -107 15Transfer to stage 3 -15 -59 261 188 -17 -40 209 1521Remeasurements-125 44 -20 -101 50 23 -103 -30Changes in modelsChanges in risk parameters-31 -1 6 -26 44 56 30 130Originated or purchased 39 39 55 55Matured or repaid-11 -16 -53 -79 -14 -26 -79 -119Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Write-offs -334 -334 -622 -623Unwind discount / unearned interest accrued 34 34 32 32Foreign exchange and other movements 2 -18 4 -12 -1 -55 84 29Balance at 31 December 237 289 1,079 1,605 316 396 1,322 2,034Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Recoveries and other charges (releases) -111 -111 -103 -103Total impairment charges for the period -75 -69 16 -128 145 91 -169 671 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 but also affected by reclassification to IFRS17.2 Including POCI.An impairments release of EUR 158 million (EUR 128 million on balance and EUR 30 million off balance) was recorded for 2023 (2022: additions of EUR 39 million). Releases were attributable to a reduction of management overlays and other adjustments, partly offset by new and existing individually provisioned files.For corporate loans, releases of EUR 139 million were recorded in 2023 (2022: addition of EUR 39 million). This was caused by a decrease in adjustments due to recalibration and review of the IFRS9 models. In addition, the management overlays related to Covid-19 were terminated and the management overlay related to the geopolitical and market sensitivity was lowered. A further wind-down of our corporate portfolio also contributed to the release of impairments. This was partly offset by the introduction of a management overlay of EUR 25 million for climate transition risk, following the update of the climate and environmental risk materiality assessment.For residential mortgages, charges of EUR 37 million were recorded (2022: EUR 56 million). This was caused by the increase of management overlay for interest only mortgages, due to inherent credit risk not fully captured in our models.Individual and collective loan impairment allowances and management overlaysb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 352 695 2 750 78Total individual impairments 52 695 2 750 78Collective impairmentsStage 13 24 18 192 237 16Stage 2 49 11 228 1 289 121Stage 3125 66 138 329 3Total collective impairments3 198 95 558 1 855 31- of which management overlay 83 177 260Total impairments 3 198 147 1,254 3 1,605 109Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance 1,292 255 3,152 8 4,70731 December 2022Individual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 1 8 21 30 256 316 25Stage 2 57 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay 26 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 allowance 1,143 363 3,666 4 5,1751 Including POCI.During 2023, management overlays decreased to a total of EUR 260 million (31 December 2021: EUR 328 million). Overlays were mainly in place for risks in the corporate loans portfolio and comprised the following items: \u2022 A management overlay of EUR 86 million (31 December 2022: EUR 123 million) that is applied for the geopolitical effects that are not fully captured by the latest projections in our macroeconomic scenarios (previously: overlay for the war in Ukraine) \u2022 To cover anticipated additional risk costs relating to the wind-down of portfolios an overlay of EUR 31 million is in place. As the wind-down of the CIB non-core portfolio was completed this overlay was lowered in 2023 (31 December 2022: EUR 61 million) \u2022 A new overlay of EUR 25 million was introduced for climate transition risk, following an update of the climate and environmental risk materiality assessment \u2022 The overlay that was formed for the potential impact of the government\u2019s nitrogen reducing measures on clients in livestock farming businesses in the Netherlands amounting to EUR 35 million (31 December 2022: EUR 34 million)Management overlays to reflect the impact of covid-19 were ended, which led to a release of EUR 30 million. Furthermore a management overlay amounting to EUR 55 million at the end of 2022 that was introduced to capture potential differences between coverage ratios for collective provisions (MPS) and individual provisions (IPS) was also discontinued.Compared to 31 December 2022, management overlays for our mortgage portfolio increased as the overlay that covers the refinancing risk of interest-only mortgages was raised by EUR 57 million, to EUR 83 million.Loan impairment charges and allowances \u2013 residential mortgagesb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 21 57 75 153 8 22 52 82Transfer to stage 1 14 -18 -1 -4 6 -8 -1 -3Transfer to stage 2 -2 28 -19 7 -2 20 -14 4Transfer to stage 3-1 -5 30 24 -1 -2 21 171Remeasurements-13 -6 54 35 -12 5 16 9Changes in modelsChanges in risk parameters 4 -1 3 17 28 12 57Originated or purchased 4 4 7 7Matured or repaid -1 -6 -10 -17 -1 -7 -10 -18Impairment charges (releases) on loans and advances4 -7 54 51 13 35 25 73Write-offs-1 -1 -3 -3Unwind discount / unearned interest accrued 2 2 1 1Foreign exchange and other movements-1 -2 -4 -7Balance at 31 December 24 49 125 198 21 57 75 153Impairment charges (releases) on loans and advances 4 -7 54 51 13 35 25 73Recoveries and other charges (releases) -14 -14 -17 -17Total impairment charges for the period 4 -7 39 37 13 35 8 561 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loansb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 30 36 211 277 23 45 208 276Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 25 16 136 177 23 45 208 276Transfer to stage 1 7 -7 -4 -5 13 -17 -5 -9Transfer to stage 2 -3 8 -6 -1 -2 11 -9Transfer to stage 3 -3 -2 35 30 -5 42 371Remeasurements-11 -4 -15 -9 -1 37 27Changes in modelsChanges in risk parameters6 6 3 3 6 12Originated or purchased 3 3 4 4Matured or repaid-2 -1 -6 -8 -2 -1 -9 -12Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Write-offs -58 -58 -65 -65Unwind discount / unearned interest accrued 3 3 5 5Foreign exchange and other movements 2 1 11 15 2 3Balance at 31 December 18 11 118 147 30 36 211 277Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Recoveries and other charges (releases) -29 -29 -45 -45Total impairment charges for the period -9 -6 -4 -19 7 -10 16 141 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 256 301 1,033 1,590 130 291 1,632 2,053Transfer to stage 1 88 -103 -5 -20 38 -49 -10 -21Transfer to stage 2 -36 55 -33 -14 -27 123 -84 11Transfer to stage 3-10 -51 194 133 -15 -34 147 981Remeasurements-96 54 -71 -112 74 18 -156 -64Changes in risk parameters -34 -1 -35 24 25 12 61Originated or purchased 32 32 44 44Matured or repaid -9 -9 -37 -54 -10 -18 -60 -88Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Write-offs -274 -274 -555 -556Unwind discount / unearned interest accrued29 29 25 25Foreign exchange and other movements 1 -17 -3 -20 -1 -55 82 27Balance at 31 December 192 228 833 1,254 256 301 1,033 1,590Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Recoveries and other charges (releases) -67 -67 -42 -42Total impairment charges for the period -65 -55 -19 -139 127 65 -194 -11 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 25 16 10 51 17 20 116 153Transfer to stage 14 -5 -1 6 -8 -2Transfer to stage 2 -4 5 2 -2 5 4Transfer to stage 3 17 17 -1 11Remeasurements-7 -1 55 47 -4 -115 -120Changes in risk parameters -4 -4 1 1 2Originated or purchased 8 8 12 12Matured or repaid -7 -2 -9 -4 -3 -7Impairment charges (releases) -10 -3 72 60 9 -4 -114 -110Foreign exchange and other movements 1 -1 -1 -1 8 8Balance at 31 December16 12 81 109 25 16 10 51Impairment charges (releases) on off-balance -10 -3 72 60 9 -4 -114 -1102Other charges (releases)-90 -90 82 82Total impairment charges for the period -10 -3 -18 -30 9 -4 -32 -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 but also affected by reclassification to IFRS17.2 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.",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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.20 Loans and advances banksAccounting policy for loans and advances banks and customersLoans 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).(in millions) 31 December 2023 31 December 2022Interest-bearing deposits1,401 1,771Loans and advances729 934Mandatory reserve deposits with central banks181 200Other loans and advances banks16 85Subtotal 2,327 2,990Less: loan impairment allowances3 8Total loans and advances banks 2,324 2,982Mandatory 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 it meets the minimum reserve requirements for the period.",
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"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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.Management of forborne, past due and credit-impaired loansbCredit risk reporting scopeAlthough 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 are 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.Total loans and advances customersb31 December 2023 31 December 2022Fair value Less: Fair value Less: Gross adjustment Less: loan amortisation Gross adjustment Less: loan amortisation carrying from hedge impairment and depre-Carrying carrying from hedge impairment and depre-Carrying 33(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks 2,327 3 2,324 2,990 8 2,982Residential mortgages 151,078 -6,005 198 144,875 150,762 -9,489 153 141,1211Consumer loans8,380 147 8,233 10,232 277 9,9551Corporate loans86,784 96 1,254 85,626 86,731 154 1,590 85,295Other loans and advances 1customers6,497 3 6,494 7,497 5 7,491Total loans and 1advances customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Total loans and 1advances255,066 -5,909 1,605 247,551 258,212 -9,335 2,034 246,844Other 134,409 -1,640 187 2,224 130,358 138,201 -3,119 123 2,222 132,738Total assets 389,474 -7,549 1,792 2,224 377,909 396,414 -12,454 2,157 2,222 379,581Loans and advances 1customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Consumer loans at 2fair value through P&L648 648Corporate loans at fair value through P&L 59 59 66 66Total loans and advances customers 253,446 -5,909 1,602 245,935 255,288 -9,335 2,026 243,9271 Excluding loans at fair value through P&L.2 As a result of the implementation of IFRS 17 Insurance contracts, residential mortgages with an insurance feature and consumer loans with a death waiver have to be recorded at fair value through profit and loss.3 Excluding fair value adjustments from hedge accounting.Fair value adjustments from hedge accounting for residential mortgages and corporate loans result from entering into interest rate swaps to protect against changes in the fair value of fixed-rate assets due to changes in market interest rates. The fair value adjustment for mortgages decreased due to lower market interest rates.Forborne exposuresClients 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 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.Overview of forborne assetsb31 December 2023Performing assetsNon-performing assetsTotal Tem-Perma-Total per-Tem-Perma-non-per-Gross porary nent forming porary nent forming Total Forbe-carrying modifi-modifi-Refi-forborne modifi-modifi-Refi-forborne forborne arance 2amountcationcationnancingassetscationcationnancingassetsassetsratio(in millions)Loans and advances banks 2,327 0.0%Residential mortgages 151,078 516 14 531 506 10 1 517 1,048 0.7%1Consumer loans8,380 20 27 47 11 40 6 56 103 1.2%1Corporate loans86,784 564 1,548 370 2,482 294 1,303 288 1,884 4,367 5.0%Other loans and advances 1customers6,497 2 2 2 0.0%Total loans and advances 1customers252,739 1,101 1,589 371 3,060 810 1,352 296 2,459 5,519 2.2%1Total loans and advances255,066 1,101 1,589 371 3,060 810 1,352 296 2,459 5,519 2.2%Loans at FV through P&L 707 1 1 2 12 2 14 16 2.2%Total loans and advances 255,773 1,102 1,590 371 3,062 822 1,354 296 2,472 5,535 2.2%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.31 December 2022Performing assetsNon-performing assetsTotal Tem-Perma-Total per-Tem-Perma-non-per-Gross porary nent forming porary nent forming Total Forbear-carrying modifi-modifi-Refi-forborne modifi-modifi-Refi-forborne forborne ance 3amountcationcationnancingassetscationcationnancingassetsassetsratio(in millions)Loans and advances banks 2,990 0.0%Residential mortgages 150,762 545 22 2 569 489 15 503 1,072 0.7%1Consumer 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%Other loans and advances 1customers7,497 0.0%Total loans and advances 1, 2customers255,222 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%1, 2Total loans and advances258,212 1,162 2,337 377 3,876 924 1,812 296 3,033 6,909 2.7%Loans at FV through P&L 66Total loans and advances 258,278 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.In 2023 the forbearance ratio improved to 2.2% (31 December 2022: 2.7%). Corporate loans and consumer loans with forbearance measures declined significantly as many clients that had received forbearance measures during the Covid pandemic came to the end of their minimum two-year probation period. Assets for mortgages remained largely unchanged. After three years of increased forbearance, forborne assets are back at their pre-Covid-19 level. Most of the recently applied forbearance measures are temporary. Approximately 35% of the total forborne exposures are now subject to a temporary measure (31 December 2022:approximately 30%), with the remainder relating to permanent measures such as covenant waivers and refinancing.Past due not classified as stage 3b31 December 2023Days 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 2,327 2,327 0.0%Residential mortgages 151,078 149,786 1,204 6 2 1,211 0.8%1Consumer loans8,380 8,125 90 17 37 143 1.7%1Corporate loans86,784 83,631 359 205 76 640 0.7%1Other loans and advances customers6,497 6,489 4 4 0.1%1Total loans and advances customers252,739 248,031 1,657 227 114 1,999 0.8%1Total loans and advances255,066 250,358 1,657 227 114 1,999 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.31 December 2022Days 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 2,990 2,990 0.0%Residential mortgages 150,762 149,619 879 52 7 939 0.6%1Consumer 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%1, 2Total loans and advances customers255,222 250,047 1,623 284 131 2,038 0.8%1, 2Total 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 which are transferred to impaired. Below these thresholds, amounts are reported on > 90 days past due.Past due exposuresWhen 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.Total arrears remained stable at EUR 2.0 billion, or 0.8% of total loans and advances, comparable to the position at 31 December 2022. Residential mortgages in arrears rose by EUR 0.3 billion, from 0.6% to 0.8%. The increase was particularly in the short-term bucket. Corporate loans in arrears registered a strong decline of EUR 0.3 billion, thus improving the past due ratio from 1% to 0.7%. This result was helped by increased efforts to monitor arrears.Coverage and stage ratiosb31 December 2023 31 December 2022Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 2323(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,290 3 0.1% 98.4% 2,953 8 0.3% 98.8%Residential mortgages 138,671 24 0.0% 91.8% 140,450 21 0.0% 93.2%1Consumer loans7,658 18 0.2% 91.4% 9,121 30 0.3% 89.1%1Corporate loans73,324 192 0.3% 84.5% 69,103 256 0.4% 79.7%1Other loans and advances customers6,475 0.0% 99.7% 7,457 0.0% 99.5%1Total loans and advances customers226,128 234 0.1% 89.5% 226,130 308 0.1% 88.6%Stage 2Loans and advances banks 37 0.0% 1.6% 37 0.0% 1.2%Residential mortgages 11,115 49 0.4% 7.4% 9,169 57 0.6% 6.1%1Consumer loans467 11 2.4% 5.6% 749 36 4.8% 7.3%1Corporate loans10,308 228 2.2% 11.9% 13,963 301 2.2% 16.1%1Other loans and advances customers14 1 7.9% 0.2% 36 2 5.6% 0.5%1Total loans and advances customers21,903 289 1.3% 8.7% 23,917 396 1.7% 9.4%Stage 3 and POCILoans and advances banksResidential mortgages 1,292 125 9.7% 0.9% 1,143 75 6.6% 0.8%1Consumer loans255 118 46.3% 3.0% 363 211 58.2% 3.5%1Corporate loans3,152 833 26.4% 3.6% 3,666 1,033 28.2% 4.2%1Other loans and advances customers8 2 27.1% 0.1% 4 3 83.9% 0.0%1Total loans and advances customers4,707 1,079 22.9% 1.9% 5,175 1,322 25.6% 2.0%Total of stages 1, 2, 3 and POCITotal loans and advances banks 2,327 3 0.1% 2,990 8 0.3%Residential mortgages 151,078 198 0.1% 150,762 153 0.1%1Consumer loans8,380 147 1.8% 10,232 277 2.7%1Corporate loans86,784 1,254 1.4% 86,731 1,590 1.8%1Other loans and advances customers6,497 3 0.1% 7,497 5 0.1%1Total loans and advances customers252,739 1,602 0.6% 255,222 2,026 0.8%1Total loans and advances255,066 1,605 0.6% 258,212 2,034 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2023: EUR 1 million; 31 December 2022: EUR 1 million).The stage 1 ratio improved to 89.5% (31 December 2022: 88.6%), partly due to the positive impact of macroeconomic scenarios used to calculate the provision. As the macroeconomic outlook improved, fewer clients showed a significant increase in credit risk (SICR), as measured by their life-time probability of default. Particularly in residential mortgages, a relatively improved outlook for the housing market supported the shift from stage 2 to stage 1. The stage 3 ratio increased only marginally from 0.8% to 0.9% due to portfolio changes. The decline in the coverage ratios of both stage 2 and stage 3 loans was largely attributable to the releases of management overlays.Purchased or Originated Credit Impaired (POCI)At 31 December 2023, loans classified as POCI amounted to EUR 5 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report.Exposure and impairment flowsThis 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 advancesb2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,421Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 228,023 23,851 5,091 256,965 233,537 21,183 6,701 261,421Transfer to stage 1 8,542 -8,417 -125 7,771 -7,662 -110Transfer to stage 2 -11,135 12,130 -996 -14,007 15,050 -1,044Transfer to stage 3 -1,131 -1,116 2,247 -864 -932 1,796Additional drawdowns and partial repayments -11,950 199 -8 -11,759 -25,287 -73 -71 -25,430Originated or purchased 37,428 37,428 48,595 48,595Matured or repaid -20,909 -4,609 -1,198 -26,715 -21,365 -3,728 -1,515 -26,608Write-offs -334 -334 -622 -623Foreign exchange -484 -92 -18 -594 826 44 38 908Other movements 33 -7 48 74 -123 71 1 -51Balance at 31 December 228,418 21,940 4,707 255,066 229,084 23,954 5,175 258,2121 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 marginally compared to 31 December 2022. The largest decrease was recorded for consumer loans, due to some of the loans being sold to a third party and also to the change in accounting treatment to IFRS17 for consumer loans with contingent elements. Other loans, too, showed a significant fall, primarily driven by seasonal business movements within Clearing Bank.The decrease in consumer and other loans was partly off-set by a marginal increase in residential mortgages.The amount of total stage 2 and stage 3 loans decreased markedly, due to a large amount of matured or repaid loans. In addition, stage transfers and write-offs for stage 3 also contributed to the overall decrease.Exposure flows per product class are presented in the Additional risk, funding & capital disclosures section.Loan impairment charges and allowancesb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2022 8 153 277 1,590 5 2,034 51Impact adopting IFRS 17 -100 -100Balance at 1 January 2023 8 153 177 1,590 5 1,934 51Transfer to stage 1 -4 -5 -20 -28 -1Transfer to stage 2 7 -1 -14 -9 2Transfer to stage 3 24 30 133 2 188 171Remeasurements-5 35 -15 -112 -4 -101 47Changes in risk parameters 3 6 -35 -26 -4Originated or purchased 4 3 32 39 8Matured or repaid -17 -8 -54 -79 -9Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Write-offs -1 -58 -274 -334Unwind discount / unearned interest accrued 2 3 29 1 34Foreign exchange and other movements -7 15 -20 -12 -1Balance at 31 December 2023 3 198 147 1,254 3 1,605 1092023Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Recoveries and other charges (releases) -14 -29 -67 -111 -902Total impairment charges for the period-5 37 -19 -139 -3 -128 -301 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 but also affected due to reclassification to IFRS17.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2021 10 82 276 2,053 4 2,426 153Transfer to stage 1 -3 -9 -21 -33 -2Transfer to stage 2 4 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters 57 12 61 130 2Originated or purchased 7 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 accrued 1 5 25 32Foreign exchange and other movements 3 27 29 8Balance at 31 December 2022 8 153 277 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 822Total 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.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2022: EUR 0 million.Loan impairment charges and allowances per stageb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 316 396 1,322 2,034 172 360 1,894 2,426Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 310 376 1,247 1,934 172 360 1,894 2,426Transfer to stage 1 109 -128 -10 -28 57 -74 -16 -33Transfer to stage 2 -41 90 -58 -9 -31 153 -107 15Transfer to stage 3 -15 -59 261 188 -17 -40 209 1521Remeasurements-125 44 -20 -101 50 23 -103 -30Changes in modelsChanges in risk parameters-31 -1 6 -26 44 56 30 130Originated or purchased 39 39 55 55Matured or repaid-11 -16 -53 -79 -14 -26 -79 -119Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Write-offs -334 -334 -622 -623Unwind discount / unearned interest accrued 34 34 32 32Foreign exchange and other movements 2 -18 4 -12 -1 -55 84 29Balance at 31 December 237 289 1,079 1,605 316 396 1,322 2,034Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Recoveries and other charges (releases) -111 -111 -103 -103Total impairment charges for the period -75 -69 16 -128 145 91 -169 671 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 but also affected by reclassification to IFRS17.2 Including POCI.An impairments release of EUR 158 million (EUR 128 million on balance and EUR 30 million off balance) was recorded for 2023 (2022: additions of EUR 39 million). Releases were attributable to a reduction of management overlays and other adjustments, partly offset by new and existing individually provisioned files.For corporate loans, releases of EUR 139 million were recorded in 2023 (2022: addition of EUR 39 million). This was caused by a decrease in adjustments due to recalibration and review of the IFRS9 models. In addition, the management overlays related to Covid-19 were terminated and the management overlay related to the geopolitical and market sensitivity was lowered. A further wind-down of our corporate portfolio also contributed to the release of impairments. This was partly offset by the introduction of a management overlay of EUR 25 million for climate transition risk, following the update of the climate and environmental risk materiality assessment.For residential mortgages, charges of EUR 37 million were recorded (2022: EUR 56 million). This was caused by the increase of management overlay for interest only mortgages, due to inherent credit risk not fully captured in our models.20 Loans and advances banksAccounting policy for loans and advances banks and customersLoans 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).21 Loans and advances customersAccounting policy for loans and advances customersThe 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 2023 31 December 2022Residential mortgages (excluding fair value adjustment)151,078 150,762Fair value adjustment from hedge accounting on residential mortgages-6,005 -9,489Residential mortgages, gross 145,073 141,274Less: loan impairment allowances - residential mortgage loans198 153Residential mortgages 144,875 141,121Consumer loans at amortised cost, gross 8,380 10,232Less: loan impairment allowances - consumer loans147 277Consumer loans at amortised cost 8,233 9,9551Consumer loans at fair value through P&L648Corporate loans (excluding fair value adjustment)78,387 78,178Fair value adjustment from hedge accounting on corporate loans96 154Financial lease receivables4,169 4,396Factoring4,227 4,157Corporate loans at amortised cost, gross 86,880 86,885Less: loan impairment allowances - corporate loans1,254 1,590Corporate loans at amortised cost 85,626 85,295Corporate loans at fair value through P&L59 66Government and official institutions455 629Other loans6,043 6,868Other loans and advances customers, gross 6,497 7,497Less: loan impairment allowances - other3 5Other loans and advances customers 6,494 7,491Total loans and advances customers 245,935 243,9271 Consumer loans at Fair Value through P&L is a new line item as a result of the implementation of IFRS 17 Insurance contracts. Residential mortgages with an insurance feature and consumer loans with a death waiver are mandatory recorded at Fair value through Profit or Loss.For information on loan impairment allowances, please refer to the Credit risk review section in the Risk, funding & capital chapter.",
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"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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.Management of forborne, past due and credit-impaired loansbCredit risk reporting scopeAlthough 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 are 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.Total loans and advances customersb31 December 2023 31 December 2022Fair value Less: Fair value Less: Gross adjustment Less: loan amortisation Gross adjustment Less: loan amortisation carrying from hedge impairment and depre-Carrying carrying from hedge impairment and depre-Carrying 33(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks 2,327 3 2,324 2,990 8 2,982Residential mortgages 151,078 -6,005 198 144,875 150,762 -9,489 153 141,1211Consumer loans8,380 147 8,233 10,232 277 9,9551Corporate loans86,784 96 1,254 85,626 86,731 154 1,590 85,295Other loans and advances 1customers6,497 3 6,494 7,497 5 7,491Total loans and 1advances customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Total loans and 1advances255,066 -5,909 1,605 247,551 258,212 -9,335 2,034 246,844Other 134,409 -1,640 187 2,224 130,358 138,201 -3,119 123 2,222 132,738Total assets 389,474 -7,549 1,792 2,224 377,909 396,414 -12,454 2,157 2,222 379,581Loans and advances 1customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Consumer loans at 2fair value through P&L648 648Corporate loans at fair value through P&L 59 59 66 66Total loans and advances customers 253,446 -5,909 1,602 245,935 255,288 -9,335 2,026 243,9271 Excluding loans at fair value through P&L.2 As a result of the implementation of IFRS 17 Insurance contracts, residential mortgages with an insurance feature and consumer loans with a death waiver have to be recorded at fair value through profit and loss.3 Excluding fair value adjustments from hedge accounting.Fair value adjustments from hedge accounting for residential mortgages and corporate loans result from entering into interest rate swaps to protect against changes in the fair value of fixed-rate assets due to changes in market interest rates. The fair value adjustment for mortgages decreased due to lower market interest rates.Coverage and stage ratiosb31 December 2023 31 December 2022Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 2323(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,290 3 0.1% 98.4% 2,953 8 0.3% 98.8%Residential mortgages 138,671 24 0.0% 91.8% 140,450 21 0.0% 93.2%1Consumer loans7,658 18 0.2% 91.4% 9,121 30 0.3% 89.1%1Corporate loans73,324 192 0.3% 84.5% 69,103 256 0.4% 79.7%1Other loans and advances customers6,475 0.0% 99.7% 7,457 0.0% 99.5%1Total loans and advances customers226,128 234 0.1% 89.5% 226,130 308 0.1% 88.6%Stage 2Loans and advances banks 37 0.0% 1.6% 37 0.0% 1.2%Residential mortgages 11,115 49 0.4% 7.4% 9,169 57 0.6% 6.1%1Consumer loans467 11 2.4% 5.6% 749 36 4.8% 7.3%1Corporate loans10,308 228 2.2% 11.9% 13,963 301 2.2% 16.1%1Other loans and advances customers14 1 7.9% 0.2% 36 2 5.6% 0.5%1Total loans and advances customers21,903 289 1.3% 8.7% 23,917 396 1.7% 9.4%Stage 3 and POCILoans and advances banksResidential mortgages 1,292 125 9.7% 0.9% 1,143 75 6.6% 0.8%1Consumer loans255 118 46.3% 3.0% 363 211 58.2% 3.5%1Corporate loans3,152 833 26.4% 3.6% 3,666 1,033 28.2% 4.2%1Other loans and advances customers8 2 27.1% 0.1% 4 3 83.9% 0.0%1Total loans and advances customers4,707 1,079 22.9% 1.9% 5,175 1,322 25.6% 2.0%Total of stages 1, 2, 3 and POCITotal loans and advances banks 2,327 3 0.1% 2,990 8 0.3%Residential mortgages 151,078 198 0.1% 150,762 153 0.1%1Consumer loans8,380 147 1.8% 10,232 277 2.7%1Corporate loans86,784 1,254 1.4% 86,731 1,590 1.8%1Other loans and advances customers6,497 3 0.1% 7,497 5 0.1%1Total loans and advances customers252,739 1,602 0.6% 255,222 2,026 0.8%1Total loans and advances255,066 1,605 0.6% 258,212 2,034 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2023: EUR 1 million; 31 December 2022: EUR 1 million).The stage 1 ratio improved to 89.5% (31 December 2022: 88.6%), partly due to the positive impact of macroeconomic scenarios used to calculate the provision. As the macroeconomic outlook improved, fewer clients showed a significant increase in credit risk (SICR), as measured by their life-time probability of default. Particularly in residential mortgages, a relatively improved outlook for the housing market supported the shift from stage 2 to stage 1. The stage 3 ratio increased only marginally from 0.8% to 0.9% due to portfolio changes. The decline in the coverage ratios of both stage 2 and stage 3 loans was largely attributable to the releases of management overlays.Purchased or Originated Credit Impaired (POCI)At 31 December 2023, loans classified as POCI amounted to EUR 5 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report.Exposure and impairment flowsThis 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 advancesb2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,421Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 228,023 23,851 5,091 256,965 233,537 21,183 6,701 261,421Transfer to stage 1 8,542 -8,417 -125 7,771 -7,662 -110Transfer to stage 2 -11,135 12,130 -996 -14,007 15,050 -1,044Transfer to stage 3 -1,131 -1,116 2,247 -864 -932 1,796Additional drawdowns and partial repayments -11,950 199 -8 -11,759 -25,287 -73 -71 -25,430Originated or purchased 37,428 37,428 48,595 48,595Matured or repaid -20,909 -4,609 -1,198 -26,715 -21,365 -3,728 -1,515 -26,608Write-offs -334 -334 -622 -623Foreign exchange -484 -92 -18 -594 826 44 38 908Other movements 33 -7 48 74 -123 71 1 -51Balance at 31 December 228,418 21,940 4,707 255,066 229,084 23,954 5,175 258,2121 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 marginally compared to 31 December 2022. The largest decrease was recorded for consumer loans, due to some of the loans being sold to a third party and also to the change in accounting treatment to IFRS17 for consumer loans with contingent elements. Other loans, too, showed a significant fall, primarily driven by seasonal business movements within Clearing Bank.The decrease in consumer and other loans was partly off-set by a marginal increase in residential mortgages.The amount of total stage 2 and stage 3 loans decreased markedly, due to a large amount of matured or repaid loans. In addition, stage transfers and write-offs for stage 3 also contributed to the overall decrease.Exposure flows per product class are presented in the Additional risk, funding & capital disclosures section.Loan impairment charges and allowancesb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2022 8 153 277 1,590 5 2,034 51Impact adopting IFRS 17 -100 -100Balance at 1 January 2023 8 153 177 1,590 5 1,934 51Transfer to stage 1 -4 -5 -20 -28 -1Transfer to stage 2 7 -1 -14 -9 2Transfer to stage 3 24 30 133 2 188 171Remeasurements-5 35 -15 -112 -4 -101 47Changes in risk parameters 3 6 -35 -26 -4Originated or purchased 4 3 32 39 8Matured or repaid -17 -8 -54 -79 -9Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Write-offs -1 -58 -274 -334Unwind discount / unearned interest accrued 2 3 29 1 34Foreign exchange and other movements -7 15 -20 -12 -1Balance at 31 December 2023 3 198 147 1,254 3 1,605 1092023Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Recoveries and other charges (releases) -14 -29 -67 -111 -902Total impairment charges for the period-5 37 -19 -139 -3 -128 -301 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 but also affected due to reclassification to IFRS17.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2021 10 82 276 2,053 4 2,426 153Transfer to stage 1 -3 -9 -21 -33 -2Transfer to stage 2 4 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters 57 12 61 130 2Originated or purchased 7 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 accrued 1 5 25 32Foreign exchange and other movements 3 27 29 8Balance at 31 December 2022 8 153 277 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 822Total 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.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2022: EUR 0 million.Loan impairment charges and allowances per stageb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 316 396 1,322 2,034 172 360 1,894 2,426Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 310 376 1,247 1,934 172 360 1,894 2,426Transfer to stage 1 109 -128 -10 -28 57 -74 -16 -33Transfer to stage 2 -41 90 -58 -9 -31 153 -107 15Transfer to stage 3 -15 -59 261 188 -17 -40 209 1521Remeasurements-125 44 -20 -101 50 23 -103 -30Changes in modelsChanges in risk parameters-31 -1 6 -26 44 56 30 130Originated or purchased 39 39 55 55Matured or repaid-11 -16 -53 -79 -14 -26 -79 -119Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Write-offs -334 -334 -622 -623Unwind discount / unearned interest accrued 34 34 32 32Foreign exchange and other movements 2 -18 4 -12 -1 -55 84 29Balance at 31 December 237 289 1,079 1,605 316 396 1,322 2,034Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Recoveries and other charges (releases) -111 -111 -103 -103Total impairment charges for the period -75 -69 16 -128 145 91 -169 671 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 but also affected by reclassification to IFRS17.2 Including POCI.An impairments release of EUR 158 million (EUR 128 million on balance and EUR 30 million off balance) was recorded for 2023 (2022: additions of EUR 39 million). Releases were attributable to a reduction of management overlays and other adjustments, partly offset by new and existing individually provisioned files.For corporate loans, releases of EUR 139 million were recorded in 2023 (2022: addition of EUR 39 million). This was caused by a decrease in adjustments due to recalibration and review of the IFRS9 models. In addition, the management overlays related to Covid-19 were terminated and the management overlay related to the geopolitical and market sensitivity was lowered. A further wind-down of our corporate portfolio also contributed to the release of impairments. This was partly offset by the introduction of a management overlay of EUR 25 million for climate transition risk, following the update of the climate and environmental risk materiality assessment.For residential mortgages, charges of EUR 37 million were recorded (2022: EUR 56 million). This was caused by the increase of management overlay for interest only mortgages, due to inherent credit risk not fully captured in our models.Individual and collective loan impairment allowances and management overlaysb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 352 695 2 750 78Total individual impairments 52 695 2 750 78Collective impairmentsStage 13 24 18 192 237 16Stage 2 49 11 228 1 289 121Stage 3125 66 138 329 3Total collective impairments3 198 95 558 1 855 31- of which management overlay 83 177 260Total impairments 3 198 147 1,254 3 1,605 109Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance 1,292 255 3,152 8 4,70731 December 2022Individual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 1 8 21 30 256 316 25Stage 2 57 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay 26 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 allowance 1,143 363 3,666 4 5,1751 Including POCI.During 2023, management overlays decreased to a total of EUR 260 million (31 December 2021: EUR 328 million). Overlays were mainly in place for risks in the corporate loans portfolio and comprised the following items: \u2022 A management overlay of EUR 86 million (31 December 2022: EUR 123 million) that is applied for the geopolitical effects that are not fully captured by the latest projections in our macroeconomic scenarios (previously: overlay for the war in Ukraine) \u2022 To cover anticipated additional risk costs relating to the wind-down of portfolios an overlay of EUR 31 million is in place. As the wind-down of the CIB non-core portfolio was completed this overlay was lowered in 2023 (31 December 2022: EUR 61 million) \u2022 A new overlay of EUR 25 million was introduced for climate transition risk, following an update of the climate and environmental risk materiality assessment \u2022 The overlay that was formed for the potential impact of the government\u2019s nitrogen reducing measures on clients in livestock farming businesses in the Netherlands amounting to EUR 35 million (31 December 2022: EUR 34 million)Management overlays to reflect the impact of covid-19 were ended, which led to a release of EUR 30 million. Furthermore a management overlay amounting to EUR 55 million at the end of 2022 that was introduced to capture potential differences between coverage ratios for collective provisions (MPS) and individual provisions (IPS) was also discontinued.Compared to 31 December 2022, management overlays for our mortgage portfolio increased as the overlay that covers the refinancing risk of interest-only mortgages was raised by EUR 57 million, to EUR 83 million.Loan impairment charges and allowances \u2013 residential mortgagesb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 21 57 75 153 8 22 52 82Transfer to stage 1 14 -18 -1 -4 6 -8 -1 -3Transfer to stage 2 -2 28 -19 7 -2 20 -14 4Transfer to stage 3-1 -5 30 24 -1 -2 21 171Remeasurements-13 -6 54 35 -12 5 16 9Changes in modelsChanges in risk parameters 4 -1 3 17 28 12 57Originated or purchased 4 4 7 7Matured or repaid -1 -6 -10 -17 -1 -7 -10 -18Impairment charges (releases) on loans and advances4 -7 54 51 13 35 25 73Write-offs-1 -1 -3 -3Unwind discount / unearned interest accrued 2 2 1 1Foreign exchange and other movements-1 -2 -4 -7Balance at 31 December 24 49 125 198 21 57 75 153Impairment charges (releases) on loans and advances 4 -7 54 51 13 35 25 73Recoveries and other charges (releases) -14 -14 -17 -17Total impairment charges for the period 4 -7 39 37 13 35 8 561 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loansb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 30 36 211 277 23 45 208 276Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 25 16 136 177 23 45 208 276Transfer to stage 1 7 -7 -4 -5 13 -17 -5 -9Transfer to stage 2 -3 8 -6 -1 -2 11 -9Transfer to stage 3 -3 -2 35 30 -5 42 371Remeasurements-11 -4 -15 -9 -1 37 27Changes in modelsChanges in risk parameters6 6 3 3 6 12Originated or purchased 3 3 4 4Matured or repaid-2 -1 -6 -8 -2 -1 -9 -12Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Write-offs -58 -58 -65 -65Unwind discount / unearned interest accrued 3 3 5 5Foreign exchange and other movements 2 1 11 15 2 3Balance at 31 December 18 11 118 147 30 36 211 277Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Recoveries and other charges (releases) -29 -29 -45 -45Total impairment charges for the period -9 -6 -4 -19 7 -10 16 141 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 256 301 1,033 1,590 130 291 1,632 2,053Transfer to stage 1 88 -103 -5 -20 38 -49 -10 -21Transfer to stage 2 -36 55 -33 -14 -27 123 -84 11Transfer to stage 3-10 -51 194 133 -15 -34 147 981Remeasurements-96 54 -71 -112 74 18 -156 -64Changes in risk parameters -34 -1 -35 24 25 12 61Originated or purchased 32 32 44 44Matured or repaid -9 -9 -37 -54 -10 -18 -60 -88Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Write-offs -274 -274 -555 -556Unwind discount / unearned interest accrued29 29 25 25Foreign exchange and other movements 1 -17 -3 -20 -1 -55 82 27Balance at 31 December 192 228 833 1,254 256 301 1,033 1,590Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Recoveries and other charges (releases) -67 -67 -42 -42Total impairment charges for the period -65 -55 -19 -139 127 65 -194 -11 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 25 16 10 51 17 20 116 153Transfer to stage 14 -5 -1 6 -8 -2Transfer to stage 2 -4 5 2 -2 5 4Transfer to stage 3 17 17 -1 11Remeasurements-7 -1 55 47 -4 -115 -120Changes in risk parameters -4 -4 1 1 2Originated or purchased 8 8 12 12Matured or repaid -7 -2 -9 -4 -3 -7Impairment charges (releases) -10 -3 72 60 9 -4 -114 -110Foreign exchange and other movements 1 -1 -1 -1 8 8Balance at 31 December16 12 81 109 25 16 10 51Impairment charges (releases) on off-balance -10 -3 72 60 9 -4 -114 -1102Other charges (releases)-90 -90 82 82Total impairment charges for the period -10 -3 -18 -30 9 -4 -32 -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 but also affected by reclassification to IFRS17.2 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.1 Accounting policiesCritical accounting estimates and judgementsIn 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:\u2022 Impairment losses on financial assets measured at amortised costs - Risk, funding & capital management section,\u2022 Income tax expense, tax assets and tax liabilities - Note 11,\u2022 Impairment of instruments measured at FVOCI - Note 17,\u2022 Fair value of financial instruments - Note 19,\u2022 Impairment of ROU assets and goodwill - Note 24,\u2022 Provisions - Note 30.Assessment of risks, rewards and controlWhenever 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, the use of judgement may sometimes be required. Although management uses its best knowledge of current events and actions in making such assessments, the actual risks, rewards and control may ultimately differ.11 Income tax expense, tax assets and tax liabilitiesAccounting policy for income tax expense, tax assets and tax liabilitiesDeferred 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 prevailing 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.Tax assets and liabilitiesThe 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 2023 31 December 2022(in millions) Assets Liabilities Assets LiabilitiesCurrent tax 49 159 68 22Deferred tax 278 497Total tax assets and liabilities 327 159 565 22(in millions) 2023 2022Recognised in income statement:Current tax expenses for the current period 915 530Adjustments recognised in the period for current tax of prior periods -90 -7Total current tax expense 825 522Deferred tax arising from the current period 41 2Impact of changes in tax rates on deferred taxes -1 1Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset -85 -13Deferred tax prior period 80 -2Previously unrecognised tax losses, tax credits and temporary differences reducing deferred tax expense -13 -1Total deferred tax expense 22 -13Total income tax expense847 509Due to the sale of the Gustav Mahlerlaan building in 2021 ABN AMRO was able to make use of a reinvestment reserve. This results in lower current tax expense, offset by higher deferred tax expense included in a prior period.The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in the following tables.As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2022statement OCI Equity Other2023tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments 315 -3 -198 115 124 9Property and equipment (excluding leases) and intangible assets 23 2 25 27 2Loans 12 -1 12 12Leases 38 -6 32 102 70Pensions and other (post-)employment benefits 9 -1 8 8Provisions 20 6 3 1 -6 23 23Tax losses carried forward 40 50 -2 88 88Other39 -69 6 -25 64 89Deferred tax assets (+) and liabilities (-) 497 -22 -195 1 -2 278 448 170Offsetting deferred tax assets and liabilities 170 170Net deferred tax assets (+) and liabilities (-) 278As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2021statement OCI Equity Other2022tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments448 -1 -131 315 341 25Property and equipment (excluding leases) and intangible assets 18 6 23 25 3Loans 7 6 12 13Leases 37 1 38 96 58Pensions and other (post-)employment benefits 11 -1 -1 9 9Provisions 24 -2 -2 20 21Tax losses carried forward 51 -12 1 40 40Other24 17 -2 39 49 10Deferred tax assets (+) and liabilities (-) 620 13 -137 497 593 97Offsetting deferred tax assets and liabilities 97 97Net deferred tax assets (+) and liabilities (-) 497Deferred tax assetsDeferred 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 in each of the jurisdictions ABN AMRO operates in 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 changes 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 lossesTotal accumulated losses available for carrying forward at 31 December 2023 amounted to EUR 778 million (31 December 2022: EUR 1,428 million), of which EUR 536 million (31 December 2022: EUR 194 million) has been recognised for future tax benefits. The recorded deferred tax asset for tax losses carried forward amounted to EUR 88 million (31 December 2022: EUR 40 million). The increase in recorded deferred tax assets is attributable to the recognition of a deferred tax asset on historic losses for which a use has been identified. This has been offset by utilisation of losses in the current year.Unrecognised tax assetsCertain amounts of deferred tax assets have not been recognised because future taxable profits are not considered probable. Deferred tax assets amounting to EUR 14 million (31 December 2022: EUR 58 million) have not been recognised in relation to deductible temporary differences totalling EUR 55 million (31 December 2022: EUR 242 million). In addition, deferred tax assets amounting to EUR 47 million (31 December 2022: EUR 239 million) have not been recognised in relation to tax losses totalling EUR 242 million (31 December 2022: EUR 1,234 million). In 2023 an amount of EUR 597 million (2022: EUR 1,190 million) in unrecognised tax losses were finally written off, due to liquidation of the branches holding these losses. No use for these losses could be identified.Tax credits and unrecognised tax creditsABN AMRO did not have any tax credits to carry forward on 31 December 2023.17 Financial investmentsAccounting policy for financial instruments measured at fair value through other comprehensive incomeUnrealised 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.(in millions) 31 December 2023 31 December 2022Financial investmentsDebt securities held at fair value through other comprehensive income40,663 38,408Held at fair value through profit or loss838 626Total financial investments 41,501 39,034Financial investments measured at fair value through other comprehensive income(in millions) 31 December 2023 31 December 2022Interest-earning securitiesDutch government2,642 2,465US Treasury and US government6,861 7,238Other OECD government15,761 18,158Non-OECD government150 142International bonds issued by the European Union2,962 2,415European Stability Mechanism2,349 1,704Mortgage- and other asset-backed securities5,046 3,274Financial institutions3,477 2,998Non-financial institutions1,414 15Total investments held at fair value through other comprehensive income 40,663 38,408Most of these instruments are part of the liquidity buffer and are held for liquidity contingency purposes.Government bonds by country of origin31 December 2023 31 December 2022Accumulated unrealised Accumulated unrealised gains/(losses) and gains/(losses) and fair value hedges Fair fair value hedges Fair (in millions)gains/(losses) Impairmentsvaluegains/(losses) ImpairmentsvalueDutch national government-23 2,642 -148 2,465USA national government-265 6,861 -317 7,238German national government-161 4,924 -310 5,145French national government-77 1,781 -190 1,855Belgian national government-164 -1 2,861 -268 -1 2,567Austrian national government-11 1,774 -75 1,481Finnish national government-20 1,040 -61 1,116Luxembourg national government-22 245 -101 1,238Canadian national government-64 1,142 -104 1,126Japanese national government568 -1 2,464Polish national government35 330 25 320Spanish national government-9 268 63United Kingdom national government9 183 10 180Danish national government-10 183 -19 260Italian national government-42 370 -91 340Irish national government3 94Swedish national government4Brazilian national government82 72Singapore national government68 70European Union bonds (excl. European Financial Stability Facility) -530 2,962 -695 2,415Total government bonds -1,351 -1 28,377 -2,345 -1 30,418Critical accounting estimates and judgementsInterest-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. These are explained in more detail in the Risk, funding & capital management chapter. Impairment charges on FVOCI instruments are recorded in realised/unrealised gains/losses at fair value through OCI in the statement of comprehensive income.19 Fair value of financial instruments carried at fair valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 frameworkABN AMRO has in place designated controls and processes to determine the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols to independently review and validate fair values, separately from the business departments 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 department entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. Controls of the profit or loss are recorded on a daily basis by trading and treasury front-office staff. The independent price-verification process, a key element of the control environment, is segregated from the recording of the transaction\u2019s valuation. Valuations are first calculated by the department. 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 that operates independently from the team trading the financial instruments and performs a review of valuations in light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The reviews are performed at least once a month, 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 the defined thresholds. When models are used to value products, these 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 techniquesA 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 the valuation model and the underlying assumptions made for factors such as the amount and timing of cash flows, discount rates and credit risk.Interest rate derivativesThis category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting these 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 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 contractsForeign 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 for spot and forward contracts as well as for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2.Government debt securitiesGovernment debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. As these instruments are generally traded in active markets and prices can be derived directly from those markets, they 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 is applied 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 securitiesCorporate debt securities consist primarily 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 are made to any of the main inputs based on significant unobservable inputs, the instrument is classified as level 3.Equity instrumentsEquity instruments that are actively traded on public stock exchanges are valued using 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 lossLoans and advances at fair value through profit or loss consist primarily 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 of generating 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 debtIssued 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 prices 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 hierarchyABN 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 prices quoted 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 prices quoted for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all 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.The following table presents the valuation methods used in determining the fair values of financial instruments carried at fair value.31 December 2023 31 December 2022Quoted Valuation Valuation market Valuation techniques Quoted Valuation techniques prices techniques - significant market prices techniques - significant in active - observable unobservable Total fair in active - observable unobservable Total fair (in millions)marketsinputsinputsvaluemarketsinputsinputsvalueAssetsGovernment debt securities341 341 212 3 214Corporate debt securities780 240 1,019 495 186 681Equity securities1 1 10 10Other financial assets held for trading10 10 1 1Financial assets held for trading 1,121 250 1,371 718 190 907Interest rate derivatives4 3,606 15 3,625 51 4,067 36 4,155Foreign exchange contracts765 12 776 1,045 9 1,054Other derivatives2 2 3 3Derivatives 4 4,372 26 4,403 51 5,115 46 5,212Equity instruments130 52 656 838 79 65 481 626Financial investments at fair value through profit or loss 130 52 656 838 79 65 481 626Government debt securities30,396 330 30,726 31,801 320 32,121Corporate debt securities4,890 1 4,891 2,973 1 38 3,013Other debt securities5,046 5,046 3,274 3,274Financial assets held at fair value through other comprehensive income 40,332 1 330 40,663 38,049 1 358 38,408Loans and advances at fair value through profit or loss 31 676 707 36 30 66Total financial assets 41,587 4,706 1,689 47,982 38,897 5,407 915 45,219LiabilitiesShort positions in government debt securities 303 303 341 341Corporate debt securities376 135 511 205 62 267Equity securities7 7 1 1Other financial liabilities held for trading96 96 32 32Financial liabilities held for trading 686 231 917 548 93 641Interest rate derivatives1 2,297 2,298 10 3,270 3,280Foreign exchange contracts553 553 865 865Other derivatives5 5 3 3Derivatives 1 2,855 2,856 10 4,138 4,148Issued debt222 222 223 223Total financial liabilities 687 3,308 3,994 557 4,455 5,012Transfers between fair value hierarchiesThere were no material transfers between the fair value hierarchies.Movements in level 3 financial instruments measured at fair valueThe following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value.Assets LiabilitiesFinancial Financial assets held Loans and investments at at fair value through advances at fair value through other comprehensive fair value through (in millions) Derivativesprofit or lossincomeprofit or loss Issued debtBalance at 1 January 2022 88 433 481Purchases55Sales-45Redemptions-31Gains/(losses) recorded in profit and loss13 12Unrealised gains/(losses)-49 31 -124Transfer between levels7Other movements-2 30Balance at 31 December 2022 46 481 358 30Change in accounting policy 982Purchases 145Sales -2 -243Issuance 24Redemptions -12 -38 -1751Gains/(losses) recorded in profit and loss6 1 12Unrealised gains/(losses)1 52 10 59Transfer between levels -21Other movements -14 -2Balance at 31 December 2023 26 656 330 6761 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 informationInterest-earning securities - government bondsABN AMRO has a position in a Polish bond, denominated in euros (see 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.Equity shares - preferred sharesEquities 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: \u2022 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; \u2022 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 - either the EVCA technique or NAV calculation - 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.DerivativesABN 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.Loans and advances \u2013 Equity release mortgagesABN AMRO offers equity release mortgages which provide a way to liquidate home equity and are designed for senior homeowners. These loans are valued using a discounted cash flow model for which the assumed prepayment rate is the most relevant input parameter. The prepayment rate is based on mortality rates and historical prepayment rates observed for equity release mortgages. The sensitivity range is based on the observed historical bandwidth in prepayment rates.Loans and advances - OtherABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease of clients. The loans are valued using a discounted cash flow model, in which expected future cashflows are discounted against actual interest rates, in combination with an adjustment for expected credit losses. The sensitivity range is based on a bandwidth in expected credit losses.Valuation Unobservable Carrying Possible alternative Unobservable Unobservable techniquedatavalueassumptionsdata rangedata baseApplying Applying Applying Applying (in millions)minimummaximumminimummaximum31 December 2023Equity shares Private equity EBITDA valuationmultiples136 -14 14Equity shares Private equity Net asset valuevaluation519 -52 52Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 330 -11 28 4bps 139bps 101bpsLoans and advances - Discounted Prepayment Equity release mortgagescash flowrate 398 -9 9 1.9% 3.2% 2.5%Loans and advances - Discounted Credit Othercash flowspread 250 -7 11Derivatives held for trading Discounted Probability cash flowof default 26 -3 4 0.0% 100.0% 12.7%31 December 2022Equity shares Private equity EBITDA valuationmultiples 140 -14 14Equity shares Private equity Net asset valuationvalue 342 -34 34Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 320 -9 18 14bps 102bps 73bpsInterest-earning securities - Discounted Liquidity and othercash flowcredit spread 38 -1 214bps 546bps 313bpsDerivatives held for trading Discounted Probability cash flowof default 46 -2 4 0.0% 100.0% 15.0%24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for property and equipmentAccounting policy for impairment of non-financial assetsAt 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 assetsGoodwillGoodwill 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 2023 31 December 2022Land and buildings held for own use225 191Leasehold improvements44 39Plant & equipment under operating lease338 427Equipment78 81Right of use assets285 241Other9 10Total property and equipment 978 988The right of use assets consist primarily of real estate.(in millions) 31 December 2023 31 December 2022Goodwill79Purchased software10 12Internally developed software81 6Other8 12Total goodwill and other intangible assets99 1082023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 99The fair value of land and buildings held for own use is estimated at EUR 199 million at 31 December 2023 (31 December 2022: EUR 234 million). The fair value is entirely based on external valuations performed from 2017 to 2023. Some of the properties have a lower fair value than the recorded carrying value, but 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 value of all these assets.The building at Foppingadreef in Amsterdam is being reconstructed to make it an example with regard to sustainability and circularity. Furthermore, when the project is finished it will meet our own ambition to be Paris Proof before 2030. In the first half of 2023, ABN AMRO signed a construction contract with a total value of EUR 430 million. As at 31 December 2023, EUR 38 million had been paid towards the construction contract. The contract will be settled on a monthly basis during the course of the construction of the building. This amount will be subject to price indexation based on the BDB index. The project is scheduled to be completed by the end of 2026.2022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108Valuation of goodwill31 December 31 December 20232022Method used Long-term for recoverable Discount growth Impairment (in millions) Segmentamountrateratecharges Goodwill GoodwillEntityBethmannWealth Management Value in use 10.0% 0.0% 63 63ABN AMRO Asset Based Finance N.V., (UK) BranchCorporate Banking Value in use 10.0% 0.0% 9 9Banque NeuflizeWealth Management Value in use 10.0% 0.0% 6 6Total goodwill and impairment charges 79 79ABN AMRO performed its annual impairment test in the last quarter of 2023. ABN AMRO considers the relationship between its market capitalisation and its book value, among other factors, when reviewing for indicators of impairment. In 2023, the value in use showed a strong decline. The outcome of the impairment tests performed is that a full impairment of all goodwill has been recognised. The recoverable amount of the Bethmann of EUR 79 million as at 31 December 2023 has been determined based on the value in use calculation, using cash flow projections from financial budgets approved by senior management and covering a four-year period. As a result of this analysis, management has recognised a full impairment of goodwill, totalling EUR 63 million as at 31 December 2023. The recoverable amounts of the ABN AMRO Asset Based Finance N.V, UK Branch and Banque Neuflize of EUR 125 million and EUR 362 million, respectively, are determined on a value in use calculation, using cash flow projections from ROE financial forecasts approved by senior management and covering a five-year period. The pre-tax discount rate applied to all cash flow projections is 10%, based on the return of equity.(in millions) 2023 2022Depreciation on tangible assetsLand and buildings held for own use16 24Leasehold improvements14 13Equipment40 42Right of use assets85 78Amortisation on intangible assetsPurchased software7 10Internally developed software3 2Other intangible assets4 7Impairment losses on tangible assetsLand and buildings held for own use (incl. held for sale)1 1Right of use assets1 -5Other1 1Impairment losses on intangible assetsGoodwill79Purchased softwareTotal depreciation, amortisation and impairment losses 251 17230 ProvisionsAccounting policy for provisionsA 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 among 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 2023 31 December 2022Legal provisions273 447Credit commitments provisions120 154Restructuring provision57 105Other staff provision134 128Provision for pension commitments76 75Insurance fund liabilities7 8Other provisions75 128Total provisions 742 1,044Legal provisionsEURIBOR-based mortgagesIn 2012 two class actions were started whereby the central question was whether ABN AMRO\u2019s amendment clauses in the terms and conditions, entitling it to unilaterally adjust the margin charge for Euribor-based mortgage loans, was an unfair contractual clause. 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.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. 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 appealed against the ruling at the Supreme Court, but the Supreme Court rejected this appeal on 22 December 2023.At 31 December 2023 a provision is in place for expected remaining cash outflows.Variable interest rates for consumer loansOn 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about the recalculation of 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 while 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 of 2022, following an August 2022 ruling of the Kifid Appeals Committee, ABN AMRO adjusted the compensation scheme to include interest on interest. ABN AMRO has provisioned around EUR 520 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 291 million of this provision has been used, while the remaining provision as at 31 December 2023 was EUR 229 million.It is unclear what the exact scope and application of the Kifid ruling is and whether the ruling will have a certain knock-on effect on other (credit) products with variable interest rates, beyond the range of products covered by the compensation scheme, such as credit products for micro and small enterprises. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities which have not been provided for.Other provisionsAML remediation programmeABN AMRO continues to enhance its internal processes and systems to contribute to the prevention of financial economic crime. We are validating the AML client file remediation process, while additional work continues to increase the effectiveness of our measures and to reach a sustainable and adequate level that meets regulatory requirements. We are in a continuous dialogue with the Dutch central bank, who is regularly informed and is closely monitoring our progress.Other Provision Insurance Legal Credit Restructuring staff for pension fund (in millions)provisionscommitmentsprovisionprovisioncommitmentsliabilities Other TotalAt 1 January 2022 398 222 178 137 79 5 181 1,201Increase of provisions156 151 26 107 440Reversal of unused provisions-37 -189 -35 -13 -274Utilised during the year-70 -49 -70 -149 -338Transfer between stages2 2Foreign exchange differences8 5 14Other9 -10 -4 3 2 -1At 31 December 2022 447 154 105 128 75 8 128 1,044Increase of provisions 89 86 14 22 210Reversal of unused provisions -41 -129 -22 -9 -32 -233Utilised during the year -231 -40 -51 -321Transfer between stages 18 18Modifications due to credit riskForeign exchange differences 2 -1 1Other 9 -10 6 1 8 9 23At 31 December 2023 273 120 57 134 76 7 75 742",
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"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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.Management of forborne, past due and credit-impaired loansbCredit risk reporting scopeAlthough 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 are 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.Total loans and advances customersb31 December 2023 31 December 2022Fair value Less: Fair value Less: Gross adjustment Less: loan amortisation Gross adjustment Less: loan amortisation carrying from hedge impairment and depre-Carrying carrying from hedge impairment and depre-Carrying 33(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks 2,327 3 2,324 2,990 8 2,982Residential mortgages 151,078 -6,005 198 144,875 150,762 -9,489 153 141,1211Consumer loans8,380 147 8,233 10,232 277 9,9551Corporate loans86,784 96 1,254 85,626 86,731 154 1,590 85,295Other loans and advances 1customers6,497 3 6,494 7,497 5 7,491Total loans and 1advances customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Total loans and 1advances255,066 -5,909 1,605 247,551 258,212 -9,335 2,034 246,844Other 134,409 -1,640 187 2,224 130,358 138,201 -3,119 123 2,222 132,738Total assets 389,474 -7,549 1,792 2,224 377,909 396,414 -12,454 2,157 2,222 379,581Loans and advances 1customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Consumer loans at 2fair value through P&L648 648Corporate loans at fair value through P&L 59 59 66 66Total loans and advances customers 253,446 -5,909 1,602 245,935 255,288 -9,335 2,026 243,9271 Excluding loans at fair value through P&L.2 As a result of the implementation of IFRS 17 Insurance contracts, residential mortgages with an insurance feature and consumer loans with a death waiver have to be recorded at fair value through profit and loss.3 Excluding fair value adjustments from hedge accounting.Fair value adjustments from hedge accounting for residential mortgages and corporate loans result from entering into interest rate swaps to protect against changes in the fair value of fixed-rate assets due to changes in market interest rates. The fair value adjustment for mortgages decreased due to lower market interest rates.Coverage and stage ratiosb31 December 2023 31 December 2022Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 2323(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,290 3 0.1% 98.4% 2,953 8 0.3% 98.8%Residential mortgages 138,671 24 0.0% 91.8% 140,450 21 0.0% 93.2%1Consumer loans7,658 18 0.2% 91.4% 9,121 30 0.3% 89.1%1Corporate loans73,324 192 0.3% 84.5% 69,103 256 0.4% 79.7%1Other loans and advances customers6,475 0.0% 99.7% 7,457 0.0% 99.5%1Total loans and advances customers226,128 234 0.1% 89.5% 226,130 308 0.1% 88.6%Stage 2Loans and advances banks 37 0.0% 1.6% 37 0.0% 1.2%Residential mortgages 11,115 49 0.4% 7.4% 9,169 57 0.6% 6.1%1Consumer loans467 11 2.4% 5.6% 749 36 4.8% 7.3%1Corporate loans10,308 228 2.2% 11.9% 13,963 301 2.2% 16.1%1Other loans and advances customers14 1 7.9% 0.2% 36 2 5.6% 0.5%1Total loans and advances customers21,903 289 1.3% 8.7% 23,917 396 1.7% 9.4%Stage 3 and POCILoans and advances banksResidential mortgages 1,292 125 9.7% 0.9% 1,143 75 6.6% 0.8%1Consumer loans255 118 46.3% 3.0% 363 211 58.2% 3.5%1Corporate loans3,152 833 26.4% 3.6% 3,666 1,033 28.2% 4.2%1Other loans and advances customers8 2 27.1% 0.1% 4 3 83.9% 0.0%1Total loans and advances customers4,707 1,079 22.9% 1.9% 5,175 1,322 25.6% 2.0%Total of stages 1, 2, 3 and POCITotal loans and advances banks 2,327 3 0.1% 2,990 8 0.3%Residential mortgages 151,078 198 0.1% 150,762 153 0.1%1Consumer loans8,380 147 1.8% 10,232 277 2.7%1Corporate loans86,784 1,254 1.4% 86,731 1,590 1.8%1Other loans and advances customers6,497 3 0.1% 7,497 5 0.1%1Total loans and advances customers252,739 1,602 0.6% 255,222 2,026 0.8%1Total loans and advances255,066 1,605 0.6% 258,212 2,034 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2023: EUR 1 million; 31 December 2022: EUR 1 million).The stage 1 ratio improved to 89.5% (31 December 2022: 88.6%), partly due to the positive impact of macroeconomic scenarios used to calculate the provision. As the macroeconomic outlook improved, fewer clients showed a significant increase in credit risk (SICR), as measured by their life-time probability of default. Particularly in residential mortgages, a relatively improved outlook for the housing market supported the shift from stage 2 to stage 1. The stage 3 ratio increased only marginally from 0.8% to 0.9% due to portfolio changes. The decline in the coverage ratios of both stage 2 and stage 3 loans was largely attributable to the releases of management overlays.Purchased or Originated Credit Impaired (POCI)At 31 December 2023, loans classified as POCI amounted to EUR 5 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report.Exposure and impairment flowsThis 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 advancesb2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,421Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 228,023 23,851 5,091 256,965 233,537 21,183 6,701 261,421Transfer to stage 1 8,542 -8,417 -125 7,771 -7,662 -110Transfer to stage 2 -11,135 12,130 -996 -14,007 15,050 -1,044Transfer to stage 3 -1,131 -1,116 2,247 -864 -932 1,796Additional drawdowns and partial repayments -11,950 199 -8 -11,759 -25,287 -73 -71 -25,430Originated or purchased 37,428 37,428 48,595 48,595Matured or repaid -20,909 -4,609 -1,198 -26,715 -21,365 -3,728 -1,515 -26,608Write-offs -334 -334 -622 -623Foreign exchange -484 -92 -18 -594 826 44 38 908Other movements 33 -7 48 74 -123 71 1 -51Balance at 31 December 228,418 21,940 4,707 255,066 229,084 23,954 5,175 258,2121 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 marginally compared to 31 December 2022. The largest decrease was recorded for consumer loans, due to some of the loans being sold to a third party and also to the change in accounting treatment to IFRS17 for consumer loans with contingent elements. Other loans, too, showed a significant fall, primarily driven by seasonal business movements within Clearing Bank.The decrease in consumer and other loans was partly off-set by a marginal increase in residential mortgages.The amount of total stage 2 and stage 3 loans decreased markedly, due to a large amount of matured or repaid loans. In addition, stage transfers and write-offs for stage 3 also contributed to the overall decrease.Exposure flows per product class are presented in the Additional risk, funding & capital disclosures section.Loan impairment charges and allowancesb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2022 8 153 277 1,590 5 2,034 51Impact adopting IFRS 17 -100 -100Balance at 1 January 2023 8 153 177 1,590 5 1,934 51Transfer to stage 1 -4 -5 -20 -28 -1Transfer to stage 2 7 -1 -14 -9 2Transfer to stage 3 24 30 133 2 188 171Remeasurements-5 35 -15 -112 -4 -101 47Changes in risk parameters 3 6 -35 -26 -4Originated or purchased 4 3 32 39 8Matured or repaid -17 -8 -54 -79 -9Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Write-offs -1 -58 -274 -334Unwind discount / unearned interest accrued 2 3 29 1 34Foreign exchange and other movements -7 15 -20 -12 -1Balance at 31 December 2023 3 198 147 1,254 3 1,605 1092023Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Recoveries and other charges (releases) -14 -29 -67 -111 -902Total impairment charges for the period-5 37 -19 -139 -3 -128 -301 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 but also affected due to reclassification to IFRS17.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2021 10 82 276 2,053 4 2,426 153Transfer to stage 1 -3 -9 -21 -33 -2Transfer to stage 2 4 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters 57 12 61 130 2Originated or purchased 7 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 accrued 1 5 25 32Foreign exchange and other movements 3 27 29 8Balance at 31 December 2022 8 153 277 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 822Total 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.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2022: EUR 0 million.Loan impairment charges and allowances per stageb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 316 396 1,322 2,034 172 360 1,894 2,426Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 310 376 1,247 1,934 172 360 1,894 2,426Transfer to stage 1 109 -128 -10 -28 57 -74 -16 -33Transfer to stage 2 -41 90 -58 -9 -31 153 -107 15Transfer to stage 3 -15 -59 261 188 -17 -40 209 1521Remeasurements-125 44 -20 -101 50 23 -103 -30Changes in modelsChanges in risk parameters-31 -1 6 -26 44 56 30 130Originated or purchased 39 39 55 55Matured or repaid-11 -16 -53 -79 -14 -26 -79 -119Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Write-offs -334 -334 -622 -623Unwind discount / unearned interest accrued 34 34 32 32Foreign exchange and other movements 2 -18 4 -12 -1 -55 84 29Balance at 31 December 237 289 1,079 1,605 316 396 1,322 2,034Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Recoveries and other charges (releases) -111 -111 -103 -103Total impairment charges for the period -75 -69 16 -128 145 91 -169 671 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 but also affected by reclassification to IFRS17.2 Including POCI.An impairments release of EUR 158 million (EUR 128 million on balance and EUR 30 million off balance) was recorded for 2023 (2022: additions of EUR 39 million). Releases were attributable to a reduction of management overlays and other adjustments, partly offset by new and existing individually provisioned files.For corporate loans, releases of EUR 139 million were recorded in 2023 (2022: addition of EUR 39 million). This was caused by a decrease in adjustments due to recalibration and review of the IFRS9 models. In addition, the management overlays related to Covid-19 were terminated and the management overlay related to the geopolitical and market sensitivity was lowered. A further wind-down of our corporate portfolio also contributed to the release of impairments. This was partly offset by the introduction of a management overlay of EUR 25 million for climate transition risk, following the update of the climate and environmental risk materiality assessment.For residential mortgages, charges of EUR 37 million were recorded (2022: EUR 56 million). This was caused by the increase of management overlay for interest only mortgages, due to inherent credit risk not fully captured in our models.Individual and collective loan impairment allowances and management overlaysb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 352 695 2 750 78Total individual impairments 52 695 2 750 78Collective impairmentsStage 13 24 18 192 237 16Stage 2 49 11 228 1 289 121Stage 3125 66 138 329 3Total collective impairments3 198 95 558 1 855 31- of which management overlay 83 177 260Total impairments 3 198 147 1,254 3 1,605 109Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance 1,292 255 3,152 8 4,70731 December 2022Individual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 1 8 21 30 256 316 25Stage 2 57 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay 26 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 allowance 1,143 363 3,666 4 5,1751 Including POCI.During 2023, management overlays decreased to a total of EUR 260 million (31 December 2021: EUR 328 million). Overlays were mainly in place for risks in the corporate loans portfolio and comprised the following items: \u2022 A management overlay of EUR 86 million (31 December 2022: EUR 123 million) that is applied for the geopolitical effects that are not fully captured by the latest projections in our macroeconomic scenarios (previously: overlay for the war in Ukraine) \u2022 To cover anticipated additional risk costs relating to the wind-down of portfolios an overlay of EUR 31 million is in place. As the wind-down of the CIB non-core portfolio was completed this overlay was lowered in 2023 (31 December 2022: EUR 61 million) \u2022 A new overlay of EUR 25 million was introduced for climate transition risk, following an update of the climate and environmental risk materiality assessment \u2022 The overlay that was formed for the potential impact of the government\u2019s nitrogen reducing measures on clients in livestock farming businesses in the Netherlands amounting to EUR 35 million (31 December 2022: EUR 34 million)Management overlays to reflect the impact of covid-19 were ended, which led to a release of EUR 30 million. Furthermore a management overlay amounting to EUR 55 million at the end of 2022 that was introduced to capture potential differences between coverage ratios for collective provisions (MPS) and individual provisions (IPS) was also discontinued.Compared to 31 December 2022, management overlays for our mortgage portfolio increased as the overlay that covers the refinancing risk of interest-only mortgages was raised by EUR 57 million, to EUR 83 million.Loan impairment charges and allowances \u2013 residential mortgagesb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 21 57 75 153 8 22 52 82Transfer to stage 1 14 -18 -1 -4 6 -8 -1 -3Transfer to stage 2 -2 28 -19 7 -2 20 -14 4Transfer to stage 3-1 -5 30 24 -1 -2 21 171Remeasurements-13 -6 54 35 -12 5 16 9Changes in modelsChanges in risk parameters 4 -1 3 17 28 12 57Originated or purchased 4 4 7 7Matured or repaid -1 -6 -10 -17 -1 -7 -10 -18Impairment charges (releases) on loans and advances4 -7 54 51 13 35 25 73Write-offs-1 -1 -3 -3Unwind discount / unearned interest accrued 2 2 1 1Foreign exchange and other movements-1 -2 -4 -7Balance at 31 December 24 49 125 198 21 57 75 153Impairment charges (releases) on loans and advances 4 -7 54 51 13 35 25 73Recoveries and other charges (releases) -14 -14 -17 -17Total impairment charges for the period 4 -7 39 37 13 35 8 561 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loansb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 30 36 211 277 23 45 208 276Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 25 16 136 177 23 45 208 276Transfer to stage 1 7 -7 -4 -5 13 -17 -5 -9Transfer to stage 2 -3 8 -6 -1 -2 11 -9Transfer to stage 3 -3 -2 35 30 -5 42 371Remeasurements-11 -4 -15 -9 -1 37 27Changes in modelsChanges in risk parameters6 6 3 3 6 12Originated or purchased 3 3 4 4Matured or repaid-2 -1 -6 -8 -2 -1 -9 -12Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Write-offs -58 -58 -65 -65Unwind discount / unearned interest accrued 3 3 5 5Foreign exchange and other movements 2 1 11 15 2 3Balance at 31 December 18 11 118 147 30 36 211 277Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Recoveries and other charges (releases) -29 -29 -45 -45Total impairment charges for the period -9 -6 -4 -19 7 -10 16 141 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 256 301 1,033 1,590 130 291 1,632 2,053Transfer to stage 1 88 -103 -5 -20 38 -49 -10 -21Transfer to stage 2 -36 55 -33 -14 -27 123 -84 11Transfer to stage 3-10 -51 194 133 -15 -34 147 981Remeasurements-96 54 -71 -112 74 18 -156 -64Changes in risk parameters -34 -1 -35 24 25 12 61Originated or purchased 32 32 44 44Matured or repaid -9 -9 -37 -54 -10 -18 -60 -88Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Write-offs -274 -274 -555 -556Unwind discount / unearned interest accrued29 29 25 25Foreign exchange and other movements 1 -17 -3 -20 -1 -55 82 27Balance at 31 December 192 228 833 1,254 256 301 1,033 1,590Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Recoveries and other charges (releases) -67 -67 -42 -42Total impairment charges for the period -65 -55 -19 -139 127 65 -194 -11 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 25 16 10 51 17 20 116 153Transfer to stage 14 -5 -1 6 -8 -2Transfer to stage 2 -4 5 2 -2 5 4Transfer to stage 3 17 17 -1 11Remeasurements-7 -1 55 47 -4 -115 -120Changes in risk parameters -4 -4 1 1 2Originated or purchased 8 8 12 12Matured or repaid -7 -2 -9 -4 -3 -7Impairment charges (releases) -10 -3 72 60 9 -4 -114 -110Foreign exchange and other movements 1 -1 -1 -1 8 8Balance at 31 December16 12 81 109 25 16 10 51Impairment charges (releases) on off-balance -10 -3 72 60 9 -4 -114 -1102Other charges (releases)-90 -90 82 82Total impairment charges for the period -10 -3 -18 -30 9 -4 -32 -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 but also affected by reclassification to IFRS17.2 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.1 Accounting policiesCritical accounting estimates and judgementsIn 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:\u2022 Impairment losses on financial assets measured at amortised costs - Risk, funding & capital management section,\u2022 Income tax expense, tax assets and tax liabilities - Note 11,\u2022 Impairment of instruments measured at FVOCI - Note 17,\u2022 Fair value of financial instruments - Note 19,\u2022 Impairment of ROU assets and goodwill - Note 24,\u2022 Provisions - Note 30.11 Income tax expense, tax assets and tax liabilitiesAccounting policy for income tax expense, tax assets and tax liabilitiesDeferred 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 prevailing 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.Tax assets and liabilitiesThe 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 2023 31 December 2022(in millions) Assets Liabilities Assets LiabilitiesCurrent tax 49 159 68 22Deferred tax 278 497Total tax assets and liabilities 327 159 565 22(in millions) 2023 2022Recognised in income statement:Current tax expenses for the current period 915 530Adjustments recognised in the period for current tax of prior periods -90 -7Total current tax expense 825 522Deferred tax arising from the current period 41 2Impact of changes in tax rates on deferred taxes -1 1Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset -85 -13Deferred tax prior period 80 -2Previously unrecognised tax losses, tax credits and temporary differences reducing deferred tax expense -13 -1Total deferred tax expense 22 -13Total income tax expense847 509Due to the sale of the Gustav Mahlerlaan building in 2021 ABN AMRO was able to make use of a reinvestment reserve. This results in lower current tax expense, offset by higher deferred tax expense included in a prior period.The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in the following tables.As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2022statement OCI Equity Other2023tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments 315 -3 -198 115 124 9Property and equipment (excluding leases) and intangible assets 23 2 25 27 2Loans 12 -1 12 12Leases 38 -6 32 102 70Pensions and other (post-)employment benefits 9 -1 8 8Provisions 20 6 3 1 -6 23 23Tax losses carried forward 40 50 -2 88 88Other39 -69 6 -25 64 89Deferred tax assets (+) and liabilities (-) 497 -22 -195 1 -2 278 448 170Offsetting deferred tax assets and liabilities 170 170Net deferred tax assets (+) and liabilities (-) 278As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2021statement OCI Equity Other2022tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments448 -1 -131 315 341 25Property and equipment (excluding leases) and intangible assets 18 6 23 25 3Loans 7 6 12 13Leases 37 1 38 96 58Pensions and other (post-)employment benefits 11 -1 -1 9 9Provisions 24 -2 -2 20 21Tax losses carried forward 51 -12 1 40 40Other24 17 -2 39 49 10Deferred tax assets (+) and liabilities (-) 620 13 -137 497 593 97Offsetting deferred tax assets and liabilities 97 97Net deferred tax assets (+) and liabilities (-) 497Deferred tax assetsDeferred 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 in each of the jurisdictions ABN AMRO operates in 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 changes 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 lossesTotal accumulated losses available for carrying forward at 31 December 2023 amounted to EUR 778 million (31 December 2022: EUR 1,428 million), of which EUR 536 million (31 December 2022: EUR 194 million) has been recognised for future tax benefits. The recorded deferred tax asset for tax losses carried forward amounted to EUR 88 million (31 December 2022: EUR 40 million). The increase in recorded deferred tax assets is attributable to the recognition of a deferred tax asset on historic losses for which a use has been identified. This has been offset by utilisation of losses in the current year.Unrecognised tax assetsCertain amounts of deferred tax assets have not been recognised because future taxable profits are not considered probable. Deferred tax assets amounting to EUR 14 million (31 December 2022: EUR 58 million) have not been recognised in relation to deductible temporary differences totalling EUR 55 million (31 December 2022: EUR 242 million). In addition, deferred tax assets amounting to EUR 47 million (31 December 2022: EUR 239 million) have not been recognised in relation to tax losses totalling EUR 242 million (31 December 2022: EUR 1,234 million). In 2023 an amount of EUR 597 million (2022: EUR 1,190 million) in unrecognised tax losses were finally written off, due to liquidation of the branches holding these losses. No use for these losses could be identified.Tax credits and unrecognised tax creditsABN AMRO did not have any tax credits to carry forward on 31 December 2023.17 Financial investmentsAccounting policy for financial instruments measured at fair value through other comprehensive incomeUnrealised 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.(in millions) 31 December 2023 31 December 2022Financial investmentsDebt securities held at fair value through other comprehensive income40,663 38,408Held at fair value through profit or loss838 626Total financial investments 41,501 39,034Financial investments measured at fair value through other comprehensive income(in millions) 31 December 2023 31 December 2022Interest-earning securitiesDutch government2,642 2,465US Treasury and US government6,861 7,238Other OECD government15,761 18,158Non-OECD government150 142International bonds issued by the European Union2,962 2,415European Stability Mechanism2,349 1,704Mortgage- and other asset-backed securities5,046 3,274Financial institutions3,477 2,998Non-financial institutions1,414 15Total investments held at fair value through other comprehensive income 40,663 38,408Most of these instruments are part of the liquidity buffer and are held for liquidity contingency purposes.Government bonds by country of origin31 December 2023 31 December 2022Accumulated unrealised Accumulated unrealised gains/(losses) and gains/(losses) and fair value hedges Fair fair value hedges Fair (in millions)gains/(losses) Impairmentsvaluegains/(losses) ImpairmentsvalueDutch national government-23 2,642 -148 2,465USA national government-265 6,861 -317 7,238German national government-161 4,924 -310 5,145French national government-77 1,781 -190 1,855Belgian national government-164 -1 2,861 -268 -1 2,567Austrian national government-11 1,774 -75 1,481Finnish national government-20 1,040 -61 1,116Luxembourg national government-22 245 -101 1,238Canadian national government-64 1,142 -104 1,126Japanese national government568 -1 2,464Polish national government35 330 25 320Spanish national government-9 268 63United Kingdom national government9 183 10 180Danish national government-10 183 -19 260Italian national government-42 370 -91 340Irish national government3 94Swedish national government4Brazilian national government82 72Singapore national government68 70European Union bonds (excl. European Financial Stability Facility) -530 2,962 -695 2,415Total government bonds -1,351 -1 28,377 -2,345 -1 30,418Critical accounting estimates and judgementsInterest-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. These are explained in more detail in the Risk, funding & capital management chapter. Impairment charges on FVOCI instruments are recorded in realised/unrealised gains/losses at fair value through OCI in the statement of comprehensive income.19 Fair value of financial instruments carried at fair valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 frameworkABN AMRO has in place designated controls and processes to determine the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols to independently review and validate fair values, separately from the business departments 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 department entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. Controls of the profit or loss are recorded on a daily basis by trading and treasury front-office staff. The independent price-verification process, a key element of the control environment, is segregated from the recording of the transaction\u2019s valuation. Valuations are first calculated by the department. 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 that operates independently from the team trading the financial instruments and performs a review of valuations in light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The reviews are performed at least once a month, 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 the defined thresholds. When models are used to value products, these 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 techniquesA 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 the valuation model and the underlying assumptions made for factors such as the amount and timing of cash flows, discount rates and credit risk.Interest rate derivativesThis category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting these 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 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 contractsForeign 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 for spot and forward contracts as well as for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2.Government debt securitiesGovernment debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. As these instruments are generally traded in active markets and prices can be derived directly from those markets, they 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 is applied 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 securitiesCorporate debt securities consist primarily 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 are made to any of the main inputs based on significant unobservable inputs, the instrument is classified as level 3.Equity instrumentsEquity instruments that are actively traded on public stock exchanges are valued using 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 lossLoans and advances at fair value through profit or loss consist primarily 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 of generating 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 debtIssued 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 prices 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 hierarchyABN 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 prices quoted 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 prices quoted for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all 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.The following table presents the valuation methods used in determining the fair values of financial instruments carried at fair value.31 December 2023 31 December 2022Quoted Valuation Valuation market Valuation techniques Quoted Valuation techniques prices techniques - significant market prices techniques - significant in active - observable unobservable Total fair in active - observable unobservable Total fair (in millions)marketsinputsinputsvaluemarketsinputsinputsvalueAssetsGovernment debt securities341 341 212 3 214Corporate debt securities780 240 1,019 495 186 681Equity securities1 1 10 10Other financial assets held for trading10 10 1 1Financial assets held for trading 1,121 250 1,371 718 190 907Interest rate derivatives4 3,606 15 3,625 51 4,067 36 4,155Foreign exchange contracts765 12 776 1,045 9 1,054Other derivatives2 2 3 3Derivatives 4 4,372 26 4,403 51 5,115 46 5,212Equity instruments130 52 656 838 79 65 481 626Financial investments at fair value through profit or loss 130 52 656 838 79 65 481 626Government debt securities30,396 330 30,726 31,801 320 32,121Corporate debt securities4,890 1 4,891 2,973 1 38 3,013Other debt securities5,046 5,046 3,274 3,274Financial assets held at fair value through other comprehensive income 40,332 1 330 40,663 38,049 1 358 38,408Loans and advances at fair value through profit or loss 31 676 707 36 30 66Total financial assets 41,587 4,706 1,689 47,982 38,897 5,407 915 45,219LiabilitiesShort positions in government debt securities 303 303 341 341Corporate debt securities376 135 511 205 62 267Equity securities7 7 1 1Other financial liabilities held for trading96 96 32 32Financial liabilities held for trading 686 231 917 548 93 641Interest rate derivatives1 2,297 2,298 10 3,270 3,280Foreign exchange contracts553 553 865 865Other derivatives5 5 3 3Derivatives 1 2,855 2,856 10 4,138 4,148Issued debt222 222 223 223Total financial liabilities 687 3,308 3,994 557 4,455 5,012Transfers between fair value hierarchiesThere were no material transfers between the fair value hierarchies.Movements in level 3 financial instruments measured at fair valueThe following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value.Assets LiabilitiesFinancial Financial assets held Loans and investments at at fair value through advances at fair value through other comprehensive fair value through (in millions) Derivativesprofit or lossincomeprofit or loss Issued debtBalance at 1 January 2022 88 433 481Purchases55Sales-45Redemptions-31Gains/(losses) recorded in profit and loss13 12Unrealised gains/(losses)-49 31 -124Transfer between levels7Other movements-2 30Balance at 31 December 2022 46 481 358 30Change in accounting policy 982Purchases 145Sales -2 -243Issuance 24Redemptions -12 -38 -1751Gains/(losses) recorded in profit and loss6 1 12Unrealised gains/(losses)1 52 10 59Transfer between levels -21Other movements -14 -2Balance at 31 December 2023 26 656 330 6761 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 informationInterest-earning securities - government bondsABN AMRO has a position in a Polish bond, denominated in euros (see 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.Equity shares - preferred sharesEquities 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: \u2022 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; \u2022 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 - either the EVCA technique or NAV calculation - 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.DerivativesABN 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.Loans and advances \u2013 Equity release mortgagesABN AMRO offers equity release mortgages which provide a way to liquidate home equity and are designed for senior homeowners. These loans are valued using a discounted cash flow model for which the assumed prepayment rate is the most relevant input parameter. The prepayment rate is based on mortality rates and historical prepayment rates observed for equity release mortgages. The sensitivity range is based on the observed historical bandwidth in prepayment rates.Loans and advances - OtherABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease of clients. The loans are valued using a discounted cash flow model, in which expected future cashflows are discounted against actual interest rates, in combination with an adjustment for expected credit losses. The sensitivity range is based on a bandwidth in expected credit losses.Valuation Unobservable Carrying Possible alternative Unobservable Unobservable techniquedatavalueassumptionsdata rangedata baseApplying Applying Applying Applying (in millions)minimummaximumminimummaximum31 December 2023Equity shares Private equity EBITDA valuationmultiples136 -14 14Equity shares Private equity Net asset valuevaluation519 -52 52Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 330 -11 28 4bps 139bps 101bpsLoans and advances - Discounted Prepayment Equity release mortgagescash flowrate 398 -9 9 1.9% 3.2% 2.5%Loans and advances - Discounted Credit Othercash flowspread 250 -7 11Derivatives held for trading Discounted Probability cash flowof default 26 -3 4 0.0% 100.0% 12.7%31 December 2022Equity shares Private equity EBITDA valuationmultiples 140 -14 14Equity shares Private equity Net asset valuationvalue 342 -34 34Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 320 -9 18 14bps 102bps 73bpsInterest-earning securities - Discounted Liquidity and othercash flowcredit spread 38 -1 214bps 546bps 313bpsDerivatives held for trading Discounted Probability cash flowof default 46 -2 4 0.0% 100.0% 15.0%24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for property and equipmentAccounting policy for impairment of non-financial assetsAt 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 assetsGoodwillGoodwill 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 2023 31 December 2022Land and buildings held for own use225 191Leasehold improvements44 39Plant & equipment under operating lease338 427Equipment78 81Right of use assets285 241Other9 10Total property and equipment 978 988The right of use assets consist primarily of real estate.(in millions) 31 December 2023 31 December 2022Goodwill79Purchased software10 12Internally developed software81 6Other8 12Total goodwill and other intangible assets99 1082023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 99The fair value of land and buildings held for own use is estimated at EUR 199 million at 31 December 2023 (31 December 2022: EUR 234 million). The fair value is entirely based on external valuations performed from 2017 to 2023. Some of the properties have a lower fair value than the recorded carrying value, but 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 value of all these assets.The building at Foppingadreef in Amsterdam is being reconstructed to make it an example with regard to sustainability and circularity. Furthermore, when the project is finished it will meet our own ambition to be Paris Proof before 2030. In the first half of 2023, ABN AMRO signed a construction contract with a total value of EUR 430 million. As at 31 December 2023, EUR 38 million had been paid towards the construction contract. The contract will be settled on a monthly basis during the course of the construction of the building. This amount will be subject to price indexation based on the BDB index. The project is scheduled to be completed by the end of 2026.2022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108Valuation of goodwill31 December 31 December 20232022Method used Long-term for recoverable Discount growth Impairment (in millions) Segmentamountrateratecharges Goodwill GoodwillEntityBethmannWealth Management Value in use 10.0% 0.0% 63 63ABN AMRO Asset Based Finance N.V., (UK) BranchCorporate Banking Value in use 10.0% 0.0% 9 9Banque NeuflizeWealth Management Value in use 10.0% 0.0% 6 6Total goodwill and impairment charges 79 79ABN AMRO performed its annual impairment test in the last quarter of 2023. ABN AMRO considers the relationship between its market capitalisation and its book value, among other factors, when reviewing for indicators of impairment. In 2023, the value in use showed a strong decline. The outcome of the impairment tests performed is that a full impairment of all goodwill has been recognised. The recoverable amount of the Bethmann of EUR 79 million as at 31 December 2023 has been determined based on the value in use calculation, using cash flow projections from financial budgets approved by senior management and covering a four-year period. As a result of this analysis, management has recognised a full impairment of goodwill, totalling EUR 63 million as at 31 December 2023. The recoverable amounts of the ABN AMRO Asset Based Finance N.V, UK Branch and Banque Neuflize of EUR 125 million and EUR 362 million, respectively, are determined on a value in use calculation, using cash flow projections from ROE financial forecasts approved by senior management and covering a five-year period. The pre-tax discount rate applied to all cash flow projections is 10%, based on the return of equity.(in millions) 2023 2022Depreciation on tangible assetsLand and buildings held for own use16 24Leasehold improvements14 13Equipment40 42Right of use assets85 78Amortisation on intangible assetsPurchased software7 10Internally developed software3 2Other intangible assets4 7Impairment losses on tangible assetsLand and buildings held for own use (incl. held for sale)1 1Right of use assets1 -5Other1 1Impairment losses on intangible assetsGoodwill79Purchased softwareTotal depreciation, amortisation and impairment losses 251 17230 ProvisionsAccounting policy for provisionsA 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 among 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 2023 31 December 2022Legal provisions273 447Credit commitments provisions120 154Restructuring provision57 105Other staff provision134 128Provision for pension commitments76 75Insurance fund liabilities7 8Other provisions75 128Total provisions 742 1,044Legal provisionsEURIBOR-based mortgagesIn 2012 two class actions were started whereby the central question was whether ABN AMRO\u2019s amendment clauses in the terms and conditions, entitling it to unilaterally adjust the margin charge for Euribor-based mortgage loans, was an unfair contractual clause. 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.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. 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 appealed against the ruling at the Supreme Court, but the Supreme Court rejected this appeal on 22 December 2023.At 31 December 2023 a provision is in place for expected remaining cash outflows.Variable interest rates for consumer loansOn 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about the recalculation of 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 while 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 of 2022, following an August 2022 ruling of the Kifid Appeals Committee, ABN AMRO adjusted the compensation scheme to include interest on interest. ABN AMRO has provisioned around EUR 520 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 291 million of this provision has been used, while the remaining provision as at 31 December 2023 was EUR 229 million.It is unclear what the exact scope and application of the Kifid ruling is and whether the ruling will have a certain knock-on effect on other (credit) products with variable interest rates, beyond the range of products covered by the compensation scheme, such as credit products for micro and small enterprises. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities which have not been provided for.Other provisionsAML remediation programmeABN AMRO continues to enhance its internal processes and systems to contribute to the prevention of financial economic crime. We are validating the AML client file remediation process, while additional work continues to increase the effectiveness of our measures and to reach a sustainable and adequate level that meets regulatory requirements. We are in a continuous dialogue with the Dutch central bank, who is regularly informed and is closely monitoring our progress.Other Provision Insurance Legal Credit Restructuring staff for pension fund (in millions)provisionscommitmentsprovisionprovisioncommitmentsliabilities Other TotalAt 1 January 2022 398 222 178 137 79 5 181 1,201Increase of provisions156 151 26 107 440Reversal of unused provisions-37 -189 -35 -13 -274Utilised during the year-70 -49 -70 -149 -338Transfer between stages2 2Foreign exchange differences8 5 14Other9 -10 -4 3 2 -1At 31 December 2022 447 154 105 128 75 8 128 1,044Increase of provisions 89 86 14 22 210Reversal of unused provisions -41 -129 -22 -9 -32 -233Utilised during the year -231 -40 -51 -321Transfer between stages 18 18Modifications due to credit riskForeign exchange differences 2 -1 1Other 9 -10 6 1 8 9 23At 31 December 2023 273 120 57 134 76 7 75 742",
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"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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.Management of forborne, past due and credit-impaired loansbCredit risk reporting scopeAlthough 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 are 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.Total loans and advances customersb31 December 2023 31 December 2022Fair value Less: Fair value Less: Gross adjustment Less: loan amortisation Gross adjustment Less: loan amortisation carrying from hedge impairment and depre-Carrying carrying from hedge impairment and depre-Carrying 33(in millions)amountaccountingallowanceciationamountamountaccountingallowanceciationamountLoans and advances banks 2,327 3 2,324 2,990 8 2,982Residential mortgages 151,078 -6,005 198 144,875 150,762 -9,489 153 141,1211Consumer loans8,380 147 8,233 10,232 277 9,9551Corporate loans86,784 96 1,254 85,626 86,731 154 1,590 85,295Other loans and advances 1customers6,497 3 6,494 7,497 5 7,491Total loans and 1advances customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Total loans and 1advances255,066 -5,909 1,605 247,551 258,212 -9,335 2,034 246,844Other 134,409 -1,640 187 2,224 130,358 138,201 -3,119 123 2,222 132,738Total assets 389,474 -7,549 1,792 2,224 377,909 396,414 -12,454 2,157 2,222 379,581Loans and advances 1customers252,739 -5,909 1,602 245,228 255,222 -9,335 2,026 243,861Consumer loans at 2fair value through P&L648 648Corporate loans at fair value through P&L 59 59 66 66Total loans and advances customers 253,446 -5,909 1,602 245,935 255,288 -9,335 2,026 243,9271 Excluding loans at fair value through P&L.2 As a result of the implementation of IFRS 17 Insurance contracts, residential mortgages with an insurance feature and consumer loans with a death waiver have to be recorded at fair value through profit and loss.3 Excluding fair value adjustments from hedge accounting.Fair value adjustments from hedge accounting for residential mortgages and corporate loans result from entering into interest rate swaps to protect against changes in the fair value of fixed-rate assets due to changes in market interest rates. The fair value adjustment for mortgages decreased due to lower market interest rates.Coverage and stage ratiosb31 December 2023 31 December 2022Gross Allowances Gross Allowances carrying for credit Coverage Stage carrying for credit Coverage Stage 2323(in millions)amountlossesratioratioamountlossesratioratioStage 1Loans and advances banks 2,290 3 0.1% 98.4% 2,953 8 0.3% 98.8%Residential mortgages 138,671 24 0.0% 91.8% 140,450 21 0.0% 93.2%1Consumer loans7,658 18 0.2% 91.4% 9,121 30 0.3% 89.1%1Corporate loans73,324 192 0.3% 84.5% 69,103 256 0.4% 79.7%1Other loans and advances customers6,475 0.0% 99.7% 7,457 0.0% 99.5%1Total loans and advances customers226,128 234 0.1% 89.5% 226,130 308 0.1% 88.6%Stage 2Loans and advances banks 37 0.0% 1.6% 37 0.0% 1.2%Residential mortgages 11,115 49 0.4% 7.4% 9,169 57 0.6% 6.1%1Consumer loans467 11 2.4% 5.6% 749 36 4.8% 7.3%1Corporate loans10,308 228 2.2% 11.9% 13,963 301 2.2% 16.1%1Other loans and advances customers14 1 7.9% 0.2% 36 2 5.6% 0.5%1Total loans and advances customers21,903 289 1.3% 8.7% 23,917 396 1.7% 9.4%Stage 3 and POCILoans and advances banksResidential mortgages 1,292 125 9.7% 0.9% 1,143 75 6.6% 0.8%1Consumer loans255 118 46.3% 3.0% 363 211 58.2% 3.5%1Corporate loans3,152 833 26.4% 3.6% 3,666 1,033 28.2% 4.2%1Other loans and advances customers8 2 27.1% 0.1% 4 3 83.9% 0.0%1Total loans and advances customers4,707 1,079 22.9% 1.9% 5,175 1,322 25.6% 2.0%Total of stages 1, 2, 3 and POCITotal loans and advances banks 2,327 3 0.1% 2,990 8 0.3%Residential mortgages 151,078 198 0.1% 150,762 153 0.1%1Consumer loans8,380 147 1.8% 10,232 277 2.7%1Corporate loans86,784 1,254 1.4% 86,731 1,590 1.8%1Other loans and advances customers6,497 3 0.1% 7,497 5 0.1%1Total loans and advances customers252,739 1,602 0.6% 255,222 2,026 0.8%1Total loans and advances255,066 1,605 0.6% 258,212 2,034 0.8%1 Excluding loans at fair value through P&L.2 Gross carrying amount excludes fair value adjustments from hedge accounting.3 The allowances for credit losses excludes allowances for financial investments held at FVOCI (31 December 2023: EUR 1 million; 31 December 2022: EUR 1 million).The stage 1 ratio improved to 89.5% (31 December 2022: 88.6%), partly due to the positive impact of macroeconomic scenarios used to calculate the provision. As the macroeconomic outlook improved, fewer clients showed a significant increase in credit risk (SICR), as measured by their life-time probability of default. Particularly in residential mortgages, a relatively improved outlook for the housing market supported the shift from stage 2 to stage 1. The stage 3 ratio increased only marginally from 0.8% to 0.9% due to portfolio changes. The decline in the coverage ratios of both stage 2 and stage 3 loans was largely attributable to the releases of management overlays.Purchased or Originated Credit Impaired (POCI)At 31 December 2023, loans classified as POCI amounted to EUR 5 million. Due to the immateriality of the amount, this is included in the amount shown for stage 3 throughout this report.Exposure and impairment flowsThis 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 advancesb2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 229,084 23,954 5,175 258,212 233,537 21,183 6,701 261,421Impact adopting IFRS 17 -1,061 -103 -83 -1,247Balance at 1 January 228,023 23,851 5,091 256,965 233,537 21,183 6,701 261,421Transfer to stage 1 8,542 -8,417 -125 7,771 -7,662 -110Transfer to stage 2 -11,135 12,130 -996 -14,007 15,050 -1,044Transfer to stage 3 -1,131 -1,116 2,247 -864 -932 1,796Additional drawdowns and partial repayments -11,950 199 -8 -11,759 -25,287 -73 -71 -25,430Originated or purchased 37,428 37,428 48,595 48,595Matured or repaid -20,909 -4,609 -1,198 -26,715 -21,365 -3,728 -1,515 -26,608Write-offs -334 -334 -622 -623Foreign exchange -484 -92 -18 -594 826 44 38 908Other movements 33 -7 48 74 -123 71 1 -51Balance at 31 December 228,418 21,940 4,707 255,066 229,084 23,954 5,175 258,2121 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 marginally compared to 31 December 2022. The largest decrease was recorded for consumer loans, due to some of the loans being sold to a third party and also to the change in accounting treatment to IFRS17 for consumer loans with contingent elements. Other loans, too, showed a significant fall, primarily driven by seasonal business movements within Clearing Bank.The decrease in consumer and other loans was partly off-set by a marginal increase in residential mortgages.The amount of total stage 2 and stage 3 loans decreased markedly, due to a large amount of matured or repaid loans. In addition, stage transfers and write-offs for stage 3 also contributed to the overall decrease.Exposure flows per product class are presented in the Additional risk, funding & capital disclosures section.Loan impairment charges and allowancesb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2022 8 153 277 1,590 5 2,034 51Impact adopting IFRS 17 -100 -100Balance at 1 January 2023 8 153 177 1,590 5 1,934 51Transfer to stage 1 -4 -5 -20 -28 -1Transfer to stage 2 7 -1 -14 -9 2Transfer to stage 3 24 30 133 2 188 171Remeasurements-5 35 -15 -112 -4 -101 47Changes in risk parameters 3 6 -35 -26 -4Originated or purchased 4 3 32 39 8Matured or repaid -17 -8 -54 -79 -9Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Write-offs -1 -58 -274 -334Unwind discount / unearned interest accrued 2 3 29 1 34Foreign exchange and other movements -7 15 -20 -12 -1Balance at 31 December 2023 3 198 147 1,254 3 1,605 1092023Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60Recoveries and other charges (releases) -14 -29 -67 -111 -902Total impairment charges for the period-5 37 -19 -139 -3 -128 -301 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 but also affected due to reclassification to IFRS17.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.31 December 2022Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceBalance at 31 December 2021 10 82 276 2,053 4 2,426 153Transfer to stage 1 -3 -9 -21 -33 -2Transfer to stage 2 4 11 15 4Transfer to stage 317 37 98 1521Remeasurements-3 9 27 -64 -30 -120Changes in risk parameters 57 12 61 130 2Originated or purchased 7 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 accrued 1 5 25 32Foreign exchange and other movements 3 27 29 8Balance at 31 December 2022 8 153 277 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 822Total 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.2 The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2022: EUR 0 million.Loan impairment charges and allowances per stageb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 316 396 1,322 2,034 172 360 1,894 2,426Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 310 376 1,247 1,934 172 360 1,894 2,426Transfer to stage 1 109 -128 -10 -28 57 -74 -16 -33Transfer to stage 2 -41 90 -58 -9 -31 153 -107 15Transfer to stage 3 -15 -59 261 188 -17 -40 209 1521Remeasurements-125 44 -20 -101 50 23 -103 -30Changes in modelsChanges in risk parameters-31 -1 6 -26 44 56 30 130Originated or purchased 39 39 55 55Matured or repaid-11 -16 -53 -79 -14 -26 -79 -119Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Write-offs -334 -334 -622 -623Unwind discount / unearned interest accrued 34 34 32 32Foreign exchange and other movements 2 -18 4 -12 -1 -55 84 29Balance at 31 December 237 289 1,079 1,605 316 396 1,322 2,034Impairment charges (releases) on loans and advances -75 -69 126 -17 145 91 -66 171Recoveries and other charges (releases) -111 -111 -103 -103Total impairment charges for the period -75 -69 16 -128 145 91 -169 671 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 but also affected by reclassification to IFRS17.2 Including POCI.An impairments release of EUR 158 million (EUR 128 million on balance and EUR 30 million off balance) was recorded for 2023 (2022: additions of EUR 39 million). Releases were attributable to a reduction of management overlays and other adjustments, partly offset by new and existing individually provisioned files.For corporate loans, releases of EUR 139 million were recorded in 2023 (2022: addition of EUR 39 million). This was caused by a decrease in adjustments due to recalibration and review of the IFRS9 models. In addition, the management overlays related to Covid-19 were terminated and the management overlay related to the geopolitical and market sensitivity was lowered. A further wind-down of our corporate portfolio also contributed to the release of impairments. This was partly offset by the introduction of a management overlay of EUR 25 million for climate transition risk, following the update of the climate and environmental risk materiality assessment.For residential mortgages, charges of EUR 37 million were recorded (2022: EUR 56 million). This was caused by the increase of management overlay for interest only mortgages, due to inherent credit risk not fully captured in our models.Individual and collective loan impairment allowances and management overlaysb31 December 2023Residential Consumer Corporate Other Total loans (in millions) Banksmortgagesloansloansloansand advances Off-balanceIndividual impairments1Stage 352 695 2 750 78Total individual impairments 52 695 2 750 78Collective impairmentsStage 13 24 18 192 237 16Stage 2 49 11 228 1 289 121Stage 3125 66 138 329 3Total collective impairments3 198 95 558 1 855 31- of which management overlay 83 177 260Total impairments 3 198 147 1,254 3 1,605 109Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance 1,292 255 3,152 8 4,70731 December 2022Individual impairments1Stage 358 835 3 896 10Total individual impairments 58 835 3 896 10Collective impairmentsStage 1 8 21 30 256 316 25Stage 2 57 36 301 2 396 161Stage 375 153 198 427Total collective impairments 8 153 219 755 2 1,138 41- of which management overlay 26 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 allowance 1,143 363 3,666 4 5,1751 Including POCI.During 2023, management overlays decreased to a total of EUR 260 million (31 December 2021: EUR 328 million). Overlays were mainly in place for risks in the corporate loans portfolio and comprised the following items: \u2022 A management overlay of EUR 86 million (31 December 2022: EUR 123 million) that is applied for the geopolitical effects that are not fully captured by the latest projections in our macroeconomic scenarios (previously: overlay for the war in Ukraine) \u2022 To cover anticipated additional risk costs relating to the wind-down of portfolios an overlay of EUR 31 million is in place. As the wind-down of the CIB non-core portfolio was completed this overlay was lowered in 2023 (31 December 2022: EUR 61 million) \u2022 A new overlay of EUR 25 million was introduced for climate transition risk, following an update of the climate and environmental risk materiality assessment \u2022 The overlay that was formed for the potential impact of the government\u2019s nitrogen reducing measures on clients in livestock farming businesses in the Netherlands amounting to EUR 35 million (31 December 2022: EUR 34 million)Management overlays to reflect the impact of covid-19 were ended, which led to a release of EUR 30 million. Furthermore a management overlay amounting to EUR 55 million at the end of 2022 that was introduced to capture potential differences between coverage ratios for collective provisions (MPS) and individual provisions (IPS) was also discontinued.Compared to 31 December 2022, management overlays for our mortgage portfolio increased as the overlay that covers the refinancing risk of interest-only mortgages was raised by EUR 57 million, to EUR 83 million.Loan impairment charges and allowances \u2013 residential mortgagesb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 21 57 75 153 8 22 52 82Transfer to stage 1 14 -18 -1 -4 6 -8 -1 -3Transfer to stage 2 -2 28 -19 7 -2 20 -14 4Transfer to stage 3-1 -5 30 24 -1 -2 21 171Remeasurements-13 -6 54 35 -12 5 16 9Changes in modelsChanges in risk parameters 4 -1 3 17 28 12 57Originated or purchased 4 4 7 7Matured or repaid -1 -6 -10 -17 -1 -7 -10 -18Impairment charges (releases) on loans and advances4 -7 54 51 13 35 25 73Write-offs-1 -1 -3 -3Unwind discount / unearned interest accrued 2 2 1 1Foreign exchange and other movements-1 -2 -4 -7Balance at 31 December 24 49 125 198 21 57 75 153Impairment charges (releases) on loans and advances 4 -7 54 51 13 35 25 73Recoveries and other charges (releases) -14 -14 -17 -17Total impairment charges for the period 4 -7 39 37 13 35 8 561 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 consumer loansb2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalClosing balance of the previous year 30 36 211 277 23 45 208 276Impact adopting IFRS 17-6 -19 -75 -100Balance at 1 January 25 16 136 177 23 45 208 276Transfer to stage 1 7 -7 -4 -5 13 -17 -5 -9Transfer to stage 2 -3 8 -6 -1 -2 11 -9Transfer to stage 3 -3 -2 35 30 -5 42 371Remeasurements-11 -4 -15 -9 -1 37 27Changes in modelsChanges in risk parameters6 6 3 3 6 12Originated or purchased 3 3 4 4Matured or repaid-2 -1 -6 -8 -2 -1 -9 -12Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Write-offs -58 -58 -65 -65Unwind discount / unearned interest accrued 3 3 5 5Foreign exchange and other movements 2 1 11 15 2 3Balance at 31 December 18 11 118 147 30 36 211 277Impairment charges (releases) on loans and advances -9 -6 26 10 7 -10 61 59Recoveries and other charges (releases) -29 -29 -45 -45Total impairment charges for the period -9 -6 -4 -19 7 -10 16 141 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 corporate loans b2023 202222(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 256 301 1,033 1,590 130 291 1,632 2,053Transfer to stage 1 88 -103 -5 -20 38 -49 -10 -21Transfer to stage 2 -36 55 -33 -14 -27 123 -84 11Transfer to stage 3-10 -51 194 133 -15 -34 147 981Remeasurements-96 54 -71 -112 74 18 -156 -64Changes in risk parameters -34 -1 -35 24 25 12 61Originated or purchased 32 32 44 44Matured or repaid -9 -9 -37 -54 -10 -18 -60 -88Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Write-offs -274 -274 -555 -556Unwind discount / unearned interest accrued29 29 25 25Foreign exchange and other movements 1 -17 -3 -20 -1 -55 82 27Balance at 31 December 192 228 833 1,254 256 301 1,033 1,590Impairment charges (releases) on loans and advances -65 -55 49 -71 127 65 -152 41Recoveries and other charges (releases) -67 -67 -42 -42Total impairment charges for the period -65 -55 -19 -139 127 65 -194 -11 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 but also affected by reclassification to IFRS17.2 Including POCI.Loan impairment charges and allowances \u2013 off-balance b2023 202233(in millions) Stage 1 Stage 2 Stage 3Total Stage 1 Stage 2 Stage 3TotalBalance at 1 January 25 16 10 51 17 20 116 153Transfer to stage 14 -5 -1 6 -8 -2Transfer to stage 2 -4 5 2 -2 5 4Transfer to stage 3 17 17 -1 11Remeasurements-7 -1 55 47 -4 -115 -120Changes in risk parameters -4 -4 1 1 2Originated or purchased 8 8 12 12Matured or repaid -7 -2 -9 -4 -3 -7Impairment charges (releases) -10 -3 72 60 9 -4 -114 -110Foreign exchange and other movements 1 -1 -1 -1 8 8Balance at 31 December16 12 81 109 25 16 10 51Impairment charges (releases) on off-balance -10 -3 72 60 9 -4 -114 -1102Other charges (releases)-90 -90 82 82Total impairment charges for the period -10 -3 -18 -30 9 -4 -32 -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 but also affected by reclassification to IFRS17.2 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.Critical accounting estimates and judgementsIn 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:\u2022 Impairment losses on financial assets measured at amortised costs - Risk, funding & capital management section,\u2022 Income tax expense, tax assets and tax liabilities - Note 11,\u2022 Impairment of instruments measured at FVOCI - Note 17,\u2022 Fair value of financial instruments - Note 19,\u2022 Impairment of ROU assets and goodwill - Note 24,\u2022 Provisions - Note 30.11 Income tax expense, tax assets and tax liabilitiesAccounting policy for income tax expense, tax assets and tax liabilitiesDeferred 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 prevailing 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.Tax assets and liabilitiesThe 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 2023 31 December 2022(in millions) Assets Liabilities Assets LiabilitiesCurrent tax 49 159 68 22Deferred tax 278 497Total tax assets and liabilities 327 159 565 22(in millions) 2023 2022Recognised in income statement:Current tax expenses for the current period 915 530Adjustments recognised in the period for current tax of prior periods -90 -7Total current tax expense 825 522Deferred tax arising from the current period 41 2Impact of changes in tax rates on deferred taxes -1 1Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset -85 -13Deferred tax prior period 80 -2Previously unrecognised tax losses, tax credits and temporary differences reducing deferred tax expense -13 -1Total deferred tax expense 22 -13Total income tax expense847 509Due to the sale of the Gustav Mahlerlaan building in 2021 ABN AMRO was able to make use of a reinvestment reserve. This results in lower current tax expense, offset by higher deferred tax expense included in a prior period.The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in the following tables.As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2022statement OCI Equity Other2023tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments 315 -3 -198 115 124 9Property and equipment (excluding leases) and intangible assets 23 2 25 27 2Loans 12 -1 12 12Leases 38 -6 32 102 70Pensions and other (post-)employment benefits 9 -1 8 8Provisions 20 6 3 1 -6 23 23Tax losses carried forward 40 50 -2 88 88Other39 -69 6 -25 64 89Deferred tax assets (+) and liabilities (-) 497 -22 -195 1 -2 278 448 170Offsetting deferred tax assets and liabilities 170 170Net deferred tax assets (+) and liabilities (-) 278As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2021statement OCI Equity Other2022tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments448 -1 -131 315 341 25Property and equipment (excluding leases) and intangible assets 18 6 23 25 3Loans 7 6 12 13Leases 37 1 38 96 58Pensions and other (post-)employment benefits 11 -1 -1 9 9Provisions 24 -2 -2 20 21Tax losses carried forward 51 -12 1 40 40Other24 17 -2 39 49 10Deferred tax assets (+) and liabilities (-) 620 13 -137 497 593 97Offsetting deferred tax assets and liabilities 97 97Net deferred tax assets (+) and liabilities (-) 497Deferred tax assetsDeferred 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 in each of the jurisdictions ABN AMRO operates in 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 changes 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 lossesTotal accumulated losses available for carrying forward at 31 December 2023 amounted to EUR 778 million (31 December 2022: EUR 1,428 million), of which EUR 536 million (31 December 2022: EUR 194 million) has been recognised for future tax benefits. The recorded deferred tax asset for tax losses carried forward amounted to EUR 88 million (31 December 2022: EUR 40 million). The increase in recorded deferred tax assets is attributable to the recognition of a deferred tax asset on historic losses for which a use has been identified. This has been offset by utilisation of losses in the current year.Unrecognised tax assetsCertain amounts of deferred tax assets have not been recognised because future taxable profits are not considered probable. Deferred tax assets amounting to EUR 14 million (31 December 2022: EUR 58 million) have not been recognised in relation to deductible temporary differences totalling EUR 55 million (31 December 2022: EUR 242 million). In addition, deferred tax assets amounting to EUR 47 million (31 December 2022: EUR 239 million) have not been recognised in relation to tax losses totalling EUR 242 million (31 December 2022: EUR 1,234 million). In 2023 an amount of EUR 597 million (2022: EUR 1,190 million) in unrecognised tax losses were finally written off, due to liquidation of the branches holding these losses. No use for these losses could be identified.Tax credits and unrecognised tax creditsABN AMRO did not have any tax credits to carry forward on 31 December 2023.17 Financial investmentsAccounting policy for financial investmentsFinancial 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 incomeUnrealised 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.(in millions) 31 December 2023 31 December 2022Financial investmentsDebt securities held at fair value through other comprehensive income40,663 38,408Held at fair value through profit or loss838 626Total financial investments 41,501 39,034Financial investments measured at fair value through other comprehensive income(in millions) 31 December 2023 31 December 2022Interest-earning securitiesDutch government2,642 2,465US Treasury and US government6,861 7,238Other OECD government15,761 18,158Non-OECD government150 142International bonds issued by the European Union2,962 2,415European Stability Mechanism2,349 1,704Mortgage- and other asset-backed securities5,046 3,274Financial institutions3,477 2,998Non-financial institutions1,414 15Total investments held at fair value through other comprehensive income 40,663 38,408Most of these instruments are part of the liquidity buffer and are held for liquidity contingency purposes.Government bonds by country of origin31 December 2023 31 December 2022Accumulated unrealised Accumulated unrealised gains/(losses) and gains/(losses) and fair value hedges Fair fair value hedges Fair (in millions)gains/(losses) Impairmentsvaluegains/(losses) ImpairmentsvalueDutch national government-23 2,642 -148 2,465USA national government-265 6,861 -317 7,238German national government-161 4,924 -310 5,145French national government-77 1,781 -190 1,855Belgian national government-164 -1 2,861 -268 -1 2,567Austrian national government-11 1,774 -75 1,481Finnish national government-20 1,040 -61 1,116Luxembourg national government-22 245 -101 1,238Canadian national government-64 1,142 -104 1,126Japanese national government568 -1 2,464Polish national government35 330 25 320Spanish national government-9 268 63United Kingdom national government9 183 10 180Danish national government-10 183 -19 260Italian national government-42 370 -91 340Irish national government3 94Swedish national government4Brazilian national government82 72Singapore national government68 70European Union bonds (excl. European Financial Stability Facility) -530 2,962 -695 2,415Total government bonds -1,351 -1 28,377 -2,345 -1 30,418Critical accounting estimates and judgementsInterest-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. These are explained in more detail in the Risk, funding & capital management chapter. Impairment charges on FVOCI instruments are recorded in realised/unrealised gains/losses at fair value through OCI in the statement of comprehensive income.19 Fair value of financial instruments carried at fair valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 frameworkABN AMRO has in place designated controls and processes to determine the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols to independently review and validate fair values, separately from the business departments 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 department entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. Controls of the profit or loss are recorded on a daily basis by trading and treasury front-office staff. The independent price-verification process, a key element of the control environment, is segregated from the recording of the transaction\u2019s valuation. Valuations are first calculated by the department. 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 that operates independently from the team trading the financial instruments and performs a review of valuations in light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The reviews are performed at least once a month, 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 the defined thresholds. When models are used to value products, these 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 techniquesA 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 the valuation model and the underlying assumptions made for factors such as the amount and timing of cash flows, discount rates and credit risk.Interest rate derivativesThis category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting these 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 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 contractsForeign 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 for spot and forward contracts as well as for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2.Government debt securitiesGovernment debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. As these instruments are generally traded in active markets and prices can be derived directly from those markets, they 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 is applied 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 securitiesCorporate debt securities consist primarily 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 are made to any of the main inputs based on significant unobservable inputs, the instrument is classified as level 3.Equity instrumentsEquity instruments that are actively traded on public stock exchanges are valued using 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 lossLoans and advances at fair value through profit or loss consist primarily 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 of generating 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 debtIssued 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 prices 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 hierarchyABN 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 prices quoted 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 prices quoted for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all 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.The following table presents the valuation methods used in determining the fair values of financial instruments carried at fair value.31 December 2023 31 December 2022Quoted Valuation Valuation market Valuation techniques Quoted Valuation techniques prices techniques - significant market prices techniques - significant in active - observable unobservable Total fair in active - observable unobservable Total fair (in millions)marketsinputsinputsvaluemarketsinputsinputsvalueAssetsGovernment debt securities341 341 212 3 214Corporate debt securities780 240 1,019 495 186 681Equity securities1 1 10 10Other financial assets held for trading10 10 1 1Financial assets held for trading 1,121 250 1,371 718 190 907Interest rate derivatives4 3,606 15 3,625 51 4,067 36 4,155Foreign exchange contracts765 12 776 1,045 9 1,054Other derivatives2 2 3 3Derivatives 4 4,372 26 4,403 51 5,115 46 5,212Equity instruments130 52 656 838 79 65 481 626Financial investments at fair value through profit or loss 130 52 656 838 79 65 481 626Government debt securities30,396 330 30,726 31,801 320 32,121Corporate debt securities4,890 1 4,891 2,973 1 38 3,013Other debt securities5,046 5,046 3,274 3,274Financial assets held at fair value through other comprehensive income 40,332 1 330 40,663 38,049 1 358 38,408Loans and advances at fair value through profit or loss 31 676 707 36 30 66Total financial assets 41,587 4,706 1,689 47,982 38,897 5,407 915 45,219LiabilitiesShort positions in government debt securities 303 303 341 341Corporate debt securities376 135 511 205 62 267Equity securities7 7 1 1Other financial liabilities held for trading96 96 32 32Financial liabilities held for trading 686 231 917 548 93 641Interest rate derivatives1 2,297 2,298 10 3,270 3,280Foreign exchange contracts553 553 865 865Other derivatives5 5 3 3Derivatives 1 2,855 2,856 10 4,138 4,148Issued debt222 222 223 223Total financial liabilities 687 3,308 3,994 557 4,455 5,012Transfers between fair value hierarchiesThere were no material transfers between the fair value hierarchies.Movements in level 3 financial instruments measured at fair valueThe following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value.Assets LiabilitiesFinancial Financial assets held Loans and investments at at fair value through advances at fair value through other comprehensive fair value through (in millions) Derivativesprofit or lossincomeprofit or loss Issued debtBalance at 1 January 2022 88 433 481Purchases55Sales-45Redemptions-31Gains/(losses) recorded in profit and loss13 12Unrealised gains/(losses)-49 31 -124Transfer between levels7Other movements-2 30Balance at 31 December 2022 46 481 358 30Change in accounting policy 982Purchases 145Sales -2 -243Issuance 24Redemptions -12 -38 -1751Gains/(losses) recorded in profit and loss6 1 12Unrealised gains/(losses)1 52 10 59Transfer between levels -21Other movements -14 -2Balance at 31 December 2023 26 656 330 6761 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 informationInterest-earning securities - government bondsABN AMRO has a position in a Polish bond, denominated in euros (see 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.Equity shares - preferred sharesEquities 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: \u2022 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; \u2022 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 - either the EVCA technique or NAV calculation - 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.DerivativesABN 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.Loans and advances \u2013 Equity release mortgagesABN AMRO offers equity release mortgages which provide a way to liquidate home equity and are designed for senior homeowners. These loans are valued using a discounted cash flow model for which the assumed prepayment rate is the most relevant input parameter. The prepayment rate is based on mortality rates and historical prepayment rates observed for equity release mortgages. The sensitivity range is based on the observed historical bandwidth in prepayment rates.Loans and advances - OtherABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease of clients. The loans are valued using a discounted cash flow model, in which expected future cashflows are discounted against actual interest rates, in combination with an adjustment for expected credit losses. The sensitivity range is based on a bandwidth in expected credit losses.Valuation Unobservable Carrying Possible alternative Unobservable Unobservable techniquedatavalueassumptionsdata rangedata baseApplying Applying Applying Applying (in millions)minimummaximumminimummaximum31 December 2023Equity shares Private equity EBITDA valuationmultiples136 -14 14Equity shares Private equity Net asset valuevaluation519 -52 52Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 330 -11 28 4bps 139bps 101bpsLoans and advances - Discounted Prepayment Equity release mortgagescash flowrate 398 -9 9 1.9% 3.2% 2.5%Loans and advances - Discounted Credit Othercash flowspread 250 -7 11Derivatives held for trading Discounted Probability cash flowof default 26 -3 4 0.0% 100.0% 12.7%31 December 2022Equity shares Private equity EBITDA valuationmultiples 140 -14 14Equity shares Private equity Net asset valuationvalue 342 -34 34Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 320 -9 18 14bps 102bps 73bpsInterest-earning securities - Discounted Liquidity and othercash flowcredit spread 38 -1 214bps 546bps 313bpsDerivatives held for trading Discounted Probability cash flowof default 46 -2 4 0.0% 100.0% 15.0%24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for property and equipmentAccounting policy for impairment of non-financial assetsAt 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 assetsGoodwillGoodwill 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 2023 31 December 2022Land and buildings held for own use225 191Leasehold improvements44 39Plant & equipment under operating lease338 427Equipment78 81Right of use assets285 241Other9 10Total property and equipment 978 988The right of use assets consist primarily of real estate.(in millions) 31 December 2023 31 December 2022Goodwill79Purchased software10 12Internally developed software81 6Other8 12Total goodwill and other intangible assets99 1082023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 99The fair value of land and buildings held for own use is estimated at EUR 199 million at 31 December 2023 (31 December 2022: EUR 234 million). The fair value is entirely based on external valuations performed from 2017 to 2023. Some of the properties have a lower fair value than the recorded carrying value, but 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 value of all these assets.The building at Foppingadreef in Amsterdam is being reconstructed to make it an example with regard to sustainability and circularity. Furthermore, when the project is finished it will meet our own ambition to be Paris Proof before 2030. In the first half of 2023, ABN AMRO signed a construction contract with a total value of EUR 430 million. As at 31 December 2023, EUR 38 million had been paid towards the construction contract. The contract will be settled on a monthly basis during the course of the construction of the building. This amount will be subject to price indexation based on the BDB index. The project is scheduled to be completed by the end of 2026.2022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108Valuation of goodwill31 December 31 December 20232022Method used Long-term for recoverable Discount growth Impairment (in millions) Segmentamountrateratecharges Goodwill GoodwillEntityBethmannWealth Management Value in use 10.0% 0.0% 63 63ABN AMRO Asset Based Finance N.V., (UK) BranchCorporate Banking Value in use 10.0% 0.0% 9 9Banque NeuflizeWealth Management Value in use 10.0% 0.0% 6 6Total goodwill and impairment charges 79 79ABN AMRO performed its annual impairment test in the last quarter of 2023. ABN AMRO considers the relationship between its market capitalisation and its book value, among other factors, when reviewing for indicators of impairment. In 2023, the value in use showed a strong decline. The outcome of the impairment tests performed is that a full impairment of all goodwill has been recognised. The recoverable amount of the Bethmann of EUR 79 million as at 31 December 2023 has been determined based on the value in use calculation, using cash flow projections from financial budgets approved by senior management and covering a four-year period. As a result of this analysis, management has recognised a full impairment of goodwill, totalling EUR 63 million as at 31 December 2023. The recoverable amounts of the ABN AMRO Asset Based Finance N.V, UK Branch and Banque Neuflize of EUR 125 million and EUR 362 million, respectively, are determined on a value in use calculation, using cash flow projections from ROE financial forecasts approved by senior management and covering a five-year period. The pre-tax discount rate applied to all cash flow projections is 10%, based on the return of equity.(in millions) 2023 2022Depreciation on tangible assetsLand and buildings held for own use16 24Leasehold improvements14 13Equipment40 42Right of use assets85 78Amortisation on intangible assetsPurchased software7 10Internally developed software3 2Other intangible assets4 7Impairment losses on tangible assetsLand and buildings held for own use (incl. held for sale)1 1Right of use assets1 -5Other1 1Impairment losses on intangible assetsGoodwill79Purchased softwareTotal depreciation, amortisation and impairment losses 251 17230 ProvisionsAccounting policy for provisionsA 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 among 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 2023 31 December 2022Legal provisions273 447Credit commitments provisions120 154Restructuring provision57 105Other staff provision134 128Provision for pension commitments76 75Insurance fund liabilities7 8Other provisions75 128Total provisions 742 1,044Legal provisionsEURIBOR-based mortgagesIn 2012 two class actions were started whereby the central question was whether ABN AMRO\u2019s amendment clauses in the terms and conditions, entitling it to unilaterally adjust the margin charge for Euribor-based mortgage loans, was an unfair contractual clause. 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.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. 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 appealed against the ruling at the Supreme Court, but the Supreme Court rejected this appeal on 22 December 2023.At 31 December 2023 a provision is in place for expected remaining cash outflows.Variable interest rates for consumer loansOn 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about the recalculation of 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 while 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 of 2022, following an August 2022 ruling of the Kifid Appeals Committee, ABN AMRO adjusted the compensation scheme to include interest on interest. ABN AMRO has provisioned around EUR 520 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 291 million of this provision has been used, while the remaining provision as at 31 December 2023 was EUR 229 million.It is unclear what the exact scope and application of the Kifid ruling is and whether the ruling will have a certain knock-on effect on other (credit) products with variable interest rates, beyond the range of products covered by the compensation scheme, such as credit products for micro and small enterprises. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities which have not been provided for.Other provisionsAML remediation programmeABN AMRO continues to enhance its internal processes and systems to contribute to the prevention of financial economic crime. We are validating the AML client file remediation process, while additional work continues to increase the effectiveness of our measures and to reach a sustainable and adequate level that meets regulatory requirements. We are in a continuous dialogue with the Dutch central bank, who is regularly informed and is closely monitoring our progress.Other Provision Insurance Legal Credit Restructuring staff for pension fund (in millions)provisionscommitmentsprovisionprovisioncommitmentsliabilities Other TotalAt 1 January 2022 398 222 178 137 79 5 181 1,201Increase of provisions156 151 26 107 440Reversal of unused provisions-37 -189 -35 -13 -274Utilised during the year-70 -49 -70 -149 -338Transfer between stages2 2Foreign exchange differences8 5 14Other9 -10 -4 3 2 -1At 31 December 2022 447 154 105 128 75 8 128 1,044Increase of provisions 89 86 14 22 210Reversal of unused provisions -41 -129 -22 -9 -32 -233Utilised during the year -231 -40 -51 -321Transfer between stages 18 18Modifications due to credit riskForeign exchange differences 2 -1 1Other 9 -10 6 1 8 9 23At 31 December 2023 273 120 57 134 76 7 75 742",
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"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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 assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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.Accounting policy for impairment of non-financial assetsAt 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.",
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"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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.",
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"pp-value-33-12": {
"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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 liabilitiesbFinancial 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 instrumentsbEnforceable 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 liabilitiesClassification and measurement of financial assetsABN 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: \u2022 \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; \u2022 \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; \u2022 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: \u2022 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; \u2022 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; \u2022 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.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.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 tradingA financial asset or financial liability is classified as 'held for trading' if it is: \u2022 Acquired or incurred principally for the purpose of selling or repurchasing it in the near term; \u2022 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 making; or \u2022 A trading derivative (except for a derivative that is a designated and effective hedging instrument).Classification and measurement of financial liabilitiesFinancial liabilities are initially recognised at their fair value minus 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: \u2022 Financial liabilities held for trading are measured at fair value through profit or loss; \u2022 Financial liabilities that ABN AMRO has irrevocably designated as held at fair value through profit or loss at initial recognition, which are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that have derivative characteristics by 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.Recognition and derecognitionTraded 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 gain or 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.OffsettingThe 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.4 Net interest incomeAccounting policy for net interest incomeInterest income and expenses on financial instruments are recognised in the income statement on an accrual basis using the effective interest rate method, except where financial instruments are 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 with 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 expenses on trading balances are 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.7 Net trading incomeAccounting policy for net trading incomeIn 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 affect 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 costAccounting policy derecognition of financial assetsThe 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 banksAccounting policy for cash and balances at central banksCash 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 tradingAccounting policy for financial assets and liabilities held for tradingIn 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 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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 accountingAccounting policy for hedge accountingABN 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 chapter.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:\u2022 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and\u2022 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 UnionAs 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 hedgesABN 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 accountingHedging 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:\u2022 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;\u2022 The difference in discounting between the hedged item and the hedging instrument; and\u2022 Potential differences in maturities of the interest rate swap and the loans or notes.Macro fair value hedge accountingABN 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:\u2022 denominated in local currency (euros);\u2022 fixed term to maturity or repricing;\u2022 pre-payable amortising or fixed principal amounts;\u2022 fixed interest payment dates;\u2022 no interest rate options;\u2022 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:\u2022 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent that the difference would lead to over-hedging; and \u2022 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages).Cash flow hedgesABN 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 immediately recognised in other operating income. 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:\u2022 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\u2022 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 until their maturity.The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped by 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 cash flows projected for the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If no projected cash flows are available in the corresponding bucket with 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 operationsABN 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 accountingThe 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 investmentsAccounting policy for financial investmentsFinancial 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 incomeUnrealised 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 lossFinancial 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 financingAccounting policy for securities financingSecurities 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 valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 banksAccounting policy for loans and advances banks and customersLoans 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).21 Loans and advances customersAccounting policy for loans and advances customersThe 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).22 Fair value of financial instruments not carried at fair valueAccounting policy for fair value of financial instruments not carried at fair valueThe 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.27 Due to banksAccounting policy for due to banks and due to customersAmounts 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 customersAccounting policy for due to customersThe accounting policy for amounts due to customers is set out in Note 27 - Due to banks.29 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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 spreads34 Transferred, pledged, encumbered and restricted assetsAccounting policy for transferred, pledged, encumbered and restricted assetsTransferred financial assets are arrangements/transactions for which ABN AMRO has:\u2022 Transferred the contractual rights to receive the cash flows of the financial asset to a third party, or;\u2022 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.Depending on the circumstances, these transfers may either result in financial assets that are not derecognised in their entirety or in assets that are derecognised in their entirety. More detailed information on our recognition and derecognition policy is provided in the paragraph on material accounting policies under Note 1 - Accounting policies.Pledged assets are assets given as security (collateral) to guarantee the payment of a debt or fulfilment of an obligation by ABN AMRO to a third party. Encumbered assets are assets that have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed. The key difference between encumbered and pledged assets is that latter is based on the legal terms such as title transfer while the former is based on economic principles.The following differences apply to ABN AMRO:\u2022 Encumbered assets exclude retained mortgage-backed securities, unless these have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed.Significant restrictions on assets may arise from statutory, contractual or regulatory requirements such as:\u2022 Requirements 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;\u2022 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;\u2022 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 liabilitiesAccounting policy for off-balance sheet itemsFinancial guarantee contractsA 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.",
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"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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 liabilitiesbFinancial 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 instrumentsbEnforceable 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 policiesFinancial assets and liabilitiesClassification and measurement of financial assetsABN 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: \u2022 \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; \u2022 \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; \u2022 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: \u2022 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; \u2022 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; \u2022 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.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.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 tradingA financial asset or financial liability is classified as 'held for trading' if it is: \u2022 Acquired or incurred principally for the purpose of selling or repurchasing it in the near term; \u2022 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 making; or \u2022 A trading derivative (except for a derivative that is a designated and effective hedging instrument).Recognition and derecognitionTraded 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 gain or 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.OffsettingThe 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.8 Net gains/(losses) on derecognition of financial assets measured at amortised costAccounting policy derecognition of financial assetsThe 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 banksAccounting policy for cash and balances at central banksCash 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 tradingAccounting policy for financial assets and liabilities held for tradingIn 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 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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 investmentsAccounting policy for financial investmentsFinancial 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 incomeUnrealised 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 lossFinancial 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 financingAccounting policy for securities financingSecurities 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 valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 banksAccounting policy for loans and advances banks and customersLoans 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).21 Loans and advances customersAccounting policy for loans and advances customersThe 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).22 Fair value of financial instruments not carried at fair valueAccounting policy for fair value of financial instruments not carried at fair valueThe 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.",
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"value": "Accounting policy for measuring allowances for expected credit losses (ECL)bThe 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 impairmentallowance. 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. For this reason, the POCI stage is not included in the following figure. Change in credit qualitybChange 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 Effective interest on Effective interest on amortised gross carrying amountgross carrying amountcost (gross carrying amount less loss allowance)Classification in stage 2We use quantitative and qualitative stage triggers to determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe 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: \u2022 product characteristics (e.g. repayment and interest terms, term of the product); \u2022 the financial condition of the borrower; \u2022 the number of days past due; \u2022 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 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 2023. The table provides ranges, as each product class uses multiple ECL models and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholdsbProduct class RangeConsumer lending 1.8x-5.2xResidential mortgages 1.7x-2.0xCorporate loans 1.3x-5.8xThe lifetime PD thresholds remain unadjusted compared to 31 December 2022.Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any one of the following qualitative triggers: \u2022 Forborne status of a borrower; \u2022 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; \u2022 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 1As 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: \u2022 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; \u2022 For financial instruments that are 30 days past due, a three-month probation period is applied for transfers from stage 2 to stage 1.Classification in stage 3A 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: \u2022 the counterparty is past due by more than 90 days on any material financial credit obligation to the bank; or \u2022 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 2The 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 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).Asset stagesbAsset 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 methodABN 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: \u2022 Individual Lifetime ECL (LECL) for credit-impaired (stage 3) financial instruments with exposures above EUR 3 million; \u2022 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.Lifetime expected credit lossABN 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 informationFor 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 or four 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 the Netherlands Bureau for Economic Policy Analysis (CPB), the Dutch central bank (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 adjustmentsWhere 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) and are governed via the IFRS 9 Adjustment Standard. 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. Upon changes to the drivers of an overlay / adjustment, for instance a resolution of a model limitation or changes to the underlying credit risk dynamics, release of an overlay or adjustment will be considered and decided upon in the IPC.Climate and environmental risks in ECLIncorporating 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.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 materialise, it is partially embedded into our ECL estimates through our macroeconomic forecasts. Climate scenarios are included in Group Economics\u2019 baseline, positive and negative macroeconomic scenarios. These are underpinned by and compared to public and non-public climate scenarios such as those of the Network for Greening of Financial Services (NGFS). 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.Management overlays on ECL can be taken for identifiable events that are not yet included in the macroeconomic forecasts. These are currently limited to an overlay for the potential impact of the government\u2019s nitrogen-reducing measures and an overlay for climate transition risk. Given the combination of individual assessments, macroeconomic scenarios and aforementioned management overlays, we consider the bank adequately provisioned for climate and environmental risks.Cured financial assetsWhen 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 \u2022 For non-programme lending, a loan must be written off 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. \u2022 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 liabilitiesbFinancial 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 instrumentsbEnforceable 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 policiesThe 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 material 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.Material accounting policiesBasis of consolidationThe 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.Foreign currencyABN 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 amounts are transferred to the income statement when the bank loses control, joint control or significant influence over the foreign operation.Financial assets and liabilitiesClassification and measurement of financial assetsABN 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: \u2022 \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; \u2022 \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; \u2022 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: \u2022 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; \u2022 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; \u2022 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.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.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 tradingA financial asset or financial liability is classified as 'held for trading' if it is: \u2022 Acquired or incurred principally for the purpose of selling or repurchasing it in the near term; \u2022 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 making; or \u2022 A trading derivative (except for a derivative that is a designated and effective hedging instrument).Classification and measurement of financial liabilitiesFinancial liabilities are initially recognised at their fair value minus 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: \u2022 Financial liabilities held for trading are measured at fair value through profit or loss; \u2022 Financial liabilities that ABN AMRO has irrevocably designated as held at fair value through profit or loss at initial recognition, which are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that have derivative characteristics by 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.Recognition and derecognitionTraded 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 gain or 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 clearingAs 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's 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.OffsettingThe 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 flowsFor the purposes of the statement of cash flows, cash and cash equivalents comprise cash in hand, freely available balances with central banks and other banks, and net balances on current accounts with other banks with a maturity of less than three months 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 application of these cash and cash equivalents over the course of the year. The cash flows are categorised 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 grantsGovernment 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 chargesABN AMRO recognises a liability arising from levies and similar charges when it becomes legally enforceable (i.e. whenthe obligating event arises).2 Segment reportingAccounting policy for segment reportingABN AMRO\u2019s segment reporting is in accordance with IFRS 8 Operating Segments and consistent with the internal reporting provided to its 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 (NII) because management relies primarily on net, rather than gross, interest income and expenses as a performance measure.4 Net interest incomeAccounting policy for net interest incomeInterest income and expenses on financial instruments are recognised in the income statement on an accrual basis using the effective interest rate method, except where financial instruments are 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 with 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 expenses on trading balances are 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 incomeAccounting policy for net fee and commission incomeABN 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 the consideration due, if payment extends beyond normal credit terms.Revenue is recognised when a promised service is transferred to the client. Fees and commission income are recognised either:\u2022 At a certain point in time: the fee is a reward for a service provided at a moment in time; or\u2022 Over time (amortised): the fee relates to services on an ongoing basis.6 Net income from other operating activitiesAccounting policy for other operating incomeOther 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 assets7 Net trading incomeAccounting policy for net trading incomeIn 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 affect 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 costAccounting policy derecognition of financial assetsThe 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 expensesAccounting policy for personnel expensesSalaries 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 expensesAccounting policy for general and administrative expensesCosts 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 liabilitiesAccounting policy for income tax expense, tax assets and tax liabilitiesIncome 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 prevailing 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 prevailing 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.While most of the jurisdictions ABN AMRO operates in introduced Pillar Two legislation in 2023, these rules have not yet taken effect. ABN AMRO has reviewed the potential impact of the Pillar Two legislation in those jurisdictions. In most tax jurisdictions, ABN AMRO has an effective tax rate that is above the Pillar Two minimum tax rate of 15%. ABN AMRO also expects to be able to make use of (transitional) safe harbour rules in most jurisdictions. The only exceptions are likely to be Hong Kong and Singapore, but given the limited size of ABN AMRO\u2019s Hong Kong and Singapore operations, the impact in 2024 is expected to be between EUR 1-6 million of additional taxes payable. Considering this limited amount, the impact on the current tax expense is not disclosed. Since the Pillar Two legislation was not yet effective in 2023, there is no further impact on the disclosures of ABN AMRO in 2023.13 Cash and balances at central banksAccounting policy for cash and balances at central banksCash 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 tradingAccounting policy for financial assets and liabilities held for tradingIn 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 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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 accountingAccounting policy for hedge accountingABN 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 chapter.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:\u2022 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and\u2022 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 UnionAs 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 hedgesABN 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 accountingHedging 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:\u2022 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;\u2022 The difference in discounting between the hedged item and the hedging instrument; and\u2022 Potential differences in maturities of the interest rate swap and the loans or notes.Macro fair value hedge accountingABN 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:\u2022 denominated in local currency (euros);\u2022 fixed term to maturity or repricing;\u2022 pre-payable amortising or fixed principal amounts;\u2022 fixed interest payment dates;\u2022 no interest rate options;\u2022 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:\u2022 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent that the difference would lead to over-hedging; and \u2022 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages).Cash flow hedgesABN 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 immediately recognised in other operating income. 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:\u2022 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\u2022 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 until their maturity.The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped by 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 cash flows projected for the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If no projected cash flows are available in the corresponding bucket with 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 operationsABN 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 accountingThe 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 investmentsAccounting policy for financial investmentsFinancial 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 incomeUnrealised 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 lossFinancial 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 financingAccounting policy for securities financingSecurities 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 valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 banksAccounting policy for loans and advances banks and customersLoans 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).21 Loans and advances customersAccounting policy for loans and advances customersThe 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).22 Fair value of financial instruments not carried at fair valueAccounting policy for fair value of financial instruments not carried at fair valueThe 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.23 Group structureAccounting policy for business combinationsABN 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 amount of the purchase consideration in excess of 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 subsidiariesABN 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 takes into account 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's subsidiaries. Some of these entities hold assets that are not available to meet claims of ABN AMRO's creditors or 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, as a result of which 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.Accounting policy for associates and joint venturesAssociates 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-acquisition net income (or loss), other movements affecting 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 the share of result in equity accounted investments. 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. 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.24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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.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 impairment of non-financial assetsAt 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 leasesLessor accountingWhere ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where the bank transfers 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 accountingAll 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 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. Given that ABN AMRO cannot readily determine the interest rate implicit in the lease, it uses the incremental borrowing rate to measure lease liabilities.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 property and equipment, while the lease liabilities are included in other liabilities. Depreciation of the ROU assets is included in depreciation, while amortisation of tangible and intangible assets is included in the income statement, and interest expense on lease liabilities is included in other interest and similar expense.Sale and leaseback transactionsIn 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 accountingIf 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 constitutes 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 assetsGoodwillGoodwill 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 assetsThe 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 amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only the development phase is capitalised.Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as client 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 saleAccounting policy for non-current assets and disposal groups held for saleNon-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 banksAccounting policy for due to banks and due to customersAmounts 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 customersAccounting policy for due to customersThe accounting policy for amounts due to customers is set out in Note 27 - Due to banks.29 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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 spreads30 ProvisionsAccounting policy for provisionsA 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 among 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 benefitsAccounting policy for pension and other employee benefitsABN 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 plansFor 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 plansFor 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:\u2022 service costs;\u2022 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\u2022 curtailments or plan amendments.Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments.RemeasurementRemeasurements 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 benefitsSome 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 that used for defined benefit pension plans. These obligations are calculated annually.Pension and other employee benefit plans in all countries comply with applicable local regulations concerning investments and minimum funding levels.33 EquityShare capital and other components of equityOrdinary sharesAs at 31 December 2023, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. For more information about STAK AAB and the depositary receipts, please refer to the Leadership & governance chapter of this report.Compound financial instrumentsComponents of compound financial instruments (liability and equity parts) are classified in their respective areas of the statement of financial position.Currency translation reserveThe currency translation reserve represents cumulative gains and losses on the translation of our net investment in foreign operations, net of the effect of hedging.Fair value reserveUnder 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 reserveThe 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.Liability own credit risk reserveUnder 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 reservesOther reserves mainly comprise retained earnings and profit for the period.DividendsDividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which they are approved by shareholders.Capital securitiesUndated, 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 market34 Transferred, pledged, encumbered and restricted assetsAccounting policy for transferred, pledged, encumbered and restricted assetsTransferred financial assets are arrangements/transactions for which ABN AMRO has:\u2022 Transferred the contractual rights to receive the cash flows of the financial asset to a third party, or;\u2022 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.Depending on the circumstances, these transfers may either result in financial assets that are not derecognised in their entirety or in assets that are derecognised in their entirety. More detailed information on our recognition and derecognition policy is provided in the paragraph on material accounting policies under Note 1 - Accounting policies.Pledged assets are assets given as security (collateral) to guarantee the payment of a debt or fulfilment of an obligation by ABN AMRO to a third party. Encumbered assets are assets that have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed. The key difference between encumbered and pledged assets is that latter is based on the legal terms such as title transfer while the former is based on economic principles.The following differences apply to ABN AMRO:\u2022 Encumbered assets exclude retained mortgage-backed securities, unless these have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed.Significant restrictions on assets may arise from statutory, contractual or regulatory requirements such as:\u2022 Requirements 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;\u2022 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;\u2022 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 liabilitiesAccounting policy for off-balance sheet itemsCommitmentsLoan 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 contractsA 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 liabilitiesContingent 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, but cannot be reliably estimated.37 Share-based paymentAccounting policy for share-based paymentIdentified staff as defined by CRD V are entitled to receive variable compensation, consisting 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.Variable compensation is granted for a certain performance year, at 50% in cash and 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, 30% of the share-based compensation settled in cash (depositary receipt) vests 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).Share-based compensation settled in cash granted for 2019 and the years before includes the option of requesting 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 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 of requesting 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 expenses. The fair value is determined using an internally developed model based on the share price and market expectations of future dividends.",
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"pp-value-53-7": {
"value": "Accounting policy for offsetting financial assets and liabilitiesbFinancial 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 policiesFinancial assets and liabilitiesOffsettingThe 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.",
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"pp-value-53-8": {
"value": "Accounting policy for offsetting financial assets and liabilitiesbFinancial 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 instrumentsbEnforceable 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 policiesFinancial assets and liabilitiesClassification of assets and liabilities held for tradingA financial asset or financial liability is classified as 'held for trading' if it is: \u2022 Acquired or incurred principally for the purpose of selling or repurchasing it in the near term; \u2022 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 making; or \u2022 A trading derivative (except for a derivative that is a designated and effective hedging instrument).Classification and measurement of financial liabilitiesFinancial liabilities are initially recognised at their fair value minus 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: \u2022 Financial liabilities held for trading are measured at fair value through profit or loss; \u2022 Financial liabilities that ABN AMRO has irrevocably designated as held at fair value through profit or loss at initial recognition, which are held to reduce an accounting mismatch, are managed on the basis of their fair value or include terms that have derivative characteristics by 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.Recognition and derecognitionFinancial 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.OffsettingThe 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.14 Financial assets and liabilities held for tradingAccounting policy for financial assets and liabilities held for tradingIn 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 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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.18 Securities financingAccounting policy for securities financingSecurities 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 valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 valueAccounting policy for fair value of financial instruments not carried at fair valueThe 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.27 Due to banksAccounting policy for due to banks and due to customersAmounts 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 customersAccounting policy for due to customersThe accounting policy for amounts due to customers is set out in Note 27 - Due to banks.29 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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 spreads35 Commitments and contingent liabilitiesFinancial guarantee contractsA 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.",
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"pp-value-98-4": {
"value": "Credit risk mitigationbCollateral 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 guaranteesb31 December 2023Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureCarrying Less: Master Financial Other amount before balance-sheet netting instru-Property collateral - of which balance-sheet netting with Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettinggross liabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading 1,371 1,371 1,371Derivatives4,403 4,403 3,151 3,151 1,252Financial investments 41,501 41,501 41,501Securities financing 29,876 8,374 21,503 1,130 29,213 30,343 9,279 438Interest-bearing deposits 1,729 328 1,401 39 39 1,362Loans and advances729 729 490 489 980 487 236Other 194 194 194Total loans and advances banks 2,651 328 2,324 529 489 1,019 487 1,792Residential mortgages 150,880 150,880 2,567 271,233 613 274,413 128,748 5,216Consumer loans 8,233 8,233 3,444 4,501 55 8,000 2,874 3,107Corporate loans 86,413 883 85,530 1,812 36,311 52,909 3,717 94,749 39,523 30,304Other loans and advances customers6,494 6,494 203 36 5 244 15 6,264Fair value adjustment from hedge accounting -5,909 -5,909 -5,909Total loans and advances 1customers246,111 883 245,228 2,015 42,322 328,679 4,390 377,406 171,159 38,981Loans at fair value through P&L 707 707 1,385 1,385 988 309Total loans and advances customers 246,818 883 245,935 2,015 42,322 330,064 4,390 378,791 172,147 39,290Other assets 4,295 4,295 17 460 1,121 1,597 460 3,158Total on-balance sheet subject to netting and pledged agreements330,916 9,584 321,331 6,843 72,484 330,064 5,510 414,901 182,373 88,803Assets not subject to netting and pledged agreements 56,578 56,578 56,578Total assets 387,493 9,584 377,909 6,843 72,484 330,064 5,510 414,901 182,373 145,381Total off-balance sheet 91,967 91,967 2,640 10,739 807 14,186 4,963 82,745Total on- and off-balance sheet 479,461 9,584 469,876 6,843 75,124 340,803 6,317 429,087 187,336 228,1261 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 2022Offset in the statement Not offset in the statement Net 5of financial positionof financial positionexposureCarrying Less: Master Financial Other amount before balance-sheet netting instru-Property collateral - of which balance-sheet netting with Carrying agree-ments & equip-and guar-Total risk surplus 234(in millions)nettinggross liabilitiesamountmentcollateralmentanteesmitigationcollateralFinancial assets held for trading 907 907 907Derivatives 5,212 5,212 4,136 4,136 1,077Financial investments 39,034 39,034 39,034Securities financing 25,218 5,186 20,032 820 24,847 25,667 5,881 246Interest-bearing deposits 2,088 317 1,771 44 317 361 1,410Loans and advances 934 934 537 1,793 2,330 1,793 396Other 277 277 277Total loans and advances banks 3,300 317 2,982 582 1,793 317 2,692 1,793 2,083Residential mortgages 150,609 150,609 2,778 288,267 258 291,303 144,617 3,923Consumer loans 9,959 4 9,955 3,741 6,787 386 10,913 4,387 3,428Corporate loans 86,242 1,101 85,141 2,047 30,432 51,330 3,920 87,730 33,471 30,882Other loans and advances customers 7,491 7,491 377 50 19 446 18 7,064Fair value adjustment from hedge accounting -9,335 -9,335 -9,335Total loans and advances 1customers244,966 1,105 243,861 2,424 36,951 346,434 4,583 390,392 182,492 35,962Loans at fair value through P&L 66 66 66Total loans and advances customers 245,032 1,105 243,927 2,424 36,951 346,434 4,583 390,392 182,492 36,028Other assets 3,532 1 3,531 52 520 842 1,414 427 2,544Total on-balance sheet subject to netting and pledged agreements 322,235 6,609 315,626 8,013 64,110 346,434 5,742 424,300 190,593 81,919Assets not subject to netting and pledged agreements 63,955 63,955 63,955Total assets 386,190 6,609 379,581 8,013 64,110 346,434 5,742 424,300 190,593 145,875Total off-balance sheet 95,872 95,872 4,095 8,576 1,279 13,951 5,471 87,392Total on- and off-balance sheet 482,062 6,609 475,453 8,013 68,205 355,011 7,021 438,251 196,064 233,2671 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 decreased due to a reduction in property and equipment for residential mortgages, mainly due to falling house prices. As a result, surplus collateral also decreased. In the case of consumer loans, total risk mitigation and net exposure declined slightly. Financial instruments collateral increased alongside total risk mitigation for corporate loans. 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 increased to EUR 39.3 billion in 2023 (31 December 2022: EUR 36.0 billion). This was primarily driven by a lower fair value adjustment from hedge accounting, due to declining interest rates.Financial assets: offsetting, netting, collateral and guarantees for credit-impaired assetsbCollateral 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 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.31 December 2023Offset in the statement Not offset in the statement Net 4of financial positionof financial positionexposureCarrying Less: balance- Master Financial Other amount before sheet netting netting instru-Property collateral - of which balance-sheet with gross Carrying agree-ments & equip-and gua-Total risk surplus 123(in millions)nettingliabilitiesamountmentcollateralmentranteesmitigationcollateralLoans and advances banksResidential mortgages 1,167 1,167 11 2,015 2 2,028 862 1Consumer loans 137 137 11 67 4 82 23 78Corporate loans 2,319 2,319 762 1,674 156 2,592 711 438Other loans and advances customers 6 6 5 5 1Total loans and advances customers 3,629 3,629 784 3,756 167 4,707 1,596 518Total loans and advances 3,629 3,629 784 3,756 167 4,707 1,596 51831 December 2022Loans and advances banksResidential mortgages1,068 1,068 11 1,854 1 1,865 799 2Consumer loans151 151 23 71 11 105 32 79Corporate loans2,632 2,632 4 608 1,734 324 2,670 617 579Other loans and advances customers 1 1 1Total loans and advances customers 3,852 3,852 4 641 3,659 336 4,640 1,449 661Total loans and advances 3,852 3,852 4 641 3,659 336 4,640 1,449 6611 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.In line with the decrease in the stage 3 carrying amount (including POCI) to EUR 3.6 billion (31 December 2022: EUR 3.9 billion), total risk mitigation increased slightly to EUR 4.7 billion in 2023 (31 December 2022: EUR 4.6 billion). This increase was mainly observed in financial instruments and, to a lesser extent, property and equipment. The increase in property and equipment was caused by an increase for residential mortgages due to indexation. As the carrying amount of the stage 3 portfolio (including POCI) decreased, and the total risk mitigation increased, net exposure decreased by EUR 142 million to EUR 516 million at 31 December 2023.During 2023 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 at 31 December 2023 amounted to EUR 4 million (31 December 2022: 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 guaranteesb31 December 2023Offset 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 917 917 917Derivatives 2,856 2,856 1,994 1,994 861Securities financing 20,084 8,373 11,710 1,130 10,084 11,214 9,126 9,621Deposits 5,351 5,351 544 544 4,807OtherDue to banks 5,352 5,352 544 544 4,808Deposits 253,831 1,211 252,620 1,424 1,424 251,196Other borrowings 1,846 1,846 1,750 1,750 96Due to customers 255,677 1,211 254,466 3,174 3,174 251,292Other liabilities 5,741 5,741 2 5,743Total liabilities subject to netting arrangements 290,626 9,584 281,041 6,843 10,084 16,927 9,128 273,242Remaining liabilities not subject to netting 72,700 72,700 72,700Total liabilities 363,326 9,584 353,741 6,843 10,084 16,927 9,128 345,94231 December 2022Financial liabilities held for trading 641 641 641Derivatives 4,148 4,148 2,480 2,480 1,668Securities financing 14,839 5,186 9,652 820 13,798 14,618 6,478 1,512Deposits 17,531 32 17,499 688 688 16,811Other 10 10 10Due to banks 17,541 32 17,509 688 688 16,821Deposits 253,913 1,390 252,523 1,659 1,659 250,864Other borrowings 2,491 2,491 2,367 2,367 124Due to customers 256,405 1,390 255,015 4,026 4,026 250,989Other liabilities 5,187 1 5,187 5,187Total liabilities subject to netting arrangements 298,761 6,609 292,152 8,013 13,798 21,812 6,478 276,818Remaining liabilities not subject to netting 64,616 64,616 64,616Total liabilities 363,376 6,609 356,767 8,013 13,798 21,812 6,478 341,4341 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 assetsAccounting policy for transferred, pledged, encumbered and restricted assetsTransferred financial assets are arrangements/transactions for which ABN AMRO has:\u2022 Transferred the contractual rights to receive the cash flows of the financial asset to a third party, or;\u2022 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.Depending on the circumstances, these transfers may either result in financial assets that are not derecognised in their entirety or in assets that are derecognised in their entirety. More detailed information on our recognition and derecognition policy is provided in the paragraph on material accounting policies under Note 1 - Accounting policies.Pledged assets are assets given as security (collateral) to guarantee the payment of a debt or fulfilment of an obligation by ABN AMRO to a third party. Encumbered assets are assets that have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed. The key difference between encumbered and pledged assets is that latter is based on the legal terms such as title transfer while the former is based on economic principles.The following differences apply to ABN AMRO:\u2022 Encumbered assets exclude retained mortgage-backed securities, unless these have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed.Significant restrictions on assets may arise from statutory, contractual or regulatory requirements such as:\u2022 Requirements 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;\u2022 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;\u2022 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 financingSecurities financing transactions are entered into on a collateralised basis to mitigate the bank\u2019s credit risk exposure. In repurchase agreements and securities lending transactions, the securities are returned to ABN AMRO 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 assetsPledged and encumbered assets are no longer readily available to ABN AMRO to secure funding, satisfy collateral needs or be sold to reduce the funding requirement. The following activities conducted by ABN AMRO give rise to pledged assets: \u2022 cash and securities provided as collateral to secure trading and other liabilities, mainly derivatives; \u2022 mortgages and SME loans pledged to secure funding transactions such as covered bonds and securitisations; \u2022 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 2023 31 December 2022Assets pledgedCash and balances at central banks1 7Financial assets held for trading6 17Financial investments FVOCI3,997 7,423Loans and advances banks- Interest bearing deposits705 1,0031Loans and advances customers2- Residential mortgages86,403 85,713- Commercial loans6,907 7,7132Total assets pledged as security98,020 101,876Differences between pledged and encumbered assetsLoans and advances banks200Loans and advances customers-36,633 -32,148Total differences between pledged and encumbered assets -36,633 -31,9482Total encumbered assets61,387 69,928Total assets377,909 379,5812Total encumbered assets as percentage of total assets16.2% 18.4%1 Excluding mainly mortgage-backed securities.2 During 2023 the bank received new guidance from the EBA regarding the encumbered status of mortgages pledged to the covered bond programme. Comparative figures have been adjusted accordingly.Off-balance sheet collateral held as security for assetsMainly as part of professional securities transactions, ABN AMRO obtains securities on terms which 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 2023 31 December 2022Fair value of securities received which can be sold or repledged 81,410 78,428- of which: fair value of securities repledged/sold to others51,924 55,614ABN AMRO has the obligation to return securities accepted as collateral to its counterparties.Significant restrictions on the ability to access or use the bank\u2019s assetsRestricted 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: \u2022 Assets as a result of collateralising repurchase and borrowing agreements (31 December 2023: EUR 21.5 billion; 31 December 2022: EUR 20.0 billion); \u2022 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 2023: EUR 0.7 billion; 31 December 2022: EUR 0.8 billion); \u2022 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 2023: EUR 0.6 billion; 31 December 2022: EUR 0.6 billion).",
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"pp-value-110-3": {
"value": "Market risk management for the trading bookbPositions 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: \u2022 Interest rate risk, arising from adverse changes in interest rate risk curves and/or interest rate volatilities; \u2022 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; \u2022 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 amount 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 bookbABN 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 procedureFor 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 capitalThe calculation of economic capital for market risk in the trading book is based on the daily VaR, SVaR and IRC at a 99.95% confidence level.Stress testing and scenario analysisStress 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 impact 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 positionsbABN 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).Internal aggregated diversified and undiversified VaR for all trading positionsb31 December 2023Foreign Total undiversified (in millions)exchange Interest rateVaR Diversified VaRVaR at last trading day of the period 0.1 3.0 3.1 3.1Highest VaR 0.4 8.2 8.3 8.3Lowest VaR 1.7 1.8 1.7Average VaR 0.1 3.9 4.0 3.931 December 2022VaR at last trading day of the period 0.2 4.1 4.3 4.2Highest VaR0.7 7.7 8.0 7.6Lowest VaR 7.5 0.8 0.8Average VaR 0.1 2.9 3.0 2.6Market risk management for the banking bookbABN 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.Interest rate risk in the banking bookInterest rate risk is the risk of losses in the economic value of equity or the bank\u2019s net interest income (NII) due to yield curve developments. In order to measure interest rate risk, models are used and assumptions on client behaviour are made, most importantly with respect to the maturity of savings and the prepayment of mortgages. These assumptions influence the anticipated interest cash flow pattern. Interest rate risk is continuously managed in line with the risk appetite, as the profile of assets and liabilities on the balance sheet can change if client behaviour changes.The main sources of interest rate risk are: \u2022 The maturity mismatch between assets and liabilities. ABN AMRO provides mortgages and commercial loans with fixed interest terms. These assets are funded by non-maturing deposits and wholesale funding with a shorter average interest maturity than the assets; \u2022 Client behaviour, which determines the maturity profile of some of our products. As we use models to predict this behaviour, we are exposed to model risk.ABN AMRO uses a combination of portfolio (macro) hedges and specific asset or liability (micro) hedges to manage the interest rate sensitivity in the banking book and keep it in line with the bank\u2019s strategy and risk appetite. Micro hedges are used to swap fixed funding transactions and fixed investments in the liquidity buffer for floating interest rate positions. In addition, macro hedging is applied in order to align with the bank\u2019s strategy to contribute to a stable NII while protecting the economic value of equity.Key assumptions for modelling client behaviourFrom an interest rate risk perspective, the following aspects of client behaviour are the most important: \u2022 Client behaviour with respect to early redemption of residential mortgages. This has a significant impact on the average interest maturity of the mortgage portfolio. Clients have the option to fully or partially prepay mortgages before maturity. Prepayments may be triggered by, for example, relocation, redemption or curtailment. An important driver of prepayments is the interest rate incentive, i.e. the difference between a client\u2019s current mortgage rate and prevailing mortgage rates. Future mortgage rates are simulated using a Monte Carlo approach. In addition to the interest rate incentive, other drivers such as loan age, seasonality and house price developments are also taken into account; \u2022 Client acceptance of the residential mortgage volume offered and the deviation between the offered rate and the actual coupon; \u2022 Client behaviour with respect to non-maturing deposits that are callable on demand. Future client rates for savings and current accounts are modelled using a replicating portfolio model. Modelled client rates depend on current or lagged yield curves and funding costs. A maximum maturity of 10 years is assumed. The resulting duration depends on product type and client behaviour.The metrics used for market risk in the banking book are dependent upon the assumptions made in the behavioural models. Models must therefore be based on extensive research, including historical data regarding observed client behaviour, and must be independently validated and approved by the mandated risk committees. Models are periodically assessed to determine whether they behave appropriately and are statistically sound; if required, they are adjusted.Risk measurement for interest rate riskInterest rate risk is measured by NII at risk, the present value of one basis point (PV01), and the economic value of equity (EVE) at risk. To ensure a comprehensive approach to risk management and identify potential weaknesses, the metrics are complemented by stress testing and scenario analysis. Stress testing and scenario analyses go beyond determining the impact of alternative developments of interest rates and include testing assumptions with respect to modelling and client behaviour. A combination of market and product floors is applied. These floors are reviewed periodically.For management purposes, the interest rate risk position is monitored by the Asset & Liability Committee (ALCO) on a monthly basis. The above metrics are also regularly reported to the Executive Board.Credit spread risk in the banking bookCredit spread risk is the risk of losses due to adverse movements in the credit spread of assets. The main source is from bonds held for liquidity purposes. It is measured as the impact on economic value of a 1bp change in spreads to a swap rate. The sensitivity is measured for individual term points, as well as for a parallel shift of the curve.Funding spread riskFunding spread risk is the risk of losses due to adverse movements in the term structure of rates at which ABN AMRO can fund itself \u2013 expressed as a spread to a benchmark such as EURIBOR. Funding spread movements can arise due to changes in, for example, the perceived credit quality of ABN AMRO, changes in the competitive environment or changes in liquidity premiums. They may be entity-specific or systemic by nature. If funding spreads widen, it costs more to fund assets on the balance sheet. Unless this increased spread is passed on to clients by increasing client rates, the projected net interest income will decrease. The funding spread risk is measured using an NII-at-risk approach whereby the funding spread increases.Foreign exchange riskForeign 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 euros. 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 euro.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.",
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"pp-value-124-3": {
"value": "Risk management approachbThe 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 liquidity buffer consisting of a considerable amount of cash to survive the initial period of stress, and a portfolio of highly liquid assets that can swiftly 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 is managed centrally within ALM/Treasury. We incorporate liquidity costs into the pricing of our day-to-day business activities. In managing funding and liquidity risk, 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: \u2022 Stress testing: in monthly and ad-hoc stress tests we evaluate the impact of cash inflows and outflows under plausible stress scenarios, based on actual stress events. 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 liquidity risk management 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; \u2022 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; \u2022 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; \u2022 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; \u2022 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 risk 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 longer-term liquidity crisis. Contingency risk management entails: \u2022 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 position without unnecessarily jeopardising commercial activities, while limiting excessive funding costs in severe market circumstances; \u2022 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 our liquidity risk management framework; \u2022 Collateral posting to guarantee access to critical Financial Market Infrastructures (FMI): access to critical FMI is essential in conducting our business and collateral requirements may increase in times of stress. We monitor these potential additional collateral postings in our liquidity risk management framework; \u2022 Liquidity buffer: 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 covered bonds and cash.Liquidity buffer compositionb31 December 2023 31 December 2022Liquidity LCR Liquidity LCR buffereligiblebuffereligible(in billions, liquidity value) Level 1 Level 2 Level 1 Level 21Cash & central bank deposits51.4 51.4 58.6 58.6Government bonds 26.9 27.0 0.5 27.3 25.1 2.4Supra national & Agency bonds 10.1 10.5 9.1 9.5Covered bonds 5.0 4.6 0.1 2.9 2.5 0.2Retained covered bonds 16.1 5.5Other0.2 0.2 0.1 0.1Total liquidity buffer 109.7 93.5 0.8 103.6 95.7 2.7- of which ESG bonds 4.4 4.5 3.2 3.4- of which in EUR 90.7% 89.5%- of which in other currencies 9.3% 10.5%1 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.The 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.Our aim for the end of 2023 was to increase the green, social and sustainable (ESG) investments in the liquidity portfolio to EUR 3.5 billion. The liquidity value of our ESG bond holdings at 31 December 2023 amounted to EUR 4.4 billion (31 December 2022: EUR 3.2 billion), which represented 8% of total bonds in the liquidity buffer. Targeted investments are bonds where the proceeds are invested in a sustainability instrument in line with the Green Bond Principles, the Social Bond Principles or a combination of the two. Such bonds\u2019 inclusion in the liquidity portfolio is subject to availability of ESG Reporting, a thorough project selection process and sound management of proceeds. To preserve the portfolio\u2019s high quality and liquidity value, 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, we aim to support the growth of this market.Liquidity buffer currency diversificationb(in billions, liquidity value) 31 December 2023 31 December 2022EUR 99.5 92.7USD 8.0 8.2JPY 0.6 2.5GBP0.2 0.2SGD 1.4Total 109.7 103.6The previous table shows the breakdown per currency in the liquidity buffer. The currency composition reflects the composition of the balance sheet, which mainlyconsists of EUR and USD exposures. The monthly averages of the liquidity buffer are shown in the following table.Liquidity buffer composition - monthly averageb(in billions, liquidity value) 2023 20221Cash & central bank deposits60.2 67.6Government bonds 23.3 20.2Supra national & Agency bonds 8.1 6.5Covered bonds 3.9 2.5Retained covered bonds 11.1 0.5Other 0.8 0.3Total 107.6 97.51 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 breakdownb(in billions)300255.0254.524018012071.863.56017. 522.824 .25.49.711.711.010.4Due to Issued debt & Due to banks Securities Equity OthercustomersSubordinated liabilitiesfinancing31 December 202331 December 2022Liability and equity breakdownbClient deposits are our main source of funding, complemented by a well-diversified book of wholesale funding. The graph below shows the liability and equity breakdown for the full balance sheet. Client deposit volume remained stable in 2023.The graph below shows the breakdown of client deposits by segment.Breakdown of client depositsb(in billions)150122.9124.41251007564.666.260.658.050257.05.8Personal & Business Banking Wealth Management Corporate Banking Group Functions depositsdepositsdepositsdeposits31 December 202331 December 2022Available funding instrumentsbA 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 diversification in our investor base. The following table shows a breakdown of total funding instruments.Overview of funding instrumentsb(in millions) 31 December 2023 31 December 2022Commercial Paper/Certificates of Deposit 13,741 14,723Covered bonds 23,853 23,781Secured funding (long-term)23,853 23,781Senior preferred 12,726 8,219- of which green bonds2,832 1,385Senior non-preferred 15,907 9,536- of which green bonds 6,481 4,181Unsecured funding (long-term) 28,633 17,755Total issued debt 66,227 56,259Subordinated liabilities 5,572 7,290Wholesale funding 71,800 63,5501Other long-term funding3,538 14,2742Total funding instruments75,338 77,823- of which matures within one year 20,481 32,4201 Includes TLTRO funding (recorded in due to banks) and funding with the Dutch State as counterparty (recorded in due to customers).2 Includes FX effects, fair value adjustments and interest movements.Total funding instruments decreased to EUR 75.3 billion at 31 December 2023 (31 December 2022: EUR 77.8 billion), mainly driven by the partial repayment of TLTRO III borrowings and offset by an increase in issued debt. Total issued debt increased to EUR 66.2 billion at 31 December 2023 (31 December 2022: EUR 56.3 billion), reflecting the increase in unsecured funding instruments. Senior non-preferred funding increased to EUR 15.9 billion at 31 December 2023 (31 December 2022: EUR 9.5 billion) in order to meet MREL requirements. Subordinated liabilities decreased to EUR 5.6 billion at 31 December 2023 (31 December 2022: EUR 7.3 billion) in favour of senior non-preferred funding. Other long-term funding decreased to EUR 3.5 billion at 31 December 2023 (31 December 2022: EUR 14.3 billion) due to the repayment of EUR 11.0 billion of TLTRO III.Funding issuance in 2023bTotal long-term funding raised in 2023 amounted to EUR 13.4 billion. This included EUR 0.6 billion of ultra-long covered bonds, EUR 6.5 billion of senior preferred funding, EUR 5.6 billion of senior non-preferred funding and EUR 0.8 billion of subordinated liabilities. Deeply subordinated capital instruments (AT1 instruments) have been excluded from the long-term funding overview and are presented in the capital section, which provides a complete overview of all outstanding capital instruments.Long-term funding raised in 2023 and 2022b (notional amounts at issuance, in billions)1513.40.81298.06.50.11.561.60.634.85.620222023Senior non-preferredCovered bondsSenior preferred Subordinated liabilitiesOther fundingLong-term wholesale funding in non-euro currencies increased to 17.7% of total outstanding long-term wholesale funding, compared with 15.7% at 31 December 2022. In 2023, the bank raised its long-term wholesale funding mainly 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 diversification of total outstanding long-term fundingb(in billions)1511 .6120.98.72.090.80.61.30.766.77.3320222023USD CHF GBP OtherMaturity calendarb31 December 2023(notional amounts, in billions) 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 \u2265 2034 TotalCovered bonds 1.8 0.5 1.6 0.6 0.7 0.4 1.9 3.1 2.3 2.3 11.7 26.9Senior preferred 1.8 6.4 3.6 0.3 0.3 0.1 0.2 0.1 12.7Senior non-preferred 1.9 2.3 2.0 4.2 1.0 1.3 0.8 1.0 2.1 16.5Subordinated liabilities1.4 0.9 1.5 0.8 1.2 5.71,2Other long-term funding3.0 0.3 0.2 3.5Total long-term funding 6.6 10.2 8.6 4.6 5.9 1.4 3.2 4.4 3.0 3.3 13.9 65.231 December 20222023 2024 2025 2026 2027 2028 2029 2030 2031 2032 \u2265 2033 TotalTotal long-term funding 17.9 6.6 6.1 4.4 4.5 1.6 1.4 3.2 4.5 3.0 16.6 69.81 Other long-term funding includes TLTRO III and funding with the Dutch State as counterparty.2 The TLTRO III of EUR 3.0 billion is reported at the original legal maturity of three years.We target a maturity profile where redemptions of funding instruments are well spread over time. The average remaining maturity of outstanding long-term funding remained stable at 5.8 years at year-end 2023 (5.7 years at year-end 2022). The average remaining maturity of newly issued wholesale funding decreased to 3.3 years at year-end 2023 (down from 9.4 years at year-end 2022). This was mainly due to the reduced issuance of covered bonds with longer tenors (15-20 years), reflecting the shorter fixed-interest rate periods of new mortgage production. The maturity calendar assumes redemption on the earliest possible call date or the legal maturity date, which does not mean that the instruments will actually be called on the earliest possible call date. Early redemption of subordinated liabilities is subject to approval by the regulator.Maturity overview of assets and liabilitiesbThe following table shows financial assets and liabilities arranged by the earliest possible contractual maturity.Contractual maturity of assets and liabilitiesb31 December 2023Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssetsCash and balances at central banks 53,656 53,656Financial assets held for trading 13 18 57 35 72 178 495 504 1,371Derivatives4,038 15 7 1 17 6 62 259 4,403Financial investments814 1,188 1,865 2,549 2,104 4,707 12,115 15,320 838 41,501Securities financing 1,098 18,141 1,265 996 2 21,503Loans and advances banks 814 561 26 223 22 22 182 473 2,324Loans and advances customers 8,498 9,836 4,986 3,321 7,834 13,814 34,399 163,246 245,935Other assets 3,001 2,647 724 63 146 14 534 89 7,218Total assets 67,895 4,038 32,404 8,931 7,188 10,197 18,741 47,787 179,891 838 377,909LiabilitiesFinancial liabilities held for trading 3 79 22 95 25 89 233 370 917Derivatives 2,422 39 7 6 2 24 82 274 2,856Securities financing 301 10,653 753 2 11,710Due to banks 870 806 180 3,159 45 76 53 163 5,352Due to customers203,764 25,275 7,022 5,638 4,382 595 1,665 6,124 254,466Issued debt 16 7,169 6,997 2,167 1,014 8,858 15,347 24,660 66,227- of which senior secured 1,531 116 30 166 497 2,868 18,645 23,853- of which senior unsecured1,557 121 31 116 8,294 12,479 5,993 28,590- of which other 16 4,081 6,761 2,106 732 67 22 13,784Subordinated liabilities 1,342 3,210 1,020 5,572Other liabilities 1,987 3,593 426 64 24 538 5 6 6,641Total liabilities 206,942 2,422 47,614 15,407 11,129 5,493 11,523 20,595 32,617 353,741Total equity24,168 24,168Total liabilities and equity 206,942 2,422 47,614 15,407 11,129 5,493 11,523 20,595 32,617 24,168 377,909Off-balance sheet liabilitiesCommitted credit facilities53,968 53,968Guarantees and other commitments 6,289 6,289Total off-balance sheet liabilities 60,257 60,25731 December 2022Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssetsCash and balances at central banks 60,865 60,865Financial assets held for trading 28 32 90 49 64 56 251 337 907Derivatives1 4,831 6 36 14 32 292 5,212Financial investments594 1,204 1,232 3,024 3,903 5,367 12,437 10,647 626 39,034Securities financing 548 15,293 3,146 1,045 20,032Loans and advances banks 1,296 864 78 31 714 2,982Loans and advances customers 17,949 7,258 5,659 3,694 8,851 14,580 32,588 153,348 243,927Other assets 2,688 2,107 1,242 94 30 386 73 6,622Total assets 83,968 4,831 26,765 11,369 7,907 12,884 20,096 45,725 165,411 626 379,581LiabilitiesFinancial liabilities held for trading 2 92 1 55 7 23 209 252 641Derivatives 1 3,671 24 1 2 19 22 63 346 4,148Securities financing 419 9,034 200 9,652Due to banks 1,568 912 235 11,327 130 3,070 115 152 17,509Due to customers223,772 15,755 3,747 1,657 1,670 422 1,484 6,507 255,015Issued debt 3,665 10,261 1,052 4,074 3,585 9,913 23,709 56,259- of which senior secured20 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 14,723Subordinated liabilities 1,027 1,401 103 3,731 1,028 7,290Other liabilities 2,810 2,620 430 27 18 330 18 6,253Total liabilities 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 356,767Total equity22,814 22,814Total liabilities and equity 228,572 3,671 33,129 16,276 14,224 5,920 7,451 15,532 31,993 22,814 379,581Off-balance sheet liabilitiesCommitted credit facilities53,873 53,873Guarantees and other commitments 7,651 7,651Total off-balance sheet liabilities 61,524 61,524Maturity based on contractual undiscounted cash flowsbThe following tables show financial assets and liabilities arranged by the earliest possible contractual maturity.31 December 2023Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssets:Cash and balances at central banks 53,656 53,656Financial assets held for trading 13 19 60 42 85 198 522 528 1,468Derivatives4,038 53 155 366 683 1,235 2,476 2,524 11,531Financial investments814 1,216 1,973 2,799 2,541 5,410 13,141 16,239 838 44,970Securities financing 1,098 18,179 1,280 1,006 2 21,565Loans and advances banks 814 604 136 459 398 711 1,415 1,658 6,195Loans and advances customers 8,498 10,196 6,362 6,679 13,988 24,670 55,972 184,582 310,948Other assets 3,001 2,647 725 65 149 19 537 90 7,234Total undiscounted assets67,895 4,038 32,915 10,692 11,417 17,845 32,243 74,063 205,622 838 457,567Of which:Gross settled derivatives not held for trading:Contractual amounts receivable 273 100 108 117 211 457 160 1,426Contractual amounts payable 269 94 131 104 191 383 119 1,289Total undiscounted gross settled derivatives not held for trading 5 6 -23 13 20 75 41 137Net settled derivatives not held for trading160 355 89 282 746 1,554 2,481 5,667Liabilities:Financial liabilities held for trading 3 80 23 98 29 96 243 379 951Derivatives 2,422 101 234 563 1,047 1,883 3,571 3,682 13,503Securities financing 301 10,676 758 2 11,737Due to banks870 814 205 3,192 55 90 78 188 5,491Due to customers 203,764 25,308 7,083 5,740 4,497 779 2,016 6,468 255,657Issued debt 16 7,249 7,273 2,781 2,137 10,615 18,099 27,187 75,356Subordinated liabilities 12 49 123 233 1,683 3,496 1,211 6,808Other liabilities 1,987 3,583 417 51 2 535 4 4 6,583Total liabilities 206,942 2,422 47,822 16,044 12,546 8,002 15,681 27,506 39,119 376,085- of which:Gross settled derivatives not held for trading:Contractual amounts receivable 297 158 70 36 21 13 22 618Contractual amounts payable 150 102 47 30 24 14 15 383Total undiscounted gross settled derivatives not held for trading -147 -56 -23 -6 3 1 -8 -235Net settled derivatives not held for trading 418 -42 121 266 117 211 1,075 2,167Net liquidity gap -139,047 1,616 -14,907 -5,352 -1,130 9,843 16,562 46,557 166,503 838 81,482Off-balance sheet liabilitiesCommitted credit facilities 53,968 53,968Guarantees and other commitments 6,289 6,289Total off-balance sheet liabilities 60,257 60,25731 December 2022Between Between Between Between Between Trading Up to one and three six and one two More On deriva-one three and six twelve and two and five than five No (in millions)demandtivesmonthmonthsmonthsmonthsyearsyearsyearsmaturity TotalAssetsCash and balances at central banks 60,865 60,865Financial assets held for trading 28 32 91 51 68 64 262 347 944Derivatives1 4,831 28 84 210 404 670 1,434 1,663 9,325Financial investments594 1,224 1,309 3,203 4,197 5,812 13,001 11,127 626 41,092Securities financing 548 15,305 3,155 1,049 20,056Loans and advances banks 1,296 868 9 22 41 150 191 877 3,453Loans and advances customers 17,949 7,492 6,558 5,879 12,829 21,534 46,385 166,989 285,614Other assets 2,688 2,108 1,242 95 31 2 388 74 6,627Total undiscounted assets83,968 4,831 27,057 12,448 10,508 17,571 28,231 61,660 181,077 626 427,978Of which:Gross settled derivatives not held for trading:Contractual amounts receivable17 42 31 87 142 411 282 1,012Contractual amounts payable 10 17 34 66 127 354 230 837Total undiscounted gross settled derivatives not held for trading 7 25 -3 21 15 57 52 175Net settled derivatives not held for trading52 160 80 392 940 2,529 4,247 8,401LiabilitiesFinancial liabilities held for trading 2 92 1 57 11 29 219 261 674Derivatives 1 3,671 60 135 337 633 1,120 2,292 2,596 10,844Securities financing 419 9,038 200 9,657Due to banks1,568 911 230 11,320 125 3,068 113 151 17,488Due to customers 223,772 15,757 3,752 1,666 1,684 446 1,531 6,553 255,161Issued debt 3,707 10,407 1,358 4,603 4,474 11,468 25,183 61,198Subordinated liabilities 1,041 1,449 200 181 343 4,007 1,202 8,424Other liabilities 2,810 2,616 427 23 11 329 17 6,234Total 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 receivable677 247 53 82 29 7 1,096Contractual amounts payable165 133 69 110 64 16 558Total undiscounted gross settled derivatives not held for trading -512 -114 16 28 36 9 -537Net settled derivatives not held for trading 54 120 273 480 271 213 809 2,222Net liquidity gap -144,604 1,161 -6,165 -4,154 -4,453 10,321 18,422 42,013 145,131 626 58,297Off-balance sheet liabilitiesCommitted credit facilities 53,873 53,873Guarantees and other commitments 7,651 7,651Total off-balance sheet liabilities 61,524 61,52431 December 2023 31 December 2022Up to More than Up to More than (in millions)one yearone year Totalone yearone year TotalAssetsCash and balances at central banks 53,656 53,656 60,865 60,865Financial assets held for trading 1,371 1,371 907 907Derivatives4,038 365 4,403 4,831 381 5,212Financial investments8,440 33,061 41,501 9,848 29,186 39,034Securities financing 20,830 673 21,503 19,117 916 20,032Loans and advances banks 1,494 829 2,324 1,732 1,250 2,982Residential mortgages 10,591 134,284 144,875 14,377 126,744 141,121Consumer loans at amortised cost 2,261 5,972 8,233 2,305 7,650 9,955Consumer loans at fair value through P&L 178 470 648Corporate loans at amortised cost 33,731 51,895 85,626 36,896 48,398 85,295Corporate loans at fair value through P&L 23 36 59 28 37 66Other loans and advances customers5,975 519 6,494 6,789 703 7,491Equity-accounted investments 333 333 474 474Property and equipment713 264 978 673 315 988Goodwill and other intangible assets 99 99 108 108Assets held for sale 130 130 13 13Tax assets 327 327 565 565Other assets 4,848 503 5,351 323 4,150 4,473Total assets 148,706 229,203 377,909 159,377 220,204 379,581LiabilitiesFinancial liabilities held for trading 917 917 641 641Derivatives2,422 434 2,856 3,671 477 4,148Securities financing 11,448 262 11,710 8,822 830 9,652Due to banks 5,008 344 5,352 13,847 3,662 17,509Current accounts 21,862 78,086 99,948 15,126 106,905 122,030Demand deposits 5,846 95,097 100,943 100,397 100,397Time deposits 45,068 6,660 51,728 21,611 8,485 30,096Other due to customers 72 1,775 1,846 198 2,293 2,491Issued debt 17,517 48,711 66,227 19,298 36,961 56,259Subordinated liabilities5,572 5,572 2,520 4,770 7,290Provisions 734 7 742 1,030 13 1,044Tax liabilities 159 159 22 22Other liabilities 5,726 15 5,741 5,187 5,187Total liabilities 116,779 236,962 353,741 86,787 269,980 356,767Expected maturity based on behavioural modelsbThe 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.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.",
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"value": "Capital instrumentsb31 December 31 December 20232022First possible Nominal Carrying Nominal Carrying (in millions) ISIN/CUSIP Maturity datecall dateamountamountamountamount1Tier 1EUR 1,000 million 4.375% per annum XS2131567138 Perpetual September 2025 1,000 993 1,000 991EUR 1,000 million 4.75% per annum XS1693822634 Perpetual September 2027 1,000 994 1,000 994Total Tier 1 capital instruments 2,000 1,987 2,000 1,985Tier 2USD 1,500 million 4.75% per annum US00080QAF28 / XS1264600310 July 2025 1,357 1,338 1,405 1,360USD 1,000 million 4.8% per annum US0008DAL47 / XS1392917784 April 2026 905 860 937 868EUR 1,000 million 2.875% per annum XS1346254573 January 2028 January 2023 1,000 1,027USD 300 million 5.6% per annum XS1385037558 April 2031 271 245 281 249SGD 750 million 5.5% per annum XS2498035455 October 2032 July 2027 514 522 524 520EUR 1,000 million 5.125% per annumXS2558022591 February 2033 November 2027 1,000 1,049 1,000 979USD 1,000 million 3.324% per annum US00084DAV29 / XS2415308761 March 2037 December 2031 905 774 937 778EUR 750 million 5.5% per annum XS2637967139 September 2033 June 2028 750 779US00080QAD79 / USD 113 million 7.75% per annumUSN0028HAP03 May 2023 106 103USD 1,500 million 4.4% per annum XS1586330604 March 2028 March 2023 1,405 1,392EUR various smaller instruments 2023 -2025 4 4 14 14Total Tier 2 capital instruments 5,706 5,572 7,609 7,290- of which eligible for regulatory capital:Basel III, Tier 1 (fully-loaded) 2,000 2,000Basel III, Tier 2 (fully-loaded)4,279 5,4491 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 2023 totals EUR 21.3 billion (31 December 2022: EUR 19.8 billion).33 EquityShare capital and other components of equityOrdinary sharesAs at 31 December 2023, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. For more information about STAK AAB and the depositary receipts, please refer to the Leadership & governance chapter of this report.Capital securitiesUndated, 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(in millions) 31 December 2023 31 December 2022Share capital866 898Share premium12,192 12,529Accumulated other comprehensive income-315 -842Other reserves (incl. retained earnings/profit for the period)9,436 8,243AT1 capital securities1,987 1,985Equity attributable to owners of the parent company 24,165 22,812Equity attributable to non-controlling interests3 2Total equity 24,168 22,814At December 31 2023, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares. The authorised share capital consisted of 2,200,000,000 ordinary A-shares with a nominal value of EUR 1.00 each and 200,000,000 ordinary B-shares with a nominal value of EUR 1.00 each. Every share is entitled to one vote at 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 2023 was 865,575,379. In 2023, the final dividend for the year 2022 was paid out at EUR 0.67 per share for a total of EUR 580 million and the 2023 interim dividend was paid out at EUR 0.62 per share for a total of EUR 537 million. For the year 2023, a final dividend has been proposed of EUR 0.89 per share. During the first half of 2023, ABN AMRO Bank N.V. purchased EUR 500 million in treasury shares under the buyback programme, at an average price of EUR 15.65 each. These treasury shares were cancelled during Q3, resulting in a reduction of the issued share capital by 31,946,537 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 the other reserves. The following table shows the equity of the ABN AMRO Bank N.V. and the outstanding and issued share capital.31 December 2023 31 December 2022Class A ordinary shares Class B ordinary shares Class A ordinary shares Class B ordinary sharesNumber of sharesAuthorised share capital2,200,000,000 200,000,000 2,200,000,000 200,000,000Unissued share capital1,334,424,621 200,000,000 1,302,478,084 200,000,000Issued share capital865,575,379 897,521,916Amount of shares (in EUR)Authorised share capital2,200,000,000 200,000,000 2,200,000,000 200,000,000Unissued share capital1,334,424,621 200,000,000 1,302,478,084 200,000,000Issued share capital865,575,379 897,521,916Par value 1.00 1.00 1.00 1.00",
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"pp-value-152-3": {
"value": "Capital instrumentsb31 December 31 December 20232022First possible Nominal Carrying Nominal Carrying (in millions) ISIN/CUSIP Maturity datecall dateamountamountamountamount1Tier 1EUR 1,000 million 4.375% per annum XS2131567138 Perpetual September 2025 1,000 993 1,000 991EUR 1,000 million 4.75% per annum XS1693822634 Perpetual September 2027 1,000 994 1,000 994Total Tier 1 capital instruments 2,000 1,987 2,000 1,985Tier 2USD 1,500 million 4.75% per annum US00080QAF28 / XS1264600310 July 2025 1,357 1,338 1,405 1,360USD 1,000 million 4.8% per annum US0008DAL47 / XS1392917784 April 2026 905 860 937 868EUR 1,000 million 2.875% per annum XS1346254573 January 2028 January 2023 1,000 1,027USD 300 million 5.6% per annum XS1385037558 April 2031 271 245 281 249SGD 750 million 5.5% per annum XS2498035455 October 2032 July 2027 514 522 524 520EUR 1,000 million 5.125% per annumXS2558022591 February 2033 November 2027 1,000 1,049 1,000 979USD 1,000 million 3.324% per annum US00084DAV29 / XS2415308761 March 2037 December 2031 905 774 937 778EUR 750 million 5.5% per annum XS2637967139 September 2033 June 2028 750 779US00080QAD79 / USD 113 million 7.75% per annumUSN0028HAP03 May 2023 106 103USD 1,500 million 4.4% per annum XS1586330604 March 2028 March 2023 1,405 1,392EUR various smaller instruments 2023 -2025 4 4 14 14Total Tier 2 capital instruments 5,706 5,572 7,609 7,290- of which eligible for regulatory capital:Basel III, Tier 1 (fully-loaded) 2,000 2,000Basel III, Tier 2 (fully-loaded)4,279 5,4491 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 2023 totals EUR 21.3 billion (31 December 2022: EUR 19.8 billion).33 EquityShare capital and other components of equityOrdinary sharesAs at 31 December 2023, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. For more information about STAK AAB and the depositary receipts, please refer to the Leadership & governance chapter of this report.Compound financial instrumentsComponents of compound financial instruments (liability and equity parts) are classified in their respective areas of the statement of financial position.Currency translation reserveThe currency translation reserve represents cumulative gains and losses on the translation of our net investment in foreign operations, net of the effect of hedging.Fair value reserveUnder 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 reserveThe 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.Liability own credit risk reserveUnder 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 reservesOther reserves mainly comprise retained earnings and profit for the period.DividendsDividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which they are approved by shareholders.Capital securitiesUndated, 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(in millions) 31 December 2023 31 December 2022Share capital866 898Share premium12,192 12,529Accumulated other comprehensive income-315 -842Other reserves (incl. retained earnings/profit for the period)9,436 8,243AT1 capital securities1,987 1,985Equity attributable to owners of the parent company 24,165 22,812Equity attributable to non-controlling interests3 2Total equity 24,168 22,814At December 31 2023, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares. The authorised share capital consisted of 2,200,000,000 ordinary A-shares with a nominal value of EUR 1.00 each and 200,000,000 ordinary B-shares with a nominal value of EUR 1.00 each. Every share is entitled to one vote at 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 2023 was 865,575,379. In 2023, the final dividend for the year 2022 was paid out at EUR 0.67 per share for a total of EUR 580 million and the 2023 interim dividend was paid out at EUR 0.62 per share for a total of EUR 537 million. For the year 2023, a final dividend has been proposed of EUR 0.89 per share. During the first half of 2023, ABN AMRO Bank N.V. purchased EUR 500 million in treasury shares under the buyback programme, at an average price of EUR 15.65 each. These treasury shares were cancelled during Q3, resulting in a reduction of the issued share capital by 31,946,537 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 the other reserves. The following table shows the equity of the ABN AMRO Bank N.V. and the outstanding and issued share capital.31 December 2023 31 December 2022Class A ordinary shares Class B ordinary shares Class A ordinary shares Class B ordinary sharesNumber of sharesAuthorised share capital2,200,000,000 200,000,000 2,200,000,000 200,000,000Unissued share capital1,334,424,621 200,000,000 1,302,478,084 200,000,000Issued share capital865,575,379 897,521,916Amount of shares (in EUR)Authorised share capital2,200,000,000 200,000,000 2,200,000,000 200,000,000Unissued share capital1,334,424,621 200,000,000 1,302,478,084 200,000,000Issued share capital865,575,379 897,521,916Par value 1.00 1.00 1.00 1.00Accumulated 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 plansreservereservereservejoint venturesreserve TotalBalance at 1 January 2022 -6 38 239 -1,540 51 -9 -1,227Net gains/(losses) arising during the period 16 48 -287 762 -51 8 496Less: Net realised gains/(losses) included in income statement4 1 -39 7 -26Net gains/(losses) in equity 16 44 -288 801 -58 8 522Related income tax 3 -75 207 2 137Balance at 31 December 2022 7 81 26 -946 -7 -3 -842Net gains/(losses) arising during the period-10 -46 -174 790 10 2 574Less: Net realised gains/(losses) included in income statement -2 -147 -149Net gains/(losses) in equity -10 -44 -174 938 10 2 722Related income tax -3 -44 242 1 195Balance at 31 December 2023 37 -104 -250 3 -2 -315Accumulated other comprehensive income increased by EUR 527 million, driven mainly by the increase in the cash flow hedge reserve resulting from the current market interest rate environment. The decrease of the fair value reserve was attributable to lower valuations on financial investments.",
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"pp-value-153-2": {
"value": "Movements in subordinated liabilitiesb2023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 7,290 7,549Cash flowsIssuance 776 1,540Redemption -2,504 -1,602Non-cash changesForeign exchange differences -143 360Fair value changes hedge accounting 143 -533Other 10 -23Balance as at 31 December 5,572 7,29029 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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 spreadsSubordinated liabilitiesThe 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 2023 31 December 2022Subordinated liabilities 5,572 7,2902023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 7,290 7,549Cash flowsIssuance776 1,540Redemption-2,504 -1,602Non-cash changesForeign exchange differences-143 360Fair value changes hedge accounting143 -533Other10 -23Balance as at 31 December 5,572 7,290",
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"value": "Movements in subordinated liabilitiesb2023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 7,290 7,549Cash flowsIssuance 776 1,540Redemption -2,504 -1,602Non-cash changesForeign exchange differences -143 360Fair value changes hedge accounting 143 -533Other 10 -23Balance as at 31 December 5,572 7,29018 Securities financingAccounting policy for securities financingSecurities 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 2023 31 December 2022(in millions) Banks Customers Total Banks Customers TotalAssetsReverse repurchase agreements3,536 11,473 15,009 2,649 11,591 14,239Securities borrowing transactions3,075 3,419 6,494 2,900 2,893 5,793Total 6,611 14,892 21,503 5,548 14,484 20,032LiabilitiesRepurchase agreements319 10,453 10,772 219 8,359 8,578Securities lending transactions185 753 938 474 600 1,074Total 504 11,206 11,710 692 8,960 9,652Securities 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 repurchase agreements increased by EUR 2.2 billion during the year, due to agreements with several large clients. Details on securities financing transactions that ABN AMRO can repledge or resell are included in Note 34 - Transferred, pledged encumbered and restricted assets.27 Due to banksAccounting policy for due to banks and due to customersAmounts 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.(in millions) 31 December 2023 31 December 2022Current accounts1,168 1,977Demand deposits1 1Time deposits3,731 14,895Cash collateral on securities lent451 625Other10Total due to banks 5,352 17,509On 28 June 2023, ABN AMRO partially repaid the TLTRO III funding for the amount of EUR 11.0 billion. On 31 December 2023, an amount of EUR 3.0 billion was outstanding, which matures in June 2024.28 Due to customersAccounting policy for due to customersThe accounting policy for amounts due to customers is set out in Note 27 - Due to banks.(in millions) 31 December 2023 31 December 2022Current accounts99,948 122,030Demand deposits100,943 100,397Time deposits51,728 30,096Other1,846 2,491Total due to customers254,466 255,01529 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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 spreadsThe following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December 2023. 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 2023 31 December 2022Bonds and notes issued52,264 41,313Certificates of deposit and commercial paper13,741 14,723Total at amortised cost 66,005 56,036Designated at fair value through profit or loss222 223Total issued debt 66,227 56,259- of which matures within one year 17,408 19,0532023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 56,259 59,688Cash flowsIssuance49,985 35,231Redemption-43,196 -30,668Non-cash changesForeign exchange differences-96 118Fair value changes own credit risk-2 -8Fair value changes hedge accounting2,514 -8,451Other762 350Balance as at 31 December 66,227 56,259The 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 2023 31 December 2022Cumulative change in fair value of the structured notes attributable to changes in credit risk2 4Change during the year in fair value of the structured notes attributable to changes in credit risk-2 -8Difference between amount contractually required to pay at maturity and the carrying amount 10 6The 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 liabilitiesThe 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 2023 31 December 2022Subordinated liabilities 5,572 7,2902023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 7,290 7,549Cash flowsIssuance776 1,540Redemption-2,504 -1,602Non-cash changesForeign exchange differences-143 360Fair value changes hedge accounting143 -533Other10 -23Balance as at 31 December 5,572 7,29032 Other liabilities(in millions) 31 December 2023 31 December 2022Accrued other expenses960 939Lease liabilities426 413Unsettled securities transactions2,485 2,019Sundry liabilities and other payables1,870 1,816Total other liabilities 5,741 5,187",
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"pp-value-175-3": {
"value": "1 Accounting policiesCorporate informationABN 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 in the Netherlands and abroad(together referred to as the group). ABN AMRO Bank is apublic limited liability company incorporated under Dutch law on 9 April 2009 in the Netherlands and registered at Gustav Mahlerlaan 10, 1082 PP Amsterdam, the Netherlands(Chamber of Commerce number 34334259).At 31 December 2023, all shares in the capital of ABN AMRO Bank N.V. were held by two foundations: NLFI and STAK AAB. NLFI was holding 48.7% in ABN AMRO Bank N.V., of which 46.6% were held directly via ordinary shares and 2.1% were held indirectly via depositary receipts for shares in ABN AMRO Bank N.V.. STAK AAB was holding 53.4% 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 2023 incorporate financial information of ABN AMRO Bank N.V., as well as that of the bank's controlled entities, interests in associates andjoint ventures. The Annual Financial Statements were prepared by the Executive Board and authorised for issue by the Supervisory Board and Executive Board on 12 March 2024.Basis of preparationThe Consolidated Annual Financial Statements have been prepared on a historical cost basis, except for certain items that are measured at fair value. 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 'hold to collect' 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, are measured at fair value through profit or loss. Certain interest-earning financial investments are valued at fair value through other comprehensive income (FVOCI). As these instruments do not meet the requirements regarding frequency of sales, they are not classified in a 'hold to collect' business model. The carrying values of recognised assets and liabilities included 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:DisclosureOfGeneralInformationAboutFinancialStatementsExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-175-4": {
"value": "1 Accounting policiesStatement of complianceThe 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": {
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-175-5": {
"value": "1 Accounting policiesBasis of preparationThe Consolidated Annual Financial Statements have been prepared on a historical cost basis, except for certain items that are measured at fair value. 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 'hold to collect' 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, are measured at fair value through profit or loss. Certain interest-earning financial investments are valued at fair value through other comprehensive income (FVOCI). As these instruments do not meet the requirements regarding frequency of sales, they are not classified in a 'hold to collect' business model. The carrying values of recognised assets and liabilities included 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.",
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-175-6": {
"value": "1 Accounting policiesBasis of preparationThe financial statements are prepared on a going concern basis.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfGoingConcernExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-175-7": {
"value": "1 Accounting policiesChanges in accounting policiesIFRS 17 \u2013 Insurance ContractsAs from 1 January 2023, ABN AMRO has adopted IFRS 17 Insurance Contracts. IFRS 17 replaces IFRS 4 and includes comprehensive new requirements for the recognition and measurement, presentation and disclosure of insurance contracts. 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.ABN AMRO has completed the assessment of the impacts of adopting IFRS 17. ABN AMRO offers a limited number of banking products with significant embedded insurance risk. None of these products were materially impacted, except for equity release mortgages and consumer loans with a death waiver.Prior to the application of IFRS 17, ABN AMRO unbundled the loan component from the insurance contract for equity release mortgages, which was permitted in accordance with IFRS 4. The loan component was measured at amortised cost in accordance with IFRS 9, while the insurance component, the No Negative Equity Guarantee (NNEG), was measured as an insurance contract in accordance with IFRS 4.Following the application of IFRS 17, unbundling of the loan component from the insurance contract is no longer permitted. For these type of loan contracts, the issuer of such loans can opt to apply either IFRS 9 or IFRS 17. 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 mortgages, these loans in their entirety, i.e. including the NNEG feature, do not meet the SPPI criterion. They are therefore measured in their entirety at fair value through profit or loss as of 1 January 2023.The impact on the opening equity is a negative of EUR 164 million in respect of equity release mortgages. This is the result of the reclassification of equity release mortgages from residential mortgages - at a value of EUR 792 million - to consumer loans at fair value through profit or loss - at a fair value of EUR 628 million - as at 1 January 2023.ABN AMRO has consumer loans with death waivers in its subsidiary ALFAM. These loans have been analysed and it was concluded that the amortised cost value is not significantly different from the fair value. Therefore, there was no impact on the opening equity balance. An amount of EUR 323 million was reclassified from consumer loans at amortised cost to consumer loans at fair value through profit or loss.ABN AMRO choses not to restate prior periods in line with the transitional provisions of IFRS 9 as amended by IFRS 17. As a result, the comparative figures have not been adjusted and the impact is recognised in the opening balance at 1 January 2023.Amendments to existing standardsBesides IFRS 17, the International Accounting Standards Board issued several amendments to existing standards that are endorsed by the EU. These changes became effective for the reporting period beginning on 1 January 2023. The standards amended are: \u2022 IAS 1 Disclosure of accounting policies; \u2022 IAS 8 Definition of accounting estimate; \u2022 IAS 12 Deferred Tax related to Assets and Liabilities arising from a Single Transaction; \u2022 IAS 12 Income taxes: International Tax Reform \u2013 Pillar Two Model Rules.The impact of these amendments on the consolidated financial statements are insignificant, except for the impact of the International Tax Reform. The IAS 12 amendments relate to the introduction of a temporary exception and targeted disclosure requirement, in response to the International Tax Reform from the Organisation for Economic Co-operation and Development (OECD). The Pillar Two EU legislation aims to ensure a minimum tax of 15% is paid on profits globally. Given that this does not materially impact ABN AMRO, we will not disclose the impact on the current tax expense, if any. Furthermore, ABN AMRO applied the exemption related to the recognition and disclosure of deferred tax liabilities in accordance with Pillar Two EU legislation in 2023. For more details see note 11.New standards, amendments and interpretations not yet effectiveThe International Accounting Standards Board issued the following amendments to existing standards that are or will be endorsed by the EU. These amendments will become effective for the reporting period beginning on or after 1 January 2024. ABN AMRO does not early adopt these amendments. The standards amended are: \u2022 IAS 1 Classification of liabilities as current or non-current; \u2022 IFRS 16 Lease liability in a sale and lease back; \u2022 IAS 7 and IFRS 7 Supplier finance arrangements; and \u2022 IAS 21 Lack of exchangeability.The expected impact of these changes on the consolidated financial statements is insignificant.",
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"language": "en",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-175-8": {
"value": "1 Accounting policiesChanges in accounting policiesIFRS 17 \u2013 Insurance ContractsAs from 1 January 2023, ABN AMRO has adopted IFRS 17 Insurance Contracts. IFRS 17 replaces IFRS 4 and includes comprehensive new requirements for the recognition and measurement, presentation and disclosure of insurance contracts. 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.ABN AMRO has completed the assessment of the impacts of adopting IFRS 17. ABN AMRO offers a limited number of banking products with significant embedded insurance risk. None of these products were materially impacted, except for equity release mortgages and consumer loans with a death waiver.Prior to the application of IFRS 17, ABN AMRO unbundled the loan component from the insurance contract for equity release mortgages, which was permitted in accordance with IFRS 4. The loan component was measured at amortised cost in accordance with IFRS 9, while the insurance component, the No Negative Equity Guarantee (NNEG), was measured as an insurance contract in accordance with IFRS 4.Following the application of IFRS 17, unbundling of the loan component from the insurance contract is no longer permitted. For these type of loan contracts, the issuer of such loans can opt to apply either IFRS 9 or IFRS 17. 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 mortgages, these loans in their entirety, i.e. including the NNEG feature, do not meet the SPPI criterion. They are therefore measured in their entirety at fair value through profit or loss as of 1 January 2023.The impact on the opening equity is a negative of EUR 164 million in respect of equity release mortgages. This is the result of the reclassification of equity release mortgages from residential mortgages - at a value of EUR 792 million - to consumer loans at fair value through profit or loss - at a fair value of EUR 628 million - as at 1 January 2023.ABN AMRO has consumer loans with death waivers in its subsidiary ALFAM. These loans have been analysed and it was concluded that the amortised cost value is not significantly different from the fair value. Therefore, there was no impact on the opening equity balance. An amount of EUR 323 million was reclassified from consumer loans at amortised cost to consumer loans at fair value through profit or loss.ABN AMRO choses not to restate prior periods in line with the transitional provisions of IFRS 9 as amended by IFRS 17. As a result, the comparative figures have not been adjusted and the impact is recognised in the opening balance at 1 January 2023.Amendments to existing standardsBesides IFRS 17, the International Accounting Standards Board issued several amendments to existing standards that are endorsed by the EU. These changes became effective for the reporting period beginning on 1 January 2023. The standards amended are: \u2022 IAS 1 Disclosure of accounting policies; \u2022 IAS 8 Definition of accounting estimate; \u2022 IAS 12 Deferred Tax related to Assets and Liabilities arising from a Single Transaction; \u2022 IAS 12 Income taxes: International Tax Reform \u2013 Pillar Two Model Rules.The impact of these amendments on the consolidated financial statements are insignificant, except for the impact of the International Tax Reform. The IAS 12 amendments relate to the introduction of a temporary exception and targeted disclosure requirement, in response to the International Tax Reform from the Organisation for Economic Co-operation and Development (OECD). The Pillar Two EU legislation aims to ensure a minimum tax of 15% is paid on profits globally. Given that this does not materially impact ABN AMRO, we will not disclose the impact on the current tax expense, if any. Furthermore, ABN AMRO applied the exemption related to the recognition and disclosure of deferred tax liabilities in accordance with Pillar Two EU legislation in 2023. For more details see note 11.New standards, amendments and interpretations not yet effectiveThe International Accounting Standards Board issued the following amendments to existing standards that are or will be endorsed by the EU. These amendments will become effective for the reporting period beginning on or after 1 January 2024. ABN AMRO does not early adopt these amendments. The standards amended are: \u2022 IAS 1 Classification of liabilities as current or non-current; \u2022 IFRS 16 Lease liability in a sale and lease back; \u2022 IAS 7 and IFRS 7 Supplier finance arrangements; and \u2022 IAS 21 Lack of exchangeability.The expected impact of these changes on the consolidated financial statements is insignificant.",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-175-9": {
"value": "1 Accounting policiesFinancial assets and liabilitiesGovernment grantsGovernment 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.27 Due to banksAccounting policy for due to banks and due to customersAmounts 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.(in millions) 31 December 2023 31 December 2022Current accounts1,168 1,977Demand deposits1 1Time deposits3,731 14,895Cash collateral on securities lent451 625Other10Total due to banks 5,352 17,509On 28 June 2023, ABN AMRO partially repaid the TLTRO III funding for the amount of EUR 11.0 billion. On 31 December 2023, an amount of EUR 3.0 billion was outstanding, which matures in June 2024.",
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-175-10": {
"value": "1 Accounting policiesMaterial accounting policiesBasis of consolidationThe 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.",
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"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-175-15": {
"value": "1 Accounting policiesForeign currencyABN 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 amounts are transferred to the income statement when the bank loses control, joint control or significant influence over the foreign operation.",
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-175-16": {
"value": "1 Accounting policiesFinancial assets and liabilitiesClassification and measurement of financial assetsReclassifications 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.Classification and measurement of financial liabilitiesFinancial liabilities are never reclassified after initial recognition.",
"dimensions": {
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-175-17": {
"value": "1 Accounting policiesFinancial assets and liabilitiesRecognition and derecognitionTraded 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 gain or 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 costAccounting policy derecognition of financial assetsThe 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.",
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-175-18": {
"value": "1 Accounting policiesFinancial assets and liabilitiesStatement of cash flowsFor the purposes of the statement of cash flows, cash and cash equivalents comprise cash in hand, freely available balances with central banks and other banks, and net balances on current accounts with other banks with a maturity of less than three months 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 application of these cash and cash equivalents over the course of the year. The cash flows are categorised 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": {
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-175-19": {
"value": "1 Accounting policiesFinancial assets and liabilitiesStatement of cash flowsFor the purposes of the statement of cash flows, cash and cash equivalents comprise cash in hand, freely available balances with central banks and other banks, and net balances on current accounts with other banks with a maturity of less than three months 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 application of these cash and cash equivalents over the course of the year. The cash flows are categorised 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.13 Cash and balances at central banksAccounting policy for cash and balances at central banksCash 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.",
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"pp-value-177-2": {
"value": "Corporate informationThe Consolidated Annual Financial Statements of ABN AMRO Bank for the year ended 31 December 2023 incorporate financial information of ABN AMRO Bank N.V., as well as that of the bank's controlled entities, interests in associates andjoint ventures. The Annual Financial Statements were prepared by the Executive Board and authorised for issue by the Supervisory Board and Executive Board on 12 March 2024.Authorisation of the Consolidated Annual Financial Statements12 March 2024Supervisory BoardT. (Tom) de Swaan, Chair A.C. (Arjen) Dorland, Vice-Chair L.J. (Laetitia) Griffith M.P. (Michiel) Lap S.A.C. (Sarah) Russell M.L. (Mariken) Tannemaat F. (Femke) de VriesExecutive BoardRobert Swaak, Chief Executive Officer and Chair Dan Dorner, Chief Commercial Officer - Corporate Banking and Vice-Chair Tanja Cuppen, Chief Risk Officer Ferdinand Vaandrager, Chief Financial Officer Carsten Bittner, Chief Innovation and Technology Officer Annerie Vreugdenhil, Chief Commercial Officer - Personal & Business Banking Choy van der Hooft-Cheong, Chief Commercial Officer - Wealth Management Ton van Nimwegen, Chief Operations Officer",
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"f127953": {
"value": "ABN AMRO Bank N.V.",
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"f127974": {
"value": " the Netherlands and abroad",
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"value": "public limited liability company",
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"f128000": {
"value": " the Netherlands",
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"f128001": {
"value": " the Netherlands",
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"f128007": {
"value": "Gustav Mahlerlaan 10, 1082 PP Amsterdam, the Netherlands",
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"f128102": {
"value": "ABN AMRO provides a broad range of financial services to retail, private and corporate banking clients.",
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"pp-value-223-3": {
"value": "Government grantsGovernment 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": {
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"pp-value-219-1": {
"value": "2 Segment reportingAccounting policy for segment reportingABN AMRO\u2019s segment reporting is in accordance with IFRS 8 Operating Segments and consistent with the internal reporting provided to its 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 (NII) because management relies primarily on net, rather than gross, interest income and expenses as a performance measure.Personal & Business BankingThis client unit serves consumer and business clients with banking and partner offerings, providing the convenience of digital interactions alongside access to expertise when it matters most.Wealth ManagementThe 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 BankingThis 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 FunctionsGroup 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 20232023Personal & Wealth (in millions)Business BankingManagement Corporate Banking Group Functions TotalIncomeNet interest income3,251 974 2,211 -158 6,278Net fee and commission income555 588 667 -29 1,782Net income from other operating activities90 26 252 9 378Net trading income-2 215 213Share of result in equity-accounted investments13 11 30 -12 41Net gains/(losses) on derecognition of financial assets measured at amortised cost 47 1 -7 -116 -75Operating income 3,955 1,601 3,368 -306 8,618ExpensesPersonnel expenses472 411 582 1,027 2,492General and administrative expenses574 203 416 1,297 2,490Depreciation, amortisation and impairment losses of tangible and intangible assets 4 99 29 119 251Intersegment revenues/expenses1,448 365 615 -2,428Operating expenses 2,498 1,079 1,642 15 5,233Impairment charges on financial instruments-81 -8 -70 1 -158Total expenses 2,416 1,071 1,572 16 5,074Profit/(loss) before taxation1,538 530 1,796 -321 3,544Income tax expense391 157 345 -45 847Profit/(loss) 1,148 374 1,451 -276 2,697Attributable to:Owners of the parent company 1,148 374 1,451 -276 2,697Segment income statement for the year 20222022Personal & Wealth Corporate Group (in millions)Business BankingManagementBankingFunctions TotalIncomeNet interest income 2,707 764 2,112 -161 5,422Net fee and commission income526 595 682 -25 1,778Net income from other operating activities78 99 117 -44 249Net trading income10 272 282Share of result in equity-accounted investments 13 19 75 1 107Net gains/ (losses) on derecognition of financial assets measured at amortised cost -12 14 1Operating income 3,334 1,477 3,246 -216 7,841ExpensesPersonnel expenses463 390 600 1,004 2,458General and administrative expenses660 208 461 1,466 2,796Depreciation, amortisation and impairment losses of tangible and intangible assets 6 28 10 128 172Intersegment revenues/expenses 1,529 381 679 -2,588Operating expenses 2,658 1,007 1,750 11 5,425Impairment charges on financial instruments73 29 -68 5 39Total expenses 2,731 1,036 1,682 15 5,464Profit/(loss) before taxation 603 440 1,564 -231 2,376Income tax expense 144 93 365 -93 509Profit/(loss) 459 347 1,199 -138 1,867Attributable to:Owners of the parent company 459 347 1,199 -138 1,868For the explanation and further details of large incidentals used in the section below, please refer to Our financial performance section in the Strategy, value creation & performance chapter.Total bankNet interest income increased by EUR 856 million to EUR 6,278 million in 2023, compared with EUR 5,422 million in 2022. Excluding large incidentals, net interest income increased by EUR 979 million, mainly due to higher interest margins on deposits. This was partly offset by asset margin pressure, mainly in residential mortgages (while average volumes increased) and consumer loans, and lower Treasury results.Net fee and commission income was flat at EUR 1,782 million in 2023 (EUR 1,778 million in 2022). The marginal increase in fee income compared with 2022 was mainly due to improved payment services fees driven by higher credit card usage and increased package pricing at P&BB. This was offset by a decrease in Corporate Banking, partially due to lower income from corporate finance fees.Net income from other operating activities amounted to EUR 378 million in 2023 (2022: EUR 249 million), mainly due to positive equity stake revaluations, fair value revaluations (due to first-time adoption of IFRS 17 \"Insurance contracts\"), followed by large incidentals and volatiles at ALM.Net trading income decreased by EUR 69 million to EUR 213 million, mainly due to lower CVA/DVA/FVA results (negative EUR 8 million in 2023 versus EUR 60 million in 2022).Share of result in equity-accounted investments decreased by EUR 66 million in 2023, mainly due to the transaction gain on the divestment of the MP Solar stake in 2022.Net losses on derecognition of financial assets amounted to EUR 75 million in 2023 (2022: EUR 1 million gain) and relate to several smaller portfolio sales.Personnel expenses increased by EUR 34 million to total EUR 2,492 million in 2023 (2022: EUR 2,458 million). Excluding large incidentals, these expenses increased by EUR 68 million, mainly due to salary increases as part of the collective labour agreement (CLA), in combination with an increase in internal FTEs, especially in H2 2023, related mainly to regulatory activities and strategy execution (including IT).General and administrative expenses decreased by EUR 306 million to EUR 2,490 million in 2023 (EUR 2,796 million in 2022). Excluding large incidentals, general and administrative expenses decreased mainly due to lower regulatory levies and lower expenses from external staffing.Depreciation and amortisation increased by EUR 80 million in 2023, mainly due to goodwill impairments in Wealth Management and Corporate Banking.Impairment charges recorded a release of EUR 158 million for 2023 (2022: additions of EUR 39 million), resulting in a cost of risk of -5bps in 2023, compared to 3bps in 2022. Releases were attributable to a reduction of management overlays, which was partly offset by new and existing individually provisioned files.There was no revenue from transactions with a single external client or counterparty exceeding 10% of the bank\u2019s total revenue in 2023 or 2022.Personal & Business BankingNet interest income increased to EUR 3,251 million (2022: EUR 2,707 million). Excluding large incidentals, net interest income increased mainly due to improved deposit interest margins.Net fee and commission income rose to EUR 555 million (2022: EUR 526 million), largely due to higher fee income from credit card services at ICS and higher package pricing at Business Banking.Net income from other operating activities was EUR 90 million in 2023 (2022: EUR 78 million), excluding gains on smaller sales in both years. The increase was mainly due to fair value revaluations as a result of the first-time adoption of IFRS 17 \"Insurance contracts\" this year.Net gains on derecognition of financial assets came out at EUR 47 million in 2023 (2022: EUR 0 million). The figure for 2023 includes a gain on a small portfolio disposal.Personnel expenses amounted to EUR 472 million in 2023 (2022: EUR 463 million), mainly due to the impact of CLA salary increases.General and administrative expenses decreased by EUR 86 million, totalling EUR 574 million, in 2023. Excluding incidentals, the decrease was mainly due to lower regulatory levies and lower expenses for external staff.Impairment charges recorded a release of EUR 81 million in 2023 (2022: charge of EUR 73 million), reflecting mainly model-based releases.Wealth ManagementNet interest income increased by EUR 210 million and amounted to EUR 974 million in 2023. This increase was mainly attributable to improved margins on deposits due to rising interest rates.Net fee and commission income amounted to EUR 588 million in 2023 (2022: EUR 595 million). As most of this client unit's market performance materialised in Q4, assets under management were lower year-on-year in the majority of the year, leading to a drop in fee and commission income.Net income from other operating activities totalled EUR 26 million in 2023 (2022: EUR 99 million), mainly due to results from the sale of ABN AMRO Pensioeninstelling last year.Personnel expenses increased by EUR 21 million and amounted to EUR 411 million in 2023, mainly due to the impact of the CLA salary increases and small staff-related provision additions, while 2022 showed staff-related provision releases.General and administrative expenses decreased slightly by EUR 5 million to EUR 203 million in 2023, mainly due to provision releases related to divestments in previous years.Depreciation and amortisation amounted to EUR 99 million in 2023 (2022: EUR 28 million), mainly due to goodwill impairments in Germany and, to a lesser extent, France.Impairment charges recorded a release of EUR 8 million in 2023 (2022: a charge of EUR 29 million), reflecting mainly stage 1 and 2 releases.Corporate BankingNet interest income increased to EUR 2,211 million in 2023 (2022: EUR 2,112 million), mainly due to higher margins on liabilities.Net fee and commission income recorded a decrease of EUR 14 million in 2023, amongst others due to lower income from corporate finance fees, partly offset by one-off fee income in the CB non-core portfolio in H1.Net income from other operating activities was EUR 252 million in 2023 (2022: EUR 117 million), mainly reflecting positive equity stake revaluations and higher results at Global Markets.Share of result in equity-accounted investments decreased by EUR 45 million in 2023, mainly due to the gain on the divestment of the MP Solar stake in 2022.Net trading income decreased by EUR 57 million to EUR 215 million, mainly due to lower CVA/DVA/FVA results (negative EUR 8 million in 2023 versus EUR 60 million in 2022).Net losses on derecognition of financial assets came out at EUR 7 million in 2023 (2022: EUR 12 million), mainly due to loan disposals as part of the wind-down of the CB non-core portfolio.Personnel expenses amounted to EUR 582 million in 2023, a decrease compared to EUR 600 million in 2022. The impact of CLA salary increases was more than mitigated by the non-core wind down.General and administrative expenses decreased by EUR 45 million to EUR 416 million in 2023, mainly due to lower regulatory levies and expenses for external staff.Depreciation and amortisation amounted to EUR 29 million 2023 (2022: EUR 10 million), mainly due to goodwill impairments.Impairment charges recorded a net release of EUR 70 million in 2023 (2022: EUR 68 million release), mainly due to stage 1 and 2 releases, as the geopolitical overlays were lowered.Group FunctionsNet interest income flat at EUR 158 million negative in 2023 (2022: EUR 161 million negative).Net fee and commission income totalled EUR 29 million negative in 2023 (2022: EUR 25 million negative).Net income from other operating activities amounted to EUR 9 million in 2023 (2022: negative EUR 44 million) mainly due to large incidentals in 2022 (loss due to the change in the TLTRO III terms and conditions) and volatile items in both years.Net losses on derecognition of financial assets came out at EUR 116 million in 2023 (2022: EUR 14 million gain) and relate to several smaller portfolio sales.Personnel expenses increased by EUR 23 million to EUR 1,027 million in 2023, mainly due to an increase in internal FTEs combined with CLA salary increases.General and administrative expenses decreased by EUR 169 million to EUR 1,297 million in 2023 (2022: EUR 1,466 million). Excluding large items, expenses decreased mainly due to lower external staffing costs.Selected assets and liabilities per segment31 December 2023Personal & Wealth Corporate Group (in millions)Business BankingManagementBankingFunctions TotalAssetsFinancial assets held for trading 1,371 1,371Derivatives 4,042 360 4,403Securities financing 8,042 13,461 21,503Residential mortgages 144,968 5,912 -6,005 144,875Consumer loans 3,752 4,630 499 8,881Corporate loans 8,132 5,985 70,960 609 85,685Other loans and advances customers52 86,285149 6,494Other 1,974 3,854 8,354 90,515 104,698Total assets 158,878 20,389 99,552 99,089 377,909LiabilitiesFinancial liabilities held for trading 917 917Derivatives 7 7 2,415 427 2,856Securities financing 185 11,525 11,710Current accounts 41,516 16,785 41,573 73 99,948Demand deposits 74,558 22,411 3,974 100,943Time deposits 8,239 27,049 10,719 5,722 51,728Other due to customers 96 1,711 40 1,846Other 34,462 -45,863 38,058 57,135 83,792Total liabilities 158,878 20,389 99,552 74,921 353,74131 December 2022Personal & Wealth Corporate Group (in millions)Business BankingManagementBankingFunctions TotalAssetsFinancial assets held for trading 1 907 907Derivatives 1 4,836 375 5,212Securities financing 6,545 13,487 20,032Residential mortgages 144,537 6,072 -9,489 141,121Consumer loans 4,588 4,725 642 9,955Corporate loans 8,617 6,172 69,751 820 85,360Other loans and advances customers 40 11 7,316 124 7,491Other 1,687 1,873 11,071 94,872 109,503Total assets 159,469 18,856 101,068 100,189 379,581LiabilitiesFinancial liabilities held for trading 641 641Derivatives 8 15 3,664 461 4,148Securities financing 47 9,605 9,652Current accounts 47,828 25,534 48,104 565 122,030Demand deposits 69,065 28,549 2,782 100,397Time deposits 5,902 10,473 7,310 6,411 30,096Other due to customers 123 2,367 2 2,491Other 36,543 -45,715 36,153 60,330 87,311Total liabilities 159,469 18,856 101,068 77,375 356,767Geographical segments2023The Rest of Rest of (in millions)NetherlandsEurope USA Asiathe world TotalIncomeNet interest income 5,705 396 88 57 32 6,278Net fee and commission income 1,226 327 137 85 7 1,782Net income from other operating activities 319 51 6 2 378Net trading income 225 -11 213Share of result in equity-accounted investments30 11 41Net gains/ (losses) on derecognition of financial assets mea-sured at amortised cost-29 -47 1 -75Operating income 7,475 785 185 143 31 8,618ExpensesPersonnel expenses2,010 363 77 28 14 2,492General and administrative expenses 2,266 172 31 12 9 2,490Depreciation and amortisation of tangible and intangible assets132 113 2 3 1 251Intersegment revenues/expenses 18 -11 1 5 -14Operating expenses 4,426 637 111 48 11 5,233Impairment charges on financial instruments -59 -18 -81 -158Total expenses 4,367 618 30 48 11 5,074Profit/(loss) before taxation 3,108 167 155 94 20 3,544Income tax expense 818 65 -52 10 6 847Profit/(loss) 2,290 101 207 85 14 2,697Attributable to:Owners of the parent company 2,290 101 207 85 14 2,6972022The Rest of Rest of (in millions)NetherlandsEurope USA Asiathe world TotalIncomeNet interest income 4,943 335 75 38 31 5,422Net fee and commission income 1,223 349 108 92 7 1,778Net income from other operating activities 177 38 10 6 19 249Net trading income312 -2 -28 282Share of result in equity-accounted investments 88 19 107Net gains/ (losses) on derecognition of financial assets measured at amortised cost-10 -4 14 1 1Operating income 6,732 741 187 151 30 7,841ExpensesPersonnel expenses 1,967 333 95 45 17 2,458General and administrative expenses 2,554 182 33 17 10 2,796Depreciation and amortisation of tangible and intangible assets 144 31 -2 -2 1 172Intersegment revenues/expenses 35 -30 1 8 -14Operating expenses 4,700 516 127 69 14 5,425Impairment charges on financial instruments 76 12 -42 -7 -1 39Total expenses 4,776 528 85 62 14 5,464Profit/(loss) before taxation 1,957 213 102 89 16 2,376Income tax expense 424 40 29 12 4 509Profit/(loss) 1,533 173 73 77 12 1,867Attributable to:Owners of the parent company 1,533 173 73 77 12 1,868",
"dimensions": {
"concept": "ifrs-full:DisclosureOfEntitysReportableSegmentsExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-219-3": {
"value": "2 Segment reportingAccounting policy for segment reportingABN AMRO\u2019s segment reporting is in accordance with IFRS 8 Operating Segments and consistent with the internal reporting provided to its 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 (NII) because management relies primarily on net, rather than gross, interest income and expenses as a performance measure.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForSegmentReportingExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-233-2": {
"value": "4 Net interest incomeAccounting policy for net interest incomeInterest income and expenses on financial instruments are recognised in the income statement on an accrual basis using the effective interest rate method, except where financial instruments are 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 with 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 expenses on trading balances are 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.(in millions) 2023 2022Interest income calculated using the effective interest method 15,849 7,698Other interest and similar income334 236Interest income 16,183 7,934Interest expense calculated using the effective interest method9,812 2,455Other interest and similar expense92 57Interest expense 9,904 2,512Net interest income 6,278 5,422Interest income(in millions) 2023 2022Interest income from:Financial investments at fair value through other comprehensive income 657 525Securities financing1,417 454Loans and advances banks 2,350 388Loans and advances customers 8,822 6,308Non-trading derivatives - hedge accounting - Cash flow hedges 267 322Non-trading derivatives - hedge accounting - Fair value hedges2,078 -897Other258 598Interest income calculated using the effective interest method 15,849 7,698Financial assets at fair value through profit or loss 46 2Non-trading derivatives - no hedge accounting 83 78Other 205 156Other interest and similar income 334 236Total interest income 16,183 7,934Interest expense(in millions) 2023 2022Interest expenses from:Securities financing 961 262Due to banks 524 119Due to customers 4,043 833Issued debt1,871 932Subordinated liabilities282 337Non-trading derivatives - hedge accounting - Cash flow hedges 1,343 472Non-trading derivatives - hedge accounting - Fair value hedges 1,137 -498Other -348 -2Interest expense calculated using the effective interest method 9,812 2,455Financial liabilities at fair value through profit or loss9 13Non-trading derivatives - no hedge accounting 58 22Other 24 22Other interest and similar expense 92 57Total interest expense 9,904 2,512",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInterestIncomeExpenseExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-233-3": {
"value": "4 Net interest incomeAccounting policy for net interest incomeInterest income and expenses on financial instruments are recognised in the income statement on an accrual basis using the effective interest rate method, except where financial instruments are 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 with 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 expenses on trading balances are 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.(in millions) 2023 2022Interest income calculated using the effective interest method 15,849 7,698Other interest and similar income334 236Interest income 16,183 7,934Interest expense calculated using the effective interest method9,812 2,455Other interest and similar expense92 57Interest expense 9,904 2,512Net interest income 6,278 5,422Interest income(in millions) 2023 2022Interest income from:Financial investments at fair value through other comprehensive income 657 525Securities financing1,417 454Loans and advances banks 2,350 388Loans and advances customers 8,822 6,308Non-trading derivatives - hedge accounting - Cash flow hedges 267 322Non-trading derivatives - hedge accounting - Fair value hedges2,078 -897Other258 598Interest income calculated using the effective interest method 15,849 7,698Financial assets at fair value through profit or loss 46 2Non-trading derivatives - no hedge accounting 83 78Other 205 156Other interest and similar income 334 236Total interest income 16,183 7,934",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInterestIncomeExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-233-4": {
"value": "4 Net interest incomeAccounting policy for net interest incomeInterest income and expenses on financial instruments are recognised in the income statement on an accrual basis using the effective interest rate method, except where financial instruments are 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 with 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 expenses on trading balances are 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.(in millions) 2023 2022Interest income calculated using the effective interest method 15,849 7,698Other interest and similar income334 236Interest income 16,183 7,934Interest expense calculated using the effective interest method9,812 2,455Other interest and similar expense92 57Interest expense 9,904 2,512Net interest income 6,278 5,422Interest expense(in millions) 2023 2022Interest expenses from:Securities financing 961 262Due to banks 524 119Due to customers 4,043 833Issued debt1,871 932Subordinated liabilities282 337Non-trading derivatives - hedge accounting - Cash flow hedges 1,343 472Non-trading derivatives - hedge accounting - Fair value hedges 1,137 -498Other -348 -2Interest expense calculated using the effective interest method 9,812 2,455Financial liabilities at fair value through profit or loss9 13Non-trading derivatives - no hedge accounting 58 22Other 24 22Other interest and similar expense 92 57Total interest expense 9,904 2,512",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInterestExpenseExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-233-5": {
"value": "4 Net interest incomeAccounting policy for net interest incomeInterest income and expenses on financial instruments are recognised in the income statement on an accrual basis using the effective interest rate method, except where financial instruments are 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 with 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 expenses on trading balances are 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.(in millions) 2023 2022Interest income calculated using the effective interest method 15,849 7,698Other interest and similar income334 236Interest income 16,183 7,934Interest expense calculated using the effective interest method9,812 2,455Other interest and similar expense92 57Interest expense 9,904 2,512Net interest income 6,278 5,422Interest income(in millions) 2023 2022Interest income from:Financial investments at fair value through other comprehensive income 657 525Securities financing1,417 454Loans and advances banks 2,350 388Loans and advances customers 8,822 6,308Non-trading derivatives - hedge accounting - Cash flow hedges 267 322Non-trading derivatives - hedge accounting - Fair value hedges2,078 -897Other258 598Interest income calculated using the effective interest method 15,849 7,698Financial assets at fair value through profit or loss 46 2Non-trading derivatives - no hedge accounting 83 78Other 205 156Other interest and similar income 334 236Total interest income 16,183 7,9345 Net fee and commission incomeAccounting policy for net fee and commission incomeABN 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 the consideration due, if payment extends beyond normal credit terms.Revenue is recognised when a promised service is transferred to the client. Fees and commission income are recognised either:\u2022 At a certain point in time: the fee is a reward for a service provided at a moment in time; or\u2022 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 acts as an agent of another party if its service entails transferring goods or services to a client on behalf of that other party and, as a result, the bank 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 as revenue 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 as revenue the amount of the fee or commission to which it expects to be entitled in exchange for transferring the specified goods or services 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 provided by that party.(in millions) 2023 2022Fee and commission income 2,281 2,271Fee and commission expense 498 493Net fee and commission income1,782 1,778Fee and commission income2023Personal & Wealth Corporate Group (in millions)Business BankingManagementBankingFunctions TotalFee and commission income from:Securities and custodian services 13 58 525 3 599Payment services 594 34 155 783Portfolio management and trust fees46 518 4 567Guarantees and commitment fees24 6 87 1 118Insurance and investment fees 37 40 76Other service fees 37 14 86 137Total fee and commission income 750 670 857 4 2,281Timing fee and commission incomeRecognised at a point in time 350 342 794 3 1,489Recognised over time 401 328 63 1 792Total fee and commission income 750 670 857 4 2,2812022Personal & Wealth Corporate Group (in millions)Business BankingManagementBankingFunctions TotalFee and commission income from:Securities and custodian services 15 58 541 2 617Payment services 545 33 160 738Portfolio management and trust fees 47 531 4 581Guarantees and commitment fees35 6 67 1 109Insurance and investment fees 36 41 77Other service fees 34 17 99 150Total fee and commission income 711 686 871 3 2,271Timing fee and commision incomeRecognised at a point in time 343 375 835 3 1,555Recognised over time 369 311 36 1 716Total fee and commission income 711 686 871 3 2,271",
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
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"pp-value-233-8": {
"value": "4 Net interest incomeAccounting policy for net interest incomeInterest income and expenses on financial instruments are recognised in the income statement on an accrual basis using the effective interest rate method, except where financial instruments are 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 with 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 expenses on trading balances are 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-233-9": {
"value": "4 Net interest incomeAccounting policy for net interest incomeInterest income and expenses on financial instruments are recognised in the income statement on an accrual basis using the effective interest rate method, except where financial instruments are 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 with 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 expenses on trading balances are 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 incomeAccounting policy for net fee and commission incomeABN 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 the consideration due, if payment extends beyond normal credit terms.Revenue is recognised when a promised service is transferred to the client. Fees and commission income are recognised either:\u2022 At a certain point in time: the fee is a reward for a service provided at a moment in time; or\u2022 Over time (amortised): the fee relates to services on an ongoing basis.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForRecognitionOfRevenue",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-237-2": {
"value": "5 Net fee and commission incomeAccounting policy for net fee and commission incomeABN 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 the consideration due, if payment extends beyond normal credit terms.Revenue is recognised when a promised service is transferred to the client. Fees and commission income are recognised either:\u2022 At a certain point in time: the fee is a reward for a service provided at a moment in time; or\u2022 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 acts as an agent of another party if its service entails transferring goods or services to a client on behalf of that other party and, as a result, the bank 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 as revenue 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 as revenue the amount of the fee or commission to which it expects to be entitled in exchange for transferring the specified goods or services 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 provided by that party.(in millions) 2023 2022Fee and commission income 2,281 2,271Fee and commission expense 498 493Net fee and commission income1,782 1,778Fee and commission income2023Personal & Wealth Corporate Group (in millions)Business BankingManagementBankingFunctions TotalFee and commission income from:Securities and custodian services 13 58 525 3 599Payment services 594 34 155 783Portfolio management and trust fees46 518 4 567Guarantees and commitment fees24 6 87 1 118Insurance and investment fees 37 40 76Other service fees 37 14 86 137Total fee and commission income 750 670 857 4 2,281Timing fee and commission incomeRecognised at a point in time 350 342 794 3 1,489Recognised over time 401 328 63 1 792Total fee and commission income 750 670 857 4 2,2812022Personal & Wealth Corporate Group (in millions)Business BankingManagementBankingFunctions TotalFee and commission income from:Securities and custodian services 15 58 541 2 617Payment services 545 33 160 738Portfolio management and trust fees 47 531 4 581Guarantees and commitment fees35 6 67 1 109Insurance and investment fees 36 41 77Other service fees 34 17 99 150Total fee and commission income 711 686 871 3 2,271Timing fee and commision incomeRecognised at a point in time 343 375 835 3 1,555Recognised over time 369 311 36 1 716Total fee and commission income 711 686 871 3 2,271Fee and commission expense(in millions) 2023 2022Fee and commission expenses from:Securities and custodian services 139 156Payment services 216 200Portfolio management and trust fees 60 67Guarantees and commitment fees 42 28Insurance and investment fees 21 24Other service fees 20 18Total fee and commission expense 498 493",
"dimensions": {
"concept": "ifrs-full:DisclosureOfFeeAndCommissionIncomeExpenseExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-237-3": {
"value": "5 Net fee and commission incomeAccounting policy for net fee and commission incomeABN 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 the consideration due, if payment extends beyond normal credit terms.Revenue is recognised when a promised service is transferred to the client. Fees and commission income are recognised either:\u2022 At a certain point in time: the fee is a reward for a service provided at a moment in time; or\u2022 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 acts as an agent of another party if its service entails transferring goods or services to a client on behalf of that other party and, as a result, the bank 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 as revenue 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 as revenue the amount of the fee or commission to which it expects to be entitled in exchange for transferring the specified goods or services 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 provided by that party.(in millions) 2023 2022Fee and commission income 2,281 2,271Fee and commission expense 498 493Net fee and commission income1,782 1,778Fee and commission income2023Personal & Wealth Corporate Group (in millions)Business BankingManagementBankingFunctions TotalFee and commission income from:Securities and custodian services 13 58 525 3 599Payment services 594 34 155 783Portfolio management and trust fees46 518 4 567Guarantees and commitment fees24 6 87 1 118Insurance and investment fees 37 40 76Other service fees 37 14 86 137Total fee and commission income 750 670 857 4 2,281Timing fee and commission incomeRecognised at a point in time 350 342 794 3 1,489Recognised over time 401 328 63 1 792Total fee and commission income 750 670 857 4 2,2812022Personal & Wealth Corporate Group (in millions)Business BankingManagementBankingFunctions TotalFee and commission income from:Securities and custodian services 15 58 541 2 617Payment services 545 33 160 738Portfolio management and trust fees 47 531 4 581Guarantees and commitment fees35 6 67 1 109Insurance and investment fees 36 41 77Other service fees 34 17 99 150Total fee and commission income 711 686 871 3 2,271Timing fee and commision incomeRecognised at a point in time 343 375 835 3 1,555Recognised over time 369 311 36 1 716Total fee and commission income 711 686 871 3 2,271",
"dimensions": {
"concept": "ifrs-full:DisclosureOfRevenueFromContractsWithCustomersExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-237-6": {
"value": "5 Net fee and commission incomeAccounting policy for net fee and commission incomeABN 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 the consideration due, if payment extends beyond normal credit terms.Revenue is recognised when a promised service is transferred to the client. Fees and commission income are recognised either:\u2022 At a certain point in time: the fee is a reward for a service provided at a moment in time; or\u2022 Over time (amortised): the fee relates to services on an ongoing basis.",
"dimensions": {
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-241-1": {
"value": "6 Net income from other operating activitiesAccounting policy for other operating incomeOther 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) 2023 2022Income from lease activities 133 152Disposal of operating activities and equity-accounted investments 33 147Result from financial transactions 258 7Other 59 69Income from other operating activities483 375(in millions) 2023 2022Expenses from lease activities 106 125Expenses from other operating activities 106 125",
"dimensions": {
"concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExpenseExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-241-2": {
"value": "6 Net income from other operating activitiesAccounting policy for other operating incomeOther 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) 2023 2022Income from lease activities 133 152Disposal of operating activities and equity-accounted investments 33 147Result from financial transactions 258 7Other 59 69Income from other operating activities483 375",
"dimensions": {
"concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-241-3": {
"value": "6 Net income from other operating activitiesAccounting policy for other operating incomeOther 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) 2023 2022Expenses from lease activities 106 125Expenses from other operating activities 106 125",
"dimensions": {
"concept": "ifrs-full:DisclosureOfOtherOperatingExpenseExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-241-4": {
"value": "6 Net income from other operating activitiesAccounting policy for other operating incomeOther 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) 2023 2022Income from lease activities 133 152Disposal of operating activities and equity-accounted investments 33 147Result from financial transactions 258 7Other 59 69Income from other operating activities483 375(in millions) 2023 2022Expenses from lease activities 106 125Expenses from other operating activities 106 12524 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assetsAt 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 leasesLessor accountingWhere ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where the bank transfers 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 accountingAll 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 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. Given that ABN AMRO cannot readily determine the interest rate implicit in the lease, it uses the incremental borrowing rate to measure lease liabilities.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 property and equipment, while the lease liabilities are included in other liabilities. Depreciation of the ROU assets is included in depreciation, while amortisation of tangible and intangible assets is included in the income statement, and interest expense on lease liabilities is included in other interest and similar expense.Sale and leaseback transactionsIn 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 accountingIf 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 constitutes 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 2023 31 December 2022Land and buildings held for own use225 191Leasehold improvements44 39Plant & equipment under operating lease338 427Equipment78 81Right of use assets285 241Other9 10Total property and equipment 978 988The right of use assets consist primarily of real estate.2023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 992022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108LeasesABN 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 the 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 2023 amounted to EUR 120 million (2022: EUR 110 million).The following table shows the maturity of lease liabilities for leases in which the bank acts as a lessee, as well as the future undiscounted minimum lease receipts under operating and financial leases where the bank acts as a lessor. It also reconciles the total future minimum lease receipts under financial leases and the net investment in the leases.31 December 2023More than More than Unearned Within 3 months but 1 year but More than finance Net investment (in millions)3 monthswithin 1 yearwithin 5 years5 years Totalincomein the leaseLease liabilities24 68 137 104 333 n/a n/aFuture minimum lease receipts under financial leases498 1,051 2,615 403 4,567 -398 4,169Future minimum lease receipts under operating leases 21 88 220 20 349 n/a n/a31 December 2022Lease liabilities22 66 224 52 364 n/a n/aFuture minimum lease receipts under financial leases 689 1,055 2,531 402 4,678 -281 4,396Future minimum lease receipts under operating leases 36 126 272 36 469 n/a n/aThe net investment in leased assets amounted to EUR 4,169 million (31 December 2022: EUR 4,396 million). The decrease was mainly attributable to interest rate developments, as these lead 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 regarding lease facilities. In addition, the more negative economic outlook and the decision to stop doing undisclosed vendor business have a negative impact on new volume development.In its capacity as lessor, ABN AMRO leases out various assets. Operating leases in which the bank acts as the lessor are included in Property and equipment \u2013 equipment. Financial leases in which the bank acts as the lessor are included in corporate loans under loans and advances customers. Income from leases in which ABN AMRO acts as the lessor is presented in the following table.(in millions) 2023 2022Income from financial leases160 133Income from operating leases133 152Total income from leases 294 285Income related to variable lease payments on financial leases amounted to EUR 1 million in 2023. There is 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 2023, the total income from subleasing ROU assets amounted to EUR 4 million.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfLeasesExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-244-2": {
"value": "7 Net trading incomeAccounting policy for net trading incomeIn 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 affect 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.(in millions) 2023 2022Interest instruments trading69 155Equity and commodity trading 1Foreign exchange transaction results 143 127Total net trading income 213 282",
"dimensions": {
"concept": "ifrs-full:DisclosureOfTradingIncomeExpenseExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-244-5": {
"value": "7 Net trading incomeAccounting policy for net trading incomeIn 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 affect 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.",
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"language": "en",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-248-1": {
"value": "9 Personnel expensesAccounting policy for personnel expensesSalaries 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) 2023 2022Salaries and wages1,832 1,810Social security charges 248 242Expenses relating to Defined post employment benefit plans 4 14Defined contribution plan expenses 337 321Other72 72Total personnel expenses 2,492 2,45831 Pension and other employee benefitsAccounting policy for pension and other employee benefitsABN 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 plansFor 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 plansFor 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:\u2022 service costs;\u2022 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\u2022 curtailments or plan amendments.Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments.RemeasurementRemeasurements 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 benefitsSome 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 that used for defined benefit pension plans. These obligations are calculated annually.Pension and other employee benefit plans in all countries comply with applicable local regulations concerning investments and minimum funding levels.Pension and other employee benefitsAmounts recognised in the income statement for pensions and other employee benefits2023 2022Defined post Other Defined post Other employment employee employment employee (in millions)benefitbenefits Totalbenefitbenefits TotalCurrent service cost 5 2 7 5 3 8Interest cost 8 2 9 2 2Interest income -5 -5 -1 -1Other 5 5 12 -4 8Total defined benefit expenses in actuarial report 7 9 15 18 -1 17Other expenses -3 -3 -4 -4Total defined benefit expenses 4 9 13 14 -1 12Defined contribution plans 337 337 321 321Total pension expenses and other post retirement employee benefits 340 9 349 334 -1 333Pension expenses for defined contribution plans consist mainly of ABN AMRO's cash contributions to the Dutch collective defined contribution plan.Dutch defined contribution planThe Dutch defined contribution plan is a collective defined contribution plan, based on an average salary plan. The target retirement age is 68 years. The contribution payable by pension fund participants is 5.5% (2022: 5.5%).In 2023 ABN AMRO's contribution to the Dutch defined contribution plan amounted to EUR 306 million (2022: EUR 288 million) and was included in the pension expenses.Reconciliation to the statement of financial position and other comprehensive income2023 2022Defined post Other Defined post Other employment employee employment employee (in millions)benefitbenefits Totalbenefitbenefits TotalPresent value of defined benefit obligations - funded with plan assets191 3 194 197 3 200Fair value of plan assets158 158 157 15733 3 36 40 3 43Present value of defined benefit obligations - unfunded37 131 168 30 125 155Net liabilities/(assets) balance sheet at 31 December 70 134 204 70 128 198- of which assets 6 6 5 5- of which liabilities 76 134 210 75 128 202Experience adjustments-6 -6 -4 -1 -4Remeasurements arising from changes in demographic assumptions DBO1 1 1 1Remeasurements arising from changes in financial assumptions DBO-8 -1 -9 36 4 40Remeasurements arising from changes in financial assumptions plan assets 5 5 -20 -20Remeasurements in other comprehensive income -8 -2 -10 13 3 16Change in defined benefit obligation (DBO)2023 2022Defined post Other Defined post Other employment employee employment employee (in millions)benefitbenefits Totalbenefitbenefits TotalDefined benefit obligation as at 1 January 227 128 355 266 137 404Current service cost 5 2 7 5 3 8Interest cost8 2 9 2 2Benefits paid in from employer-14 -4 -18 -9 -4 -13Remeasurements arising from changes in demographic assumptions-1 -1 -1 -1Experience adjustments 6 6 4 1 4Remeasurements arising from changes in financial assumptions 8 1 9 -36 -4 -40Other -9 5 -4 -5 -5 -10Defined benefit obligation as at 31 December228 134 362 227 128 355The net defined benefit liabilities/(assets) balance as at 31 December 2023 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 assets2023 2022Defined post Other Defined post Other employment employee employment employee (in millions)benefitbenefits Totalbenefitbenefits TotalFair value of plan assets as at 1 January 157 157 189 189Interest income5 5 1 1Return on plan assets excluding interest5 5 -20 -20Employer's contributions2 2Other-10 -10 -12 -12Fair value of plan assets as at 31 December 158 158 157 157Principal actuarial assumptions2023 2022Discount rate3.5% 3.4%Indexation rate2.3% 2.0%1Future salary increases2.2% 2.2%1 Salary increases in the Netherlands are not taken into consideration, because the Dutch pension plan is a defined contribution plan.These 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-248-2": {
"value": "9 Personnel expensesAccounting policy for personnel expensesSalaries 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) 2023 2022Salaries and wages1,832 1,810Social security charges 248 242Expenses relating to Defined post employment benefit plans 4 14Defined contribution plan expenses 337 321Other72 72Total personnel expenses 2,492 2,45810 General and administrative expensesAccounting policy for general and administrative expensesCosts are recognised in the period in which services have been provided and to which the payment relates.(in millions) 2023 2022Agency staff, contractors and consultancy costs 711 810Staff-related costs 59 52Information technology costs 969 974Housing 98 99Post, telephone and transport 30 28Marketing and public relations costs 89 92Regulatory charges 367 426Other 168 314Total general and administrative expenses 2,490 2,796(in millions) 2023 2022Bank tax 95 97Deposit Guarantee Scheme 96 93Single Resolution Fund 144 207Other regulatory levies 32 30Total regulatory charges 367 426Auditor's fees for EY's services 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) 2023 2022Financial statements audit fees 15 15Audit-related fees 2 2Total auditor's fee17 17Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 12 million in 2023 (2022: EUR 13 million). Audit-related fees for activities in the Netherlands amounted to EUR 2 million in 2023 (2022: EUR 2 million).Audit-related fees comprise services relating to regulatory reporting, 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 assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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.2023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 992022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108(in millions) 2023 2022Depreciation on tangible assetsLand and buildings held for own use16 24Leasehold improvements14 13Equipment40 42Right of use assets85 78Amortisation on intangible assetsPurchased software7 10Internally developed software3 2Other intangible assets4 7Impairment losses on tangible assetsLand and buildings held for own use (incl. held for sale)1 1Right of use assets1 -5Other1 1Impairment losses on intangible assetsGoodwill79Purchased softwareTotal depreciation, amortisation and impairment losses 251 172",
"dimensions": {
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-248-3": {
"value": "9 Personnel expensesAccounting policy for personnel expensesSalaries 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) 2023 2022Salaries and wages1,832 1,810Social security charges 248 242Expenses relating to Defined post employment benefit plans 4 14Defined contribution plan expenses 337 321Other72 72Total personnel expenses 2,492 2,45810 General and administrative expensesAccounting policy for general and administrative expensesCosts are recognised in the period in which services have been provided and to which the payment relates.(in millions) 2023 2022Agency staff, contractors and consultancy costs 711 810Staff-related costs 59 52Information technology costs 969 974Housing 98 99Post, telephone and transport 30 28Marketing and public relations costs 89 92Regulatory charges 367 426Other 168 314Total general and administrative expenses 2,490 2,796(in millions) 2023 2022Bank tax 95 97Deposit Guarantee Scheme 96 93Single Resolution Fund 144 207Other regulatory levies 32 30Total regulatory charges 367 426Auditor's fees for EY's services 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) 2023 2022Financial statements audit fees 15 15Audit-related fees 2 2Total auditor's fee17 17Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 12 million in 2023 (2022: EUR 13 million). Audit-related fees for activities in the Netherlands amounted to EUR 2 million in 2023 (2022: EUR 2 million).Audit-related fees comprise services relating to regulatory reporting, 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 assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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.2023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 992022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108(in millions) 2023 2022Depreciation on tangible assetsLand and buildings held for own use16 24Leasehold improvements14 13Equipment40 42Right of use assets85 78Amortisation on intangible assetsPurchased software7 10Internally developed software3 2Other intangible assets4 7Impairment losses on tangible assetsLand and buildings held for own use (incl. held for sale)1 1Right of use assets1 -5Other1 1Impairment losses on intangible assetsGoodwill79Purchased softwareTotal depreciation, amortisation and impairment losses 251 172",
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-248-5": {
"value": "9 Personnel expensesAccounting policy for personnel expensesSalaries 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 benefitsAccounting policy for pension and other employee benefitsABN 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 plansFor 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 plansFor 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:\u2022 service costs;\u2022 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\u2022 curtailments or plan amendments.Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments.RemeasurementRemeasurements 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 benefitsSome 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 that used for defined benefit pension plans. These obligations are calculated annually.Pension and other employee benefit plans in all countries comply with applicable local regulations concerning investments and minimum funding levels.37 Share-based paymentAccounting policy for share-based paymentIdentified staff as defined by CRD V are entitled to receive variable compensation, consisting 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.Variable compensation is granted for a certain performance year, at 50% in cash and 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, 30% of the share-based compensation settled in cash (depositary receipt) vests 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).Share-based compensation settled in cash granted for 2019 and the years before includes the option of requesting 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 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 of requesting 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 expenses. The fair value is determined using an internally developed model based on the share price and market expectations of future dividends.",
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-248-6": {
"value": "9 Personnel expensesAccounting policy for personnel expensesSalaries 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 expensesAccounting policy for general and administrative expensesCosts 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 assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
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"pp-value-250-3": {
"value": "10 General and administrative expensesAccounting policy for general and administrative expensesCosts are recognised in the period in which services have been provided and to which the payment relates.(in millions) 2023 2022Agency staff, contractors and consultancy costs 711 810Staff-related costs 59 52Information technology costs 969 974Housing 98 99Post, telephone and transport 30 28Marketing and public relations costs 89 92Regulatory charges 367 426Other 168 314Total general and administrative expenses 2,490 2,796(in millions) 2023 2022Bank tax 95 97Deposit Guarantee Scheme 96 93Single Resolution Fund 144 207Other regulatory levies 32 30Total regulatory charges 367 426Auditor's fees for EY's services 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) 2023 2022Financial statements audit fees 15 15Audit-related fees 2 2Total auditor's fee17 17Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 12 million in 2023 (2022: EUR 13 million). Audit-related fees for activities in the Netherlands amounted to EUR 2 million in 2023 (2022: EUR 2 million).Audit-related fees comprise services relating to regulatory reporting, 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-250-4": {
"value": "10 General and administrative expensesAuditor's fees for EY's services 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) 2023 2022Financial statements audit fees 15 15Audit-related fees 2 2Total auditor's fee17 17Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 12 million in 2023 (2022: EUR 13 million). Audit-related fees for activities in the Netherlands amounted to EUR 2 million in 2023 (2022: EUR 2 million).Audit-related fees comprise services relating to regulatory reporting, 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-254-4": {
"value": "11 Income tax expense, tax assets and tax liabilitiesTax assets and liabilitiesThe 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 2023 31 December 2022(in millions) Assets Liabilities Assets LiabilitiesCurrent tax 49 159 68 22Deferred tax 278 497Total tax assets and liabilities 327 159 565 22",
"dimensions": {
"concept": "ifrs-full:DisclosureOfTaxReceivablesAndPayablesExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-254-5": {
"value": "11 Income tax expense, tax assets and tax liabilitiesAccounting policy for income tax expense, tax assets and tax liabilitiesDeferred 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 prevailing 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.Tax assets and liabilitiesThe 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 2023 31 December 2022(in millions) Assets Liabilities Assets LiabilitiesCurrent tax 49 159 68 22Deferred tax 278 497Total tax assets and liabilities 327 159 565 22(in millions) 2023 2022Recognised in income statement:Current tax expenses for the current period 915 530Adjustments recognised in the period for current tax of prior periods -90 -7Total current tax expense 825 522Deferred tax arising from the current period 41 2Impact of changes in tax rates on deferred taxes -1 1Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset -85 -13Deferred tax prior period 80 -2Previously unrecognised tax losses, tax credits and temporary differences reducing deferred tax expense -13 -1Total deferred tax expense 22 -13Total income tax expense847 509Due to the sale of the Gustav Mahlerlaan building in 2021 ABN AMRO was able to make use of a reinvestment reserve. This results in lower current tax expense, offset by higher deferred tax expense included in a prior period.The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in the following tables.As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2022statement OCI Equity Other2023tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments 315 -3 -198 115 124 9Property and equipment (excluding leases) and intangible assets 23 2 25 27 2Loans 12 -1 12 12Leases 38 -6 32 102 70Pensions and other (post-)employment benefits 9 -1 8 8Provisions 20 6 3 1 -6 23 23Tax losses carried forward 40 50 -2 88 88Other39 -69 6 -25 64 89Deferred tax assets (+) and liabilities (-) 497 -22 -195 1 -2 278 448 170Offsetting deferred tax assets and liabilities 170 170Net deferred tax assets (+) and liabilities (-) 278As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2021statement OCI Equity Other2022tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments448 -1 -131 315 341 25Property and equipment (excluding leases) and intangible assets 18 6 23 25 3Loans 7 6 12 13Leases 37 1 38 96 58Pensions and other (post-)employment benefits 11 -1 -1 9 9Provisions 24 -2 -2 20 21Tax losses carried forward 51 -12 1 40 40Other24 17 -2 39 49 10Deferred tax assets (+) and liabilities (-) 620 13 -137 497 593 97Offsetting deferred tax assets and liabilities 97 97Net deferred tax assets (+) and liabilities (-) 497Deferred tax assetsDeferred 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 in each of the jurisdictions ABN AMRO operates in 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 changes 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 lossesTotal accumulated losses available for carrying forward at 31 December 2023 amounted to EUR 778 million (31 December 2022: EUR 1,428 million), of which EUR 536 million (31 December 2022: EUR 194 million) has been recognised for future tax benefits. The recorded deferred tax asset for tax losses carried forward amounted to EUR 88 million (31 December 2022: EUR 40 million). The increase in recorded deferred tax assets is attributable to the recognition of a deferred tax asset on historic losses for which a use has been identified. This has been offset by utilisation of losses in the current year.Unrecognised tax assetsCertain amounts of deferred tax assets have not been recognised because future taxable profits are not considered probable. Deferred tax assets amounting to EUR 14 million (31 December 2022: EUR 58 million) have not been recognised in relation to deductible temporary differences totalling EUR 55 million (31 December 2022: EUR 242 million). In addition, deferred tax assets amounting to EUR 47 million (31 December 2022: EUR 239 million) have not been recognised in relation to tax losses totalling EUR 242 million (31 December 2022: EUR 1,234 million). In 2023 an amount of EUR 597 million (2022: EUR 1,190 million) in unrecognised tax losses were finally written off, due to liquidation of the branches holding these losses. No use for these losses could be identified.Tax credits and unrecognised tax creditsABN AMRO did not have any tax credits to carry forward on 31 December 2023.Loss carry-forward by year of expirationAfter 5 No (in millions) 2023 2024 2025 2026 2027 2028yearsexpiration Total2023Loss carry-forward recognised 66 471 536Loss carry-forward not recognised 242 242Total tax losses carry-forward (gross) 66 713 7782022Loss carry-forward recognised60 135 194Loss carry-forward not recognised1,234 1,234Total tax losses carry-forward (gross) 60 1,369 1,428Of the total amount of recognised net deferred tax assets, EUR 87 million (31 December 2022: EUR 20 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 equityTax 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.",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-254-6": {
"value": "11 Income tax expense, tax assets and tax liabilitiesAccounting policy for income tax expense, tax assets and tax liabilitiesIncome 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 prevailing 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 prevailing 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.While most of the jurisdictions ABN AMRO operates in introduced Pillar Two legislation in 2023, these rules have not yet taken effect. ABN AMRO has reviewed the potential impact of the Pillar Two legislation in those jurisdictions. In most tax jurisdictions, ABN AMRO has an effective tax rate that is above the Pillar Two minimum tax rate of 15%. ABN AMRO also expects to be able to make use of (transitional) safe harbour rules in most jurisdictions. The only exceptions are likely to be Hong Kong and Singapore, but given the limited size of ABN AMRO\u2019s Hong Kong and Singapore operations, the impact in 2024 is expected to be between EUR 1-6 million of additional taxes payable. Considering this limited amount, the impact on the current tax expense is not disclosed. Since the Pillar Two legislation was not yet effective in 2023, there is no further impact on the disclosures of ABN AMRO in 2023.Tax assets and liabilitiesThe 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 2023 31 December 2022(in millions) Assets Liabilities Assets LiabilitiesCurrent tax 49 159 68 22Deferred tax 278 497Total tax assets and liabilities 327 159 565 22(in millions) 2023 2022Recognised in income statement:Current tax expenses for the current period 915 530Adjustments recognised in the period for current tax of prior periods -90 -7Total current tax expense 825 522Deferred tax arising from the current period 41 2Impact of changes in tax rates on deferred taxes -1 1Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset -85 -13Deferred tax prior period 80 -2Previously unrecognised tax losses, tax credits and temporary differences reducing deferred tax expense -13 -1Total deferred tax expense 22 -13Total income tax expense847 509Due to the sale of the Gustav Mahlerlaan building in 2021 ABN AMRO was able to make use of a reinvestment reserve. This results in lower current tax expense, offset by higher deferred tax expense included in a prior period.Reconciliation of the total tax chargeThe effective rate based on the consolidated income statement differs from the theoretical rate that would arise using the statutory tax rate of the Netherlands. This difference is explained in the following table.(in millions) 2023 Effective tax rate 2022 Effective tax rateProfit/(loss) before taxation 3,544 2,376Applicable tax rate25.8% 25.8%Expected income tax expense 914 613International tax rate difference-10 -0.3% -10 -0.4%Adjustment previous years-10 -0.3% -9 -0.4%Change in tax rates-1 -0.0% 1 0.0%Bank tax24 0.7% 24 1.0%Non-taxable income-7 -0.2% -3 -0.1%Non-deductible expenses69 2.0% -6 -0.3%Tax exempted result (participation exemption)-37 -1.1% -87 -3.7%Losses not benefited-13 -0.4% -1 -0.1%Change recognition of deferred tax assets-85 -2.4% -13 -0.5%Other tax effects1 0.0% 1 0.0%Actual income tax expense847 23.9% 509 21.4%Income tax expense increased by EUR 338 million to EUR 847 million in 2023, mainly as a result of increased profitability. The effective tax rate was 23.9% in 2023, compared to the standard Dutch rate of 25.8%, mainly driven by the one-off impact of recognition of a deferred tax asset on previously derecognised historic losses, partly offset by the increase in non-deductible interest resulting from Dutch \u201cthin capitalisation\u201d rules for banks due to rising interest rates.The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in the following tables.As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2022statement OCI Equity Other2023tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments 315 -3 -198 115 124 9Property and equipment (excluding leases) and intangible assets 23 2 25 27 2Loans 12 -1 12 12Leases 38 -6 32 102 70Pensions and other (post-)employment benefits 9 -1 8 8Provisions 20 6 3 1 -6 23 23Tax losses carried forward 40 50 -2 88 88Other39 -69 6 -25 64 89Deferred tax assets (+) and liabilities (-) 497 -22 -195 1 -2 278 448 170Offsetting deferred tax assets and liabilities 170 170Net deferred tax assets (+) and liabilities (-) 278As at As at Of which: Of which: 31 December Income 31 December deferred deferred (in millions)2021statement OCI Equity Other2022tax assettax liabilityAssets and liabilities held for trading, derivatives and financial investments448 -1 -131 315 341 25Property and equipment (excluding leases) and intangible assets 18 6 23 25 3Loans 7 6 12 13Leases 37 1 38 96 58Pensions and other (post-)employment benefits 11 -1 -1 9 9Provisions 24 -2 -2 20 21Tax losses carried forward 51 -12 1 40 40Other24 17 -2 39 49 10Deferred tax assets (+) and liabilities (-) 620 13 -137 497 593 97Offsetting deferred tax assets and liabilities 97 97Net deferred tax assets (+) and liabilities (-) 497Deferred tax assetsDeferred 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 in each of the jurisdictions ABN AMRO operates in 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 changes 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 lossesTotal accumulated losses available for carrying forward at 31 December 2023 amounted to EUR 778 million (31 December 2022: EUR 1,428 million), of which EUR 536 million (31 December 2022: EUR 194 million) has been recognised for future tax benefits. The recorded deferred tax asset for tax losses carried forward amounted to EUR 88 million (31 December 2022: EUR 40 million). The increase in recorded deferred tax assets is attributable to the recognition of a deferred tax asset on historic losses for which a use has been identified. This has been offset by utilisation of losses in the current year.Unrecognised tax assetsCertain amounts of deferred tax assets have not been recognised because future taxable profits are not considered probable. Deferred tax assets amounting to EUR 14 million (31 December 2022: EUR 58 million) have not been recognised in relation to deductible temporary differences totalling EUR 55 million (31 December 2022: EUR 242 million). In addition, deferred tax assets amounting to EUR 47 million (31 December 2022: EUR 239 million) have not been recognised in relation to tax losses totalling EUR 242 million (31 December 2022: EUR 1,234 million). In 2023 an amount of EUR 597 million (2022: EUR 1,190 million) in unrecognised tax losses were finally written off, due to liquidation of the branches holding these losses. No use for these losses could be identified.Tax credits and unrecognised tax creditsABN AMRO did not have any tax credits to carry forward on 31 December 2023.Loss carry-forward by year of expirationAfter 5 No (in millions) 2023 2024 2025 2026 2027 2028yearsexpiration Total2023Loss carry-forward recognised 66 471 536Loss carry-forward not recognised 242 242Total tax losses carry-forward (gross) 66 713 7782022Loss carry-forward recognised60 135 194Loss carry-forward not recognised1,234 1,234Total tax losses carry-forward (gross) 60 1,369 1,428Of the total amount of recognised net deferred tax assets, EUR 87 million (31 December 2022: EUR 20 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 equityTax 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 dividendDividends are, in principle, subject to a 15% withholding tax in the Netherlands. In 2023, ABN AMRO Bank N.V. withheld EUR 179 million of dividend withholding tax on dividends paid to its shareholders.Country-by-country reporting31 December 2023Total operating Average Operating profit/Income tax Income tax Total income number of (loss) before taxation expense paid Principal subsidiary Main activityassets(in millions)FTEs(in millions)(in millions)(in millions)Netherlands ABN AMRO Bank N.V. Personal & 339,483 7,475 17,480 3,108 818 557Business BankingFrance ABN AMRO Bank N.V. Wealth 4,516 366 855 113 28 22Paris BranchManagementGermany ABN AMRO Bank N.V. Wealth 4,792 198 727 -50 4 8Frankfurt BranchManagementBelgium ABN AMRO Bank N.V. Wealth 819 96 366 18 1Belgium BranchManagementUnited Kingdom ABN AMRO Asset based Corporate 1,436 69 332 27 9 8Finance N.V. UK branchBankingNorway ABN AMRO Bank N.V. Corporate 2,131 52 16 59 24Oslo BranchBankingUnited States ABN AMRO Clearing Corporate 21,022 185 306 155 -52 16USA LLCBankingBrazil Banco ABN AMRO S.A. Corporate 297 15 27 15 4 2BankingSingapore ABN AMRO Clearing Corporate 1,986 57 107 32 5 7Singapore Pte. Ltd.BankingHong Kong ABN AMRO Clearing Corporate 784 67 39 55 3 5Hong Kong Ltd.BankingJapan ABN AMRO Clearing Corporate 415 18 25 7 2 3Tokyo Co. Ltd.BankingAustralia ABN AMRO Clearing Corporate 297 16 67 5 1 1Sydney Pty Ltd.BankingOther -70 4 1 -1Total 377,909 8,618 20,349 3,544 847 62931 December 2022Total operating Average Operating profit/Income tax Income tax Total income number of (loss) before taxation expense paid Principal subsidiary Main activityassets(in millions)FTEs(in millions)(in millions)(in millions)Netherlands ABN AMRO Bank N.V. Personal & 346,618 6,732 17,101 1,957 424 522Business BankingFrance Banque Neuflize Wealth 4,935 320 848 80 13 7OBC S.A.ManagementGermany Bethmann Bank AG Wealth 3,231 201 734 24 10 -4ManagementBelgium ABN AMRO Bank N.V. Wealth 1,105 91 373 10Belgium BranchManagementUnited Kingdom ABN AMRO Asset based Corporate 1,829 62 326 53 8 5Finance N.V. UK branchBankingNorway ABN AMRO Bank N.V. Corporate 2,043 60 16 43 9 1Oslo BranchBankingUnited States ABN AMRO Clearing Corporate 16,732 187 337 102 29 -4USA LLCBankingBrazil Banco ABN AMRO S.A. Corporate 210 14 33 12 4BankingSingapore ABN AMRO Bank N.V. Corporate 2,053 78 155 47 4 4Branch SingaporeBankingHong Kong ABN AMRO Bank N.V. Corporate 295 52 61 34 5 5Branch Hong KongBankingJapan ABN AMRO Clearing Corporate 262 20 23 8 2 4Tokyo Co. Ltd.BankingAustralia ABN AMRO Clearing Corporate 337 15 68 3 2Sydney Pty Ltd.BankingOther -69 8 5 4Total 379,581 7,841 20,080 2,376 509 544ABN AMRO received government grants for its participation in the TLTRO programmes. For more information, please refer to Note 27 - Due to banks.",
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"concept": "ifrs-full:DisclosureOfIncomeTaxExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-254-8": {
"value": "11 Income tax expense, tax assets and tax liabilitiesAccounting policy for income tax expense, tax assets and tax liabilitiesIncome 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 prevailing 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 prevailing 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.While most of the jurisdictions ABN AMRO operates in introduced Pillar Two legislation in 2023, these rules have not yet taken effect. ABN AMRO has reviewed the potential impact of the Pillar Two legislation in those jurisdictions. In most tax jurisdictions, ABN AMRO has an effective tax rate that is above the Pillar Two minimum tax rate of 15%. ABN AMRO also expects to be able to make use of (transitional) safe harbour rules in most jurisdictions. The only exceptions are likely to be Hong Kong and Singapore, but given the limited size of ABN AMRO\u2019s Hong Kong and Singapore operations, the impact in 2024 is expected to be between EUR 1-6 million of additional taxes payable. Considering this limited amount, the impact on the current tax expense is not disclosed. Since the Pillar Two legislation was not yet effective in 2023, there is no further impact on the disclosures of ABN AMRO in 2023.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForIncomeTaxExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-254-9": {
"value": "11 Income tax expense, tax assets and tax liabilitiesAccounting policy for income tax expense, tax assets and tax liabilitiesDeferred 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 prevailing 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.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredIncomeTaxExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-268-1": {
"value": "12 Earnings per shareThe following table shows the composition of basic earnings per share at 31 December.2023 2022Profit/(loss) for Average number Earnings per Profit/(loss) for Average number Earnings per 11(in millions)the periodof sharesshare (in EUR)the periodof sharesshare (in EUR)Basic earnings 2,605 872 2.99 1,776 908 1.961 Earnings consist of profit excluding results attributable to non-controlling interests and payments to holders of AT1 instruments.Given that ABN AMRO Bank N.V. does not have any dilutive potential ordinary shares, only the 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 2023, a final dividend of EUR 0.67 per share was distributed for 2022 for a total of EUR 580 million, and an interim dividend of EUR 0.62 per share was distributed for 2023 for a total of EUR 537 million. For the year 2023, a final dividend of EUR 0.89 per share has been proposed.During the first half of 2023, ABN AMRO Bank N.V. conducted a EUR 500 million share buyback programme. The buyback programme resulted in the purchase of 32 million ordinary shares throughout the first half year. As a result, the weighted average number of ordinary shares was 872 million. ",
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"concept": "ifrs-full:DisclosureOfEarningsPerShareExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-268-2": {
"value": "12 Earnings per shareGiven that ABN AMRO Bank N.V. does not have any dilutive potential ordinary shares, only the 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 2023, a final dividend of EUR 0.67 per share was distributed for 2022 for a total of EUR 580 million, and an interim dividend of EUR 0.62 per share was distributed for 2023 for a total of EUR 537 million. For the year 2023, a final dividend of EUR 0.89 per share has been proposed.33 EquityDividendsDividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which they are approved by shareholders.At December 31 2023, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares. The authorised share capital consisted of 2,200,000,000 ordinary A-shares with a nominal value of EUR 1.00 each and 200,000,000 ordinary B-shares with a nominal value of EUR 1.00 each. Every share is entitled to one vote at 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 2023 was 865,575,379. In 2023, the final dividend for the year 2022 was paid out at EUR 0.67 per share for a total of EUR 580 million and the 2023 interim dividend was paid out at EUR 0.62 per share for a total of EUR 537 million. For the year 2023, a final dividend has been proposed of EUR 0.89 per share. ",
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"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"s7_notes__7__5": {
"value": "0.67",
"decimals": 2,
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"concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00",
"unit": "iso4217:EUR/xbrli:shares"
}
},
"s7_notes__6__6": {
"value": "0.89",
"decimals": 2,
"dimensions": {
"concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00",
"unit": "iso4217:EUR/xbrli:shares"
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},
"pp-value-272-2": {
"value": "13 Cash and balances at central banksAccounting policy for cash and balances at central banksCash 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.(in millions) 31 December 2023 31 December 2022AssetsCash on hand and other cash equivalents299 342Balances with central banks readily convertible in cash other than mandatory reserve deposits53,357 60,523Total cash and balances at central banks 53,656 60,86520 Loans and advances banks(in millions) 31 December 2023 31 December 2022Interest-bearing deposits1,401 1,771Loans and advances729 934Mandatory reserve deposits with central banks181 200Other loans and advances banks16 85Subtotal 2,327 2,990Less: loan impairment allowances3 8Total loans and advances banks 2,324 2,982Mandatory 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 it meets the minimum reserve requirements for the period.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCashAndCashEquivalentsExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-272-3": {
"value": "13 Cash and balances at central banksAccounting policy for cash and balances at central banksCash 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.(in millions) 31 December 2023 31 December 2022AssetsCash on hand and other cash equivalents299 342Balances with central banks readily convertible in cash other than mandatory reserve deposits53,357 60,523Total cash and balances at central banks 53,656 60,86520 Loans and advances banks(in millions) 31 December 2023 31 December 2022Interest-bearing deposits1,401 1,771Loans and advances729 934Mandatory reserve deposits with central banks181 200Other loans and advances banks16 85Subtotal 2,327 2,990Less: loan impairment allowances3 8Total loans and advances banks 2,324 2,982Mandatory 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 it meets the minimum reserve requirements for the period.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCashAndBankBalancesAtCentralBanksExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-274-2": {
"value": "14 Financial assets and liabilities held for tradingAccounting policy for financial assets and liabilities held for tradingIn 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 2023 31 December 2022Trading securitiesGovernment bonds341 214Corporate debt securities1,019 681Equity securities1 10Total trading securities 1,361 906Other trading assets10 1Total financial assets held for trading 1,371 907These portfolios consist of primary dealership positions held by ABN AMRO Bank N.V. in the respective countries and positions held for the purpose of client facilitation.15 DerivativesAccounting policy for derivativesDerivatives 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 provides products traded on the financial markets to institutional and individual clients and governments.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 2023 or 2022.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 2023Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets4 4Fair value liabilities1 1Notionals3,273 30 3,303Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,428,191 1,049 112,795 1,542,035Other bilateralFair value assets3,527 505 2 41 271 53 4,399Fair value liabilities1,946 470 5 66 82 286 2,855Notionals255,738 36,794 286 597 24,873 85,602 403,889TotalFair value assets3,531 505 2 41 271 53 4,403Fair value liabilities1,946 470 5 66 82 286 2,856Notionals 1,687,201 36,824 286 1,645 24,873 198,398 1,949,22731 December 2022Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets51 51Fair value liabilities10 10Notionals15,853 5 15,858Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,331,761 886 101,439 1,434,086Other bilateralFair value assets4,035 742 3 46 312 23 5,161Fair value liabilities2,841 817 3 95 48 334 4,138Notionals206,343 54,289 241 661 17,468 89,813 368,814TotalFair value assets4,086 742 3 46 312 23 5,212Fair value liabilities2,851 817 3 95 48 334 4,148Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758",
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"pp-value-274-3": {
"value": "14 Financial assets and liabilities held for tradingAccounting policy for financial assets and liabilities held for tradingIn 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 liabilities held for trading(in millions) 31 December 2023 31 December 2022Bonds814 609Equity securities7 1Total short security positions 821 610Other liabilities held for trading96 32Total financial liabilities held for trading 917 64115 DerivativesAccounting policy for derivativesDerivatives 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 provides products traded on the financial markets to institutional and individual clients and governments.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 2023 or 2022.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 2023Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets4 4Fair value liabilities1 1Notionals3,273 30 3,303Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,428,191 1,049 112,795 1,542,035Other bilateralFair value assets3,527 505 2 41 271 53 4,399Fair value liabilities1,946 470 5 66 82 286 2,855Notionals255,738 36,794 286 597 24,873 85,602 403,889TotalFair value assets3,531 505 2 41 271 53 4,403Fair value liabilities1,946 470 5 66 82 286 2,856Notionals 1,687,201 36,824 286 1,645 24,873 198,398 1,949,22731 December 2022Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets51 51Fair value liabilities10 10Notionals15,853 5 15,858Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,331,761 886 101,439 1,434,086Other bilateralFair value assets4,035 742 3 46 312 23 5,161Fair value liabilities2,841 817 3 95 48 334 4,138Notionals206,343 54,289 241 661 17,468 89,813 368,814TotalFair value assets4,086 742 3 46 312 23 5,212Fair value liabilities2,851 817 3 95 48 334 4,148Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758",
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"pp-value-274-4": {
"value": "14 Financial assets and liabilities held for tradingAccounting policy for financial assets and liabilities held for tradingIn 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 2023 31 December 2022Trading securitiesGovernment bonds341 214Corporate debt securities1,019 681Equity securities1 10Total trading securities 1,361 906Other trading assets10 1Total financial assets held for trading 1,371 907These portfolios consist of primary dealership positions held by ABN AMRO Bank N.V. in the respective countries and positions held for the purpose of client facilitation.Financial liabilities held for trading(in millions) 31 December 2023 31 December 2022Bonds814 609Equity securities7 1Total short security positions 821 610Other liabilities held for trading96 32Total financial liabilities held for trading 917 64115 DerivativesAccounting policy for derivativesDerivatives 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 provides products traded on the financial markets to institutional and individual clients and governments.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 2023 or 2022.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 2023Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets4 4Fair value liabilities1 1Notionals3,273 30 3,303Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,428,191 1,049 112,795 1,542,035Other bilateralFair value assets3,527 505 2 41 271 53 4,399Fair value liabilities1,946 470 5 66 82 286 2,855Notionals255,738 36,794 286 597 24,873 85,602 403,889TotalFair value assets3,531 505 2 41 271 53 4,403Fair value liabilities1,946 470 5 66 82 286 2,856Notionals 1,687,201 36,824 286 1,645 24,873 198,398 1,949,22731 December 2022Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets51 51Fair value liabilities10 10Notionals15,853 5 15,858Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,331,761 886 101,439 1,434,086Other bilateralFair value assets4,035 742 3 46 312 23 5,161Fair value liabilities2,841 817 3 95 48 334 4,138Notionals206,343 54,289 241 661 17,468 89,813 368,814TotalFair value assets4,086 742 3 46 312 23 5,212Fair value liabilities2,851 817 3 95 48 334 4,148Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758",
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"pp-value-274-5": {
"value": "14 Financial assets and liabilities held for tradingAccounting policy for financial assets and liabilities held for tradingIn 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 2023 31 December 2022Trading securitiesGovernment bonds341 214Corporate debt securities1,019 681Equity securities1 10Total trading securities 1,361 906Other trading assets10 1Total financial assets held for trading 1,371 907These portfolios consist of primary dealership positions held by ABN AMRO Bank N.V. in the respective countries and positions held for the purpose of client facilitation.Financial liabilities held for trading(in millions) 31 December 2023 31 December 2022Bonds814 609Equity securities7 1Total short security positions 821 610Other liabilities held for trading96 32Total financial liabilities held for trading 917 64115 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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 2023Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets4 4Fair value liabilities1 1Notionals3,273 30 3,303Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,428,191 1,049 112,795 1,542,035Other bilateralFair value assets3,527 505 2 41 271 53 4,399Fair value liabilities1,946 470 5 66 82 286 2,855Notionals255,738 36,794 286 597 24,873 85,602 403,889TotalFair value assets3,531 505 2 41 271 53 4,403Fair value liabilities1,946 470 5 66 82 286 2,856Notionals 1,687,201 36,824 286 1,645 24,873 198,398 1,949,22731 December 2022Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets51 51Fair value liabilities10 10Notionals15,853 5 15,858Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,331,761 886 101,439 1,434,086Other bilateralFair value assets4,035 742 3 46 312 23 5,161Fair value liabilities2,841 817 3 95 48 334 4,138Notionals206,343 54,289 241 661 17,468 89,813 368,814TotalFair value assets4,086 742 3 46 312 23 5,212Fair value liabilities2,851 817 3 95 48 334 4,148Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,75817 Financial investmentsAccounting policy for financial investmentsFinancial 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 lossFinancial 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 2023 31 December 2022Financial investmentsDebt securities held at fair value through other comprehensive income40,663 38,408Held at fair value through profit or loss838 626Total financial investments 41,501 39,034Financial investments measured at fair value through profit or loss(in millions) 31 December 2023 31 December 2022Private equities and venture capital559 418Equity securities279 207Total investments held at fair value through profit or loss 838 62621 Loans and advances customersAccounting policy for loans and advances customersThe 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 2023 31 December 2022Residential mortgages (excluding fair value adjustment)151,078 150,762Fair value adjustment from hedge accounting on residential mortgages-6,005 -9,489Residential mortgages, gross 145,073 141,274Less: loan impairment allowances - residential mortgage loans198 153Residential mortgages 144,875 141,121Consumer loans at amortised cost, gross 8,380 10,232Less: loan impairment allowances - consumer loans147 277Consumer loans at amortised cost 8,233 9,9551Consumer loans at fair value through P&L648Corporate loans (excluding fair value adjustment)78,387 78,178Fair value adjustment from hedge accounting on corporate loans96 154Financial lease receivables4,169 4,396Factoring4,227 4,157Corporate loans at amortised cost, gross 86,880 86,885Less: loan impairment allowances - corporate loans1,254 1,590Corporate loans at amortised cost 85,626 85,295Corporate loans at fair value through P&L59 66Government and official institutions455 629Other loans6,043 6,868Other loans and advances customers, gross 6,497 7,497Less: loan impairment allowances - other3 5Other loans and advances customers 6,494 7,491Total loans and advances customers 245,935 243,9271 Consumer loans at Fair Value through P&L is a new line item as a result of the implementation of IFRS 17 Insurance contracts. Residential mortgages with an insurance feature and consumer loans with a death waiver are mandatory recorded at Fair value through Profit or Loss.For information on loan impairment allowances, please refer to the Credit risk review section in the Risk, funding & capital chapter.29 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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 spreadsThe following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December 2023. 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 2023 31 December 2022Bonds and notes issued52,264 41,313Certificates of deposit and commercial paper13,741 14,723Total at amortised cost 66,005 56,036Designated at fair value through profit or loss222 223Total issued debt 66,227 56,259- of which matures within one year 17,408 19,0532023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 56,259 59,688Cash flowsIssuance49,985 35,231Redemption-43,196 -30,668Non-cash changesForeign exchange differences-96 118Fair value changes own credit risk-2 -8Fair value changes hedge accounting2,514 -8,451Other762 350Balance as at 31 December 66,227 56,259The 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 2023 31 December 2022Cumulative change in fair value of the structured notes attributable to changes in credit risk2 4Change during the year in fair value of the structured notes attributable to changes in credit risk-2 -8Difference between amount contractually required to pay at maturity and the carrying amount 10 6The 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.Transferred financial assets not derecognised in their entiretyThe following table shows transferred financial assets that have not been derecognised in their entirety.31 December 2023 31 December 2022Financial assets Financial assets Financial held for trading Financial held for trading investments (at fair value investments (at fair value (at fair value through profit (at fair value through profit (in millions)through OCI)and loss) Totalthrough OCI)and loss) TotalSecurities financingCarrying amount Transferred assets12,924 409 13,332 6,298 126 6,4231Carrying amount Associated liabilities2,043 409 2,451 1,968 126 2,094Fair value of assets12,924 409 13,332 6,298 126 6,4231Fair value of associated liabilities2,043 409 2,451 1,968 126 2,094Net position 10,881 10,881 4,330 4,3301 The figures for 2022 have been adjusted by EUR 7.6 billion to exclude liabilities associated with off-balance sheet items. The change did not have a material impact on the figures for the prior period. However, these have been adjusted for comparison reasons.",
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"pp-value-274-10": {
"value": "14 Financial assets and liabilities held for tradingAccounting policy for financial assets and liabilities held for tradingIn 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 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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 investmentsAccounting policy for financial investmentsFinancial 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 lossFinancial 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.29 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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",
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"pp-value-278-6": {
"value": "15 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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 2023Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets4 4Fair value liabilities1 1Notionals3,273 30 3,303Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,428,191 1,049 112,795 1,542,035Other bilateralFair value assets3,527 505 2 41 271 53 4,399Fair value liabilities1,946 470 5 66 82 286 2,855Notionals255,738 36,794 286 597 24,873 85,602 403,889TotalFair value assets3,531 505 2 41 271 53 4,403Fair value liabilities1,946 470 5 66 82 286 2,856Notionals 1,687,201 36,824 286 1,645 24,873 198,398 1,949,22731 December 2022Derivatives held for Economic Hedge Total tradinghedgesaccountingderivatives(in millions) Interest rate Currency Other Interest rate Currency Other Interest rateExchange tradedFair value assets51 51Fair value liabilities10 10Notionals15,853 5 15,858Over-the-counterCentral counterpartiesFair value assetsFair value liabilitiesNotionals1,331,761 886 101,439 1,434,086Other bilateralFair value assets4,035 742 3 46 312 23 5,161Fair value liabilities2,841 817 3 95 48 334 4,138Notionals206,343 54,289 241 661 17,468 89,813 368,814TotalFair value assets4,086 742 3 46 312 23 5,212Fair value liabilities2,851 817 3 95 48 334 4,148Notionals 1,553,957 54,294 241 1,547 17,468 191,252 1,818,758",
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"pp-value-278-12": {
"value": "15 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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 accountingAccounting policy for hedge accountingABN 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 chapter.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:\u2022 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and\u2022 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 UnionAs 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 hedgesABN 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 accountingHedging 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:\u2022 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;\u2022 The difference in discounting between the hedged item and the hedging instrument; and\u2022 Potential differences in maturities of the interest rate swap and the loans or notes.Macro fair value hedge accountingABN 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:\u2022 denominated in local currency (euros);\u2022 fixed term to maturity or repricing;\u2022 pre-payable amortising or fixed principal amounts;\u2022 fixed interest payment dates;\u2022 no interest rate options;\u2022 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:\u2022 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent that the difference would lead to over-hedging; and \u2022 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages).Cash flow hedgesABN 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 immediately recognised in other operating income. 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:\u2022 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\u2022 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 until their maturity.The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped by 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 cash flows projected for the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If no projected cash flows are available in the corresponding bucket with 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 operationsABN 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 accountingThe 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.",
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"pp-value-278-13": {
"value": "15 DerivativesAccounting policy for derivativesDerivatives 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 provides products 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 2023 or 2022.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.",
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"value": "16 Hedge accountingAccounting policy for hedge accountingABN 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 chapter.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:\u2022 A regression co-efficient (R squared), which measures the correlation between the variables in the regression; and\u2022 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 UnionAs 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 hedgesABN 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 accountingHedging 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:\u2022 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;\u2022 The difference in discounting between the hedged item and the hedging instrument; and\u2022 Potential differences in maturities of the interest rate swap and the loans or notes.Macro fair value hedge accountingABN 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:\u2022 denominated in local currency (euros);\u2022 fixed term to maturity or repricing;\u2022 pre-payable amortising or fixed principal amounts;\u2022 fixed interest payment dates;\u2022 no interest rate options;\u2022 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:\u2022 The difference between the expected and actual volume of prepayments for the mortgage portfolio to the extent that the difference would lead to over-hedging; and \u2022 The difference in payment frequency between the fixed leg of the hedging instrument and the payment frequency of the hedged item (mortgages).Cash flow hedgesABN 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 immediately recognised in other operating income. 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:\u2022 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\u2022 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 until their maturity.The notional amounts of the interest rate swaps, which can be either pay or receive floating interest, are also grouped by 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 cash flows projected for the hedged items. The hedged risk identified is the benchmark rate that applies to the buckets. If no projected cash flows are available in the corresponding bucket with 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 operationsABN 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 accountingThe 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.",
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"pp-value-289-6": {
"value": "17 Financial investmentsAccounting policy for financial investmentsFinancial 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 incomeUnrealised 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 lossFinancial 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 2023 31 December 2022Financial investmentsDebt securities held at fair value through other comprehensive income40,663 38,408Held at fair value through profit or loss838 626Total financial investments 41,501 39,034Financial investments measured at fair value through profit or loss(in millions) 31 December 2023 31 December 2022Private equities and venture capital559 418Equity securities279 207Total investments held at fair value through profit or loss 838 62623 Group structureUnconsolidated structured entitiesUnconsolidated structured entities are entities over which ABN AMRO has no control or significant influence. ABN AMRO is involved in 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 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 1.9 billion to EUR 7.3 billion at year-end 2023 (31 December 2022: EUR 5.3 billion). These interests consisted mainly of debt securities in corporate loans amounting to EUR 789 million (31 December 2022: EUR 681 million) and mortgage- and other asset-backed securities recognised under financial investments totalling EUR 5.0 billion (31 December 2022: EUR 3.3 billion). The maximum exposure to losses from these interests is equal to the total carrying amount.Sponsoring of unconsolidated structured entitiesAn entity is considered a sponsor of an unconsolidated structured entity if it had a key role in establishing that entity in order to enable the transaction that is the purpose of the entity. No sponsoring occurred during 2023.",
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"pp-value-289-7": {
"value": "17 Financial investmentsAccounting policy for financial instruments measured at fair value through other comprehensive incomeUnrealised 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.Financial investments measured at fair value through other comprehensive income(in millions) 31 December 2023 31 December 2022Interest-earning securitiesDutch government2,642 2,465US Treasury and US government6,861 7,238Other OECD government15,761 18,158Non-OECD government150 142International bonds issued by the European Union2,962 2,415European Stability Mechanism2,349 1,704Mortgage- and other asset-backed securities5,046 3,274Financial institutions3,477 2,998Non-financial institutions1,414 15Total investments held at fair value through other comprehensive income 40,663 38,408Most of these instruments are part of the liquidity buffer and are held for liquidity contingency purposes.Government bonds by country of origin31 December 2023 31 December 2022Accumulated unrealised Accumulated unrealised gains/(losses) and gains/(losses) and fair value hedges Fair fair value hedges Fair (in millions)gains/(losses) Impairmentsvaluegains/(losses) ImpairmentsvalueDutch national government-23 2,642 -148 2,465USA national government-265 6,861 -317 7,238German national government-161 4,924 -310 5,145French national government-77 1,781 -190 1,855Belgian national government-164 -1 2,861 -268 -1 2,567Austrian national government-11 1,774 -75 1,481Finnish national government-20 1,040 -61 1,116Luxembourg national government-22 245 -101 1,238Canadian national government-64 1,142 -104 1,126Japanese national government568 -1 2,464Polish national government35 330 25 320Spanish national government-9 268 63United Kingdom national government9 183 10 180Danish national government-10 183 -19 260Italian national government-42 370 -91 340Irish national government3 94Swedish national government4Brazilian national government82 72Singapore national government68 70European Union bonds (excl. European Financial Stability Facility) -530 2,962 -695 2,415Total government bonds -1,351 -1 28,377 -2,345 -1 30,418Critical accounting estimates and judgementsInterest-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. These are explained in more detail in the Risk, funding & capital management chapter. Impairment charges on FVOCI instruments are recorded in realised/unrealised gains/losses at fair value through OCI in the statement of comprehensive income.29 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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 spreadsThe following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December 2023. 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 2023 31 December 2022Bonds and notes issued52,264 41,313Certificates of deposit and commercial paper13,741 14,723Total at amortised cost 66,005 56,036Designated at fair value through profit or loss222 223Total issued debt 66,227 56,259- of which matures within one year 17,408 19,0532023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 56,259 59,688Cash flowsIssuance49,985 35,231Redemption-43,196 -30,668Non-cash changesForeign exchange differences-96 118Fair value changes own credit risk-2 -8Fair value changes hedge accounting2,514 -8,451Other762 350Balance as at 31 December 66,227 56,259The 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 2023 31 December 2022Cumulative change in fair value of the structured notes attributable to changes in credit risk2 4Change during the year in fair value of the structured notes attributable to changes in credit risk-2 -8Difference between amount contractually required to pay at maturity and the carrying amount 10 6The 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 liabilitiesThe 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 2023 31 December 2022Subordinated liabilities 5,572 7,2902023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 7,290 7,549Cash flowsIssuance776 1,540Redemption-2,504 -1,602Non-cash changesForeign exchange differences-143 360Fair value changes hedge accounting143 -533Other10 -23Balance as at 31 December 5,572 7,290",
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"pp-value-289-12": {
"value": "17 Financial investmentsAccounting policy for financial investmentsFinancial 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 incomeUnrealised 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 lossFinancial 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.",
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-298-3": {
"value": "18 Securities financingAccounting policy for securities financingSecurities 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 2023 31 December 2022(in millions) Banks Customers Total Banks Customers TotalAssetsReverse repurchase agreements3,536 11,473 15,009 2,649 11,591 14,239Securities borrowing transactions3,075 3,419 6,494 2,900 2,893 5,793Total 6,611 14,892 21,503 5,548 14,484 20,032LiabilitiesRepurchase agreements319 10,453 10,772 219 8,359 8,578Securities lending transactions185 753 938 474 600 1,074Total 504 11,206 11,710 692 8,960 9,652Securities 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 repurchase agreements increased by EUR 2.2 billion during the year, due to agreements with several large clients. Details on securities financing transactions that ABN AMRO can repledge or resell are included in Note 34 - Transferred, pledged encumbered and restricted assets.",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-298-8": {
"value": "18 Securities financingAccounting policy for securities financingSecurities 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.",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-298-9": {
"value": "18 Securities financingAccounting policy for securities financingSecurities 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.27 Due to banksAccounting policy for due to banks and due to customersAmounts 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 customersAccounting policy for due to customersThe accounting policy for amounts due to customers is set out in Note 27 - Due to banks.29 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-301-5": {
"value": "19 Fair value of financial instruments carried at fair valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 frameworkABN AMRO has in place designated controls and processes to determine the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols to independently review and validate fair values, separately from the business departments 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 department entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. Controls of the profit or loss are recorded on a daily basis by trading and treasury front-office staff. The independent price-verification process, a key element of the control environment, is segregated from the recording of the transaction\u2019s valuation. Valuations are first calculated by the department. 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 that operates independently from the team trading the financial instruments and performs a review of valuations in light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The reviews are performed at least once a month, 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 the defined thresholds. When models are used to value products, these 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 techniquesA 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 the valuation model and the underlying assumptions made for factors such as the amount and timing of cash flows, discount rates and credit risk.Interest rate derivativesThis category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting these 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 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 contractsForeign 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 for spot and forward contracts as well as for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2.Government debt securitiesGovernment debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. As these instruments are generally traded in active markets and prices can be derived directly from those markets, they 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 is applied 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 securitiesCorporate debt securities consist primarily 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 are made to any of the main inputs based on significant unobservable inputs, the instrument is classified as level 3.Equity instrumentsEquity instruments that are actively traded on public stock exchanges are valued using 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 lossLoans and advances at fair value through profit or loss consist primarily 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 of generating 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 debtIssued 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 prices 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 hierarchyABN 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 prices quoted 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 prices quoted for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all 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.The following table presents the valuation methods used in determining the fair values of financial instruments carried at fair value.31 December 2023 31 December 2022Quoted Valuation Valuation market Valuation techniques Quoted Valuation techniques prices techniques - significant market prices techniques - significant in active - observable unobservable Total fair in active - observable unobservable Total fair (in millions)marketsinputsinputsvaluemarketsinputsinputsvalueAssetsGovernment debt securities341 341 212 3 214Corporate debt securities780 240 1,019 495 186 681Equity securities1 1 10 10Other financial assets held for trading10 10 1 1Financial assets held for trading 1,121 250 1,371 718 190 907Interest rate derivatives4 3,606 15 3,625 51 4,067 36 4,155Foreign exchange contracts765 12 776 1,045 9 1,054Other derivatives2 2 3 3Derivatives 4 4,372 26 4,403 51 5,115 46 5,212Equity instruments130 52 656 838 79 65 481 626Financial investments at fair value through profit or loss 130 52 656 838 79 65 481 626Government debt securities30,396 330 30,726 31,801 320 32,121Corporate debt securities4,890 1 4,891 2,973 1 38 3,013Other debt securities5,046 5,046 3,274 3,274Financial assets held at fair value through other comprehensive income 40,332 1 330 40,663 38,049 1 358 38,408Loans and advances at fair value through profit or loss 31 676 707 36 30 66Total financial assets 41,587 4,706 1,689 47,982 38,897 5,407 915 45,219LiabilitiesShort positions in government debt securities 303 303 341 341Corporate debt securities376 135 511 205 62 267Equity securities7 7 1 1Other financial liabilities held for trading96 96 32 32Financial liabilities held for trading 686 231 917 548 93 641Interest rate derivatives1 2,297 2,298 10 3,270 3,280Foreign exchange contracts553 553 865 865Other derivatives5 5 3 3Derivatives 1 2,855 2,856 10 4,138 4,148Issued debt222 222 223 223Total financial liabilities 687 3,308 3,994 557 4,455 5,012Transfers between fair value hierarchiesThere were no material transfers between the fair value hierarchies.Movements in level 3 financial instruments measured at fair valueThe following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value.Assets LiabilitiesFinancial Financial assets held Loans and investments at at fair value through advances at fair value through other comprehensive fair value through (in millions) Derivativesprofit or lossincomeprofit or loss Issued debtBalance at 1 January 2022 88 433 481Purchases55Sales-45Redemptions-31Gains/(losses) recorded in profit and loss13 12Unrealised gains/(losses)-49 31 -124Transfer between levels7Other movements-2 30Balance at 31 December 2022 46 481 358 30Change in accounting policy 982Purchases 145Sales -2 -243Issuance 24Redemptions -12 -38 -1751Gains/(losses) recorded in profit and loss6 1 12Unrealised gains/(losses)1 52 10 59Transfer between levels -21Other movements -14 -2Balance at 31 December 2023 26 656 330 6761 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 informationInterest-earning securities - government bondsABN AMRO has a position in a Polish bond, denominated in euros (see 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.Equity shares - preferred sharesEquities 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: \u2022 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; \u2022 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 - either the EVCA technique or NAV calculation - 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.DerivativesABN 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.Loans and advances \u2013 Equity release mortgagesABN AMRO offers equity release mortgages which provide a way to liquidate home equity and are designed for senior homeowners. These loans are valued using a discounted cash flow model for which the assumed prepayment rate is the most relevant input parameter. The prepayment rate is based on mortality rates and historical prepayment rates observed for equity release mortgages. The sensitivity range is based on the observed historical bandwidth in prepayment rates.Loans and advances - OtherABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease of clients. The loans are valued using a discounted cash flow model, in which expected future cashflows are discounted against actual interest rates, in combination with an adjustment for expected credit losses. The sensitivity range is based on a bandwidth in expected credit losses.Valuation Unobservable Carrying Possible alternative Unobservable Unobservable techniquedatavalueassumptionsdata rangedata baseApplying Applying Applying Applying (in millions)minimummaximumminimummaximum31 December 2023Equity shares Private equity EBITDA valuationmultiples136 -14 14Equity shares Private equity Net asset valuevaluation519 -52 52Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 330 -11 28 4bps 139bps 101bpsLoans and advances - Discounted Prepayment Equity release mortgagescash flowrate 398 -9 9 1.9% 3.2% 2.5%Loans and advances - Discounted Credit Othercash flowspread 250 -7 11Derivatives held for trading Discounted Probability cash flowof default 26 -3 4 0.0% 100.0% 12.7%31 December 2022Equity shares Private equity EBITDA valuationmultiples 140 -14 14Equity shares Private equity Net asset valuationvalue 342 -34 34Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 320 -9 18 14bps 102bps 73bpsInterest-earning securities - Discounted Liquidity and othercash flowcredit spread 38 -1 214bps 546bps 313bpsDerivatives held for trading Discounted Probability cash flowof default 46 -2 4 0.0% 100.0% 15.0%22 Fair value of financial instruments not carried at fair valueAccounting policy for fair value of financial instruments not carried at fair valueThe 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 methodologiesThe 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 the 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 instrumentsThe 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 on the determination of their fair value.Cash and balances at central banksCash 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 financingSecurities 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, their carrying amounts (net of impairment allowances) are considered an approximation of the fair value. Securities financing amounts are classified as level 2.Loans and advances banks and customersThe fair value of loans and advances to 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 are used instead of contractual maturities 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 to banks and customers. Due to the short-term characteristics of these instruments, their carrying amounts are considered an approximation of the fair value. The related amounts are classified as level 2.Due to banks and customersThe fair value of instruments such as deposits and borrowings included in amounts 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 their 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 amounts due to banks and customers. Due to the short-term characteristics of these instruments, their carrying amounts are considered an approximation of the fair value. The related amounts are classified as level 2.Issued debt and subordinated liabilitiesThe 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 2023Carrying value Total fair value DifferenceValuation Valuation techniques Quoted market techniques -significant prices in -observable unobservable (in millions)active marketsinputsinputsAssetsCash and balances at central banks53,656 53,656 53,656Securities financing21,503 21,503 21,503Loans and advances banks2,324 2,120 208 2,328 4Loans and advances customers245,228 29,444 209,884 239,328 -5,900Total 322,709 53,656 53,066 210,092 316,814 -5,896LiabilitiesSecurities financing11,710 11,710 11,710Due to banks5,352 2,294 3,126 5,419 68Due to customers254,466 237,483 16,739 254,222 -245Issued debt66,005 46,178 19,936 66,115 109Subordinated liabilities5,572 1,875 3,833 5,708 136Total 343,105 48,053 275,256 19,865 343,174 6931 December 2022Carrying value Total fair value DifferenceValuation Valuation techniques Quoted market techniques -significant prices in -observable unobservable (in millions)active marketsinputsinputsAssetsCash and balances at central banks60,865 60,865 60,865Securities financing20,032 20,032 20,032Loans and advances banks2,982 2,645 340 2,986 31Loans and advances customers243,861 30,373 205,235 235,608 -8,2531Total327,741 60,865 53,051 205,575 319,492 -8,250LiabilitiesSecurities financing9,652 9,652 9,6521Due to banks17,509 3,174 14,232 17,406 -1031Due to customers255,015 245,755 8,609 254,364 -6501Issued debt56,036 35,185 21,365 56,549 5131Subordinated liabilities7,290 4,103 3,249 7,352 621Total345,502 39,288 283,195 22,842 345,325 -1781 ABN AMRO performed a detailed review on its disclosure of the fair value of financial instruments not carried at fair value. This resulted in changes in the calculations for the fair value estimation which were not determined correctly in the past. The changes in the fair value calculation did not have a material impact on the prior period figures, however these have been adjusted for comparison reasons.",
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"pp-value-301-6": {
"value": "19 Fair value of financial instruments carried at fair valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 frameworkABN AMRO has in place designated controls and processes to determine the fair value of financial instruments. A process has been designed to ensure there are formalised review protocols to independently review and validate fair values, separately from the business departments 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 department entering into the transaction is responsible for the initial determination and recording of the fair value of the transaction. Controls of the profit or loss are recorded on a daily basis by trading and treasury front-office staff. The independent price-verification process, a key element of the control environment, is segregated from the recording of the transaction\u2019s valuation. Valuations are first calculated by the department. 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 that operates independently from the team trading the financial instruments and performs a review of valuations in light of available pricing evidence. Independent price verification is frequently performed by matching the business valuations with independent data sources. The reviews are performed at least once a month, 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 the defined thresholds. When models are used to value products, these 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 techniquesA 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 the valuation model and the underlying assumptions made for factors such as the amount and timing of cash flows, discount rates and credit risk.Interest rate derivativesThis category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These products are valued by estimating future cash flows and discounting these 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 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 contractsForeign 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 for spot and forward contracts as well as for futures in the world\u2019s major currencies. The over-the-counter foreign exchange contracts are therefore classified as level 2.Government debt securitiesGovernment debt securities consist of government bonds and bills with fixed or floating rate interest payments issued by sovereign governments. As these instruments are generally traded in active markets and prices can be derived directly from those markets, they 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 is applied 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 securitiesCorporate debt securities consist primarily 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 are made to any of the main inputs based on significant unobservable inputs, the instrument is classified as level 3.Equity instrumentsEquity instruments that are actively traded on public stock exchanges are valued using 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 lossLoans and advances at fair value through profit or loss consist primarily 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 of generating 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 debtIssued 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 prices 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 hierarchyABN 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 prices quoted 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 prices quoted for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all 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.The following table presents the valuation methods used in determining the fair values of financial instruments carried at fair value.31 December 2023 31 December 2022Quoted Valuation Valuation market Valuation techniques Quoted Valuation techniques prices techniques - significant market prices techniques - significant in active - observable unobservable Total fair in active - observable unobservable Total fair (in millions)marketsinputsinputsvaluemarketsinputsinputsvalueAssetsGovernment debt securities341 341 212 3 214Corporate debt securities780 240 1,019 495 186 681Equity securities1 1 10 10Other financial assets held for trading10 10 1 1Financial assets held for trading 1,121 250 1,371 718 190 907Interest rate derivatives4 3,606 15 3,625 51 4,067 36 4,155Foreign exchange contracts765 12 776 1,045 9 1,054Other derivatives2 2 3 3Derivatives 4 4,372 26 4,403 51 5,115 46 5,212Equity instruments130 52 656 838 79 65 481 626Financial investments at fair value through profit or loss 130 52 656 838 79 65 481 626Government debt securities30,396 330 30,726 31,801 320 32,121Corporate debt securities4,890 1 4,891 2,973 1 38 3,013Other debt securities5,046 5,046 3,274 3,274Financial assets held at fair value through other comprehensive income 40,332 1 330 40,663 38,049 1 358 38,408Loans and advances at fair value through profit or loss 31 676 707 36 30 66Total financial assets 41,587 4,706 1,689 47,982 38,897 5,407 915 45,219LiabilitiesShort positions in government debt securities 303 303 341 341Corporate debt securities376 135 511 205 62 267Equity securities7 7 1 1Other financial liabilities held for trading96 96 32 32Financial liabilities held for trading 686 231 917 548 93 641Interest rate derivatives1 2,297 2,298 10 3,270 3,280Foreign exchange contracts553 553 865 865Other derivatives5 5 3 3Derivatives 1 2,855 2,856 10 4,138 4,148Issued debt222 222 223 223Total financial liabilities 687 3,308 3,994 557 4,455 5,012Transfers between fair value hierarchiesThere were no material transfers between the fair value hierarchies.Movements in level 3 financial instruments measured at fair valueThe following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are recorded at fair value.Assets LiabilitiesFinancial Financial assets held Loans and investments at at fair value through advances at fair value through other comprehensive fair value through (in millions) Derivativesprofit or lossincomeprofit or loss Issued debtBalance at 1 January 2022 88 433 481Purchases55Sales-45Redemptions-31Gains/(losses) recorded in profit and loss13 12Unrealised gains/(losses)-49 31 -124Transfer between levels7Other movements-2 30Balance at 31 December 2022 46 481 358 30Change in accounting policy 982Purchases 145Sales -2 -243Issuance 24Redemptions -12 -38 -1751Gains/(losses) recorded in profit and loss6 1 12Unrealised gains/(losses)1 52 10 59Transfer between levels -21Other movements -14 -2Balance at 31 December 2023 26 656 330 6761 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 informationInterest-earning securities - government bondsABN AMRO has a position in a Polish bond, denominated in euros (see 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.Equity shares - preferred sharesEquities 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: \u2022 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; \u2022 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 - either the EVCA technique or NAV calculation - 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.DerivativesABN 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.Loans and advances \u2013 Equity release mortgagesABN AMRO offers equity release mortgages which provide a way to liquidate home equity and are designed for senior homeowners. These loans are valued using a discounted cash flow model for which the assumed prepayment rate is the most relevant input parameter. The prepayment rate is based on mortality rates and historical prepayment rates observed for equity release mortgages. The sensitivity range is based on the observed historical bandwidth in prepayment rates.Loans and advances - OtherABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease of clients. The loans are valued using a discounted cash flow model, in which expected future cashflows are discounted against actual interest rates, in combination with an adjustment for expected credit losses. The sensitivity range is based on a bandwidth in expected credit losses.Valuation Unobservable Carrying Possible alternative Unobservable Unobservable techniquedatavalueassumptionsdata rangedata baseApplying Applying Applying Applying (in millions)minimummaximumminimummaximum31 December 2023Equity shares Private equity EBITDA valuationmultiples136 -14 14Equity shares Private equity Net asset valuevaluation519 -52 52Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 330 -11 28 4bps 139bps 101bpsLoans and advances - Discounted Prepayment Equity release mortgagescash flowrate 398 -9 9 1.9% 3.2% 2.5%Loans and advances - Discounted Credit Othercash flowspread 250 -7 11Derivatives held for trading Discounted Probability cash flowof default 26 -3 4 0.0% 100.0% 12.7%31 December 2022Equity shares Private equity EBITDA valuationmultiples 140 -14 14Equity shares Private equity Net asset valuationvalue 342 -34 34Interest-earning securities - Discounted Liquidity and government bondscash flowcredit spread 320 -9 18 14bps 102bps 73bpsInterest-earning securities - Discounted Liquidity and othercash flowcredit spread 38 -1 214bps 546bps 313bpsDerivatives held for trading Discounted Probability cash flowof default 46 -2 4 0.0% 100.0% 15.0%22 Fair value of financial instruments not carried at fair valueAccounting policy for fair value of financial instruments not carried at fair valueThe 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 methodologiesThe 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 the 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 instrumentsThe 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 on the determination of their fair value.Cash and balances at central banksCash 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 financingSecurities 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, their carrying amounts (net of impairment allowances) are considered an approximation of the fair value. Securities financing amounts are classified as level 2.Loans and advances banks and customersThe fair value of loans and advances to 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 are used instead of contractual maturities 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 to banks and customers. Due to the short-term characteristics of these instruments, their carrying amounts are considered an approximation of the fair value. The related amounts are classified as level 2.Due to banks and customersThe fair value of instruments such as deposits and borrowings included in amounts 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 their 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 amounts due to banks and customers. Due to the short-term characteristics of these instruments, their carrying amounts are considered an approximation of the fair value. The related amounts are classified as level 2.Issued debt and subordinated liabilitiesThe 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 2023Carrying value Total fair value DifferenceValuation Valuation techniques Quoted market techniques -significant prices in -observable unobservable (in millions)active marketsinputsinputsAssetsCash and balances at central banks53,656 53,656 53,656Securities financing21,503 21,503 21,503Loans and advances banks2,324 2,120 208 2,328 4Loans and advances customers245,228 29,444 209,884 239,328 -5,900Total 322,709 53,656 53,066 210,092 316,814 -5,896LiabilitiesSecurities financing11,710 11,710 11,710Due to banks5,352 2,294 3,126 5,419 68Due to customers254,466 237,483 16,739 254,222 -245Issued debt66,005 46,178 19,936 66,115 109Subordinated liabilities5,572 1,875 3,833 5,708 136Total 343,105 48,053 275,256 19,865 343,174 6931 December 2022Carrying value Total fair value DifferenceValuation Valuation techniques Quoted market techniques -significant prices in -observable unobservable (in millions)active marketsinputsinputsAssetsCash and balances at central banks60,865 60,865 60,865Securities financing20,032 20,032 20,032Loans and advances banks2,982 2,645 340 2,986 31Loans and advances customers243,861 30,373 205,235 235,608 -8,2531Total327,741 60,865 53,051 205,575 319,492 -8,250LiabilitiesSecurities financing9,652 9,652 9,6521Due to banks17,509 3,174 14,232 17,406 -1031Due to customers255,015 245,755 8,609 254,364 -6501Issued debt56,036 35,185 21,365 56,549 5131Subordinated liabilities7,290 4,103 3,249 7,352 621Total345,502 39,288 283,195 22,842 345,325 -1781 ABN AMRO performed a detailed review on its disclosure of the fair value of financial instruments not carried at fair value. This resulted in changes in the calculations for the fair value estimation which were not determined correctly in the past. The changes in the fair value calculation did not have a material impact on the prior period figures, however these have been adjusted for comparison reasons.",
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"pp-value-301-11": {
"value": "19 Fair value of financial instruments carried at fair valueAccounting policy for fair value of financial instrumentsThe 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.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:\u2022 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;\u2022 Funding valuation adjustment. The funding valuation adjustment incorporates the incremental cost of funding into the valuation of uncollateralised and partially collateralised derivatives;\u2022 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;\u2022 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 valueAccounting policy for fair value of financial instruments not carried at fair valueThe 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.",
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"value": "20 Loans and advances banksAccounting policy for loans and advances banks and customersLoans 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).(in millions) 31 December 2023 31 December 2022Interest-bearing deposits1,401 1,771Loans and advances729 934Mandatory reserve deposits with central banks181 200Other loans and advances banks16 85Subtotal 2,327 2,990Less: loan impairment allowances3 8Total loans and advances banks 2,324 2,982Mandatory 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 it meets the minimum reserve requirements for the period.",
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"pp-value-309-10": {
"value": "20 Loans and advances banksAccounting policy for loans and advances banks and customersLoans 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).",
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},
"pp-value-320-2": {
"value": "23 Group structureAccounting policy for associates and joint venturesAssociates 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-acquisition net income (or loss), other movements affecting 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 the share of result in equity accounted investments. 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. 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.Assets and liabilities of acquisitions and divestmentsThe 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 2023 31 December 2022(in millions) Acquisitions Divestments Acquisitions DivestmentsAssets and liabilities of acquisitions and divestmentsLoans and advances banks-9Equity-accounted investments23 -35 13 -51Other assets-75Net assets acquired/Net assets divested 23 -35 13 -135Result on divestments, gross33 147Net disposal result 33 147Cash received from divestments/(used for acquisitions)/Total Proceeds from sale/(purchase consideration)-23 68 -13 281Cash and cash equivalents divested/(acquired)-9Cash received from divestments/(used for acquisitions) -23 68 -13 272Equity accounted investmentsThe following table provides an overview of the most significant investments in associates and joint ventures at equity method.31 December 2023 31 December 2022Principal place Carrying Equity Carrying Equity (in millions)of business Business lineamountinterestamountinterestJoint ventures1Wealth Neuflize Vie S.A.FranceManagement 65 60% 219 60%Other joint ventures25 25AssociatesNationale-Nederlanden ABN AMRO Verzekeringen Hold-Personal & ing B.V. The NetherlandsBusiness Banking 67 49% 54 49%Other equity associates176 176Total equity associates and joint ventures 333 4741 At 31 December 2023, ABN AMRO owns 60% of the outstanding shares of Neuflize Via S.A. The carrying amount in the table represents 20% of the outstanding shares in Neuflize Vie S.A. The remaining 40% of the shares meet the criteria of non-current assets held for sale as at 31 December 2023 and are accounted for as such. ABN AMRO assesses on a quarterly basis if the held for sale criteria are met.Neuflize Vie S.A. is a joint venture for which the power to govern the financial and operating policies of its 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 2023 31 December 2022Joint venture Associate Joint venture AssociateNationale-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.AssetsCash and balances at central banks75 18Financial assets held for trading1,322Financial investments11,215 10,874 1,079Loans and advances banks and customers260 1,929Property and equipment398 2 380Accrued income and prepaid expenses37 36 26Other assets76 83 41 102Total assets 11,801 103 11,590 4,457LiabilitiesDue to banks and customers7 35Provisions11,427 4,495 4,100Other liabilities42 24 6,696 100Total liabilities11,477 24 11,225 4,201EquityTotal equity 324 79 365 257Total liabilities and equity 11,801 103 11,590 4,4571Bank\u2019s share of equity65 67 219 54Carrying amount 65 67 219 541 The bank\u2019s share of equity represents 20% of the outstanding shares in Neuflize Vie S.A. The remaining 40% of the shares meet the criteria of non-current assets held for sale as at 31 December 2023 and are accounted for as such. ABN AMRO assesses on a quarterly basis if the held for sale criteria are met.Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. (EUR 0.1 billion at 31 December 2023, compared with EUR 4.5 billion at 31 December 2022).The 2023 amounts presented for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the last approved annual accounts of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statement 2022). The 2022 amounts presented for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the last approved of the underlying insurance companies of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statement 2021).Neuflize Vie S.A. holds the majority of assets under joint ventures (EUR 11.8 billion at 31 December 2023, compared with EUR 11.6 billion at 31 December 2022).2023 2022Joint venture Associate Joint venture AssociateNationale-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 income120 107 92 519Operating income 120 107 92 519Other operating expenses96 3 51 464Operating expenses 96 3 51 464Profit/(loss) before taxation 24 104 41 55Income tax expense5 -1 9 12Profit/(loss) for the period 19 105 32 42Other comprehensive income5 -2Total comprehensive income 24 105 30 422023 2022(in millions) Joint ventures Associates Joint ventures AssociatesOperating income122 780 92 1,493Operating expenses96 674 51 892Profit/(loss) before taxation 25 106 41 601Income tax expense5 -9 9 52Profit/(loss) for the period 20 115 32 549The 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 2023 and 2022.",
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"pp-value-320-3": {
"value": "23 Group structureAccounting policy for subsidiariesABN 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 takes into account 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's subsidiaries. Some of these entities hold assets that are not available to meet claims of ABN AMRO's creditors or 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, as a result of which 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.Accounting policy for associates and joint venturesAssociates 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-acquisition net income (or loss), other movements affecting 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 the share of result in equity accounted investments. 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. 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.Assets and liabilities of acquisitions and divestmentsThe 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 2023 31 December 2022(in millions) Acquisitions Divestments Acquisitions DivestmentsAssets and liabilities of acquisitions and divestmentsLoans and advances banks-9Equity-accounted investments23 -35 13 -51Other assets-75Net assets acquired/Net assets divested 23 -35 13 -135Result on divestments, gross33 147Net disposal result 33 147Cash received from divestments/(used for acquisitions)/Total Proceeds from sale/(purchase consideration)-23 68 -13 281Cash and cash equivalents divested/(acquired)-9Cash received from divestments/(used for acquisitions) -23 68 -13 272Acquisitions and DivestmentsAcquisitions in 2023No significant acquisitions were made in 2023. On 13 December 2023 however, ABN AMRO did reach an agreement to acquire BUX, a neobroker active in Europe. The transaction is subject to approval by the regulator and is expected to be finalised in 2024.Divestments in 2023The change in divestments in 2023 was impacted by the sale of European Merchant Services B.V. and the liquidation of ABN AMRO Capital USA LLC.Acquisitions in 2022No significant acquisitions were made in 2022.Divestments in 2022The change in divestments in 2022 was impacted by the sale of ABN AMRO Levensverzekeringen, ABN AMRO Pensioeninstellingen and MP Solar.Equity accounted investmentsThe following table provides an overview of the most significant investments in associates and joint ventures at equity method.31 December 2023 31 December 2022Principal place Carrying Equity Carrying Equity (in millions)of business Business lineamountinterestamountinterestJoint ventures1Wealth Neuflize Vie S.A.FranceManagement 65 60% 219 60%Other joint ventures25 25AssociatesNationale-Nederlanden ABN AMRO Verzekeringen Hold-Personal & ing B.V. The NetherlandsBusiness Banking 67 49% 54 49%Other equity associates176 176Total equity associates and joint ventures 333 4741 At 31 December 2023, ABN AMRO owns 60% of the outstanding shares of Neuflize Via S.A. The carrying amount in the table represents 20% of the outstanding shares in Neuflize Vie S.A. The remaining 40% of the shares meet the criteria of non-current assets held for sale as at 31 December 2023 and are accounted for as such. ABN AMRO assesses on a quarterly basis if the held for sale criteria are met.Neuflize Vie S.A. is a joint venture for which the power to govern the financial and operating policies of its 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 2023 31 December 2022Joint venture Associate Joint venture AssociateNationale-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.AssetsCash and balances at central banks75 18Financial assets held for trading1,322Financial investments11,215 10,874 1,079Loans and advances banks and customers260 1,929Property and equipment398 2 380Accrued income and prepaid expenses37 36 26Other assets76 83 41 102Total assets 11,801 103 11,590 4,457LiabilitiesDue to banks and customers7 35Provisions11,427 4,495 4,100Other liabilities42 24 6,696 100Total liabilities11,477 24 11,225 4,201EquityTotal equity 324 79 365 257Total liabilities and equity 11,801 103 11,590 4,4571Bank\u2019s share of equity65 67 219 54Carrying amount 65 67 219 541 The bank\u2019s share of equity represents 20% of the outstanding shares in Neuflize Vie S.A. The remaining 40% of the shares meet the criteria of non-current assets held for sale as at 31 December 2023 and are accounted for as such. ABN AMRO assesses on a quarterly basis if the held for sale criteria are met.Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. (EUR 0.1 billion at 31 December 2023, compared with EUR 4.5 billion at 31 December 2022).The 2023 amounts presented for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the last approved annual accounts of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statement 2022). The 2022 amounts presented for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the last approved of the underlying insurance companies of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statement 2021).Neuflize Vie S.A. holds the majority of assets under joint ventures (EUR 11.8 billion at 31 December 2023, compared with EUR 11.6 billion at 31 December 2022).2023 2022Joint venture Associate Joint venture AssociateNationale-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 income120 107 92 519Operating income 120 107 92 519Other operating expenses96 3 51 464Operating expenses 96 3 51 464Profit/(loss) before taxation 24 104 41 55Income tax expense5 -1 9 12Profit/(loss) for the period 19 105 32 42Other comprehensive income5 -2Total comprehensive income 24 105 30 422023 2022(in millions) Joint ventures Associates Joint ventures AssociatesOperating income122 780 92 1,493Operating expenses96 674 51 892Profit/(loss) before taxation 25 106 41 601Income tax expense5 -9 9 52Profit/(loss) for the period 20 115 32 549The 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 2023 and 2022.Unconsolidated structured entitiesUnconsolidated structured entities are entities over which ABN AMRO has no control or significant influence. ABN AMRO is involved in 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 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 1.9 billion to EUR 7.3 billion at year-end 2023 (31 December 2022: EUR 5.3 billion). These interests consisted mainly of debt securities in corporate loans amounting to EUR 789 million (31 December 2022: EUR 681 million) and mortgage- and other asset-backed securities recognised under financial investments totalling EUR 5.0 billion (31 December 2022: EUR 3.3 billion). The maximum exposure to losses from these interests is equal to the total carrying amount.Sponsoring of unconsolidated structured entitiesAn entity is considered a sponsor of an unconsolidated structured entity if it had a key role in establishing that entity in order to enable the transaction that is the purpose of the entity. No sponsoring occurred during 2023.",
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"pp-value-320-4": {
"value": "23 Group structureAccounting policy for subsidiariesABN 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 takes into account 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's subsidiaries. Some of these entities hold assets that are not available to meet claims of ABN AMRO's creditors or 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, as a result of which 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 divestmentsThe 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 2023 31 December 2022(in millions) Acquisitions Divestments Acquisitions DivestmentsAssets and liabilities of acquisitions and divestmentsLoans and advances banks-9Equity-accounted investments23 -35 13 -51Other assets-75Net assets acquired/Net assets divested 23 -35 13 -135Result on divestments, gross33 147Net disposal result 33 147Cash received from divestments/(used for acquisitions)/Total Proceeds from sale/(purchase consideration)-23 68 -13 281Cash and cash equivalents divested/(acquired)-9Cash received from divestments/(used for acquisitions) -23 68 -13 272Acquisitions and DivestmentsAcquisitions in 2023No significant acquisitions were made in 2023. On 13 December 2023 however, ABN AMRO did reach an agreement to acquire BUX, a neobroker active in Europe. The transaction is subject to approval by the regulator and is expected to be finalised in 2024.Divestments in 2023The change in divestments in 2023 was impacted by the sale of European Merchant Services B.V. and the liquidation of ABN AMRO Capital USA LLC.Acquisitions in 2022No significant acquisitions were made in 2022.Divestments in 2022The change in divestments in 2022 was impacted by the sale of ABN AMRO Levensverzekeringen, ABN AMRO Pensioeninstellingen and MP Solar.",
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"pp-value-320-5": {
"value": "23 Group structureAccounting policy for associates and joint venturesAssociates 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-acquisition net income (or loss), other movements affecting 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 the share of result in equity accounted investments. 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. 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.Assets and liabilities of acquisitions and divestmentsThe 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 2023 31 December 2022(in millions) Acquisitions Divestments Acquisitions DivestmentsAssets and liabilities of acquisitions and divestmentsLoans and advances banks-9Equity-accounted investments23 -35 13 -51Other assets-75Net assets acquired/Net assets divested 23 -35 13 -135Result on divestments, gross33 147Net disposal result 33 147Cash received from divestments/(used for acquisitions)/Total Proceeds from sale/(purchase consideration)-23 68 -13 281Cash and cash equivalents divested/(acquired)-9Cash received from divestments/(used for acquisitions) -23 68 -13 272Equity accounted investmentsThe following table provides an overview of the most significant investments in associates and joint ventures at equity method.31 December 2023 31 December 2022Principal place Carrying Equity Carrying Equity (in millions)of business Business lineamountinterestamountinterestJoint ventures1Wealth Neuflize Vie S.A.FranceManagement 65 60% 219 60%Other joint ventures25 25AssociatesNationale-Nederlanden ABN AMRO Verzekeringen Hold-Personal & ing B.V. The NetherlandsBusiness Banking 67 49% 54 49%Other equity associates176 176Total equity associates and joint ventures 333 4741 At 31 December 2023, ABN AMRO owns 60% of the outstanding shares of Neuflize Via S.A. The carrying amount in the table represents 20% of the outstanding shares in Neuflize Vie S.A. The remaining 40% of the shares meet the criteria of non-current assets held for sale as at 31 December 2023 and are accounted for as such. ABN AMRO assesses on a quarterly basis if the held for sale criteria are met.Neuflize Vie S.A. is a joint venture for which the power to govern the financial and operating policies of its 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 2023 31 December 2022Joint venture Associate Joint venture AssociateNationale-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.AssetsCash and balances at central banks75 18Financial assets held for trading1,322Financial investments11,215 10,874 1,079Loans and advances banks and customers260 1,929Property and equipment398 2 380Accrued income and prepaid expenses37 36 26Other assets76 83 41 102Total assets 11,801 103 11,590 4,457LiabilitiesDue to banks and customers7 35Provisions11,427 4,495 4,100Other liabilities42 24 6,696 100Total liabilities11,477 24 11,225 4,201EquityTotal equity 324 79 365 257Total liabilities and equity 11,801 103 11,590 4,4571Bank\u2019s share of equity65 67 219 54Carrying amount 65 67 219 541 The bank\u2019s share of equity represents 20% of the outstanding shares in Neuflize Vie S.A. The remaining 40% of the shares meet the criteria of non-current assets held for sale as at 31 December 2023 and are accounted for as such. ABN AMRO assesses on a quarterly basis if the held for sale criteria are met.Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V. (EUR 0.1 billion at 31 December 2023, compared with EUR 4.5 billion at 31 December 2022).The 2023 amounts presented for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the last approved annual accounts of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statement 2022). The 2022 amounts presented for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the last approved of the underlying insurance companies of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statement 2021).Neuflize Vie S.A. holds the majority of assets under joint ventures (EUR 11.8 billion at 31 December 2023, compared with EUR 11.6 billion at 31 December 2022).2023 2022Joint venture Associate Joint venture AssociateNationale-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 income120 107 92 519Operating income 120 107 92 519Other operating expenses96 3 51 464Operating expenses 96 3 51 464Profit/(loss) before taxation 24 104 41 55Income tax expense5 -1 9 12Profit/(loss) for the period 19 105 32 42Other comprehensive income5 -2Total comprehensive income 24 105 30 422023 2022(in millions) Joint ventures Associates Joint ventures AssociatesOperating income122 780 92 1,493Operating expenses96 674 51 892Profit/(loss) before taxation 25 106 41 601Income tax expense5 -9 9 52Profit/(loss) for the period 20 115 32 549The 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 2023 and 2022.",
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"pp-value-320-6": {
"value": "23 Group structureAccounting policy for associates and joint venturesA 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-acquisition net income (or loss), other movements affecting 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 the share of result in equity accounted investments. 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. 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.Assets and liabilities of acquisitions and divestmentsThe 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 2023 31 December 2022(in millions) Acquisitions Divestments Acquisitions DivestmentsAssets and liabilities of acquisitions and divestmentsLoans and advances banks-9Equity-accounted investments23 -35 13 -51Other assets-75Net assets acquired/Net assets divested 23 -35 13 -135Result on divestments, gross33 147Net disposal result 33 147Cash received from divestments/(used for acquisitions)/Total Proceeds from sale/(purchase consideration)-23 68 -13 281Cash and cash equivalents divested/(acquired)-9Cash received from divestments/(used for acquisitions) -23 68 -13 272Equity accounted investmentsThe following table provides an overview of the most significant investments in associates and joint ventures at equity method.31 December 2023 31 December 2022Principal place Carrying Equity Carrying Equity (in millions)of business Business lineamountinterestamountinterestJoint ventures1Wealth Neuflize Vie S.A.FranceManagement 65 60% 219 60%Other joint ventures25 25AssociatesNationale-Nederlanden ABN AMRO Verzekeringen Hold-Personal & ing B.V. The NetherlandsBusiness Banking 67 49% 54 49%Other equity associates176 176Total equity associates and joint ventures 333 4741 At 31 December 2023, ABN AMRO owns 60% of the outstanding shares of Neuflize Via S.A. The carrying amount in the table represents 20% of the outstanding shares in Neuflize Vie S.A. The remaining 40% of the shares meet the criteria of non-current assets held for sale as at 31 December 2023 and are accounted for as such. ABN AMRO assesses on a quarterly basis if the held for sale criteria are met.Neuflize Vie S.A. is a joint venture for which the power to govern the financial and operating policies of its 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 2023 31 December 2022Joint venture Associate Joint venture AssociateNationale-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.AssetsCash and balances at central banks75 18Financial assets held for trading1,322Financial investments11,215 10,874 1,079Loans and advances banks and customers260 1,929Property and equipment398 2 380Accrued income and prepaid expenses37 36 26Other assets76 83 41 102Total assets 11,801 103 11,590 4,457LiabilitiesDue to banks and customers7 35Provisions11,427 4,495 4,100Other liabilities42 24 6,696 100Total liabilities11,477 24 11,225 4,201EquityTotal equity 324 79 365 257Total liabilities and equity 11,801 103 11,590 4,4571Bank\u2019s share of equity65 67 219 54Carrying amount 65 67 219 541 The bank\u2019s share of equity represents 20% of the outstanding shares in Neuflize Vie S.A. The remaining 40% of the shares meet the criteria of non-current assets held for sale as at 31 December 2023 and are accounted for as such. ABN AMRO assesses on a quarterly basis if the held for sale criteria are met.Neuflize Vie S.A. holds the majority of assets under joint ventures (EUR 11.8 billion at 31 December 2023, compared with EUR 11.6 billion at 31 December 2022).2023 2022Joint venture Associate Joint venture AssociateNationale-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 income120 107 92 519Operating income 120 107 92 519Other operating expenses96 3 51 464Operating expenses 96 3 51 464Profit/(loss) before taxation 24 104 41 55Income tax expense5 -1 9 12Profit/(loss) for the period 19 105 32 42Other comprehensive income5 -2Total comprehensive income 24 105 30 422023 2022(in millions) Joint ventures Associates Joint ventures AssociatesOperating income122 780 92 1,493Operating expenses96 674 51 892Profit/(loss) before taxation 25 106 41 601Income tax expense5 -9 9 52Profit/(loss) for the period 20 115 32 549The 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 2023 and 2022.",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-320-7": {
"value": "23 Group structureAccounting policy for business combinationsABN 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 amount of the purchase consideration in excess of 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 divestmentsThe 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 2023 31 December 2022(in millions) Acquisitions Divestments Acquisitions DivestmentsAssets and liabilities of acquisitions and divestmentsLoans and advances banks-9Equity-accounted investments23 -35 13 -51Other assets-75Net assets acquired/Net assets divested 23 -35 13 -135Result on divestments, gross33 147Net disposal result 33 147Cash received from divestments/(used for acquisitions)/Total Proceeds from sale/(purchase consideration)-23 68 -13 281Cash and cash equivalents divested/(acquired)-9Cash received from divestments/(used for acquisitions) -23 68 -13 272Acquisitions and DivestmentsAcquisitions in 2023No significant acquisitions were made in 2023. On 13 December 2023 however, ABN AMRO did reach an agreement to acquire BUX, a neobroker active in Europe. The transaction is subject to approval by the regulator and is expected to be finalised in 2024.Divestments in 2023The change in divestments in 2023 was impacted by the sale of European Merchant Services B.V. and the liquidation of ABN AMRO Capital USA LLC.Acquisitions in 2022No significant acquisitions were made in 2022.Divestments in 2022The change in divestments in 2022 was impacted by the sale of ABN AMRO Levensverzekeringen, ABN AMRO Pensioeninstellingen and MP Solar.",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-320-9": {
"value": "23 Group structureAccounting policy for business combinationsABN 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 amount of the purchase consideration in excess of 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 assetsAccounting policy for impairment of non-financial assetsAt 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.GoodwillGoodwill 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.",
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"language": "en",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-320-10": {
"value": "23 Group structureAccounting policy for business combinationsABN 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 amount of the purchase consideration in excess of 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-320-11": {
"value": "23 Group structureAccounting policy for subsidiariesABN 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 takes into account 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's subsidiaries. Some of these entities hold assets that are not available to meet claims of ABN AMRO's creditors or 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, as a result of which 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-320-12": {
"value": "23 Group structureAccounting policy for associates and joint venturesAssociates 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-acquisition net income (or loss), other movements affecting 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 the share of result in equity accounted investments. 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. 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:DescriptionOfAccountingPolicyForInvestmentInAssociatesAndJointVenturesExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-320-13": {
"value": "23 Group structureAccounting policy for associates and joint venturesAssociates 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-acquisition net income (or loss), other movements affecting 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 the share of result in equity accounted investments. 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. 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:DescriptionOfAccountingPolicyForInvestmentInAssociates",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-320-14": {
"value": "23 Group structureAccounting policy for associates and joint venturesA 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-acquisition net income (or loss), other movements affecting 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 the share of result in equity accounted investments. 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. 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.",
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"concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentsInJointVentures",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-334-7": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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.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 impairment of non-financial assetsAt 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.(in millions) 31 December 2023 31 December 2022Land and buildings held for own use225 191Leasehold improvements44 39Plant & equipment under operating lease338 427Equipment78 81Right of use assets285 241Other9 10Total property and equipment 978 988The right of use assets consist primarily of real estate.2023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 99The fair value of land and buildings held for own use is estimated at EUR 199 million at 31 December 2023 (31 December 2022: EUR 234 million). The fair value is entirely based on external valuations performed from 2017 to 2023. Some of the properties have a lower fair value than the recorded carrying value, but 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 value of all these assets.The building at Foppingadreef in Amsterdam is being reconstructed to make it an example with regard to sustainability and circularity. Furthermore, when the project is finished it will meet our own ambition to be Paris Proof before 2030. In the first half of 2023, ABN AMRO signed a construction contract with a total value of EUR 430 million. As at 31 December 2023, EUR 38 million had been paid towards the construction contract. The contract will be settled on a monthly basis during the course of the construction of the building. This amount will be subject to price indexation based on the BDB index. The project is scheduled to be completed by the end of 2026.2022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108",
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"concept": "ifrs-full:DisclosureOfPropertyPlantAndEquipmentExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-334-8": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assetsAt 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 assetsGoodwillGoodwill 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 assetsThe 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 amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only the development phase is capitalised.Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as client 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 2023 31 December 2022Goodwill79Purchased software10 12Internally developed software81 6Other8 12Total goodwill and other intangible assets99 1082023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 992022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108Valuation of goodwill31 December 31 December 20232022Method used Long-term for recoverable Discount growth Impairment (in millions) Segmentamountrateratecharges Goodwill GoodwillEntityBethmannWealth Management Value in use 10.0% 0.0% 63 63ABN AMRO Asset Based Finance N.V., (UK) BranchCorporate Banking Value in use 10.0% 0.0% 9 9Banque NeuflizeWealth Management Value in use 10.0% 0.0% 6 6Total goodwill and impairment charges 79 79ABN AMRO performed its annual impairment test in the last quarter of 2023. ABN AMRO considers the relationship between its market capitalisation and its book value, among other factors, when reviewing for indicators of impairment. In 2023, the value in use showed a strong decline. The outcome of the impairment tests performed is that a full impairment of all goodwill has been recognised. The recoverable amount of the Bethmann of EUR 79 million as at 31 December 2023 has been determined based on the value in use calculation, using cash flow projections from financial budgets approved by senior management and covering a four-year period. As a result of this analysis, management has recognised a full impairment of goodwill, totalling EUR 63 million as at 31 December 2023. The recoverable amounts of the ABN AMRO Asset Based Finance N.V, UK Branch and Banque Neuflize of EUR 125 million and EUR 362 million, respectively, are determined on a value in use calculation, using cash flow projections from ROE financial forecasts approved by senior management and covering a five-year period. The pre-tax discount rate applied to all cash flow projections is 10%, based on the return of equity.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfIntangibleAssetsAndGoodwillExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-9": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assetsAt 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 assetsSoftware and other intangible assetsThe 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 amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only the development phase is capitalised.Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as client 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 2023 31 December 2022Goodwill79Purchased software10 12Internally developed software81 6Other8 12Total goodwill and other intangible assets99 1082023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 992022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108",
"dimensions": {
"concept": "ifrs-full:DisclosureOfIntangibleAssetsExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-10": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assetsAt 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 assetsGoodwillGoodwill 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 2023 31 December 2022Goodwill79Purchased software10 12Internally developed software81 6Other8 12Total goodwill and other intangible assets99 1082023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 992022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108Valuation of goodwill31 December 31 December 20232022Method used Long-term for recoverable Discount growth Impairment (in millions) Segmentamountrateratecharges Goodwill GoodwillEntityBethmannWealth Management Value in use 10.0% 0.0% 63 63ABN AMRO Asset Based Finance N.V., (UK) BranchCorporate Banking Value in use 10.0% 0.0% 9 9Banque NeuflizeWealth Management Value in use 10.0% 0.0% 6 6Total goodwill and impairment charges 79 79ABN AMRO performed its annual impairment test in the last quarter of 2023. ABN AMRO considers the relationship between its market capitalisation and its book value, among other factors, when reviewing for indicators of impairment. In 2023, the value in use showed a strong decline. The outcome of the impairment tests performed is that a full impairment of all goodwill has been recognised. The recoverable amount of the Bethmann of EUR 79 million as at 31 December 2023 has been determined based on the value in use calculation, using cash flow projections from financial budgets approved by senior management and covering a four-year period. As a result of this analysis, management has recognised a full impairment of goodwill, totalling EUR 63 million as at 31 December 2023. The recoverable amounts of the ABN AMRO Asset Based Finance N.V, UK Branch and Banque Neuflize of EUR 125 million and EUR 362 million, respectively, are determined on a value in use calculation, using cash flow projections from ROE financial forecasts approved by senior management and covering a five-year period. The pre-tax discount rate applied to all cash flow projections is 10%, based on the return of equity.",
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"concept": "ifrs-full:DisclosureOfGoodwillExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-11": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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.2023Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580Acquisitions/divestments of subsidiariesAdditions63 12 98 35 138 346 9 9Reversal of cost due to disposals-50 -21 -255 -47 -38 -412 -4 -4Foreign exchange differences-1 5 -2 -2Internally generated software75 75Other38 9 2 -12 36 -27 -28Acquisition costs as at 31 December777 208 649 626 584 11 2,853 115 517 632Accumulated depreciation/amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398Depreciation/amortisation-16 -14 -40 -85 -155 -14 -14Depreciation of assets subject to oper-ating lease -108 -108Reversal of depreciation/amortisation due to disposals33 20 172 46 21 292 4 4Foreign exchange differences1 -2 2Other-34 -1 1 12 -22Accumulated depreciation/amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74Acquisitions/divestments of subsidiariesIncrease of impairments charged to the income statement-1 -1 -1 -3 -79 -79Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statementReversal of impairments due to dis-posals 1 1 8 10Foreign exchange differences1 1Other1 1 28 28Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125Total as at 31 December 225 44 338 78 285 9 978 99 992022Total Land and Plant & Other Total goodwill buildings Leasehold equipment Right property property Other and other held for improve-under of use and and Good-intangible intangible (in millions)own usementsoper. lease EquipmentassetsequipmentequipmentwillassetsassetsAcquisition costs as at 1 January 815 244 931 795 547 3,333 147 884 1,031Acquisitions/divestments of subsidiaries -2 -2Additions 33 8 96 38 93 11 278 3 3Reversal of cost due to disposals -72 -47 -214 -202 -78 -613 -3 -448 -450Foreign exchange differences2 -12 1 3 -7 1 1Other-50 3 6 -68 -109 -1 -2Acquisition costs as at 31 December 726 209 801 638 497 11 2,883 142 438 580Accumulated depreciation/amortisation as at 1 January -596 -195 -389 -707 -190 -2,078 -825 -825Depreciation/amortisation -24 -13 -42 -78 -156 -19 -19Depreciation of assets subject to operating lease -127 -127Reversal of depreciation/amortisation due to disposals 54 46 142 201 68 511 446 446Foreign exchange differences-1 6 -1 4 -1 -1Other 36 -3 -4 -5 24Accumulated depreciation/amortisation as at 31 December -530 -165 -369 -554 -205 -1,824 -398 -398Accumulated impairments as at 1 January -8 -6 -8 -4 -57 -83 -68 -10 -78Acquisitions/divestments of subsidiaries 2 2Increase of impairments charged to the income statement -1 -4 -1 -6Impairments on assets subject to oper-ating lease 2 2Reversal of impairments credited to the income statement 10 10Reversal of impairments due to dis-posals4 1 4 10 3 3Foreign exchange differences -2 -3Other -1Accumulated impairments as at 31 December-5 -5 -5 -4 -51 -1 -70 -64 -10 -74Total as at 31 December 191 39 427 81 241 10 988 79 30 108(in millions) 2023 2022Depreciation on tangible assetsLand and buildings held for own use16 24Leasehold improvements14 13Equipment40 42Right of use assets85 78Amortisation on intangible assetsPurchased software7 10Internally developed software3 2Other intangible assets4 7Impairment losses on tangible assetsLand and buildings held for own use (incl. held for sale)1 1Right of use assets1 -5Other1 1Impairment losses on intangible assetsGoodwill79Purchased softwareTotal depreciation, amortisation and impairment losses 251 172",
"dimensions": {
"concept": "ifrs-full:DisclosureOfDepreciationAndAmortisationExpenseExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-12": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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.Accounting policy for impairment of non-financial assetsAt 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 199 million at 31 December 2023 (31 December 2022: EUR 234 million). The fair value is entirely based on external valuations performed from 2017 to 2023. Some of the properties have a lower fair value than the recorded carrying value, but 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 value of all these assets.Valuation of goodwill31 December 31 December 20232022Method used Long-term for recoverable Discount growth Impairment (in millions) Segmentamountrateratecharges Goodwill GoodwillEntityBethmannWealth Management Value in use 10.0% 0.0% 63 63ABN AMRO Asset Based Finance N.V., (UK) BranchCorporate Banking Value in use 10.0% 0.0% 9 9Banque NeuflizeWealth Management Value in use 10.0% 0.0% 6 6Total goodwill and impairment charges 79 79ABN AMRO performed its annual impairment test in the last quarter of 2023. ABN AMRO considers the relationship between its market capitalisation and its book value, among other factors, when reviewing for indicators of impairment. In 2023, the value in use showed a strong decline. The outcome of the impairment tests performed is that a full impairment of all goodwill has been recognised. The recoverable amount of the Bethmann of EUR 79 million as at 31 December 2023 has been determined based on the value in use calculation, using cash flow projections from financial budgets approved by senior management and covering a four-year period. As a result of this analysis, management has recognised a full impairment of goodwill, totalling EUR 63 million as at 31 December 2023. The recoverable amounts of the ABN AMRO Asset Based Finance N.V, UK Branch and Banque Neuflize of EUR 125 million and EUR 362 million, respectively, are determined on a value in use calculation, using cash flow projections from ROE financial forecasts approved by senior management and covering a five-year period. The pre-tax discount rate applied to all cash flow projections is 10%, based on the return of equity.(in millions) 2023 2022Depreciation on tangible assetsLand and buildings held for own use16 24Leasehold improvements14 13Equipment40 42Right of use assets85 78Amortisation on intangible assetsPurchased software7 10Internally developed software3 2Other intangible assets4 7Impairment losses on tangible assetsLand and buildings held for own use (incl. held for sale)1 1Right of use assets1 -5Other1 1Impairment losses on intangible assetsGoodwill79Purchased softwareTotal depreciation, amortisation and impairment losses 251 172",
"dimensions": {
"concept": "ifrs-full:DisclosureOfImpairmentOfAssetsExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-17": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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.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 impairment of non-financial assetsAt 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:DescriptionOfAccountingPolicyForPropertyPlantAndEquipmentExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-18": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for property and equipmentProperty and equipment are stated at cost less accumulated depreciation and any accumulated 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 applies the following useful lives to calculate depreciation:\u2022 Land: not depreciated;\u2022 Buildings: 30 years;\u2022 Leasehold improvements: 5 years;\u2022 Equipment: 5 years;\u2022 Installations (durable): 10 years;\u2022 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-19": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assetsAt 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-20": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assetsAt 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 leasesLessor accountingWhere ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where the bank transfers 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 accountingAll 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 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. Given that ABN AMRO cannot readily determine the interest rate implicit in the lease, it uses the incremental borrowing rate to measure lease liabilities.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 property and equipment, while the lease liabilities are included in other liabilities. Depreciation of the ROU assets is included in depreciation, while amortisation of tangible and intangible assets is included in the income statement, and interest expense on lease liabilities is included in other interest and similar expense.Sale and leaseback transactionsIn 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 accountingIf 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 constitutes 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-21": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assetsAt 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 assetsGoodwillGoodwill 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 assetsThe 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 amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only the development phase is capitalised.Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as client 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-22": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assetsAt 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 assetsGoodwillGoodwill 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-334-23": {
"value": "24 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assetsAt 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 assetsSoftware and other intangible assetsThe 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 amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only the development phase is capitalised.Other intangible assets include separately identifiable items arising from acquisitions of subsidiaries, such as client 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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-357-1": {
"value": "25 Non-current assets and disposal groups held for saleAccounting policy for non-current assets and disposal groups held for saleNon-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.(in millions) 31 December 2023 31 December 2022Property and equipment1 13Other assets130Assets of businesses held for sale 130 13Liabilities of businesses held for saleThe 2023 held for sale position of EUR 130 million consists of EUR 130 million in participating interests and EUR 1 million in buildings held for sale.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-357-2": {
"value": "25 Non-current assets and disposal groups held for saleAccounting policy for non-current assets and disposal groups held for saleNon-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.(in millions) 31 December 2023 31 December 2022Property and equipment1 13Other assets130Assets of businesses held for sale 130 13Liabilities of businesses held for saleThe 2023 held for sale position of EUR 130 million consists of EUR 130 million in participating interests and EUR 1 million in buildings held for sale.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfNoncurrentAssetsHeldForSaleAndDiscontinuedOperationsExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-357-4": {
"value": "25 Non-current assets and disposal groups held for saleAccounting policy for non-current assets and disposal groups held for saleNon-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": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
},
"pp-value-357-5": {
"value": "25 Non-current assets and disposal groups held for saleAccounting policy for non-current assets and disposal groups held for saleNon-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": {
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"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-360-1": {
"value": "26 Other assets(in millions) 31 December 2023 31 December 2022Accrued other income492 496Prepaid expenses18 20Unsettled securities transactions2,288 1,313Trade and other receivables2,007 2,218Other546 425Total other assets 5,351 4,473Unsettled securities transactions are related to reversed repurchase and securities borrowing transactions that have been delivered but not settled.At 31 December 2023, other assets included a net receivable of EUR 0.1 billion related to the bankruptcy of DSB Bank (31 December 2022: EUR 0.1 billion).",
"dimensions": {
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-360-2": {
"value": "26 Other assets(in millions) 31 December 2023 31 December 2022Accrued other income492 496Prepaid expenses18 20Unsettled securities transactions2,288 1,313Trade and other receivables2,007 2,218Other546 425Total other assets 5,351 4,473Unsettled securities transactions are related to reversed repurchase and securities borrowing transactions that have been delivered but not settled.At 31 December 2023, other assets included a net receivable of EUR 0.1 billion related to the bankruptcy of DSB Bank (31 December 2022: EUR 0.1 billion).",
"dimensions": {
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
}
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"pp-value-361-4": {
"value": "27 Due to banksAccounting policy for due to banks and due to customersAmounts 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.(in millions) 31 December 2023 31 December 2022Current accounts1,168 1,977Demand deposits1 1Time deposits3,731 14,895Cash collateral on securities lent451 625Other10Total due to banks 5,352 17,509On 28 June 2023, ABN AMRO partially repaid the TLTRO III funding for the amount of EUR 11.0 billion. On 31 December 2023, an amount of EUR 3.0 billion was outstanding, which matures in June 2024.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfDepositsFromBanksExplanatory",
"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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},
"pp-value-361-5": {
"value": "27 Due to banksAccounting policy for due to banks and due to customersAmounts 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 customersAccounting policy for due to customersThe accounting policy for amounts due to customers is set out in Note 27 - Due to banks.(in millions) 31 December 2023 31 December 2022Current accounts99,948 122,030Demand deposits100,943 100,397Time deposits51,728 30,096Other1,846 2,491Total due to customers254,466 255,015",
"dimensions": {
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"language": "en",
"entity": "scheme:BFXS5XCH7N0Y05NIXW11",
"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-366-6": {
"value": "29 Issued debt and subordinated liabilitiesAccounting policy for issued debt and subordinated liabilitiesIssued 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 spreadsThe following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding at 31 December 2023. 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 2023 31 December 2022Bonds and notes issued52,264 41,313Certificates of deposit and commercial paper13,741 14,723Total at amortised cost 66,005 56,036Designated at fair value through profit or loss222 223Total issued debt 66,227 56,259- of which matures within one year 17,408 19,0532023 2022(in millions) Carrying amount Carrying amountBalance as at 1 January 56,259 59,688Cash flowsIssuance49,985 35,231Redemption-43,196 -30,668Non-cash changesForeign exchange differences-96 118Fair value changes own credit risk-2 -8Fair value changes hedge accounting2,514 -8,451Other762 350Balance as at 31 December 66,227 56,259The 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 2023 31 December 2022Cumulative change in fair value of the structured notes attributable to changes in credit risk2 4Change during the year in fair value of the structured notes attributable to changes in credit risk-2 -8Difference between amount contractually required to pay at maturity and the carrying amount 10 6The 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.",
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"language": "en",
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"period": "2023-01-01T00:00:00/2024-01-01T00:00:00"
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"pp-value-371-4": {
"value": "30 ProvisionsAccounting policy for provisionsA 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 among 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 2023 31 December 2022Legal provisions273 447Credit commitments provisions120 154Restructuring provision57 105Other staff provision134 128Provision for pension commitments76 75Insurance fund liabilities7 8Other provisions75 128Total provisions 742 1,044Legal provisionsEURIBOR-based mortgagesIn 2012 two class actions were started whereby the central question was whether ABN AMRO\u2019s amendment clauses in the terms and conditions, entitling it to unilaterally adjust the margin charge for Euribor-based mortgage loans, was an unfair contractual clause. 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.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. 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 appealed against the ruling at the Supreme Court, but the Supreme Court rejected this appeal on 22 December 2023.At 31 December 2023 a provision is in place for expected remaining cash outflows.Variable interest rates for consumer loansOn 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about the recalculation of 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 while 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 of 2022, following an August 2022 ruling of the Kifid Appeals Committee, ABN AMRO adjusted the compensation scheme to include interest on interest. ABN AMRO has provisioned around EUR 520 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 291 million of this provision has been used, while the remaining provision as at 31 December 2023 was EUR 229 million.It is unclear what the exact scope and application of the Kifid ruling is and whether the ruling will have a certain knock-on effect on other (credit) products with variable interest rates, beyond the range of products covered by the compensation scheme, such as credit products for micro and small enterprises. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities which have not been provided for.Other provisionsAML remediation programmeABN AMRO continues to enhance its internal processes and systems to contribute to the prevention of financial economic crime. We are validating the AML client file remediation process, while additional work continues to increase the effectiveness of our measures and to reach a sustainable and adequate level that meets regulatory requirements. We are in a continuous dialogue with the Dutch central bank, who is regularly informed and is closely monitoring our progress.Other Provision Insurance Legal Credit Restructuring staff for pension fund (in millions)provisionscommitmentsprovisionprovisioncommitmentsliabilities Other TotalAt 1 January 2022 398 222 178 137 79 5 181 1,201Increase of provisions156 151 26 107 440Reversal of unused provisions-37 -189 -35 -13 -274Utilised during the year-70 -49 -70 -149 -338Transfer between stages2 2Foreign exchange differences8 5 14Other9 -10 -4 3 2 -1At 31 December 2022 447 154 105 128 75 8 128 1,044Increase of provisions 89 86 14 22 210Reversal of unused provisions -41 -129 -22 -9 -32 -233Utilised during the year -231 -40 -51 -321Transfer between stages 18 18Modifications due to credit riskForeign exchange differences 2 -1 1Other 9 -10 6 1 8 9 23At 31 December 2023 273 120 57 134 76 7 75 74231 Pension and other employee benefitsAccounting policy for pension and other employee benefitsABN 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 benefit plansFor 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:\u2022 service costs;\u2022 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\u2022 curtailments or plan amendments.Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments.RemeasurementRemeasurements 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 benefitsSome 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 that used for defined benefit pension plans. These obligations are calculated annually.Pension and other employee benefit plans in all countries comply with applicable local regulations concerning investments and minimum funding levels.Pension and other employee benefitsAmounts recognised in the income statement for pensions and other employee benefits2023 2022Defined post Other Defined post Other employment employee employment employee (in millions)benefitbenefits Totalbenefitbenefits TotalCurrent service cost 5 2 7 5 3 8Interest cost 8 2 9 2 2Interest income -5 -5 -1 -1Other 5 5 12 -4 8Total defined benefit expenses in actuarial report 7 9 15 18 -1 17Other expenses -3 -3 -4 -4Total defined benefit expenses 4 9 13 14 -1 12Defined contribution plans 337 337 321 321Total pension expenses and other post retirement employee benefits 340 9 349 334 -1 333Reconciliation to the statement of financial position and other comprehensive income2023 2022Defined post Other Defined post Other employment employee employment employee (in millions)benefitbenefits Totalbenefitbenefits TotalPresent value of defined benefit obligations - funded with plan assets191 3 194 197 3 200Fair value of plan assets158 158 157 15733 3 36 40 3 43Present value of defined benefit obligations - unfunded37 131 168 30 125 155Net liabilities/(assets) balance sheet at 31 December 70 134 204 70 128 198- of which assets 6 6 5 5- of which liabilities 76 134 210 75 128 202Experience adjustments-6 -6 -4 -1 -4Remeasurements arising from changes in demographic assumptions DBO1 1 1 1Remeasurements arising from changes in financial assumptions DBO-8 -1 -9 36 4 40Remeasurements arising from changes in financial assumptions plan assets 5 5 -20 -20Remeasurements in other comprehensive income -8 -2 -10 13 3 16Change in defined benefit obligation (DBO)2023 2022Defined post Other Defined post Other employment employee employment employee (in millions)benefitbenefits Totalbenefitbenefits TotalDefined benefit obligation as at 1 January 227 128 355 266 137 404Current service cost 5 2 7 5 3 8Interest cost8 2 9 2 2Benefits paid in from employer-14 -4 -18 -9 -4 -13Remeasurements arising from changes in demographic assumptions-1 -1 -1 -1Experience adjustments 6 6 4 1 4Remeasurements arising from changes in financial assumptions 8 1 9 -36 -4 -40Other -9 5 -4 -5 -5 -10Defined benefit obligation as at 31 December228 134 362 227 128 355The net defined benefit liabilities/(assets) balance as at 31 December 2023 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 assets2023 2022Defined post Other Defined post Other employment employee employment employee (in millions)benefitbenefits Totalbenefitbenefits TotalFair value of plan assets as at 1 January 157 157 189 189Interest income5 5 1 1Return on plan assets excluding interest5 5 -20 -20Employer's contributions2 2Other-10 -10 -12 -12Fair value of plan assets as at 31 December 158 158 157 157Principal actuarial assumptions2023 2022Discount rate3.5% 3.4%Indexation rate2.3% 2.0%1Future salary increases2.2% 2.2%1 Salary increases in the Netherlands are not taken into consideration, because the Dutch pension plan is a defined contribution plan.These 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.",
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"pp-value-371-5": {
"value": "30 ProvisionsAccounting policy for provisionsA 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 among 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 2023 31 December 2022Legal provisions273 447Credit commitments provisions120 154Restructuring provision57 105Other staff provision134 128Provision for pension commitments76 75Insurance fund liabilities7 8Other provisions75 128Total provisions 742 1,044Legal provisionsEURIBOR-based mortgagesIn 2012 two class actions were started whereby the central question was whether ABN AMRO\u2019s amendment clauses in the terms and conditions, entitling it to unilaterally adjust the margin charge for Euribor-based mortgage loans, was an unfair contractual clause. 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.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. 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 appealed against the ruling at the Supreme Court, but the Supreme Court rejected this appeal on 22 December 2023.At 31 December 2023 a provision is in place for expected remaining cash outflows.Variable interest rates for consumer loansOn 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about the recalculation of 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 while 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 of 2022, following an August 2022 ruling of the Kifid Appeals Committee, ABN AMRO adjusted the compensation scheme to include interest on interest. ABN AMRO has provisioned around EUR 520 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 291 million of this provision has been used, while the remaining provision as at 31 December 2023 was EUR 229 million.It is unclear what the exact scope and application of the Kifid ruling is and whether the ruling will have a certain knock-on effect on other (credit) products with variable interest rates, beyond the range of products covered by the compensation scheme, such as credit products for micro and small enterprises. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities which have not been provided for.Other provisionsAML remediation programmeABN AMRO continues to enhance its internal processes and systems to contribute to the prevention of financial economic crime. We are validating the AML client file remediation process, while additional work continues to increase the effectiveness of our measures and to reach a sustainable and adequate level that meets regulatory requirements. We are in a continuous dialogue with the Dutch central bank, who is regularly informed and is closely monitoring our progress.Other Provision Insurance Legal Credit Restructuring staff for pension fund (in millions)provisionscommitmentsprovisionprovisioncommitmentsliabilities Other TotalAt 1 January 2022 398 222 178 137 79 5 181 1,201Increase of provisions156 151 26 107 440Reversal of unused provisions-37 -189 -35 -13 -274Utilised during the year-70 -49 -70 -149 -338Transfer between stages2 2Foreign exchange differences8 5 14Other9 -10 -4 3 2 -1At 31 December 2022 447 154 105 128 75 8 128 1,044Increase of provisions 89 86 14 22 210Reversal of unused provisions -41 -129 -22 -9 -32 -233Utilised during the year -231 -40 -51 -321Transfer between stages 18 18Modifications due to credit riskForeign exchange differences 2 -1 1Other 9 -10 6 1 8 9 23At 31 December 2023 273 120 57 134 76 7 75 74235 Commitments and contingent liabilitiesContingent liabilitiesContingent 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, but cannot be reliably estimated.Single Resolution Fund contributionIrrevocable Payment CommitmentThe annual Single Resolution Fund (SRF) contribution is a levy introduced by the European Union in 2016. The Single Resolution Board (SRB) allows institutions to use irrevocable payment commitments (IPCs) to pay part of their contribution. ABN AMRO uses this option and accounts for the IPCs as a contingent liability, based on the assessment that until the IPCs are called by the SRB there is no present obligation to pay. Hence, IPCs have not been taken through profit and loss, but are already deducted from own funds for regulatory purposes. The IPC for 2023 amounts to EUR 41 million, which is 22.5% of the annual contribution. The cumulative amount of IPCs entered into is EUR 207 million. The IPCs are secured by collateral to ensure full and punctual payment of the contribution when called by the SRB. As at 31 December 2023, ABN AMRO has transferred a cumulative amount of EUR 207 million in collateral. The collateral is reported as an asset under \u2018other loans and advances customers\u2019.Proceedings against regulator on regulatory leviesABN 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 SRB calculates the SRF contribution based on the information provided annually by the credit institutions within the European Banking Union in scope of SRF. The SRB is of the opinion that ABN AMRO incorrectly reported variables to calculate the annual SRF contribution 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 SRB and ABN AMRO have different points of view on the interpretation of the regulation with regard to the annual SRF contribution.On 11 May 2023, ABN AMRO received the final decision from the SRB regarding the ex-ante contributions to the SRF. In its final decision, SRB reiterated its arguments and did not agree with ABN AMRO\u2019s position. The SRB has recalculated the contribution of ABN AMRO Hypotheken Groep B.V. (AAHG) over the years 2016 - 2022, resulting in the invoice for the year 2023 amounting to EUR 177 million. This amount consists of both the contribution for the year 2023 (approximately EUR 57 million) and the amount AAHG is required to pay in additional contributions for the years 2016 - 2022 (approximately EUR 120 million, included as an \u2018other asset\u2019). Upon DNB\u2019s and SRB\u2019s explicit request and in order to comply with Dutch legislation, which requires the SRF contribution for 2023 to be paid within six weeks after the notification of the final decision (under penalty of fines), AAHG paid, under protest, the SRF contribution for 2023 to the SRB on 22 June 2023.AAHG and ABN AMRO challenged the SRB\u2019s final decision by filing a petition with the Court of Justice of the European Union on 14 July 2023. On 15 November 2023, SRB filed a \u2018preliminary objection\u2019 with the court in which the SRB asserted the inadmissibility of the appeal of AAHG and ABN AMRO. AAHG and ABN AMRO filed a response to this initial defence of SRB on 23 January 2024. This suspends the further continuation of the proceedings until the court\u2019s assessment of this initial defense. The court has informed the parties that it will assess this initial defense soon (without scheduling an oral hearing).The outcome of AAHG\u2019s and ABN AMRO\u2019s 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 its challenge will be successful. Therefore, no provision has been recognised.Equity trading in GermanyGerman 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 other than through public sources.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 recollect 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 arbitrage 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 matterThe 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 was filed against the ruling of the Court of Appeal.On 19 January 2024, the Supreme Court upheld the third party's grievances against the Court of Appeal\u2019s ruling. Consequently, the ruling was set aside and the case was referred back to a different Court of Appeal. This Court of Appeal must now rule on the matter again, thereby taking into account the guiding principles as formulated by the Supreme Court.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 mattersA 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 potential 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-liabilityOn 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 amounts to EUR 198 million (31 December 2022: EUR 298 million), for which NatWest Markets N.V. has posted no collateral at the end of 2023 (31 December 2022: EUR 150 million).Other contingent liabilitiesABN 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: \u2022 ABN AMRO, certain 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. \u2022 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 letters dated 28 March 2018 and 10 June 2022, 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 a group of financiers of Imtech, including ABN AMRO. On 23 October 2023 the Imtech\u2019s trustees and the group of financiers reached a settlement. The settlement entails a payment of approximately EUR 25 million by the financiers of Imtech to the bankruptcy estate of Imtech, and the withdrawal of the claims of the trustees. The settlement agreement has been entered into without acknowledging any liability. \u2022 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 the spring of 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 when EMS files such claim. Therefore no provision has been recognised. \u2022 In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by a Luxembourg investment fund (the Fund) which alleges that the Luxembourg subsidiary, in its capacity as custodian of a sub-fund of the Fund, should have prevented an investment of USD 10 million from being made. The Fund 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, the Fund and its Hong Kong subsidiary issued an additional claim against BGL. This claim amounts to USD 23 million and also seems to be in respect of investments relating to the sub-fund of the Fund. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and ABN AMRO. In addition, on 2 April 2021, BGL, as the legal successor of the Luxembourg subsidiary of ABN AMRO, was sued by a Luxembourg investment fund (SIF A) and the liquidator of SIF A. In brief, it is alleged that a sub-fund of SIF A invested in allegedly fictitious loan instruments for a period of time. 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 from BGL. Finally, on 31 May 2021, BGL, as the legal successor of the Luxembourg subsidiary of ABN AMRO, 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 from BGL. On 30 June 2023 BGL served a writ of summons against ABN AMRO in which BGL holds ABN AMRO primarily liable for fraudulent concealment and misrepresentation and seeks compensation for its damages. ABN AMRO rejects the alleged claim by BGL. The writ has not (yet) been served before the court in order to give parties a chance to discuss a potential settlement.",
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"value": "30 ProvisionsAccounting policy for provisionsA 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 among 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 benefitsAccounting policy for pension and other employee benefitsABN 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 benefit plansFor 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:\u2022 service costs;\u2022 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\u2022 curtailments or plan amendments.Differences between pension costs and pension contributions payable are accounted for as provisions or prepayments.RemeasurementRemeasurements 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 benefitsSome 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 that used for defined benefit pension plans. These obligations are calculated annually.Pension and other employee benefit plans in all countries comply with applicable local regulations concerning investments and minimum funding levels.",
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"value": "32 Other liabilities(in millions) 31 December 2023 31 December 2022Accrued other expenses960 939Lease liabilities426 413Unsettled securities transactions2,485 2,019Sundry liabilities and other payables1,870 1,816Total other liabilities 5,741 5,187",
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"value": "32 Other liabilities(in millions) 31 December 2023 31 December 2022Accrued other expenses960 939Lease liabilities426 413Unsettled securities transactions2,485 2,019Sundry liabilities and other payables1,870 1,816Total other liabilities 5,741 5,187",
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"value": "33 EquityShare capital and other components of equityCurrency translation reserveThe currency translation reserve represents cumulative gains and losses on the translation of our net investment in foreign operations, net of the effect of hedging.Fair value reserveUnder 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 reserveThe 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.Liability own credit risk reserveUnder 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 reservesOther reserves mainly comprise retained earnings and profit for the period.(in millions) 31 December 2023 31 December 2022Share capital866 898Share premium12,192 12,529Accumulated other comprehensive income-315 -842Other reserves (incl. retained earnings/profit for the period)9,436 8,243AT1 capital securities1,987 1,985Equity attributable to owners of the parent company 24,165 22,812Equity attributable to non-controlling interests3 2Total equity 24,168 22,814Accumulated 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 plansreservereservereservejoint venturesreserve TotalBalance at 1 January 2022 -6 38 239 -1,540 51 -9 -1,227Net gains/(losses) arising during the period 16 48 -287 762 -51 8 496Less: Net realised gains/(losses) included in income statement4 1 -39 7 -26Net gains/(losses) in equity 16 44 -288 801 -58 8 522Related income tax 3 -75 207 2 137Balance at 31 December 2022 7 81 26 -946 -7 -3 -842Net gains/(losses) arising during the period-10 -46 -174 790 10 2 574Less: Net realised gains/(losses) included in income statement -2 -147 -149Net gains/(losses) in equity -10 -44 -174 938 10 2 722Related income tax -3 -44 242 1 195Balance at 31 December 2023 37 -104 -250 3 -2 -315Accumulated other comprehensive income increased by EUR 527 million, driven mainly by the increase in the cash flow hedge reserve resulting from the current market interest rate environment. The decrease of the fair value reserve was attributable to lower valuations on financial investments.",
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"value": "33 Equity(in millions) 31 December 2023 31 December 2022Share capital866 898Share premium12,192 12,529Accumulated other comprehensive income-315 -842Other reserves (incl. retained earnings/profit for the period)9,436 8,243AT1 capital securities1,987 1,985Equity attributable to owners of the parent company 24,165 22,812Equity attributable to non-controlling interests3 2Total equity 24,168 22,814",
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"value": "33 EquityShare capital and other components of equityOrdinary sharesAs at 31 December 2023, all shares in the capital of ABN AMRO Bank were held by two foundations: NLFI and STAK AAB. For more information about STAK AAB and the depositary receipts, please refer to the Leadership & governance chapter of this report.Capital securitiesUndated, 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",
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"value": "DividendsDividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which they are approved by shareholders.",
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"value": "34 Transferred, pledged, encumbered and restricted assetsAccounting policy for transferred, pledged, encumbered and restricted assetsTransferred financial assets are arrangements/transactions for which ABN AMRO has:\u2022 Transferred the contractual rights to receive the cash flows of the financial asset to a third party, or;\u2022 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.Depending on the circumstances, these transfers may either result in financial assets that are not derecognised in their entirety or in assets that are derecognised in their entirety. More detailed information on our recognition and derecognition policy is provided in the paragraph on material accounting policies under Note 1 - Accounting policies.Pledged assets are assets given as security (collateral) to guarantee the payment of a debt or fulfilment of an obligation by ABN AMRO to a third party. Encumbered assets are assets that have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed. The key difference between encumbered and pledged assets is that latter is based on the legal terms such as title transfer while the former is based on economic principles.The following differences apply to ABN AMRO:\u2022 Encumbered assets exclude retained mortgage-backed securities, unless these have been pledged or are subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which free withdrawal is not allowed.Significant restrictions on assets may arise from statutory, contractual or regulatory requirements such as:\u2022 Requirements 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;\u2022 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;\u2022 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.",
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"value": "35 Commitments and contingent liabilitiesAccounting policy for off-balance sheet itemsCommitmentsLoan 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 contractsA 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 liabilitiesContingent 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, but cannot be reliably estimated.Committed credit facilitiesCommitments to provide credit consist 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 commitmentsABN AMRO provides financial guarantees and letters of credit to guarantee the performance of its clients 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 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 periodLess than Between one Between three After (in millions)one yearand three yearsand five yearsfive years Total31 December 2023Committed credit facilities 27,566 10,359 10,024 6,019 53,968Guarantees and other commitmentsGuarantees granted178 175 5 200 558Irrevocable letters of credit 2,329 937 206 172 3,645Recourse risks arising from discounted bills1,407 288 371 20 2,086Total guarantees and other commitments 3,915 1,399 582 393 6,289Total 31,481 11,758 10,606 6,411 60,25731 December 2022Committed credit facilities 29,349 9,585 8,268 6,671 53,873Guarantees and other commitmentsGuarantees granted177 83 96 985 1,342Irrevocable letters of credit3,062 699 489 179 4,429Recourse risks arising from discounted bills 1,566 312 1 1,880Total guarantees and other commitments 4,806 1,094 586 1,164 7,651Total 34,155 10,679 8,854 7,836 61,524Single Resolution Fund contributionIrrevocable Payment CommitmentThe annual Single Resolution Fund (SRF) contribution is a levy introduced by the European Union in 2016. The Single Resolution Board (SRB) allows institutions to use irrevocable payment commitments (IPCs) to pay part of their contribution. ABN AMRO uses this option and accounts for the IPCs as a contingent liability, based on the assessment that until the IPCs are called by the SRB there is no present obligation to pay. Hence, IPCs have not been taken through profit and loss, but are already deducted from own funds for regulatory purposes. The IPC for 2023 amounts to EUR 41 million, which is 22.5% of the annual contribution. The cumulative amount of IPCs entered into is EUR 207 million. The IPCs are secured by collateral to ensure full and punctual payment of the contribution when called by the SRB. As at 31 December 2023, ABN AMRO has transferred a cumulative amount of EUR 207 million in collateral. The collateral is reported as an asset under \u2018other loans and advances customers\u2019.Proceedings against regulator on regulatory leviesABN 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 SRB calculates the SRF contribution based on the information provided annually by the credit institutions within the European Banking Union in scope of SRF. The SRB is of the opinion that ABN AMRO incorrectly reported variables to calculate the annual SRF contribution 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 SRB and ABN AMRO have different points of view on the interpretation of the regulation with regard to the annual SRF contribution.On 11 May 2023, ABN AMRO received the final decision from the SRB regarding the ex-ante contributions to the SRF. In its final decision, SRB reiterated its arguments and did not agree with ABN AMRO\u2019s position. The SRB has recalculated the contribution of ABN AMRO Hypotheken Groep B.V. (AAHG) over the years 2016 - 2022, resulting in the invoice for the year 2023 amounting to EUR 177 million. This amount consists of both the contribution for the year 2023 (approximately EUR 57 million) and the amount AAHG is required to pay in additional contributions for the years 2016 - 2022 (approximately EUR 120 million, included as an \u2018other asset\u2019). Upon DNB\u2019s and SRB\u2019s explicit request and in order to comply with Dutch legislation, which requires the SRF contribution for 2023 to be paid within six weeks after the notification of the final decision (under penalty of fines), AAHG paid, under protest, the SRF contribution for 2023 to the SRB on 22 June 2023.AAHG and ABN AMRO challenged the SRB\u2019s final decision by filing a petition with the Court of Justice of the European Union on 14 July 2023. On 15 November 2023, SRB filed a \u2018preliminary objection\u2019 with the court in which the SRB asserted the inadmissibility of the appeal of AAHG and ABN AMRO. AAHG and ABN AMRO filed a response to this initial defence of SRB on 23 January 2024. This suspends the further continuation of the proceedings until the court\u2019s assessment of this initial defense. The court has informed the parties that it will assess this initial defense soon (without scheduling an oral hearing).The outcome of AAHG\u2019s and ABN AMRO\u2019s 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 its challenge will be successful. Therefore, no provision has been recognised.Equity trading in GermanyGerman 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 other than through public sources.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 recollect 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 arbitrage 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 matterThe 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 was filed against the ruling of the Court of Appeal.On 19 January 2024, the Supreme Court upheld the third party's grievances against the Court of Appeal\u2019s ruling. Consequently, the ruling was set aside and the case was referred back to a different Court of Appeal. This Court of Appeal must now rule on the matter again, thereby taking into account the guiding principles as formulated by the Supreme Court.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 mattersA 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 potential 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-liabilityOn 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 amounts to EUR 198 million (31 December 2022: EUR 298 million), for which NatWest Markets N.V. has posted no collateral at the end of 2023 (31 December 2022: EUR 150 million).Other contingent liabilitiesABN 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: \u2022 ABN AMRO, certain 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. \u2022 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 letters dated 28 March 2018 and 10 June 2022, 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 a group of financiers of Imtech, including ABN AMRO. On 23 October 2023 the Imtech\u2019s trustees and the group of financiers reached a settlement. The settlement entails a payment of approximately EUR 25 million by the financiers of Imtech to the bankruptcy estate of Imtech, and the withdrawal of the claims of the trustees. The settlement agreement has been entered into without acknowledging any liability. \u2022 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 the spring of 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 when EMS files such claim. Therefore no provision has been recognised. \u2022 In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by a Luxembourg investment fund (the Fund) which alleges that the Luxembourg subsidiary, in its capacity as custodian of a sub-fund of the Fund, should have prevented an investment of USD 10 million from being made. The Fund 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, the Fund and its Hong Kong subsidiary issued an additional claim against BGL. This claim amounts to USD 23 million and also seems to be in respect of investments relating to the sub-fund of the Fund. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and ABN AMRO. In addition, on 2 April 2021, BGL, as the legal successor of the Luxembourg subsidiary of ABN AMRO, was sued by a Luxembourg investment fund (SIF A) and the liquidator of SIF A. In brief, it is alleged that a sub-fund of SIF A invested in allegedly fictitious loan instruments for a period of time. 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 from BGL. Finally, on 31 May 2021, BGL, as the legal successor of the Luxembourg subsidiary of ABN AMRO, 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 from BGL. On 30 June 2023 BGL served a writ of summons against ABN AMRO in which BGL holds ABN AMRO primarily liable for fraudulent concealment and misrepresentation and seeks compensation for its damages. ABN AMRO rejects the alleged claim by BGL. The writ has not (yet) been served before the court in order to give parties a chance to discuss a potential settlement.",
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"value": "35 Commitments and contingent liabilitiesAccounting policy for off-balance sheet itemsCommitmentsLoan 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 contractsA 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 facilitiesCommitments to provide credit consist 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 commitmentsABN AMRO provides financial guarantees and letters of credit to guarantee the performance of its clients 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 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 periodLess than Between one Between three After (in millions)one yearand three yearsand five yearsfive years Total31 December 2023Committed credit facilities 27,566 10,359 10,024 6,019 53,968Guarantees and other commitmentsGuarantees granted178 175 5 200 558Irrevocable letters of credit 2,329 937 206 172 3,645Recourse risks arising from discounted bills1,407 288 371 20 2,086Total guarantees and other commitments 3,915 1,399 582 393 6,289Total 31,481 11,758 10,606 6,411 60,25731 December 2022Committed credit facilities 29,349 9,585 8,268 6,671 53,873Guarantees and other commitmentsGuarantees granted177 83 96 985 1,342Irrevocable letters of credit3,062 699 489 179 4,429Recourse risks arising from discounted bills 1,566 312 1 1,880Total guarantees and other commitments 4,806 1,094 586 1,164 7,651Total 34,155 10,679 8,854 7,836 61,524",
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"value": "35 Commitments and contingent liabilitiesAccounting policy for off-balance sheet itemsContingent liabilitiesContingent 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, but cannot be reliably estimated.Single Resolution Fund contributionIrrevocable Payment CommitmentThe annual Single Resolution Fund (SRF) contribution is a levy introduced by the European Union in 2016. The Single Resolution Board (SRB) allows institutions to use irrevocable payment commitments (IPCs) to pay part of their contribution. ABN AMRO uses this option and accounts for the IPCs as a contingent liability, based on the assessment that until the IPCs are called by the SRB there is no present obligation to pay. Hence, IPCs have not been taken through profit and loss, but are already deducted from own funds for regulatory purposes. The IPC for 2023 amounts to EUR 41 million, which is 22.5% of the annual contribution. The cumulative amount of IPCs entered into is EUR 207 million. The IPCs are secured by collateral to ensure full and punctual payment of the contribution when called by the SRB. As at 31 December 2023, ABN AMRO has transferred a cumulative amount of EUR 207 million in collateral. The collateral is reported as an asset under \u2018other loans and advances customers\u2019.Proceedings against regulator on regulatory leviesABN 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 SRB calculates the SRF contribution based on the information provided annually by the credit institutions within the European Banking Union in scope of SRF. The SRB is of the opinion that ABN AMRO incorrectly reported variables to calculate the annual SRF contribution 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 SRB and ABN AMRO have different points of view on the interpretation of the regulation with regard to the annual SRF contribution.On 11 May 2023, ABN AMRO received the final decision from the SRB regarding the ex-ante contributions to the SRF. In its final decision, SRB reiterated its arguments and did not agree with ABN AMRO\u2019s position. The SRB has recalculated the contribution of ABN AMRO Hypotheken Groep B.V. (AAHG) over the years 2016 - 2022, resulting in the invoice for the year 2023 amounting to EUR 177 million. This amount consists of both the contribution for the year 2023 (approximately EUR 57 million) and the amount AAHG is required to pay in additional contributions for the years 2016 - 2022 (approximately EUR 120 million, included as an \u2018other asset\u2019). Upon DNB\u2019s and SRB\u2019s explicit request and in order to comply with Dutch legislation, which requires the SRF contribution for 2023 to be paid within six weeks after the notification of the final decision (under penalty of fines), AAHG paid, under protest, the SRF contribution for 2023 to the SRB on 22 June 2023.AAHG and ABN AMRO challenged the SRB\u2019s final decision by filing a petition with the Court of Justice of the European Union on 14 July 2023. On 15 November 2023, SRB filed a \u2018preliminary objection\u2019 with the court in which the SRB asserted the inadmissibility of the appeal of AAHG and ABN AMRO. AAHG and ABN AMRO filed a response to this initial defence of SRB on 23 January 2024. This suspends the further continuation of the proceedings until the court\u2019s assessment of this initial defense. The court has informed the parties that it will assess this initial defense soon (without scheduling an oral hearing).The outcome of AAHG\u2019s and ABN AMRO\u2019s 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 its challenge will be successful. Therefore, no provision has been recognised.Equity trading in GermanyGerman 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 other than through public sources.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 recollect 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 arbitrage 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 matterThe 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 was filed against the ruling of the Court of Appeal.On 19 January 2024, the Supreme Court upheld the third party's grievances against the Court of Appeal\u2019s ruling. Consequently, the ruling was set aside and the case was referred back to a different Court of Appeal. This Court of Appeal must now rule on the matter again, thereby taking into account the guiding principles as formulated by the Supreme Court.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 mattersA 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 potential 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-liabilityOn 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 amounts to EUR 198 million (31 December 2022: EUR 298 million), for which NatWest Markets N.V. has posted no collateral at the end of 2023 (31 December 2022: EUR 150 million).Other contingent liabilitiesABN 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: \u2022 ABN AMRO, certain 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. \u2022 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 letters dated 28 March 2018 and 10 June 2022, 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 a group of financiers of Imtech, including ABN AMRO. On 23 October 2023 the Imtech\u2019s trustees and the group of financiers reached a settlement. The settlement entails a payment of approximately EUR 25 million by the financiers of Imtech to the bankruptcy estate of Imtech, and the withdrawal of the claims of the trustees. The settlement agreement has been entered into without acknowledging any liability. \u2022 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 the spring of 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 when EMS files such claim. Therefore no provision has been recognised. \u2022 In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by a Luxembourg investment fund (the Fund) which alleges that the Luxembourg subsidiary, in its capacity as custodian of a sub-fund of the Fund, should have prevented an investment of USD 10 million from being made. The Fund 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, the Fund and its Hong Kong subsidiary issued an additional claim against BGL. This claim amounts to USD 23 million and also seems to be in respect of investments relating to the sub-fund of the Fund. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and ABN AMRO. In addition, on 2 April 2021, BGL, as the legal successor of the Luxembourg subsidiary of ABN AMRO, was sued by a Luxembourg investment fund (SIF A) and the liquidator of SIF A. In brief, it is alleged that a sub-fund of SIF A invested in allegedly fictitious loan instruments for a period of time. 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 from BGL. Finally, on 31 May 2021, BGL, as the legal successor of the Luxembourg subsidiary of ABN AMRO, 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 from BGL. On 30 June 2023 BGL served a writ of summons against ABN AMRO in which BGL holds ABN AMRO primarily liable for fraudulent concealment and misrepresentation and seeks compensation for its damages. ABN AMRO rejects the alleged claim by BGL. The writ has not (yet) been served before the court in order to give parties a chance to discuss a potential settlement.",
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"value": "35 Commitments and contingent liabilitiesAccounting policy for off-balance sheet itemsFinancial guarantee contractsA 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.",
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"value": "35 Commitments and contingent liabilitiesAccounting policy for off-balance sheet itemsContingent liabilitiesContingent 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, but cannot be reliably estimated.",
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"pp-value-418-1": {
"value": "36 Remuneration of Executive Board and Supervisory BoardRemuneration of the Executive Board2023Other Total Base Variable short-term short term Severance 456salaryremunerationbenefitsbenefitspayments Total pension-related contributionsTotalPost-employment Short-term (In thousands)pension (a)allowances (b)R.A.J. Swaak, chair798 798 35 201 1,034D. Dorner, vice-chair677 36 713 35 164 9121C. Bittner677 48 725 35 164 924T.J.A.M. Cuppen677 34 711 35 164 910C. van der Hooft - Cheong677 27 704 35 164 9032L. Kramer226 76 302 12 55 3691A. van Nimwegen56 56 3 14 731F.G. Vaandrager451 15 466 24 110 6001A.M. Vreugdenhil677 24 701 35 164 900Total 4,916 260 5,176 249 1,200 6,6252022R.A.J. Swaak, chair771 771 32 197 9992L. Kramer, vice-chair654 133 787 32 162 9812C.M. Bornfeld218 45 263 11 54 327T.J.A.M. Cuppen654 34 688 32 162 881D. Dorner654 32 686 32 162 879C. van der Hooft - Cheong654 27 682 32 162 8752, 3G.R. Penning927 62 989 164 46 227 1,4261A.M. Vreugdenhil545 18 563 26 135 724Total 5,077 351 5,428 164 241 1,260 7,0931 The following members were appointed as an Executive Board member: A.M. Vreugdenhil (1 March 2022), C. Bittner (1 January 2023), F. Vaandrager (ad interim effective 1 May 2023 and permanent effective 16 November 2023) and A. van Nimwegen (1 December 2023) .2 The following members left ABN AMRO: C.M. Bornfeld (1 May 2022), L. Kramer (stepped down as Executive Board member on 23 April 2023 and left ABN AMRO with effect from 1 May 2023) and G.R. Penning (stepped down as Executive Board member on 1 December 2022 and left ABN AMRO with effect from 1 June 2023).3 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, in the year 2022. Compared to 2022 the figures changed regarding Other Short-term benefits for G.R. Penning. Remaining entitlement holiday leave for G.R. Penning paid at the end of his employment contract in 2023 have been adjusted accordingly, in the year 2022 (EUR 61,630).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. If applicable, the amount of the payment for remaining leave entitlement at the end of the employment contract are also included at Other short-term benefits.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 128,810 (2022: EUR 114,866) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement (\u2018ABN AMRO CAO\u2019).Loans from ABN AMRO to Executive Board members2023 2022Outstanding Interest Outstanding Interest (In thousands)31 December Redemptionsrate31 December Redemptionsrate1D. Dorner442 21 2.6% 463 21 2.2%C. van der Hooft - Cheong1,428 131 2.7% 1,559 32 1.5%1F.G. Vaandrager118 3.8%1, 2G.R. Penning225 40 2.9%1 The following members were appointed: F.G. Vaandrager (ad interim per 1 May 2023 and permanent per 16 November 2023).2 G.R. Penning stepped down as Executive Board member on 1 December 2022 and left ABN AMRO as per 1 June 2023.Remuneration of the Supervisory Board33(In thousands) 20232022T. de Swaan, chair109 103A.C. Dorland, vice-chair91 861W.J.M. Devriendt64L.J. Griffith88 83M.P. Lap88 831S.A.C. Russell91 602A.M. Stor\u00e5kers28 86M.L. Tannemaat88 832J.S.T. Tiemstra261F. de Vries36Total 683 6101 The following members were appointed as a member of the Supervisory Board: W.J.M. Devriendt (19 April 2023), F. de Vries (29 June 2023) and S.A.C. Russell (20 april 2022).2 The following members stepped down as a member of the Supervisory Board: A.M. Stor\u00e5kers (19 April 2023) and J.S.T. Tiemstra (20 april 2022).3 Remuneration amounts excluding VAT.Loans from ABN AMRO to Supervisory Board members2023 2022Outstanding Outstanding (In thousands)31 December Redemptions Interest rate31 December Redemptions Interest rateT. de Swaan1,580 6 1.0% 1,586 5 1.0%L.J. Griffith339 1.8%1S.A.C. Russell370 2.1% 370 2.1%M.L. Tannemaat707 8 1.7% 715 57 1.7%1F. de Vries819 2.6%1 The following members were appointed as a member of the Supervisory Board: S. Russell (20 April 2022) and F. de Vries (29 June 2023).38 Related partiesParties 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 under 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 2023.Key management personnel compensationOther Base Variable short-term Total short Severance 123salaryremunerationbenefitsterm benefitspayments Total pension-related contributionsTotalPost-employment Short-term (In thousands)pension (a)allowances (b)2023Members ExBo 4,916 260 5,176 249 1,200 6,6252022Members ExBo 5,077 351 5,428 164 241 1,260 7,0931 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.2 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. If applicable, the amount of the payment for remaining leave entitlement at the end of the employment contract are also included at Other short-term benefits.3 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 128,810 (2022: EUR 114,866) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement (\u2018ABN AMRO CAO\u2019).Key management loans and advances2023 2022Outstanding Average Outstanding Average (In thousands)31 December Redemptionsinterest rate31 December Redemptionsinterest rateExecutive Board1,870 270 2.7% 2,247 93 1.8%Other ExCo members",
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"pp-value-418-2": {
"value": "36 Remuneration of Executive Board and Supervisory BoardRemuneration of the Executive Board2023Other Total Base Variable short-term short term Severance 456salaryremunerationbenefitsbenefitspayments Total pension-related contributionsTotalPost-employment Short-term (In thousands)pension (a)allowances (b)R.A.J. Swaak, chair798 798 35 201 1,034D. Dorner, vice-chair677 36 713 35 164 9121C. Bittner677 48 725 35 164 924T.J.A.M. Cuppen677 34 711 35 164 910C. van der Hooft - Cheong677 27 704 35 164 9032L. Kramer226 76 302 12 55 3691A. van Nimwegen56 56 3 14 731F.G. Vaandrager451 15 466 24 110 6001A.M. Vreugdenhil677 24 701 35 164 900Total 4,916 260 5,176 249 1,200 6,6252022R.A.J. Swaak, chair771 771 32 197 9992L. Kramer, vice-chair654 133 787 32 162 9812C.M. Bornfeld218 45 263 11 54 327T.J.A.M. Cuppen654 34 688 32 162 881D. Dorner654 32 686 32 162 879C. van der Hooft - Cheong654 27 682 32 162 8752, 3G.R. Penning927 62 989 164 46 227 1,4261A.M. Vreugdenhil545 18 563 26 135 724Total 5,077 351 5,428 164 241 1,260 7,0931 The following members were appointed as an Executive Board member: A.M. Vreugdenhil (1 March 2022), C. Bittner (1 January 2023), F. Vaandrager (ad interim effective 1 May 2023 and permanent effective 16 November 2023) and A. van Nimwegen (1 December 2023) .2 The following members left ABN AMRO: C.M. Bornfeld (1 May 2022), L. Kramer (stepped down as Executive Board member on 23 April 2023 and left ABN AMRO with effect from 1 May 2023) and G.R. Penning (stepped down as Executive Board member on 1 December 2022 and left ABN AMRO with effect from 1 June 2023).3 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, in the year 2022. Compared to 2022 the figures changed regarding Other Short-term benefits for G.R. Penning. Remaining entitlement holiday leave for G.R. Penning paid at the end of his employment contract in 2023 have been adjusted accordingly, in the year 2022 (EUR 61,630).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. If applicable, the amount of the payment for remaining leave entitlement at the end of the employment contract are also included at Other short-term benefits.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 128,810 (2022: EUR 114,866) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement (\u2018ABN AMRO CAO\u2019).Loans from ABN AMRO to Executive Board members2023 2022Outstanding Interest Outstanding Interest (In thousands)31 December Redemptionsrate31 December Redemptionsrate1D. Dorner442 21 2.6% 463 21 2.2%C. van der Hooft - Cheong1,428 131 2.7% 1,559 32 1.5%1F.G. Vaandrager118 3.8%1, 2G.R. Penning225 40 2.9%1 The following members were appointed: F.G. Vaandrager (ad interim per 1 May 2023 and permanent per 16 November 2023).2 G.R. Penning stepped down as Executive Board member on 1 December 2022 and left ABN AMRO as per 1 June 2023.Remuneration of the Supervisory Board33(In thousands) 20232022T. de Swaan, chair109 103A.C. Dorland, vice-chair91 861W.J.M. Devriendt64L.J. Griffith88 83M.P. Lap88 831S.A.C. Russell91 602A.M. Stor\u00e5kers28 86M.L. Tannemaat88 832J.S.T. Tiemstra261F. de Vries36Total 683 6101 The following members were appointed as a member of the Supervisory Board: W.J.M. Devriendt (19 April 2023), F. de Vries (29 June 2023) and S.A.C. Russell (20 april 2022).2 The following members stepped down as a member of the Supervisory Board: A.M. Stor\u00e5kers (19 April 2023) and J.S.T. Tiemstra (20 april 2022).3 Remuneration amounts excluding VAT.Loans from ABN AMRO to Supervisory Board members2023 2022Outstanding Outstanding (In thousands)31 December Redemptions Interest rate31 December Redemptions Interest rateT. de Swaan1,580 6 1.0% 1,586 5 1.0%L.J. Griffith339 1.8%1S.A.C. Russell370 2.1% 370 2.1%M.L. Tannemaat707 8 1.7% 715 57 1.7%1F. de Vries819 2.6%1 The following members were appointed as a member of the Supervisory Board: S. Russell (20 April 2022) and F. de Vries (29 June 2023).38 Related partiesParties 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 under 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 2023.Balances with joint ventures, associates and other(in millions) Joint ventures Associates Other Total31 December 2023Assets 29 42 71Liabilities 4 59 63Guarantees given 20 20Guarantees receivedIrrevocable facilities2 22023Income received 38 2 40Expenses paid 8 97 352 45731 December 2022Assets14 50 63Liabilities 24 125 149Guarantees given 20 20Irrevocable facilities2 22022Income received 40 2 42Expenses paid 8 97 332 438The EUR 15 million increase in assets with joint ventures was mainly attributable to higher loans and receivables held by other financial corporations.The EUR 20 million decrease in liabilities with joint ventures was mainly attributable to lower client deposits held with other financial corporations.The EUR 66 million decrease in liabilities with associates was attributable to lower client deposits held with other financial corporations, mainly as a result of the divestment of European Merchant Services.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 2023 31 December 2022AssetsFinancial assets held for trading 168 144DerivativesFinancial investments 2,642 2,465Loans and advances customers 69 189Other assetsLiabilitiesFinancial liabilities held for trading174 299Derivatives 17Due to customers 466 4772023 2022Income statementInterest income 48 51Interest expense 20 23Net trading income 44 66Net fee and commission income 4On 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 related to specific assets and liabilities of RFS Holdings B.V. In 2019, Royal Bank of Scotland (RBS) acquired all shares in RFS Holding. 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 for 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 under 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 0.2 billion increase in financial investments was mainly due to an increase in Dutch government bonds held. This is part of the liquidity buffer and is held for liquidity contingency purposes.The EUR 0.1 billion decrease in loans and advances to customers was due to higher cash collateral pledged.The EUR 0.1 billion decrease in financial liabilities held for trading mainly related to lower amounts of Dutch government bonds as a result of the primary dealership in the Netherlands and client facilitation. Most of these contracts are hedged with short positions in government bonds.Key management personnel compensationOther Base Variable short-term Total short Severance 123salaryremunerationbenefitsterm benefitspayments Total pension-related contributionsTotalPost-employment Short-term (In thousands)pension (a)allowances (b)2023Members ExBo 4,916 260 5,176 249 1,200 6,6252022Members ExBo 5,077 351 5,428 164 241 1,260 7,0931 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.2 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. If applicable, the amount of the payment for remaining leave entitlement at the end of the employment contract are also included at Other short-term benefits.3 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 128,810 (2022: EUR 114,866) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement (\u2018ABN AMRO CAO\u2019).Key management loans and advances2023 2022Outstanding Average Outstanding Average (In thousands)31 December Redemptionsinterest rate31 December Redemptionsinterest rateExecutive Board1,870 270 2.7% 2,247 93 1.8%Other ExCo members",
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"pp-value-420-1": {
"value": "37 Share-based paymentAccounting policy for share-based paymentIdentified staff as defined by CRD V are entitled to receive variable compensation, consisting 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.Variable compensation is granted for a certain performance year, at 50% in cash and 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, 30% of the share-based compensation settled in cash (depositary receipt) vests 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).Share-based compensation settled in cash granted for 2019 and the years before includes the option of requesting 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 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 of requesting 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 expenses. 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 2023 was EUR 7 million (31 December 2022: EUR 7 million). The expense recognised for the DRs and PCs awards during 2023 was EUR 4 million including retention bonus payments (2022: EUR 1 million).The following table shows the total number of DRs and PCs awarded, forfeited and paid out.(In thousands of DRs and PCs) 2023 2022Outstanding at 1 January746 854Granted during the year292 385Forfeited during the year21 11Paid out during the year cash363 444Paid out during the year DRs and PCs6 38Less: total paid out/forfeited-389 -493Outstanding at 31 December 649 746The following table shows the total number of DRs and PCs granted, segmented by the respective vesting period after which the award is paid out.Up to Between one Between two Between three Between four (In thousands of DRs and PCs)one yearand two yearsand three yearsand four yearsand five years Total31 December 2023Number of granted DRs by vesting period 323 143 85 69 29 64931 December 2022Number of granted DRs by vesting period 379 151 117 58 42 746",
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"pp-value-420-4": {
"value": "37 Share-based paymentAccounting policy for share-based paymentIdentified staff as defined by CRD V are entitled to receive variable compensation, consisting 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.Variable compensation is granted for a certain performance year, at 50% in cash and 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, 30% of the share-based compensation settled in cash (depositary receipt) vests 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).Share-based compensation settled in cash granted for 2019 and the years before includes the option of requesting 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 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 of requesting 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 expenses. The fair value is determined using an internally developed model based on the share price and market expectations of future dividends.",
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"pp-value-428-1": {
"value": "39 Post balance sheet eventsABN AMRO EUR 500 million share buyback programmeIn February 2024, ABN AMRO announced the start of a third 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 19 April 2023 (10% of the issued shares). The share buyback programme commenced on 15 February 2024 and is expected to end no later than June 2024.",
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